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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, February 14, 2010, Vol. 14, No. 44
Headlines
AMERICREDIT FINANCIAL: Moody's Upgrades Ratings on Five Deals
ANTARCTICA CFO: S&P Affirms Ratings on Two Classes of Notes
ARCHIMEDES FUNDING: Fitch Affirms Ratings on Two Classes of Notes
AVIATION CAPITAL: Fitch Takes Rating Actions on Four Classes
BEAR STEARNS: Moody's Affirms Ratings on Nine 2007-PWR15 Certs.
BTC SPV: S&P Puts 'B-' Note Ratings on CreditWatch Negative
C-BASS 1999-3: Fitch Takes Various Rating Actions on Three RMBS
C-BASS CBO: Moody's Downgrades Ratings on Two Classes of Notes
CBA COMMERCIAL: Moody's Downgrades Ratings on Seven 2005-1 Certs.
CBA COMMERCIAL: S&P Downgrades Rating on Class M-4 Certs. to 'D'
CITY OF HARRISBURG: Moody's Downgrades Ratings on Bonds to 'B2'
COMMODORE CDO: Fitch Downgrades Ratings on Two Classes of Notes
CONN'S FUNDING: Moody's Reviews Ratings on Three 2006-A Notes
CREDIT SUISSE: Moody's Downgrades Ratings on Four 2005-CND1 Certs.
CREDIT SUISSE: S&P Downgrades Ratings on 16 2005-C5 Securities
CREDIT SUISSE: S&P Puts Cert. Ratings on CreditWatch Negative
CTX CDO: Moody's Downgrades Ratings on Eight Classes of Notes
CWCAPITAL COBALT: Moody's Downgrades Ratings on Two Classes
DIVERSIFIED REIT: Fitch Takes Rating Actions on Various Classes
DRYDEN VI-LEVERAGED: Moody's Upgrades Ratings on Two Classes
DUKE FUNDING: Fitch Downgrades Ratings on Three Classes of Notes
FORD CREDIT: Fitch Upgrades Ratings on Three Classes of Notes
FORTRESS ABS: Moody's Upgrades Ratings on Five Classes of Notes
FREEDOM CERTIFICATES: S&P Raises Ratings on Two Certs. to 'B-'
FRONTIER FUNDING: S&P Junks Rating on Class A Notes From 'BB-'
GMAC COMMERCIAL: Moody's Affirms Ratings on Seven 2004-C2 Certs.
GMAC COMMERCIAL: S&P Downgrades Ratings on 12 2006-C1 Securities
GREENWICH CAPITAL: S&P Downgrades Ratings on 13 2005-GG3 CMBS
GTP TOWERS: Fitch Issuer Presale Report on Series 2010-1 Notes
GTP TOWERS: Moody's Assigns Ratings on Two Classes of Notes
GUGGENHEIM STRUCTURED: Fitch Cuts Ratings on Five 2005-1 Notes
HOME LOAN: S&P Corrects Ratings on Various 2006-HI4 Notes
HOUSING & REDEV'T: Moody's Cuts Rating on $2,515,000 Bonds to Ba1
HUNTINGTON CDO: Moody's Downgrades Ratings on Three Classes
INDIANAPOLIS: Moody's Downgrades Ratings on Bonds to 'Ba2'
INDOSUEZ CAPITAL: Fitch Downgrades Rating on Class C Notes
INFINITI SPC: S&P Downgrades Ratings on CPORTS 2006-1 Notes to 'D'
JER CRE: S&P Downgrades Ratings on 10 Classes of 2006-2 Notes
JPMORGAN CHASE: S&P Downgrades Ratings on 15 2005-LDP2 Securities
KEOKUK AREA: Moody's Affirms 'B3' Rating on $5.8 Mil. Bonds
LB-UBS COMMERCIAL: Fitch Changes Ratings on Six 2005-C5 Notes
LB-UBS COMMERCIAL: Moody's Confirms Ratings on 2001-C2 Certs.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on Three 2000-C4 CMBS
LEHMAN BROTHERS: Fitch Affirms Ratings on 24 Classes of Notes
LEHMAN BROTHERS: Fitch Takes Rating Actions on 20 Classes
LOMBARD PUBLIC: S&P Cuts Ratings on $53.995 Mil. Bonds to 'B-'
MARYLAND DEPARTMENT: Moody's Cuts Ratings on 2000 A Bonds to 'Ba1'
MORGAN STANLEY: Moody's Affirms Ratings on Eight 2001-IQ Certs.
MORGAN STANLEY: S&P Downgrades Rating on Class IB Notes to 'CC'
MORGAN STANLEY: S&P Downgrades Ratings on 17 2005-HQ7 Securities
MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on 2007-18 Notes
MORGAN STANLEY: S&P Withdraws 'CCC+' Rating on 2006-18 Notes
N-STAR IX: Fitch Downgrades Ratings on Six Classes of Notes
N-STAR VII: Fitch Downgrades Ratings on Seven Classes of Notes
NAUTILUS RMBS: Fitch Downgrades Ratings on Six Classes of Notes
NAUTILUS RMBS: Fitch Downgrades Ratings on Three Classes
NEVADA DEPARTMENT: Fitch Cuts Rating on $451.4 Mil. Bonds to 'D'
NEW YORK CITY INDUSTRIAL: Moody's Cuts Bonds to 'Ba1'
NYCIDA: S&P Cuts Rating on $547.6MM PILOT Bonds 2006 Series to BB+
NORTH STREET: Fitch Downgrades Ratings on 2002-3A Notes
PPM AMERICA: Fitch Affirms Ratings on Two Classes of Notes
REAL ESTATE: Moody's Affirms Ratings on 18 2007-1 Certificates
RESERVOIR FUNDING: Fitch Downgrades Ratings on Three Classes
REVE SPC: S&P Withdraws 'CCC-' Rating on Series 45 Notes
RFC CDO: Fitch Downgrades Ratings on Five Classes of Notes
RYLAND ACCEPTANCE: Fitch Downgrades Ratings on Class F to 'C/RR6'
SCHOONER TRUST: Moody's Affirms Ratings on 13 2007-8 Certs.
SCIENS CFO: Fitch Affirms Ratings on Four Tranches of Notes
SEQUILS-CENTURION V: Moody's Upgrades Ratings on Two Classes
SEQUOIA MORTGAGE: Fitch Affirms Ratings on Six Classes of Notes
SIGNUM VERDE: Fitch Downgrades Ratings on Series 2007-03 Notes
SPECTRUM BRANDS: S&P Puts Ratings on CreditWatch Positive
ST. PAUL HOUSING: Moody's Cuts Rating on $2,950,000 bonds to Ba1
TIERS SYNTHETIC: Moody's Downgrades Ratings on Series 2008-1 Notes
US VIRGIN: Fitch Takes Rating Actions on Bonds
VERTICAL MILLBROOK: Moody's Downgrades Ratings on Two Classes
WACHOVIA AUTO: S&P Raises Ratings on Two Classes of 2006-A Notes
WACHOVIA BANK: S&P Downgrades Ratings on 14 2005-C18 Securities
ZOO HF3: Fitch Affirms Ratings on Five Tranches of Notes
* S&P Downgrades Ratings on 57 Tranches From 12 CLO Transactions
* S&P Downgrades Ratings on 58 Tranches From 11 CLO Transactions
* S&P Downgrades Ratings on 77 Tranches From 16 CLO Transactions
* S&P Downgrades Ratings on 91 Classes From 27 RMBS Transactions
*********
AMERICREDIT FINANCIAL: Moody's Upgrades Ratings on Five Deals
-------------------------------------------------------------
Moody's upgrades five transactions sponsored by AmeriCredit
Financial Services, Inc., between 2005 and 2006. The first two
transactions from 2005 are performing stronger than initial
expectations, while the remaining transactions are performing
moderately weaker than originally expected. Credit enhancement as
a percent of the current pool balance in these transactions has
increased substantially due to the non-declining nature of the
cash reserve accounts. The credit enhancement is expected to
continue increasing concurrently with the amortization of the
collateral pools.
For the transactions that closed during the first half of 2005,
Moody's expects performance to be stronger than initial
expectations. The AmeriCredit Automobile Receivables Trust 2005-1
and 2005-B-M transactions are expected to incur lifetime
cumulative net losses of 11.50% and 12.25%, respectively, compared
to original expectations of 13.75% and 13.25%, respectively. For
AmeriCredit 2005-C-F, 2005-D-A, and 2006-1, Moody's expects their
CNL to be 14.00%, 14.50%, and 15.50%, as compared to initial
expectations of 12.50%, 12.00%, and 12.75%, respectively.
Total hard credit enhancement (excluding available excess spread)
for the upgraded transactions ranges from approximately 29% to 68%
of the outstanding collateral pool balances. The transactions
also benefit from excess spread, which ranged between
approximately 9% and 10% on an annual basis. Updated remaining
expected losses range between approximately 6% and 11% of the
outstanding collateral pool balances. As stated earlier, these
transactions benefit from non-declining reserve accounts which
range from approximately 10% to 34% of the outstanding pool
balances, are expected to continue increasing as the pools pay
down further.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given
range may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated when the related
securities ratings were issued. Even so, a deviation from the
expected range will not necessarily result in a rating action nor
does performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption
uncertainty are the current macroeconomic environment, in which
unemployment continues to rise, and weakness in the used vehicle
market. Moody's currently views the used vehicle market as
stronger now than it was a year ago, when the uncertainty relating
to the economy as well as the future of the U.S auto manufacturers
was significantly greater. Overall, Moody's central global
scenario remains "Hook-shaped" for 2010 and 2011; Moody's expect
overall a sluggish recovery in most of the world largest
economies, returning to trend growth rate with elevated fiscal
deficits and persistent unemployment levels.
The underlying ratings reflect the intrinsic credit quality of the
notes in the absence of the transactions' guarantees from monoline
bond insurers. The current ratings on the below notes are
consistent with Moody's practice of rating insured securities at
the higher of the guarantor's insurance financial strength rating
and any underlying rating.
Complete rating actions are:
Issuer: AmeriCredit Automobile Receivables Trust 2005-1
-- Pool Current Expected Cumulative Net Losses: 11.50% (as a
percentage of the original loan pool balance)
-- Class Description: Class D
-- Current Rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A1
Issuer: AmeriCredit Automobile Receivables Trust 2005-B-M
-- Pool Current Expected Cumulative Net Losses: 12.25% (as a
percentage of the original loan pool balance)
-- Class Description: Class A-4
-- Current Rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A1
-- Financial Guarantor: MBIA Insurance Corporation (B3;
previously on 2/18/2009 Downgraded to B3 from Baa1)
-- Underlying rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A1
Issuer: AmeriCredit Automobile Receivables Trust 2005-C-F
-- Pool Current Expected Cumulative Net Losses: 14.00% (as a
percentage of the original loan pool balance)
-- Class Description: Class A-4
-- Current Rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A2
-- Financial Guarantor: Assured Guaranty Municipal Corp (f/k/a
Financial Security Assurance Inc.) (Aa3; previously on
11/21/2008 Downgraded to Aa3 from Aaa)
-- Underlying rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A2
Issuer: AmeriCredit Automobile Receivables Trust 2005-D-A
-- Pool Current Expected Cumulative Net Losses: 14.50% (as a
percentage of the original loan pool balance)
-- Class Description: Class A-4
-- Current Rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A3
-- Financial Guarantor: Ambac Assurance Corporation (Caa2;
previously on 7/29/2009 Downgraded to Caa2 from Ba3)
-- Underlying rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A3
Issuer: AmeriCredit Automobile Receivables Trust 2006-1
-- Pool Current Expected Cumulative Net Losses: 15.50% (as a
percentage of the original loan pool balance)
-- Class Description: Class C
-- Current Rating: Aaa, previously on 12/10/2009 Placed on
Review for Upgrade from A2
-- Description: Class D
-- Current Rating: Aa1, previously on 12/10/2009 Placed on
Review for Upgrade from Baa2
ANTARCTICA CFO: S&P Affirms Ratings on Two Classes of Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A and B notes from Antarctica CFO I Ltd. and the class A
notes from Zoo HF 3 PLC and removed them from CreditWatch with
negative implications. Five other classes from these transactions
remain on CreditWatch with negative implications. Both
transactions are collateralized fund obligations backed by
diversified pools of hedge funds. This investment vehicle type is
often referred to as a "fund of funds."
S&P affirmed its ratings and removed them from CreditWatch
negative following improvements in the performance and liquidity
of the two transactions. Overcollateralization, which provides
credit protection to the CFOs' liabilities, has been improving, in
S&P's opinion, for the past several months. Both Antarctica CFO I
Ltd. and Zoo HF 3 PLC breached a test that caused them to redeem
all of their underlying hedge fund investments and apply the
proceeds toward repaying their liabilities in sequential order.
S&P believes that the credit protection for the classes with
affirmed ratings is consistent with the current rating levels.
The extent to which the rated classes of notes receive full
principal and accrued but unpaid interest will depend, S&P
believe, on the amount of cash proceeds they ultimately receive
from the redemption process. Standard & Poor's rating methodology
factors in the redemption process, and thus the triggering of a
liquidation event does not, in and of itself, necessarily lead to
a downgrade. However, if the timing of the redemption process
differs materially from S&P's current assumptions, the amount of
cash flow available to repay the rated liabilities may also differ
from S&P's assumptions, which could negatively affect its ratings
on the liabilities.
S&P will continue to monitor its rated CFO transactions and take
rating actions as S&P determine appropriate.
Ratings Affirmed And Removed From Creditwatch Negative
Antarctica CFO I Ltd.
Rating
------
Class To From Orig. par amount (mil. EUR)
----- -- ---- ---------------------------
A AA AA/Watch Neg 175.50
B A- A-/Watch Neg 29.25
Zoo HF 3 PLC
Rating
------
Class To From Orig. par amount (mil. EUR)
----- -- ---- ---------------------------
A AA AA/Watch Neg 94.50
Ratings Remaining On Creditwatch Negative
Antarctica CFO I Ltd.
Class Rating Orig. par amount (mil. EUR)
----- ------ ---------------------------
C BB-/Watch Neg 29.25
Zoo HF 3 PLC
Class Rating Orig. par amount (mil. EUR)
----- ------ ---------------------------
B AA/Watch Neg 8.00
C BBB+/Watch Neg 6.50
D CCC/Watch Neg 12.50
E CCC-/Watch Neg 5.50
ARCHIMEDES FUNDING: Fitch Affirms Ratings on Two Classes of Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed two and downgraded three classes of
notes issued by Archimedes Funding III 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', 'Global Criteria for Cash Flow Analysis in
CDOs - Amended', 'Criteria for Structured Finance Recovery
Ratings' and 'Rating Market Value Structures'.
The affirmation of the class C-1 and C-2 notes is due to the
continued amortization of and significant collateral coverage
available to these notes. Since Fitch's last review in July 2008
the class C notes have received almost 91% of their remaining
principal balances, and only 4.7% of their original principal
balances remain outstanding. The notes are well
overcollateralized, as evidenced by the class C
overcollateralization ratio of 488.5% as of the Jan. 20, 2010
trustee report. With $1.8 million of principal cash currently in
the collection account and several assets scheduled to mature in
2010, the class C notes may be paid in full by the end of this
year.
The downgrade of the class D-1, D-2 and D-3 notes is attributable
to the insufficient collateral coverage available to redeem these
notes at maturity. Currently, the class D OC ratio is reported at
just 43.5% versus a trigger of 100.5%. The class D notes remain
current on interest in large part due to the diversion of
principal proceeds to fulfill interest obligations that cannot be
entirely paid through the interest waterfall. Since Fitch's last
review, over $2 million of principal proceeds have been used
toward paying class D interest. This principal diversion is
expected to continue, and will further reduce the ultimate
principal available to redeem the class D notes. Fitch downgrades
the class D notes to 'C', as a principal shortfall at maturity
appears inevitable.
The class D notes were assigned Recovery Ratings in this rating
review based on the total discounted future cash flows projected
to be available to these bonds in a base-case default scenario.
Fitch considered the projected market value risk of long-dated
assets that will be sold at or before the stated maturity of the
transaction, in addition to expected losses on the performing
portfolio, when determining ultimate recovery expectations for the
notes. 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.
Archimedes III is a cash flow collateralized debt obligation that
closed on Nov. 2, 1999 and is managed by West Gate Horizons
Advisors, LLC. Archimedes III exited its reinvestment period in
November 2004 and currently has a portfolio consisting primarily
of senior secured loans.
Fitch has taken these rating actions on these notes. Rating
actions include affirmations, downgrades and assignment of
Recovery Ratings:
-- $233,676 class C-1 affirmed at 'AAA'; Outlook Stable;
-- $3,972,484 class C-2 affirmed at 'AAA'; Outlook Stable;
-- $4,786,408 class D-1 downgraded to 'C/RR3' from 'CCC/DR3';
-- $22,017,479 class D-2 downgraded to 'C/RR3' from 'CCC/DR3';
-- $16,273,788 class D-3 downgraded to 'C/RR3' from 'CCC/DR4'.
AVIATION CAPITAL: Fitch Takes Rating Actions on Four Classes
------------------------------------------------------------
Fitch Ratings has taken these rating actions on Aviation Capital
Group Trust I:
-- Class A-1 notes downgraded to 'B' from 'BBB-'; assigned
Outlook Stable;
-- Class B-1 notes downgraded to 'C/RR6' from 'BB-';
-- Class C-1 notes downgraded to 'C/RR6' from 'CCC/DR1';
-- Class D-1 notes revised to 'C/RR6' from 'C/DR6'.
Consistent with Fitch's aircraft operating lease criteria, the
analysis of ACG involved forecasting the expected lease cash flow
to be available to service debt over the remaining life of the
transaction. Fitch's expected cash flow takes several factors
into account, including aircraft age, value, Fitch's expectations
for the commercial aviation industry, remarketing expenses and
downtime, and perceived liquidity of the aircraft in the portfolio
to determine future lease expectations. Fitch considered varying
aircraft useful life assumptions due to the age of the ACG
portfolio and the lease terms currently in place.
The downgrade of the class A-1 notes reflects Fitch's expectation
that lease rates will continue to be under pressure for most of
the aircraft in the portfolio. The class A-1 notes were able to
receive full interest and principal payments in accordance with
the terms of the transaction documents under Fitch's expected base
case 'B' scenarios.
The downgrades and revision of the class B-1, C-1, and D-1 notes
reflect the continuing interest shortfalls which began
accumulating following the depletion of the liquidity reserve
available to support the subordinate notes. Under Fitch's
expected base case cash flow scenarios, the class B-1 notes
receive minor cash allocation while the C-1 and D-1 notes receive
no further disbursements due to their subordinate position in the
waterfall. As such, recovery prospects for the subordinate notes
are minimal and are thus assigned a Recovery Rating of 'RR6',
consistent with Fitch's 'Criteria for Structured Finance Recovery
Ratings', dated Aug. 17, 2009.
BEAR STEARNS: Moody's Affirms Ratings on Nine 2007-PWR15 Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
downgraded 17 classes of Bear Stearns Commercial Mortgage
Securities Inc, Commercial Mortgage Pass-Through Certificates,
Series 2007-PWR15. The affirmations are due to key rating
parameters, including Moody's loan to value ratio, Moody's
stressed debt service coverage ratio and the Herfindahl Index,
remaining within acceptable ranges.
The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from specially serviced and
highly leveraged watchlisted loans. The largest specially
serviced loan is the World Market Center Loan, which represents
12.5% of the pool's current outstanding balance and accounts for a
significant portion of Moody's estimated losses. The performance
of the loan collateral has declined significantly since
securitization due to the economic recession. Moody's has
evaluated a number of possible outcomes for this loan, including
potential loan modification scenarios, in determining a loss
estimate for this loan.
On October 22, 2009, Moody's placed 17 classes on review for
possible downgrade due to higher expected losses for the pool.
This action concludes Moody's review. The rating action is the
result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the January 11, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $2.77 billion
from $2.81 billion at securitization. The Certificates are
collateralized by 206 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans representing
40% of the pool. The pool includes two loans with investment-
grade underlying ratings, representing 6% of the pool. At
securitization, four additional loans, representing 1% of the
pool, also had underlying ratings. However, due to declines in
performance which resulted in increased leverage, these loans are
now analyzed as part of the conduit pool.
Forty-eight loans, representing 22% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
One loan has been liquidated from the pool, resulting in a
$1.9 million realized loss (63% loss severity). Currently, eight
loans, representing 17% of the pool, are in special servicing.
The largest specially serviced loan is the World Market Center II
Loan ($345.0 million -- 12.5% of the pool), which is secured by a
1.4 million square foot home furniture and furnishing accessories
design center and showroom located in downtown Las Vegas, Nevada.
The loan was transferred to special servicing in September 2009
due to imminent default. The loan is current; however, the
borrower has indicated that cash flow will be insufficient to
cover debt service in early 2010. The property is largely leased
to furniture manufacturers who showcase their products to
retailers and design consultants through shows which are typically
held twice a year. Consumer spending for furniture and home
furnishings has declined during the economic recession and has
directly negatively impacted the property's tenant base. As of
June 2009, the property was 75% leased compared to 96% at
securitization.
The second largest specially serviced loan is the Sheraton
Universal Hotel Loan ($84.0 million -- 3.0% of the pool), which is
secured by a 436-room, full service hotel located in Universal
City, California. The loan was transferred to special servicing
in July 2009 due to imminent default and the loan is now 90+ days
delinquent. For the nine months ending September 2009, the
hotel's occupancy and revenue per available room were 68% and
$109, respectively, compared to 79% and $134 at securitization.
Of the remaining six specially serviced loans, four loans are real
estate owned or in the process of foreclosure. Moody's estimates
an aggregate $232.9 million loss for all specially serviced loans
(49% loss severity on average).
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on four poorly
performing loans (2.2% of the pool). Moody's estimates an
$18.2 million aggregate loss for these troubled loans (30% loss
severity on average). Moody's rating action recognizes potential
uncertainty around the timing and magnitude of loss from these
troubled loans.
Moody's was provided with full-year 2008 and partial year 2009
operating results for 94% of the pool. Excluding specially
serviced and troubled loans, Moody's weighted average LTV ratio is
114% compared to 138% at Moody's prior review in February 2009.
Moody's prior review was part of Moody's first quarter 2009
ratings sweep of 2006-2008 vintage conduit / fusion transactions.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCR are 1.21X and 0.90X, respectively, compared to
1.11X and 0.79X at last review. Moody's actual DSCR is based on
Moody's net cash flow 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 35 compared to 37 at last review.
The largest loan with an underlying rating is the AMB-SGP, L.P.
Portfolio Loan ($152.2 million -- 5.5% of the pool), which
represents a pari passu interest in a $190.3 million loan. The
loan is secured by 20 cross-collateralized and cross-defaulted
industrial properties totaling 6.5 million square feet located in
six states (CA, GA, IL, NJ, NY, and TX). The property is also
encumbered by a $105.0 million B-note which is held outside of the
trust. The portfolio was 91% leased as of June 2009 compared to
95% at securitization. Despite the decline in occupancy,
performance has been stable since securitization. Moody's current
underlying rating and stressed DSCR are Baa1 and 1.50X,
respectively, compared to Baa1 and 1.37X at securitization.
The second loan with an underlying rating is the Commerce
Crossings Nine Loan ($15.1 million -- 0.5% of the pool), which is
secured by a 500,000 square foot industrial building located in
Louisville, Kentucky. The property is 100% leased to Solectron
USA, Inc. through September 2014. Moody's current underlying
rating and stressed DSCR are Baa3 and 1.43X, respectively,
compared to Baa3 and 1.30X at securitization.
The four loans that had underlying ratings at securitization are
the Park Square Loan ($10.0 million - 0.4% of the pool), the
Bristol Hotel Loan ($7.2 million -- 0.3% of the pool), the
Festival Apartments Loan ($6.5 million -- 0.2% of the pool), and
the Kossman Building Loan ($4.9 million -- 0.2% of the pool). Due
to declines in performance and increased leverage, these loans no
longer have investment-grade underlying ratings and were analyzed
as part of the conduit pool.
The top three performing conduit loans represent 10% of the pool.
The largest conduit loan is the 1325 G Street Loan ($100.0 million
-- 3.6% of the pool), which is secured by an office building with
307,000 square feet of net rentable area located in Washington,
DC. The property was 97% leased as of September 2009 compared to
85% at securitization. Major tenants include Neighborhood
Reinvestment Corp. (21% of the NRA; lease expiration May 2013),
and the GSA-FBI (20% of the NRA; lease expiration December 2011).
Moody's LTV and stressed DSCR are 110% and 0.84X, respectively,
compared to 129% and 0.75X at last review.
The second largest conduit loan is the Cherry Hill Town Center
Loan ($88.0 million -- 3.2% of the pool), which is secured by a
511,000 square foot retail center located in Cherry Hill, New
Jersey. The property was 99% leased as of June 2009 compared to
97% at securitization. The center is anchored by Home Depot and
Wegman's. Both tenants have long term leases. Moody's LTV and
stressed DSCR are 108% and 0.83X, respectively, compared to 124%
and 0.76X at last review.
The third largest conduit loan is the Renaissance Orlando at Sea
World Loan ($85.6 million -- 3.1% of the pool), which is secured
by a 778-room full service hotel located in Orlando, Florida.
Occupancy and RevPar for the nine month period ending September
2009 were 67% and $93, respectively, compared to 70% and $104 at
securitization. Moody's LTV and stressed DSCR are 119% and 0.98X,
respectively, compared to 147% and 0.81X at last review.
Moody's rating action is:
-- Class A-1, $57,559,846, affirmed at Aaa; previously assigned
at Aaa on 4/9/2007
-- Class A-2, $254,000,000, affirmed at Aaa; previously assigned
at Aaa on 4/9/2007
-- Class A-3, $71,800,000, affirmed at Aaa; previously assigned
at Aaa on 4/9/2007
-- Class A-AB, $101,500,000, affirmed at Aaa; previously
assigned at Aaa on 4/9/2007
-- Class A-4, $975,216,000, affirmed at Aaa; previously assigned
at Aaa on 4/9/2007
-- Class A-4FL, $170,000,000, affirmed at Aaa; previously
assigned at Aaa on 4/9/2007
-- Class A-1A, $300,754,995, affirmed at Aaa; previously
assigned at Aaa on 4/9/2007
-- Class X-1, Notional, affirmed at Aaa; previously assigned at
Aaa on 4/9/2007
-- Class X-2, Notional, affirmed at Aaa; previously assigned at
Aaa on 4/9/2007
-- Class A-M, $155,710,000, downgraded to A1 from Aaa;
previously placed on review for possible downgrade on
10/22/2009
-- Class A-MFL, $125,000,000, downgraded to A1 from Aaa;
previously placed on review for possible downgrade on
10/22/2009
-- Class A-J, $117,113,000, downgraded to Ba2 from A1;
previously placed on review for possible downgrade on
10/22/2009
-- Class A-JFL, $125,000,000, downgraded to Ba2 from A1;
previously placed on review for possible downgrade on
10/22/2009
-- Class B, $52,633,000, downgraded to B3 from A3; previously
placed on review for possible downgrade on 10/22/2009
-- Class C, $28,072,000, downgraded to Caa2 from Baa1;
previously placed on review for possible downgrade on
10/22/2009
-- Class D, $38,597,000, downgraded to Ca from Baa3; previously
placed on review for possible downgrade on 10/22/2009
-- Class E, $28,071,000, downgraded to C from Ba1; previously
placed on review for possible downgrade on 10/22/2009
-- Class F, $38,598,000, downgraded to C from Ba3; previously
placed on review for possible downgrade on 10/22/2009
-- Class G, $28,071,000, downgraded to C from B2; previously
placed on review for possible downgrade on 10/22/2009
-- Class H, $28,071,000, downgraded to C from B3; previously
placed on review for possible downgrade on 10/22/2009
-- Class J, $10,527,000, downgraded to C from Caa1; previously
placed on review for possible downgrade on 10/22/2009
-- Class K, $7,017,000, downgraded to C from Caa1; previously
placed on review for possible downgrade on 10/22/2009
-- Class L, $10,527,000, downgraded to C from Caa2; previously
placed on review for possible downgrade on 10/22/2009
-- Class M, $3,509,000, downgraded to C from Caa2; previously
placed on review for possible downgrade on 10/22/2009
-- Class N, $7,018,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 10/22/2009
-- Class O, $7,018,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 10/22/2009
BTC SPV: S&P Puts 'B-' Note Ratings on CreditWatch Negative
-----------------------------------------------------------
Standard & Poor's Ratings Services placed its 'B-' ratings on BTC
SPV (Cayman) 2001-1 Ltd.'s class A-6 through A-18 zero-coupon
notes on CreditWatch with negative implications.
The ratings on each of the class A-6 through A-18 notes are
dependent on the lowest of S&P's ratings on the reference
obligations: Ansonia CDO 2006-1 Ltd.'s class A-FX notes ('BB/Watch
Neg'), Alternative Loan Trust 2006-OA10's class 1-A-1 mortgage
pass-through certificates ('B-/Watch Neg'), CWABS Asset-Backed
Certificates Trust 2006-2's class 2-A-3 certificates ('AAA/Watch
Neg'), and Lehman XS Trust Series 2007-16N's class 2-A2 mortgage
pass-through certificates ('BB-/Watch Neg'); and S&P's ratings on
the collateral securities: U.S. Treasury bonds ('AAA') and Freddie
Mac bonds ('AAA').
The rating actions reflect the Feb. 2, 2010, placement of S&P's
'B-' rating on Alternative Loan Trust 2006-OA10's class 1-A-1
mortgage pass-through certificates on CreditWatch with negative
implications.
BTC SPV (Cayman) 2001-1's class A-1 through A-5 notes have been
retired and, therefore, are no longer outstanding.
Ratings Placed On Creditwatch Negative
BTC SPV (Cayman) 2001-1 Ltd.
Rating
------
Class To From
----- -- ----
A-6 B-/Watch Neg B-
A-7 B-/Watch Neg B-
A-8 B-/Watch Neg B-
A-9 B-/Watch Neg B-
A-10 B-/Watch Neg B-
A-11 B-/Watch Neg B-
A-12 B-/Watch Neg B-
A-13 B-/Watch Neg B-
A-14 B-/Watch Neg B-
A-15 B-/Watch Neg B-
A-16 B-/Watch Neg B-
A-17 B-/Watch Neg B-
A-18 B-/Watch Neg B-
C-BASS 1999-3: Fitch Takes Various Rating Actions on Three RMBS
---------------------------------------------------------------
Fitch Ratings has taken various rating actions on the C-Bass 1999-
3 RMBS resecuritization trust as a result of actions taken on the
underlying classes, some of which have taken losses. The affected
trust represents a beneficial ownership interest in a separate
trust fund, which includes bonds that have been affirmed, assigned
a Negative Rating Outlook or downgraded.
Fitch has taken these actions on the C-Bass 1999-3 Re-Remic
transaction:
-- Class A (cusip 124860CB1) downgraded to 'BBB' from 'AA';
assigned Outlook Negative;
-- Class M1 (cusip 124860CC9) downgraded to 'BB' from 'A-';
assigned Outlook Negative;
-- Class M2 (cusip 124860CD7) downgraded to 'BB' from 'BBB';
assigned Outlook Negative;
-- Class M3 (cusip 124860CE5) downgraded to 'BB' from 'BBB';
assigned Outlook Negative;
-- Class M4 (cusip 124860CF2) downgraded to 'CCC/RR2' from 'BB';
-- Class M5 (cusip 124860CG0) downgraded to 'CCC/RR2' from
'BB+';
-- Class B1 (cusip 124860CH8) downgraded to 'CCC/RR2' from
'BB-';
-- Class B2 (cusip 124860CJ4) Recovery Rating (RR) revised to
'CCC/RR3' from 'CCC/DR1';
-- Class B3 (cusip 124860CK1) downgraded to 'D/RR4' from
'CC/DR3';
-- Class B4 (cusip 124860CL9) affirmed at 'D/RR6';
-- Class B5 (cusip 124860CM7) downgraded to 'D/RR6' from 'B-'.
The underlying deals consist of:
Wisconsin Avenue Securities Trust 1998-W2
-- Class B4 (cusip 31359UPK5);
-- Class B5 (cusip 31359UPL3);
Wisconsin Avenue Securities Trust 1998-W3
-- Class B4 (cusip 31359UPZ2);
Wisconsin Avenue Securities Trust 1998-W5
-- Class B4 (cusip 31359UWH4);
-- Class B5 (cusip 31359UWJ0);
Golden National Mortgage Loan Asset Backed Cert. 1998-GN3
-- Class M1 (cusip 589929SF6);
-- Class M2 (cusip 589929SG4);
Prudential Home Mortgage Securities Inc. 1992-A
-- Class B2_4 (cusip 743948H4);
-- Class B3_1 (cusip 743948AR2);
-- Class B3_2 (cusip 743948AJ0);
-- Class B3_3 (cusip 743948AK7);
-- Class B3_4 (cusip 743948AL5).
To review ratings on the Re-REMIC transactions, Fitch first
determined each collateral pool's group level projected base-case
and rating stressed default and loss severity assumptions for the
underlying transactions. Fitch uses a proprietary loan-level loss
model as described in its May 7, 2009 report 'ResiLogic: U.S.
Residential Mortgage Loss Model Criteria'.
After determining each underlying pools' projected base-case and
stressed scenario loss assumptions, Fitch performs cash flow
analysis to ascertain the amount of collateral loss that the Re-
REMIC transaction takes in the 'AAA-B' rating stresses. Fitch's
cash flow assumptions are described in the reports 'U.S. Prime
RMBS Surveillance Criteria' (March 30, 2009) and 'U.S. RMBS Alt-A
Surveillance Criteria' (Dec. 15, 2008). Fitch's Cash flow
Criteria is described in 'U.S RMBS Cash Flow Analysis Criteria'
published on Aug. 20, 2009.
Following a review of Re-REMIC cash flows, Fitch took various
rating actions on the Re-REMIC classes, which included
affirmations, downgrades, Rating Outlook revisions and RR
revisions based on Fitch's Aug. 20, 2009 report, 'U.S. Residential
Mortgage Re-REMIC Criteria'.
In addition to the long-term credit rating on each rated class,
Fitch has also assigned or revised approximately 115 RRs on bonds
expected to incur impairment. Fitch assigned an 'RR2' rating to
the majority of Re-REMIC classes that are currently rated below
'B', implying a discounted projected cash flow of 70%-90% of the
current par amount.
C-BASS CBO: Moody's Downgrades Ratings on Two Classes of Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of two classes of Notes issued by C-BASS CBO VII, Ltd.
The Notes affected by the rating actions are:
-- US$20,000,000 Class C Third Priority Secured Floating Rate
Deferrable Interest Notes Due 2038 (current balance of
$20,000,000); Downgraded to Ba2; Previously on September 6,
2009 Downgraded to Baa3
-- US$27,000,000 Class D Fourth Priority Secured Floating Rate
Deferrable Interest Notes Due 2038 (current balance of $;
Downgraded to Caa2; Previously on September 6, 2009
Downgraded to B3
C-BASS CBO VII, Ltd., is a collateralized debt obligation backed
primarily by a portfolio of residential mortgage backed
securities, collateralized debt obligations, and other types of
assets backed securities.
The rating downgrade actions reflect deterioration in the credit
quality of the underlying portfolio. Credit deterioration of the
collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor). Moody's notes that in the case of C-BASS CBO VII,
Ltd, the trustee reports a WARF of 2672 as of the December 2009
report, compared to a WARF of 2059 reported in August 2009.
Additionally, there has been an increase in defaulted underlying
assets by more than $20 million since Moody's last review of the
transaction. More than 39% of the collateral assets do not have a
Moody's public rating.
In deriving its ratings, Moody's uses the collateral instrument's
current rating-based expected loss, Moody's recovery rate table,
and the original rating of the instrument along with its average
life to infer an unadjusted default probability. Moody's
explained that in addition to the quantitative factors that are
explicitly modeled, qualitative factors are part of the Moody's
rating committee considerations. These qualitative factors
include but are not limited to the structural protections in the
transaction, the recent performance of the transaction in the
current market environment, how legal risks and issues are
addressed in transaction documentation, the collateral manager's
track record, and the potential for selection bias in the
portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision
CBA COMMERCIAL: Moody's Downgrades Ratings on Seven 2005-1 Certs.
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes
of CBA Commercial Assets, Small Balance Commercial Mortgage Pass-
Through Certificates Series 2005-1 due to higher expected losses
for the pool resulting from realized and anticipated losses from
specially serviced loans. The rating action is the result of
Moody's on-going surveillance of commercial backed securities
transactions.
This transaction is classified as a small balance CMBS
transaction. The largest loan is $2.4 million, which represents
2% of the outstanding pool balance. Small balance transactions,
which represent less than 1% of the Moody's rated conduit / fusion
universe, have generally experienced higher defaults and losses
than traditional conduit and fusion transactions.
As of the January 25, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 53%
to $101.4 million from $214.9 million at securitization. The
Certificates are collateralized by 280 mortgage loans ranging in
size from less than 1% to 2% of the pool, with the top ten loans
representing 16% of the pool.
To date, 45 loans have been liquidated from the pool, resulting in
an aggregate loss of $9.7 million (53% loss severity on average).
These losses have resulted in the elimination of Classes M-9
through M-7 and in a 67% principal loss for Class M-6. Currently,
there are 56 loans, representing 20% of the pool, in special
servicing. Moody's has estimated an aggregate $11.8 million loss
for the specially serviced loans (60% loss severity on average).
Moody's rating action is:
-- Class A, $76,260,215, downgraded to B3 from Aa2; previously
downgraded to Aa2 from Aaa on 2/9/2009
-- Class X-1, Notional, downgraded to B3 from Aa2; previously
downgraded to Aa2 from Aaa on 2/9/2009
-- Class X-2, Notional, downgraded to B3 from Aa2; previously
downgraded to Aa2 from Aaa on 2/9/2009
-- Class M-1, $7,520,000, downgraded to Caa2 from A3; previously
downgraded to A3 from A1 on 2/9/2009
-- Class M-2, $5,640,000, downgraded to Ca from Ba2; previously
downgraded to Ba2 from Baa3 on 2/9/2009
-- Class M-3, $2,690,000, downgraded to C from B2; previously
downgraded to B2 from Ba3 on 2/9/2009
-- Class M-4, $3,760,000, downgraded to C from Caa3; previously
downgraded to Caa3 from B3 on 2/9/2009
CBA COMMERCIAL: S&P Downgrades Rating on Class M-4 Certs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
M-4 commercial mortgage pass-through certificate from CBA
Commercial Assets LLC's series 2004-1 to 'D' from 'CCC+'.
The downgrade of the class M-4 certificate reflects a $16,883
principal loss to the outstanding principal balance of the
security. The loss on class M-4 was reflected on the Jan. 25,
2010, remittance report following the liquidation of two loans
with the special servicer, Midland Loan Services Inc. The
remaining principal balance on the class was $3,173,116.
The first asset, 8000 S. Marshfield Ave, had a total outstanding
balance of $377,994 and was secured by a 15-unit multifamily
property in Chicago. According to the trustee remittance report,
the property was liquidated with a 67.0% loss severity, resulting
in a $270,803 realized loss to the trust.
The second asset, 111-08 Farmers Blvd., had a total outstanding
balance of $230,928 and was secured by a 4,218-sq.-ft. retail
property in St. Albans, N.Y. According to the trustee remittance
report, the property was liquidated with a 96.3% loss severity,
resulting in a $236,081 realized loss to the trust.
According to the remittance report, the collateral pool consisted
of 124 assets with an aggregate trust balance of $41.9 million,
down from 265 assets totaling $102.0 million at issuance. There
are 18 assets totaling $5.0 million (11.9%) with the special
servicer. Eight of the assets are in foreclosure (5.3%), eight
are 90-plus-days delinquent (5.3%), one is 60-days delinquent
(0.7%), and one is current (0.7%). According to the remittance
report, the trust has experienced $5.0 million in losses on 22
assets. S&P had lowered its ratings on three other classes to 'D'
before the action.
CITY OF HARRISBURG: Moody's Downgrades Ratings on Bonds to 'B2'
---------------------------------------------------------------
Moody's Investors Service has downgraded to B2 from Ba2 the City
of Harrisburg's long-term general obligation bond rating,
affecting the Moody's rated 1995 Capital Appreciation Bonds,
Series A. The rating has been removed watchlist for possible
downgrade and a negative outlook has been assigned. The final
city payment on its outstanding 1995 CABs Series A bond is due on
April 1, 2010, as the remaining maturities have been refunded and
escrowed to maturity.
The downgrade to B2 reflects the city's weak plan to address the
significant guaranteed debt service obligations of the city-owned
Resource Recovery Facility in 2010, which may result in the city's
non-payment on its GO guaranty of the RRF bonds. To date, the
city or Dauphin County (as second guarantor of the RRF's 2003D-1,
2003D-2, and 2003E bonds and their swaps, as well as the
$35 million 2007 working capital loan) have either directly paid
or utilized a debt service reserve fund to ensure all debt service
payments to bondholders were made on the RRF's approximately
$282 million of total outstanding debt. Despite this history of
timely payment, the RRF's various DSRFs are expected to be fully
depleted in 2010, with some already depleted in 2009, and the city
may not have sufficient funds to pay its guaranteed debt service
payments when due at various points in 2010. The drawn DSRFs are
not expected to be replenished, despite a requirement to do so in
the various bond indentures, resulting in another technical
default under the city's RRF debt guaranty agreements. The
downgrade to B2 also reflects the recent discussions with the RRF,
city, county, and the RRF bond insurer and surety provider Assured
Guaranty Municipal Corp. (insurance financial strength rating
Aa3/negative outlook) to resolve the RRF problems. The rating
also incorporates the city's highly leveraged and stagnant tax
base with a notable tax exempt component, low income and wealth
levels, high poverty, and above average unemployment.
The negative outlook reflects Moody's expectation that the city
will be challenged to implement its emergency short-term financial
plan and long-term financial recovery plan without dramatic
solutions (including a significant property tax increase of two
times the current levy and/or sale or lease of city assets),
introducing the possibility of payment default on the guaranteed
RRF bonds in the next year. Should a payment default occur,
Moody's believes prospects for bondholder recovery will be high,
although the timing of such a recovery remains unclear.
Specifically, net of available debt service reserve funds, the
city has approximately $5.9 million of RRF guaranteed debt service
payments due in 2010 for outstanding guaranteed RRF bonds/loans
that do not also have a county guaranty. This represents 9% of
the city's 2010 budget and will require severe expenditure cuts
and the use of nearly all available reserves and cash in order to
finance.
City Implementing Consultant's Short Term Plan Now And Expects To
Implement Long Term Plan Over Time
The city has commissioned a consultant to develop both an
emergency one-year plan and a five-year long-term financial plan.
The consultant was financed through the state's Early Intervention
Program, a subprogram of the Municipal Financial Recovery Act,
also known as the Financially Distressed Municipalities Act or Act
47. The city has not applied for distressed city status from the
Pennsylvania Department of Community and Economic Development
under Act 47, but this remains a possibility, as does filing for
bankruptcy, although the city's current plans do not entail filing
for either one. The rating could be downgraded further if the
city files for bankruptcy and does not pay on any direct or
guaranteed debt obligation.
The consultant's emergency short term plan addresses immediate
cash flow concerns by calling for the city to re-open and adopt a
new balanced 2010 budget, accelerate utility transfer payments,
and appropriate the projected $2.8 million of 2009 year-end fund
balance for early RRF debt payments. The plan also calls for
Dauphin County to pay on its secondary guarantees, the authority's
bond insurers to waive the majority of the debt service reserve
fund replenishment requirements (about $11.7 million) until year-
end (as opposed to one year after the deficiency was identified
per the indenture, as early as June 2010 for some bond series),
and market access to refinance the $35 million working capital
loan due in December. The plan also calls for the immediate
appraisal and eventual sale of various city assets prior to year-
end, which may prove difficult to achieve. Positively, the city's
proposed re-opened 2010 budget includes reasonable revenue
assumptions, a 20% property tax levy increase, the restoration of
the cut $3.1 million water utility transfer, and the maintenance
of a $2 million contingency reserve. The contingency reserve is
likely to be used to pay RRF debt payments by year-end.
Per the consultant's five-year forecast, the city could run a
General Fund cumulative deficit of $19 million through 2015 if no
operational changes are effectuated and a total (General and Debt
Service Funds combined) cumulative deficit of $164 million when
the city's RRF debt service obligations from 2010 to 2015 are
included. This assumes no RRF payment on the debt and
conservative revenue and expenditure growth assumptions.
Excluding fiscal 2010, the city would have to double its millage
rate in 2011 to balance its operating and debt service costs as
well as the city's RRF debt service obligations. The increase is
substantial given that property taxes comprise only 26% of the
city's budget and the city is not expected to dramatically
increase its millage rate over this short time period given the
current economic recession. With the exception of operating
efficiency improvements, the consultant's other proposed long-term
solutions are also dramatic and politically difficult as they
include doubling various user fees and fines, increasing sewer and
water rates by 20%, freezing all wages and operating costs at 2010
levels, doubling the parking tax rate, leasing the parking
facilities, raising county tipping fees, and/or selling assets.
Of note, 32% of city revenue is derived from utility transfers
from the water, sewer, parking, and sanitation operations with
ultimate rate setting authority maintained by the authority that
operates the facilities, thus limiting the city's rate raising
ability.
Long-Term Plan Relies On Sale/Lease Of City Assets And Uncertain
Access To Capital Markets For Refinancing
The city's currently proposed long-term plan to address the RRF's
issues includes selling/leasing city assets to fund drawn DSRFs,
finance near-term debt service payments, and/or retire outstanding
debt; refinancing the $35 million working capital loan maturing in
December 2010; and increasing county solid waste rates that remain
uncertain given the county's rate setting authority over two
thirds of the RRF's solid waste. Moody's believes the city may be
able to refinance the loan at a higher borrowing cost; county
solid waste rate increases will likely be moderate and graduated,
if they occur at all, unless an arbitrator calls for a single
large increase; and the city's lease/sale of its asset is likely
to be difficult in the current economic downturn. As previously
discussed, the city's own revenue raising ability is limited to
higher property taxes and user fees, which the new administration
increased in the new 2010 re-opened proposed budget, yet the
increases were not sufficient to cover the city's guaranteed RRF
debt service payments or DSRF replenishment requirements.
City's Liquidity Deteriorated In 2009 Due To Payment On Guaranteed
Rrf Debt And Unfavorable Arbitration With County
The Harrisburg Authority, a component unit of the city, owns both
the city's water and resource recovery (or solid waste)
facilities, but only operates the solid waste facility as the city
operates the water system. The authority has approximately
$282 million of city-guaranteed RRF bonds outstanding. When
including all guaranteed debt obligations, Harrisburg's direct
debt burden is extremely high at an estimated 21.6% of full
valuation as of fiscal 2008, somewhat skewed upward by the city's
property tax base, which includes tax exempt property as the state
capitol and county seat. Notably, the city has reached its debt
limit and can only issue self-supporting revenue bonds or smaller
general obligation bonds as outstanding bonds are retired. This
limits the city's ability to finance ongoing capital improvements
through the already strained General Fund.
In 2003, when the majority of the authority's debt was issued to
retrofit and upgrade the city's RRF, Dauphin County entered into a
waste management agreement with the authority, wherein the county
agreed to direct its solid waste to the authority's RRF in
exchange for control over rate increases charged to the haulers of
county-originated trash, except in the case of "uncontrollable
circumstances," the definition of which remains disputed. The
county's trash accounts for approximately two-thirds of the waste
processed at the RRF, with the city's trash accounting for the
other one-third. Notably, the authority also retains the ability
to raise the rates charged to haulers of city-originated trash.
The RRF retrofit project was not completed on time and ran over
budget, resulting in the need for additional debt issued in late
2007 to fund the final repairs, reimburse the city and county for
monies advanced to the authority, fund the 2008 debt service
payments on the city guaranteed RRF bonds, and provide working
capital for the authority. One of the two borrowings, a loan in
the amount of $35.8 million, is due on December 15, 2010 and
guaranteed by both the city and the county. The current plan is
to issue additional debt to refinance this loan as the city and
the authority do not have sufficient funds to retire the debt.
The county may have sufficient funds to retire the loan at
maturity, but this would essentially deplete the county's cash
reserves.
In 2008, the authority requested a significant $100 per ton rate
increase on county haulers (to be effective in 2009) due to
"uncontrollable circumstances," which the authority defined as the
confluence of issues related to the retrofit project. The county
denied the rate increase leading the authority and the county into
arbitration in late 2008. The arbitration ended unfavorably for
the authority as the arbitrator awarded a modest $1.58 per ton
rate increase versus the $100 per ton rate the authority
requested. As a result, the authority continued to have deficit
operations in 2009, which lead to the activation of the city and
county GO guaranties to pay debt service on the RRF bonds. The
city's debt service payments on these bonds depleted its liquidity
and required a one-time $3.2 million transfer from the sewer fund,
yet city officials project a narrow $2.8 million year-end reserve
for fiscal 2009 that is expected to be utilized to pay the RRF
debt service in 2010. The authority is projected to have added to
its accumulated deficit in 2009 and will likely add to the deficit
in 2010 again as revenue from operations are barely enough to
cover operating and maintenance expenses.
Outlook
The negative outlook reflects Moody's expectation that the city
will be challenged to implement its emergency short-term financial
plan and long-term financial recovery plan without dramatic (i.e.
double the property tax rate and user fees) and unlikely solutions
(i.e. sale/lease of city assets), thus heightening the
possibility of payment default in the next year.
What could move the rating up (removal of negative outlook):
-- Signed sale/lease for city assets with funds allocated to pay
RRF debt service, replenish drawn DSRF, and pay future RRF
obligations
-- RRF generates sufficient net revenues to cover its debt
service
What could move the rating down:
-- City default on directly issued or guaranteed bonds
-- Delay in effectively implementing emergency financial plan
Key Statistics:
* 2008 Population: 47,148 (3.7% decrease since 2000)
* 2008 Full Value: $2.2 billion
* 2008 Full Value Per Capita: $47,347
* 1999 Per capital income (as % of PA and US): $15,787 (76% and
73%)
* 1999 Median family income (as % of PA and US): $29,556 (60% and
59%)
* 2000 Poverty rate: 24.6%
* Unemployment Rate (November 2009): 10.9% (8.2% for PA and 9.4%
for US)
* Direct Debt Burden: 21.6%
* Overall Debt Burden: 30.9%
* Payout of Principal (10 years): 62.6%
* 2006 General Fund balance: $706,000 (1.1% of General Fund
revenues)
* 2006 Unreserved, undesignated General Fund balance: -$1.94
million (-3.1% of General Fund revenues)
* 2007 General Fund balance: $14.3 million (19.9% of General Fund
revenues)
* 2007 Unreserved, undesignated General Fund balance: $3.9 million
(5.4% of General Fund revenues)
* 2008 General Fund balance: $13.6 million (21.7% of General Fund
revenues)
* 2008 Unreserved, undesignated General Fund balance: $220,000
(0.4% of General Fund revenues)
* City and city guaranteed debt outstanding as of 12/31/2008:
$575.8 million
The last rating action was on October 28, 2009, when the City of
Harrisburg's general obligation rating was downgraded to Ba2 from
Baa2 while remaining on watch for possible downgrade.
COMMODORE CDO: Fitch Downgrades Ratings on Two Classes of Notes
---------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed one class of
notes issued by Commodore CDO I, Ltd./Corp.
As of the December 2009 trustee report, the balance of the
portfolio was $93.5 million, including $41.8 million in par of
assets deemed defaulted as per the transaction's governing
documents. Approximately 34.2% of the portfolio has been
downgraded since Fitch's last rating action in February 2009,
resulting in 73.9% of the portfolio with a Fitch derived rating
below investment grade and 44.7% with a rating in the 'CCC' rating
category or below, as compared to 64.7% and 34%, respectively, at
last review. In addition to credit deterioration of the
portfolio, the transaction continues to divert portion of the
principal proceeds to pay hedge payments and accrued interest to
timely classes, thus reducing the amount of principal proceeds
available to pay down the notes.
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 various default timing
and interest rate stress scenarios, as described in the report
'Global Criteria for Cash Flow Analysis in CDOs - Amended'.
Based on this analysis, the class A notes' breakeven rates are
generally consistent with the rating assigned below. As of the
November 2009 distribution date, approximately 87.3% of the class
A notes' original principal balance has paid down. The class A
notes represent 28.5% of the current capital structure and have a
credit enhancement of 69.2%. Given the negative outlook to the
performance of the underlying assets, Fitch affirmed the Negative
Rating Outlook.
Additionally, the class A notes are assigned a Loss Severity
rating of 'LS4'. The LS rating indicates a tranche's potential
loss severity given default, as evidenced by the ratio of tranche
size to the base-case loss expectation for the collateral, as
explained in 'Criteria for Structured Finance Loss Severity
Ratings'. Currently, for the class A notes this ratio falls in
the range of 0.51 to 1.0. The LS rating should always be
considered in conjunction with the probability of default for
tranches.
Breakevens for the class class B and class C notes are below SF
PCM's 'CCC' default level, the lowest level of defaults projected
by SF PCM. For these classes, Fitch compared the respective
credit enhancement levels to the amount of underlying assets
considered distressed (rated 'CCC' and lower). These assets have
a high probability of default and low expected recoveries upon
default. The class B and class C notes have the credit
enhancement levels of 23.7% and 5%, respectively. As a timely
class, the class B notes are still receiving interest
distributions, while the class C notes have been deferring
interest since May 2008. Fitch believes that default is
inevitable for both classes at or prior to maturity.
Commodore I is a cash flow collateralized debt obligation, which
closed on Feb. 26, 2002, and is managed by Fischer Francis Trees &
Watts, Inc. The portfolio is comprised of approximately 43.8%
commercial asset-backed securities, 29.3% residential mortgage-
backed securities, 21.4% commercial mortgage-backed securities,
and 5.5% of consumer ABS.
Fitch has taken rating actions on these classes:
-- $28,885,537 class A notes downgraded to 'BB/LS4' from 'BBB';
Outlook Negative;
-- $42,750,000 class B notes downgraded to 'C' from 'CCC';
-- $17,550,000 class C notes affirmed at 'C'.
CONN'S FUNDING: Moody's Reviews Ratings on Three 2006-A Notes
-------------------------------------------------------------
Moody's Investors Service has placed under review for possible
downgrade the ratings on three classes of Series 2006-A asset-
backed notes issued by Conn's Funding II, L.P. These notes are
backed by a revolving pool of private label, consumer installment
contracts and revolving loans originated by Conn's, Inc.
The complete rating actions are:
Under Review For Possible Downgrade
Issuer: Conn's Funding II, L.P.
-- $90,000,000 5.507% Asset Backed Fixed Rate Notes, Class A,
Series 2006-A, previously on February 19, 2009 downgraded to
Baa2 from Aa3
-- $43,333,000 5.854% Asset Backed Fixed Rate Notes, Class B,
Series 2006-A, previously on February 19, 2009 downgraded to
B2 from Baa2
-- $16,667,000 6.814% Asset Backed Fixed Rate Notes, Class C,
Series 2006-A, previously on February 19, 2009 downgraded to
Caa1 from Ba2
Rationale
The principal reason for the review is an increased concern that
the company will violate a covenant-based trigger in its credit
facilities that could lead to an unwinding of a significant
portion of its total financing. Deteriorating performance of the
managed loan portfolio is also a consideration.
The company disclosed in its third quarter earnings press release
that, unless it is able to sufficiently improve operating trends,
reduce its debt, or amend the covenants contained in its credit
facilities, there is a "reasonable likelihood" that it will
trigger covenant violations in its credit facilities based on its
fiscal year operating results. The company also said that it has
initiated discussions with its lenders and is reviewing its
options.
Without these credit facilities, Conn's ability to offer credit to
its customers would be greatly constrained. This could have
significant operating performance implications given Conn's heavy
reliance on credit-driven sales to mostly subprime obligors. In
the last three years, the company has financed, on average,
approximately 61% of its retail sales. A disruption of this
magnitude would likely have negative spillover effects on the
collateral performance of the related ABS program. Specifically,
the high percentage of cash and in-store payments combined with
non-statementing of borrowers may present collection difficulties
in the event of financial distress of Conn's.
The Class A, B, and C rated notes have credit enhancement totaling
about 50%, 24%, and 14%, respectively. Structural mitigants to
servicer risk include a contracted backup servicer, Wells Fargo.
As back-up servicer, Wells Fargo is contracted to assume the
servicer's duties upon a servicer default, such as the insolvency
of the servicer. If a servicer default were to occur, Moody's
believes that a timely transfer of responsibilities to a competent
successor servicer will mitigate losses.
In its review, Moody's will assess Conn's ability to address near-
term potential liquidity concerns and also assess Conn's ability
to mitigate risks in its longer-term funding and liquidity
position.
Trust Collateral Performance
The performance of the securitized loan portfolio has been
worsening. For example, gross charge-offs reached 6.4% in
December 2009, up from 4.6% a year ago. The payment rate, a
measure of obligors' willingness and ability to repay their loan,
has also weakened. The Trust's December principal payment rate
came in at 4.2%, down from 4.5% a year ago. In Texas, where the
vast majority of Conn's stores are located, the economy has also
weakened over the last year and created a difficult operating
environment for both the merchandizing and lending parts of Conn's
business.
Moody's expected range of the charge-off rate for the Trust is 5%
- 7%. Moody's expected range for yield is 18% - 21%, the expected
range for principal payment rate is 4% - 6%.
These performance expectations indicate Moody's forward-looking
view of the likely range of performance over the medium term.
From time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than anticipated when the related securities were rated.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations
preclude such actions. The decision to take (or not take) a
rating action is dependent on an assessment of a range of factors
including, but not exclusively, the performance metrics.
The Company is a specialty retailer currently operating 76 retail
locations in Texas, Louisiana and Oklahoma. The company sells
major home appliances, consumer electronics, lawn and garden
products, furniture and mattresses, office equipment and offers
services on its products.
The Trust's receivables are comprised of mostly installment
contracts (with some revolving accounts) that Conn's extends to
its customers to finance the purchase of products or services from
Conn's. As of December 2009, the pool comprised over 402,000
active accounts and totaled more than $527 million.
CREDIT SUISSE: Moody's Downgrades Ratings on Four 2005-CND1 Certs.
------------------------------------------------------------------
Moody's Investors Service downgraded four classes of Credit Suisse
First Boston Mortgage Securities Corp., Commercial Pass-Through
Certificates, Series 2005-CND1. The downgrade is due to an
increase in expected loss to the trust from the Royal Palm Loan
($74.0 million), the one remaining loan in the pool, which was
transferred to special servicing on March 9, 2007. Wachovia Bank,
the special servicer, has indicated that servicer advances will
stop with the February 2010 remittance.
Moody's rating action is:
-- Class A-2, $74,031,426, Downgraded to C; previously on
April 9, 2009 Downgraded to Ca
-- Class A-X-1, Notional, Downgraded to C; previously on
April 9, 2009 Downgraded to Ca
-- Class A-X-3, Notional, Downgraded to C; previously on
April 9, 2009 Downgraded to Ca
-- Class A-Y, Notional, Downgraded to C; previously on April 9,
2009 Downgraded to Ca
CREDIT SUISSE: S&P Downgrades Ratings on 16 2005-C5 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes of commercial mortgage-backed securities from Credit
Suisse First Boston Mortgage Securities Corp.'s series 2005-C5 and
removed 15 of them from CreditWatch with negative implications.
In addition, S&P affirmed its ratings on 10 additional classes
from the same transaction and removed one of them 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 its rating actions. The downgrades of the subordinate
classes also reflect credit support erosion that S&P anticipate
will occur upon the eventual resolution of 14 specially serviced
assets, as well as its analysis of six loans that S&P deemed to be
credit-impaired. S&P's analysis included a review of the credit
characteristics of all of the loans in the pool. Using servicer-
provided financial information, S&P calculated an adjusted debt
service coverage of 1.65x and a loan-to-value ratio of 92.4%. S&P
further stressed the loans' cash flows under its 'AAA' scenario to
yield a weighted average DSC of 1.06x and an LTV of 121.5%. The
implied defaults and loss severity under the 'AAA' scenario were
63.5% and 32.1%, respectively.
The DSC and LTV calculations S&P noted above exclude five defeased
loans ($45.6 million, 1.6%), 14 ($61.9 million, 2.2%) specially
serviced assets, and six additional loans that S&P deemed to be
credit-impaired ($28.9 million, 1.0%). S&P separately estimated
losses for the 20 specially serviced and credit-impaired assets
and included them in its 'AAA' scenario implied default and loss
figures. S&P also excluded 22 cooperative apartment loans
($101.1 million, 3.6%) from all of the DSC and LTV calculations.
These loans did not default under the 'AAA' scenario due to 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 A-
X, A-SP, and A-Y 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 ratings on the IO certificates
that S&P affirmed.
Credit Considerations
As of the January 2010 remittance report, 14 assets
($61.9 million, 2.2%) in the pool were with the special servicer,
CWCapital Asset Management. The payment status of the specially
serviced assets is: three assets are real estate owned (REO;
$7.5 million, 0.3%); six are 90-plus days delinquent
($22.6 million, 0.8%); four are 60 days delinquent ($21.5 million,
0.8%); and one is 30 days delinquent ($10.3 million, 0.4%). Seven
of the specially serviced assets have appraisal reduction amounts
in effect totaling $8.8 million.
The Princessa Plaza loan, which has a total exposure of
$10.3 million (0.4%), is the largest loan with the special
servicer. The loan is 30 days delinquent and is secured by a
25,501-sq.-ft. retail property in Santa Clarita, California.
Reported DSC as of year-end 2009 was under 1.0x. The loan was
transferred to the special servicer on Dec. 28, 2009, due to
imminent default after the borrower expressed hardship due to low
occupancy and tenant delinquencies, which resulted in negative
cash flow. The borrower is requesting a modification, and
CWCapital has issued a prenegotiation agreement. Should the
modification not proceed, S&P expects a moderate loss upon the
resolution of this loan.
The 13 remaining specially serviced assets that were listed in the
January remittance report ($51.6 million, 1.8%) have balances that
individually represent less than 0.4% of the total pool balance.
S&P estimated losses for all of these assets, resulting in loss
severities ranging from 12.0% to 85.6%.
S&P notes that one additional loan ($4.9 million, 0.2%) was
transferred to the special servicer on Jan. 7, 2010, after the
January 2010 remittance report was published. The Redbird Village
loan was transferred due to low DSC and low occupancy and is 30
days delinquent.
In addition to the specially serviced assets, S&P deemed six loans
($28.9 million; 1.0%) to be credit-impaired. The largest credit-
impaired loan, the Country Club Plaza loan ($8.0 million; 0.3%),
is secured by a 51,652-sq.-ft. mixed-use complex built in 2001 in
Frisco, Texas. As of year-end 2008, the reported occupancy and
DSC were 78% and 0.88x, respectively. For the nine-month period
ended Sept. 30, 2009, the reported occupancy and DSC declined to
71% and 0.86x, respectively. The borrower reported that it
expects the property to operate with negative cash flow throughout
2009 and that there is not enough cash flow to pay debt service.
Of the five additional credit-impaired loans ($20.9 million,
0.7%), three have reported DSC below 0.60x. The borrowers on the
other two loans have indicated that they may not be able to make
future debt service payments, one of which is 30 days delinquent.
As a result, Standard & Poor's considers these loans to be at an
increased risk of default and loss.
Transaction Summary
As of the January 2010 remittance report, the collateral pool
balance was $2.84 billion, which is 96.7% of the balance at
issuance. The pool includes 278 loans, down from 280 loans at
issuance. The master servicer for the transaction is Berkadia
Commercial Mortgage LLC. As of the January 2010 remittance
report, Berkadia provided financial information for 98.4% of the
pool, and 96.2% of the servicer-provided information was full-year
2008 or interim-2009 data.
S&P calculated a weighted average DSC of 1.71x for the pool based
on the reported figures. S&P's adjusted DSC and LTV, which
exclude five defeased loans ($45.6 million, 1.6%), 14 specially
serviced assets ($61.9 million, 2.2%), and six credit-impaired
loans ($28.9 million; 1.0%), were 1.65x and 92.4%, respectively.
S&P estimated losses separately for the 20 specially serviced and
credit-impaired assets. S&P also excluded 22 cooperative
apartment loans ($101.1 million, 3.6%) from all of the DSC and LTV
calculations. These loans did not default under the 'AAA'
scenario due to low leverage. The transaction has experienced two
principal losses for a total of $2.6 million to date. Seventy-
five loans ($548.9 million, 19.3%) are on the master servicer's
watchlist, including two of the top 10 loans. Fifty-three loans
($312.0 million, 11.0%) have a reported DSC below 1.10x, and 35 of
these loans ($172.4 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
$953.6 million (34.8%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.98x for the top 10 loans.
Two of the top 10 loans ($97.6 million, 3.4%) 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 1.79x and 91.1%,
respectively.
The Gallery at South Dekalb loan is the ninth-largest loan in the
pool and is the largest loan on the master servicer's watchlist.
The loan has a trust balance of $52.2 million (1.8%). The loan is
secured by a 545,025 sq.-ft. anchored retail shopping center in
Decatur, Ga. The reported trailing-nine-month DSC for the period
ended Sept. 30, 2009, was 1.50x and occupancy was 64.2%, down from
1.62x and 65.1%, respectively, as of year-end 2008. The loan
appears on the servicer's watchlist due to declining occupancy.
The Weston Town Center loan is the 10th-largest loan in the pool
and the second-largest loan on the master servicer's watchlist.
The loan has a trust balance of $45.4 million (1.6%) and is
secured by a 157,932?sq.-ft. anchored retail shopping center
located in Weston, Fla., and built in 2002. The reported
trailing-six-month DSC and occupancy for the period ended June 30,
2009, were 1.20x and 88%, respectively, down from 1.38x and 84% as
of year-end 2008 and 1.53x and 97% at issuance. The loan appears
on the servicer's watchlist due to declines in occupancy.
Standard & Poor's stressed the 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
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J A AAA/Watch Neg 12.57
B A- AA+/Watch Neg 11.69
C BBB+ AA/Watch Neg 9.99
D BBB AA-/Watch Neg 9.21
E BBB- A+/Watch Neg 8.57
F BB+ A/Watch Neg 7.53
G BB A-/Watch Neg 6.24
H BB- BBB+/Watch Neg 5.46
J B+ BBB/Watch Neg 4.30
K B+ BBB-/Watch Neg 3.14
L B+ BB+/Watch Neg 2.88
M B BB/Watch Neg 2.36
N B- B+/Watch Neg 1.98
O CCC+ B/Watch Neg 1.85
P CCC B-/Watch Neg 1.59
Rating Lowered
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
Q CCC- CCC+ 1.20
Rating Affirmed And Removed From Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M AAA AAA/Watch Neg 20.59
Ratings Affirmed
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C5
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.93
A-2 AAA 30.93
A-3 AAA 30.93
A-AB AAA 30.93
A-4 AAA 30.93
A-1A AAA 30.93
A-X AAA N/A
A-SP AAA N/A
A-Y AAA N/A
N/A - Not applicable.
CREDIT SUISSE: S&P Puts Cert. Ratings on CreditWatch Negative
-------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 13
classes of commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2007-TFL2 on CreditWatch with negative implications.
The negative CreditWatch placements reflect a potential
nonrecoverable determination on the Biscayne Landing loan, which
could cause significant liquidity interruptions to the trust if
the master servicer, KeyBank Real Estate Capital (KeyBank),
declares it. Based on S&P's discussions with KeyBank, all future
interest advances on the Biscayne Landing loan may be affected.
The potential nonrecoverable determination follows KeyBank's
receipt of an October 2009 appraisal that valued the collateral at
a level that is significantly below the outstanding debt on the
senior trust balance. KeyBank noted that the potential
nonrecoverability may be reflected as early as in the February
2010 trustee remittance report.
Standard & Poor's is currently evaluating the transaction's cash
flow waterfall. Given the size of the Biscayne Landing loan in
the trust, a nonrecoverable determination may affect the interest
payments to most of the classes in the capital structure and
severely diminish the amount of interest distribution to the most
senior classes (class A-1, A-X-1, and A-X-2 certificates). If
KeyBank declares a nonrecoverable determination, S&P will likely
lower all of the ratings on the outstanding classes (except for
those rated 'D'), including the class A-1, A-X-1, and A-X-2
certificates, pending S&P's evaluation. If S&P determine that the
interest shortfalls will be ongoing and not recovered for an
extended period, S&P may lower the ratings to 'D'.
Master servicers generally make nonrecoverable declarations when
they determine that an existing or future advance may not be
recoverable from ongoing property cash flows or the ultimate
disposition of an asset. The Biscayne Landing loan has a whole-
loan balance of $195.3 million that consists of a $106.8 million
senior pooled component, a $53.5 million subordinate nonpooled
component, and a $35.0 million nontrust junior participation
interest. In addition, the borrower's equity interests in the
property secure a $35.0 million mezzanine loan that is held
outside the trust. KeyBank reports that it has advanced
approximately $1.5 million to date on the Biscayne Landing loan.
An appraisal reduction amount of $10.9 million is in effect on the
whole-loan balance.
The collateral for the loan consists of a ground leasehold
interest in 188 gross acres of vacant land in North Miami, Fla.
The borrower initially intended to develop a master-planned
community consisting of residential condominium and rental units,
office buildings, hotels, a retail center, and acres of passive
parks. The Biscayne Landing loan is in foreclosure and was
transferred to special servicing on March 18, 2008, after the
borrower failed to make the mandatory $17.0 million minimum
amortization payment. The loan matured on May 9, 2009. The
special servicer, TriMont Real Estate Advisors Inc., indicated
that it had filed for foreclosure, while also exploring a note
sale.
As S&P updates or resolve its CreditWatch placements, S&P will
consider the performance and credit characteristics of all of the
loans in the trust. This will include an examination of other
loans that S&P determines may affect the future liquidity of the
trust, such as the Resorts Atlantic City loan. KeyBank declared
the Resorts Atlantic City loan nonrecoverable in December 2009 due
to a November 2009 appraisal that valued the property at a level
that is significantly below the outstanding debt on the senior
trust balance. The Jan. 15, 2010, trustee remittance report
reflected interest shortfalls of $282,574 on the pooled
certificates primarily due to the nonrecoverability of the Resorts
Atlantic City loan.
The Resorts Atlantic City loan, which is secured by a 942-room
gaming hotel in Atlantic City, N.J., has a trust balance of
$175.0 million and a whole-loan balance of $360.0 million. This
loan was transferred to the special servicer on Nov. 20, 2008, due
to monetary default. TriMont stated that the deed?in-lieu of
foreclosure closed in December 2009, and it plans to market the
property for sale this year. KeyBank reports that it has advanced
approximately $14.2 million to date on the Resorts Atlantic City
loan.
S&P currently rates most of the pooled certificate classes from
this transaction in the speculative-grade category after S&P
downgraded 11 pooled certificates in June 2009. At that time, S&P
lowered the rating on class K to 'D' due to recurring interest
shortfalls. Refer to "Credit Suisse First Boston Mortgage
Securities Corp. 2007-TFL2 Ratings Lowered On 11 Classes,"
published June 29, 2009.
Ratings Placed On Creditwatch Negative
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2007-TFL2
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-1 AAA/Watch Neg AAA 56.93
A-2 AA/Watch Neg AA 48.61
A-3 BB+/Watch Neg BB+ 31.40
B BB/Watch Neg BB 27.60
C BB-/Watch Neg BB- 24.06
D B+/Watch Neg B+ 21.27
E B/Watch Neg B 18.23
F B-/Watch Neg B- 15.20
G CCC+/Watch Neg CCC+ 12.41
H CCC/Watch Neg CCC 9.12
J CCC-/Watch Neg CCC- 6.08
A-X-1 AAA/Watch Neg AAA N/A
A-X-2 AAA/Watch Neg AAA N/A
N/A - Not applicable.
CTX CDO: Moody's Downgrades Ratings on Eight Classes of Notes
-------------------------------------------------------------
Moody's Investors Service downgraded eight classes of Notes issued
by CTX CDO I, Ltd. The downgrades are due to further
deterioration in the Default Par Value Coverage Ratio; the failure
of which, compared to the trigger, would result in an Event of
Default as defined in the Indenture. The rating action is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
On November 13, 2009, ten classes of CTX CDO I, Ltd., were
downgraded while Class A and Class B remained on further review
for possible downgrade due to the uncertainty about the timing of
an EOD expected to be triggered by haircuts to Par Value and the
potential remedies the Trustee may seek upon direction of the
Majority of the Controlling Class. As of the January 26, 2010
trustee report, the Default Par Value Coverage Ratio is 102.52%
compared to 116.07% at last review.
CTX CDO I, Ltd., is a hybrid CRE CDO backed by a portfolio of cash
collateral (15% of the pool balance) and credit default swaps (85%
of the pool balance) referencing commercial mortgage backed
securities, CRE CDOs and real estate investment trust (REIT) debt.
As of the January 26, 2010 trustee report, CMBS comprised
approximately 93.7% of the pool with 45% of the CMBS concentrated
in 2005 vintage securitizations, 50% concentrated in 2006 vintage
securitizations and 5% concentrated in 2007 vintage
securitization. CRE CDO collateral constitutes the 3.3% of the
pool balance and REIT debt constitutes 3.0% of the pool balance.
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.
WARF is a primary measure of the credit quality of a CRE CDO pool.
The bottom-dollar WARF is a measure of the default probability
within a collateral pool. Moody's modeled a bottom-dollar WARF of
5,053 compared to 4,834 at last review.
WAL acts to adjust the probability of default of the collateral
pool for time. Moody's modeled to the current WAL of six years,
the same as that 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 6.0% compared to 6.4% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 23% compared to 25% at last review.
Moody's review also 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 of 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.
Moody's rating action is:
-- Class A, Downgraded to Ca; previously on November 13, 2009 B2
Placed Under Review for Possible Downgrade
-- Class B, Downgraded to C; previously on November 13, 2009
Caa3 Placed Under Review for Possible Downgrade
-- Class C, Downgraded to C; previously on November 13, 2009
Downgraged to Ca
-- Class D, Downgraded to C; previously on November 13, 2009
Downgraged to Ca
-- Class E, Downgraded to C; previously on November 13, 2009
Downgraged to Ca
-- Class F, Downgraded to C; previously on November 13, 2009
Downgraded to Ca
-- Class G, Downgraded to C; previously on November 13, 2009
Downgraded to Ca
-- Class H, Downgraded to C; previously on November 13, 2009
Downgraded to Ca
CWCAPITAL COBALT: Moody's Downgrades Ratings on Two Classes
-----------------------------------------------------------
Moody's Investors Service downgraded two classes of Notes issued
by CWCapital Cobalt III Synthetic CDO, Ltd. The downgrades are due
to an Event of Default caused by the failure of the Default Par
Value Coverage Ratio, as defined in the Indenture. The rating
action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation
transactions.
On November 12, 2009, seven classes of CWCapital Cobalt III
Synthetic CDO, Ltd. were downgraded while Class A and Class B
remained on further review for possible downgrade due to the
uncertainty about the timing of an EOD expected to be triggered by
haircuts to Par Value and the potential remedies the Trustee may
seek upon direction of the Majority of the Controlling Class.
Subsequently, the EOD occurred as of the November 27, 2009 Trustee
Report and is continuing.
The Trustee is currently awaiting direction from the Controlling
Class for further action, and a declaration of acceleration of
Maturity has not been made. While the risk of liquidation is
still a possibility, the acceleration of Maturity has not been
declared thereby reducing the risk of much higher loss severities
from such liquidation under the current stressed market
conditions. However, because of the concentration of the pool in
CMBS and CRE CDO collateral with low investment grade and below
investment grade ratings, and current depressed market valuations
of these types of assets, there may be significant losses to the
transaction in case of liquidation.
CWCapital Cobalt III Synthetic CDO, Ltd. is a hybrid CRE CDO
backed by a portfolio of cash collateral (15% of the pool balance)
and credit default swaps (85% of the pool balance) referencing
commercial mortgage backed securities and CRE CDOs. As of the
January 27, 2010 trustee report, CMBS comprised approximately
90.4% of the pool balance with 64% of the CMBS concentrated in
2005 vintage securitizations and 36% in the 2006 vintage
securitizations. CRE CDO collateral constitutes the remaining
9.6% of the pool.
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.
WARF is a primary measure of the credit quality of a CRE CDO pool.
The bottom-dollar WARF is a measure of the default probability
within a collateral pool. Moody's modeled a bottom-dollar WARF of
4,509 compared to 4,318 at last review.
WAL acts to adjust the probability of default of the collateral
pool for time.. Moody's modeled to the current WAL of six years,
the same as that 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 5.7% compared to 6.6% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 25% compared to 27% at last review.
Moody's review also 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 of 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.
Moody's rating action is:
-- Class A, Downgraded to Ca; previously on November 12, 2009
Caa3 Placed Under Review for Possible Downgrade
-- Class B, Downgraded to C; previously on November 12, 2009 Ca
Placed Under Review for Possible Downgrade
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 November 12, 2009.
DIVERSIFIED REIT: Fitch Takes Rating Actions on Various Classes
---------------------------------------------------------------
Fitch Ratings has upgraded four, affirmed two, and downgraded one
class of notes issued by Diversified REIT Trust 2000-1 Ltd./Corp.
The actions reflect higher recoveries than anticipated on an asset
traded out of the CDO, and realized losses to the junior class
from the same trade.
On January 20, 2010, the trustee made an interim payment to
noteholders as a result of trading the Rouse Company LP REIT bond
out of the portfolio for a realized recovery of approximately 95%.
At the last review, Fitch anticipated below average recovery
prospects ranging from 11%-30%, due to the uncertainty following
the bankruptcy of General Growth Properties and its wholly-owned
subsidiary The Rouse Company.
According to the trustee, the CDO is holding approximately
$27 million in cash from the repayment of the Federal Realty
Investment Trust and Colonial Realty assets. These funds will be
distributed according to the waterfall on the next payment date.
The affirmation to the class C notes and upgrade to the class D
notes reflects the full principal repayment of the notes with the
cash currently on hand.
The sole remaining collateral bond in the pool is Arden Realty
($20 million) which matures in March 2010. Arden Realty was
acquired in 2006 by GE Real Estate, a wholly-owned subsidiary of
General Electric Capital Corporation. The Fitch derived rating
for Arden Realty is based on GECC's explicit and unconditional
guaranty of Arden's senior bonds. The ratings for classes E
through G are dependent on the credit characteristics of this
bond.
The class H notes have already experienced losses of approximately
$940,000; however, the remaining outstanding balance is expected
to pay in full from the proceeds of the Arden Realty bond. The
anticipated recovery on the original balance ranges from 71%-90%.
DREIT 2000-1 is a collateralized debt obligation which closed
April 13, 2000 and was composed of a static pool of senior
unsecured real estate investment trust securities. The notes pay
principal in sequential order and there are no over-
collateralization or interest coverage tests.
Fitch has upgraded and assigned Rating Outlooks (unless otherwise
noted) to these classes as indicated:
-- $21,249,000 class D notes upgraded to 'AAA' from 'A; Outlook
remains Stable;
-- $11,343,000 class E notes upgraded to 'AA' from 'CCC/RR1';
Outlook Stable;
-- $4,307,000 class F notes upgraded to 'AA' from 'C/RR6';
Outlook Stable;
-- $5,025,000 class G notes upgraded to 'AA' from 'C/RR6';
Outlook Stable.
Fitch has affirmed and assigned Rating Outlooks to these classes
as indicated:
-- $1,706,733 class C affirmed at 'AAA'; Outlook Stable;
-- Interest only class X notes affirmed at 'AAA'; Outlook
Stable.
Fitch has downgraded and assigned Recovery Ratings to this class
as indicated:
-- $4,308,000 class H notes downgraded to 'D/RR2' from 'C/RR6'.
DRYDEN VI-LEVERAGED: Moody's Upgrades Ratings on Two Classes
------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Dryden VI-Leveraged Loan CDO 2004
Inc.:
-- US$4,000,000 Class B-1 Floating Rate Deferrable Senior
Subordinate Notes Due 2016, Upgraded to Ba3; previously on
June 15, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$24,000,000 Class B-2 Fixed Rate Deferrable Senior
Subordinate Notes Due 2016, Upgraded to Ba3; previously on
June 15, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade.
In addition, Moody's has confirmed the ratings of these notes:
-- US$19,000,000 Class A-2 Floating Rate Senior Notes Due 2016,
Confirmed at A2; previously on April 16, 2009 A2 Placed Under
Review for Possible Downgrade;
-- US$10,000,000 Class Q-2 Securities Due 2016 (current Rated
Balance of $4,570,317), Confirmed at B3; previously on June
15, 2009 Downgraded to B3 and Placed Under Review for
Possible Downgrade.
According to Moody's, the actions consider the combined impact of
the confirmation by Moody's of the insurance financial strength
rating of Assured Guaranty Municipal Corp. (formerly Financial
Security Assurance Inc.), which acts as guarantor under the
Investment Agreement in the transaction, as well as recent
improvements in the credit quality of the underlying portfolio.
On November 12, 2009, Moody's confirmed the financial strength
rating of Assured Guaranty Municipal Corp. at Aa3 with a negative
outlook. On June 15, 2009, Moody's downgraded the Class B-1,
Class B-2, Class C-1, Class C-2, Class Q-1 and Class Q-2 Notes as
a result of the application of revised and updated key modeling
assumptions as well as the credit deterioration of the underlying
portfolio. The Class A-2, Class B-1, Class B-2 and Class Q-2
Notes remained on review for possible downgrade because Moody's
placed the insurance financial strength rating of Financial
Security Assurance Inc. on review for possible downgrade on
May 20, 2009.
Moody's observes credit improvement of the underlying portfolio
through a decrease in the dollar amount of defaulted securities, a
decrease in the proportion of securities from issuers rated Caa1
and below and improvement in the average credit rating and certain
overcollateralization tests. In particular, the weighted average
rating factor has improved considerably and is currently 2299 as
of the last trustee report, dated December 16, 2009, versus 2653
as of the April 20, 2009 trustee report. Based on the same
report, defaulted securities currently held in the portfolio total
about $48.5 million, accounting for roughly 8.5% of the collateral
balance compared to $57.2 million in April, accounting for
approximately 9.9% of the April collateral balance. Additionally,
securities rated B3 and below are reported to make up
approximately 5.33% of the underlying portfolio in December as
compared to 9.36% in April. Finally, the Class B
Overcollateralization Ratio has improved from 115.54% in April to
132.20% in December and is now passing the test level of 126%.
In considering the above factors, Moody's has assessed the Class
B-1 and Class B-2 Notes to particularly benefit from improvements
in the portfolio credit quality. Although such improvements also
have a positive benefit for the other rated liabilities, Moody's
views there to be a muted rating impact. Nonetheless in
connection with the confirmation of Assured Guaranty Municipal
Corp.'s rating Moody's concludes that it is appropriate to confirm
its ratings of the Class A-2 and Class Q-2 Notes, and remove them
from review for downgrade.
Dryden VI-Leveraged Loan CDO 2004 Inc., issued in May 2004, is a
synthetic collateralized loan obligation referencing a portfolio
of primarily senior secured loans.
DUKE FUNDING: Fitch Downgrades Ratings on Three Classes of Notes
----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed three classes of
notes issued by Duke Funding VIII, Ltd./Inc. as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in August 2008.
As of the Dec. 31, 2009 trustee report, the current balance of the
portfolio is approximately $695.5 million. Approximately 94.4% of
the portfolio has been downgraded since August 2008, resulting in
approximately 91.8% of the portfolio with a Fitch derived rating
below investment grade and 84.2% with a rating in the 'CCC' rating
category or below, compared to 51.6% and 20.6%, respectively, at
last review.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. The Structured
Finance Portfolio Credit Model, and Fitch's cash flow model were
not used in this review due to the extent of deterioration in the
portfolio.
The Dec. 31, 2009 trustee report shows that $396.7 million, or
57%, of the portfolio is considered defaulted by the transaction's
governing documents, leaving $298.8 million of non-defaulted
assets. Expected recoveries on the defaulted portion of the
portfolio are low, resulting in the class A1S notes being
significantly undercollateralized.
Additionally, principal collections have been needed to cover
shortfalls in interest collections since January 2009, which is
contributing to the erosion of credit enhancement. On the Jan. 7,
2010 payment date, over $1.2 million of principal collections was
needed for part of the interest rate swap payment and the entire
accrued interest distributions for classes A1S, A1J and A2.
Based on the current portfolio and the anticipated future loss of
principal proceeds to cover interest shortfall, Fitch believes
default is inevitable for Duke VIII, hence the 'C' ratings for all
classes listed below.
Duke VIII is a structured finance collateralized debt obligation
that closed on April 5, 2005 and is managed by Duke Funding
Management, LLC, a wholly owned subsidiary of Ellington Management
Group, LLC. The portfolio is composed of residential mortgage-
backed securities (94.6%) and commercial mortgage-backed
securities (5.4%).
Fitch has downgraded these ratings:
-- $528,061,221 class A1S notes to 'C' from 'BB';
-- $127,600,000 class A1J notes to 'C' from 'B';
-- $58,000,000 class A2 notes to 'C' from 'CCC';
Fitch has affirmed these ratings:
-- $8,900,213 class A3F notes at 'C';
-- $84,041,682 class A3V notes at 'C';
-- $29,720,683 class B notes at 'C'.
FORD CREDIT: Fitch Upgrades Ratings on Three Classes of Notes
-------------------------------------------------------------
Fitch Ratings has upgraded three classes and affirmed four classes
of notes issued by Ford Credit Auto Owner Trust 2007-A as part of
its ongoing surveillance process.
The upgrades are a result of continued available credit
enhancement in excess of stressed remaining losses. The
collateral continues to perform within Fitch's base case
expectations. Currently, under the credit enhancement structure,
the securities can withstand stress scenarios consistent with the
upgraded rating categories and still make full payments of
interest and principal in accordance with the terms of the
documents.
As before, the ratings reflect the quality of Ford Motor Credit
Co.'s retail auto loan originations, the sound financial and legal
structure of the transaction, and the servicing provided by FMCC.
Fitch affirms these classes:
-- Class A-3a notes at 'AAA'; Outlook Stable;
-- Class A-3b notes at 'AAA'; Outlook Stable;
-- Class A-4a notes at 'AAA'; Outlook Stable;
-- Class A-4b notes at 'AAA'; Outlook Stable.
Fitch upgrades these classes:
-- Class B notes to 'AAA' from 'AA'; Outlook Stable;
-- Class C notes to 'AA' from 'A'; Outlook Positive;
-- Class D notes to 'BBB' from 'BB'; Outlook Positive.
FORTRESS ABS: Moody's Upgrades Ratings on Five Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of five classes of Notes issued by Fortress ABS
Opportunities Ltd. The Notes affected by the rating actions are:
-- Class A Original Notes; Upgraded to Baa3; Previously on
3/26/2009 Downgraded to Ba1;
-- US$206,000,000 Class A-1a Senior Secured Floating Rate Term
Notes Due 2038; Upgraded to Baa3; Previously on 3/26/2009
Downgraded to Ba1;
-- US$250,000,000 Class A-2 Senior Secured Floating Rate
Revolving Notes Due 2038; Upgraded to Baa3; Previously on
3/26/2009 Downgraded to Ba1;
-- US$53,000,000 Class Ba Senior Secured Deferrable Floating
Rate Term Notes due 2038; Upgraded to Caa2; Previously on
3/26/2009 Downgraded to Ca;
-- Class B Original Notes; Upgraded to Caa2; Previously on
3/26/2009 Downgraded to Ca.
The rating upgrade actions reflect a number of considerations
regarding the performance of the underlying portfolio. Since the
last rating action in March 2009, the Class A, A-1a and A-2 notes
have been paid down by more than $230 million. On the December
2009 payment date, the Class Ba and B notes were paid back all
their deferred interest as well as being paid $1,734,914 from
excess interest to reduce their principal balance. Fortress ABS
Opportunities had entered into an Event of Default status on
12/19/2008 due to the Senior Overcollateralization Ratio falling
below 105%. The Senior Overcollateralization Ratio is calculated
using the market prices of the collateral debt securities in the
portfolio. As the market has improved, the transaction was cured
of its Event of Default status and the Senior
Overcollateralization Ratio has been steadily improving, currently
standing at 148.27% as of the January 2010 trustee report. All
the coverage and collateral quality tests are passing their
trigger levels as well.
The credit quality of the portfolio has seen some deterioration
since the last review. The trustee is reporting a WARF of 2207 in
January 2010 as compared to a WARF of 1,854 as reported in the
February 2009 trustee report. More than 8% of the portfolio is
currently on review for downgrade following Moody's announcement
on January 14, 2010, of updates to the loss projections for US
Alt-A and Subprime RMBS issued in 2005-2007. However this
deterioration is mitigated by the benefit from amortizations and
the OC improvement noted above. Additionally, stressed modeling
assumption scenarios for RMBS securities on review for downgrade
that are included in the portfolio were tested and the results
remain consistent with the rating action.
FREEDOM CERTIFICATES: S&P Raises Ratings on Two Certs. to 'B-'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on Freedom
Certificates US Autos Series 2004-1 Trust's class A and X
certificates to 'B-' from 'CCC'
The ratings on the class A and X certificates are dependent on the
lower of the ratings on the two underlying securities: (i) Ford
Motor Credit Co.'s 7.375% notes due Feb. 1, 2011 ('B-'), and (ii)
GMAC LLC's 7.25% notes due March 2, 2011 ('B').
The rating actions follow the Jan. 27, 2010, raising of S&P's
rating on GMAC LLC's 7.25% notes to 'B' from 'CCC'. However,
S&P's ratings on the class A and X certificates are capped at its
lower 'B-' rating on Ford Motor Credit Co's 7.375% notes.
FRONTIER FUNDING: S&P Junks Rating on Class A Notes From 'BB-'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A note issued by Frontier Funding Co. V LLC, an asset-backed
securities transaction backed by equipment leases, to 'CCC' from
'BB-'.
S&P's rating on the notes is higher than the financial strength
rating on CIFG Assurance North America Inc. (CC/Negative/--),
which provides a financial guarantee policy on the class A note.
Under S&P's criteria, its rating on the Frontier class A note is
the higher of (i) the financial strength rating on CIFG, and (ii)
Standard & Poor's underlying rating on the note.
The downgrade reflects S&P's view of the higher-than-expected
losses in the pool, the high level of delinquent contracts, and
the lack of hard credit support available to cover remaining
expected losses. The transaction had a pool factor of 10.7% as of
the Dec. 31, 2009, cut-off date. The cumulative net losses as of
that date were 14.1%, which is higher than S&P's expected base-
case for the given pool factor. Given the high losses, S&P has
revised its loss expectation to 15.75%-16.25%. Over the past nine
months, the amount of contracts in the transaction that are past
due has significantly increased. Contracts that are 60 or more
days past due now account for 7.0% of the current pool balance, an
increase from 2.0% in April 2009. Contracts that are 30 or more
days past due represent 12.8% of the current pool balance, an
increase from 5.0% in April 2009.
At closing, the credit support for the class A note consisted of a
funded reserve account, overcollateralization, and subordination
in the form of an unrated class B note. However, as of the
December 2009 cut-off date, credit support consisted solely of
subordination because the cash reserve and overcollateralization
had been entirely used to cover losses. In addition, the
principal amount of the subordinated note has been written down by
$6.5 million to $0.8 million, 11.7% of the current pool balance.
Rating Lowered
Frontier Funding Co. V LLC
Rating
------
Class To From
----- -- ----
A CCC BB-
GMAC COMMERCIAL: Moody's Affirms Ratings on Seven 2004-C2 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of seven classes
and downgraded 12 classes of GMAC Commercial Mortgage Securities,
Inc., Commercial Mortgage Pass-Through Certificates, Series 2004-
C2. The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced loans, increased credit quality dispersion, and concerns
about refinancing risk for loans approaching maturity in an
adverse environment. Five loans, representing 7% of the pool,
mature within the next 24 months and have a Moody's stressed debt
service coverage ratio less than 1.00X.
The affirmations are primarily due to key rating parameters,
including Moody's loan to value ratio and Moody's debt service
coverage ratio remaining within acceptable ranges. The decline in
loan diversity, as measured by the Herfindahl Index has been
offset by increased subordination due to loan payoffs and
amortization. The pool balance has declined by 11% since Moody's
last review.
On October 22, 2009, Moody's placed 12 classes on review for
possible downgrade due to higher expected losses for the pool.
This action concludes that review. The rating action is the
result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the January 11, 2009 distribution date, the transaction's
aggregate certificate balance has decreased by 14% to
$804.2 million from $933.7 million at securitization. The
Certificates are collateralized by 66 mortgage loans ranging in
size from less than 1% to 10% of the pool, with the top ten non-
defeased loans representing 51% of the pool. The pool includes
three loans with investment-grade underlying ratings, representing
25% of the pool. Six loans, representing 16% of the pool, have
defeased and are secured by U.S. Government securities. Defeased
loans represented 12% of the pool at last review.
Eleven loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance. Not all loans on the
watchlist are delinquent or have significant issues.
Two loans have been liquidated from the trust, resulting in an
aggregate $5.0 million loss (54% loss severity on average). Five
loans, representing 8% of the pool, are currently in special
servicing. The largest specially-serviced loan is the Providence
Biltmore Hotel ($22.3 million -- 2.8% of the pool), which is
secured by a full service 290-room hotel located in downtown
Providence, Rhode Island. The loan was transferred to special
servicing in February 2009 due to imminent default. The loan is
current and the borrower has requested a loan modification.
The second largest specially serviced loan is Turnbury Park
Apartments ($15.6 million -- 1.9% of the pool), which is secured
by a 161 unit multifamily property located in Canton, Michigan.
The loan was transferred to special servicing in July 2009 due to
imminent default. The property's performance has declined
significantly since securitization due to a decrease in occupancy
and increased operating expenses.
The remaining three specially serviced loans are secured by two
office properties and a parking facility. Moody's estimates an
aggregate $23.5 million loss for the specially serviced loans (39%
loss severity on average).
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability for three loans
(4.2% of the pool) and has estimated an aggregate loss of
$8.5 million (25% loss severity on average) from these troubled
loans. Moody's rating action recognizes potential uncertainty
around the timing and magnitude of loss from these troubled loans.
Moody's was provided with full-year 2008 operating results for 94%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV ratio is 94% the same as at last
review. Although the overall LTV of the pool has been stable
since last review, credit quality dispersion has increased. Based
on Moody's analysis, 42% of the pool has an LTV in excess of 100%
and 18% of the pool has an LTV in excess of 120%. This compares
to 23% and 4%, respectively, at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.31X and 1.12X, respectively, compared to
1.34X and 1.10X at last review. Moody's actual DSCR is based on
Moody's net cash flow 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 is 40. The pool
has a Herf of 18 compared to 25 at last review.
The largest loan with an underlying rating is the 111 Eighth
Avenue Loan ($81.2 million -- 10.1% of the pool), which represents
a 19% interest in a $427.5 million first mortgage loan. The loan
is secured by a 2.9 million square foot office and telecom
building located in the Chelsea area of New York City. The
property is also encumbered by a $50 million B-note which is held
outside the trust. The property was 99% leased as of December
2009, essentially the same as at last review. The largest tenants
include Google (16% of the net rentable area; lease expirations in
June 2018 and February 2021), Sprint (7% of the NRA; lease
expirations in December 2014 and December 2024) and CCH Legal
Information (7% of the NRA; lease expirations in August 2015 and
February 2019). Performance has improved since last review due to
increased rental revenues and amortization. Moody's LTV and
stressed DSCR are Baa1 and 1.53X, respectively, compared to Baa2
and 1.39X at last review.
The second largest loan with an underlying rating is the Jersey
Gardens Loan ($77.3 million -- 8.9% of the pool), which represents
a 52% participation interest in a $150 million first mortgage
loan. The loan is secured by the borrower's interest in a
1.3 million square foot outlet mall located in Elizabeth, New
Jersey. The largest tenants are Loews Theatres (9% of the gross
leaseable area; lease expiration December 2020), Burlington Coat
Factory (6% of the GLA; lease expiration January 2020) and Cohoes
Fashion (5% of the GLA; lease expiration January 2015). The
property was 99% occupied as of December 2009, essentially the
same as at last review. Property performance has been stable.
The loan sponsor is Glimcher Realty Trust (Moody's preferred stock
rating B2; negative outlook). Moody's current underlying rating
and stressed DSCR are Baa1 and 1.48X, respectively, compared to
Baa1 and 1.40X at last review.
The third largest loan with an underlying rating is the 731
Lexington Avenue Loan ($44.0 million -- 5.4% of the pool), which
represents a 16% participation interest in the senior portion of a
first mortgage loan totaling $276.1 million. The loan is secured
by a 694,000 square foot office condominium situated within a
1.4 million square foot complex located in midtown Manhattan. The
property is also encumbered by an $86 million B-note that is held
outside of the trust. The property is 100% leased to Bloomberg,
LP through 2028. Moody's current underlying rating is A3, the
same as at last review.
The three largest conduit loans represent 17.3% of the pool. The
largest conduit loan is the Parmatown Shopping Center Loan
($64.5 million -- 9.0% of the pool), which is secured by the
borrower's interest in a 1.2 million square foot regional mall
located approximately 10 miles south of downtown Cleveland in
Parma, Ohio. The center is anchored by Macy's, JC Penney and Wal-
Mart. The property was 84% leased as of December 2009 compared to
90% at last review. Property performance has declined due to a
decrease in revenues and increased expenses. Moody's LTV and
stressed DSCR are 123% and 0.82X, respectively, compared to 95%
and 1.05X at last review.
The second largest conduit loan is the Military Circle Mall Loan
($57.0 million -- 7.1% of the pool), which is secured by the
borrower's interest in a 942,700 square foot regional mall located
in Norfolk, Virginia. The property is anchored by JC Penney,
Macy's and Sears. The center was 93% leased as of December 2009
compared to 95% at last review. The overall performance has
declined due to increased operating expenses. Moody's LTV and
stressed DSCR are 88% and 1.17X, respectively, compared to 86% and
1.19X at last review.
The third largest conduit loan is the Escondido Village Shopping
Center ($17.7 million -- 2.2% of the pool), which is secured by an
187,000 square foot retail property located in Escondido,
California. The property is part of a larger retail center
totaling 257,000 square feet. The largest tenants are Joya Food
Enterprises (24% of the NRA, expiration December 2024) and Rite
Aid (15% of the NRA, expiration March 2018). The property was 92%
leased as of September 2009 compared to 100% at last review.
Property performance has declined since last review due to a
decrease in rental revenues and increased operating expenses.
Moody's LTV and stressed DSCR are 95% and 1.04X, respectively,
compared to 89% and 1.10X at last review.
Moody's rating action is:
-- Class A-2 $75,974,575, affirmed at Aaa; previously assigned
at Aaa on 8/16/2004
-- Class A-3, $86,536,000, affirmed at Aaa; previously assigned
at Aaa on 8/16/2004
-- Class A-4, $428,386,000, affirmed at Aaa; previously assigned
at Aaa on 8/16/2004
-- Class A-1A, $72,384,656, affirmed at Aaa; previously assigned
at Aaa on 8/16/2004
-- Class X-1, notional, affirmed at Aaa; previously assigned at
Aaa on 8/16/2004
-- Class X-2, notional, affirmed at Aaa; previously assigned at
Aaa on 8/16/2004
-- Class B, $25,678,000, affirmed at Aa1; previously upgraded to
Aa1 on 3/27/2007
-- Class C, $10,504,000, downgraded to Aa3 from Aa2; previously
placed on review for possible downgrade on 10/22/2009
-- Class D, $18,675,000, downgraded to A3 from A1; previously
placed on review for possible downgrade on 10/22/2009
-- Class E, $12,839,000, downgraded to Baa2 from A3; previously
placed on review for possible downgrade on 10/22/2009
-- Class F, $10,504,000, downgraded to Ba1 from Baa1; previously
placed on review for possible downgrade on 10/22/2009
-- Class G, $15,173,000, downgraded to B2 from Baa2; previously
placed on review for possible downgrade on 10/22/2009
-- Class H, $14,006,000, downgraded to Caa2 from Baa3;
previously placed on review for possible downgrade on
10/22/2009
-- Class J, $5,836,000, downgraded to Caa3 from Ba1; previously
placed on review for possible downgrade on 10/22/2009
-- Class K, $5,836,000, downgraded to Ca from Ba2; previously
placed on review for possible downgrade on 10/22/2009
-- Class L, $4,669,000, downgraded to C from Ba3; previously
placed on review for possible downgrade on 10/22/2009
-- Class M, $2,334,000, downgraded to C from B1; previously
placed on review for possible downgrade on 10/22/2009
-- Class N, $3,502,000, downgraded to C from B2; previously
placed on review for possible downgrade on 10/22/2009
-- Class O, $3,501,000, downgraded to C from B3; previously
placed on review for possible downgrade on 10/22/2009
GMAC COMMERCIAL: S&P Downgrades Ratings on 12 2006-C1 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes of commercial mortgage-backed securities from GMAC
Commercial Mortgage Securities Inc. Series 2006-C1 Trust and
removed them from CreditWatch with negative implications. In
addition, S&P affirmed its ratings on 12 additional classes from
the same transaction and removed four of them 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 the rating actions. The downgrades of the mezzanine and
subordinate classes also reflect credit support erosion that S&P
anticipate 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 1.49x and a loan-to-value ratio
of 102.6% for the pooled loans. S&P further stressed the pooled
loans' cash flows under its 'AAA' scenario to yield a weighted
average DSC of 0.94x and an LTV of 137.4%. The implied defaults
and loss severity under the 'AAA' scenario were 78.6% and 36.6%,
respectively. All of the DSC and LTV calculations S&P noted above
exclude five ($195.3 million, 11.9%) of the seven specially
serviced assets. S&P separately estimated losses for these five
assets and included them in its 'AAA' scenario implied default and
loss figures.
The affirmations of the ratings on the principal and interest
classes reflect subordination levels that are consistent with the
outstanding ratings through various stress scenarios. S&P
affirmed its ratings on the class XP and XC 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
Seven assets ($209.0 million, 12.7%) in the pool are with the
special servicers, CWCapital Asset Management LLC and Midland Loan
Services Inc., including the largest and sixth-largest loans in
the pool. A breakdown of the specially serviced assets by payment
status is: two ($5.5 million, 0.3%) are REO; two ($13.7 million,
0.8%) are in bankruptcy; one ($17.8 million, 1.1%) is more than 90
days delinquent; one ($67.6 million, 4.1%) is more than 60 days
delinquent; and one ($104.4 million, 6.3%) is current. Two of the
specially serviced assets have appraisal reduction amounts in
effect totaling $3.1 million.
The DDR/Macquarie Mervyn's Portfolio loan ($104.4 million, 6.3%)
is the largest loan in the pool and is in special servicing. The
$225.4 million whole loan consists of three pari passu notes: a
$104.4 million fixed-rate A-1 note in this transaction, a
$104.4 million fixed-rate A-2 note in GE Commercial Mortgage
Corp.'s series 2005-C4, and a $16.7 million floating-rate A-3 note
included in COMM 2005-FL11. The whole loan is currently secured
by 30 single-tenant retail properties that formerly operated as
Mervyn's discount department stores. 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, a new
funding for tenant improvements and leasing commissions, debt
service reserves, and the release of collateral properties when
sold for 115% of the allocated loan amount. As of the January
2010 remittance date, the payment status is current and the
reported TI/LC reserves and debt service reserves totaled
$45.9 million. To date, five properties have been sold without a
loss to the trust, three were fully leased, three were partially
leased, and three additional full lease approvals are pending
documentation.
Although the recent sales did not result in losses to the trust,
the pricing suggests that there may be minimal equity remaining in
the portfolio. This likely prompted the borrower to recently
offer a deed in lieu. Midland is reviewing the request and could
propose the appointment of a receiver to manage the collateral.
Given the deteriorating retail environment, Standard & Poor's
believes the resolution of the remaining properties could result
in a moderate loss to the trust.
The Beyman Multifamily Portfolio ($67.6 million, 4.1%) is the
sixth-largest loan exposure in the pool and the second-largest
loan exposure in special servicing. The portfolio is composed of
two cross-collateralized and cross-defaulted loans secured by
three garden-style apartment complexes with 720 units in Phoenix,
Ariz., and Memphis, Tenn. The reported DSC was 0.88x and
occupancy was 90.1% for the six-month period ended June 30, 2009.
The loan was transferred to the special servicer, CWCapital, on
Jan. 6, 2010, due to imminent default and is now more than 60 days
delinquent. Standard & Poor's expects a significant loss upon the
resolution of this asset.
The five remaining specially serviced loans have balances that
individually represent 1.1% or less of the total pool balance.
S&P estimated losses for three ($23.3 million, 1.4%) of these five
assets, resulting in an average loss severity of 26.8%. The
remaining two loans represent less than 0.9% of the total pool
balance. CWCapital is in discussions with the borrowers regarding
a potential modification.
Transaction Summary
As of the January 2010 remittance report, the collateral pool had
an aggregate trust balance of $1.647 billion, which is 97.0% of
the balance at issuance. The pool includes 117 assets, compared
to 119 at issuance. Berkadia Commercial Mortgage LLC is the
master servicer for the transaction. Berkadia provided financial
information for 98.7% of the loans in the pool, and 92.0% of the
servicer-provided information was full-year 2008 or interim-2009
data. S&P calculated a weighted average DSC of 1.56 for loans
based on the reported figures. S&P's adjusted DSC and LTV were
1.49x and 102.6%, respectively. S&P's adjusted DSC and LTV
figures exclude five ($195.3, 11.9%) specially serviced assets,
which S&P stressed separately. To date, the transaction has
experienced principal losses of $22.1 million (52.8% loss
severity) due to the liquidation of two loans ($41.9 million).
Fourteen loans ($183.4 million, 11.18%) are on the master
servicer's watchlist, including two of the top 10 loans, which S&P
discuss below. Five loans ($24.4 million, 1.5%) have reported DSC
between 1.0x and 1.10x, and eight loans ($94.7 million, 5.8%) have
reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$735.6 million (46.7%). 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 were 1.28x and 116.4%, respectively,
for the top 10 loans. Two of the top 10 loans are in special
servicing, which S&P discussed above, and two of top 10 loans are
on Berkadia's watchlist as discussed below.
The BellSouth Tower loan ($72.0 million, 4.4%) is the fifth-
largest loan in the pool and the largest loan on the watchlist.
The loan is secured by 30-story, 956,201-sq.-ft. office complex
in Jacksonville, Florida built in 1983 and renovated in 2003. The
reported DSC was 0.78x and occupancy was 73.0% for the nine-months
ended Sept. 30, 2009, down from 1.08x and 81.2%, respectively, at
year-end 2008. The declines are primarily due to space vacated in
2009 that has not been re-tenanted and an increase in real estate
taxes and insurance expenses.
The Executive Center Portfolio ($51.5 million, 3.1%) is the
eighth-largest loan in the pool and the second-largest loan on the
master servicer's watchlist. The loan is secured by three office
buildings in Springdale, Ohio, constructed between 1983 and 1987
with 486,963 sq. ft. The loan is on the watchlist because General
Electric, which occupies 63.1% of net rentable area, will vacate
the property when its lease expires in March 2010. The borrower
has indicated that there are several prospects interested in the
space.
Standard & Poor's stressed the 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
GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust
Commercial mortgage pass-through certificates series 2006-C1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A AAA/Watch Neg 19.66
A-J BBB AAA/Watch Neg 12.56
B BB+ AA/Watch Neg 10.33
C BB AA-/Watch Neg 9.15
D BB- A/Watch Neg 8.36
E B+ A-/Watch Neg 7.04
F B BBB+/Watch Neg 5.99
G B- BBB-/Watch Neg 4.81
H CCC BB/Watch Neg 3.62
J CCC- B-/Watch Neg 2.18
K CCC- CCC+/Watch Neg 1.78
L CCC- CCC/Watch Neg 1.39
Ratings Affirmed And Removed From Creditwatch Negative
GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust
Commercial mortgage pass-through certificates series 2006-C1
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
M CCC- CCC-/Watch Neg 0.86
N CCC- CCC-/Watch Neg 0.73
O CCC- CCC-/Watch Neg 0.47
P CCC- CCC-/Watch Neg 0.08
Ratings Affirmed
GMAC Commercial Mortgage Securities Inc. Series 2006-C1 Trust
Commercial mortgage pass-through certificates series 2006-C1
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 30.18
A-1D AAA 30.18
A-2 AAA 30.18
A-3 AAA 30.18
A-4 AAA 30.18
A-1A AAA 30.18
X-P AAA N/A
X-C AAA N/A
N/A - Not applicable.
GREENWICH CAPITAL: S&P Downgrades Ratings on 13 2005-GG3 CMBS
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of commercial mortgage-backed securities from Greenwich
Capital Commercial Funding Corp.'s series 2005-GG3 and removed
them from CreditWatch with negative implications. In addition,
S&P affirmed its ratings on eight additional classes from the same
transaction and removed one of them 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 its rating actions. The downgrades of the subordinate
classes also reflect credit support erosion S&P anticipate will
occur upon the eventual resolution of seven 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 1.55x and a loan-to-value ratio of 86.4%. S&P
further stressed the loans' cash flows under its 'AAA' scenario to
yield a weighted average DSC of 1.06x and an LTV of 115.1%. The
implied defaults and loss severity under the 'AAA' scenario were
60.5% and 25.9%, respectively. The DSC and LTV calculations S&P
noted above exclude nine defeased loans ($123.3 million, 4.2%) and
seven ($78.7 million, 2.7%) of the 15 specially serviced assets.
S&P separately estimated losses for these seven assets 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 ratings on the class XP
and XC 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 January 2010 remittance report, 15 assets
($751.8 million, 25.7%) in the pool were with the special
servicers, CWCapital Asset Management and LNR Partners Inc.
CWCapital serves as the special servicer for all the loans in the
pool except for the Grand Canal Shoppes at the Venetian loan,
which LNR services. Three of the top 10 loans are in special
servicing, and S&P discuss them below. The payment status of the
specially serviced assets is: one is real estate owned
($2.7 million, 0.1%), two are in foreclosure ($16.6 million,
0.6%), four are in bankruptcy ($608.5 million, 20.8%), three are
90-plus-days delinquent ($30.4 million, 1.0%), one is 60 days
delinquent ($28.9 million, 1.0%), and four are current
($64.6 million, 2.2%). Seven of the specially serviced assets
have appraisal reduction amounts in effect totaling $67.0 million.
The three largest loans with the special servicer ($592.4 million,
20.3%) are top ten loans and are secured by retail malls owned by
General Growth Properties. All three loans were transferred to
the special servicer in April 2009 following the bankruptcy filing
of GGP on April 16, 2009. On Dec. 15, 2009, the bankruptcy court
confirmed a modification plan for 85 GGP loans, including these
three loans. According to CWCapital and LNR, all three loans will
be returned to the master servicer when the servicers finalize the
loan modifications. Details of the three loans are:
The North Star Mall loan ($232.6 million, 8.0%) is the largest
loan in the pool. The loan is secured by 493,706 sq. ft. of a
1.26 million-sq.-ft. retail mall in San Antonio, Texas. CWCapital
has confirmed that the maturity date of this loan was extended
until January 2014. As of year-end 2008, the reported DSC was
1.75x and occupancy was 97.8%, compared with 1.88x and 100%,
respectively, at issuance.
The Grand Canal Shoppes at the Venetian loan ($215.3 million,
7.4%) is the third-largest loan in the pool. The loan is secured
by a 407,103-sq.-ft. retail concourse in Las Vegas, Nev. The
special servicer for this loan, LNR, has confirmed that the
maturity date of this loan was extended until May 2014. As of
September 2009, the reported occupancy was 99.6%, compared with
98% at issuance.
The Mall St. Matthews loan ($144.6 million, 5.0%) is the fifth-
largest loan in the pool. The loan is secured by 700,908 sq. ft.
of a 1.1 million-sq.-ft. retail mall in Louisville, Ky. CWCapital
has confirmed that the maturity date of this loan was extended
until January 2014. As of year-end 2008, the reported DSC was
1.38x and occupancy was 77.3%, compared with 1.70x and 100%,
respectively, at issuance. More recently, occupancy at the
property was reported at 88% as of September 2009.The Atlanta
Decorative Arts Center loan ($45.6 million, 1.6%) was transferred
to the special servicer on Nov. 5, 2009, due to an imminent
monetary default. The loan is secured by a 427,351-sq.-ft. office
building in Atlanta, Ga., and built in 1960. The loan is current
and discussions for a possible loan extension are underway. The
reported DSC as of year-end 2008 is 2.28x, compared with 1.86x at
issuance.
The 11 remaining specially serviced assets have balances that
individually represent less than 1.0% of the total pool balance.
S&P estimated losses for seven of these 11 assets, resulting in
loss severities ranging from 24.6% to 79.2%. The special
servicers are working out loan modifications for the remaining
four loans.
Transaction Summary
As of the January 2010 remittance report, the collateral pool
balance was $2.92 billion, which is 81.3% of the balance at
issuance. The pool includes 126 loans, down from 142 at issuance.
As of the January 2010 remittance report, the master servicer,
Berkadia Commercial Mortgage LLC, provided financial information
for 99.6% of the pool; 87.5% of the servicer-provided information
was full-year 2008 or interim 2009 data. S&P calculated a
weighted average DSC of 1.58x for the nondefeased loans in the
pool based on the reported figures. S&P's adjusted DSC and LTV
were 1.55x and 86.4%, respectively, which exclude nine defeased
loans ($123.3 million, 4.2%) and seven of the 15 specially
serviced assets ($78.7 million, 2.7%). S&P estimated losses
separately for these seven loans. Thirty-two loans
($317.8 million, 10.9%) are on the master servicer's watchlist,
including one of the top 10 loans, which S&P discuss below.
Twenty-one loans ($212.3 million, 7.3%) have a reported DSC below
1.10x, and 15 of these loans ($119.0 million, 4.1%) have a
reported DSC of less than 1.0x. The transaction has experienced
two principal losses totaling $4.8 million to date.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.465 billion (50.1%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.65x for the top 10 loans.
Three of the top 10 loans ($592.4 million, 20.3%) are in special
servicing and one ($68.1 million, 2.3%) 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 80.9%,
respectively.
The Doral Arrowwood Hotel ($68.1 million, 2.3%) is the 10th-
largest loan in the pool and the largest loan on the watchlist.
The loan is secured by a 374-room hotel in Rye Book, N.Y., and it
appears on the watchlist due to a decrease in DSC. The reported
year-end 2008 DSC was 1.05x and occupancy was 66.0%, compared with
2.11x and 64%, respectively, 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
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B AA- AA/Watch Neg 12.74
C A+ AA-/Watch Neg 11.36
D A- A/Watch Neg 9.36
E BBB+ A-/Watch Neg 8.13
F BBB BBB+/Watch Neg 6.60
G BBB- BBB/Watch Neg 5.37
H BB+ BBB-/Watch Neg 3.98
J BB BB+/Watch Neg 3.68
K B+ BB/Watch Neg 3.22
L B BB-/Watch Neg 2.60
M CCC B/Watch Neg 2.14
N CCC- B-/Watch Neg 1.83
O CCC- CCC+/Watch Neg 1.37
Rating Affirmed And Removed From Creditwatch Negative
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG3
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J AAA AAA/Watch Neg 16.59
Ratings Affirmed
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-GG3
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 24.42
A-3 AAA 24.42
A-AB AAA 24.42
A-4 AAA 24.42
A-1A AAA 24.42
XP AAA N/A
XC AAA N/A
N/A - Not applicable.
GTP TOWERS: Fitch Issuer Presale Report on Series 2010-1 Notes
--------------------------------------------------------------
Fitch Ratings has issued a presale report on GTP Towers Issuer,
LLC Secured Tower Revenue Notes, Global Tower Series 2010-1.
Fitch expects to rate the transaction:
-- $200,000,000 class C 'A-';
-- $50,000,000 class F 'BB-'.
The expected ratings are based on information provided by the
issuer as of Jan. 25, 2010.
The transaction is an issuance of notes backed by mortgages
representing no less than 80% of the annualized run rate NCF and
is guaranteed by the direct parent of the borrower. Those
guarantees are secured by a pledge and first priority perfected
security interest in 100% of the equity interest of the borrower,
which owns or leases 1,351 wireless communication sites, and of
its direct parent, respectively. Both the direct and indirect
parents of the borrower are special purpose entities.
GTP TOWERS: Moody's Assigns Ratings on Two Classes of Notes
-----------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to two
classes of Secured Tower Revenue Notes issued by GTP Towers
Issuer, LLC, an indirect wholly owned subsidiary of Global Tower
Holdings, LLC, which in turn is controlled by affiliated funds of
The Macquarie Group.
The complete rating actions are:
Issuer Entity: GTP Towers Issuer, LLC
-- $200,000,000 Class C Fixed Rate Secured Tower Revenue Notes,
Global Tower Series 2010-1, rated P(A2)
-- $50,000,000 Class F Fixed Rate Secured Tower Revenue Notes,
Global Tower Series 2010-1, rated P(Ba2)
Global Tower Partners is the 4th largest independent (non-carrier)
owner/operator of wireless towers in the U.S. GTP was founded in
2002 and is currently controlled by affiliated funds of The
Macquarie Group. The Issuer, a wholly indirect subsidiary of GTP,
is structured as a bankruptcy remote special purpose entity. The
$250,000,000 Series 2010-1 notes will be secured by 1,351 telecom
sites (the tower sites) that are mostly owned or leased by the
Issuer or one of its affiliates. Space on the towers is in turn
leased to a variety of users, primarily major wireless telephony
carriers. As of November 2009, this tower pool had an annualized
run rate net cash flow of approximately $33 million.
The provisional ratings of the 2010 notes are derived from an
assessment of the present value of the net cash flow that the
tower pool is anticipated to generate from leases on the towers,
compared to the cumulative debt being issued at each rating
category. The major risk is of developments which could reduce
the value of the lease cash flow from wireless carriers. This
could arise, for example, from the development of wireless
communication technology that reduces the need for wireless towers
or due to overbuilding or pricing pressures from the wireless
carrier lessees. Moody's think that such risks are consistent
with the ratings and tenor of the 2010 notes, in part because
Moody's expect additional demand for cell tower infrastructure in
the next few years as a result of the expected buildup of the 3G
and 4G network by the wireless carriers. The provisional ratings
also take into account the fact that GTP is an unrated company
much smaller than the other publicly traded cell tower operators.
Nevertheless, the tower assets are serviceable by third parties
and Moody's view control by certain Macquarie funds as providing
further stability. While the pool to be securitized is relatively
small compared to other cell tower transactions, the pool is very
well-diversified geographically. Finally, noteholder will be
secured by a first mortgage lien on the Asset Entities' interests
(fee, leasehold or easement) in tower sites representing not less
than 80% of the Annualized Run Rate Net Cash Flow. This will
enable the Indenture Trustee to foreclose directly on these
assets/rights in addition to being able to foreclose on the equity
of the Asset Entities themselves.
Moody's V-Score And Parameter Sensitivities
The V Score for this transaction is Medium or Average. The V
Score indicates "Average" structure complexity and uncertainty
about critical assumptions.
The Medium or average score for this transaction is driven by the
Medium score for historical sector and issuer performance and data
and Medium transaction governance. The Medium for historical
performance and data for the sector is attributed to the fact that
the data dates back only fifteen years or so, while securitization
data go back only about five years. The Medium for the Issuer's
historical performance and data is derived from Moody's view that
even though GTP is relatively young and has existed for less than
ten years, Moody's think that historical performance is a good
indicator for future performance due to the nature of the assets
and the sector. Finally, the Medium for transaction governance is
mainly because of the limited experience of GTP in securitizations
having done only one such transaction in 2007 and the fact that
GTP is an unrated and relatively small company compared to the
other publicly traded cell tower operators.
Moody's Parameter Sensitivities -- In the ratings analysis Moody's
use various assumptions to assess the present value of the net
cash flow that the tower pool is anticipated to generate. Based
on these cash flows, the quality of the collateral and the
transaction's structure, the total amount of debt that can be
issued at a given rating level is determined. Hence, a material
change in the assessed net present value could result in a change
in the ratings. Therefore Moody's focus on the sensitivity to
this variable in the parameter sensitivity analysis.
Specifically, if the net cash flow that the tower pool is
anticipated to generate each year is reduced by 5%, 10% and 15%
compared to the net cash flows used in determining the initial
rating, the potential model-indicated rating for the class A would
change from A2 to A3, Baa1, and Baa3, respectively and the ratings
for the Class B would change from Ba2 to B1, B2 and B3,
respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the transaction has
not aged. Furthermore, parameter Sensitivities only reflects the
ratings impact of each scenario from a quantitative/model-
indicated standpoint. Qualitative factors are also taken into
consideration in the ratings process, so the actual ratings that
would be assigned in each case could vary from the information
presented in the Parameter Sensitivity analysis.
As described therein, Moody's derive an asset value for the
collateral which in turn is compared to the proposed bond issuance
amounts. In deriving the value of the assets, Moody's viewed the
historical operating performance of GTP, the performance of GTP's
other securitization issued in May 2007 (GTP Acquisition Partners
I, LLC), evaluated and analyzed comparable public company data and
market information from various third party sources.
These are the key assumptions used in the quantitative analysis:
(i) Revenue Growth -- the telephony tenants revenue growth rates
were derived from the tenants' contractual obligations and were
assumed to be fixed at 3.2% for the life of the transaction.
Revenues from broadcasting were assumed to decline on a continuous
basis over a 15 year period to a third of current levels, and
data/other revenues were assumed to decline to zero based on a
triangular distribution ranging from five to ten years; (ii)
Operating Expenses -- were assumed to vary such that net tower
cash flow margins ranged from 62% to 77% based on a triangular
distribution; (iii) Maintenance Capital Expenditures -- were
assumed to be $720 per tower per annum, and to increase by 2% to
4% every year; (iv) Tenants' Probability of Default (telephony
tenants) -- Moody's "Idealized" default rate table was applied,
using the actual ratings of the Tenants who were rated and
assuming near-default ratings for others; (vi) Discount Rate --
the discount rate applied to the net cash flow was assumed to vary
between 10.00% and 13.00%; (vii) Finally, adjustments were made to
the total amount of debt that can be issued down to the requested
rating level based on the structure of the transaction. In
particular, each class of notes accounts for a larger percentage
of the total debt outstanding compared to similarly rated classes
in the prior cell tower transactions; therefore the notes have
lower severity of loss risk. As a result, Moody's was comfortable
with a somewhat larger individual class sizes than would otherwise
have been the case.
GUGGENHEIM STRUCTURED: Fitch Cuts Ratings on Five 2005-1 Notes
--------------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed one class
of Guggenheim Structured Real Estate Funding 2005-1 reflecting
Fitch's base case loss expectation of 16.3%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market value and cash flow declines.
The transaction is primarily collateralized by subordinate
commercial real estate debt (85.2% of total collateral are either
B-notes or mezzanine loans) and considered concentrated as there
are only ten obligors. Despite the high concentration of
subordinate debt, the modeled recoveries in the lower stress
scenarios are generally higher than the average modeled recoveries
for CRE loan CDOs that have been reviewed under Fitch's updated
criteria to date, due to a less subordinated position within their
respective capital stacks. Nevertheless, in higher stress
scenarios, Fitch expects significant losses upon default for these
assets due to their subordinate position. The trustee reports no
assets as defaulted and three subordinate loans (18.6%) as
impaired as of January 2010.
Guggenheim 2005-1 is a CRE collateralized debt obligation managed
by Guggenheim Structured Real Estate Advisors with $197 million of
collateral. The transaction has a five-year reinvestment period
during which principal proceeds may be used to invest in
substitute collateral. The reinvestment period ends in May 2010.
As of the January 2010 trustee report and per Fitch
categorizations, the CDO was substantially invested: CRE B-notes
(29.7%), CMBS (23%), mezzanine loans (32.5%), and whole loans
(14.5%). The CDO also holds 0.3% in uninvested principal
proceeds. In general, Fitch treats non-senior, single-borrower
CMBS as CRE B-notes.
As of the January 2010 trustee report, the overcollateralization
and interest coverage (IC) ratios have remained above their
covenants with significant cushion.
Under Fitch's updated methodology, approximately 35.3% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 10.7% from third-quarter 2009 cash flows.
Fitch estimates that average recoveries will be 53.8%, which is
higher than the average recoveries (32.7%) for CRE loan CDOs with
significant concentration of subordinated assets that have been
reviewed under Fitch's updated criteria to date.
The largest component of Fitch's base case loss expectation is a
mezzanine loan (19.4%) backed by partnership interests in a
portfolio of 14 full service hotels (5,822 keys) located across
the U.S. The hotels are under the Westin, Sheraton, Marriott, and
Hilton flags. In line with most hotel properties, net cash flow
has declined precipitously since the loan was originated. Fitch
modeled a maturity default in its base case scenario.
The next largest component of Fitch's base case loss expectation
is a mezzanine loan (13.1%) backed by partnership interests in a
portfolio of 108 select service and extended stay hotels (12,638
keys) located across 34 states in the U.S. Fitch modeled a
maturity default in its base case scenario.
The third largest components of Fitch's base case loss expectation
are two B-notes (7.7%) secured by a 524,000 square foot regional
mall. As of September 2009, the mall was 85.9% occupied.
Property net cash flow for year-end 2009 declined 8% since year-
end 2008. Fitch modeled a maturity default in its base case
scenario.
This transaction was analyzed according to the 'U.S. CREL CDO
Surveillance Criteria,' which applies stresses to property cash
flows and uses debt service coverage ratio tests to project future
default levels for the underlying portfolio. Recoveries are based
on stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'.
Based on Fitch's analysis, the credit characteristics for class A
are generally consistent with the 'A' rating category, the credit
characteristics for class B are generally consistent with the
'BBB' rating category, and the credit characteristics for classes
C through E are generally consistent with the 'BB' rating
category.
The class S principal amount is repaid monthly out of CDO cash
flows at the rate of $95,000 per month and is senior in priority
to class A. Fitch estimates that class S will repay in full, with
timely interest in four pay periods in all stress scenarios. As
such, class S credit characteristics are consistent with a 'AAA'
rating and the class is assigned a Stable Rating Outlook.
Classes A through E were each assigned a Negative Rating Outlook
reflecting Fitch's expectation of further negative credit
migration of the underlying collateral. These classes were also
assigned Loss Severity ratings of 'LS3' for class A, 'LS4' for
classes B and C, and 'LS5' for classes D and E. Class S is not
assigned an LS rating due to its fully-amortizing, short-term
nature. The LS ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the expected loss for the collateral under the 'B' stress. LS
ratings should always be considered in conjunction with
probability of default indicated by a class' long-term credit
rating.
Fitch has affirmed and assigned an Outlook to this class:
-- $380,000 class S at 'AAA'; Outlook Stable.
Fitch has downgraded and assigned Rating Outlooks and LS ratings
to these classes, as indicated:
-- $40,822,694 class A to 'A/LS3' from 'AAA'; Outlook Negative;
-- $17,307,900 class B to 'BBB/LS4' from 'AA'; Outlook Negative;
-- $21,126,484 class C to 'BB/LS4' from 'A'; Outlook Negative;
-- $9,693,328 class D to 'BB/LS5' from 'BBB+'; Outlook Negative;
-- $3,931,560 class E to 'BB/LS5' from 'BBB'; Outlook Negative.
Additionally, all classes are removed from Rating Watch Negative.
HOME LOAN: S&P Corrects Ratings on Various 2006-HI4 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes A-1 through A-4 from Home Loan Trust 2006-HI4 by raising
the class A-1 through A-3 ratings to 'BBB-' and the class A-4
rating to 'CC' from 'D'. The underlying collateral for this
transaction consists of second-lien high combined loan-to-value
fixed-rate mortgage loans.
On Dec. 24, 2009, S&P incorrectly lowered its ratings on classes
A-1 through A-4 to 'D' based on the trustee's November 2009
remittance report, which had indicated that these classes had
experienced principal write-downs in a total amount of $607,465.
However, the trustee subsequently issued a revised remittance
report, which removed the realized losses previously allocated to
these classes.
S&P is restoring the ratings on classes A-1 to A-3 to their pre-
Dec. 24 levels, which reflect its analysis of the internal credit
support for these classes; however, due to the deterioration in
the credit support for class A-4, S&P is assigning a 'CC' rating
to this class.
Ratings Corrected
Home Loan Trust 2006-HI4
Rating
------
Class CUSIP Current 12/24/09 Pre 12/24/09
----- ----- ------- -------- ------------
A-1 43718MAA2 BBB- D BBB-/WatchNeg
A-2 43718MAB0 BBB- D BBB-/WatchNeg
A-3 43718MAC8 BBB- D BBB-/WatchNeg
A-4 43718MAD6 CC D BBB-/WatchNeg
HOUSING & REDEV'T: Moody's Cuts Rating on $2,515,000 Bonds to Ba1
-----------------------------------------------------------------
Moody's has downgraded these 3 housing finance agency multifamily
transactions and removed them from Watchlist, following a review
of each transaction's ability to maintain cash flow sufficiency
assuming a 0% reinvestment rate. This action affects
approximately $11.6 million in outstanding debt. All of these
transactions are secured by a mortgage that is guaranteed by
credit enhancement from GNMA or Fannie Mae. None of these issues
have a Guaranteed Investment Contract that assures a fixed rate of
return on invested cash, and therefore all are subject to interest
rate risk on retained revenues. As a result, revenue from the
monthly mortgage receipts, interest earned on those receipts from
money market funds or other short-term investments and monthly
mortgage payments need to be sufficient to support debt service on
the bonds or a parity ratio in excess of 100%. Moody's analyzed
each transaction's projected mortgage revenue, assuming no
reinvestment earnings on the monthly mortgage receipts and
determined that there would not be sufficient coverage of debt
service or parity ratio consistent with a Aaa rating.
1. $6,100,000 of Ohio Housing Finance Agency, Taxable Mortgage
Revenue Refunding Bonds, Series 2002A, B, C & D (GNMA
Collateralized - Oakleaf/Toledo Apartments Project).
Downgraded to Aa2. Last rated on November 5, 2009, when it was
put on Watchlist for Possible Downgrade.
2. $2,950,000 of St. Paul Housing & Redevelopment Auth., MN,
Multifamily Housing Revenue Bonds (Winnipeg Apartments
Project), Series 2007. Downgraded to Ba1. Last rated on
November 5, 2009, when it was put on Watchlist for Possible
Downgrade.
3. $2,515,000 Housing and Redevelopment Authority of the City of
St. Paul, MN, Multifamily Housing Revenue Refunding Bonds (GNMA
Collateralized Mortgage Loan / Sun Cliffe Apartments), Series
1995. Downgraded to Ba1. Last rated on January 21, 2010, when
it was put on Watchlist for Possible Downgrade.
HUNTINGTON 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 Huntington CDO, Ltd.
The notes affected by the rating action are:
-- US$461,750,000 Class A-1A First Priority Senior Secured
Floating Rate Notes Due 2040 (current balance of
$335,577,464), Downgraded to Caa2; previously on March 18,
2009 Downgraded to Baa1;
-- US$250,000 Class A-1B First Priority Senior Secured Floating
Rate Notes Due 2040 (current balance of $181,688), Downgraded
to Caa2; previously on March 18, 2009 Downgraded to Baa1;
-- US$112,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2040, Downgraded to Ca; previously on
March 18, 2009 Downgraded to Caa1.
According to Moody's, the rating downgrade actions are the result
of deterioration in the credit quality of the underlying
portfolio. Such credit deterioration is observed through numerous
factors, including a decline in the average credit rating of the
portfolio (as measured by an increase in the weighted average
rating factor), an increase in the dollar amount of defaulted
securities, and failure of the coverage tests. The weighted
average rating factor, as reported by the trustee, has increased
from 1334 in February 2009 to 1836 in December 2009. During the
same time, defaulted securities increased from $100.2 million to
$219.6 million, and the Class A/B Overcollateralization Ratio
decreased from 91.92% to 70.02% and the coverage test is failing.
Huntington CDO, Ltd., is a collateralized debt obligation issuance
backed primarily by a portfolio of residential mortgage backed
securities.
Moody's continues to monitor this transaction using primarily the
methodology and its supplements for ABS CDOs as described in
Moody's Special Report below:
-- Moody's Approach to Rating SF CDOs (August 2009)
In deriving its ratings, Moody's uses the collateral instrument's
current rating-based expected loss, Moody's recovery rate table,
and the original rating of the instrument along with its average
life to infer an unadjusted default probability. In addition to
the quantitative factors that are explicitly modeled, qualitative
factors are part of rating committee considerations. These
qualitative factors include the structural protections in each
transaction, the recent deal performance in the current market
environment, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
INDIANAPOLIS: Moody's Downgrades Ratings on Bonds to 'Ba2'
----------------------------------------------------------
Moody's has downgraded from Aaa to Ba2 the Indianapolis (City of)
IN Multifamily Housing Revenue Bonds (Marcy Village Apartments
Project), Series 2001 and removed it from Watchlist, following a
review of cash flow and parity sufficiency for the life of the
bonds assuming a 0% reinvestment rate. This action affects
$7.2 million in debt. The bonds are secured by a mortgage that is
guaranteed by a Fannie Mae Stand-by Credit Enhancement Instrument
and were structured without a Guaranteed Investment Contract that
assures a fixed rate of return on invested cash, subjecting the
transaction to interest rate risk on retained revenues. As a
result, revenue from the monthly mortgage receipts, interest
earned on those receipts from money market funds or other short-
term investments and monthly mortgage payments need to be
sufficient to support debt service on the bonds. Additionally, at
all times the ratio of the value of the assets held by the
trustee, consisting of the amortized value of the credit-enhanced
mortgage and funds pledged to bondholders, to the bonds
outstanding and accrued interest to any redemption date should
exceed 100%.
Assuming no reinvestment earnings on the monthly mortgage
receipts, the projected ratio of assets to liabilities would not
be consistent with a Aaa rating. Based on information Moody's
have received, Moody's believe that the declines in the parity
ratio are primarily due to the failure to redeem bonds as directed
under the indenture. Also contributing to the shortfall are the
very low investments earnings over the past few years.
The last rating action with respect to the Series 2001 bonds was
on January 28, 2010, when the bonds were placed on Watchlist for
Possible Downgrade.
INDOSUEZ CAPITAL: Fitch Downgrades Rating on Class C Notes
----------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed two classes of
notes issued by Indosuez Capital Funding VI Ltd./Corp.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' 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 downgrade of the class C notes is the result of increased
obligor concentration among high-yield issuers, along with the
erosion of par coverage due to principal proceeds being used to
pay interest expenses. Although the class C notes are currently
overcollateralized, as evidenced by the class C OC ratio of 103.4%
as of the Dec. 31, 2009 trustee report, there is a limited cushion
for future losses due to the concentrated nature of the portfolio.
Only 10 performing obligors remain in the portfolio. All but one
of these obligors are rated in the 'BB' or 'B' category. Fitch
calculates that eight of the performing obligors are of sizes
greater than the credit enhancement available to the class C
notes, demonstrating the significant sensitivity of the class C
notes to a potential default of any of the remaining obligors.
Large interest rate swap payments owed by the transaction have led
to a shortfall of available interest proceeds to the notes,
causing approximately $148,000 of principal proceeds to be used to
pay class C interest at the last payment date in December 2009.
This diversion is expected to continue at least through the next
payment date, further reducing the already slim par coverage
available to the class C notes. Additionally, five of the
remaining assets are scheduled to mature after the transaction's
stated maturity in September 2012, exposing the class C notes to
potential market value risk upon the sales of these assets. The
limited overcollaterization of the class C notes, erosion of
principal coverage to fulfill note interest obligations and the
market value risk of the long-dated assets all lead Fitch to
believe that an ultimate principal shortfall is a real possibility
for the class C notes.
Depending on the timing of future principal and interest receipts,
it may be possible for both class C coverage tests to become
compliant with their triggers, enabling the class D notes to
resume partial interest payments. However, the probability of
curing the class C coverage tests and the limited amount of
proceeds available to the class D notes indicate low, if any,
expected recoveries for the class D notes.
The class C, D-1 and D-2 notes were assigned Recovery Ratings in
this rating review based on the discounted 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'.
Indosuez VI is a cash flow collateralized debt obligation that
closed on Sept. 14, 2000, and is currently managed by LCM Asset
Management LLC, having succeeded the original manager Indosuez
Capital in July 2004. LCM Asset Management LLC was previously
known as Lyon Capital Management LLC before its acquisition by
Tetragon Financial Group Limited in January 2010. Indosuez VI
exited its reinvestment period in September 2005 and currently has
a portfolio consisting of high yield bonds and loans from 10
performing obligors, along with four defaulted obligations from
three obligors.
Fitch has downgraded, affirmed and assigned Recovery Ratings to
these notes as indicated:
-- $18,357,222 class C notes downgraded to 'CCC/RR2' from 'B';
-- $15,268,008 class D-1 notes affirmed at 'C/RR6';
-- $5,513,559 class D-2 notes affirmed at 'C/RR6'.
In addition, this class has been paid in full:
-- $0 class B notes 'PIF'.
INFINITI SPC: S&P Downgrades Ratings on CPORTS 2006-1 Notes to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
classes B and B-E fixed-rate notes from Infiniti SPC Ltd.'s CPORTS
2006-1 to 'D' from 'CCC-'.
The downgrades follow a number of credit events within the
underlying pool of corporate reference entities. S&P received
final valuations on the credit events in the underlying portfolio,
which indicated that losses in the portfolio had caused the notes
to incur partial principal losses.
Ratings Lowered
Infiniti SPC Ltd.
CPORTS 2006-1
Rating
------
Class To From
----- -- ----
B D CCC-
B-E D CCC-
JER CRE: S&P Downgrades Ratings on 10 Classes of 2006-2 Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes from JER CRE CDO 2006-2 Ltd., a commercial real estate
collateralized debt obligation transaction. Nine of the lowered
ratings remain on CreditWatch with negative implications, and S&P
removed one from CreditWatch negative.
The downgrades reflect S&P's analysis of the transaction following
S&P's rating actions on commercial mortgage-backed securities that
serve as underlying collateral for JER 2006-2. The securities are
from six transactions and total $209.8 million (18.1% of the total
asset balance). The nine ratings that remain on CreditWatch
negative reflect the transaction's exposure to CMBS collateral
with ratings on CreditWatch negative ($125.4 million, 11%).
According to the Jan. 20, 2010, trustee report, JER 2006-2 was
collateralized by 98 classes of CMBS ($841.1 million, 72.5%) from
21 distinct transactions issued from 1998 through 2007. JER 2006-
2 has exposure to these CMBS transactions that Standard & Poor's
has downgraded:
* JPMorgan Chase Commercial Mortgage Securities Corp.'s series
2006-LDP8 (classes H through P; $65.4 million, 5.6%);
* CD 2006-CD3 Mortgage Trust (classes K through Q; $60 million,
5.2%); and
* Morgan Stanley Capital I Trust 2006-HQ9 (classes K through Q;
$55.7 million, 4.8%).
In addition, JER 2006-2 is collateralized by 10 commercial real
estate loans ($268.5 million, 23.1%), which are either first-
mortgage or mezzanine loans. The remaining collateral for JER
2006-2 is six classes ($50.4 million, 4.4%) of resecuritized real
estate mortgage investment conduit or CRE CDO securities from two
distinct transactions issued in 2004 and 2005.
S&P will update or resolve the CreditWatch negative placements on
JER 2006-2 in conjunction with its CreditWatch resolutions of the
underlying CMBS assets.
Ratings Lowered And Remaining On Creditwatch Negative
JER CRE CDO 2006-2 Ltd.
Rating
------
Class To From
----- -- ----
A-FL BBB+/Watch Neg A/Watch Neg
B-FL BB+/Watch Neg BBB/Watch Neg
C-FL BB+/Watch Neg BBB-/Watch Neg
C-FX BB+/Watch Neg BBB-/Watch Neg
D-FL BB/Watch Neg BB+/Watch Neg
D-FX BB/Watch Neg BB+/Watch Neg
E-FL B+/Watch Neg BB/Watch Neg
E-FX B+/Watch Neg BB/Watch Neg
F-FL B-/Watch Neg B/Watch Neg
Rating Lowered And Removed From Creditwatch Negative
JER CRE CDO 2006-2 Ltd.
Rating
------
Class To From
----- -- ----
G-FL CCC- B-/Watch Neg
JPMORGAN CHASE: S&P Downgrades Ratings on 15 2005-LDP2 Securities
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage-backed securities from JPMorgan
Chase Commercial Mortgage Securities Corp.'s series 2005-LDP2 and
removed them from CreditWatch with negative implications.
In addition, S&P affirmed its ratings on 11 other classes from the
same transaction and removed three of them 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 subordinate
and mezzanine classes also reflect the credit support erosion S&P
anticipate will occur upon the eventual resolution of 10 specially
serviced loans, as well as its analysis of three loans 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 of 1.49x and a loan-
to-value ratio of 99.9%. S&P further stressed the loans' cash
flows under its 'AAA' scenario to yield a weighted average DSC of
1.01x and an LTV of 127.1%. The implied defaults and loss
severity under the 'AAA' scenario were 67.7% and 32.1%,
respectively. The DSC and LTV calculations S&P note above exclude
11 defeased loans ($76.5 million, 2.7%), 10 specially serviced
loans ($116.6 million, 4.2%), and three additional loans that S&P
deemed to be credit-impaired ($15.2 million, 0.5%). S&P
separately estimated losses for the 10 specially serviced loans
and three credit-impaired 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 ratings on the class X-
1 and X-2 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 ratings on the
IO certificates that S&P affirmed.
Credit Considerations
As of the January 2010 remittance report, 15 loans
($115.6 million, 4.1%) in the pool were with the special servicer,
LNR Partners Inc. The payment status of the specially serviced
loans is: two are in foreclosure ($5.4 million, 0.2%), seven are
90-plus-days delinquent ($69.4 million, 2.5%), one is a matured
balloon ($6.3 million, 0.2%), and five are current ($34.6 million,
1.2%). Four of the specially serviced loans have appraisal
reduction amounts in effect totaling $19.4 million.
The Preston Creek loan, the largest loan in special servicing
according to the January 2010 remittance report, has a total
exposure of $26.6 million (0.9%). The loan was transferred to LNR
due to imminent default. The loan is secured by a 334-unit
multifamily structure in McDonough, Georgia. For year-end 2008,
the reported DSC was 0.83x. The special servicer is preparing to
foreclose on the loan. S&P expects a moderate loss for this loan.
The 14 remaining specially serviced loans ($90.0 million, 3.2%)
have balances that individually represent less than 0.6% of the
total pool balance. S&P estimated losses for all of these loans,
which resulted in weighted average loss severity of 26.0%.
S&P notes that seven additional loans ($70.4 million, 2.5%) were
transferred to the special servicer after the January 2010
remittance report was published, including the ninth-largest loan
in the pool. Two related loans were transferred for imminent
maturity default, and the other five were transferred due to
imminent default.
The Cross Creek Shopping Center loan is the ninth-largest loan in
the pool and was reported as 60-days delinquent in its debt
service payments as of the January 2010 remittance report. The
loan is secured by a 363,333-sq.-ft. retail property in Memphis,
Tenn. The reported trailing-nine-month DSC for the period ended
Sept. 30, 2009, was 1.11x, and occupancy was 91.0%. The master
servicer reported that both Old Navy and Bed Bath and Beyond would
vacate the center at the end of January when their leases expired.
Based on this information, Standard & Poor's expects the occupancy
to decrease to 77% and the DSC to fall below 1.0x. If the
property cannot sign new leases for the vacated space, Standard &
Poor's expects a moderate loss upon the resolution of this loan.
In addition to the specially serviced loans, S&P deemed three
loans ($15.2 million; 0.5%) to be credit-impaired. The properties
securing all three loans, 2493 South Oneida Street, Petco-Novi,
MI, and Oak Leaves Office Building, have lost significant tenants.
A former Circuit City store representing 53% of the gross leasable
area at the property securing the 2492 South Oneida Street loan
($5.8 million) is dark. The property securing the Petco-Novi, MI
loan ($4.8 million) is dark due to the departure of Petco. The
Pioneer Press (15% of GLA) vacated the property securing the Oak
Leaves Office Building loan ($4.5 million), leaving the property
53% occupied based on an Oct. 31, 2009, rent roll. Given the
recent tenant departures, S&P deemed all of the loans to be at
increased risk of default and loss, and estimated a weighted
average loss of 28.8%.
Transaction Summary
As of the January 2010 remittance report, the collateral pool
balance was $2.82 billion, which is 94.6% of the balance at
issuance. The pool includes 291 loans, down from 295 at issuance.
The master servicer provided financial information for 97.2% of
the pool, and 96.3% of the servicer-provided information was full-
year 2008 or interim 2009 data. S&P calculated a weighted average
DSC of 1.52x for the nondefeased loans in the pool based on the
reported figures. S&P's adjusted DSC and LTV, which exclude 11
defeased loans ($74.5 million, 2.6%), 10 ($116.6 million, 4.1%)
specially serviced loans, and three credit-impaired loans
($15.2 million, 0.5%), were 1.49x and 99.9%, respectively. S&P
estimated losses separately for the specially and credit-impaired
loans. The transaction has experienced $7.8 million of principal
losses to date. Eighty-three loans ($724.6 million, 25.7%) are on
the master servicer's watchlist, including the largest loan in the
pool. Forty-three loans ($348.2 million, 12.4%) have a reported
DSC below 1.10x, and 33 of these loans ($220.7 million, 7.8%) have
a reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$747.0 million (26.5%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.69x for the top 10 loans.
One of the top 10 loans ($46.0 million total exposure, 1.6%) is
with the special servicer, which S&P discussed in detail above.
One of the top 10 loans ($120.4 million, 4.3%) appears on the
master servicer's watchlist, which S&P discuss in detail below.
Excluding one specially serviced loan, S&P's adjusted DSC and LTV
for the top 10 loans are 1.65x and 98.3%, respectively.
The CityPlace Corporate Center loan is the largest loan in the
pool and is on the servicer's watchlist. The loan has a trust
balance of $120.4 million (4.3%). The loan is secured by seven
mixed-use buildings in Creve Coeur, Mo. The reported trailing-12-
month DSC for the period ended Sept. 30, 2009, was 1.57x. The
loan is on the watchlist due to deferred maintenance, which the
servicer confirmed has been repaired. The loan will be removed
from the watchlist next month.
Standard & Poor's stressed the assets in the pool according to its
U.S. 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
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP2
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J A- AAA/Watch Neg 13.20
B BBB+ AA+/Watch Neg 12.54
C BBB AA/Watch Neg 11.09
D BBB- AA-/Watch Neg 10.16
E BB+ A+/Watch Neg 9.24
F BB A/Watch Neg 8.18
G BB- A-/Watch Neg 7.26
H B+ BBB+/Watch Neg 5.67
J B+ BBB-/Watch Neg 4.61
K B BB+/Watch Neg 3.29
L B- BB/Watch Neg 2.89
M CCC+ B+/Watch Neg 2.37
N CCC B-/Watch Neg 1.97
O CCC CCC+/Watch Neg 1.71
P CCC- CCC/Watch Neg 1.44
Ratings Affirmed And Removed From Creditwatch Negative
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP2
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M AAA AAA/Watch Neg 20.87
A-MFL AAA AAA/Watch Neg 20.87
Q CCC- CCC-/Watch Neg 1.04
Ratings Affirmed
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-LDP2
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 31.44
A-3 AAA 31.44
A-3A AAA 31.44
A-4 AAA 31.44
A-SB AAA 31.44
A-1A AAA 31.44
X-1 AAA N/A
X-2 AAA N/A
N/A - Not applicable.
KEOKUK AREA: Moody's Affirms 'B3' Rating on $5.8 Mil. Bonds
-----------------------------------------------------------
Moody's Investors Service has affirmed Keokuk Area Hospital's B3
bond rating. The affirmation affects approximately $5.8 million
of outstanding Series 1998 revenue bonds issued by the City of
Keokuk, IA. The outlook remains negative.
Legal Security: The Series 1998 bonds are secured by a gross
revenue pledge of KAH. KAH is the only member of the obligated
group. KAH is a member of the Keokuk Health System. KAH
represents approximately 78% of KHS total revenues. Other
affiliates of KHS include: (a) Organized Delivery System, Inc., a
small local health plan; (b) Tri-State Medical Group, a local
physician practice; and (c) Keokuk Area Medical Equipment and
Supply, Inc.
Interest Rate Derivatives: None.
Challenges
* At fiscal year end 2009 ended September 30, 2009, unrestricted
cash and investments declined to $1.6 million (translating to a
very low 18.5 days cash on hand) from $2.3 million (26.2 days
cash on hand) at FYE 2008 due to spending on various capital
needs; as of December 31, 2009, unrestricted cash has continued
to decline to $1.5 million (17.8 days cash on hand). KAH's
liquidity position is a fundamental credit concern and continued
deterioration of liquidity likely will warrant rating action
* Small service area with struggling demographics in Lee County,
IA; the county's median income is below state and national
averages and, according to US Census Bureau, the county's
population has decreased approximately 6.4% between April 2000
and July 2007
* Small facility with approximately 3,300 admissions and top ten
admitting physicians account for 80% of admissions
* Very modest capital spending in last several years as KAH's
capital spending ratio (the ratio of additions to property,
plant, and equipment divided by depreciation expense) has been
below 0.2 times in each of the last three fiscal years and as a
result, KAH's average age of plant has been increasing,
measuring a high 16.7 years in fiscal year (FY) 2009
* Recent recession has had negative effect on volumes with
inpatient admissions declining 2% and outpatient surgeries
declining 3.6% in FY 2009 over FY 2008
Strengths
* Despite volume declines and modest decline in operating
revenues, operating performance remained flat in FY 2009 with an
operating income of $669,000 (2.0% operating margin) and
operating cash flow of $2.3 million (6.8% margin) compared to an
operating income of $672,000 (2.0% margin) and operating cash
flow of $2.3 million (6.8% operating cash flow margin) in FY
2008; the steady performance was driven by management efforts to
maintain expenses, which have been kept relatively flat in FY
2009
* Adequate debt coverage ratios for a B-rated credit, with 3.9
times Moody's adjusted debt to cash flow and 1.4 times Moody's
adjusted maximum annual debt service (MADS) coverage in FY 2009
* Approximately 80% market share in a primary service area that
covers the city of Keokuk and southern Lee County, IA; KAH also
faces very little physician competition in the area
* All fixed rate debt
Recent Developments/Results
Despite a second year of steady operating performance in FY 2009,
at FYE 2009 ended September 30, 2009, KAH's liquidity position
declined to $1.6 million (18.5 days cash on hand) from
$2.3 million (26.2 days cash on hand) at FYE 2008. As a result,
cash to debt declined from an already weak 28.2% at FYE 2008 to
21.2% at FYE 2009. According to management, current cash flow
generation was not adequate in covering all capital needs.
Fortunately, KAH is invested conservatively with all of its
liquidity invested in certificates of deposit and money market
funds and did not suffer losses in the equity markets many other
providers experienced in the past 18 months. Given KAH's history
of volatile operating performance and absolute low level of
liquidity, however, any events that could affect operations
negatively will have a severe negative effect on an already thin
liquidity position. Continued declines in liquidity levels likely
could result in rating pressure.
Favorably, KAH continued to record stable operating performance in
FY 2009 with an operating income of $669,000 (2.0% operating
margin) and operating cash flow of $2.3 million (6.8% operating
cash flow margin) compared to an operating income of $672,000
(2.0% margin) and operating cash flow of $2.3 million (6.8%
margin) in FY 2008. Performance remained flat year over year
despite the decline in patient volumes with inpatient admissions
declining 2% and outpatient surgeries declining 3.6% in FY 2009.
According to management, expenses in all areas were monitored very
closely and an effort to reduce the utilization of unnecessary
services helped keep expenses relatively flat. With operating
performance remaining steady in FY 2009, Moody's adjusted debt
ratios have remained adequate for the current rating with debt to
cash flow of 3.98 times and MADS coverage of 1.4 times.
Operating performance through the first quarter of FY 2010 has
been soft with an operating deficit of $247,000 (-3.2% margin) and
operating cash flow of $177,000 (2.3% margin) but improved from an
operating deficit of $500,000 (-7.2% margin) and negative
operating cash flow of $77,000 (-0.9% margin) in the first quarter
of FY 2009. According to management, the first quarter is
generally slow and expects performance to improve for the
remainder of year. Management has budgeted an operating income of
$811,000 (2.5% margin) and operating cash flow of $2.5 million
(7.9% margin) for FY 2010. The negative volume trends recorded in
FY 2009 have continued through the first quarter of FY 2010 with
inpatient admissions declining 12% and outpatient surgeries
declining 11% period over period and will need to be reversed to
reach budget realistically.
KAH's market position has remained stable with approximately an
80% market share in its primary service area despite the current
negative volume trends that management attributes to the current
recession and the negative population trends the City of Keokuk
and Lee County, IA have experienced in the last several years.
Management remains focused in its efforts to recruit additional
physicians and grow patient volumes but recruitment remains
difficult given the rural nature of the service area.
Outlook
Moody's negative outlook reflects Moody's concerns regarding KAH's
liquidity position, which has declined through FYE 2009 and
through first quarter FY 2010, despite the steady operating
performance the last two fiscal years.
What could change the rating -- UP
Material liquidity gains without additional debt; improved
operating performance; reversal of recent patient volume trends
What could change the rating -- DOWN
Continued decline in absolute liquidity; continued volume declines
and subsequent downturn in operating performance from current
levels
Key Indicators
Assumptions & Adjustments:
-- Based on financial statements for Keokuk Area Hospital
-- First number reflects audit year ended September 30, 2008
-- Second number reflects audit year ended September 30, 2009
-- Investment returns normalized at 5% unless otherwise noted
* Inpatient admissions: 3,374; 3,304
* Total operating revenues: $33.6 million; $33.4 million
* Moody's-adjusted net revenue available for debt service:
$2.7 million; $2.3 million
* Total debt outstanding: $8.1 million; $7.5 million
* Maximum annual debt service (MADS): $1.6 million; $1.6 million
* MADS Coverage with reported investment income: 1.65 times; 1.40
times
* Moody's-adjusted MADS Coverage with normalized investment
income: 1.70 times; 1.45 times
* Debt-to-cash flow: 3.59 times; 3.98 times
* Days cash on hand: 26.2 days; 18.5 days
* Cash-to-debt: 28.2%; 21.2%
* Operating margin: 2.0%; 2.0%
* Operating cash flow margin: 6.8%; 6.8%
Rated Debt (debt outstanding as of September 30, 2009)
-- Series 1998: $5.8 million outstanding; rated B3
The last rating action was on April 13, 2009, when the bond rating
of Keokuk Area Hospital was affirmed at B3 and the outlook
remained negative.
LB-UBS COMMERCIAL: Fitch Changes Ratings on Six 2005-C5 Notes
-------------------------------------------------------------
Fitch Ratings revises the ratings of six classes of LB-UBS
Commercial Mortgage Trust, series 2005-C5:
-- $187.5 million class A-J to 'A/LS3' from 'BBB'; Stable
Outlook;
-- $20.5 million class B to 'A/LS5' from 'BBB-; Stable Outlook;
-- $32.2 million class C to 'BBB/LS5' from 'BB'; Stable Outlook;
-- $23.4 million class E to 'BB/LS5' from 'B'; Negative Outlook;
-- $29.3 million class F to 'BB/LS5' from 'B-'; Negative
Outlook;
-- $26.4 million class G to 'B/LS5' from 'B-'; Negative Outlook.
The rating revisions are due to a recalculation of losses for the
overall deal from 6.6% to 5.2%. Loss methodology and forecasts
for individual loans remain the same. The restatement of
forecasted losses for this transaction is a result of a manual
error by Fitch that utilized an incorrect transaction balance.
Fitch believes this is an isolated incident pertaining to this
transaction.
LB-UBS COMMERCIAL: Moody's Confirms Ratings on 2001-C2 Certs.
-------------------------------------------------------------
Moody's Investors Service confirmed the rating of one class,
affirmed three classes and downgraded ten classes of LB-UBS
Commercial Mortgage Trust 2001-C2, Commercial Mortgage Pass-
Through Certificates, Series 2001-C2. The downgrades are due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and highly leveraged
watchlisted loans.
The confirmations and affirmations are due to key rating
parameters, including Moody's loan to value ratio, stressed debt
service coverage ratio and the Herfindahl Index, remaining within
acceptable ranges. In addition, the pool has benefited from
increased defeasance as well as increased credit subordination due
to loan payoffs and amortization.
On February 3, 2010, Moody's placed 11 classes on review for
possible downgrade due to higher expected losses for the pool
resulting from realized and anticipated losses from loans in
special servicing and concerns about refinancing risk associated
with loans approaching maturity in an adverse environment. This
action concludes that review.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the January 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 21% to
$1.038 billion from $1.319 billion at securitization. The
Certificates are collateralized by 119 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten loans
representing 32% of the pool. The pool contains two loans,
representing 13% of the pool, with investment grade underlying
ratings. Forty-eight loans, representing 43% of the pool, have
defeased and are now collateralized by U.S. Government securities
compared to 39% at Moody's last review.
Twenty-five loans, representing 11% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Eight loans have been liquidated from the pool, resulting in a
$25.6 million realized loss (62% loss severity on average). Nine
loans, representing 14% of the pool, are currently in special
servicing. At last review 3% of the pool was in special
servicing. The largest specially serviced loan is the NewPark
Mall Loan ($67.4 million -- 6.5% of the pool), which is secured by
the borrower's interest in a 1.2 million square foot regional mall
located in Newark, California. The loan sponsor is an affiliate
of General Growth Properties. The loan is performing but was
transferred to special servicing in April 2009 because it was
included in GGP's bankruptcy filing. In December 2009 the
Bankruptcy Court confirmed the reorganization plans for
approximately $10.25 billion of secured debt, including NewPark
Mall. The bankruptcy plan provides for a restructuring of the
loan that includes extending the maturity date from June 2010 to
August 2014. It is expected that the loan will be returned to the
master servicer after GGP's restructure is completed. Moody's
current underlying rating and stressed DSCR are A2 and 1.76X,
respectively, compared to A2 and 1.60X at last review.
The second largest specially serviced loan is the Pointe Chase
Apartments Loan ($22.3 million -- 2.5% of the pool), which is
secured by a 519-unit multifamily complex located in Atlanta,
Georgia. The loan was transferred to special servicing in March
2009 due to imminent default and is currently real estate owned.
An October 2009 appraisal valued the property at $7.2 million
(compared to $30.7 million at securitization). The servicer has
recognized an $11.8 million appraisal reduction for this loan.
The third largest specially serviced loan is the Atlanta Portfolio
Loan ($19.6 million -- 1.9% of the pool), which is secured by two
hotels, The Wyndham and the Baymont, both located in downtown
Atlanta, Georgia. The loan was transferred to special servicing
in March 2005 due to imminent default and is now REO. A March
2009 appraisal valued the property at $17.7 million (compared to
$35.7 million at securitization). The servicer has recognized a
$10.2 million appraisal reduction for this loan.
The remaining six specially serviced loans are secured by a mix of
office and retail properties. Moody's estimates an aggregate
$41.1 million loss for eight of the specially serviced loans (55%
loss severity on average). The servicer has recognized an
aggregate $26.0 million appraisal reduction for six of the
specially serviced loans.
In addition to recognizing losses from specially serviced loans,
Moody's has assumed a high default probability on ten loans which
represent 5% of the pool. Moody's has estimated an aggregate loss
of $16.0 million (34% loss severity on average) from these
troubled loans. Moody's rating action recognizes potential
uncertainty around the timing and magnitude of loss from these
troubled loans.
Moody's was provided with partial 2009 or full-year 2008 operating
results for 97% of the pool. Moody's weighted average LTV ratio,
excluding the specially serviced and troubled loans, is 81%
compared to 90% at Moody's prior review in October 2007. Although
the overall LTV has improved since last review, credit quality
dispersion has increased. Based on Moody's analysis, 9% of the
pool has an LTV in excess of 120% compared to 3% at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCR are 1.29X and 1.36X, respectively, compared to
1.34X and 1.30X at last review. Moody's actual DSCR is based on
Moody's net cash flow 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 the 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 20 compared to 37 at last review.
The second loan with an underlying rating is the Westfield
Shoppingtown Meriden Loan ($73.4 million - 6.4% of the pool),
which is secured by the borrower's interest in a 914,000 square
foot regional mall located in Meriden, Connecticut. The mall was
built in 1971 and renovated and expanded in 1999 and is located
between Hartford and New Haven. The mall is anchored by Macy's,
JC Penney and Sears. The property was 91% leased as of June 2009
compared to 93% at last review. The collateral securing the loan
consists of the in-line space and a pad formerly occupied by Lord
& Taylor. Lord & Taylor vacated in 2004 and its premises have
been 100% re-leased to Dick's Sporting Goods and Best Buy. Inline
sales for year end 2008 were $329 per square foot, a decline from
$349 per square foot at year end 2007. Performance has
deteriorated due to declines in rental revenue and increased
operating expenses. Moody's current underlying rating and
stressed DSCR are Baa2 and 1.52X, respectively, compared to A1 and
1.62X at last review.
The top three performing conduit loans represent 9% of the
outstanding pool balance. The largest loan is the Harmon Meadow
Plaza Loan ($52.2 million -- 5.0% of the pool), which is secured
by a 510,000 square foot mixed-use complex located in Secaucus,
New Jersey. The complex contains office, retail and a hotel and
is part of a larger development of approximately 2.0 million
square feet. The largest tenants include NBA Entertainment (16%
of the net rentable area; lease expiration December 2010) and
Scholastic (12% of the NRA; lease expiration March 2010). The
property was 69% leased as of September 2009 compared to 88% at
last review. The decline in occupancy is largely attributable to
Loews Theater vacating 50,000 square feet in October 2009. A new
multiplex movie theatre opened in 2009 but it is not part of the
collateral for the loan. The loan sponsor is Hartz Mountain
Industries. Moody's LTV and stressed DSCR are 110% and 0.97X,
respectively, compared to 83% and 1.59X at last review.
The second largest loan is the 215 Coles Street Loan
($21.9 million -- 2.1% of the pool), which is secured by a 714,000
square foot industrial building located in Jersey City, New
Jersey. The largest tenant is Guarantee Records Management (96%
of the NRA; lease expiration December 2014). Moody's LTV and
stressed DSCR are 82% and 1.33X, respectively, compared to 84% and
1.21X at last review.
The third largest loan is the Hartz Mountain Industries Loan
($19.8 million -- 1.9% of the pool), which is secured by a 261,000
square foot office building located in Secaucus, New Jersey. The
largest tenants include Hartz Mountain Industries (55% of the NRA;
lease expiration December 2014), Kenneth Cole Services (20% of the
NRA; lease expiration April 2014) and NYC Payments Network (17% of
the NRA; lease expiration December 2010). Moody's LTV and
stressed DSCR are 66% and 1.61X, respectively, compared to 64% and
1.64X at last review.
Moody's rating action is:
-- Class A-1, $717,776, affirmed at Aaa; previously assigned Aaa
on 5/24/2001
-- Class X, Notional, affirmed at Aaa; previously assigned Aaa
on 5/24/2001
-- Class A-2, $789,260,000, affirmed at Aaa; previously assigned
Aaa on 5/24/2001
-- Class B, $49,466,000, confirmed at Aaa; previously placed on
review for possible downgrade on 2/3/2010
-- Class C, $62,656,000, downgraded to Aa2 from Aaa; previously
placed on review for possible downgrade on 2/3/2010
-- Class D, $16,488,000, downgraded to A2 from Aa1; previously
placed on review for possible downgrade on 2/3/2010
-- Class E, $13,191,000, downgraded to Baa2 from Aa3; previously
placed on review for possible downgrade on 2/3/2010
-- Class F, $19,786,000, downgraded to B1 from A2; previously
placed on review for possible downgrade on 2/3/2010
-- Class G, $16,489,000, downgraded to Caa1 from Baa1;
previously placed on review for possible downgrade on
2/3/2010
-- Class H, $23,084,000, downgraded to Ca from Ba1; previously
placed on review for possible downgrade on 2/3/2010
-- Class J, $14,840,000, downgraded to C from Ba2; previously
placed on review for possible downgrade on 2/3/2010
-- Class K, $11,541,000, downgraded to C from Ba3; previously
placed on review for possible downgrade on 2/3/2010
-- Class L, $9,894,000, downgraded to C from B1; previously
placed on review for possible downgrade on 2/3/2010
-- Class M, $10,697,910, downgraded to C from Caa1; previously
placed on review for possible downgrade on 2/3/2010
LB-UBS COMMERCIAL: S&P Downgrades Ratings on Three 2000-C4 CMBS
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage-backed securities from LB-UBS
Commercial Mortgage Trust's series 2000-C4 to 'D'. Concurrently,
S&P placed its ratings on three additional classes from the same
transaction on CreditWatch with negative implications.
The downgrades of class J, K, and L to 'D' reflect interest
shortfalls to these classes that S&P expects to continue for the
foreseeable future. The CreditWatch negative placements primarily
reflect these classes' susceptibility to liquidity interruptions
and the credit support erosion that S&P anticipates will occur
upon the eventual resolution of four of the seven assets with the
special servicer.
As of the Jan. 15, 2010 remittance report, the transaction's
current interest shortfall totaled $324,319, and classes J, K, and
L have experienced interest shortfalls for the past six months.
The interest shortfalls are primarily due to two factors.
Firstly, the master servicer, KeyBank Real Estate Capital, was
unable to recover previously advanced amounts on the sale of two
assets, which were previously liquidated, after both of the assets
experienced losses of more than 100%. Therefore, the master
servicer is recouping the advance amounts from general
collections. The servicer had recovered approximately
$2.2 million as of the January 2010 remittance report, and will
recover approximately $270,000 in the next several months. The
second factor contributing to the interest shortfalls is that
KeyBank has also declared future servicing advances nonrecoverable
on two assets, The Grapevine I and II Professional Building asset
($6.2 million) and the Cedar Pines asset ($5.5 million), which S&P
describe in detail below. The interest payments on these loans
each month are approximately $81,500.
There are seven assets with the special servicer, CW Capital Asset
Management LLC. The payment status of the seven specially
serviced assets is: one is real estate owned (REO; $6.2 million,
1.2%); three are in foreclosure ($16.7 million, 3.24%); one is 30-
plus days delinquent ($2.5 million 0.5%); one is a nonperforming
balloon maturity (1.4 million, 0.3%); and one is a performing
asset with a balloon loan maturity ($1.1 million, 0.2%). Prior to
the nonrecoverable determinations, an appraisal reduction amount
totaling $6.1 million was in effect on these assets. Currently,
ARAs totaling $3.8 million are in effect against two assets, the
Greenwood Pointe Shopping Center and the Carriage Hills
Apartments, for which the master servicer has not made
nonrecoverable determinations. Details of four ($22.9 million,
4.4%) of the seven specially serviced assets are:
The Greenwood Pointe Shopping Center ($6.9 million, 1.3%) was
transferred to the special servicer due to imminent maturity
default in August 2009 and is currently in foreclosure. The
property consists of a 135,675-sq.-ft. retail center in
Indianapolis. A $1.5 million ARA is in effect for this loan.
The Grapevine I and II Professional Building ($6.2 million, 1.2%)
became REO in November 2007 and comprises a 58,860-sq.-ft. office
complex in Grapevine, Texas. The master servicer declared future
advances nonrecoverable on this asset. The servicer expects
future interest shortfalls related to this asset to be
approximately $43,000 per month. The Cedar Pines ($5.5 million,
1.1%) is secured by a 169-unit multifamily property in Clarkston,
Ga. The loan was transferred to CWCapital on July 2, 2008, for
imminent default, and the loan is in foreclosure. The master
servicer declared future advances nonrecoverable on this asset.
The servicer expects future interest shortfalls related to this
asset to be approximately $38,500 per month.
The Carriage Hills Apartments ($4.4 million, 0.8%) was transferred
to the special servicer in August 2009 due to imminent default and
is currently in foreclosure. The property consists of a 146?unit
multifamily property in Rock Hill, S.C. An ARA totaling
$2.3 million is in effect for this loan.
Standard & Poor's expects to resolve the CreditWatch placements
upon a full review of the transaction, including the credit
characteristics of the remaining loans in the pool.
Ratings Lowered
LB-UBS Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2000-C4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
J D B 4.52
K D CCC 3.07
L D CCC- 1.62
Ratings Placed On Creditwatch Negative
LB-UBS Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2000-C4
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
F A/Watch Neg A 13.71
G BBB+/Watch Neg BBB+ 11.29
H BB+/Watch Neg BB+ 6.94
LEHMAN BROTHERS: Fitch Affirms Ratings on 24 Classes of Notes
-------------------------------------------------------------
Fitch Ratings has affirmed 24 and downgraded 48 classes within
eight Lehman Brothers Small Balance Commercial Mortgage Trust
transactions in the course of its ongoing surveillance reviews.
The underlying collateral pool for these transactions consists of
fixed- and adjustable-rate mortgage loans secured by senior liens
on commercial, multifamily and mixed-use properties. The average
current loan size for each transaction is less than $400,000.
The rating actions reflect Fitch's expected collateral loss on the
mortgage pools and cash flow analysis of each bond. The average
updated expected collateral loss for the 2005 vintage transactions
is 13.3% as a percentage of the remaining pool balance. The 2007
and 2006 vintage transactions have expected collateral losses of
21.7% and 24.1%, respectively.
Over the past 12 months performance in these transactions has
deteriorated. As expected, the later vintage transactions have
deteriorated faster than the earlier vintages. On average the
percentage of loans that are two or more payments past due has
more than doubled for the 2006 and 2007 transactions over the past
six months.
The percentage of loans more than 60 days past due is one of the
main drivers behind the expected loss projections. The average
percentage of loans more than 60 days past due by vintage is:
-- 2005 vintage: 8%;
-- 2006 vintage: 17.7%;
-- 2007 vintage: 16.9%.
The small balance commercial loans in these transactions generally
were underwritten in a manner similar to Alt-A mortgage
originations for comparable property types and to borrowers with
similar credit profiles. Additionally, the performance of these
transactions to date has been in line with Alt-A average
performance. When determining each collateral pool's projected
base-case loss, Fitch used Alt-A vintage averages to arrive at the
frequency of foreclosure, or projected default rates, for both
current and delinquent loans. For this review the average base-
case FOF for the 2005 vintage was 24.16%. For the 2006 and 2007
vintages it was 42.19%.
Due to the limited instances of recent liquidations in these
transactions the severity analysis was based on a review of recent
severities of liquidated loans in both residential and commercial
mortgage backed securities. The average base-case severity used
for this analysis was 55%.
After determining each pool's projected base-case and stressed
scenario loss assumptions, Fitch projects cash flows to determine
the amount of collateral loss which would cause each bond to
default, also referred to as the bond's break-loss. Fitch's
expected loss and cash flow assumptions are described in the
report 'U.S. RMBS Alt-A Surveillance Criteria' published on
Dec. 15, 2008.
When performing cash flow analysis, Fitch projects losses and
creates cash-flow assumptions for each individual mortgage pool in
a transaction. It is important to note that Fitch uses the bond's
break-loss as determined through the cash flow analysis -- not its
current credit enhancement percentage -- when assessing a bond's
credit support. In cases where bonds in the structure pay on a
pro-rata basis, a bond's break-loss may be materially lower than
its current credit enhancement due to the projected loss of credit
support from future principal distribution to support classes.
Fitch has affirmed, downgraded, assigned Loss Severity ratings and
Recovery Ratings and Outlooks:
LBSBC 2005-1
-- Class A (86359DAB3) affirmed at 'AAA/LS1'; Outlook Negative;
-- Notional class AIO (86359DAC1) affirmed at 'AAA'; Outlook
Negative;
-- Class M1 (86359DAD9) affirmed at 'AA/LS5'; Outlook Negative;
-- Class M2 (86359DAE7) affirmed at 'A+/LS5'; Outlook Negative;
-- Class B (86359DAF4) affirmed at 'A'/LS5; Outlook Negative.
LBSBC 2005-2
-- Class 1A (86359DUD7) affirmed at 'AAA/LS2'; Outlook Negative;
-- Class 2A (86359DUE5) affirmed at 'AAA'/LS2; Outlook Negative;
-- Notional class AIO (86359DUF2) affirmed at 'AAA'; Outlook
Negative;
-- Class M1 (86359DUG0) affirmed at 'AA/LS5'; Outlook Negative;
-- Class M2 (86359DUH8) downgraded to 'A/LS5' from 'AA-';
Outlook Negative;
-- Class M3 (86359DUJ4) downgraded to 'BBB/LS5' from 'A';
Outlook Negative;
-- Class B (86359DUK1) downgraded to 'BB/LS5' from 'BBB+';
Outlook Negative.
LBSBC 2006-1
-- Class 1A (86359DYX9) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class 2A (86359DYZ4) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class 3A1 (86359DZB6) affirmed at 'AAA/LS3'; Outlook Stable;
-- Class 3A2 (86359DZD2) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 3A3 (86359DZF7) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class M1 (86359DZH3) downgraded to 'A/LS5' from 'AA'; Outlook
Negative;
-- Class M2 (86359DZK6) downgraded to 'A/LS5' from 'AA-';
Outlook Negative;
-- Class M3 (86359DZM2) downgraded to 'BBB/LS5' from 'A';
Outlook Negative;
-- Class B (86359DZP5) downgraded to 'BB/LS5' from 'BBB+';
Outlook Negative.
LBSBC 2006-2
-- Class A1 (52520VAA1) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class 2A1 (52520VAB9) affirmed at 'AAA/LS3'; Outlook Stable;
-- Class 2A2 (52520VAC7) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 2A3 (52520VAD5) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class M1 (52520VAE3) downgraded to 'A/LS5' from 'AA'; Outlook
Negative;
-- Class M2 (52520VAF0) downgraded to 'BBB/LS5' from 'A+';
Outlook Negative;
-- Class M3 (52520VAG8) downgraded to 'BBB/LS5' from 'A-';
Outlook Negative;
-- Class B (52520VAH6) downgraded to 'BB/LS5' from 'BBB';
Outlook Negative.
LBSBC 2006-3
-- Class 1A (52521BAA4) downgraded to 'AA/LS2' from 'AAA';
Outlook Negative;
-- Class 2A1 (52521BAB2) affirmed at 'AAA/LS2'; Outlook Stable;
-- Class 2A2 (52521BAC0) affirmed at 'AAA/LS2'; Outlook
Negative;
-- Class 2A3 (52521BAD8) downgraded to 'AA/LS2' from 'AAA';
Outlook Negative;
-- Class M1 (52521BAE6) downgraded to 'A/LS5' from 'AA'; Outlook
Negative;
-- Class M2 (52521BAF3) downgraded to 'A/LS5' from 'A+'; Outlook
Negative;
-- Class M3 (52521BAG1) downgraded to 'BBB/LS5' from 'A-';
Outlook Negative;
-- Class B (52521BAH9) downgraded to 'BB/LS5' from 'BBB';
Outlook Negative.
LBSBC 2007-1
-- Class 1A (52521GAA3) downgraded to 'A/LS3' from 'AAA';
Outlook Negative;
-- Class 2A1 (52521GAB1) affirmed at 'AAA/LS3'; Outlook Stable;
-- Class 2A2 (52521GAC9) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 2A3 (52521GAD7) downgraded to 'A/LS3' from 'AAA';
Outlook Negative;
-- Class M1 (52521GAE5) downgraded to 'BBB/LS5' from 'AA';
Outlook Negative;
-- Class M2 (52521GAF2) downgraded to 'BB/LS5' from 'A+';
Outlook Negative;
-- Class M3 (52521GAG0) downgraded to 'BB/LS5' from 'A-';
Outlook Negative;
-- Class M4 (52521GAH8) downgraded to 'B/LS5' from 'BBB';
Outlook Negative;
-- Class B (52521GAJ4) downgraded to 'B/LS5' from 'BBB'; Outlook
Negative.
LBSBC 2007-2
-- Class 1A2 (52521VAB8) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 1A3 (52521VAC6) downgraded to 'BBB/LS3' from 'AAA';
Outlook Negative;
-- Class 1A4 (52521VBA9) downgraded to 'BBB/LS3' from 'AAA';
Outlook Negative;
-- Class 2A1 (52521VAD4) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 2A2 (52521VAE2) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 2A3 (52521VAF9) downgraded to 'BBB/LS3' from 'AAA';
Outlook Negative;
-- Class M1 (52521VAG7) downgraded to 'BB/LS5' from 'AA';
Outlook Negative;
-- Class M2 (52521VAH5) downgraded to 'BB/LS5' from 'A+';
Outlook Negative;
-- Class M3 (52521VAJ1) downgraded to 'B/LS5' from 'A-'; Outlook
Negative;
-- Class M4 (52521VAK8) downgraded to 'B/LS5' from 'BBB';
Outlook Negative;
-- Class M5 (52521VAL6) downgraded to 'CCC/RR5' from 'BBB-';
-- Class B (52521VAM4) downgraded to 'CCC/RR5' from 'BB+'.
LBSBC 2007-3
-- Class 1A1 (52521UAA2) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 1A2 (52521UAB0) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 1A3 (52521UAC8) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class 1A4 (52521UAQ7) downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class 2A1 (52521UAD6) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 2A2 (52521UAE4) affirmed at 'AAA/LS3'; Outlook
Negative;
-- Class 2A3 (52521UAF1 downgraded to 'AA/LS3' from 'AAA';
Outlook Negative;
-- Class AM (52521UAG9) downgraded to 'BBB/LS5' from 'AAA';
Outlook Negative;
-- Class AJ (52521UAH7) downgraded to 'BB/LS5' from 'AAA';
Outlook Negative;
-- Class M1 (52521UAJ3) downgraded to 'B/LS5' from 'AA'; Outlook
Negative;
-- Class M2 (52521UAK0) downgraded to 'CCC/RR5' from 'A+';
-- Class M3 (52521UAL8) downgraded to 'CCC/RR5' from 'A-';
-- Class M4 (52521UAM6) downgraded to 'CCC/RR5' from 'BBB';
-- Class M5 (52521UAN4) downgraded to 'CCC/RR5' from 'BBB-';
-- Class B (52521UAP9) downgraded to 'CCC/RR6' from 'BB+'.
Recovery Ratings were assigned to the classes that are expected to
incur impairment. 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 Dec. 16 2009 report, 'U.S. RMBS
Criteria for Recovery Ratings'.
LEHMAN BROTHERS: Fitch Takes Rating Actions on 20 Classes
---------------------------------------------------------
Fitch Ratings has taken these rating actions on 20 classes in
seven Lehman Small Balance Commercial Net Interest Margin
transactions:
Lehman Brothers Small Balance Commercial Mortgage Trust NIM 2005-2
-- Class N2 (50180AAB0) downgraded to 'C' from 'BB' and assigned
a Recovery Rating of 'RR6';
-- Class N3 (50180AAC8) downgraded to 'C' from 'B' and assigned
a Recovery Rating of 'RR6'.
Lehman Brothers Small Balance Commercial Mortgage Trust NIM 2006-1
-- Class N1 (50180EAA4) downgraded to 'C' from 'BBB+' and
assigned a Recovery Rating of 'RR4;
-- Class N2 (501802AC6) downgraded to 'C' from 'BB', assigned a
Recovery Rating of 'RR6', and removed from Rating Watch
Negative;
-- Class N3 (501802AA0) downgraded to 'C' from 'B', assigned a
Recovery Rating of 'RR6', and removed from Rating Watch
Negative.
LBSBC NIM Company 2006-2
-- Class N1 (50180GAA9) affirmed at 'C/RR6';
-- Class N2 (50180GAB7) affirmed at 'C/RR6';
-- Class N3 (50180GAC5) affirmed at 'C/RR6'.
LBSBC NIM Company 2006-3
-- Class N1 (50180YAA0) affirmed at 'C/RR6';
-- Class N2 (50180WAA4) affirmed at 'C/RR6';
-- Class N3 (50180WAB2) affirmed at 'C/RR6'.
LBSBC NIM Company 2007-1
-- Class N1 (501807AA9) affirmed at 'C/RR6';
-- Class N2 (501808AA7) affirmed at 'C/RR6';
-- Class N3 (501808AB5) affirmed at 'C/RR6'.
LBSBC NIM Company 2007-2
-- Class N1 (52109MAA0) affirmed at 'C/RR6';
-- Class N2 (52109NAA8) affirmed at 'C/RR6';
-- Class N3 (52109NAB6) affirmed at 'C/RR6'.
LBSBC NIM Company 2007-3
-- Class N1 (50181BAA9) affirmed at 'C/RR6';
-- Class N2 (50181DAA5) affirmed at 'C/RR6';
-- Class N3 (50181DAB3) affirmed at 'C/RR6'.
The rating actions reflect the actual pay-down performance of the
NIM security to date and the expectation future cash flows of the
underlying collateral. The rating of 'C' indicates that Fitch
projects the bond will not receive enough cash flow from the
underlying supporting transaction to pay off the outstanding
balance of the NIM bond.
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.
LOMBARD PUBLIC: S&P Cuts Ratings on $53.995 Mil. Bonds to 'B-'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered the rating on Lombard
Public Facilities Corp's $53.995 million conference center and
hotel series A-2 bonds to 'B-' from 'B+.' The outlook remains
negative. The downgrade reflects the project's poor performance
in 2009. S&P expects this trend to continue in 2010. Net
revenues for the project, including the hotel and restaurant, are
24% below the 2009 budget, largely due to the recession. S&P
estimates that the debt service coverage ratio for the series A
bonds, including the $2 million city support, would be just above
1.0x, but slightly lower when the funding of the furniture,
fixture, and equipment reserve is included. S&P expects that the
market will continue to decline in 2010, but at a slower pace, and
that the restaurant will contribute little to cash available for
debt service, contributing to a DSCR, including the city support,
of below 0.8x.
The project pays debt service from the net income from its 500-
room Westin Hotels & Resorts hotel and conference center in the
village of Lombard, Illinois. It opened on Aug. 22, 2007. Hotel
net revenues secure the series A-2 bonds. Westin, a subsidiary of
Starwood Hotels & Resorts Worldwide Inc. operates the hotel under
a 15-year management contract.
MARYLAND DEPARTMENT: Moody's Cuts Ratings on 2000 A Bonds to 'Ba1'
------------------------------------------------------------------
Moody's has downgraded to Ba1 from Aaa the rating of Maryland
Department of Housing and Community Development Multifamily
Development Revenue Bonds (Waters Landing II Apartments Project)
Series 2000 A and removed the bonds from Watchlist, following a
review of the transaction's ability to maintain cash flow and
parity sufficiency assuming a 0% reinvestment rate. This action
affects approximately $10.1 million in outstanding debt. The
bonds are secured by a mortgage that is guaranteed by credit
enhancement from Fannie Mae. The bonds were not structured with a
Guaranteed Investment Contract that assures a fixed rate of return
on invested cash, and therefore they are subject to interest rate
risk on retained revenues. As a result, revenue from the monthly
mortgage receipts, interest earned on those receipts from money
market funds or other short-term investments and monthly mortgage
payments need to be sufficient to support debt service on the
bonds or a parity ratio in excess of 100%. Moody's analyzed the
Series 2000 A's projected mortgage revenue, assuming no
reinvestment earnings on the monthly mortgage receipts and
determined that there would not be sufficient coverage of debt
service or parity ratio consistent with a Aaa rating. The
downgrade of the ratings follows Moody's methodology, "Moody's
Methodology Update: Change in Interest Rate Assumptions for
Housing Transactions Which Rely on Investment Earnings Prompted by
Unprecedented Low Interest Rates," published in November, 2009.
The last rating action with respect to the Series 2000A bonds was
on January 6, 2010, when the bonds were placed on Watchlist for
Possible Downgrade.
MORGAN STANLEY: Moody's Affirms Ratings on Eight 2001-IQ Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes,
upgraded three classes and downgraded three classes of Morgan
Stanley Dean Witter Capital I Trust 2001-IQ, Commercial Mortgage
Pass-Through Certificates, Series 2001-IQ. The upgrades are due
to increased subordination resulting from paydowns and principal
amortization. The pool has paid down 57% since Moody's last full
review. The downgrades are due to higher expected losses for the
pool resulting from an overall decline in the pool's credit
quality, realized losses from specially serviced loans and
anticipated losses from poorly performing watchlisted loans.
Despite the increase in overall pool quality and the decline in
loan diversity, as measured by the Herfindahl Index, Moody's is
affirming nine classes because subordination levels provide
adequate protection from expected losses.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the January 19, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 85% to
$106.1 million from $713.0 million at securitization. The
Certificates are collateralized by 20 mortgage loans ranging in
size from less than 18% to 1% of the pool, with the top ten loans
representing 82% of the pool. There are no defeased loans.
Five loans have been liquidated from the pool, resulting in an
aggregate $3.6 million realized loss (6% loss severity).
Currently there are no loans in special servicing.
Eleven loans, representing 65% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. Most of the loans are on the watchlist due upcoming loan
maturities. Ten loans, representing 73% of the pool, mature
within the next 24 months. Moody's is particularly concerned
about the refinancing and default risk associated with two loans
which represent 7% of the pool. Both loans are secured by
properties that have exhibited a significant decline in
performance since last review. Moody's has assumed a high default
probability for these loans and has estimated an aggregate
$2.7 million loss (37% loss severity on average) from these
troubled loans. Moody's rating action recognizes potential
uncertainty around the timing and magnitude of loss from these
troubled loans.
Moody's was provided with partial 2009 or full-year 2008 operating
results for 95% of the pool. Moody's weighted average LTV ratio,
excluding the troubled loans, is 68% compared to 64% at Moody's
prior review.
Moody's actual and stressed DSCR are 1.32X and 1.87X,
respectively, compared to 1.42X and 1.73X at last review. Moody's
actual DSCR is based on Moody's net cash flow 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 the 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 10 compared to 15 at last review.
The top three performing conduit loans represent 43% of the
outstanding pool balance. The largest exposure is the 1410, 1420
and 1430 State Highway 206 Loan ($13.8 million -- 13.0% of the
pool) and the Metro Office Center III Loan ($5.7 million - 5.4% of
the pool), two cross collateralized loans secured by four office
properties located in New Jersey. The 1410, 1420 and 1430 State
Highway 206 Loan is secured by three buildings totaling 88,000
square feet located in Bedminster, New Jersey. The Metro Office
Center III Loan is secured by a 45,000 square foot office building
located approximately three miles southeast of Princeton in West
Windsor, New Jersey. The properties were 97% and 100% leased,
respectively, as of December 2008 compared to 91% and 93% at last
review. The properties performance has declined due to a decrease
in operating revenue caused by lease rollovers. The office
markets in which the properties are located have declined since
last review which has resulted in lower rental rates for new
tenants. Moody's LTV and stressed DSCR are 102% and 1.07X,
respectively, compared to 78% and 1.39X at last review.
The second largest loan is the Covina Town Square Loan
($17.5 million -- 16.5% of the pool), which is secured by a
274,600 square foot retail center located in Covina, California.
The largest tenants are Staples (9% of the net rentable area;
lease expiration June 2011) and Petsmart (9% of the NRA; lease
expiration October 2010). The property was 51% leased as of
February 2010 compared to 97% at last review. The increase in
vacancy is due to Home Depot vacating its space at the end of its
lease term in 2009. The borrower is in final negotiations with a
tenant for a 120,000 square feet space which would increase the
property's leased status to 95%. The loan sponsor is Kimco Realty
(Moody's senior unsecured rating -- Baa1, negative outlook).
Moody's LTV and stressed DSCR are 66% and 1.49X, respectively,
compared to 58% and 1.66X at last review.
The third largest loan is the Vista Balboa Shopping Center Loan
($8.6 million -- 8.1% of the pool), which is secured by an 117,400
grocery anchored retail property in downtown San Diego,
California. The two largest tenants are Albertsons (57% of the
NRA; lease expiration October 2012) and Sportmart (33% of the NRA;
lease expiration June 2013). Moody's LTV and stressed DSCR are
62% and 1.57X, respectively, compared to 65% and 1.50X at last
review.
Moody's rating action is:
-- Class A-3, $9,915,882, affirmed at Aaa; previously assigned
Aaa on 10/24/2001
-- Class X-1, Notional, affirmed at Aaa; previously assigned Aaa
on 10/24/2001
-- Class B, $22,282,000, affirmed at Aaa; previously upgraded to
Aaa on 8/9/2005
-- Class C, $18,717,000, affirmed at Aaa; previously upgraded to
Aaa on 8/17/2006
-- Class D, $5,348,000, affirmed at Aaa; previously upgraded to
Aaa on 8/17/2006
-- Class E, $5,348,000, upgraded to Aaa from Aa1; previously
upgraded to Aa1 on 8/17/2006
-- Class F, $8,913,000, upgraded to Aa3 from A1; previously
upgraded to A1 on 8/17/2006
-- Class G, $5,347,000, upgraded to A1 from A2; previously
upgraded to A2 on 8/17/2006
-- Class H, $5,348,000, affirmed at Baa2; previously upgraded to
Baa2 on 8/17/2006
-- Class J, $10,695,000, affirmed at Ba2; previously assigned at
Ba2 on 10/24/2001
-- Class K, $3,565,000, affirmed at Ba3; previously assigned at
Ba3 on 10/24/2001
-- Class L, $1,783,000, downgraded to B2 from B1; previously
assigned at B1 on 10/24/2001
-- Class M, $5,348,000, downgraded to Caa3 from B2; previously
assigned at B2 on 10/24/2001
-- Class N, $1,782,000, downgraded to C from B3; previously
assigned at B3 on 10/24/2001
MORGAN STANLEY: S&P Downgrades Rating on Class IB Notes to 'CC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
IB notes from Morgan Stanley ACES SPC's series 2007-8 to 'CC' from
'CCC-'.
The downgrade follows a number of credit events within the
underlying portfolio, which caused the class IB notes to incur a
principal loss.
Rating Lowered
Morgan Stanley ACES SPC
Series 2007-8
Rating
------
Class To From
----- -- ----
IB CC CCC-
MORGAN STANLEY: S&P Downgrades Ratings on 17 2005-HQ7 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2005-HQ7 and removed them from CreditWatch
with negative implications. In addition, S&P affirmed its ratings
on seven additional classes from the same transaction.
The downgrades reflect S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
classes also reflect credit support erosion S&P anticipate will
occur upon the eventual resolution of several of the transaction's
specially serviced assets. S&P's analysis included a review of
the credit characteristics of all of the assets in the pool.
Using servicer-provided financial information, S&P calculated an
adjusted debt service coverage of 1.53x and a loan-to-value ratio
of 121.7%. 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 160.2%. The implied defaults and loss severity under the 'AAA'
scenario were 73.7% and 33.2%, respectively. All of the DSC and
LTV calculations S&P noted above exclude 10 ($47.1 million, 2.5%)
of the transaction's 15 specially serviced assets. S&P separately
estimated losses for these 10 assets and included them in the
'AAA' scenario implied default and loss figures. The relevant
calculations also exclude three ($34.9 million, 1.9%) defeased
loans.
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 (IO) certificate 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 finalizes its criteria
review, S&P may revise its current IO criteria, which may affect
outstanding ratings, including the rating on the IO certificate
that S&P affirmed.
Credit Considerations
As of the January 2010 remittance report, 15 assets
($67.6 million, 3.7%) in the pool were with the special servicer,
Centerline Servicing Inc. The payment status of the specially
serviced assets is: three assets ($17.0 million, 0.9%) are in
foreclosure, eight ($24.6 million, 1.3%) are 90-plus-days
delinquent, two ($11.3 million, 0.6%) are 60 days delinquent, one
($10.4 million, 0.6%) is 30 days delinquent, and one
($4.2 million, 0.2%) is in its grace period. Seven of the
specially serviced assets have appraisal reduction amounts in
effect totaling $13.4 million.
The Santa Margarita Marketplace loan ($10.5 million total
exposure, 0.6%) is the largest loan with the special servicer and
is secured by a 40,893-sq.-ft. retail property in Rancho Santa
Margarita, Calif. The loan was transferred to the special
servicer on Dec. 18, 2009, and the January 2010 remittance report
listed it as 30 days delinquent. The reported DSC was 1.17x as of
year-end 2008, down from 1.51x at issuance. Centerline has
indicated that it is currently evaluating possible resolution
strategies.
The Holly Pond Plaza loan ($10.6 million total exposure, 0.6%) is
the second-largest loan with the special servicer. The loan was
transferred to the special servicer on March 3, 2009, and is
currently in foreclosure. The loan is secured by a 66,308-sq.-ft.
office property in Stamford, Conn. A $6.5 million ARA is in
effect on this loan, and S&P expects a significant loss upon the
eventual resolution of this asset.
The 13 remaining specially serviced loans have balances that,
individually, represent less than 0.6% of the pool balance. S&P
estimated losses for nine of these 13 assets. The weighted
average estimated loss severity was 31.8% for these nine assets.
The special servicer has indicated that it is reviewing resolution
strategies for the remaining four loans.
Transaction Summary
As of the January 2010 remittance report, the collateral pool had
an aggregate trust balance of $1.85 billion, down from $1.96
billion at issuance. The pool includes 273 loans, down from 278
at issuance. The master servicer, Wells Fargo Commercial Mortgage
Servicing, provided financial information for 100.0% of the
nondefeased assets in the pool, and 98.2% of the servicer-provided
information was full-year 2008 or interim 2009 data. S&P
calculated a weighted average DSC of 1.55x for the pool based on
the reported figures. S&P's adjusted DSC and LTV were 1.53x and
121.7%, respectively. S&P's adjusted DSC and LTV figures exclude
10 ($47.1 million, 2.5%) of the transaction's 15 specially
serviced loans. S&P separately estimated losses for these 10
loans. The master servicer reported a watchlist of 80 loans
($472.1 million, 25.5%). Thirty-nine loans ($174.5 million, 9.4%)
in the pool have a reported DSC of less than 1.10x, and 28 loans
($117.9 million, 6.4%) have a reported DSC of less than 1.00x.
Summary of Top 10 Real Estate Assets
The top 10 real estate assets have an aggregate outstanding
balance of $502.1 million (27.1%). Using servicer-reported
numbers, S&P calculated a weighted average DSC of 1.74x for the
top 10 real estate assets. S&P's adjusted DSC and LTV for the top
10 real estate assets are 1.64x and 100.4%, respectively. Three
($131.3 million, 7.1%) of the top 10 real estate assets appear on
the master servicer's watchlist, which S&P discuss in detail
below.
The U-Store-It Portfolio loan is the second-largest loan in the
pool and the largest loan on the master servicer's watchlist. The
loan has a trust balance of $80.0 million (4.3%) and is secured by
29 self-storage facilities across the U.S. The loan appears on the
watchlist due to decreased occupancy, which was 73.3% on a
portfolio wide basis as of September 2009. This compares to a
portfolio wide occupancy of 83.1% at issuance. The DSC was 2.16x
as of September 2009.
The Center at Rancho Niguel I loan is the sixth-largest loan in
the pool and the second-largest loan on the master servicer's
watchlist. The loan has a trust balance of $25.8 million (1.4%)
and is secured by a 95,137-sq.-ft. retail property in Laguna
Niguel, Calif. The loan appears on the watchlist due to low DSC,
which was 1.08x for the nine months ended September 2009.
Occupancy was 95.0% as of the same period.
The Hilton Christiana Hotel loan is the eighth-largest loan in the
pool and the third-largest loan on the master servicer's
watchlist. The loan has a trust balance of $25.4 million (1.4%)
and is secured by a 266-room lodging property in Newark, Del. The
loan appears on the watchlist due to a low DSC, which was 1.13x
for the nine months ended September 2009. Occupancy was 72.0% as
of the same period.
Standard & Poor's stressed the assets in the pool according to its
U.S. 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 2005-HQ7
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M AA- AAA/Watch Neg 21.08
AJ A- AAA/Watch Neg 13.55
B BBB+ AA+/Watch Neg 12.76
C BBB AA/Watch Neg 11.31
D BBB- AA-/Watch Neg 10.38
E BB+ A+/Watch Neg 9.46
F BB A/Watch Neg 8.40
G BB- A-/Watch Neg 7.34
H B+ BBB+/Watch Neg 5.89
J B+ BBB/Watch Neg 4.83
K B BBB-/Watch Neg 3.78
L B BB+/Watch Neg 3.38
M B- BB/Watch Neg 2.85
N B- BB-/Watch Neg 2.59
O CCC+ B+/Watch Neg 2.33
P CCC B/Watch Neg 2.06
Q CCC- B-/Watch Neg 1.53
Ratings Affirmed
Morgan Stanley Capital I Trust 2005-HQ7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 31.64
A-2 AAA 31.64
A-3 AAA 31.64
A-AB AAA 31.64
A-1A AAA 31.64
A-4 AAA 31.64
X AAA N/A
N/A - Not applicable.
MORGAN STANLEY: S&P Withdraws 'CCC-' Rating on 2007-18 Notes
------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-' rating on
the notes issued by Morgan Stanley ACES SPC's series 2007-18, a
synthetic corporate investment-grade collateralized debt
obligation transaction.
The withdrawal follows the complete redemption of the notes.
Rating Withdrawn
Morgan Stanley ACES SPC
Series 2007-18
Rating Balance (mil. $)
------ ----------------
To From Current Previous
-- ---- ------- --------
Notes NR CCC- 0.000 23.500
NR - Not rated.
MORGAN STANLEY: S&P Withdraws 'CCC+' Rating on 2006-18 Notes
------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its rating on the
notes issued by Morgan Stanley ACES SPC's series 2006-18, a
synthetic corporate investment-grade collateralized debt
obligation transaction.
The rating withdrawal follows the complete redemption and
cancellation of the
notes.
Rating Withdrawn
Morgan Stanley ACES SPC
Series 2006-18
Rating Balance (mil. $)
------ ----------------
To From Current Previous
-- ---- ------- --------
Notes NR CCC+ 0.000 43.000
NR - Not rated.
N-STAR IX: Fitch Downgrades Ratings on Six Classes of Notes
-----------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative six classes, and affirmed six classes issued by N-Star IX
Ltd./Corp. as a result of significant negative credit migration of
the underlying collateral.
Since Fitch's last rating action, the Fitch derived weighted
average rating of the portfolio has deteriorated to 'B-' from
'BB/BB-'; currently, 34.6% is on Rating Watch Negative by at least
one rating agency. Approximately 75.8% of the portfolio has a
Fitch derived rating below investment grade and 30.8% has a rating
in the 'CCC' rating category or lower, compared to 39.3% and
13.4%, respectively, at last review. As of the Dec. 31, 2009
trustee report, defaulted securities, as defined in the
transaction's governing documents, now comprise 11.5% of the
portfolio, compared to 1.6% at last review. Additionally, 2.3% of
non-defaulted collateral are currently experiencing interest
shortfalls.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model for projecting future default levels
for the underlying portfolio. The 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'.
N-Star IX is currently overcollateralized by $145 million (18%),
primarily as a result of $440 million in collateral purchases at
an average discount of 46%. Fitch ran various scenarios to
evaluate the rating sensitivity to the recoveries within the cash
flow model for those assets purchased at a discount greater than
50%, approximately $257 million in par amount. Fitch used the
sensitivity analysis to assess credit risk for the class A-1
through B notes.
Based on this analysis, the class A-1 notes' breakeven rates are
generally consistent with the 'B' rating category and the
breakeven rates for the class A-2 through B notes are generally
consistent with the 'CCC' rating category.
For class C and below, Fitch analyzed each class' sensitivity to
the default of the distressed collateral. Given the high
probability of default of the underlying assets and the expected
limited recovery prospects upon default, classes C through F have
been assigned a 'CCC' rating, indicating default is a real
possibility. Similarly, classes G through J have been affirmed at
'CC', indicating that default is probable. Class K has been
assigned a 'C' rating, indicating the default is inevitable.
Additionally, the class A-1 notes are assigned Loss Severity
ratings of 'LS3'. The LS rating indicates a tranche's potential
loss severity given default, as evidenced by the ratio of tranche
size to the base-case loss expectation for the collateral, as
explained in 'Criteria for Structured Finance Loss Severity
Ratings'. Currently, for the class A-1 notes this ratio falls in
the range of 1.1 to 4.0. The LS rating should always be
considered in conjunction with the probability of default for
tranches.
N-Star IX is a revolving collateralized debt obligation which
closed Feb. 28, 2007. The portfolio is composed of 57.4%
commercial mortgage-backed securities; 18.3% of commercial real
estate loans, 18.3% of SF CDOs; and 5.9% real estate investment
trust securities.
The transaction has a five-year reinvestment period, during which
the collateral manager has the ability to sell any asset, as long
as the aggregate amount of assets sold during a given year does
not exceed 10% of the collateral balance at the beginning of that
year. Principal proceeds not reinvested will be used to pay down
the notes pro rata, provided the current portfolio balance remains
at least 50% of the original portfolio balance, no
overcollateralization test is failing as of that payment date and,
if an OC test has previously failed for two or more dates, the OC
ratio is at least equal to or greater than the ratio on the
effective date.
Fitch has downgraded these classes, and assigned Outlooks and LS
ratings as indicated:
-- $512,000,000 class A-1 to 'B/LS3' from 'BBB-'; maintain
Outlook Negative;
-- $96,000,000 class A-2 to 'CCC' from 'BB';
-- $48,000,000 class A-3 to 'CCC' from 'BB-',
-- $37,280,000 class B to 'CCC' from 'B';
-- $12,280,000 class C to 'CCC' from 'B-';
-- $6,000,000 class K to 'C' from 'CC'.
In addition, the class A-1 through C notes have been removed from
Rating Watch Negative.
Fitch has affirmed these classes:
-- $23,200,000 class D at 'CCC';
-- $4,800,000 class E at 'CCC';
-- $3,600,000 class F at 'CCC';
-- $14,080,000 class G at 'CC';
-- $7,200,000 class H at 'CC';
-- $7,040,000 class J at 'CC'.
N-STAR VII: Fitch Downgrades Ratings on Seven Classes of Notes
--------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative seven classes, and affirmed one class issued by N-Star
VII Ltd./Corp. as a result of significant negative credit
migration of the underlying collateral.
Since Fitch's last rating action, the Fitch derived weighted
average rating of the portfolio has deteriorated to 'BB-/B+' from
'BB+/BB'; currently, 36.8% is on Rating Watch Negative by at least
one rating agency. Approximately 57.1% of the portfolio has a
Fitch derived rating below investment grade and 16.8% has a rating
in the 'CCC' rating category or lower, compared to 27.2% and 7.3%,
respectively, at last review. As of the Jan. 19, 2010 trustee
report, defaulted securities, as defined in the transaction's
governing documents, now comprise 5.4% of the portfolio, compared
to 3.8% at last review. Additionally, 5.4% of non-defaulted
collateral are currently experiencing interest shortfalls.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model for projecting future default levels
for the underlying portfolio. The 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'.
N-Star VII is currently overcollateralized by $183 million (33%),
primarily as a result of $412 million in collateral purchases at
an average discount of 45%. Fitch ran various scenarios to
evaluate the rating sensitivity to the recoveries within the cash
flow model for those assets purchased at a discount greater than
50%, approximately $248 million in par amount. Fitch used the
sensitivity analysis to assess credit risk for the class A-1
through C notes.
Based on this analysis, the class A-1 notes' breakeven rates are
generally consistent with the 'BBB' rating category and the
breakeven rates for the class A-2 and A-3 notes are generally
consistent with the 'BB' rating category. Similarly, the
breakeven rates for the classes B and C notes are generally
consistent with the 'B' rating category.
For classes D and E, Fitch analyzed each class' sensitivity to the
default of the distressed collateral. Given the high probability
of default of the underlying assets and the expected limited
recovery prospects upon default, the classes have been assigned a
'CCC' rating, indicating that default is a real possibility. A
lower rating was not assigned given the amount of cushion in the
overcollateralization tests.
Additionally, the class A-1 notes are assigned Loss Severity
ratings of 'LS3'. Similarly, the class A-2 through C notes are
assigned LS ratings of 'LS5'. The LS rating indicates a tranche's
potential loss severity given default, as evidenced by the ratio
of tranche size to the base-case loss expectation for the
collateral, as explained in 'Criteria for Structured Finance Loss
Severity Ratings'. Currently, for the class A-1 notes this ratio
falls in the range of 1.1 to 4.0, whereas for the class A-2
through C notes it falls below 0.5. The LS rating should always
be considered in conjunction with the probability of default for
tranches.
N-Star VII is a revolving collateralized debt obligation which
closed June 22, 2006. The CDO has a five-year reinvestment
period, which ends July 15, 2011. The portfolio is composed of
74.9% commercial mortgage-backed securities; 15.6% of SF CDOs;
6.2% real estate investment trust securities; 2.3% of residential
mortgage-backed securities; and 0.9% corporate loans.
Fitch has downgraded these classes, and assigned Outlooks and LS
ratings as indicated:
-- $338,250,000 class A-1 to 'BBB/LS3' from 'A-'; Outlook
Negative;
-- $54,250,000 class A-2 to 'BB/LS5' from 'BBB'; Outlook
Negative
-- $50,000,000 class A-3 to 'BB/LS5' from 'BBB-'; Outlook
Negative;
-- $30,300,000 class B to 'B/LS5' from 'BB+'; Outlook Negative;
-- $22,000,000 class C to 'B/LS5' from 'BB'; Outlook Negative;
-- $14,000,000 class D-FL to 'CCC' from 'B';
-- $2,000,000 class D-FX to 'CCC' from 'B'.
In addition, the class A-1 through D notes have been removed from
Rating Watch Negative.
Fitch has affirmed this class:
-- $16,200,000 class E at 'CCC'.
NAUTILUS RMBS: Fitch Downgrades Ratings on Six Classes of Notes
---------------------------------------------------------------
Fitch Ratings has downgraded six and affirmed two classes of notes
issued by Nautilus RMBS CDO I, Ltd.
As of the December 2009 trustee report, the balance of the
portfolio was $287.4 million, including $200.3 million, or 69.7%,
in par of assets deemed defaulted as per the transaction's
governing documents. Approximately 80.3% of the portfolio has
been downgraded since Fitch's last rating action in March 2009,
resulting in 95.6% of the portfolio with a Fitch derived rating
below investment grade and 82.6% with a rating in the 'CCC' rating
category or below, as compared to 83.3% and 26.6%, respectively,
at last review.
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. Due to the
significant collateral deterioration, credit enhancement levels
available to all classes of notes are exceeded by the 'CCC' rating
loss rate, the lowest rating level loss projected by SF PCM.
Given this, Fitch believes that the likelihood of default for all
classes of notes in this transaction 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.
Fitch compared the respective credit enhancement levels for each
rated class of notes with the amount of underlying assets
considered distressed (rated 'CCC' and lower). These assets have
a high probability of default and low expected recoveries upon
default. In addition to credit deterioration of the portfolio,
the transaction continues to divert portion of the principal
proceeds to pay hedge payments and accrued interest to timely
classes, thus reducing the amount of principal proceeds available
to pay down the notes.
In January 2009, a failure of the class B overcollateralization
(OC) test permanently switched the payoff structure of the
transaction from pro-rata to sequential. Prior to the switch,
class A-1S through class B-F notes have paid down pro-rata
approximately 27.9% since closing. As of the January 2010
distribution date, approximately 41.7% of the class A-1S notes'
original principal balance has paid down. The class A-1S notes
represent 31.9% of the current capital structure and have a credit
enhancement of 58.4%. The class A-1J and A-2 notes have the
credit enhancement levels of 50.1% and 41.6%, respectively. While
these classes are still receiving interest distributions, given
the amount of distressed assets in the portfolio, only the class
A-1 notes are projected to receive some principal by maturity.
The class A-3, B-V and B-F notes, and class C-V and C-F notes are
no longer receiving interest distributions and are not expected to
receive any proceeds going forward.
Nautilus I is a cash flow collateralized debt obligation, which
closed on May 26, 2005 and is managed by RCG Helm, LLC. The
portfolio is composed entirely of RMBS issued from 2002 to 2005.
Presently, Alternative-A residential mortgage-backed securities
comprise 53.9% of the portfolio, prime RMBS 43.5%, and subprime
RMBS 2.6 % of the portfolio.
Fitch has taken rating actions on these classes:
-- $119,525,532 class A-1S notes downgraded to 'C' from 'BB+';
-- $23,785,118 class A-1J notes downgraded to 'C' from 'BB'
-- $24,505,879 class A-2 notes downgraded to 'C' from 'BB-';
-- $48,290,997 class A-3 notes downgraded to 'C' from 'B';
-- $17,298,268 class B-V notes downgraded to 'C' from 'CCC';
-- $15,856,745 class B-F notes downgraded to 'C' from 'CCC';
-- $22,500,000 class C-V notes affirmed at 'C';
-- $5,500,000 class C-F notes affirmed at 'C'.
Fitch does not assign Rating Outlooks to classes rated 'CCC' or
lower. The Rating Outlooks for classes A-1, A-2, and B were
Negative prior to the downgrades.
NAUTILUS RMBS: Fitch Downgrades Ratings on Three Classes
--------------------------------------------------------
Fitch Ratings has downgraded three and affirmed three classes of
notes issued by Nautilus RMBS CDO II, Ltd.
As of the December 2009 trustee report, the balance of the
portfolio was $249.5 million, including $164.5 million, or 65.9%,
in par of assets deemed defaulted as per the transaction's
governing documents. Approximately 91% of the portfolio has been
downgraded since Fitch's last review in March 2009, resulting in
96.1% of the portfolio with a Fitch derived rating below
investment grade and 88.7% with a rating in the 'CCC' rating
category or below, as compared to 61.3% and 29%, respectively, at
last review.
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 (SF PCM) for
projecting future default levels for the underlying portfolio.
Due to the significant collateral deterioration, credit
enhancement levels available to all classes of notes are exceeded
by the 'CCC' rating loss rate, the lowest rating level loss
projected by SF PCM. Given this, Fitch believes that the
likelihood of default for all classes of notes in this transaction
can be assessed without performing cash flow model analysis under
the framework described in the report 'Global Criteria for Cash
Flow Analysis in CDOs - Amended'.
Fitch compared the respective credit enhancement levels for each
rated class of notes with the amount of underlying assets
considered distressed (rated 'CCC' and lower). These assets have
a high probability of default and low expected recoveries upon
default. In addition to credit deterioration of the portfolio,
the transaction continues to divert portion of the principal
proceeds to pay hedge payments and accrued interest to timely
classes, thus reducing the amount of principal proceeds available
to pay down the notes.
In February 2008, a failure of the class C overcollateralization
test permanently switched the payoff structure of the transaction
from pro rata to sequential. Prior to the switch, class A-1S
through class C notes have paid down pro rata approximately 10.9%
since closing. As of the November 2009 distribution date,
approximately 21.9% of the class A-1S notes' original principal
balance has paid down. The class A-1S notes represent 52.4% of
the current capital structure and have a credit enhancement of
30.1%. The class A-1J and A-2 notes have the credit enhancement
levels of 19.5% and 9.3%, respectively. While these classes are
still receiving interest distributions, given the amount of
distressed assets in the portfolio, only the class A-1 notes are
projected to receive some principal by maturity.
The class A-3, B and class C notes are no longer receiving
interest distributions and are not expected to receive any
proceeds going forward.
Nautilus II is a cash flow collateralized debt obligation, which
closed on Dec. 20, 2005, and is managed by RCG Helm, LLC. The
portfolio is composed entirely of RMBS issued from 2002 to 2005.
Presently, prime residential mortgage-backed securities comprises
62% of the portfolio, Alternative-A RMBS 30.2%, and subprime RMBS
7.8 % of the portfolio.
Fitch downgrades these classes:
-- $175,978,491 class A-1S notes downgraded to 'C' from 'B';
-- $26,737,265 class A-1J notes downgraded to 'C' from 'B-';
-- $25,846,023 class A-2 notes downgraded to 'C' from 'CCC'.
Fitch does not assign Rating Outlooks to classes rated 'CCC' or
below. Prior to the downgrades the Outlook for classes A-1S and
A-1J was Negative.
Fitch affirms these classes:
-- $32,084,719 class A-3 notes affirmed at 'C';
-- $20,498,570 class B notes affirmed at 'C';
-- $16,933,601 class C notes affirmed at 'C'.
NEVADA DEPARTMENT: Fitch Cuts Rating on $451.4 Mil. Bonds to 'D'
----------------------------------------------------------------
Fitch Ratings has downgraded to 'D' from 'C' the underlying rating
on the $451.4 million in outstanding Director of the State of
Nevada Department of Business and Industry Las Vegas Monorail
project revenue bonds, 1st tier, series 2000. The Las Vegas
Monorail Co. is the nonprofit public-benefit corporation
responsible for the project. A 'D' rating on Fitch's scale
reflects a bankruptcy filing, payment default, or coercive debt
exchange. Fitch downgraded the bonds to 'C' in June 2009.
The 'D' rating primarily reflects the LVMC's Chapter 11 bankruptcy
filing on Jan. 13, 2010; the related disputes over control of the
revenues from ticket sales and advertising between the monorail
and Wells Fargo, the trustee, to pay for operating expenses; and
the financial metrics of the enterprise which suggest that a
payment default is virtually certain on the scheduled July 2010
payment. The bonds are insured by Ambac, and LVMC was able to
make its January debt service payment in full by drawing on nearly
all of the remaining Ambac surety, originally funded at
$20.5 million. The monorail continues to earn enough revenue to
cover its operating costs; thus monorail operations are currently
expected to continue. However, recent disputes over the
allocation of revenues between the monorail and the trustee, in
addition to disputes with Ambac over whether the enterprise is
eligible for Chapter 11 bankruptcy further complicate matters.
Fitch does not rate the $149.2 million in outstanding Las Vegas
Monorail project revenue bonds, 2nd tier, series 2000, and the
$48.5 million in outstanding Las Vegas Monorail project revenue
bonds, 3rd tier, series 2000.
The first-tier bonds are limited obligations payable from monorail
fare and other operating revenues after operations and maintenance
expenses and prior to the payment of second- and third-tier bonds.
The monorail project consists of an extension and upgrade of an
existing 0.8-mile monorail between the MGM Grand Hotel and Casino
to Bally's Hotel and Casino and construction of three miles of new
guideway from Bally's north to the Sahara Hotel and Casino. Seven
stations are located along the alignment serving major hotels,
attractions, and the Las Vegas Convention Center along the Las
Vegas Strip. Monorail management continues to analyze plans to
extend the monorail to Las Vegas McCarran International Airport in
order to enhance ridership.
NEW YORK CITY INDUSTRIAL: Moody's Cuts Bonds to 'Ba1'
-----------------------------------------------------
Moody's Investors Service downgraded the ratings of all series of
the New York City Industrial Development Agency Queens Ballpark
Stadium Project's bonds to Ba1 from Baa3. These bonds are
affected; the $547 million Series 2006 PILOT Bonds, the
$7.1 million Lease Revenue Bonds, the $58.4 million Installment
Purchase Bonds and the $82.3 Series 2009 PILOT Bonds. The outlook
is stable.
The downgrade is related to the diminished credit quality of one
of the Debt Service Reserve Fund surety providers as well as
structural features that include the structural subordination of
the Lease Revenue mortgage, the cross default provisions and the
ability of the PILOT trustee to foreclose on the leasehold
interest, held by the Queens Ballpark Company, LLC, potentially
resulting in a pro-rata recovery in a stress situation for all
bond holders.
Ambac Assurance Corporation is the DSRF surety provider for the
Series 2006 PILOT Bonds only, and is currently rated Caa2, with a
developing outlook. The very low credit quality of the surety
provider renders the protection typically offered by a debt
service reserve much less effective than contemplated at the time
of the 2006 bond issuance. When the deal was originally
structured, the lack of a separate strike reserve was mitigated
because the DSRF requirement was provided by a highly-rated surety
provider and sized at 150% of MADS versus 100% of MADS, as is the
case in comparable transactions. In Moody's view, having the
Ambac DSRF surety rather than a cash-funded DSRF liquidity reserve
sufficient to address operating and strike risks is a credit
weakness.
The rating of the of the Lease Revenue Bonds has been downgraded
to Ba1 from Baa3 because the Leasehold Rental Mortgage is
expressly subordinate to the PILOT Mortgages pursuant to the
Mortgage Standstill & Recognition Agreement, which states that, ".
. . the Leasehold Rental Mortgage is and shall at all times be and
remain subject and subordinate in all respects to the liens,
terms, covenants and conditions of the PILOT Mortgages and to all
advances heretofore made or which may hereafter be made pursuant
to the PILOT Mortgages . . ." Due to the relatively small amount
of debt on the Lease Revenue Bonds, the bonds have historically
been rated at the same level as the PILOT Bonds.
The $58.4 million Installment Purchase Bonds and the $82.3 Series
2009 PILOT Bonds have been downgraded to Ba1 from Baa3 because the
occurrence of an event of default under the PILOT Bonds Indenture
constitutes an event of default under both the Lease Revenue Bond
Indenture and the Installment Purchase Bond Indenture.
The Series 2006 Bonds indenture documents state that an insurer
that provides a surety bond for the DSRF must be rated at least
Baa3 and BBB- by Moody's and S&P, respectively. For the Series
2006 PILOT Bonds, if the insurer falls below either of those
ratings, there is not a covenant breach, nor is there a technical
default, but rather, there is a mechanism that allows for excess
scheduled PILOTs (payment in lieu of taxes) to be transferred to
the DSRF as a substitute for the less creditworthy insurer. As
currently projected, PILOTs exceed debt service by $960 thousand
in 2010, and approximately $4.3 million annually thereafter. If
the surety provider for the DSRF continues to be rated below the
required threshold, the excess PILOTs would be transferred to a
cash funded DSRF on each payment date until the DSRF requirement
is fulfilled. The excess PILOTs would otherwise be available to
the Company for operations and maintenance. This mechanism will
not go into effect for the Lease Revenue Bonds, the Installment
Purchase Bonds, or the Series 2009 PILOT Bonds.
Queens Ballpark Company, LLC, is a special purpose entity created
to lease, operate, maintain and manage the construction of Citi
Field, the home stadium of the Mets. The New York City Industrial
Development Agency acts as a conduit issuer for both the Series
2006 Installment Purchase Bonds and the Series 2006 Lease Revenue
Bonds.
The ratings for the Queens Ballpark Bonds were assigned by
evaluating factors Moody's believe are relevant to the credit
profile of the Queens Ballpark Company, LLC (the Company), such as
(i) the business risk and competitive position of the Company
versus others within its industry, (ii) the capital structure and
financial risk of the Company, (iii) the projected performance of
the Company over the near to intermediate term, and (iv)
management's track record and tolerance for risk. These
attributes were compared against other issuers both within and
outside of the Company's core industry and the Company's ratings
are believed to be comparable to those of other issuers of similar
credit risk.
The last rating action on the Series 2006 Bonds was on
September 17, 2009, when the review for downgrade for the Series
2006 Bonds was extended. The last rating action on the Series
2009 Bonds was on January 16, 2009, when the rating was assigned.
NYCIDA: S&P Cuts Rating on $547.6MM PILOT Bonds 2006 Series to BB+
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its underlying rating
on NYCIDA's $547.6 million PILOT bonds 2006 series, $58.4 million
installment purchase bonds 2006 series, $7.1 million lease revenue
bonds, and $82.28 million PILOT bonds 2009 series to 'BB+' from
'BBB'. At the same time, S&P removed the ratings from CreditWatch
negative. The outlook is stable.
These actions reflect the current rating of Ambac Assurance Corp.
(CC/Developing/--). The 2006 series PILOT bonds receive
enhancement in the form of debt service reserve fund surety
policies with Ambac. While the remaining series bonds adequately
funded its DSRF and strike reserve fund with surety policies
provided by Assured Guaranty (AAA/Negative/--), the 2009 series
are parity debt and the lease revenue and installment purchase
bonds have cross defaults with the PILOT bonds. S&P lowered all
the bonds ratings because the 2006 PILOT bonds do not have a
reserve fund with adequate liquidity to support any disruption in
project cash flow.
NORTH STREET: Fitch Downgrades Ratings on 2002-3A Notes
-------------------------------------------------------
Fitch Ratings has downgraded the sole class of notes issued by
North Street Referenced Linked Notes 2002-3A, Ltd., as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in January 2009.
The reference portfolio as of January 2010 is $1,984,209,500. The
Fitch-derived weighted average rating has decreased to 'BBB/BBB-'
from 'A-' at last review. The percentage of the portfolio rated
below investment grade has increased to 12.8% from 4.9% at last
review. In addition, one credit event in the amount of $5,950,000
in par has eroded credit enhancement levels for the notes to 7.3%
of the referenced portfolio par from 7.5% at last review. The
addition of this credit event has resulted in the subordination
available to the notes being reduced by a total of $15,790,500.
Fitch projected the portfolio's credit losses for various ratings
stresses utilizing its Structured Finance Portfolio Credit Model
(SF PCM). Given these loss projections, the current credit
enhancement to the notes is consistent with a 'B' rating.
Further, given the negative outlook to the performance of the
underlying assets, Fitch assigned a Negative Rating Outlook to
this class.
Fitch has assigned a Loss Severity rating for the notes of 'LS3'.
The LS rating indicates a tranche's potential loss severity given
default, as evidenced by the ratio of tranche size to the base-
case loss expectation for the collateral, as explained in
'Criteria for Structured Finance Loss Severity Ratings'. The LS
rating should always be considered in conjunction with the
probability of default for tranches.
North Street 2002-3A is a partially funded synthetic CDO that
references a portfolio composed of commercial mortgage-backed
securities (35.4%), CDOs (25%), residential mortgage-backed
securities (14.3%), and asset-backed securities (25.3%).
Fitch has downgraded this rating, assigned an 'LS' rating, and
revised the Rating Outlook as indicated:
-- $100,000,000 floating-rate notes to 'B/LS3' from 'A'; Outlook
to Negative from Stable.
PPM AMERICA: Fitch Affirms Ratings on Two Classes of Notes
----------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed two classes of
notes issued by PPM America High Yield CBO I.
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', 'Criteria for Structured Finance Recovery
Ratings' and 'Rating Market Value Structures'.
The downgrade of the class A-1 notes is due to the insufficient
collateral available to redeem the notes at maturity. Currently,
the notional balance of the class A-1 notes is approximately
$39.2 million, compared to a total collateral balance of only
$19.9 million. Based on Fitch's expectation of future interest
and principal cash flows, the recovery rating is also revised
downward.
Due to insufficient interest proceeds, the class A-3 notes
received only partial interest at the latest payment date in
December 2009. Fitch expects these notes to continue to receive
only partial interest payments in the future and no principal
recovery. The class B notes are not expected to receive any
future distributions.
Recovery Ratings are based on the total discounted future cash
flows projected to be available to each class of notes in a base-
case default scenario. Fitch considered the projected market
value risk of long dated assets in addition to expected losses on
the performing portfolio when determining ultimate recovery
expectations for the notes. 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'.
PPM HY CBO I is a cash flow collateralized debt obligation that
closed on March 2, 1999 and is managed by PPM America, Inc. PPM HY
CBO I exited its reinvestment period in June 2003 and currently
has a portfolio consisting of six high yield bonds.
Fitch has downgraded and revised the Recovery Rating for this
class:
-- $39,252,672 class A-1 notes downgraded to 'C/RR4' from
'CC/RR3';
Fitch has affirmed these classes:
-- $55,700,000 class A-3 notes at 'C/RR6;
-- $73,100,000 class B notes at 'C/RR6'.
REAL ESTATE: Moody's Affirms Ratings on 18 2007-1 Certificates
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 18 classes of
Real Estate Asset Liquidity Trust Commercial Mortgage Pass-Through
Certificates, Series 2007-1 due to overall stable pool performance
and key rating parameters, including Moody's loan to value ratio,
Moody's debt service coverage ratio and the Herfindahl Index,
remaining within acceptable ranges. The rating action is the
result of Moody's on-going surveillance of commercial mortgage
backed securities transactions.
As of the January 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to
$486.6 million from $514.0 million at securitization. The
Certificates are collateralized by 76 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 51% of the pool. The pool includes three loans with
investment-grade underlying ratings, representing 20% of the pool.
One loan, representing 0.4% of the pool, has defeased and is
collateralized with Canadian Government securities. Fifty-five
loans, representing 75% of the pool's outstanding balance, have
partial or full recourse.
Three loans, representing 3% of the pool, are on the master
servicer's watchlist. The pool has not experienced any losses
since securitization and currently there are no delinquent loans
or loans in special servicing.
Moody's was provided with full or partial-year 2008 operating
results for 88% of the pool. Moody's weighted average LTV ratio
is 89% compared to 90% at securitization.
Moody's actual and stressed DSCR are 1.39X and 1.21X,
respectively, compared to 1.36X and 1.13X at securitization.
Moody's actual DSCR is based on Moody's net cash flow 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 is 40. The pool
has a Herf of 27, the same as at securitization.
The largest loan with an underlying rating is the Langley Power
Centre Loan ($40.2 million -- 8% of the pool), which is secured by
a 228,000 square foot anchored retail mall located outside of
Vancouver in Langley, Ontario. The largest tenants are Winners
(15% of the net rentable area; lease expiration in March 2012),
Michael's (10% of the NRA; lease expiration in February 2011) and
Future Shop (15% of the NRA; lease expiration in January 2012).
As of February 2009, the property was 100% leased; the same as at
securitization. Performance has been stable; however, 99% of the
NRA expires in 2011 and 2012. The loan matures in March 2017.
The loan is 100% recourse to the sponsor, RioCan REIT. Moody's
underlying rating and stressed DSCR are Baa2 and 0.9X, essentially
the same as at securitization.
The second largest loan with an underlying rating is the Atrium
Pooled Interest Loan ($38.7 million - 8% of the pool), which
represents a pari passu interest in a $116 million first mortgage
loan that is spread among three CMBS deals. The property is also
encumbered by a $74 million B-note. The loan is secured by a
1.05 million SF Class A office/retail complex comprised of three
interconnected office towers and one freestanding office/retail
building located in downtown Toronto. The office component
contains approximately 916,000 SF and the retail component
contains approximately 136,000 SF. The office component's largest
tenant is the Canadian Imperial Bank of Commerce, which leases
approximately 40% of the NRA on leases expiring in 2013 and 2016.
The property was 99% leased as of September 2009 compared to 86%
at securitization. Despite improved occupancy, property
performance has declined since securitization because of increased
expenses. Moody's current underlying rating and stressed DSCR are
A3 and 1.44X, respectively, compared to A2 and 1.51X at
securitization.
The third largest loan with an underlying rating is the PDC Senior
Interest Loan ($19.3 million -- 4% of the pool), which is secured
by a ten-story 165,000 SF office building located on Nun's Island
near downtown Montreal, Quebec. The property is 100% leased to
Yellow Pages Canada through December 2017. The loan is interest-
only for the first five years and matures in March 2013. Moody's
underlying rating and stressed DSCR are Baa3 and 1.30X,
essentially the same as at securitization.
The top three conduit loans represent 20% of the pool. The
largest conduit loan is the Conundrum Portfolio Loan
($37.7 million -- 8% of the pool), which is secured by a portfolio
of nine industrial properties, five unanchored retail properties
and one office building. The properties total 558,650 SF and are
located throughout five cities in Ontario. The largest tenant is
Sims Recycling Solution (14% of the NRA; lease expiration in April
2013), Airport Steel & Tubing (11% of the NRA; lease expiration in
October 2014) and Canadian Kawasaki Motors (7% of the NRA; lease
expiration in February 2014). As of May 2009, the portfolio was
97% leased; the same as at securitization. Performance has been
stable due to amortization offsetting increased operating
expenses. The loan matures in February 2017. Moody's LTV and
stressed DSCR are 110% and 0.89X, respectively, compared to 112%
and 0.87X at securitization.
The second largest conduit loan is the Mississauga Office Loan
($30.6 million -- 6% of the pool), which is secured by four office
buildings totaling 225,000 SF located in Mississauga, Ontario. As
of April 2009, the properties were 95% leased, essentially the
same as at securitization. The largest tenants are Centre for
Health and Safety Innovation (53% of the NRA; lease expiration in
February 2021), First Choice Canada Mart (17% of the NRA; lease
expiration in October 2016) and Amdocs Canada (8% of the NRA;
lease expiration in May 2012). Performance has improved since
securitization due to increased revenue and amortization. The
loan matures in March 2017. Moody's LTV and stressed DSCR are 94%
and 1.04X, respectively, compared to 100% and 0.97X at
securitization.
The third largest conduit loan is the Sundance Pooled Interest
Loan ($26.4 million -- 5.4% of the pool), which represents a pari
passu interest in a $53 million first mortgage that is spread
between two CMBS deals. The loan is secured by a 179,619 SF Class
A office building located in the Sundance Business Park in
southeast Calgary, Alberta. The property was 100% leased as of
April 2009, the same as at securitization. The property is
anchored by Colt Engineering Corporation (Colt), which leases
approximately 74% of the NRA on leases expiring in 2011 (24% of
the NRA) and 2016 (50% of the NRA). The property has not achieved
the increased cash flow anticipated at securitization, largely
because of increased expenses. In addition, the Calgary office
market has softened since securitization and Moody's is concerned
about the property's exposure to near-term lease rollovers.
Leases for approximately 47% of the property's NRA, including a
portion of Colt's space, expire in 2011. Moody's LTV and stressed
DSCR are 110% and 0.86X, respectively, compared to 103% and 0.92X
at securitization.
Moody's rating action is:
-- Class A-1, $168,195,279, affirmed at Aaa; previously assigned
at Aaa on 4/26/2007
-- Class A-2, $261,900,000, affirmed at Aaa; previously assigned
at Aaa on 4/26/2007
-- Class XP-1, Notional, affirmed at Aaa; previously assigned at
Aaa on 4/26/2007
-- Class XP-2, Notional, affirmed at Aaa; previously assigned at
Aaa on 4/26/2007
-- Class XC-1, Notional, affirmed at Aaa; previously assigned at
Aaa on 4/26/2007
-- Class XC-2, Notional, affirmed at Aaa; previously assigned at
Aaa on 4/26/2007
-- Class B, $12,208,000, affirmed at Aa2; previously assigned to
Aa2 on 4/26/2007
-- Class C, $12,208,000, affirmed at A2; previously assigned to
A2 on 4/26/2007
-- Class D-1, $1,000, affirmed at Baa2; previously assigned to
Baa2 on 4/26/2007
-- Class D-2, $12,849,000 affirmed at Baa2; previously assigned
to Baa2 on 4/26/2007
-- Class E-1, $1,000, affirmed at Baa3; previously assigned to
Baa3 on 4/26/2007
-- Class E-2, $3,854,000, affirmed at Baa3; previously assigned
to Baa3 on 4/26/2007
-- Class F, $3,855,000, affirmed at Ba1; previously assigned at
Ba1 on 4/26/2007
-- Class G, $1,285,000, affirmed at Ba2; previously assigned at
Ba2 on 4/26/2007
-- Class H, $1,285,000, affirmed at Ba3; previously assigned at
Ba3 on 4/26/2007
-- Class J, $11,285,000, affirmed at B1; previously assigned at
B1 on 4/26/2007
-- Class K, $642,000, affirmed at B2; previously assigned at B2
on 4/26/2007
-- Class L, $1,928,000, affirmed at B3; previously assigned at
B3 on 4/26/2007
RESERVOIR FUNDING: Fitch Downgrades Ratings on Three Classes
------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed two
classes of notes issued by Reservoir Funding Ltd. as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in February 2009.
As of the December 2009 trustee report, the current balance of the
portfolio (including cash) is $396 million. Approximately 68.4%
of the portfolio has been downgraded since the last review.
Defaulted securities, as defined in the transaction's governing
documents, now comprise 36.2% of the portfolio, compared to 8.5%
at last review. The downgrades to the portfolio have left
approximately 48.6% of the portfolio (including defaults) with a
Fitch derived rating below investment grade and 42.7% with a
rating in the 'CCC' rating category or lower, compared to 23.1%
and 17.2%, respectively at last review.
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. Due to the
significant collateral deterioration, credit enhancement levels
available to all classes of notes are exceeded by the 'CCC' rating
loss rate, the lowest rating level loss projected by SF PCM.
Given this, Fitch believes that the likelihood of default for all
classes of notes in this transaction 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.
Fitch compared the respective credit enhancement levels for each
rated class of notes with the amount of underlying assets
considered distressed (rated 'CCC' and lower). These assets have
a high probability of default and low expected recoveries upon
default. The classes A-1, A-2, and B notes have the credit
enhancement levels of 31.7%, 12.7% and 4.0%, respectively, as
compared to the 42.7% of the portfolio considered distressed.
While these classes continue to receive timely interest, part of
the interest due to the class A-2 notes and all of the interest
due to the class B notes is being fulfilled through principal
proceeds.
Fitch believes that default is probable for the class A-1 notes
and therefore, this class has been downgraded to 'CC'. Fitch
believes that default is inevitable for the classes A-2 and B
notes and therefore, these classes have been downgraded to 'C'.
The classes C and D notes are no longer receiving interest
distributions and are not expected to receive any proceeds going
forward. Therefore, these notes have been affirmed at 'C' to
indicate Fitch's belief that default is inevitable at or prior to
maturity.
Reservoir is a cash flow structured finance collateralized debt
obligation that closed on Oct. 26, 2004. The portfolio is
monitored by MBIA Investment Management. The portfolio is
composed of CDOs (56.0%) and residential mortgage-backed
securities (44.0%).
Fitch has taken these rating actions as indicated:
-- $270,547,002 class A-1 notes downgraded to 'CC' from 'BB';
-- $75,000,000 class A-2 notes downgraded to 'C' from 'CC';
-- $34,500,000 class B notes downgraded to 'C' from 'CC';
-- $3,125,137 class C notes affirmed at 'C';
-- $7,233,664 class D notes affirmed at 'C'.
REVE SPC: S&P Withdraws 'CCC-' Rating on Series 45 Notes
--------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'CCC-' rating on
the notes issued by REVE SPC's series 45, a synthetic corporate
investment-grade collateralized debt obligation transaction.
The withdrawal follows the issuer's repurchase of the notes on
Oct. 22, 2009.
Rating Withdrawn
REVE SPC
Series 45
Dundee 2007-1
Rating Balance (mil. $)
------ ----------------
To From Current Previous
-- ---- ------- --------
Notes NR CCC- 0.000 20.000
NR - Not rated.
RFC CDO: Fitch Downgrades Ratings on Five Classes of Notes
----------------------------------------------------------
Fitch Ratings has downgraded five classes of notes issued by RFC
CDO I, Ltd., as a result of continued credit deterioration in the
portfolio since Fitch's last rating action in May 2009.
As of the Dec. 31, 2009 trustee report, the current balance of the
portfolio is approximately $126.2 million. Approximately 30.9% of
the portfolio has been downgraded since May 2009, resulting in
approximately 50.3% of the portfolio with a Fitch derived rating
below investment grade and 23.1% with a rating in the 'CCC' rating
category or below, compared to 13.2% and 8%, respectively, at last
review.
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 -
Amended'. Based on this analysis, the breakeven rates for the
classes are generally consistent with the ratings assigned below.
Class A has paid down 17.5% of its balance since last review which
offset some of the effect from the negative migration in the
portfolio for all classes by increasing their respective credit
enhancements.
Fitch revises the Outlooks to Negative for classes A, B1, B2 and C
due to the potential for additional negative performance in the
underlying assets.
The Loss Severity ratings of 'LS3', 'LS4' and 'LS5' assigned to
the class A, class B1 and B2, and class C notes, respectively,
indicate the tranches' 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.
RFC CDO I is a structured finance collateralized debt obligation
(SF CDO) that closed on June 30, 2004. The portfolio of
collateral was originally selected by Residential Funding
Corporation and is now monitored by Castle Peak Capital Advisors.
The portfolio is composed of residential mortgage-backed
securities (90.3%), commercial mortgage-backed securities (5.7%)
and SF CDOs (4%).
Fitch has downgraded, assigned LS ratings and revised Rating
Outlooks as indicated:
-- $55,286,344 class A notes to 'A/LS3' from 'AA'; Outlook to
Negative from Stable;
-- $22,500,000 class B1 notes to 'BB/LS4' from 'A'; Outlook to
Negative from Stable;
-- $2,000,000 class B2 notes to 'BB/LS4' from 'A'; Outlook to
Negative from Stable;
-- $16,200,000 class C notes to 'B/LS5' from 'BB'; Outlook to
Negative from Stable;
-- $7,288,634 class D notes to 'CCC' from 'BB-'.
RYLAND ACCEPTANCE: Fitch Downgrades Ratings on Class F to 'C/RR6'
-----------------------------------------------------------------
Fitch Ratings has taken this rating action on Ryland Acceptance
Corp. IV:
Ryland Acceptance Corp. IV, series 99
-- Class F downgraded to 'C/RR6' from 'AAA'.
The December 2009 remittance report indicates the class F
certificate is significantly under-collateralized. The December
2009 remittance reports the balance of the class F bond as
$4,569,156. The collateral pool supporting class F currently
consists of 11 FHLMC and FNMA bonds with a total current bond
balance of $203,014. The downgrade to 'C/RR6' was based on the
large level of under-collateralization and the limited recovery
prospects.
The remittance report indicates original balance of the class F
certificate to be $24,749,902. At origination the collateral pool
consisted of eight FHLMC certificates, 29 FNMA certificates, and
Structured Asset Securities Corporation series 1991-1 class NB.
SASCO 1991-1 class NB was secured by GNMA certificates. The
original collateral balance of these certificates was $24,886,437.
SCHOONER TRUST: Moody's Affirms Ratings on 13 2007-8 Certs.
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes and
downgraded two classes of Schooner Trust, Commercial Mortgage
Pass-Through Certificates, Series 2007-8. The downgrades are due
to higher expected losses for the pool resulting from anticipated
losses from specially serviced and watchlisted loans and increased
credit quality dispersion for the remainder of the pool.
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.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the January 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to
$501.0 million from $518.1 million at securitization. The
Certificates are collateralized by 68 mortgage loans ranging in
size from less than 1% to 10% of the pool, with the top ten loans
representing 51% of the pool. The pool includes two loans,
representing 10% of the pool, with investment grade underlying
ratings. No loans have defeased.
One loan, representing 1% of the pool, is on the master servicer's
watchlist. The watchlisted loan is secured by a 60,000 square
foot office property located in Mississauga, Ontario. As of
January 2010, the property was 69% leased compared to 94% at
securitization. The property's performance has declined
significantly due to increased vacancy. Moody's believes that
this loan has a high probability of default prior to loan
maturity.
The pool has not experienced any losses to date. Currently, one
loan, representing 0.2% of the pool, is in special servicing. The
specially serviced loan is secured by an unanchored retail
property located in Burnaby, British Columbia. The loan was
transferred to special servicing in October 2009 due to imminent
default and is currently 90+ days delinquent. Moody's anticipates
a $2.5 million loss (37% loss severity on average) from the
watchlisted and specially serviced loans.
Moody's was provided with full-year 2008 operating results for 99%
of the pool. Excluding the specially serviced and watchlisted
loans, Moody's weighted average LTV for the conduit pool is 95%
compared to 96% at securitization. Although the overall LTV has
been stable, the pool has experienced increased credit quality
dispersion since securitization. Based on Moody's analysis, 38%
of the pool has an LTV in excess of 100% and 6% of pool has an LTV
in excess of 120%. At securitization, 30% of the pool had a LTV
in excess of 100% and 3% in excess of 120%.
Excluding the specially serviced and watchlisted loans, Moody's
actual and stressed DSCRs are 1.36X and 1.06X, respectively,
compared to 1.36X and 1.03X at securitization. Moody's actual
DSCR is based on Moody's net cash flow 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
conduit pool has a Herf of 26 compared to 27 at securitization.
The loan with an underlying rating is the Atrium Pooled Interest
Loan ($38.7 million - 10.7% of the pool), which represents a pari
passu interest in a $116 million first mortgage loan that is
spread among three CMBS deals. The property is also encumbered by
a $74 million B-note. The loan is secured by a 1.05 million SF
Class A mixed-use complex comprised of three interconnected office
towers and one freestanding office/retail building. The property
is located in downtown Toronto. The office component contains
approximately 916,000 SF and the retail component contains
approximately 136,000 SF. The office component's largest tenant
is the Canadian Imperial Bank of Commerce which occupies
approximately 40% of the property's net rentable area on leases
expiring in 2013 and 2016. The property was 99% leased as of
September 2009 compared to 86% at securitization. The property
has not achieved the increased cash flow anticipated at
securitization, largely because of increased expenses. Moody's
current underlying rating and stressed DSCR are A3 and 1.44X,
respectively, compared to A2 and 1.51X at securitization.
The second largest loan with an underlying rating is the 107
Woodlawn Road West Loan ($10.4 million -- 2.1% of the pool), which
is secured by a 618,400 SF industrial facility located in Guelph,
Ontario. The borrower, a wholly-owned subsidiary of SYNNEX Canada
Limited, leases 100% of this building to its parent company
through February 2019. The loan matures in April 2017. The loan
is amortizing on a 15 year schedule and has amortized 12% since
securitization. Moody's current underlying rating and stressed
DSCR are Baa2 and 1.61X, respectively, compared to Baa3 and 1.39X
at securitization.
The three largest conduit loans represent 21% of the outstanding
pool balance. The largest conduit loan is the Londonderry Pooled
Interest Loan ($50.0 million -- 10.0% of the pool), which
represents a pari passu interest in a $75 million first mortgage
that is spread between two CMBS deals. The loan is secured by a
777,032 SF regional shopping center located in Edmonton, Alberta.
The anchors include The Bay, Sport Chek, and Army & Navy. The
property is the dominant retail mall in the Northeast sector of
Edmonton. As of December 2008, the property was 97% leased
compared to 98% at securitization. Property performance has
improved since securitization due to increased revenues. Moody's
LTV and stressed DSCR are 88% and 1.04X, respectively, compared to
91% and 1.01X at securitization.
The second largest conduit loan is the Mega Centre Cote-Vertu Loan
($27.2 million -- 5.4% of the pool), which is secured by a 277,477
SF power center located in Montreal, Quebec. The center is
anchored by Brault & Martineau (28% of the NRA; lease expiration
May 2016), Bentley Leathers Inc. (12% of the NRA; lease expiration
September 2010) and Future Shop (11% of the NRA; lease expiration
January 2012). As of December 2008, the property was 89% leased
compared to 100% at securitization. Despite the increased
vacancy, property performance has been stable. Moody's valuation
reflects a stressed cash flow due to concerns about the near-term
lease expiration of the property's second largest tenant, Bentley
Leathers. Moody's LTV and stressed DSCR are 100% and 0.92X,
respectively, compared to 98% and 0.93X at securitization.
The third largest conduit loan is the Atrium II Loan
($26.5 million -- 5.3% of the pool), which is secured by a 110,090
SF Class B multi-tenant office building located in downtown
Calgary, Alberta. The largest tenants include the Gemini
Corporation (28% of the NRA; lease expirations in April and
December 2010 and December 2012), Calgary Business Services, Ltd.,
Inc. (13% of the NRA; lease expiration in November 2019) and GBA
Accounting (10% of the NRA; lease expiration in September 2012).
The property was 94% leased as of January 2010 compared to 100% at
securitization. Despite improvements in cash flow, the property
has not achieved Moody's original projections. Additionally,
Moody's is concerned about the property's exposure to near-term
lease rollover because of the decline in the Calgary office market
since securitization. Moody's LTV and stressed DSCR are 124% and
0.78X, respectively, compared to 109% and 0.89X at securitization.
Moody's rating action is:
-- Class A-1, $186,438,731, affirmed at Aaa; previously assigned
Aaa on 6/27/2007
-- Class A-2, $210,900,000, affirmed at Aaa; previously assigned
Aaa on 6/27/2007
-- Class XP, Notional, affirmed at Aaa; previously assigned Aaa
on 6/27/2007
-- Class XC, Notional, affirmed at Aaa; previously assigned Aaa
on 6/27/2007
-- Class A-J, $42,750,000, affirmed at Aaa; previously assigned
Aaa on 6/27/2007
-- Class B, $10,363,000, affirmed at Aa2; previously assigned
Aa2 on 6/27/2007
-- Class C, $12,954,000, affirmed at A2; previously assigned A2
on 6/27/2007
-- Class D, $13,601,305, affirmed at Baa2; previously assigned
Baa2 on 6/27/2007
-- Class E, $3,886,087, affirmed at Baa3; previously assigned
Baa3 on 6/27/2007
-- Class F, $4,533,768, affirmed at Ba1; previously assigned Ba1
on 6/27/2007
-- Class G, $2,590,725, affirmed at Ba2; previously assigned Ba2
on 6/27/2007
-- Class H, $1,295,362, affirmed at Ba3; previously assigned Ba3
on 6/27/2007
-- Class J, $1,943,044, affirmed at B1; previously assigned B1
on 6/27/2007
-- Class K, $1,295,362, downgraded to B3 from B2; previously
assigned B2 on 6/27/2007
-- Class L, $2,590,725, downgraded to Caa1 from B3; previously
assigned B3 on 6/27/2007
SCIENS CFO: Fitch Affirms Ratings on Four Tranches of Notes
-----------------------------------------------------------
Fitch Ratings has upgraded one tranche and affirmed four tranches
of notes issued by Sciens CFO I Ltd.
Sciens breached its Minimum Coverage Test on Oct. 31, 2008, and is
currently in receivership. The portfolio experienced significant
valuation declines in the second half of 2008, but has had a
stable and overall positive return throughout 2009. In addition,
the transaction has paid down approximately half of the class A
notes and is expected to continue to pay down as portfolio
positions are redeemed from underlying fund positions. The rating
actions reflect Fitch's analysis of the remaining portfolio and
the application of valuation and liquidity stresses at particular
rating levels.
Fitch's surveillance methodology for Sciens applies multiple
stresses to current net asset value levels assuming a protracted
liquidity profile. The initial NAV decline is based on fourth
quarter 2008 (4Q'08) loss levels which Fitch deems to be a 'BBB'
stress event. Fitch scaled this base case loss through the rating
scale for particular rating levels. This base case loss by rating
category was applied to the portfolio using the managers liquidity
profile extended an additional six months. This delay assumes
that all the funds in the portfolio implement an additional six
month period of no redemptions to any liquidity impairments that
are already in place. At each liquidity period, additional NAV
stresses are applied. The serial stresses were sized based on a
ratio of the top six historical losses to the base case loss
level.
Due to the historic portfolio volatility exhibited by Sciens
portfolio along with the higher than average liquidity impairment
levels that it experienced through the second half of 2008, rating
stress hurdles are increased for this transaction. This ratings
adjustment also reflects the high concentration in Sciens managed
positions. Although the transaction has an 8% trigger for a
single manager, Sciens currently manages approximately 24% of the
portfolio.
Although the class A benefits from deleveraging and passes Fitch's
'BB' rating stresses, Fitch has assigned a 'B' rating due to the
increases in the portfolio's concentration levels from transaction
inception levels and poor liquidity. However, given the greater
cushion to the 'B' rating stress, Fitch has assigned a Stable
Rating Outlook.
The class B notes do have coverage at current NAV levels.
However, Fitch expects the tranche to not receive cash flows for
approximately two years. The long risk horizon, a highly
concentrated portfolio, and dependency on the least liquid assets
when this class' repayments will begin, puts the class at
significant risk of default. Therefore, the rating has been
affirmed at 'CC', as default of some kind appears probable.
The class C, class D, and class E notes do not have valuation
coverage given current NAV levels and Fitch expects the classes to
receive little to no cash flows over the life of the transaction.
As such, Fitch believes a default to be likely and the notes are
therefore affirmed at 'C'.
Sciens is a collateralized hedge fund of fund transaction with
valuation termination triggers. The transaction closed on
Dec. 15, 2006, and is managed by Sciens Capital Management.
Fitch has taken these rating actions on Sciens and are effective
immediately:
-- EUR63,638,417 class A upgraded to 'B' from 'CCC'; Outlook
Stable;
-- EUR21,935,749 class B affirmed at 'CC';
-- EUR14,598,702 class C affirmed at 'C';
-- EUR19,728,690 class D affirmed at 'C';
-- EUR8,474,064 class E affirmed at 'C'.
DR ratings have been removed for all classes.
SEQUILS-CENTURION V: Moody's Upgrades Ratings on Two Classes
------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Sequils-Centurion V, Ltd:
-- US$408,000,000 Class A Senior Secured Floating Rate Term
Notes Due 2013 (current outstanding balance of $139,579,341),
Upgraded to Aa2; previously on February 23, 2009, Downgraded
to Aa3;
-- US$30,000,000 Class B Second Priority Senior Secured
Floating Rate Notes Due 2013 (current outstanding balance of
$16,644,440), Upgraded to Baa2; previously on February 23,
2009, Downgraded to Ba1.
According to Moody's, the rating actions taken on the notes are a
result of the substantial delevering of the transaction over the
past year as well as the revision of the Sequils Credit Swap
Threshold. Since the last rating action taken on February 23,
2009, the Class A Notes were paid a total of about $95 million,
accounting for roughly 40% of the total Class A outstanding
balance reported in February. In addition, Moody's notes that the
trustee has revised the Sequils Credit Swap Threshold upwards
since the time of the last review. The swap threshold is
currently $39,118,620 as of the latest trustee report, dated
January 12, 2010, versus $33,807,648 as of the January 13, 2009
trustee report. In this transaction, the credit swap provides
credit enhancement to the rated notes, and lowering/increasing the
swap threshold effectively represents loss/gain of subordination.
Finally, Moody's considered the increase in the percentage of
defaulted assets as well as the slight deterioration of the
weighted average rating factor, all of which were offset by the
aforementioned factors.
On February 23, 2009, Moody's downgraded the Class A Notes from
Aaa to Aa3, and the Class B Notes from A1 to Ba1, primarily as a
result of the application of revised and updated key modeling
assumptions as well as the deterioration in the credit quality of
the transaction's underlying portfolio, but also considering
Moody's understanding of the amount of effective subordination
available to the rated notes through the credit swap.
Sequils-Centurion V, Ltd, issued in April 2001, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
SEQUOIA MORTGAGE: Fitch Affirms Ratings on Six Classes of Notes
---------------------------------------------------------------
Fitch Ratings has affirmed 6 and downgraded 4 classes within the
$47 million Sequoia Mortgage Trust 9 in the course of its ongoing
surveillance reviews.
Fitch has affirmed, downgraded, assigned Loss Severity ratings and
Recovery Ratings and Outlooks:
-- Class 1A (81743SAA8) affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2A (81743SAB6) affirmed at 'AAA/LS1'; Outlook Stable;
-- Class X1A (81743SAC4) affirmed at 'AAA'; Outlook Stable;
-- Class X1B (81743SAD2) affirmed at 'AAA'; Outlook Stable;
-- Class XB (81743SAE0) affirmed at 'AAA'; Outlook Stable;
-- Class B1 (81743SAG5) affirmed at 'AAA/LS3'; Outlook Negative;
-- Class B2 (81743SAH3) downgraded to 'A/LS3' from 'AA'; Outlook
Negative;
-- Class B3 (81743SAJ9) downgraded to 'BB/LS3' from 'A'; Outlook
Negative;
-- Class B4 downgraded to 'B/LS3' from 'BBB'; Outlook Negative;
-- Class B5 downgraded to 'CC/RR5' from 'BB'.
The Sequoia Mortgage Trust 9 certificates were issued in 2002.
The certificates are secured by a pool of Prime mortgage loans
(11% pool factor). The loans currently outstanding have a
weighted average FICO of 733 and an original loan-to-value of 71%.
Loans located in California represent 21% of the outstanding
mortgage pool.
The rating actions reflect Fitch's expected collateral loss on the
mortgage pools and cash flow analysis of each bond. The average
updated expected collateral loss for the Prime transactions issued
prior to 2005 is 1.36% as a percentage of the remaining pool
balance and 0.36% as a percentage of the initial pool balance.
The collateral loss expectation for Sequoia Mortgage Trust 9 is
1.01% as a percentage of the remaining pool balance and 0.11% of
the original balance.
While delinquency rates on pre-2005 Prime RMBS transactions remain
well below that of recent vintages, more seasoned pools have
experienced significant deterioration over the past year with 60+
days delinquencies increasing from 1.8% to 4.3%. The percentage
of loans 60+ days delinquent in Sequoia Mortgage Trust 9 has
decreased over the past 12 months from 3.14% to 2.45%.
When determining each collateral pool's projected base-case and
rating stressed default and loss severity assumptions, Fitch uses
a proprietary loan-level loss model as described in its May 7
report.
After determining each pool's projected base-case and stressed
scenario loss assumptions, Fitch projects cash flows to determine
the amount of collateral loss which would cause each bond to
default, also referred to as the bond's break-loss. Fitch's cash
flow assumptions are described in the report 'U.S. Prime RMBS
Surveillance Criteria' published on March 30, 2009.
When performing cash flow analysis, Fitch projects losses and
creates cash-flow assumptions for each individual mortgage pool in
a transaction. It is important to note that Fitch uses the bond's
break-loss as determined through the cash flow analysis -- not its
current credit enhancement percentage -- when assessing a bond's
credit support. As is the case with most seasoned Prime
transactions, a bond's break-loss may be materially lower than its
current credit enhancement due to the projected loss of credit
support from future principal distribution to support classes.
For mortgage pools that are demonstrating strong performance
despite current economic and housing conditions, the actual
performance may have been given more weight relative to projected
model results in determining a particular bond rating. In these
instances, ratings may have been affirmed or revised less severely
than would be indicated by the bond's loss coverage ratio (LCR).
The use of LCRs as guides to rating revisions is described more
fully in the aforementioned surveillance criteria.
Recovery Ratings were assigned to the classes that are expected to
incur impairment. 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 Dec. 16 2009 report, 'U.S. RMBS
Criteria for Recovery Ratings'.
The expected loss for each mortgage pool, the loss coverage ratio
for each bond and the average target loss coverage ratios used in
the review are provided in a report on Fitch's web site and can be
located by performing a title search for 'RMBS Loss Metrics'.
SIGNUM VERDE: Fitch Downgrades Ratings on Series 2007-03 Notes
--------------------------------------------------------------
Fitch Ratings has downgraded the notes issued by Signum Verde
Limited Series 2007-03 and removed them from Rating Watch
Negative. The action reflects the swap counterparty's ability to
call a credit event following the ISDA determination that the
reference entity (CEMEX, S.A.B. de C.V.) triggered a restructuring
credit event.
While a credit event has not been called by the swap counterparty
as of the date of this release, the swap counterparty maintains
the right to call a credit event until two business days prior to
the transaction's scheduled maturity date on Aug. 31, 2017. The
swap counterparty's option to call a credit event makes default of
the notes probable.
The transaction is designed to provide credit protection on the
reference entity, CEMEX, S.A.B. de C.V. The credit protection is
arranged through a credit default swap between the issuer and the
swap counterparty (Goldman Sachs Capital Markets, L.P.). Proceeds
from the issuance of the notes were used to purchase US$10,144,000
qualified investments in the form of Goldman Sachs Group Inc.
floating-rate notes due 2017 (ISIN: XS0316913119), which
collateralize the CDS.
The rating of the notes addresses the likelihood that investors
will receive full and timely payments of interest, as per the
transaction's governing documents, as well as the stated balance
of principal by the legal final maturity date. Payments of
interest and principal are made in U.S. dollar (US$) amounts
adjusted according to both the prevailing value of the Unidad de
Fomento and the CLP/US$ exchange rate.
Fitch has taken this rating action:
-- CLP5,300,000,000 credit-linked notes downgraded to 'CC' from
'B-'; removed from Rating Watch Negative.
SPECTRUM BRANDS: S&P Puts Ratings on CreditWatch Positive
---------------------------------------------------------
On Feb. 11, 2010, Standard & Poor's Ratings Services placed
Spectrum Brands' ratings on CreditWatch with positive
implications.
The CreditWatch placement follows the company's announcement that
it has entered into an agreement with Russell Hobbs (formerly
Salton Inc.) to combine the two companies. The new combined
company will have estimated sales of about $3 billion, and the
proposed all-stock transaction is estimated to be about
$660 million.
Spectrum's total debt outstanding at Jan. 3, 2010, was
$1.6 billion. With the proposed transaction, S&P believes the
company will have a larger sales and EBITDA base, and the
transaction will likely enhance the company's financial profile.
Upon completion of the transaction, S&P will withdraw its existing
'B' corporate credit rating on Salton Inc.
Resolution of the CreditWatch will depend on S&P's assessment of
the combined company's operating and financial policies and on its
prospects for improved credit metrics as a single entity.
ST. PAUL HOUSING: Moody's Cuts Rating on $2,950,000 bonds to Ba1
-----------------------------------------------------------------
Moody's has downgraded these 3 housing finance agency multifamily
transactions and removed them from Watchlist, following a review
of each transaction's ability to maintain cash flow sufficiency
assuming a 0% reinvestment rate. This action affects
approximately $11.6 million in outstanding debt. All of these
transactions are secured by a mortgage that is guaranteed by
credit enhancement from GNMA or Fannie Mae. None of these issues
have a Guaranteed Investment Contract that assures a fixed rate of
return on invested cash, and therefore all are subject to interest
rate risk on retained revenues. As a result, revenue from the
monthly mortgage receipts, interest earned on those receipts from
money market funds or other short-term investments and monthly
mortgage payments need to be sufficient to support debt service on
the bonds or a parity ratio in excess of 100%. Moody's analyzed
each transaction's projected mortgage revenue, assuming no
reinvestment earnings on the monthly mortgage receipts and
determined that there would not be sufficient coverage of debt
service or parity ratio consistent with a Aaa rating.
1. $6,100,000 of Ohio Housing Finance Agency, Taxable Mortgage
Revenue Refunding Bonds, Series 2002A, B, C & D (GNMA
Collateralized - Oakleaf/Toledo Apartments Project).
Downgraded to Aa2. Last rated on November 5, 2009, when it was
put on Watchlist for Possible Downgrade.
2. $2,950,000 of St. Paul Housing & Redevelopment Auth., MN,
Multifamily Housing Revenue Bonds (Winnipeg Apartments
Project), Series 2007. Downgraded to Ba1. Last rated on
November 5, 2009, when it was put on Watchlist for Possible
Downgrade.
3. $2,515,000 Housing and Redevelopment Authority of the City of
St. Paul, MN, Multifamily Housing Revenue Refunding Bonds (GNMA
Collateralized Mortgage Loan / Sun Cliffe Apartments), Series
1995. Downgraded to Ba1. Last rated on January 21, 2010, when
it was put on Watchlist for Possible Downgrade.
TIERS SYNTHETIC: Moody's Downgrades Ratings on Series 2008-1 Notes
------------------------------------------------------------------
Moody's Investors Service downgraded one class of Notes issued by
TIERS Synthetic CDO-Linked Variable Coupon Trust, Series 2008-1
due to deterioration in the credit quality of the underlying
portfolio as evidenced by an increase in the weighted average
rating factor and a decrease in the weighted average recovery rate
since Moody's last review. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
TIERS 2008-1 is a synthetic CRE CDO currently backed by portfolio
of reference obligations. The reference obligations are comprised
of commercial mortgage backed securities (CMBS, 95%) and CRE CDOs
(5%). All of the CMBS reference obligations were securitized
between 2005 and 2007. The aggregate collateral par amount is
$1 billion, the same as at securitization. There have been no
pay-downs or losses to the collateral pool.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, WARR, 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 non-
Moody's rated reference obligations. 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 4,928 compared to 3,095 at last review. The distribution of
current ratings and credit estimates is: A1-A3 (2.0% compared to
7.0% at last review), Baa1-Baa3 (3.8% compared to 11.3% at last
review), Ba1-Ba3 (12.8% compared to 10.0% at last review), B1-B3
(43.0% compared to 54.1% at last review), and Caa1-C (38.4%
compared to 17.6% at last review).
WAL acts to adjust the probability of default of the collateral
pool for time. Moody's modeled to the actual WAL of 5.5 years
compared to 6.4 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 5.7% compared to 8.9% at last review.
MAC is a single factor that describes the pair-wise asset
correlations to default distribution among the instruments within
the collateral pool (i.e. the measure of diversity). Moody's
modeled a MAC of 24.6% compared to 36.7% 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 rating action is:
-- Cl. A, Downgraded to Caa3; previously on March 6, 2009,
Downgraded to Ba1 from Aaa
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 6, 2009.
US VIRGIN: Fitch Takes Rating Actions on Bonds
----------------------------------------------
Fitch Ratings takes this action on the U.S. Virgin Islands as part
of its continuous surveillance effort:
-- $0.6 million USVI general obligation bonds, series 1999A,
downgraded to 'BB' from 'BBB-';
-- $556.2 million Virgin Islands Public Finance Authority
revenue bonds (Virgin Islands gross receipts taxes loan
note), affirmed at 'BBB-'.
The Rating Outlook is Stable.
Rating Rationale:
-- The downgrade of the USVI GO rating reflects the USVI's
extreme revenue weakness in the context of already
constrained fiscal flexibility. Bonds issued by VIPFA and
secured by gross receipts taxes are insulated from general
fund operations and debt service coverage remains adequate.
-- The territory's longstanding fiscal challenges have worsened
in the current downturn given sharp cyclical revenue
declines, prolonged, unresolved property tax litigation, high
fixed cost burdens, and difficulty in reducing expenditures.
The territory has returned to borrowing to close its
operating gap and maintain liquidity.
-- Net tax supported debt is extremely high, and revenues
dedicated to debt service reduce fiscal flexibility.
-- Other liabilities for pensions and unpaid retroactive
salaries further weigh on the territory's limited resources,
although anticipated matching fund revenues may provide
future relief.
-- Recent years have brought demonstrated, though incomplete,
progress in financial management and reporting.
Historically, financial management shortcomings have been
widespread and material, leading to external oversight, and
qualified and delayed audits.
-- Stability is provided by the U.S. legal and regulatory
environment, although as a territory the USVI enjoys less
flexibility in fiscal matters than U.S. states.
-- The economy is limited, dependent on tourism and vulnerable
to disruption from natural disasters.
Key Rating Drivers:
-- Ability to control spending pressure and curb borrowing for
operations.
-- Ability to limit growth of debt and other liabilities.
Security:
The bonds are general obligations secured by the USVI's full faith
and credit and taxing powers. In addition, the gross receipts tax
revenue bonds issued by VIPFA are secured by a pledge of gross
receipts tax collections from the USVI deposited to the trustee
for bondholders prior to their use for general purposes.
Credit Summary:
The downgrade of the USVI's GO rating to 'BB' from 'BBB-' is due
to the severe erosion of the territory's finances in fiscal years
2009 and 2010, with deep cyclical revenue losses and the delayed
resolution of longstanding property tax litigation reducing
already limited resources. Given constraints posed by its high
fixed costs and very high liabilities, the USVI has returned to
borrowing to cover operating gaps in the form of a $250 million
line of credit for FY 2009 and 2010, about $100 million of which
has been drawn to date. The borrowing adds further to the burden
of the USVI's liabilities, including outstanding debt and
unaddressed employee and retiree obligations. Although fiscal
management has improved over the last decade, the rapid expansion
of expenditures has absorbed revenue growth and limited the USVI's
flexibility to address its liabilities or confront the downturn.
The Stable Outlook at this rating level incorporates Fitch's view
that the USVI will be able to manage in the near term within the
context of severe fiscal stress, albeit not without recourse to
actions that delay the USVI's prospects for longer-term recovery.
Longer-term prospects for matching fund revenue growth tied to
expanded rum distillation may provide fiscal stabilization in the
coming years, although only with progress toward structural
balance.
The affirmation of the gross receipts tax bonds at 'BBB-' and
Stable Outlook reflect the structure's legal protections and the
sufficient coverage of debt service by pledged revenues. GRT
bonds are secured by the trust estate, which includes the USVI's
pledge of GRT revenues received or to be received. All such
collections are deposited daily to a special escrow account; with
the exception of a small required payment for housing, all
revenues are allocated daily to the trustee for the benefit of
bondholders, after which remaining receipts are available for
general purposes. Security features include an additional bonds
test requiring 1.5 times coverage by historical and prospective
revenues, a debt service reserve funded at maximum annual debt
service, and covenants precluding tax rate reductions or the
granting of excessive tax incentives. Like states, the USVI and
VIPFA are ineligible to file for protection under the U.S.
Bankruptcy Code. Coverage of the bonds remains satisfactory, at
2.36x in fiscal 2010 despite projected revenue declines. The
priority claim of bondholders to GRT collections and other
structural protections insulates bondholders from the USVI's
broader fiscal stress and support a rating level that is higher
than the GO rating. However, Fitch believes there is some linkage
between the general credit of the USVI, as expressed in the GO
rating, and the rating on the GRT bonds.
The USVI is an organized, unincorporated territory of the U.S.
about 40 miles east of the Commonwealth of Puerto Rico. The
economy is small, narrow and subject to considerable volatility,
although some diversification is underway. Tourism and related
industries comprise approximately 80% of economic activity,
although other activities, notably rum distillation and the
HOVENSA oil refinery are also prominent. After a strong tourism
recovery in the last decade following the events of September 11,
tourism plummeted in late 2008 with steep declines in cruise ship
passenger and air visitor arrivals. Despite some recent
stabilization, tourism indicators remain well below prior peaks
and recovery will be linked to broader economic recovery in the
U.S., from which the majority of USVI visitors originate. USVI
employment peaked in 2007 and remained flat in 2008, compared to a
U.S. decline of 0.4%; December 2009 employment is down 1.1% year-
over-year, compared to a U.S. decline of 3% for the same period.
After a 24.2% decline in 2008, construction employment has
flattened, with several development projects on St. Croix
supporting employment. The USVI government provides virtually all
public services and employs nearly 27% of the labor force, a level
unchanged in recent years.
USVI tax collections are subject to significant volatility; after
several years of robust growth, net tax collections have plummeted
in the recession. FY 2009 collections, which were initially
forecast to grow 17% from FY 2008, to $854 million, instead fell
36%, to $470 million. Weakness was led by a 24% decline in
individual income taxes and a 71% decline in corporate income
taxes, the latter tied to performance at HOVENSA. Delayed
resolution of property tax litigation also lowered collections to
$30 million, from $103 million assumed in the budget. Revenue
weakness continues in FY 2010, with the USVI now forecasting net
tax collections of $487 million, down nearly 20% from the
$606 million forecast in June 2009. Year-to-date collections for
FY 2010, which began Oct. 1, show declines moderating through
January 2010, with general fund tax collections down 6% compared
to the same period last year. Individual income taxes are down
2%, corporate income taxes are down 29%, and gross receipts taxes
are down 10%.
Revenue growth prior to the recession was largely absorbed by base
spending increases, particularly for personnel and fringe
benefits. FY 2008 appropriations, at $873 million, were 19% over
the level two years earlier and $77 million higher than available
resources. Appropriations remained at $849 million in FY 2009
despite plunging revenues, with the USVI relying mainly on
$100 million of a $250 million line of credit, $43 million in
transfers and other internal cash resources to cover spending
needs. FY 2010 appropriations, projected at about $858 million,
are approximately $300 million higher than available resources;
the gap is expected to be closed by accessing the remaining
$150 million line of credit, $93 million in monetization of
property tax collections tied up in litigation, $57 million in
federal stimulus, and further allotment cuts. Interest on the
line of credit is secured by gross receipts taxes, with repayment
linked to future revenue gains from matching funds tied to the
expansion of rum distilling on St. Croix.
Financial mismanagement and devastating hurricane strikes weakened
finances in the 1990s and led to considerable borrowing for
operations. Thereafter substantial progress was made in fiscal
management under federal oversight, leading to spending and debt
control, upgraded internal systems, and progress in financial
reporting. Annual financial reports and other financial data are
timelier and more reliable, although annual reports remain
qualified. Past management weaknesses continue to materially
affect results; for example, property taxes continue to be levied
at 1998 valuations pending court approvals of reforms to appraisal
and appeal processes, restricting revenue growth.
The USVI's liabilities are extremely high. Tax-supported debt
totals about $1.5 billion as of Dec. 1, 2009, equivalent to 60% of
personal income; this includes $100 million drawn on the line of
credit to date. About $669 million is GRT bonds and subordinate
notes issued by VIPFA, which also carry a USVI GO pledge; all
USVI-issued GO bonds without the GRT pledge mature this year.
Another $828 million is backed by matching funds from federal
excise taxes levied on USVI-distilled rum.
Debt service including matching funds bonds totals $107 million in
FY 2010, equal to 5.3% of revenues including matching funds.
Amortization is slow, with 32% maturing in 10 years. Persistent
underfunding has led to a large pension liability, with an
estimated FY 2008 funding ratio of 53.6%; this $1.5 billion
shortfall equates to 62% of personal income. Other liabilities
include negotiated but unpaid salary increases over the last two
decades, the burden of which has been estimated at $272 million.
The governor has proposed directing future growth in matching fund
receipts to begin addressing long-term liabilities.
VERTICAL MILLBROOK: Moody's Downgrades Ratings on Two Classes
-------------------------------------------------------------
Moody's Investors Service downgraded two classes of Notes issued
by Vertical Millbrook due to deterioration in the credit quality
of the underlying portfolio as evidenced by an increase in the
weighted average rating factor and a decrease in the weighted
average recovery rate since Moody's last review. Two transactions
are affected: Vertical Millbrook 2007-1 -- Series 56 (Series 56)
and Vertical Millbrook 2007-1 -- Series 57 (Series 57). The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation
transactions.
Series 56 and Series 57 are pari-passu synthetic CRE CDOs backed
by the same static portfolio of reference obligations. The
reference obligations are comprised of commercial mortgage backed
securities (CMBS, 92%) and CRE CDOs (8%). All of the CMBS
reference obligations were securitized between 2005 and 2007. The
aggregate collateral par amount is $1 billion, the same a
securitization. There have been no pay downs or losses to the
collateral pools.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, WARR, 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 non-
Moody's rated reference obligations. 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 4,245 compared to 2,167 at last review. The distribution of
current ratings and credit estimates is: Baa1-Baa3 (17.7% compared
to 38.7% at last review), Ba1-Ba3 (12.9% compared to 12.9% at last
review), B1-B3 (35.5% compared to 40.3% at last review), Caa1-C
(33.9% compared to 8.1% at last review).
WAL acts to adjust the probability of default of the collateral
pool for time. Moody's modeled to the actual WAL of 6.3 years
compared to 7.8 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 8.1% compared to 12.3% at last review.
MAC is a single factor that describes the pair-wise asset
correlations to default distribution among the instruments within
the collateral pool (i.e. the measure of diversity). Moody's
modeled a MAC of 24.5% compared to 38.0% 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 rating actions are:
Vertical Millbrook 2007-1 -- Series 56
* $90 Million of Structured Securities Affected
-- Cl. A-1, Downgraded to Ca; previously on March 6, 2009
Downgraded to Ba2 from Aaa
Vertical Millbrook 2007-1 -- Series 57
* $40 Million of Structured Securities Affected
-- Cl. A-1, Downgraded to Ca; previously on March 6, 2009
Downgraded to Ba2 from Aaa
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 6, 2009.
WACHOVIA AUTO: S&P Raises Ratings on Two Classes of 2006-A Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-4 and B notes from Wachovia Auto Owner Trust 2006-A and on the
class B notes from series 2007-A. At the same time, S&P affirmed
its ratings on the class A notes from series 2007-A and on the
class A and B notes from series 2008-A.
The upgrades and affirmations reflect S&P's view that the total
credit enhancement available is adequate for each of the raised or
affirmed ratings when S&P factor in its remaining net loss
expectations. Based on S&P's analysis of each transaction's
performance to date and its expectations for their future
performance, S&P lowered its lifetime net loss expectations for
series 2007-A slightly and raised its loss expectations for series
2006-A and 2008-A.
In December 2007, S&P raised its lifetime net loss projections for
series 2006-A due to collateral performance that had been much
worse than its initial expectations, as evidenced by high
cumulative net losses and lower-than-expected recovery rates.
S&P's newly revised lifetime net loss expectation for series 2006-
A is 3.70%-4.00%.
As of the December 2009 performance month, delinquency rates for
series 2007-A and 2008-A were lower than those of prior
outstanding Wachovia Auto Trust transactions at the same point
since issuance, while delinquencies for series 2006-A were higher.
Collateral performance for series 2007-A and 2008-A was noticeably
stronger than that for series 2006-A, most likely because the
collateral featured much higher weighted average FICO scores and
fewer longer-term contracts, among other positive characteristics.
Table 1
Collateral Performance (%)
As of December 2009 performance month
Former Revised
Pool 60+ day Current lifetime lifetime
Series Mo. factor delinq. CNL CNL exp. CNL exp.(i)
------ --- ------ ------- ------- -------- -----------
2006-A 43 16.02 2.31 3.48 3.00-3.50(ii) 3.70-4.00
2007-A 30 31.33 0.16 0.52 0.80-0.90 0.75-0.85
2008-A 19 54.99 0.13 0.47 0.80-0.90 1.00-1.10
CNL -- cumulative net loss.
(i) Revised CNL expectations are based on current performance
data.
(ii) Indicates revised losses from December 2007. Initial
expectations were in the 1.15%-1.35% range.
The issuer initially structured series 2006-A with a sequential
payment structure that allotted payments to classes A-1 and A-2
until they were paid in full, after which principal payments would
be made pro rata between the remaining class A and class B notes.
However, as a result of higher-than-expected losses, a provision
in the transaction documents causes principal payments to be made
on a fully sequential basis. Credit enhancement for series 2006-A
consists of subordination for the higher-rated tranches,
overcollateralization, a reserve account, and excess spread,
including the contribution of yield supplement
overcollateralization. The transaction has a non-amortizing
reserve account, as well as an overcollateralization target and
designated YSOC amount (as a percent of the current collateral
balance).
For series 2007-A and 2008-A, the issuer initially structured the
transactions to make sequential principal payments, and credit
enhancement consisted of subordination for the higher-rated
tranches, a non-amortizing reserve account, and excess spread.
As of the December 2009 performance month, the reserve accounts
for all three transactions were at their target amounts, but
overcollateralization for series 2006-A was short of its target
level.
The upgrades and affirmations reflect the benefit of a sequential
payment structure and/or growth in credit support as a percent of
the amortizing pool balances relative to expected remaining
losses. All classes were able to withstand stress scenarios at
their respective rating levels, even in situations where S&P
raised its lifetime loss expectations.
Table 2
Hard Credit Support (%)
As of the December 2009 performance month
Current
Total hard total hard
Pool credit support credit support(i)
Series Class factor at issuance* (% of current)
------ ----- ------ -------------- -----------------
2006-A A 16.02 4.25 26.43
2006-A B 16.02 0.75 4.55
2007-A A 31.33 3.00 9.58
2007-A B 31.33 0.50 1.60
2008-A A 54.99 3.25 6.27
2008-A B 54.99 0.50 1.27
(i) Consists of subordination for the A classes, a reserve
account, and for series 2006-A only, overcollateralization.
Excludes excess spread, which provides additional enhancement.
For series 2006-A, also excludes the YSOC amount.
S&P's review of these transactions incorporated cash flow
analysis, for which S&P used current and historical performance to
estimate future performance. S&P's various cash flow scenarios
included forward-looking assumptions on recoveries, timing of
losses, and voluntary absolute prepayment speeds that S&P think
are appropriate given each transaction's current performance. The
results demonstrated that all of the classes from the transactions
that S&P reviewed have adequate remaining loss coverage at their
respective raised or affirmed rating levels.
Standard & Poor's will continue to monitor the performance of
these transactions to assess whether the credit enhancement
remains adequate, in S&P's view, to support the ratings on each
class under various stress scenarios.
Ratings Raised
Wachovia Auto Owner Trust
Rating
------
Class Class To From
----- ----- -- ----
2006-A A-4 AAA AA
2006-A B BBB+ BB
2007-A B A- BBB
Ratings Affirmed
Wachovia Auto Owner Trust
Series Class Rating
------ ----- ------
2007-A A-3 AAA
2007-A A-4 AAA
2008-A A-2a AAA
2008-A A-2b AAA
2008-A A-3a AAA
2008-A A-3b AAA
2008-A A-4a AAA
2008-A A-4b AAA
2008-A B BBB-
WACHOVIA BANK: S&P Downgrades Ratings on 14 2005-C18 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of commercial mortgage-backed securities from Wachovia
Bank Commercial Mortgage Trust's series 2005-C18 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on eight other classes from the same
transaction, and removed one of them 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 expects upon the eventual resolution of three 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 1.48x and a loan-to-value ratio of 94.4%. S&P
further stressed the loans' cash flows under its 'AAA' scenario to
yield a weighted average DSC of 1.00x and an LTV of 122.8%. The
implied defaults and loss severity under the 'AAA' scenario were
57.2% and 32.1%, respectively. The DSC and LTV calculations S&P
noted above exclude five defeased loans ($171.6 million, 13.1%)
and three ($108.1 million, 8.3%) specially serviced assets. S&P
separately estimated losses for the three specially serviced
assets and included them in its 'AAA' scenario implied default and
loss figures.
Credit Considerations
As of the January 2010 remittance report, three assets
($108.1 million, 8.3%) in the pool were with the special servicer,
Helios AMC LLC. The payment status of the specially serviced
assets is: one is reported 90-plus days delinquent ($97.8 million,
7.5%); and two are in foreclosure ($10.3 million, 0.8%). The
three specially serviced assets have appraisal reduction amounts
in effect totaling $29.0 million.
The Park Place II loan, which has a total exposure of
$101.8 million (7.5%), is the largest loan with the special
servicer and the fourth-largest loan in the pool. The loan is
reported 90-plus days delinquent, and the loan is secured by a
275,000-sq.-ft. office/retail complex in Irvine, California. The
property is currently 83% leased. Reported DSC as of October 2009
was 0.8x. The loan was transferred to the special servicer on
Aug. 10, 2009, due to imminent default. A forbearance agreement
is in place. The borrower has listed the property for sale.
Based on the broker's opinion of value, S&P believes there will be
a significant loss upon the resolution of this loan.
The two remaining specially serviced assets that were listed in
the January remittance report ($10.3 million, 0.8%) have balances
that individually represent less than 0.6% of the total pool
balance. S&P estimated losses for these two assets will result in
loss severities of 27% and 86%.
S&P notes that two loans were transferred to the special servicer
after the January 2010 remittance report was published. The
Autumn Wood Apartments loan ($7.4 million, 0.6%) was transferred
to the special servicer on Jan. 12, 2010, due to payment default.
As of the third quarter of 2009, the DSC was 1.33x and occupancy
was 81.0%. Carlsbad Research Center ($15.06 million, 1.2%) was
transferred to the special servicer on Jan. 20, 2010, because the
borrower is requesting a loan modification and extension. The
property is currently 25% vacant with 47% of the current leases
rolling in 2010.
Transaction Summary
As of the January 2010 remittance report, the collateral pool
balance was $1.3 billion, which is 93.4% of the balance at
issuance. The pool includes 68 loans, down from 72 at issuance.
As of the January 2010 remittance report, the master servicer,
Wachovia Bank N.A., provided financial information for 96.7% of
the pool, and 90.6% of the servicer-provided information was full-
year 2008 or interim-2009 data. S&P calculated a weighted average
DSC of 1.46x for the pool based on the reported figures. S&P's
adjusted DSC and LTV, which exclude five defeased loans
($171.6 million, 13.1%) and three ($108.1 million, 8.2%) specially
serviced assets, were 1.48x and 94.4%, respectively. S&P
separately estimated losses for the three specially serviced
loans. If S&P included the loans in its adjusted DSC calculation,
it would fall to 1.41x. The transaction has not experienced any
principal losses to date. Twelve loans ($260.9 million, 19.9%)
are on the master servicer's watchlist, including three of the top
10 loans. Five loans ($185.6 million, 14.1%) have a reported DSC
below 1.10x, and four of these loans ($170.5 million, 13.0%) have
a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures secured by real estate have an aggregate
outstanding balance of $673.6 million (51.3%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.40x
for the top 10 loans. Three of the top 10 loans ($187.3 million,
14.3%) 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 1.42x and 122.8%, respectively. S&P's adjusted DSC
and LTV figures reflect a positive cash flow adjustment to reflect
the end of a rent abatement period for one tenant (19% net
rentable area) at the property located at 590 Fifth Avenue, which
S&P describe in further detail below.
The Kadima Medical Office Pool is the second-largest loan in the
pool and the largest loan on the master servicer's watchlist. The
loan has a trust balance of $115.2 million (8.8%). The loan is
secured by 17 cross-collateralized and cross-defaulted medical
office properties totaling 800,857 sq. ft. and located in eight
states. The reported DSC as of year-end 2008 was 1.11x and
occupancy was 88.7%, down from 1.23x and 95.6%, respectively, as
of year-end 2007. The loan appears on the servicer's watchlist
due to low DSC.
The 590 Fifth Avenue loan is the fifth-largest loan in the pool
and the second-largest loan on the master servicer's watchlist due
to low DSC. The loan has a trust balance of $39.6 million (3.0%).
The loan is secured by a 97,717-sq.-ft., 18-story office building
in midtown Manhattan. The reported trailing-12-month DSC for the
period ended Sept. 30, 2009, was 0.90x, down from 1.60x as of
year-end 2008. According to the master servicer, the property is
now 100% occupied, and the rent abatement period will cease in
November 2010 for one tenant, Health Insurance Plan of New York,
which occupies 19% of NRA and has a lease term through Dec. 31,
2025.
The Extra Space Self Storage Portfolio #3 is the seventh-largest
loan in the pool and the third-largest loan on the master
servicer's watchlist. The loan has a trust balance of
$32.6 million (2.5%). The loan is secured by five cross-
collateralized and cross-defaulted self-storage properties with
3,526 units in Georgia and Florida. The reported DSC as of year-
end 2008 was 1.99x and the weighted average occupancy was 85.5%.
The loan appears on the servicer's watchlist due to a near-term
maturity of April 11, 2010. The master servicer notified Standard
& Poor's that this loan was paid-off on Thursday, Feb. 11, 2010.
Standard & Poor's stressed the loans in the pool according to its
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
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates 2005-C18
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J-2 A+ AAA/Watch Neg 14.58
B A- AA/Watch Neg 12.17
C BBB+ AA-/Watch Neg 11.24
D BBB A/Watch Neg 9.10
E BBB- A-/Watch Neg 8.03
F BB BBB+/Watch Neg 6.56
G B+ BBB/Watch Neg 5.62
H CCC+ BB+/Watch Neg 3.75
J CCC BB /Watch Neg 3.34
K CCC- B+/Watch Neg 2.81
L CCC- B/Watch Neg 2.41
M CCC- B-/Watch Neg 2.14
N CCC- CCC+/Watch Neg 1.87
O CCC- CCC/Watch Neg 1.47
Rating Affirmed And Removed From Creditwatch Negative
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates 2005-C18
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J-1 AAA AAA/Watch Neg 21.40
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates 2005-C18
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 32.11
A-3 AAA 32.11
A-PB AAA 32.11
A-4 AAA 32.11
A-1A AAA 32.11
X-P AAA N/A
X-C AAA N/A
N/A - Not applicable.
ZOO HF3: Fitch Affirms Ratings on Five Tranches of Notes
--------------------------------------------------------
Fitch Ratings has affirmed five tranches of notes issued by Zoo
HF3 Plc.
Zoo triggered a mandatory redemption event on Oct. 28, 2008, and
is in the process of fully redeeming the underlying hedge fund
portfolio. The portfolio experienced significant valuation
declines in the second half of 2008, but has had a stable and
overall positive return throughout 2009. In addition, the
transaction has paid down approximately half of the class A notes
and is expected to continue to pay down as redemptions are
received. The rating actions reflect Fitch's analysis of the
remaining portfolio and the application of valuation and liquidity
stresses at particular rating levels.
Zoo's portfolio exhibited less volatility in comparison to the
Credit Suisse Tremont Hedge Fund Index and the four other
outstanding hedge fund of fund transactions rated by Fitch in the
second half of 2008. The rating stresses for this transaction
reflect the strong relative performance of Zoo, but also
incorporate the long redemption time horizon under the liquidation
plan of the portfolio manager.
Fitch's surveillance methodology for Zoo applies multiple shocks
to current net asset value levels assuming a stressed liquidity
profile. The initial shock is based on fourth quarter 2008 loss
levels which Fitch deems to be a 'BBB' stress event. Fitch scaled
this base case loss through the rating scale using the multiples
derived from its published market value criteria report. This
base-case loss by rating category was applied to the portfolio
using the manager's liquidity profile pushed out an additional six
months. This delay assumes that all the funds in the portfolio
implement an additional six-month period of no redemptions to any
liquidity impairments that are already in place. At each
liquidity period, additional NAV stresses are applied. The serial
stresses were sized based on a ratio of the top six historical
losses to the base-case loss level. The top six historical losses
also included the losses from the Credit Suisse Tremont Hedge Fund
Index.
The class A notes pass Fitch's 'BBB' rating stresses for this
transaction. In addition, the cushion to the 'BBB' stress results
in a Stable Rating Outlook. The class has benefited from a
deleveraging of the structure and the stable performance of the
portfolio in 2009. Currently, Fitch expects approximately
EUR11 million to be paid to the class A notes on the February
payment date.
The class B notes pass Fitch's 'BB' rating stresses for this
transaction. In addition, the cushion to the 'BB' stress results
in a Stable Outlook. The class has benefited from a deleveraging
of the structure and stable performance of the portfolio along
with the Class A notes.
The class C notes do have coverage at current NAV levels.
However, Fitch expects the tranche to not receive cash flows for
approximately three years due to the long redemption timeline of
the portfolio. The long risk horizon, a highly concentrated
remaining portfolio, and dependency on the least liquid assets
expose the class to a significant risk of default. Therefore, the
rating has been affirmed at 'CCC', as default of some kind appears
probable.
The class D has insufficient coverage at current NAV levels and it
appears probable that the class will suffer a loss by the legal
final date of the transaction. However, it is possible for the
tranche to receive partial or even full recovery if the portfolio
performs well over the next few years.
The class E is affirmed at 'C' due to the expectation that this
class will see no cash flows going forward and default appears
inevitable.
Zoo is a collateralized hedge fund of fund transaction with
valuation termination triggers. The transaction closed in January
2007 and is managed by P&G SGR S.p.A.
These rating actions are effective immediately:
-- EUR41,010,186 class A affirmed at 'BBB'; Outlook Stable;
-- EUR8,000,000 class B affirmed at 'BB'; Outlook Stable;
-- EUR6,500,000 class C affirmed at 'CCC';
-- EUR12,500,000 class D affirmed at 'CC';
-- EUR5,500,000 class E affirmed at 'C'.
* S&P Downgrades Ratings on 57 Tranches From 12 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 57
tranches from 12 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $4.823 billion.
S&P withdrew its rating on one tranche from Lightpoint CLO III
Ltd. following the consolidation of the notes. At the same time,
S&P affirmed its ratings on 22 tranches from six transactions and
removed 19 of them from CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of six classes from four transactions resulted from
S&P's application of the largest-obligor default test, which is
one of the supplemental stress tests S&P introduced as part of its
criteria update.
S&P's analysis incorporated the asset recovery assumptions in its
new CDO criteria. To provide additional transparency into the
assumptions used in the analysis, S&P is providing the tiered
recovery rate assumed for the cash flows generated for the 'AAA'
liability rating for each transaction.
Table 1
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
505 CLO IV Ltd. 45.6
Apidos CDO V 44.2
CIFC Funding 2006-I, Ltd. 42.9
CIFC Funding 2006-IB, Ltd. 43.1
CIFC Funding 2007-I, Ltd. 42.9
CIT CLO I Ltd 41.4
Columbus Park CDO Ltd. 41.1
Cratos CLO I Ltd 48.0
Foxe Basin CLO 2003, Ltd. 41.5
Grayson CDO Ltd 42.7
LCM V Ltd 47.7
LightPoint CLO III Ltd 45.1
Limerock CLO I 40.1
S&P will continue to review the remaining transactions with
ratings placed on CreditWatch following its corporate CDO criteria
update and resolve the CreditWatch status of the affected
tranches.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
505 CLO IV Ltd. B AA AA/Watch Neg
505 CLO IV Ltd. C A A/Watch Neg
505 CLO IV Ltd. D BBB BBB/Watch Neg
505 CLO IV Ltd. E BB BB/Watch Neg
Apidos CDO V A-1 AA- AAA/Watch Neg
Apidos CDO V A-1--J AA- AAA/Watch Neg
Apidos CDO V A-1-S AA+ AAA/Watch Neg
Apidos CDO V A-2 A+ AA/Watch Neg
Apidos CDO V B BBB+ A/Watch Neg
Apidos CDO V C BB+ BBB/Watch Neg
Apidos CDO V D B+ BB/Watch Neg
CIFC Funding 2006-I, Ltd. A-1L AA+ AAA/Watch Neg
CIFC Funding 2006-I, Ltd. A-1LR AA+ AAA/Watch Neg
CIFC Funding 2006-I, Ltd. A-2L A+ AA/Watch Neg
CIFC Funding 2006-I, Ltd. A--3L BBB+ A/Watch Neg
CIFC Funding 2006-I, Ltd. B-1L BB+ BBB/Watch Neg
CIFC Funding 2006-I, Ltd. B-2L B+ BB/Watch Neg
CIFC Funding 2006-IB, Ltd. A-1L AA+ AAA/Watch Neg
CIFC Funding 2006-IB, Ltd. A-1LR AA+ AAA/Watch Neg
CIFC Funding 2006-IB, Ltd. A-2L A+ AA/Watch Neg
CIFC Funding 2006-IB, Ltd. A-3L BBB+ A/Watch Neg
CIFC Funding 2006-IB, Ltd. B-1L BB+ BBB/Watch Neg
CIFC Funding 2006-IB, Ltd. B-2L CCC+ BB/Watch Neg
CIFC Funding 2007-I, Ltd. A-1L AA AAA/Watch Neg
CIFC Funding 2007-I, Ltd. A-1LAr AA+ AAA/Watch Neg
CIFC Funding 2007-I, Ltd. A-1LAt AA+ AAA/Watch Neg
CIFC Funding 2007-I, Ltd. A-1LB AA AAA/Watch Neg
CIFC Funding 2007-I, Ltd. A-2L A+ AA/Watch Neg
CIFC Funding 2007-I, Ltd. A-3L BBB+ A/Watch Neg
CIFC Funding 2007-I, Ltd. B-1L BB+ BBB/Watch Neg
CIFC Funding 2007-I, Ltd. B-2L B+ BB/Watch Neg
CIT CLO I Ltd A AA+ AAA/Watch Neg
CIT CLO I Ltd B AA- AA/Watch Neg
CIT CLO I Ltd C BBB+ A/Watch Neg
CIT CLO I Ltd D BB+ BBB/Watch Neg
CIT CLO I Ltd E B+ BB/Watch Neg
Columbus Park CDO Ltd. A-1 AA+ AAA/Watch Neg
Columbus Park CDO Ltd. A-2 AA AA/Watch Neg
Columbus Park CDO Ltd. B A A/Watch Neg
Columbus Park CDO Ltd. C BBB BBB/Watch Neg
Columbus Park CDO Ltd. D BB BB/Watch Neg
Cratos CLO I Ltd A-1 AAA AAA/Watch Neg
Cratos CLO I Ltd A-2 AAA AAA/Watch Neg
Cratos CLO I Ltd B AA AA/Watch Neg
Cratos CLO I Ltd C A A/Watch Neg
Cratos CLO I Ltd D BBB BBB/Watch Neg
Cratos CLO I Ltd E CCC- BB/Watch Neg
Foxe Basin CLO 2003, Ltd. A-1 AAA AAA/Watch Neg
Foxe Basin CLO 2003, Ltd. A-2 AA+ AAA/Watch Neg
Foxe Basin CLO 2003, Ltd. A-3 A+ AA/Watch Neg
Foxe Basin CLO 2003, Ltd. B BB+ A/Watch Neg
Foxe Basin CLO 2003, Ltd. C CCC- BBB/Watch Neg
Foxe Basin CLO 2003, Ltd. D CCC- BB/Watch Neg
Grayson CDO Ltd A-1a AA+ AAA/Watch Neg
Grayson CDO Ltd A-1b A+ AAA/Watch Neg
Grayson CDO Ltd A-2 A- AA/Watch Neg
Grayson CDO Ltd B B+ A/Watch Neg
Grayson CDO Ltd C CCC- BBB/Watch Neg
Grayson CDO Ltd D CCC- BB/Watch Neg
LCM V Ltd A-1 AAA AAA/Watch Neg
LCM V Ltd A-2 AAA AAA/Watch Neg
LCM V Ltd B AA AA/Watch Neg
LCM V Ltd C A- A/Watch Neg
LCM V Ltd D BBB BBB/Watch Neg
LCM V Ltd E BB BB/Watch Neg
LightPoint CLO III Ltd A-1A A+ AAA/Watch Neg
LightPoint CLO III Ltd A-1B NR AAA/Watch Neg
LightPoint CLO III Ltd B BBB+ A+/Watch Neg
LightPoint CLO III Ltd C B+ BB/Watch Neg
Limerock CLO I A-1 AA- AAA/Watch Neg
Limerock CLO I A-2 AA- AAA/Watch Neg
Limerock CLO I A-3a AA+ AAA/Watch Neg
Limerock CLO I A-3b AA- AAA/Watch Neg
Limerock CLO I A-4 A AA/Watch Neg
Limerock CLO I B BBB+ A/Watch Neg
Limerock CLO I C BB+ BBB/Watch Neg
Limerock CLO I D B+ BB/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
505 CLO IV Ltd. A-1 AAA
505 CLO IV Ltd. A-2 AAA
CIFC Funding 2006-I, Ltd. P-1 Combo AAA
* S&P Downgrades Ratings on 58 Tranches From 11 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 58
tranches from 11 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $6.043 billion.
At the same time, S&P affirmed its ratings on 13 tranches from
seven transactions and removed 11 of them from CreditWatch
negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of eight classes from six transactions resulted
from S&P's application of the largest-obligor default test, which
is one of the supplemental stress tests S&P introduced as part of
its criteria update.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to S&P's updated criteria.
S&P's analysis incorporated the asset recovery assumptions in its
new CDO criteria. To provide additional transparency into the
assumptions S&P use in its analysis, S&P is providing the tiered
recovery rate S&P assumed for the cash flows generated for the
'AAA' liability rating for each transaction.
Table 1
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
505 CLO I Ltd. 39.8
505 CLO II Ltd. 45.5
ACA CLO 2007-1 Ltd. 40.4
Baker Street Funding CLO 2005-1 Ltd. 44.9
Black Diamond CLO 2006-1 (Luxembourg) 51.4
Brentwood CLO Ltd. 41.7
Clear Lake CLO Ltd. 44.0
Diamond Lake CLO Ltd. 43.6
Gallatin CLO III 2007-1 Ltd. 47.7
Genesis CLO 2007-2 Ltd. 41.7
Halcyon Structured Asset Management 42.4
Long Secured/Short Unsecured 2007-2
Olympic CLO I Ltd. 41.6
S&P will continue to review the remaining transactions with
ratings S&P placed on CreditWatch following its corporate CDO
criteria update and resolve the CreditWatch status of the affected
tranches.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
505 CLO I Ltd. A A+ AAA/Watch Neg
505 CLO I Ltd. B BB+ A/Watch Neg
505 CLO I Ltd. C B+ BBB/Watch Neg
505 CLO I Ltd. D CCC- BB/Watch Neg
505 CLO II Ltd. A-1 AAA AAA/Watch Neg
505 CLO II Ltd. A-2 AAA AAA/Watch Neg
505 CLO II Ltd. B AA AA/Watch Neg
505 CLO II Ltd. C A A/Watch Neg
ACA CLO 2007-1 Ltd. A A+ AAA/Watch Neg
ACA CLO 2007-1 Ltd. B BBB+ AA/Watch Neg
ACA CLO 2007-1 Ltd. C BB+ A/Watch Neg
ACA CLO 2007-1 Ltd. D B+ BBB/Watch Neg
ACA CLO 2007-1 Ltd. E CCC- BB/Watch Neg
Baker Street Funding CLO 2005-1 Ltd. A-1 AA+ AAA/Watch Neg
Baker Street Funding CLO 2005-1 Ltd. A-2 AA+ AAA/Watch Neg
Baker Street Funding CLO 2005-1 Ltd. B A+ AA/Watch Neg
Baker Street Funding CLO 2005-1 Ltd. C BBB+ BBB+/Watch Neg
Baker Street Funding CLO 2005-1 Ltd. D B+ BB+/Watch Neg
Baker Street Funding CLO 2005-1 Ltd. E CCC- B-/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) A-D AA+ AAA/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) A-E AA+ AAA/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) A-R AA+ AAA/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) B A+ AA/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) C BBB+ A/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) D BB+ BB+/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) E CCC+ B-/Watch Neg
Black Diamond CLO 2006-1 (Luxembourg) X AAA AAA/Watch Neg
Brentwood CLO Ltd. A-1A AA+ AAA/Watch Neg
Brentwood CLO Ltd. A-1B AA+ AAA/Watch Neg
Brentwood CLO Ltd. A-2 AA- AAA/Watch Neg
Brentwood CLO Ltd. B BB+ A/Watch Neg
Brentwood CLO Ltd. C B+ BBB/Watch Neg
Brentwood CLO Ltd. D CCC- BB/Watch Neg
Clear Lake CLO Ltd. A-1 A+ AAA/Watch Neg
Clear Lake CLO Ltd. A-2 A AA/Watch Neg
Clear Lake CLO Ltd. B BBB- A/Watch Neg
Clear Lake CLO Ltd. C BB- BBB/Watch Neg
Clear Lake CLO Ltd. D CCC+ BB/Watch Neg
Diamond Lake CLO Ltd. A-1L AA+ AAA/Watch Neg
Diamond Lake CLO Ltd. A-2L A+ AA/Watch Neg
Diamond Lake CLO Ltd. A-3L BBB+ A/Watch Neg
Diamond Lake CLO Ltd. B-1L BB+ BBB/Watch Neg
Diamond Lake CLO Ltd. B-2L B+ BB-/Watch Neg
Diamond Lake CLO Ltd. X AAA AAA/Watch Neg
Gallatin CLO III 2007-1 Ltd. A-1L AA+ AAA/Watch Neg
Gallatin CLO III 2007-1 Ltd. A-1LR AA+ AAA/Watch Neg
Gallatin CLO III 2007-1 Ltd. A-2L A+ AA/Watch Neg
Gallatin CLO III 2007-1 Ltd. A-3L BBB+ A/Watch Neg
Gallatin CLO III 2007-1 Ltd. B-1L BB+ BBB/Watch Neg
Gallatin CLO III 2007-1 Ltd. B-2L CCC- B+/Watch Neg
Gallatin CLO III 2007-1 Ltd. X AAA AAA/Watch Neg
Genesis CLO 2007-2 Ltd. A AA- AAA/Watch Neg
Genesis CLO 2007-2 Ltd. B A+ AA/Watch Neg
Genesis CLO 2007-2 Ltd. C BBB+ A/Watch Neg
Genesis CLO 2007-2 Ltd. D BB+ BBB/Watch Neg
Genesis CLO 2007-2 Ltd. E B- BB/Watch Neg
Genesis CLO 2007-2 Ltd. F CCC- B-/Watch Neg
Halcyon Structured Asset Management A-1a AA+ AAA/Watch Neg
Long Secured/Short Unsecured 2007-2
Halcyon Structured Asset Management A-1b AA- AAA/Watch Neg
Long Secured/Short Unsecured 2007-2
Halcyon Structured Asset Management A-2 A+ AA/Watch Neg
Long Secured/Short Unsecured 2007-2
Halcyon Structured Asset Management B BBB+ A/Watch Neg
Long Secured/Short Unsecured 2007-2
Halcyon Structured Asset Management C BB+ BB+/Watch Neg
Long Secured/Short Unsecured 2007-2
Olympic CLO I Ltd. A-1La AAA AAA/Watch Neg
Olympic CLO I Ltd. A-1L AA+ AAA/Watch Neg
Olympic CLO I Ltd. A-1Lb AA+ AAA/Watch Neg
Olympic CLO I Ltd. A-2L A AA/Watch Neg
Olympic CLO I Ltd. A-3L BB+ A/Watch Neg
Olympic CLO I Ltd. B-1L CCC- BBB-/Watch Neg
Olympic CLO I Ltd. B-2L CCC- BB-/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Black Diamond CLO 2006-1 (Luxembourg) P AAA
Olympic CLO I Ltd. U AAA
* S&P Downgrades Ratings on 77 Tranches From 16 CLO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 77
tranches from 16 U.S. collateralized loan obligation transactions
and removed them from CreditWatch with negative implications. The
affected tranches have a total issuance amount of $5.551 billion.
At the same time, S&P raised its ratings on two transactions and
removed them from CreditWatch negative. S&P also affirmed its
ratings on 31 tranches from 11 transactions and removed 28 of them
from CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's new corporate collateralized debt
obligation criteria; and
* Deterioration in the credit quality of certain CLO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of 17 classes from 12 transactions resulted from
S&P's application of the largest-obligor default test, which is
one of the supplemental stress tests S&P introduced as part of its
criteria update.
S&P raised its ratings on two tranches from Rosemont CLO Ltd. to
'AA-' from 'A+' and removed them from CreditWatch negative. The
raised ratings reflect factors that have positively affected the
credit enhancement available to support the notes. This includes
the delevering of the transaction through the paydown of
approximately 78% of the class A notes.
The affirmations reflect S&P's view that the tranches have
adequate credit support to maintain the current ratings according
to its updated criteria.
S&P's analysis incorporated the asset recovery assumptions in its
new CDO criteria. To provide additional transparency into the
assumptions used in the analysis, S&P is providing the tiered
recovery rate assumed for the cash flows generated for the 'AAA'
liability rating for each transaction.
Table 1
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
505 CLO III Ltd. 44.5
ACA CLO 2005-1, Limited 43.5
Bushnell Loan Fund II Ltd 46.3
CoLTS 2007-1 Ltd 39.5
Foothill CLO I Ltd 50.0
Goldman Sachs Specialty Lending CLO-I 44.8
Greens Creek Funding Ltd 44.5
Hewett's Island CLO II, Ltd 42.8
Katonah IX CLO Ltd 43.6
Katonah VIII CLO Limited 44.0
LCM I Limited Partnership 46.7
Liberty CLO Ltd 42.2
One Wall Street CLO II Ltd. 42.8
Pacifica CDO V, Ltd. 41.9
Pangaea CLO 2007-1 Ltd 43.1
Primus CLO I Ltd 42.9
Rosemont CLO Ltd. 47.5
Stoney Lane Funding I, Ltd. 45.6
TELOS CLO 2006-1 Ltd 42.8
S&P will continue to review the remaining transactions with
ratings placed on CreditWatch following its corporate CDO criteria
update and resolve the CreditWatch status of the affected
tranches.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
505 CLO III Ltd. A-1 AAA AAA/Watch Neg
505 CLO III Ltd. A-2 AAA AAA/Watch Neg
505 CLO III Ltd. B AA AA/Watch Neg
505 CLO III Ltd. C A A/Watch Neg
505 CLO III Ltd. D BBB BBB/Watch Neg
505 CLO III Ltd. E BB BB/Watch Neg
ACA CLO 2005-1, Limited A-1L AA+ AAA/Watch Neg
ACA CLO 2005-1, Limited A-2L AA- AA/Watch Neg
ACA CLO 2005-1, Limited A-3L A- A-/Watch Neg
ACA CLO 2005-1, Limited B-1L BB+ BBB/Watch Neg
ACA CLO 2005-1, Limited B-2L BB- BB/Watch Neg
Bushnell Loan Fund II Ltd A-1 AA+ AAA/Watch Neg
Bushnell Loan Fund II Ltd A-2 AA AA/Watch Neg
Bushnell Loan Fund II Ltd B BBB+ A/Watch Neg
CoLTS 2007-1 Ltd A AA+ AAA/Watch Neg
CoLTS 2007-1 Ltd B AA- AA/Watch Neg
CoLTS 2007-1 Ltd C BBB A/Watch Neg
CoLTS 2007-1 Ltd D B+ BBB/Watch Neg
CoLTS 2007-1 Ltd E CCC- BB/Watch Neg
Foothill CLO I Ltd A AA+ AAA/Watch Neg
Foothill CLO I Ltd B AA AA/Watch Neg
Foothill CLO I Ltd C A A/Watch Neg
Foothill CLO I Ltd D BBB BBB/Watch Neg
Foothill CLO I Ltd E BB BB/Watch Neg
Foothill CLO I Ltd Type I Q BB BBB-/Watch Neg
Goldman Sachs Specialty Lending CLO-I A-1R AAA AAA/Watch Neg
Goldman Sachs Specialty Lending CLO-I A-1T AAA AAA/Watch Neg
Goldman Sachs Specialty Lending CLO-I A-2 AAA AAA/Watch Neg
Goldman Sachs Specialty Lending CLO-I B AA AA/Watch Neg
Goldman Sachs Specialty Lending CLO-I C BBB BBB/Watch Neg
Greens Creek Funding Ltd A-1 AA+ AAA/Watch Neg
Greens Creek Funding Ltd A-2 A+ AA/Watch Neg
Greens Creek Funding Ltd B BBB+ A/Watch Neg
Greens Creek Funding Ltd C BBB- BBB/Watch Neg
Greens Creek Funding Ltd D BB BB/Watch Neg
Hewett?s Island CLO II, Ltd A-1 A- AAA/Watch Neg
Hewett's Island CLO II, Ltd A-2A BB+ AA/Watch Neg
Hewett's Island CLO II, Ltd A-2B BB+ AA/Watch Neg
Hewett's Island CLO II, Ltd B-1A BB+ A+/Watch Neg
Hewett's Island CLO II, Ltd B-1B BB+ A+/Watch Neg
Hewett's Island CLO II, Ltd B-2 CCC+ A/Watch Neg
Hewett's Island CLO II, Ltd C CCC- BBB/Watch Neg
Hewett's Island CLO II, Ltd D CC BB/Watch Neg
Hewett's Island CLO II, Ltd Combo Sec NR BB/Watch Neg
Katonah IX CLO Ltd A-1L AA AAA/Watch Neg
Katonah IX CLO Ltd A-1LV AA AAA/Watch Neg
Katonah IX CLO Ltd A-2L A+ AA/Watch Neg
Katonah IX CLO Ltd A-3L BBB- A-/Watch Neg
Katonah IX CLO Ltd B-1L BB BB+/Watch Neg
Katonah IX CLO Ltd B-2L CCC- B/Watch Neg
Katonah IX CLO Ltd X AAA AAA/Watch Neg
Katonah VIII CLO Limited A AA AAA/Watch Neg
Katonah VIII CLO Limited B A+ AA/Watch Neg
Katonah VIII CLO Limited C BBB A/Watch Neg
Katonah VIII CLO Limited D CCC- BBB-/Watch Neg
LCM I Limited Partnership A-1 AAA AAA/Watch Neg
LCM I Limited Partnership A-2 AAA AAA/Watch Neg
LCM I Limited Partnership B AA AA/Watch Neg
LCM I Limited Partnership C A+ A+/Watch Neg
LCM I Limited Partnership D-1 CCC+ BBB-/Watch Neg
LCM I Limited Partnership D-2 CCC+ BBB-/Watch Neg
Liberty CLO Ltd A-1A AA+ AAA/Watch Neg
Liberty CLO Ltd A-1B AA+ AAA/Watch Neg
Liberty CLO Ltd A-1C AA+ AAA/Watch Neg
Liberty CLO Ltd A-2 AA+ AAA/Watch Neg
Liberty CLO Ltd A-3 A+ AAA/Watch Neg
Liberty CLO Ltd A-4 A- AA/Watch Neg
Liberty CLO Ltd B BB+ A/Watch Neg
Liberty CLO Ltd C CCC- BBB/Watch Neg
One Wall Street CLO II Ltd. A-1 AA AAA/Watch Neg
One Wall Street CLO II Ltd. A-2 AA AAA/Watch Neg
One Wall Street CLO II Ltd. B A- AA/Watch Neg
One Wall Street CLO II Ltd. C BBB A/Watch Neg
One Wall Street CLO II Ltd. D CCC+ BBB/Watch Neg
One Wall Street CLO II Ltd. E CCC- BB/Watch Neg
Pacifica CDO V, Ltd. A-1 AA AAA/Watch Neg
Pacifica CDO V, Ltd. A-2 A+ AA/Watch Neg
Pacifica CDO V, Ltd. B-1 BBB- A/Watch Neg
Pacifica CDO V, Ltd. B-2 BBB- A/Watch Neg
Pacifica CDO V, Ltd. C BB BBB/Watch Neg
Pacifica CDO V, Ltd. D CCC- BB/Watch Neg
Pangaea CLO 2007-1 Ltd A-1 AA- AAA/Watch Neg
Pangaea CLO 2007-1 Ltd A-2 A+ AA/Watch Neg
Pangaea CLO 2007-1 Ltd B BBB A/Watch Neg
Pangaea CLO 2007-1 Ltd C BB+ BBB/Watch Neg
Pangaea CLO 2007-1 Ltd D B- BB/Watch Neg
Primus CLO I Ltd A-1-A AAA AAA/Watch Neg
Primus CLO I Ltd A-1-B AA AAA/Watch Neg
Primus CLO I Ltd A-2 AA AAA/Watch Neg
Primus CLO I Ltd B BBB+ AA/Watch Neg
Primus CLO I Ltd C BBB- A/Watch Neg
Primus CLO I Ltd D CCC+ BBB-/Watch Neg
Rosemont CLO Ltd. B-1 AA- A+/Watch Neg
Rosemont CLO Ltd. B-2 AA- A+/Watch Neg
Rosemont CLO Ltd. C BBB BBB/Watch Neg
Stoney Lane Funding I, Ltd. A-1 AA- AAA/Watch Neg
Stoney Lane Funding I, Ltd. A-2 A+ AA/Watch Neg
Stoney Lane Funding I, Ltd. B BBB A/Watch Neg
Stoney Lane Funding I, Ltd. C BB BBB/Watch Neg
Stoney Lane Funding I, Ltd. D CCC- BB/Watch Neg
TELOS CLO 2006-1 Ltd A-1D AAA AAA/Watch Neg
TELOS CLO 2006-1 Ltd A-1R AAA AAA/Watch Neg
TELOS CLO 2006-1 Ltd A-1T AAA AAA/Watch Neg
TELOS CLO 2006-1 Ltd A-2 AA+ AAA/Watch Neg
TELOS CLO 2006-1 Ltd B A+ AA/Watch Neg
TELOS CLO 2006-1 Ltd C BBB+ A/Watch Neg
TELOS CLO 2006-1 Ltd D BB+ BBB/Watch Neg
TELOS CLO 2006-1 Ltd E CCC+ BB/Watch Neg
Transaction Class Rating
----------- ----- ------
ACA CLO 2005-1, Limited P-1 AAA
ACA CLO 2005-1, Limited X AAA
Rosemont CLO Ltd. A AAA
* S&P Downgrades Ratings on 91 Classes From 27 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 91
classes from 27 residential mortgage-backed securities
transactions backed by U.S. subprime mortgage loan collateral
issued in 2002-2004. S&P removed 14 of the lowered ratings from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on 90 classes from 33 subprime and prime jumbo
transactions and removed 20 of the affirmed ratings 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.
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.
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. For
mortgage pools that continue to report increasing delinquencies,
S&P increased its cash flow stresses to account for potential
increases in monthly losses. 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. For
subprime transactions, 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 115% of its base-case loss assumptions to
maintain a 'BB' rating, while S&P would assess whether a different
class could withstand approximately 125% 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
150% of its base-case loss assumptions under its analysis. For
the prime jumbo transactions, S&P assessed whether a class could
withstand 127% of its base-case loss assumption in order to
maintain a 'BB' rating, while S&P assessed whether a different
class could withstand 154% of its base-case loss assumption to
maintain a 'BBB' rating. Each class that has an affirmed 'AAA'
rating can withstand approximately 235% of S&P's base-case loss
assumptions.
A combination of subordination, excess spread,
overcollateralization, or bond insurance provide credit support
for the subprime transactions. The prime jumbo transactions
benefit from subordination. The underlying collateral for these
deals consists of fixed- and adjustable-rate U.S. subprime or
prime jumbo mortgage loans.
*********
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 2010. 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 ***