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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, March 21, 2010, Vol. 14, No. 79
Headlines
ABACUS 2007-18: Moody's Downgrades Ratings on Five Classes
ACACIA CDO: Fitch Downgrades Ratings on Two Classes of Notes
ARBOR REALTY: S&P Downgrades Ratings on Eight Classes of Notes
ARBOR REALTY: S&P Downgrades Ratings on Four 2004-1 Securities
ARBOR REALTY: S&P Downgrades Ratings on Nine 2005-1 Securities
BAKER STREET: Fitch Downgrades Ratings on Six Classes of Notes
BANC OF AMERICA: Fitch Takes Various Rating Actions on Notes
BANC OF AMERICA: Moody's Cuts Ratings on Six 2006-BIX1 Certs.
BERNARD NATIONAL: Moody's Takes Rating Actions on Various Classes
BRAZOS STUDENT: Fitch Maintains Ratings on Various Student Loans
CAMBER 3: Moody's Downgrades Ratings on Three Classes of Notes
CAPITAL GUARDIAN: Fitch Affirms Ratings on Four Classes
CAPITAL ONE: Moody's Upgrades Ratings on Three Subordinate Notes
CAPITAL PROJECTS: S&P Withdraws 'B' Rating on 2009A Certs.
CARBON CAPITAL: S&P Downgrades Ratings on Four Classes
CITIGROUP COMMERCIAL: Moody's Affirms Ratings on 2006-FL2 Certs.
COBALTS TRUST: S&P Downgrades Rating on $25 Mil. Certs. to 'BB-'
COMM 2000-C1: S&P Downgrades Ratings on Four Classes of Certs.
COMM 2004-LNB4: Moody's Reviews Ratings on Various Classes
COMM 2006-FL12: Moody's Downgrades Ratings on Seven Classes
CORPORATE-BACKED TRUST: S&P Cuts Rating on Class A-1 to 'BB-'
CREDIT SUISSE: Moody's Affirms Ratings on Six 2002-CKP1 Certs.
CREDIT SUISSE: Moody's Downgrades Ratings on 2006-TFL2 Notes
CRYSTAL COVE: Fitch Downgrades Ratings on Three Classes of Notes
DUNHILL ABS: Moody's Downgrades Ratings on Four Classes of Notes
E*TRADE ABS: Fitch Downgrades Ratings on Five Classes of Notes
E*TRADE ABS: Fitch Downgrades Ratings on Two Classes of Notes
EDUCATION FUNDING: S&P Puts Note Ratings on CreditWatch Negative
FORT POINT: Moody's Downgrades Ratings on Three Classes of Notes
FRANKLIN CLO: Fitch Affirms Ratings on Two Classes of Notes
GE COMMERCIAL: Moody's Affirms Ratings on Nine 2005-C4 Certs.
GOLDMAN SACHS: Moody's Reviews Ratings on 17 2006-GG8 Certs.
GREENWICH CAPITAL: Moody's Takes Rating Actions on Various Classes
GS MORTGAGE: S&P Downgrades Ratings on Nine 2006-RR2 Securities
GSC ABS: Fitch Downgrades Ratings on Three Classes of Notes
GUGGENHEIM STRUCTURED: Fitch Downgrades Ratings on 10 2006-4 Notes
HALCYON LOAN: Moody's Reviews Ratings on Various Classes
HAMPTON ROADS: Moody's Downgrades Ratings on $276 Mil. Bonds
HARTFORD FINANCIAL: S&P Assigns 'BB' Rating on $500 Mil. Offering
HESPERIA COMMUNITY: S&P Downgrades Ratings on 2005A Bonds to 'BB'
HUNTINGTON CDO: Fitch Downgrades Ratings on Four Classes of Notes
INFINITI SPC: S&P Downgrades Rating on Class B Notes to 'CC'
JER CRE: Moody's Downgrades Ratings on Eight Classes of Notes
JP MORGAN: Fitch Downgrades Ratings on 2003-CIBC6 Securities
JP MORGAN: Fitch Takes Rating Actions on Various 2004-C1 Notes
JP MORGAN: Fitch Takes Rating Actions on Various Classes of Notes
JP MORGAN: Moody's Affirms Ratings on Seven 2004-C3 Classes
JP MORGAN: Moody's Affirms Ratings on 10 Series 2005-LDP3 Certs.
JPMORGAN-CIBC COMMERCIAL: S&P Cuts Ratings on Seven Securities
KEY COMMERCIAL: Moody's Downgrades Ratings on 13 2007-SL1 Certs.
KKR FINANCIAL: Moody's Reviews Ratings on Five Classes of Notes
KLEROS PREFERRED: Fitch Downgrades Ratings on Three Classes
LB-UBS COMMERCIAL: Moody's Reviews Ratings on 13 2004-C8 Certs.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 14 2005-C1 CMBS
LB-UBS COMMERCIAL: S&P Downgrades Ratings on Six 2000-C5 Certs.
LIGHTPOINT CLO: Moody's Takes Rating Actions on Various Classes
MACLAURIN SPC: Moody's Downgrades Ratings on Two Classes
MAGNOLIA FINANCE: Moody's Downgrades Ratings on Two Classes
MAGNOLIA FINANCE: Moody's Downgrades Ratings on Series 2007-2A
MAGNOLIA FINANCE: Moody's Downgrades Ratings on Series 2007-5
MERRILL LYNCH: Fitch Downgrades Ratings on 2003-KEY Certificates
MILLERTON ABS: Moody's Downgrades Ratings on Three Classes
MORGAN STANLEY: Fitch Downgrades Ratings on Class J to 'D/RR6'
MORGAN STANLEY: Fitch Downgrades Ratings on 2004-HQ4 Notes
MORGAN STANLEY: Moody's Downgrades Rating on Series 2006-33 Notes
MORGAN STANLEY: S&P Downgrades Ratings on 18 2005-HQ6 Securities
MORGAN STANLEY: S&P Downgrades Ratings on Three Classes of Notes
MORGAN STANLEY: S&P Raises Ratings on Senior Notes to 'BB-'
MOUNTAIN VIEW: Moody's Reviews Ratings on Various Classes
N-STAR REAL: Fitch Downgrades Ratings on Seven Classes of CMBS
NEW JERSEY HEALTH: S&P Corrects Ratings on Health Care 1998B Bonds
OWS CLO: Moody's Confirms Ratings on Various Rating Actions
PACIFIC BAY: Moody's Downgrades Ratings on Two Classes of Notes
PREMIUM LOAN: Moody's Takes Rating Actions on Various Classes
SAYBROOK POINT: Fitch Downgrades Ratings on Five Classes of Notes
SOUTH COAST: Fitch Takes Rating Actions on Various Classes
STRAITS GLOBAL: Fitch Downgrades Ratings on Four Classes
STREETERVILLE ABS: Fitch Downgrades Ratings on Three Classes
STREETERVILLE ABS: Moody's Downgrades Ratings on Four Classes
TRIBUNE LTD: S&P Downgrades Rating on Series 29 Tranche to 'CC'
TRINITY CDO: Moody's Junks Ratings on Senior Secured Notes
WACHOVIA BANK: S&P Downgrades Ratings on 14 2005-C19 Securities
WACHOVIA BANK: S&P Downgrades Ratings on 16 2005-C22 Securities
* Moody's Changes Loss Projections for 2005-2007 Second Lien RMBS
* Moody's Reviews Ratings on 40 RMBS Resecuritization Tranches
* Moody's Reviews Ratings on Various Junior Notes From Five CLOs
* S&P Downgrades Ratings on 10 Classes From Three RMBS Deals
* S&P Downgrades Ratings on 23 Tranches From Five CDO Transactions
* S&P Downgrades Ratings on 29 Tranches From Nine CDO Transactions
* S&P Downgrades Ratings on 70 Classes From Four RMBS Deals
* S&P Downgrades Ratings on 193 Classes From 26 RMBS Transactions
* S&P Puts Ratings on Seven Tranches on CreditWatch Negative
* S&P Withdraws Ratings on 35 Classes From Eight Aircraft Loans
*********
ABACUS 2007-18: Moody's Downgrades Ratings on Five Classes
----------------------------------------------------------
Moody's Investors Service downgraded five classes of Notes issued
by ABACUS 2007-18 due to deterioration in the credit quality of
the underlying portfolio of reference obligations as evidenced by
an increase in the weighted average rating factor and a decrease
in the weighted average recovery rate since last review. The
rating action, which concludes Moody's current review, is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
ABACUS 2007-18 is a synthetic CRE CDO currently backed by
portfolio of commercial mortgage back security reference
obligations (95% of the pool balance), and CRE CDO's (5%). All of
the CMBS reference obligations were securitized between 2005 and
2007. As of the January 21, 2010 trustee report, the aggregate
collateral par amount of reference obligations is $1 billion, the
same as at securitization.
Currently, all term assets which provide principal support for the
funded credit linked notes are held in cash or cash equivalents.
However, Abacus has the right to invest term assets within
specified criteria, the Collateral Security Eligibility Criteria,
in the form of including highly rated RMBS and ABS assets. The
Abacus transactions feature a mechanism which, in certain
circumstances stated as an Additional Termination Event, may allow
the counterparty (the "Affected Party") to terminate their
obligations to provide support for the term assets. Moody's
analysis of such mechanism suggests that it is limited to an Event
of Default on the underlying term asset to the extent that these
assets have such provisions. It is Moody's opinion that this
excludes any RMBS term assets which lack underlying EOD
provisions. As the term assets are currently held in cash and
cash equivalents, effectively de-linking any market value and
counterparty risks, Moody's did not add any additional expected
loss to the CDO. Moody's will continue to monitor the term asset
holdings as part of its on-going surveillance of CRE CDO
transactions.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, weighted average recovery rate, and Moody's asset
correlation. These parameters are typically modeled as actual
parameters for static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's have completed updated credit estimates for the 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 of 5,471 compared to 3,251 at
last review. The distribution of current ratings and credit
estimates is: Baa1-Baa3 (7.3% compared to 16.0% at last review),
Ba1-Ba3 (5.9% compared to 11.7% at last review), B1-B3 (30.6%
compared to 43.8% at last review), and Caa1-C (56.3% compared to
28.5% 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 7.1 years
compared to 7.9 years 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 variable
WARR with a mean of 3.8% compared to a mean of 7.0% 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 99.9% compared to 39.4% at last review. The high
MAC is due to the high WARF and low diversity of ratings
distribution in the underlying collateral pool.
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.
In cases where CUSIP collateral is resecuritized, CDOROM v2.5 adds
stress to capture the leveraging effect of the derivative
transaction. Moody's had previously announced on March 4, 2009
that the additional default probability stress applied to
resecuritized collateral would not be applied to conduit and
fusion CMBS from the 2006 to 2008 vintages due to a first quarter
2009 ratings sweep of such transactions. Moody's are now applying
the resecuritization stress factor to all vintages of CMBS
collateral to address the enhanced volatility in the
resecuritization and align Moody's modeling of CRE CDOs with its
expected performance.
The rating action is:
-- Class A-1, Downgraded to Ca; previously on February 26, 2010
Ba1 Placed Under Review for Possible Downgrade
-- Class A-2, Downgraded to Ca; previously on February 26, 2010
Ba3 Placed Under Review for Possible Downgrade
-- Class A-3, Downgraded to C; previously on February 26, 2010
B1 Placed Under Review for Possible Downgrade
-- Class B, Downgraded to C; previously on February 26, 2010 B1
Placed Under Review for Possible Downgrade
-- Class B Series 2, Downgraded to C; previously on February 26,
2010 B1 Placed Under Review for Possible Downgrade
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions both on a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 6, 2009.
ACACIA CDO: Fitch Downgrades Ratings on Two Classes of Notes
------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed three
classes of notes issued by Acacia CDO 5, Ltd./Inc., as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in October 2009.
Acacia 5 entered an event of default as of Dec. 8, 2009, due to
the class A/B overcollateralization ratio declining below 100%. A
majority of the controlling class, class A, voted to accelerate on
Feb. 1, 2010, therefore on the Feb. 8, 2010 distribution date,
interest proceeds were diverted to redeem class A principal after
class A accrued interest, rather than paying class B accrued
interest.
As of the Feb. 2, 2010 trustee report, the current balance of the
portfolio is approximately $181.3 million. Approximately 32.9% of
the portfolio has been downgraded since October 2009, resulting in
83.2% of the portfolio with a Fitch derived rating below
investment grade and 54.4% with a rating in the 'CCC' rating
category or below, compared to 73.7% and 39.1%, respectively, at
last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'. Due
to the extent of collateral deterioration and the sequential pay
structure following the acceleration of maturity, Fitch believes
that the likelihood of default for all classes of notes can be
assessed without using the Structured Finance Portfolio Credit
Model or performing cash flow model analysis under the framework
described in the 'Global Criteria for Cash Flow Analysis in CDOs -
Amended' report.
Based on the credit quality of the remaining portfolio, Fitch
believes default is highly probable for the class A notes. The
Feb. 2, 2010 trustee report shows that $50.3 million, or 27.8%, of
the portfolio is considered defaulted by the transaction's
governing documents with low expected recoveries, leaving
$131 million of non-defaulted assets. Of the non-defaulted
securities, $46.6 million is considered distressed (rated 'CCC' or
lower) and may not pay in full by maturity.
On the most recent payment date on Feb. 8, 2010, the amount of
interest proceeds used to pay down the class A notes was
approximately $500,000. Even considering the effect of any future
interest diversion, given the amount of the performing assets
versus the outstanding balance of the class A notes, the default
risk of the class A notes is commensurate with a 'CC' rating.
The class B notes are rated to the timely receipt of interest.
Due to the acceleration of maturity, the class has defaulted on
the payment of interest and is therefore downgraded to 'D'. The
class B, class C, class D and class E notes are not expected to
receive any interest or principal distributions going forward.
Acacia 5 is a structured finance collateralized debt obligation
that closed on July 14, 2004, and is managed by Redwood Asset
Management, a subsidiary of Redwood Trust, Inc. The portfolio is
composed of residential mortgage-backed securities (78.7%), SF
CDOs (13.1%), commercial mortgage-backed securities (5.8%) and
commercial real estate loans (2.4%).
Fitch has taken these rating actions on Acacia 5:
-- $102,837,487 class A notes downgraded to 'CC' from 'B/LS3';
-- $42,250,000 class B notes downgraded to 'D' from 'CC';
-- $9,082,993 class C notes affirmed at 'C';
-- $3,023,294 class D notes affirmed at 'C';
-- $5,427,964 class E notes affirmed at 'C'.
ARBOR REALTY: S&P Downgrades Ratings on Eight Classes of Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from Arbor Realty Mortgage Securities Series 2006-1 Ltd.,
which is a commercial real estate collateralized debt obligation
transaction. The lowered ratings remain on CreditWatch with
negative implications.
The downgrades follow S&P's analysis of the transaction using its
recently updated U.S. CRE CDO criteria, which was the primary
driver of its rating actions. S&P's analysis included a review of
the current credit characteristics of all of the collateral assets
and the transaction's liability structure.
The ratings remain on CreditWatch negative due to Arbor 2006-1's
exposure to CRE CDO collateral with ratings on CreditWatch
negative ($30.4 million, 4.9%).
According to the Feb. 26, 2010, trustee report, the transaction's
current asset pool includes the following:
* Twenty-eight whole loans and senior participations
($456.2 million, 74.1% of the collateral pool);
* Sixteen subordinate interest loans ($122.3 million, 19.9%);
* Three CRE CDO tranches ($30.4 million, 4.9%); and
* Two commercial mortgage-backed securities tranches
($6.5 million, 1.1%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, Arbor Realty
Collateral Management LLC, and the trustee, Wells Fargo Bank N.A.,
as well as market and valuation data from third-party providers.
Based upon S&P's analysis, Standard & Poor's weighted average
credit estimate for these assets is 'b-'.
The reported defaulted assets include three loan assets
($17.9 million, 2.9%). Standard & Poor's estimated asset-specific
recovery rates for these loan assets ranged from 0% to 40.1%. S&P
based the recovery rates on information from the collateral
manager, special servicer, and third-party data providers.
The defaulted assets are:
* 52-54 Lispenard Street whole loan ($9.6 million, 1.6%);
* Bear Canyon subordinated loan ($5.6 million, 0.9%); and
* Gateway Center subordinated loan ($2.8 million, 0.5%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with S&P's current criteria.
S&P's analysis is consistent with the lowered ratings. S&P will
update or resolve the CreditWatch negative placements on Arbor
2006-1 in conjunction with its CreditWatch resolutions of the
underlying CRE CDO assets.
Ratings Lowered And Remaining On Creditwatch Negative
Arbor Realty Mortgage Securities 2006-1 Ltd.
Floating-rate notes
Rating
------
Class To From
----- -- ----
A-1A BBB+/Watch Neg AAA/Watch Neg
A-1AR BBB+/Watch Neg AAA/Watch Neg
A-2 BBB/Watch Neg AAA/Watch Neg
B BBB-/Watch Neg AA/Watch Neg
C BB+/Watch Neg A+/Watch Neg
D BB+/Watch Neg A/Watch Neg
E BB/Watch Neg A-/Watch Neg
F BB-/Watch Neg BBB+/Watch Neg
ARBOR REALTY: S&P Downgrades Ratings on Four 2004-1 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from Arbor Realty Mortgage Securities Series 2004-1 Ltd.,
a commercial real estate collateralized debt obligation
transaction. Concurrently, S&P removed all four ratings from
CreditWatch with negative implications.
The downgrades follow S&P's analysis of the transaction using its
recently updated U.S. CRE CDO criteria, which was the primary
driver of its rating actions. S&P's analysis included a review of
the current credit characteristics of all of the collateral assets
and the transaction's liability structure.
According to the Feb. 26, 2010, trustee report, the transaction's
current asset pool included these:
* Seven whole loans and senior participations ($99.1 million,
22.1% of the collateral pool);
* Thirty-four subordinate-interest loans ($322.0 million, 71.9%);
And
* Two commercial mortgage-backed securities tranches
($15.0 million, 3.4%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, Arbor Realty
Collateral Management LLC, and the trustee, Bank of America
Merrill Lynch, as well as market and valuation data from third-
party providers.
The reported defaulted assets include three loan assets ($20.9
million, 4.7%). Based on information from the collateral manager,
special servicer, and third-party market data providers, Standard
& Poor's estimated that there would be no recovery upon the
ultimate resolution of any of the defaulted loan assets. The
defaulted assets are:
Miles Portfolio subordinated mezzanine loan ($11.9 million, 2.7%);
Harwood Center subordinated loan ($6.9 million, 1.6%); and
Chowder Bay Apartments subordinated loan ($2.0 million, 0.5%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with S&P's current criteria.
S&P's analysis is consistent with the lowered ratings.
Ratings Lowered And Removed From Creditwatch Negative
Arbor Realty Mortgage Securities Series 2004-1 Ltd.
Floating-rate notes
Rating
------
Class To From
----- -- ----
A BBB+ AAA/Watch Neg
B BBB- AA/Watch Neg
C BB+ A-/Watch Neg
D BB+ BBB+/Watch Neg
ARBOR REALTY: S&P Downgrades Ratings on Nine 2005-1 Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes from Arbor Realty Mortgage Securities Series 2005-1 Ltd.,
which is a commercial real estate collateralized debt obligation
transaction. The lowered ratings remain on CreditWatch with
negative implications.
The downgrades follow S&P's analysis of the transaction using its
recently updated U.S. CRE CDO criteria, which was the primary
driver of its rating actions. S&P's analysis included a review of
the current credit characteristics of all of the collateral assets
and the transaction's liability structure.
The ratings remain on CreditWatch negative due to Arbor 2005-1's
exposure to CRE CDO collateral with ratings on CreditWatch
negative ($14.5 million, 3.1%).
According to the Feb. 26, 2010, trustee report, the transaction's
current asset pool included these:
* Twelve whole loans and senior participations ($175.9 million,
37.5% of the collateral pool);
* Twenty-one subordinate interest loans ($247.2 million, 52.7%);
* Two CRE CDO tranches ($24.5 million, 5.2%); and
* Two commercial mortgage-backed securities tranches
($17.1 million, 3.6%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, Arbor Realty
Collateral Management LLC, and the trustee, Bank of America
Merrill Lynch, as well as market and valuation data from third-
party providers. Based upon S&P's analysis, Standard & Poor's
weighted average credit estimate for these assets is 'b-'.
The reported defaulted assets include two loan assets
($21.9 million, 4.7%). Standard & Poor's estimated asset-specific
recovery rates for the loan assets reported as defaulted, which
had a weighted average rate of 48.1%. S&P based the recovery
rates on information from the collateral manager, special
servicer, and third-party data providers. The defaulted assets
are:
Miles Portfolio subordinated B-note ($17.9 million, 3.8%); and St.
Louis Clarion Hotel whole loan ($4.0 million, 0.9%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with its current criteria. S&P's
analysis is consistent with the lowered ratings. S&P will update
or resolve the CreditWatch negative placements on Arbor 2005-1 in
conjunction with its CreditWatch resolutions of the underlying CRE
CDO assets.
Ratings Lowered And Remaining On Creditwatch Negative
Arbor Realty Mortgage Securities 2005-1 Ltd.
Floating-rate notes
Rating
------
Class To From
----- -- ----
A A+/Watch Neg AAA/Watch Neg
A-2 A/Watch Neg AAA/Watch Neg
B BBB+/Watch Neg AA/Watch Neg
C BBB/Watch Neg A+/Watch Neg
D BBB-/Watch Neg A/Watch Neg
E BBB-/Watch Neg A-/Watch Neg
F BB+/Watch Neg BBB+/Watch Neg
G BB+/Watch Neg BBB/Watch Neg
H BB+/Watch Neg BBB-/Watch Neg
BAKER STREET: Fitch Downgrades Ratings on Six Classes of Notes
--------------------------------------------------------------
Fitch Ratings has downgraded six classes of notes issued by Baker
Street CLO II Ltd./Corp.
This review was conducted under the framework described in the
report 'Global Structured Finance Rating Criteria'. Cash flow and
portfolio default modeling were conducted in accordance with
Fitch's 'Global Criteria for Cash Flow Analysis in CDOs -
Amended', 'Global Rating Criteria for Corporate CDOs', 'Global
Surveillance Criteria for Corporate CDOs' and 'Criteria for
Interest Rate Stresses in Structured Finance Transactions'. Loss
Severity ratings were assigned in compliance with Fitch's
'Criteria for Structured Finance Loss Severity Ratings'. Recovery
Ratings were assigned in compliance with Fitch's 'Criteria for
Structured Finance Recovery Ratings'.
The downgrades are based on the decreased credit enhancement
available to the notes resulting from realized losses and the
credit deterioration of the underlying portfolio. Additionally,
the rated notes display significant sensitivity to reduced
corporate recoveries, indicating a lack of stability at their
current rating levels.
Exposure to defaulted assets has increased to 7.3% from 2.5%.
Realized and expected losses on defaulted assets has reduced
portfolio collateral available to the rated notes and negatively
impacted the notes' ability to withstand future credit migration
and/or defaults. Since the last rating review, the credit profile
of the portfolio has deteriorated to an average rating of 'B/B-'
from 'B', with approximately 28% of the portfolio considered 'CCC'
or below by Fitch, up from 13%. Approximately 19% of the
underlying portfolio ratings have a Negative Rating Outlook and 2%
of ratings are on Rating Watch Negative, indicating the
possibility of further negative rating migration. The transaction
is still in its reinvestment period through October 2012. As of
the most recent trustee report, $6.6 million of proceeds is
available for reinvestment, which the collateral manager expects
to reinvest in relatively higher credit quality assets.
The class A and E notes were partially redeemed in 2009 due to the
failure of overcollateralization tests. Failure of the class E OC
test during the reinvestment period diverts interest proceeds for
the payment of class E principal, including any capitalized
interest, prior to principal distributions to the class A notes.
In addition to the OC tests, Baker Street II has a class E
reinvestment test, which diverts 60% of excess interest that would
otherwise be paid to the equity, to purchase additional
collateral. On the most recent payment date, approximately
$1.4 million of excess interest was reinvested in an effort to
cure the class E reinvestment test. As of the most recent trustee
report, all OC and interest coverage tests are passing their
minimum test levels, however, the class E reinvestment test is
still failing.
In its review, Fitch conducted cash flow modeling to measure the
breakeven default rates relative to the cumulative default rates
associated with the current ratings of the note liabilities. The
cash flow model incorporates the transaction's structural
features. In addition, Fitch analyzed the structure's sensitivity
to reduced U.S. corporate recoveries. To accomplish this, in one
scenario Fitch reduced its average recovery rate assumptions for
each asset type by 30%, where explicit Recovery Ratings were not
available. The revised ratings reflect the reduced credit
enhancement and lower credit quality of the collateral available
to the notes. The notes exhibit sensitivity to variability in
recovery rates and are exposed to a sizeable portion of assets
carrying a Negative Outlook, which prompted a Negative Outlook for
all classes.
The class A, B and C notes were assigned LS ratings. The LS
ratings indicate each tranche's potential loss severity given
default, as evidenced by the ratio of tranche size to the base-
case loss expectation for the collateral, as explained in Fitch's
'Criteria for Structured Finance Loss Severity Ratings'. The LS
rating should always be considered in conjunction with the notes'
long-term credit rating.
The class D and E notes were assigned Recovery Ratings in this
rating review based on the total discounted future cash flows of
approximately $13.6 million and $6.4 million, respectively,
projected to be available to these bonds in a base-case default
scenario. These discounted cash flows yield ultimate recovery
projections of 85% and 56%, respectively, which is representative
of an 'RR2' and 'RR3' on Fitch's Recovery Rating scale. Recovery
Ratings are designed to provide a forward-looking estimate of
recoveries on currently distressed or defaulted structured finance
securities rated 'CCC' or below. For further detail on Recovery
Ratings, please see Fitch's reports 'Global Surveillance Criteria
for Corporate CDOs' and 'Criteria for Structured Finance Recovery
Ratings'.
Baker Street II is a revolving cash flow transaction
collateralized by a portfolio of primarily leveraged loans that
closed on Sept. 15, 2006 and is managed by Seix Investment
Advisors LLC. Baker Street II will exit its reinvestment period
in October 2012 and has a portfolio comprised of 95% senior
secured obligations and 5% second lien loans and unsecured
obligations. The stated maturity of the transaction is Oct. 15,
2019.
Fitch has downgraded, revised Rating Outlooks and assigned LS
Ratings and Recovery Ratings to these notes as indicated:
-- $263,802,663 class A-1 floating-rate notes to 'AA/LS2' from
'AAA'; Outlook to Negative from Stable;
-- $29,311,407 class A-2 variable funding floating-rate notes to
'AA/LS2' from 'AAA'; Outlook to Negative from Stable;
-- $20,100,000 class B floating-rate notes to 'A/LS5' from 'AA';
Outlook to Negative from Stable;
-- $21,000,000 class C floating-rate deferrable notes to
'BB/LS5' from 'A'; Outlook Negative;
-- $15,900,000 class D floating-rate deferrable notes to
'CCC/RR2' from 'BBB'; Outlook Negative;
-- $11,402,275 class E floating-rate deferrable notes to
'CC/RR3' from 'BB'; Outlook Negative.
BANC OF AMERICA: Fitch Takes Various Rating Actions on Notes
------------------------------------------------------------
Fitch Ratings has downgraded, removed from Rating Watch, revised
Rating Outlooks and assigned Loss Severity ratings or Recovery
Ratings to these classes of Banc of America Commercial Mortgage,
Inc., series 2004-4, commercial mortgage pass-through
certificates:
-- $21.1 million class D to 'BB/LS5' from 'A'; Outlook to Stable
from Negative;
-- $9.7 million class E to 'BB/LS5' from 'A-'; Outlook Negative;
-- $16.2 million class F to 'B/LS5' from 'BBB+'; Outlook Stable;
-- $11.3 million class G to 'B-/LS5' from 'BBB'; Outlook Stable;
-- $16.2 million class H to 'B-/LS5' from 'BBB-'; Outlook
Stable;
-- $6.5 million class J to 'B-/LS5' from 'BB+'; Outlook Stable;
-- $6.5 million class K to 'CCC/RR6' from 'BB';
-- $6.5 million class L to 'CC/RR6' from 'BB-';
-- $3.2 million class M to 'CC/RR6' from 'B+';
-- $3.2 million class N to 'CC/RR6' from 'B'.
Fitch also downgrades and assigns LS ratings or revises the
Recovery Rating to these classes:
-- $35.6 million class B to 'A/LS4' from 'AA'; Outlook Stable;
-- $11.3 million class C to 'A/LS5' from 'AA-'; Outlook Stable;
-- $4.9 million class O to 'C/RR6' from 'CCC/RR1'.
In addition, Fitch has affirmed these classes, assigned LS ratings
and maintains Stable Outlooks:
-- $55.7 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $225 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $107 million class A-5 at 'AAA/LS1'; Outlook Stable;
-- $272.2 million class A-6 at 'AAA/LS1'; Outlook Stable;
-- $119.3 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- Interest-only class XC at 'AAA'; Outlook Stable;
-- Interest-only class XP at 'AAA'; Outlook Stable;
-- $2.1 million class DM-A at 'A+/LS1'; Outlook Stable;
-- $4.4 million class DM-B at 'A/LS1'; Outlook Stable;
-- $3.5 million class DM-C at 'A-/LS1'; Outlook Stable;
-- $3.7 million class DM-D at 'BBB+/LS1'; Outlook Stable;
-- $4.0 million class DM-E at 'BBB/LS1'; Outlook Stable;
-- $3.6 million class DM-F at 'BBB-/LS1'; Outlook Stable;
-- $3.4 million class DM-G at 'BBB-/LS1'; Outlook Stable.
Fitch does not rate the $16.2 million P and $103 million BC
classes. Classes A-1 and A-2 have paid in full.
The downgrades are due to significant expected losses upon
disposition of specially serviced assets along with expected
losses from Fitch's prospective review of potential stresses. In
addition, interest shortfalls are affecting classes F through O
which may not be recoverable in the near term. As of the March
2010 distribution date, the pool's certificate balance has paid
down 24.6% to $1.08 billion from $1.43 billion at issuance. Four
loans, 6.6% of the pool, have defeased.
Nine loans are specially serviced (8.5%) of which three are real
estate owned assets and one loan is current. Fitch expects losses
from loans currently in special servicing to deplete the unrated
class P and to significantly decrease the credit support to
several non-investment grade classes.
The largest specially serviced asset (7.7%) is an office building
located in Irvine, California. The loan transferred to special
servicing in August 2009 for maturity default and is now in
foreclosure. As of December 2008, the property was 100% occupied.
The borrower was unable to pay off the loan at maturity.
The second largest specially serviced asset (1.6%) is a 723,971
square foot warehouse located in North Kingstown, Rhode Island.
The loan transferred to special servicing on October 2008 for
payment default and is REO. The June 2008 servicer-reported
occupancy at the property was 51%.
Fitch stressed the cash flow of the remaining non-defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.5% and
10% to determine value.
Similar to Fitch's prospective analysis of recent vintage
commercial mortgage backed securities, each loan also underwent a
refinance test by applying an 8% interest rate and 30-year
amortization schedule based on the stressed cash flow. Loans that
could refinance to a debt service coverage ratio of 1.25 times or
higher were considered to pay off at maturity. Fourteen loans did
not pay off at maturity and four loans incurred a loss when
compared to Fitch's stressed value.
BANC OF AMERICA: Moody's Cuts Ratings on Six 2006-BIX1 Certs.
-------------------------------------------------------------
Moody's Investors Service downgraded six non-pooled, or rake,
classes of Banc of America Large Loan Inc. Commercial Mortgage
Pass-Through Certificates, Series 2006-BIX1. Moody's is taking
this action due to the deterioration in the performance of the
properties securing the CarrAmerica -- Pool 3 (National Portfolio)
Loan and the CarAmerica -- Pool 2 (CAR Portfolio) Loan. Moody's
placed the six rake classes on review for possible downgrade on
February 17, 2010. This action concludes Moody's review. The
rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
There are 11 loans remaining in the pool. The CarrAmerica -- Pool
3 (National Portfolio) Loan and the CarrAmerica Pool 2 (CAR
Portfolio) Loan represent 32.8% and 4.3% of the pooled debt
balance, respectively. There is currently one loan in special
servicing, the Ballantyne Village Loan (6.7%). The loan was not
extended since the last maturity date of January 15, 2010, and the
borrower has been provided with a Default Letter dated January 26,
2010, based on maturity default.
The CarrAmerica -- Pool 3 (National Portfolio) Loan
($153.6 million -- 32.8% of the pooled debt balance) is the 40.0%
portion of a pari passu split loan structure. There is also
$20.4 million of rake trust debt (classes J-CP, K-CP and L-CP), a
$179 million non-trust junior secured loan component, and
$166 million in mezzanine debt. The loan is secured by 30
suburban office and office and R&D properties. The portfolio
contains approximately 8.7 million square feet, of which
6.0 million square feet represents the loan sponsor's wholly-owned
interests and its partially-owned interests in joint venture
properties. Of the 6.0 million square feet, approximately
4.9 million square feet (22 properties) is secured by first
mortgage liens and 1.1 million square feet (eight properties) is
secured by a pledge of refinance and sale proceeds. The pledged
properties represent approximately 8.4% of the total allocated
trust balance. The outstanding trust balance has decreased by
72.3% since securitization from the payment of loan collateral
release premiums. The portfolio has geographic concentration in
the San Jose, California metro area, with 61.4% of the mortgage
collateral by net rentable area (16 properties) located in San
Jose, Santa Clara, Palo Alto and Sunnyvale. The suburban San Jose
office market has a Fourth Quarter 2009 Moody's Red-Yellow-GreenR
score of Red (6).
As of September 2009, the loan collateral secured by first
mortgage liens had a weighted average occupancy rate of 78%,
compared to 85% for the current portfolio at Moody's last full
review and 87% at securitization. The market fundamentals within
the Silicon Valley market have deteriorated significantly. The
San Jose Class A office market posted a 31% vacancy rate as of the
4th quarter of 2009, along with an 11% decline in market rents
during 2009 with an additional 11% decline projected for 2010
according to CB Richard Ellis. The San Jose R&D market vacancy
rate was 18% with a market rent decline of 15% in 2009 and a
further 4% decline projected through 2011. It is anticipated that
portfolio revenue will decrease as current leases expire and new
leases are signed at lower rents. Moody's LTV for the trust debt
is 94.8%, based on mortgage collateral only and Moody's stressed
DSCR is 1.12X. Moody's underlying rating for the pooled balance
is Baa3, compared to A1 at Moody's last full review.
The CarAmerica -- Pool 2 (CAR Portfolio) Loan ($20.3 million --
4.3%) is the 40.0% portion of a pari passu split loan structure.
There is also $3.4 million of rake debt (classes J-CA, K-CA, and
L-CA). The loan is secured by four office properties located in
San Mateo, California, Mountain View, California and Austin, Texas
(two properties). The portfolio contains 719,025 square feet,
compared to 2.1 million square feet in 11 properties at
securitization. The outstanding trust balance has decreased by
74% since securitization from the payment of loan collateral
release premiums. As of September 2009, the portfolio had a
weighted average occupancy of 76%, compared to 97% at Moody's last
full review.
San Mateo Center, San Mateo, California is a Class A office
building containing 216,691 square feet of net rentable area. As
of September 2009, the property was 56% leased to 26 tenants. No
one tenant occupied more than 5% of the total NRA. The Redwood -
Foster Cities submarket has a Class A office market vacancy of 14%
with a market rent decline of 23% in 2009 according to CB Richard
Ellis. Approximately 32% of the leased NRA in San Mateo Center
will expire by the end of 2011.
Mountain View Gateway Center, Mountain View, California is a Class
A office building containing 236,402 square feet of NRA. As of
September 2009, the property was 100% leased to two tenants, KPMG
Peat Marwick (57% of NRA) and Netscape (43% of NRA). Lease
expirations for KPMG and Netscape are June 2013 and September
2010, respectively. Mountain View has a market vacancy rate of
11% with a market rent decline of 14% in 2009 and a further
decline of 8% projected during 2010 according to CB Richard Ellis.
The two Class A office properties located in Austin are The
Setting, containing 137,216 square feet and the adjacent City View
Center I, containing 128,716 square feet. The buildings are 62.3%
and 100% leased, respectively. The Setting is leased to 15
tenants with no tenant occupying more than 11% of the NRA. City
View Center I is leased to one tenant, Level 3 Communications,
through December 2013. The Southwest Austin submarket has a
market vacancy rate of 20% with a market rent decline of 6% in
2009 and a small additional decline projected in 2010 according to
CB Richard Ellis.
It is anticipated that portfolio revenue will decrease as current
leases expire and new leases are signed at lower rents. Moody's
LTV for the trust debt is 75.1%, and Moody's stressed DSCR is
1.38X. Moody's underlying rating for the pooled balance is Baa2,
compared to A1 at Moody's last full review.
Moody's rating action is:
-- Class J-CP, $3,791,944, downgraded to Ba1 from A3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class K-CP, $5,622,109, downgraded to Ba2 from Baa1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class L-CP, $11,024,802, downgraded to Ba3 from Baa3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class J-CA, $1,374,209, downgraded to Ba1 from A3, previously
on February 17, 2009 Placed Under Review for Possible
Downgrade
-- Class L-CA, $1,094,686, downgraded to Ba3 from Baa2,
previously on February 17, 2009 Placed Under Review for
Possible Downgrade
BERNARD NATIONAL: Moody's Takes Rating Actions on Various Classes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of these notes:
-- US$50,000,000 Class A-1 Senior Secured Term Notes due
March 28, 2013 (current balance of $12,356,265), Downgraded
to Baa3; previously on May 8, 2009 Downgraded to Baa1;
-- US$739,000,000 Class A-2 Senior Secured Revolving Notes due
March 28, 2013 (current balance of $164,084,403), Downgraded
to Baa3; previously on May 8, 2009 Downgraded to Baa1.
In addition, Moody's says that it has upgraded the ratings of
these notes issued by Bernard National Loan Investors, Ltd.:
-- US$64,800,000 Class A-3c Senior Secured Revolving Notes due
March 28, 2013 (current balance of $53,663,414), Upgraded to
Baa3; previously on May 8, 2009 Downgraded to B2.
Finally, Moody's has withdrawn the ratings of these notes:
-- Class A-3a Senior Secured Revolving Notes Due March 28, 2013.
These notes were redeemed in full in December 2009.
The downgrade and upgrade ratings actions are due to corrections
to the modeling of the priority of payments in the pool and a
reserve balance used for recoveries. As to the priority of
payments, interest and principal proceeds to the Class A-1, A-2,
and A-3 notes are calculated pari passu. Within the Class A-3
Notes, proceeds are paid in a sequential manner with
prioritization first to the Class A-3a Notes, second to the Class
A-3b Notes, and third to the Class A-3c Notes. In the previous
rating action dated May 8, 2009, however, the priority of payments
was modeled using the incorrect assumption that the Class A-1, A-
2, and A-3a Notes were pari passu and that the Class A-3b and A-3c
Notes were sequential to Classes A-1, A-2, and A-3a. In the prior
review a reserve balance was also incorrectly modeled with higher
recovery amounts inflating the overcollateralization ratios. The
priority of payments and the reserve balance have been remodeled
to correct these assumptions, and the rating actions as to the
affected classes -- upgrade of the Class A-3c Notes, and
downgrades to Classes A-1 and A-2 Notes -- reflect the impact of
the remodeling.
Moody's noted that the weighted average rating factor 'WARF'
(currently 4209) has been improving since the last rating action
and that the amount of defaulted securities (currently 50% of the
portfolio) has been stable. In addition the Class A
Overcollateralization Ratio continues to improve as the deal
delevers with the next payment expected March 29, 2010. These
observations are mitigated by a decline in the diversity score
reflecting increased concentration risk, due in part to delevering
(currently 9 versus covenant level of 26), and a decline in the
weighted average recovery rate of the portfolio (currently 34.00%
versus a covenant level of 38.60%). These measures were taken
from the trustee report dated March 1, 2010. Moody's also
performed a number of sensitivity analyses, including the
expectation that recoveries for second lien loans will be below
their historical averages (see Moody's Special Comment titled
"Strong Loan Issuance in Recent Years Signals Low Recovery
Prospects for Loans and Bonds of Defaulted U.S. Corporate
Issuers," dated June 2008). Moody's analysis also evaluated the
uncertainty around the recovery value and timing of currently
defaulted illiquid loans. Other assumptions used in Moody's CLO
monitoring are described in the publication "CLO Ratings
Surveillance Brief - Second Quarter 2009," dated July 17, 2009.
Due to the impact of all aforementioned stresses, key model inputs
used by Moody's in its analysis, such as par, weighted average
rating factor, diversity score, and weighted average recovery
rate, may be different from the trustee's reported numbers.
Bernard National Loan Investors, Ltd., issued in 2005, is a
collateralized loan obligation backed primarily by a portfolio of
middle market issuers.
BRAZOS STUDENT: Fitch Maintains Ratings on Various Student Loans
----------------------------------------------------------------
Fitch Ratings currently maintains ratings as listed below on the
student loan asset-backed securities issued by the Brazos Student
Finance Corp. pursuant to an amended and restated indenture dated
Oct. 1, 2007 (2003-2 indenture). BSFC has requested that Fitch
confirm the existing ratings of the securities issued under the
2003-2 indenture upon the adoption and effectiveness of the
Supplemental Indenture effective March 15, 2010 (the Supplement).
Consistent with its statements on policies regarding rating
confirmations in structured finance transactions (Jan. 13, 2009)
and student loan confirms (May 8, 2009), Fitch is treating this
request as a confirmation.
Among other things, the Supplement authorizes BSFC to sell or
release loans held under the 2003-2 indenture in conjunction with
BSFC's voluntary offer to purchase for cash or exchange
refinancing (the Offer). All of the outstanding notes under the
2003-2 indenture are auction-rate securities maturing on Jan. 1,
2039. The Offer allows noteholders of the auction-rate securities
to have the option of tendering their notes for repurchase by BSFC
for cash at a discount to par, or exchanging these notes for new
series 2010A-2 floating-rate notes. The new series 2010A-2 notes
plus series 2010A-1 (and collectively referred to as series 2010-
1), will be issued under a new indenture and will be indexed to
three month LIBOR plus a spread. For more details on series 2010-
1, see the presale titled Brazos Student Finance Corp. Series
2010-1 dated March 15, 2010, available to investors on Fitch's Web
site at 'www.fitchratings.com'.
Class A noteholders of the auction-rate securities that choose to
exchange their notes may exchange on a par-for-par basis and class
B noteholders may exchange their notes at a discount. The Offer
will have limits on the amount of auction-rate notes that may be
exchanged.
In the event that all of the outstanding notes under the 2003-2
indenture are not either tendered for purchase or exchanged, it is
expected that the credit enhancement for any remaining notes under
the 2003-2 indenture will be at least equal to the credit
enhancement existing prior to the Offer. Based on the results of
the Offer, the auction-rate notes that are accepted could be pro-
rated. Any 2003-2 notes not accepted due to the proration will be
returned to the noteholder.
The student loans that will be transferred from the 2003-2
indenture to the series 2010-1 indenture will be randomly
selected; therefore any student loans remaining in the 2003-2
indenture after the Offer should not be materially different from
the student loans existing prior to the Offer.
Based on the information provided, Fitch has determined that the
execution and delivery of the Supplement and the changes to the
2003-2 indenture contained in the Supplement will not have an
impact on the existing ratings of the outstanding notes of the
2003-2 indenture at this time. This determination only addresses
the effect of the Supplement on the current ratings assigned by
Fitch to the securities listed below. It does not address whether
the Supplement is permitted by the terms of the documents nor does
it address whether it is in the best interests of, or prejudicial
to, some or all of the holders of the securities listed.
As of Dec. 31, 2009, the senior and total parity ratios for the
2003-2 indenture were 118.42%, and approximately 99%,
respectively.
The ratings assigned by Fitch are based on the documents and
information provided to Fitch by the issuer and other parties, and
is subject to receipt of final closing documents. Fitch relies on
all of these parties for the accuracy of such information and
documents. Fitch did not audit or verify the truth or accuracy of
such information.
The outstanding notes of the 2003-2 indenture are currently rated
by Fitch:
-- Series 2003 A-7 senior notes 'AAA';
-- Series 2003 A-8 senior notes 'AAA';
-- Series 2007 A-1 senior notes 'AAA';
-- Series 2007 A-2 senior notes 'AAA';
-- Series 2007 A-3 senior notes 'AAA';
-- Series 2007 A-4 senior notes 'AAA'.
-- Series 2007 A-5 senior notes 'AAA'.
-- Series 2003 B-2 subordinate notes 'BB'.
-- Series 2003 B-3 subordinate notes 'BB'.
CAMBER 3: Moody's Downgrades Ratings on Three Classes of Notes
--------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by Camber 3 PLC. The
notes affected by the rating actions are:
-- US$10,000,000 Class S Floating Rate Notes due 2015 (current
balance of $5,250,000), Downgraded to A1; Previously on
August 8, 2009 Downgraded to Aa2;
-- US$422,500,000 Class A-1 Floating Rate Notes due 2040
(current balance of $283,497,521), Downgraded to Ca;
Previously on February 18, 2009 Downgraded to Caa2;
-- US$110,500,000 Class A-2 Floating Rate Notes due 2040
(current balance of $81,990,027), Downgraded to C; Previously
on February 18, 2009 Downgraded to Ca.
Camber 3 is a collateralized debt obligation backed by a portfolio
consisting primarily of RMBS.
The rating downgrade action reflects deterioration in the credit
quality of the underlying portfolio as indicated by rating actions
taken with respect to underlying assets. Credit deterioration of
the collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor) and failure of the coverage tests, among other
measures.
From July 2009 to February 2010, defaulted securities increased
from $39 million to $114 million and the Class A/B
Overcollateralization Ratio decreased from 72.59% to 53.64%. The
Trustee is currently reporting a WARF of 4039. Moody's also notes
that in excess of 20% of the ratings assigned to underlying
portfolio securities are currently on review for downgrade.
Moody's explained that in arriving at the rating actions noted
above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM
RMBS which are currently on review for possible downgrade were
stressed. The stress varies based on vintage, current rating, and
RMBS asset type. For purposes of monitoring its ratings of SF
CDOs with exposure to 2005-2007 vintage RMBS, Moody's used certain
projections of the lifetime average cumulative losses as set forth
in Moody's press releases dated January 13, 2010, for subprime,
January 14, 2010, for Alt-A, and January 27, 2010, for Option-ARM.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Securities currently rated in the Ba or B range were
stressed to Caa3, while current Caa securities were treated as Ca.
For 2006 and 2007 Alt-A and Option-ARM securities, currently Aaa
or Aa rated securities were stressed by eight notches, and
securities currently rated A, Baa or Ba were stressed by five
notches. Securities currently rated in the B range were stressed
to Caa3, while current Caa securities were treated as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
Moody's further explained that these stresses are based on a
preliminary sample analysis of deals from a given vintage and
asset type, and that they will be utilized in its SF CDO rating
analysis while subprime, Alt-A and Option-ARM securities remain on
review for downgrade. Current public ratings will be used for
securities that have undergone an in depth review by Moody's RMBS
team and are no longer on review for downgrade.
The actions also take into consideration the risk of the
transaction experiencing an Event of Default caused by missed
interest payments on the Class S, A, or B notes. As provided in
the Trust Deed dated April 20, 2005, during the occurrence and
continuance of an EoD, certain parties to the transaction may be
entitled to direct the Trustee to take particular actions with
respect to the Collateral and the Notes, including the sale and
liquidation of the assets. The severity of losses of certain
tranches may be different depending on the timing and outcome of
liquidation.
CAPITAL GUARDIAN: Fitch Affirms Ratings on Four Classes
-------------------------------------------------------
Fitch Ratings has affirmed four and downgraded one class of notes
issued by Capital Guardian ABS CDO I, Ltd./Inc.
As of the January 2010 trustee report, the current balance of the
portfolio is $84.8 million, of which $1.7 million consists of
defaulted securities, as defined in the transaction's governing
documents. Approximately 28.9% of the portfolio has been
downgraded since Fitch's last rating action in April 2009,
resulting in 38.9% of the portfolio with a Fitch derived rating
below investment grade and 14.9% with a rating in the 'CCC' rating
category or below, as compared to 33% and 9.1%, respectively, at
last review.
Based on this analysis, the class A-1A, A-1B and class A-1C
(together class A-1) notes' breakeven rates are generally
consistent with the rating assigned below. As of the January 2010
distribution date, approximately 85.5% of the class A-1 notes'
original balances have paid down. Given the negative outlook for
the performance of the underlying assets, the Rating Outlook
remains Negative.
Additionally, the class A-1 notes are assigned a Loss Severity
rating 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.
Breakevens for the 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.
Presently the class B and class C notes' credit enhancement levels
are significantly below the level of distressed assets. As a
timely class, the class B notes are still receiving interest
payments from principal proceeds, while the class C notes have
been deferring interest since April 2005. Fitch believes that
default is inevitable for both classes at or prior to maturity.
Capital Guardian I is a cash flow structured finance
collateralized debt obligation that closed on Feb. 28, 2002, and
is managed by Capital Guardian Trust Company. The transaction
exited its reinvestment period in April 2005. Capital Guardian
I's portfolio is comprised of approximately 43.1% residential
mortgage-backed securities, 21.1% commercial mortgage-backed
securities, 19.4% commercial asset-backed securities, 10.3%
corporate senior unsecured securities, and 6.1% of structured
finance CDOs.
Fitch has affirmed and assigned LS ratings to these classes as
indicated:
-- $7,994,248 class A-1A notes at 'A/LS3'; Outlook Negative;
-- $21,802,494 class A-1B notes at 'A/LS3'; Outlook Negative;
-- $7,165,753 class A-1C notes at 'A/LS3'; Outlook Negative;
-- $15,748,296 class C notes at 'C'.
Fitch has downgraded this class:
-- $70,000,000 class B Notes to 'C' from 'CC'.
CAPITAL ONE: Moody's Upgrades Ratings on Three Subordinate Notes
----------------------------------------------------------------
Moody's has upgraded three subordinate securities from three
outstanding prime auto loan transactions sponsored by Capital One
Auto Finance, Inc., issued in 2006 and 2007. The upgrades were
prompted by a downward revision on collateral loss expectations,
stabilization of losses over the prior twelve months, and further
accretion of credit enhancement due to expected non-declining
reserve accounts since the rating action in February 2009, when
these securities were downgraded. Moody's updated loss
expectations of 2.65% to 3.85%, although higher than initial
expectations, are lower than the previously published range of
3.00% to 4.25%, as a percentage of original balance, from February
2009.
Moody's expects Capital One Prime Auto Receivables Trust 2006-2,
to incur lifetime cumulative net losses of 2.65% as a percentage
of the original pool balance (or 2.80% as a percentage of the
remaining pool balance), compared to original expectation of
1.25%. However, hard credit support (i.e., the yield supplement
overcollateralization amount and reserve account) for the
subordinated Class B tranche has increased from 2.50% of the
initial pool balance to approximately 4.76% of the current
outstanding pool balance due to the non-declining nature of the
reserve account. The reserve account, as a percentage of the
current collateral balance, has grown to 3.26%; and is expected to
increase further as the pool pays down. The Class B notes also
benefit from excess spread, which is currently estimated at
approximately 2.35% per annum. Principal payments are allocated
sequentially between the Class A and B notes for all outstanding
prime deals. Moody's Volatility proxy Aaa level for this
transaction is 11.15%.
Moody's expects Capital One Prime Auto Receivables Trust 2007-1
and 2007-2 to incur lifetime cumulative net losses of 3.75% and
3.85% respectively as a percentage of the original pool balance
(or 3.90% and 4.00% as a percentage of the remaining pool
balance), compared to original expectation of 1.75% and 2.25%
respectively. For 2007-1, hard credit support for the upgraded
subordinated Class B tranche has increased from 4.25% of the
initial pool balance to approximately 5.25% of outstanding pool
balance. For 2007-2, hard credit support for the subordinated
Class B tranche has increased from 5.50% of the initial pool
balance to approximately 6.50% of outstanding pool balance. The
reserve account in both transactions is expected to increase as a
percentage of the remaining collateral balance once it reaches its
floor of 0.50% of the original pool balance within the next 3-6
months. The 2007 transactions feature loss and delinquency
triggers that enable the reserve account floors to step down to
0.25% of the initial pool balance. However, as the current
cumulative net loss amount is higher than the trigger level in
both transactions, the reserve floor will not step down. The
Class B notes also benefit from excess spread, which is currently
estimated at approximately 1.50% per annum for 2007-1 and 2.15%
per annum for 2007-2. Moody's Volatility proxy Aaa level is
13.70% for 2007-1 and 13.90% for 2007-2.
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.
Complete rating actions are:
Issuer: Capital One Prime Auto Receivables Trust 2006-2
-- Cl. B, Upgraded to Baa1; previously on Dec 9, 2009 Ba1 Placed
Under Review for Possible Upgrade
Issuer: Capital One Prime Auto Receivables Trust 2007-1
-- Cl. B, Upgraded to Baa3; previously on Dec 9, 2009 Ba2 Placed
Under Review for Possible Upgrade
Issuer: Capital One Prime Auto Receivables Trust 2007-2
-- Cl. B, Upgraded to Baa1; previously on Dec 9, 2009 Ba1 Placed
Under Review for Possible Upgrade
CAPITAL PROJECTS: S&P Withdraws 'B' Rating on 2009A Certs.
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'B' rating on
Capital Projects Finance Authority, Florida's $69.4 million series
2009A certificates of participation, or COPs (Guam Department of
Education Project -- John F. Kennedy High School), issued on
behalf of the Government of Guam, given that the COPs never sold.
CARBON CAPITAL: S&P Downgrades Ratings on Four Classes
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from the Carbon Capital II Real Estate CDO 2005-1 Ltd.,
which is a commercial real estate collateralized debt obligation
(CRE CDO) transaction. At the same time, S&P affirmed its ratings
on six classes and removed its ratings on seven classes from
CreditWatch with negative implications.
The downgrades follow S&P's analysis of the transaction using its
recently updated U.S. CRE CDO criteria, which was the primary
driver of its rating actions. S&P's analysis included a review of
the current credit characteristics of all of the collateral assets
and the transaction's liability structure.
According to the Feb. 26, 2010, trustee report, the transaction's
current asset pool included these:
* Four whole loans ($116.7 million, 37.2% of the collateral pool);
* Seventeen subordinate interest loans ($176.7 million, 56.3%);
and
* One commercial mortgage-backed securities tranche
($18.0 million, 5.7%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets. S&P based the analyses on its
adjusted net cash flow, which S&P derived from the most recent
financial data provided by the collateral manager, BlackRock
Financial Management Inc., and trustee, Bank of America Merrill
Lynch, as well as market and valuation data from third-party
providers.
The reported defaulted assets include six loan assets
($124.5 million, 39.7%). Standard & Poor's estimated asset-
specific recovery rates for these loan assets ranged from 0% to
75.5%. S&P based the recovery rates on information from the
collateral manager, special servicer, and third-party data
providers. The defaulted assets are:
Hilton Hotel, Pittsburgh whole loan ($49.6 million, 15.8%).
According to the collateral manager, the loan has been extended;
* 200 Lafayette whole loan ($29.8 million, 9.5%);
* East Village whole loan ($22.8 million, 7.3%);
* San Francisco Multifamily Portfolio subordinated loan
($15.0 million, 4.8%);
* Bermuda Dunes subordinated loan ($7.4 million, 2.4%);
* According to the collateral manager, the last condo unit
securing the loan has been sold; however, the proceeds may not
be sufficient to extinguish the debt; and
* Lembi Open Pool 8 subordinated loan ($6.0 million, 1.9%).
According to the trustee report, the deal is passing all interest
coverage tests but failing three par value tests.
Standard & Poor's analyzed the transaction and its underlying
collateral assets in accordance with S&P's current criteria.
S&P's analysis is consistent with the lowered and affirmed
ratings.
Ratings Lowered And Removed From Creditwatch Negative
Carbon Capital II Real Estate CDO 2005-1 Ltd.
Collateralized Debt Obligations
Rating
------
Class To From
----- -- ----
A AA AA+/Watch Neg
B BBB+ AA/Watch Neg
C BBB- BBB/Watch Neg
D BB+ BBB-/Watch Neg
Ratings Affirmed And Removed From Creditwatch Negative
Carbon Capital II Real Estate CDO 2005-1 Ltd.
Collateralized Debt Obligations
Rating
------
Class To From
----- -- ----
E BB+ BB+/Watch Neg
F B+ B+/Watch Neg
G CCC CCC/Watch Neg
Ratings Affirmed
Carbon Capital II Real Estate CDO 2005-1 Ltd.
Collateralized Debt Obligations
Class Rating
----- ------
H CCC-
I CCC-
J CCC-
CITIGROUP COMMERCIAL: Moody's Affirms Ratings on 2006-FL2 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of seven classes
and downgraded 22 classes of Citigroup Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2006-FL2.
The downgrades are due to the deterioration in the overall
performance of the assets in the trust and refinancing risk
associated with loans approaching maturity in an adverse
environment. All loans in the pool mature within the next 18
months.
Moody's placed 20 classes of this transaction on review for
possible downgrade on February 18, 2010 due to deterioration in
the overall performance of the assets in the trust and the
performance issues specific to the City National Plaza Loan,
CarrAmerica National Pool Portfolio Loan, the CarrAmerica CARP
Pool Loan, the Radisson Ambassador Plaza Hotel & Casino Loan, and
the Snake River Lodge & Spa Loan. This action concludes the
review. The rating action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
The pooled classes are secured by eight loans totaling
$478 million. The loans range in size from less than 1% to 38% of
the current pool balance. As of the March 17, 2009 distribution
date, the transaction's aggregate certificate balance has
decreased by approximately 60% to $529 million from $1.3 billion
at securitization.
Moody's weighted average loan to value ratio for the pooled trust
mortgage balance is 87% compared to 79% at last review on March 3,
2009, and 61% at securitization. Moody's stressed debt service
coverage ratio for the pooled trust mortgage balance is 1.08X,
compared to 1.32X at last review on March 3, 2009 and 1.66X at
securitization.
The pool has not experienced losses since securitization. There
is currently one loan in special servicing, the Snake River Lodge
& Spa Loan ($13.1 million -- 2.7% of the pooled balance) which is
secured by a 93 room full-service hotel located in Jackson Hole,
Wyoming. There is also $1.1 million of non-pooled (rake) trust
debt, and a $12.8 million non-trust junior secured loan component.
The loan was transferred to special servicing on February 11,
2010, because their low DSCR did not enable the borrower to
exercise their one remaining extension option. The special
servicer is in the process of negotiating a resolution with the
borrower. Due to the decreased net cash flow of the property,
Moody's current underlying rating is B3, compared to Baa1 at last
full review.
The largest pooled exposure is the City National Plaza Loan
($313.7 million -- 66% of the pooled balance) which is secured by
two office towers totaling 2.6 million square feet located in
downtown Los Angeles, California. There is also $35.3 million of
rake trust debt, and $224.7 million of mezzanine debt. Although
the property's occupancy has improved since securitization, it has
not attained the level which had been anticipated. Occupancy has
remained in the low 80%'s for the past three years. Given the
current challenging real estate market conditions, Moody's do not
expect any significant cash flow growth in the near term. The
final loan maturity is in July 2010. Moody's LTV for the trust
debt is 96% and Moody's stressed DSCR is 1.02X. Moody's current
underlying rating for the pooled balance is Ba2, compared to Baa1
at last full review.
The second largest loan is the Radisson Ambassador Plaza Hotel and
Casino Loan ($50 million -- 10% of the pooled balance) which is
secured by a 233 room full-service hotel with a 15,000 square feet
casino located in San Juan, Puerto Rico. There is also
$4.4 million of rake trust debt, and $35.6 million in mezzanine
debt. Casino revenue, which continues to represent more than 50%
of the total revenue from the property, has declined since
securitization. Year end 2005 casino revenue of $19.6 million
declined to $14.6 million as of year end 2009. In addition,
Revenue per available room has decreased 26% from a high of $122
in 2006 to $90 in 2009. Due to the decline in property
performance, Moody's LTV for the trust debt is 123% and Moody's
stressed DSCR is 0.27X. Moody's current underlying rating for the
pooled balance is B3 compared to Ba1 at last full review.
The third largest pooled exposure is the CarrAmerica -- Pool 3
(National Portfolio) Loan ($28.8 million -- 6% of the pooled
balance) which is the 7.5% portion of a pari passu split loan
structure. There is also $3.8 million of rake trust debt, a
$179 million non-trust junior secured loan component and
$166 million in mezzanine debt. The portfolio contains
approximately 8.7 million square feet, of which 6.0 million square
feet represents the loan sponsor's wholly-owned interests and its
percentage ownership interests in joint venture properties. Of
the 6.0 million square feet, approximately 4.9 million square feet
(22 properties) is secured by first mortgage liens and 1.1 million
square feet (8 properties) is secured by a pledge of refinance and
sale proceeds. The pledged properties represent approximately
8.4% of the total allocated trust balance. At securitization, the
portfolio contained 19.4 million square feet, of which
13.9 million square feet was borrower owned collateral for the
loan, including 11.6 million square feet in mortgage collateral
and 2.3 million square feet in pledged collateral. The
outstanding trust balance has decreased by 72.3% since
securitization from the payment of loan collateral release
premiums. The portfolio has geographic concentration in the San
Jose, California metro area, with 61.4% of the mortgage collateral
by NRA (16 properties) located in San Jose, Santa Clara, Palo Alto
and Sunnyvale. The suburban San Jose office market has a Fourth
Quarter 2009 Moody's Red-Yellow-GreenR score of Red (6). As of
September 2009, the loan collateral secured by first mortgage
liens had a weighted average occupancy rate of 78%, compared to
85% for the current portfolio at Moody's last full review and 87%
at securitization. The market fundamentals within the Silicon
Valley market have deteriorated significantly. The San Jose Class
A office market posted a 31% vacancy rate as of 4th quarter 2009,
along with an 11% decline in market rents during 2009 with an
additional 11% decline projected for 2010 (Source: CB Richard
Ellis). The San Jose R&D market vacancy rate was 18% with a
market rent decline of 15% in 2009 and a further 4% decline
projected through 2011. It is anticipated that the portfolio's
revenue will decrease as current leases expire and new leases are
signed at lower rents. Moody's LTV for the trust debt is 95%,
based on mortgage collateral only and Moody's stressed DSCR is
1.12X. Moody's underlying rating for the pooled balance is Baa3.
Moody's rating action is:
-- Class A-2, $ 233,580,477, Affirmed at Aaa; previously on
November 14, 2006 Assigned Aaa
-- Class B, $ 17,904,000, Affirmed at Aaa; previously on
November 14, 2006 Assigned Aaa
-- Class C, $ 20,887,000, Affirmed at Aaa; previously on July 5,
2007 Upgraded to Aaa
-- Class D, $38,790,000, Downgraded to Aa2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class E, $26,855,000, Downgraded to Aa3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class F, $26,855,000, Downgraded to A2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class G, $23,871,000, Downgraded to Baa1; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class H, $20,887,000, Downgraded to Baa3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class J, $22,379,000, Downgraded to Ba1; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class K, $22,380,000, Downgraded to Ba3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class L, $23,871,082, Downgraded to B3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class X-2, Notional, Affirmed at Aaa; previously on
November 14, 2006 Assigned Aaa
-- Class X-3, Notional, Affirmed at Aaa; previously on
November 14, 2006 Assigned Aaa
-- Class CNP-1, $10,409,815, Downgraded to Ba3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CNP-2, $19,756,741, Downgraded to B1; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CNP-3, $5,089,327, Downgraded to B2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class RAM-1, $2,000,000, Downgraded to Caa1; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class RAM-2, $2,400,000, Downgraded to Caa2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class DSG-1, $1,000,000, Affirmed at Ba1; previously on
March 3, 2009 Downgraded at Ba1
-- Class DSG-2, $1,400,000, Affirmed at Ba2; previously on
March 3, 2009 Downgraded at Ba2
-- Class DHC-1, $993,302, Downgraded to B3; previously on
March 3, 2009 Downgraded at Ba1
-- Class DHC-2, $1,092,632, Downgraded to Caa1; previously on
March 3, 2009 Downgraded at Ba2
-- Class SRL, $1,100,000, Downgraded to Caa2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CAC-1, $257,664, Downgraded to Ba1; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CAC-2, $176,519, Downgraded to Ba2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CAC-3, $205,253, Downgraded to Ba3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CAN-1, $710,989, Downgraded to Ba1; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CAN-2, $1,054,145, Downgraded to Ba2; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
-- Class CAN-3, $2,067,150, Downgraded to Ba3; previously on
February 18, 2010 Placed Under Review for Possible Downgrade
COBALTS TRUST: S&P Downgrades Rating on $25 Mil. Certs. to 'BB-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on COBALTS
Trust for Sprint Capital Notes' $25 million series 2002-1
certificates to 'BB-' from 'BB'. At the same time, S&P removed
the rating from CreditWatch with negative implications, where it
was placed on Nov. 19, 2009.
The rating on the certificates is dependent solely on the rating
on the underlying security, Sprint Capital Corp.'s 6.875% notes
dues Nov. 15, 2028 ('BB-').
The rating action follows the March 4, 2010, lowering of S&P's
rating on the underlying security to 'BB-' from 'BB' and its
removal from CreditWatch negative, where it was placed on Nov. 11,
2009.
COMM 2000-C1: S&P Downgrades Ratings on Four Classes of Certs.
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from COMM
2000-C1 Mortgage Trust. In addition, S&P affirmed its ratings on
seven other classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion commercial mortgage-backed securities
criteria. The downgrades of the subordinate classes reflect
credit support erosion that S&P anticipates will occur upon the
eventual resolution of six of the 10 specially serviced assets and
one loan that S&P determined to be credit-impaired. In addition,
S&P downgraded class K to 'D' following recurring interest
shortfalls, primarily due to special servicing fees. S&P expects
the interest shortfalls to class K to continue for the foreseeable
future.
S&P's analysis included a review of the credit characteristics of
all of the loans in the pool. Using servicer-provided financial
information, S&P calculated an adjusted debt service coverage of
1.37x and a loan-to-value ratio of 70.1%. S&P further stressed
the loans' cash flows under its 'AAA' scenario to yield a weighed
average DSC of 1.02x and an LTV ratio of 98.2%. The implied
defaults and loss severity under S&P's 'AAA' scenario were 24.4%
and 31.8%, respectively. The DSC and LTV calculations S&P noted
above exclude 11 defeased loans ($137.8 million, 43.6%), six
specially serviced assets ($47.2 million, 14.9%), and one credit-
impaired loan ($8.2 million, 2.6%). S&P separately estimated
losses for these seven specially serviced and credit-impaired
assets and included them in S&P's 'AAA' scenario implied default
and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class X
interest-only certificates based on its current criteria. S&P
published a request for comment proposing changes to its IO
criteria on June 1, 2009. After S&P 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.
In arriving at its current ratings, S&P considered the outstanding
nondefeased and non-specially serviced near-term maturing loans
with final maturities in 2010 ($27.1 million, 8.2%) , as well as
its concerns that the trust may experience additional liquidity
interruption due to potential future revisions of appraisal
reduction amounts.
Credit Considerations
As of the Feb. 16, 2010, trustee remittance report, 10 assets
($91.1 million, 28.9%) in the pool were with the special servicer,
CWCapital Asset Management. The payment status of the specially
serviced assets is: four are current ($49.9 million, 15.9%), two
are 30-plus-days delinquent ($22.1 million, 7.0%), one is 60-89
days delinquent ($3.9 million, 1.2%), two are 90-plus-days
delinquent ($8.3 million, 2.6%), and one is real estate owned
($6.9 million, 2.2%).
Five ($74.5 million, 23.6%) of the 10 specially serviced assets
are among the top 10 real estate exposures. Details of the two
largest loans and the REO asset with the special servicer are:
The Detroit MAC loan, the largest asset with CWCapital, is secured
by 10 industrial warehouse/freight distribution buildings and two
one-story office buildings totaling 596,400 sq. ft. in Romulus,
Mich. The property, which is adjacent to the Detroit Metro
Airport, is 78.9% occupied as of October 2009. This loan has a
balance of $26.7 million (8.4%) and is the second-largest
nondefeased loan in the pool. The loan, which is current, was
transferred to CWCapital on July 30, 2009, due to imminent
default. CWCapital finalized a modification agreement on Jan. 29,
2010. The modification terms, among other items, included a
three-year extension of the loan's maturity to Oct. 1, 2012, from
Oct. 1, 2009. The DSC was reported at 1.29x for the 11 months
ended Nov. 30, 2009. CWCapital stated that this loan will be
returned to the master servicer in April 2010. The Bloomfield
Center loan, the second-largest asset with CWCapital and the
third-largest nondefeased loan in the pool, is secured by a
137,680-sq.-ft. office building in Bloomfield Hills, Mich. This
loan has a balance of $18.6 million (5.9%) and was transferred to
the special servicer on Feb. 5, 2010, due to imminent maturity
default. The loan, which is 30-plus-days delinquent, matures on
April 1, 2010. CWCapital indicated that it is currently reviewing
possible workout strategies. The reported occupancy and DSC were
93.4% and 1.04x, respectively, for the nine months ended Sept. 30,
2009.
Dixie Valley Shopping Center, a 119,600-sq.-ft. retail strip enter
in Louisville, Ky., is the fourth-largest asset with the special
servicer. This asset has a total exposure of $8.4 million and is
the seventh-largest real estate asset in the pool. The property
was approximately 52.0% occupied as of November 2009 and became
REO on Aug. 5, 2009. While exploring various liquidation
strategies, CWCapital has also enlisted a leasing agent to improve
occupancy. KeyBank Real Estate Capital, the master servicer,
notified us that it has declared all future interest advances on
this loan nonrecoverable, subsequent to the February 2010 trustee
remittance report. KeyBank noted that it may reflect the
nonrecoverable advance determination as early as in the March
15, 2010, trustee remittance report. S&P expects a significant
loss upon the eventual resolution of this asset.
The remaining seven specially serviced assets ($39.0 million,
12.3%) have balances that individually represent less than 5.5% of
the total pool balance. S&P estimated losses for four
($13.7 million, 4.3%) of these specially serviced assets. The
weighted average loss severity for these four assets was 26.3%.
For the remaining three specially serviced assets ($25.3 million,
8.0%), CWCapital is reviewing resolution strategies, including
possible loan modifications.
In addition to the specially serviced assets, S&P determined one
loan, the North Morris Estates loan ($8.2 million, 2.6%), to be
credit-impaired. This loan, the sixth-largest nondefeased loan in
the pool, is secured by a 598-pad mobile home park property in
Thetford Township, Mich. The reported occupancy and DSC were
55.0% and 0.47x, respectively, for year-end 2009. The loan
matures on April 1, 2010. According to the master servicer, the
borrower has not yet indicated its refinancing plans. As a
result, S&P views this loan to be at an increased risk of default
and loss.
Transaction Summary
As of the Feb. 16, 2010, trustee remittance report, the collateral
pool balance was $315.8 million, which is 35.2% of the issuance
balance. The pool includes 39 loans and one REO asset, down from
112 loans at issuance. KeyBank provided financial information for
100% of the nondefeased loans in the pool, a majority of which was
full-year 2008, interim 2009, or full-year 2009 data. S&P
calculated a weighted average DSC of 1.32x for the nondefeased
loans in the pool based on the reported figures. S&P's adjusted
DSC and LTV were 1.37x and 70.1%, respectively, which excludes 11
defeased loans ($137.8 million, 43.6%), six specially serviced
assets ($47.2 million, 14.9%), and one credit-impaired loan
($8.2 million, 2.6%). S&P has estimated losses separately for the
seven specially serviced and credit-impaired assets. If S&P
included the specially serviced and credit-impaired assets in
S&P's calculation, its adjusted DSC would be 1.28x. The
transaction has experienced $25.0 million of principal losses to
date. Eleven loans ($25.6 million, 8.1%) are on the master
servicer's watchlist, including one of the top 10 loans. Six
loans in the pool ($45.7 million, 14.5%) have reported DSC below
1.10x, five of which ($27.1 million, 8.6%) have a reported DSC of
less than 1.0x.
Summary of Top 10 Real Estate Exposures
The top 10 real estate exposures have an aggregate outstanding
balance of $131.4 million (41.6%). Using servicer-reported
numbers, S&P calculated a weighted average DSC of 1.23x for the
top 10 exposures. S&P's adjusted DSC for the top 10 real estate
exposures is 1.17x. If S&P excludes the five top 10 exposures
with the special servicer and the credit-impaired loan, its
adjusted DSC and LTV for the top 10 exposures are 1.28x and 76.3%,
respectively.
One of the top 10 exposures, The Meadows loan ($5.7 million,
1.8%), appears on the master servicer's watchlist due to its
March 1, 2010, maturity. KeyBank stated that the loan fully paid
off following the February 2010 trustee remittance report.
Details of the largest loan in the pool are:
The Hampton Village Center loan ($27.3 million, 8.7%), the largest
nondefeased loan in the pool, is secured by a 460,300-sq.-ft.
shopping strip center in Rochester Hills, Mich. KeyBank reported
an occupancy and DSC of 98.7% and 1.74x, respectively, as of
Sept. 30, 2009. The loan has an anticipated repayment date of
July 1, 2010, and a final maturity of July 1, 2030.
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 its lowered and affirmed ratings.
Ratings Lowered
COMM 2000-C1 Mortgage Trust
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
G BB BB+ 8.43
H CCC+ B+ 6.30
J CCC- CCC+ 4.17
K D CCC- 0.97
Ratings Affirmed
COMM 2000-C1 Mortgage Trust
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 57.48
B AAA 45.39
C AAA 32.95
D AA+ 28.69
E A 20.52
F BBB+ 16.96
X AAA N/A
N/A - Not applicable.
COMM 2004-LNB4: Moody's Reviews Ratings on Various Classes
----------------------------------------------------------
Moody's Investors Service placed two additional classes from COMM
2004-LNB4, Commercial Mortgage Pass-Through Certificates on review
for possible downgrade and continued the review of the 15 classes
which were placed on review on December 3, 2009. Moody's placed
the additional classes on review, adding them to the existing
classes already on review for possible downgrade, because
anticipated losses from specially serviced and highly leveraged
watchlisted loans are higher than originally projected and
interest shortfalls have increased significantly since the
transaction was placed on review. In addition, three loans were
liquidated from the trust, resulting in a $12.0 million loss.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the March 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 21% to
$965.7 million from $1.2 billion at securitization. The
Certificates are collateralized by 103 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 40% of the pool.
Three loans have been liquidated from the pool resulting in a
$12.1 million loss (38% loss severity on average). There are 11
loans, representing 13% of the pool, currently in special
servicing.
Twenty loans, representing 14% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Interest shortfalls have increased significantly over the past
several months. Based on the most recent remittance statement,
Classes G through P have experienced cumulative interest
shortfalls totaling $1.7 million. Moody's anticipates that the
pool will continue to experience interest shortfalls because of
the high exposure to specially serviced loans. Interest
shortfalls are caused by special servicing fees, including workout
and liquidation fees, appraisal subordinate entitlement reductions
and extraordinary trust expenses.
Moody's review will focus on potential losses from specially
serviced loans and the performance of the overall pool.
Moody's rating action is:
-- Class A-3, $86,461,000, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 12/1/2004
-- Class A-4, $88,047,000, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 12/1/2004
-- Class A-5, $343,272,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class A-1A, $287,699,886, currently rated Aaa, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class B, $24,442,000, currently rated Aaa, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class C, $10,693,000, currently rated Aa2, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class D, $22,914,000, currently rated A2, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class E, $10,694,000, currently rated A3, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class F, $15,276,000, currently rated Baa1, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class G, $15,276,000, currently rated Baa2, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class H, $12,221,000, currently rated Baa3, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class J, $4,583,000, currently rated Ba1, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class K, $3,055,000, currently rated Ba2, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class L, $6,111,000, currently rated Ba3, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class M, $7,638,000, currently rated B2, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class N, $3,055,000, currently rated B3, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
-- Class O, $3,055,000, currently rated Caa1, on review for
possible downgrade; previously placed on review for possible
downgrade on 12/3/2009
COMM 2006-FL12: Moody's Downgrades Ratings on Seven Classes
-----------------------------------------------------------
Moody's Investors Service downgraded seven pooled classes and 37
non-pooled, or rake classes of COMM 2006-FL12 Commercial Pass-
Through Certificates. The downgrades were due to the
deterioration in the performance of the assets in the trust, the
significant concentration of loans secured by hotel properties,
and refinancing risk associated with loans approaching maturity in
an adverse environment. Approximately 92% of loans by pooled
balance mature within the next 18 months. Moody's also affirmed
eight pooled classes and three non-pooled, or rake, classes.
Moody's placed these classes on review for possible downgrade on
February 17, 2010. This action concludes Moody's review. The
rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions.
As of the March 15, 2010 distribution date, the transaction's
certificate balance decreased by approximately 30% to $2.1 billion
from $3.0 billion at securitization due to the payoff of one loan
(Strategic Hotels & Resorts Portfolio Loan) and the payment of
release premiums associated with six loans (Kerzner International
Portfolio Loan, Blackstone Carr America National Portfolio Loan,
Blackstone CAR Portfolio Loan, Four Seasons Hualalai Loan,
Albertson's Portfolio Loan and the Legacy Bayside Loan). The
Certificates are collateralized by 16 floating-rate loans ranging
in size from 0.6% to 28.7% of the pooled trust mortgage balance.
The largest three loans account for 56.2% of the pooled balance.
The pool composition includes hotel properties (59.6% of the
pooled balance), office (16.7%), multifamily (13.2%) and anchored
retail (10.5%).
Moody's weighed average pooled loan to value ratio is 81.6%,
compared to 75.4% at last review on March 3, 2009, and 58.5% at
securitization. Moody's pooled stressed debt service coverage is
1.26X, compared to 1.37X at last review and 1.69X at
securitization.
The pool has not experienced losses since securitization. There
is currently one loan in special servicing (Embassy Suites Lake
Buena Vista Loan -- 1.3% of the pooled balance). It was
transferred to special servicing on November 10, 2009 due to loan
maturity and is pending return to the Master Servicer following a
modification which features an excess cash flow sweep, a $300,000
principal repayment and the extension of the loan maturity date to
November 9, 2010. The loan collateral was appraised on
November 9, 2009, for $44.3 million.
The Kerzner International Portfolio Loan ($666.5 million -- 29% of
the pooled balance), a 50% portion of a pari passu split loan
structure, is the largest loan in the pool. There is also a
$1.3 billion non-trust junior secured loan component. The loan is
secured by substantially all of the Kerzner family's real estate
assets located on Paradise Island, Bahamas, including the Atlantis
Hotel (2,917-keys) and the One & Only Ocean Club Hotel and golf
course (106-keys, located one-mile from the Atlantis), a marina
and vacant and improved land. The resort features the largest
casino and ballroom in the Caribbean and water-themed attractions,
including the world's largest open-air marine habitat. The loan
is also supported by a pledge of Kerzner's 100% interest in
management agreements and fees relating to the properties, a right
to receive Kerzner's 50% interest in excess net cash flow and/or
sales proceeds generated from the One & Only Palmilla Hotel in
Mexico, Harborside timeshare units, and the Residences at Atlantis
and Ocean Club condos.
Revenue per available room, calculated by multiplying the average
daily rate by the occupancy rate, for the trailing 12-month period
ending December 2009 was $189 at the Atlantis and $690 at the One
& Only Ocean Club, compared to $247 and $764, respectively at
securitization indicating a combined 22% decrease. Casino
revenue, which represents 19% of total revenue, has decreased
approximately 25% from securitization. The loan is interest-only
for the full term with extension options through September 2011.
Lodging properties are expected to struggle in 2010, and
international leisure demand is not expected to rebound until
general economic and unemployment rates return to normalized
rates. Moody's LTV for the trust debt is 110.2% and Moody's
stressed DSCR is 1.07X. The loan has paid down approximately 6.8%
since securitization primarily due to the borrower's election to
apply reserve accounts to loan pay downs. Moody's underlying
rating for the pooled balance is Ba1, compared to A3 at last full
review.
Independence Plaza ($265.0 million -- 13%) is secured by a 1,332-
unit rental apartment complex located in the Tribeca neighborhood
of New York City. The property also contains 74,916 square feet
of commercial space and a 230,000 square foot parking garage. The
largest commercial tenants include the New York City Board of
Education (18,600 square feet, lease expiration in 2015) and
Shopwell Supermarket (21,862 square feet, lease expiration in
2013). As of February 2010, the residential component was 97%
leased and the commercial component (excluding the parking garage)
was 98% leased, compared to 97% and 78%, respectively at Moody's
last full review. Moody's LTV for the trust debt is 84.2% and
Moody's stressed DSCR is 1.03X. Moody's underlying rating for the
pooled balance is Baa3, compared to A3 at last full review
reflecting decreased property values in the marketplace.
The Hotel Del Coronado Loan ($260.0 million -- 14%) is secured by
a 679-key, full service luxury resort, located on the shoreline of
Coronado Island, close to the greater San Diego area. The
property, declared an official historic landmark in 1977, was
originally built in 1888 and most recently renovated in 2006. The
Coronado Del Coronado, located on 28 acres, has a full amenity
package including two outdoor swimming pools, beach access,
shopping concourse, spa and fitness center. RevPAR for the
trailing 12-month period ending December 2009 was $200, compared
to $252 at Moody's last review and $247 at securitization,
representing decreases of 21% and 19%, respectively. Moody's LTV
for the trust debt is 78.9% and Moody's stressed DSCR is 1.44X.
Additional debt includes $250.0 million in mezzanine financing.
Moody's underlying rating for the pooled balance is Ba2, compared
to A3 at last full review.
The Blackstone CarrAmerica National Portfolio Loan ($228.5 million
-- 11%) is the 52.5% portion of a pari passu split loan structure.
There is also a $179 million non-trust junior secured loan
component and $166 million in mezzanine debt. The loan is secured
by 30 suburban office and office and R&D properties. The
portfolio contains approximately 8.7 million square feet, of which
6.0 million square feet represents the loan sponsor's wholly-owned
interests and its percentage ownership interests in joint venture
properties. Of the 6.0 million square feet, 4.9 million square
feet (22 properties) are secured by first mortgage liens and
1.1 million square feet (8 properties) are secured by a pledge of
refinance and sale proceeds. The pledged properties represent
approximately 8.4% of the total allocated trust balance. The
outstanding trust balance has decreased by 72.3% since
securitization due to property release payments. The portfolio
has geographic concentration in the San Jose, California metro
area, with 61.4% of the mortgage collateral by NRA (16 properties)
located in San Jose, Santa Clara, Palo Alto and Sunnyvale.
As of September 2009, the loan collateral secured by first
mortgage liens had a weighted average occupancy rate of 78%,
compared to 85% for the current portfolio at Moody's last full
review and 87% at securitization. The market fundamentals within
the Silicon Valley market have deteriorated significantly. The
San Jose Class A office market posted a 31% vacancy rate as of the
4th quarter of 2009, along with an 11% decline in market rents
during 2009 with an additional 11% decline projected for 2010
according to CB Richard Ellis. The San Jose R&D market vacancy
rate was 18% with a market rent decline of 15% in 2009 and a
further 4% decline projected through 2011. It is anticipated that
portfolio revenue will decrease as current leases expire and new
leases are signed at lower rents. Moody's LTV for the trust debt
is 94.8%, based on mortgage collateral only and Moody's stressed
DSCR is 1.12X. Moody's underlying rating for the pooled balance
is Baa3, compared to Aa3 at last full review.
The Four Seasons Hualalai Loan ($175.9 million -- 9%) is secured
by a luxury resort located on the Kona-Kohala Coast on Hawaii's
Big Island. Loan collateral includes a 243-key luxury resort
hotel operated by Four Seasons Hotel Limited that has amenities
typical of luxury resort hotels, including two golf courses. The
collateral also includes a residential land component with the
potential to build more than 510 residential units. The loan has
paid down approximately 13% since securitization from the sale of
land parcels. However, the last sale was in May 2008. At
securitization, a 115-key expansion to the hotel was expected to
commence in 2008. Due to the economic downturn, the expansion
plans have been abandoned for the near to mid-term. Instead, the
hotel underwent a major renovation that included converting 20
existing rooms into suites. RevPAR for the trailing 12-month
period ending December 2009 was $408, compared to $635 at Moody's
last full review. The borrower is budgeting RevPAR of $500 for
2010. Moody's LTV for the trust debt is 101.4% and Moody's
stressed DSCR is 0.41X, Moody's underlying rating for the pooled
balance is B1, compared to A2 at last full review.
Moody's rating action is:
-- Class A-2, $818,626,590, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-2, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-3-BC, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-3-DB, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-3-SG, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-5-BC, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-5-DB, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class X-5-SG, Notional, Affirmed at Aaa; previously on
December 1, 2006 Assigned Aaa
-- Class A-J, $507,000,000, Downgraded to Aa3 from Aa1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class B, $93,684,442, Downgraded to A2 from Aa3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class C, $65,832,310, Downgraded to A3 from A1; previously on
February 17, 2010 Placed Under Review for Possible Downgrade
-- Class D, $72,584,342, Downgraded to Baa2 from A2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class E, $54,016,255, Downgraded to Baa3 from A3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class F, $54,016,254, Downgraded to Ba2 from Baa2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class G, $51,484,243, Downgraded to Ba3 from Baa3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class CN1, $11,367,626, Downgraded to Ba1 from Baa1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class CN2, $7,736,257, Downgraded to Ba2 from Baa2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class CN3, $7,695,114, Downgraded to Ba3 from Baa3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class KR1, $70,374,323, Downgraded to B1 from Ba3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class KR3, $61,985,331, Downgraded to Caa1 from B1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class IP1, $6,800,000, Affirmed at Baa3; previously on
March 3, 2009 downgraded to Baa3
-- Class IP2, $11,200,000, Affirmed at Ba1; previously on
March 3, 2009 downgraded to Ba1
-- Class IP3, $11,000,000, Affirmed at Ba2; previously on
March 3, 2009 downgraded to Ba2
-- Class HDC1, $5,000,000, Downgraded to Ba2 from Ba1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class FSH1, $6,499,107, Downgraded to Caa1 from Baa3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class FSH2, $8,666,065, Downgraded to Caa2 from Ba1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class FSH3, $9,099,456, Downgraded to Caa3 from Ba2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class CA1, $710,904, Downgraded to Baa3 from A2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class CA2, $1,105,851, Downgraded to Ba1 from A3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class CA3, $1,263,830, Downgraded to Ba2 from Baa1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class CA4, $1,395,479, Downgraded to Ba3 from Baa2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class AN3, $5,328,262, Downgraded to Ba3 from Ba2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class MSH1, $3,300,000, Downgraded to B1 from Ba2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class MSH2, $2,900,000, Downgraded to B2 from Ba3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class MSH4, $4,000,000, Downgraded to Caa3 from B2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class FG1, $5,900,000, Downgraded to Ba1 from Baa1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class FG2, $6,100,000, Downgraded to Ba3 from Ba1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class FG3, $4,300,000, Downgraded to B2 from Ba2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class FG4, $5,500,000, Downgraded to Caa1 from B1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class FG5, $7,200,000, Downgraded to Caa2 from B3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class LS1, $2,500,000, Downgraded to B2 from Ba1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class LS2, $2,700,000, Downgraded to B3 from Ba2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class LS3, $2,600,000, Downgraded to Caa1 from Ba3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class TC1, $2,900,000, Downgraded to Caa2 from B2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class TC2, $2,400,000, Downgraded to Caa3 from B3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class LB1, $1,704,091, Downgraded to Caa1 from Ba1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class LB2, $1,185,455, Downgraded to Caa2 from Ba2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class LB3, $1,185,455, Downgraded to Caa3 from Ba3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class ES1, $1,787,950, Downgraded to B2 from B1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class ES2, $1,688,620, Downgraded to B3 from B2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class ES3, $1,489,958, Downgraded to Caa1 from B3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class AH1, $1,300,000, Downgraded to B1 from Ba1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class AH2, $1,300,000, Downgraded to B2 from Ba2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class AH3, $1,500,000, Downgraded to B3 from Ba3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class AH4, $1,900,000, Downgraded to Caa1 from B1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
CORPORATE-BACKED TRUST: S&P Cuts Rating on Class A-1 to 'BB-'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on
Corporate-Backed Trust Certificates Sprint Capital Note-Backed
Series 2003-17's $25 million class A-1 certificates to 'BB-' from
'BB' and removed the rating from CreditWatch with negative
implications, where S&P placed it on Nov. 19, 2009.
The rating on the certificates is dependent solely on the rating
on the underlying security, Sprint Capital Corp.'s $2.5 billion
6.875% notes dues Nov. 15, 2028 ('BB-').
The rating action follows the March 4, 2010, lowering of S&P's
rating on the underlying security to 'BB-' from 'BB' and the
removal of the rating from CreditWatch negative, where S&P placed
it on Nov. 11, 2009.
CREDIT SUISSE: Moody's Affirms Ratings on Six 2002-CKP1 Certs.
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of six classes and
downgraded ten classes of Credit Suisse First Boston Commercial
Mortgage Corp., Commercial Mortgage Pass-Through Certificates,
Series 2002-CKP1. The downgrades are due to higher expected
losses for the pool resulting from realized and anticipated losses
from specially serviced and other highly leveraged loans.
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.
Moody's placed ten classes of this transaction on review for
possible downgrade on March 4, 2009 due to anticipated losses from
loans in special servicing. This action concludes the review.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the February 18, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 19% to
$808.8 million from $992.9 million at securitization. The
Certificates are collateralized by 141 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten non-
defeased loans representing 39% of the pool. Twenty-six loans,
representing 22% of the pool, have defeased and are secured by
U.S. Government securities. Defeasance at last review represented
21% of the pool.
Twenty-eight loans, representing 10% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Sixteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $23.5 million (41% loss severity on
average). Seven loans, representing 4% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Seville Place Apartments Loan ($11.7 million -- 1.4% of the pool),
which is secured by a 444-unit apartment complex located in
Orlando, Florida. The loan was transferred to special servicing
in January 2009 for imminent default and is now 90+ days
delinquent. The remaining six specially serviced loans are
secured by a mix of multifamily, office and retail properties.
Moody's has estimated a $22.3 million aggregate loss for the seven
specially serviced loans (62% loss severity on average).
Moody's has assumed a high default probability on ten loans,
representing 5% of the pool. These loans mature within the next
36 months and have a Moody's stressed DSCR less than 1.0X.
Moody's has estimated a $9.8 aggregate loss on these loans (25%
loss severity on average).
Moody's was provided with year-end 2008 and partial-year 2009
operating statements for 99% and 47%, respectively, of the pool.
Moody's weighted average LTV for the conduit pool, excluding
specially serviced and troubled loans, is 79%, essentially the
same as Moody's prior full review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.30X and 1.33X, respectively, compared to
1.34X and 1.32X 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 score of 29 compared to 31 at last review.
The top three loans represent 19% of the pool. The largest loan
is the Metroplex West Loan ($59.4 million -- 7.3% of the pool),
which is secured by the borrower's interest in a 477,000 square
foot retail center located in Plymouth Meeting, Pennsylvania. The
center is anchored by Target and Lowe's, both of which own their
respective buildings and are not part of the collateral. As of
October 2009, the property was 100% leased, the same last review.
Despite stable occupancy, property performance has declined since
last review due to lower revenues. Moody's LTV and stressed DSCR
are 77% and 1.33X, respectively, compared to 72% and 1.42X at last
review.
The second largest loan is the 300 M Street Office Building Loan
($48.0 million -- 5.9% of the pool), which is secured by 280,000
square foot Class A office building located in Washington, D.C.
As of June 2009 the property was 100% leased, the same as last
review. The largest tenants are Northrop Grumman (33% of the net
rentable area (NRA); lease expiration April 2011) and Lockheed
Martin Corporation (26% of the NRA; lease expiration April 2011).
Although property performance has been stable since last review,
Moody's analysis reflects a stressed cash flow due to Moody's
concerns about the property's significant lease rollover in 2011.
Moody's LTV and stressed DSCR are 77% and 1.37X, respectively,
compared to 70% and 1.50X at last review.
The third largest loan is The Shops at Deerfield Square Loan
($45.5 million -- 5.6% of the pool), which is secured by a mixed-
use property that includes 170,000 square feet of retail and
67,000 square feet of office space located in Deerfield, Illinois.
The property was 100% leased as of January 2010, the same as last
review. Moody's LTV and stressed DSCR are 90% and 1.08X,
respectively, compared to 85% and 1.18X at last review.
Moody's rating action is:
-- Class A-2, $37,752,943, affirmed at Aaa; previously assigned
Aaa on 3/25/2002
-- Class A-3, $601,059,000, affirmed at Aaa; previously assigned
Aaa on 3/25/2002
-- Class A-X, Notional, affirmed at Aaa; previously assigned Aaa
on 3/25/2002
-- Class B, $39,715,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 3/16/2006
-- Class C, $13,652,000, affirmed at Aaa; previously upgraded to
Aaa from Aa3 on 3/16/2006
-- Class D, $26,063,000, downgraded to Aa1 from Aaa; previously
placed on review for possible downgrade on 3/4/2010
-- Class E, $14,893,000, downgraded to Aa3 from Aa1; previously
placed on review for possible downgrade on 3/4/2010
-- Class F, $13,652,000, downgraded to A3 from Aa3; previously
placed on review for possible downgrade on 3/4/2010
-- Class G, $14,893,000, downgraded to Baa3 from A2; previously
placed on review for possible downgrade on 3/4/2010
-- Class H, $14,893,000, downgraded to Ba2 from Baa1; previously
placed on review for possible downgrade on 3/4/2010
-- Class K-Z, $19,875,000, downgraded to B3 from Ba1; previously
placed on review for possible downgrade on 3/4/2010
-- Class L, $16,134,000, downgraded to Caa3 from Ba2; previously
placed on review for possible downgrade on 3/4/2010
-- Class M, $8,688,000, downgraded to C from Ba3; previously
placed on review for possible downgrade on 3/4/2010
-- Class N, $7,447,000, downgraded to C from B3; previously
placed on review for possible downgrade on 3/4/2010
-- Class O, $8,687,000, downgraded to C from Caa1; previously
placed on review for possible downgrade on 3/4/2010
-- Class P, $2,595,521, affirmed at C; previously downgraded to
C from Caa2 on 3/4/2010
CREDIT SUISSE: Moody's Downgrades Ratings on 2006-TFL2 Notes
------------------------------------------------------------
Moody's Investors Service downgraded the ratings of nine pooled
classes and eight non-pooled, or rake, classes of Credit Suisse
First Boston Mortgage Securities Corp., Series 2006-TFL2. The
downgrades were due to the deterioration in the performance of the
assets in the trust, the significant concentration (79% of pool
balance) of loans secured by hotel properties and refinancing risk
associated with loans approaching maturity in an adverse
environment. All loans in the pool mature within the next 18
months. Moody's also affirmed five pooled classes and 16 rake
classes. Moody's placed these classes on review for possible
downgrade on February 17, 2010. This action concludes Moody's
review. The rating action is a result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the March 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 37% to $2.2 billion
from $3.4 billion at securitization. The decrease is attributable
to the payoff of four loans including The Plaza Residential &
Hotel, JP Morgan International Tower II, The Sheffield and One
Queensbridge Place loans. The pooled certificates are
collateralized by nine mortgage loans ranging in size from 2.9% to
38% of the pooled balance with the top three loans representing
68% of the pooled balance. In addition, two loans (Sava Portfolio
and Fundamental Portfolio) secured by healthcare properties are
cross-collateralized with each other but not with the remaining
nine mortgages in the trust.
Moody's weighted average pooled loan to value ratio is 76%
compared to 71% at last review. Moody's stressed debt service
coverage ratio (DSCR) for pooled loans remains at 1.49X, the same
as at last review.
The pool has not experienced any losses since securitization.
There is currently one loan in special servicing, The Argent Hotel
Loan (7.7% of the pooled trust balance). The loan was transferred
to the Special Servicer on February 9, 2010 due to imminent
maturity default. The loan is secured by a 672 room hotel located
in San Francisco, California. In 2007, the hotel was re-branded
as a Westin and is currently known as the Westin San Francisco
Market Street. Although Moody's viewed the renovation and
becoming part of a nationally recognized chain favorably, the
property has yet to achieve the cash flow anticipated at
securitization. Revenue per available room and net cash flow for
the first six months of 2009 were down by 12% and 54%,
respectively, over the same period in 2008. The Special Servicer
is currently formulating a workout plan and is soliciting bids for
a new appraisal. Moody's LTV for the trust debt is 104.6% and
Moody's stressed DSCR is 1.06X. Moody's underlying rating for the
pooled debt is B1, compared to Baa1 at last full review.
The Sava Portfolio and Fundamental Healthcare Loans
($842.7 million -- not pooled) consist of two non-pooled mortgage
loans that are partially cross collateralized and cross defaulted.
The larger of the two loans has a first mortgage balance of
approximately $741.0 million and is collateralized by the Sava
Healthcare Portfolio. The smaller of the two loans has a first
mortgage balance of approximately $107.0 million and is
collateralized by the Fundamental Healthcare Portfolio.
Collectively these loans secure the non-pooled Sava rake bonds.
The Sava Portfolio loan collateral includes 169 healthcare
facilities located in 19 states, containing 20,667 beds and the
Fundamental Portfolio collateral includes 27 healthcare facilities
located in nine states, containing 2,822 beds. Skilled nursing
facilities account for 93% of properties across the two
portfolios. The largest state concentrations across the two
portfolios are in Texas (24.8%), North Carolina (13.3%) and
Colorado (10.3%).
The portfolio has enjoyed strong operating performance since
securitization exhibiting consecutive positive growth. However,
one of the assumptions at securitization was that refinancing of
these loans would be done through new Housing and Urban
Development (HUD) loans. A letter issued from HUD on June 22,
2006, states that the borrower would be allowed to submit an
application for up to $1.055 billion on the portfolio. Moody's
are unable to confirm whether the mortgage properties will be
refinanced by the final maturity date in June 2011 through a HUD
take-out financing. To reflect increased refinance risk, Moody's
downgraded the rake bonds associated with these two loans at
Moody's last review on March 19, 2009.
On February 26, 2010, SavaSeniorCare Adminstrative LLC, as well as
their principals, agreed to pay the United States and several
states $14 million as a settlement arising from allegations made
by the United States that the defendents received kickbacks from a
pharmaceutical vendor. As part of the settlement, the Office of
the Inspector General of the Department of Health and Human
Services (OIG-HHS) has reserved its rights to seek exclusions of
Sava and its principals from participation in Medicare, Medicaid
and all other federal health care programs. If OIG-HHS were to
exclude the borrower and its principals from participation in
federal health care programs, the borrower's ability to meet its
loan obligations could be significantly impaired and could result
in a change in control of the borrower. Moody's has taken this
into consideration in its analysis and has identified several
large and experienced healthcare operators that could replace the
borrower, if necessary, and continue the successful operation of
the properties. Given the solid performance of the underlying
collateral, Moody's is affirming the current rating of the rake
bonds (Classes SVA-1, SVA-2, SVA-X, SV-B, SV-C, SV-D, SV-E, SV-F,
SV-G, SV-H, SV-J, and SV-K).
Kerzner International Portfolio Loan ($372.8 million -- 38.0% of
the pooled trust balance), a 50% portion of a pari passu split
loan structure, is the largest pooled loan in the pool. There is
also a $1.3 billion non-trust junior secured loan component. The
loan is secured by substantially all of the Kerzner family's real
estate assets located on Paradise Island, Bahamas, including the
Atlantis Hotel (2,917-keys) and the One & Only Ocean Club Hotel
and golf course (106-keys, located one-mile from the Atlantis), a
marina and vacant and improved land. The resort features the
largest casino and ballroom in the Caribbean and water-themed
attractions, including the world's largest open-air marine
habitat. The loan is also supported by a pledge of Kerzner's 100%
interest in management agreements and fees relating to the
properties, a right to receive Kerzner's 50% interest in excess
net cash flow and or sales proceeds generated from the One & Only
Palmilla Hotel in Mexico, Harborside timeshare units, and the
Residences at Atlantis and Ocean Club condos.
Revenue per available room, calculated by multiplying the average
daily rate by the occupancy rate, for the trailing 12-month period
ending December 2009 was $189 at the Atlantis and $689 at the One
& Only Ocean Club, compared to $247 and $764, respectively at
securitization - a combined 22% decrease. Casino revenue, which
represents 19% of total revenue has decreased approximately 25%
from securitization. The loan is interest-only for the full term
with extension options through September 2011. Lodging properties
are expected to struggle in 2010, and international leisure demand
is not expected to rebound until general economic and unemployment
rates return to normalized rates. Moody's LTV for the trust debt
is 110.2% and Moody's stressed DSCR is 1.07X. The loan has paid
down approximately 6.8% since securitization primarily due to the
borrower's election to apply monies from the supplemental reserve
account to loan pay downs. Moody's underlying rating for the
pooled debt is A1, compared to Aa3 at last full review.
The Beverly Hilton Loan ($155.0 million -- 15.8% of the pooled
trust balance) is secured by a 569 room hotel in Beverly Hills,
CA. The hotel was built in 1955 and underwent an $80 million
($140,597 per room) renovation in 2004. The sponsor of the loan
is Oasis West Realty. Actual performance of the hotel was
significantly worse than what Moody's had anticipated at the last
review. RevPAR and net cash flow for the first six months of 2009
were down by 31% each, over the same period in 2008. Moody's LTV
for the trust debt is 106.1% and Moody's stressed DSCR is 0.91X.
Moody's underlying rating for the pooled debt is B3, compared to
Baa3 at last full review.
The NH Krystal Hotel Portfolio ($50.0 million -- 5.1% of the
pooled trust balance) is secured by three Mexican Hotels: NH
Krystal Cancun (50.0% of the allocated loan amount) is a Punta
Cancun hotel and resort consisting of an eight-story 257 guest
room hotel tower and a three-story, 68 room (59 timeshare units)
tower; Puerto Vallarta (36.8% of the allocated loan amount) is a
533 room resort hotel that includes 82 timeshare units; NH Krystal
Ixtapa (13.2% of the allocated loan amount) is a 255 room resort
hotel. Since securitization, net operating income has continued
to deteriorate, and Moody's outlook for the lodging sector is
negative. Moody's LTV for the trust debt is 114.8% and Moody's
stressed DSCR is 1.15X. Moody's underlying rating for the pooled
debt is Caa1, compared to Baa3 at last full review.
Moody's rating action is:
-- Class A-1, $188,514,796, affirmed at Aaa; previously on
October 31, 2006 Assigned Aaa
-- Class A-2, $536,000,000, affirmed at Aa1; previously on
March 19, 2009 downgraded to Aa1 from Aaa
-- Class AX-1, Notional, affirmed at Aaa; previously on
October 31, 2006 Assigned Aaa
-- Class AX-3, Notional, affirmed at Aaa; previously on
October 31, 2006 Assigned Aaa
-- Class B, $41,000,000, affirmed at Aa3; previously on
March 19, 2009 downgraded to Aa3 from Aa1
-- Class C, $41,000,000, downgraded to A3 from A2; previously on
February 17, 2010 Placed Under Review for Possible Downgrade
-- Class D, $33,000,000, downgraded to Baa2 from Baa1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class E, $25,000,000, downgraded to Baa3 from Baa2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class F, $19,000,000, downgraded to Ba1 from Baa3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class G, $19,000,000, downgraded to Ba3 from Ba1; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class H, $19,000,000, downgraded to B1 from Ba2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class J, $20,000,000, downgraded to B2 from Ba3; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class K, $22,000,000, downgraded to B3 from B1; previously on
February 17, 2010 Placed Under Review for Possible Downgrade
-- Class L, $16,300,000, downgraded to Caa1 from B2; previously
on February 17, 2010 Placed Under Review for Possible
Downgrade
-- Class KER-A, $59,841,478, affirmed at Baa1; previously on
March 19, 2009 downgraded to Baa1 from A1
-- Class KER-B, $42,597,438, affirmed at Baa3; previously on
March 19, 2009 downgraded to Baa3 from A2
-- Class KER-C, $37,284,410, downgraded to Ba2 from Ba1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class KER-D, $45,953,035, downgraded to Ba3 from Ba2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class KER-E, $46,325,879, downgraded to B2 from Ba3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class KER-F, $61,612,487, downgraded to Caa1 from B1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class BEV-A, $11,000,000, downgraded to Caa1 from B1;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class ARG-A, $7,000,000, downgraded to B3 from Ba2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class ARG-B, $5,500,000, downgraded to Caa1 from Ba3;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class MW-A, $7,117,337, affirmed at Ba2; previously on
March 19, 2009 affirmed at Ba2
-- Class MW-B, $4,295,414, affirmed at B2; previously on
March 19, 2009 affirmed at B2
-- Class NHK-A, $4,000,000, downgraded to Caa2 from B2;
previously on February 17, 2010 Placed Under Review for
Possible Downgrade
-- Class SV-A1, $375,697,703, affirmed at Aaa; previously on
March 19, 2009 affirmed at Aaa
-- Class SV-AX, Notional, affirmed at Aaa; previously on
March 19, 2009 affirmed at Aaa
-- Class SV-A2, $126,000,000, affirmed at Aa2; previously on
March 19, 2009 downgraded to Aa2 from Aaa
-- Class SV-B, $61,000,000, affirmed at A1; previously on
March 19, 2009downgraded to A1 from Aa1
-- Class SV-C, $31,000,000, affirmed at A2; previously on
March 19, 2009 downgraded to A2 from Aa2
-- Class SV-D, $31,000,000, affirmed at A3; previously on
March 19, 2009 downgraded to A3 from Aa3
-- Class SV-E, $30,000,000, affirmed at Baa1; previously on
March 19, 2009 downgraded to Baa1 from XX
-- Class SV-F, $31,000,000, affirmed at Baa2; previously on
March 19, 2009 downgraded to Baa2 from A2
-- Class SV-G, $30,000,000, affirmed at Baa3; previously on
March 19, 2009 downgraded to Baa3 from A3
-- Class SV-H, $54,000,000, affirmed at Ba1; previously on
March 19, 2009 downgraded to Ba1 from Baa1
-- Class SV-J, $34,000,000, affirmed at Ba2; previously on
March 19, 2009 downgraded to Ba2 from Baa2
-- Class SV-K, $39,000,000, affirmed at Ba3; previously on
March 19, 2009 downgraded to Ba3 from Baa3
CRYSTAL COVE: Fitch Downgrades Ratings on Three Classes of Notes
----------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed two classes of
notes issued by Crystal Cove CDO, Ltd., as a result of continued
credit deterioration in the portfolio since Fitch's last rating
action in August 2008. The details of the rating action follow at
the end of this release.
As of the February 2010 trustee report, the current balance of the
portfolio (including cash) is $330.5 million. Approximately 83.2%
of the portfolio has been downgraded since the last review.
Defaulted securities, as defined in the transaction's governing
documents, now comprise 49% of the portfolio, compared to 20.2% at
last review. The downgrades to the portfolio have left
approximately 72.2% of the portfolio (including defaults) with a
Fitch derived rating below investment grade and 61.3% with a
rating in the 'CCC' rating category or lower, compared to 45.6%
and 31.1%, respectively, at last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'. Due
to the magnitude of the collateral deterioration, Fitch believes
that the likelihood of default for all classes of notes can be
assessed without using the Structured Finance Portfolio Credit
Model (SF PCM) or 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 class A-1 notes have a credit enhancement level of
19.9% compared to the 61.3% of the portfolio considered
distressed. Therefore, the class A-1 notes as well as the class
A-2 and B notes have been downgraded to 'C' to indicate Fitch's
belief that default is inevitable at or prior to maturity.
The class C-1 and C-2 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.
Crystal Cove is a cash flow structured finance collateralized debt
obligation that closed on Aug. 25, 2004. The portfolio is
monitored by Pacific Investment Management Company LLC. The
portfolio is composed of residential mortgage-backed securities
(82.4%), SF CDOs (6.1%), asset-backed securities (4.8%), corporate
bonds (3.8%), and commercial mortgage-backed securities (2.9%).
Fitch has downgraded or affirmed these ratings as indicated:
-- $264,915,106 class A1 notes downgraded to 'C' from 'B';
-- $70,000,000 class A2 notes downgraded to 'C' from 'CCC';
-- $39,700,000 class B notes downgraded to 'C' from 'CC';
-- $18,298,243 class C-1 notes affirmed at 'C';
-- $1,483,226 class C-2 notes affirmed at 'C'.
DUNHILL ABS: Moody's Downgrades Ratings on Four Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of four classes of notes issued by Dunhill ABS CDO, Ltd.
The notes affected by the rating action are:
-- US$250,000 Class A-1VA First Priority Senior Secured Voting
Floating Rate Notes Due 2041(current balance of $92,606),
Downgraded to Caa3; previously on February 10, 2009
Downgraded to Ba2;
-- US$327,250,000 Class A-1NV First Priority Senior Secured
Non-Voting Floating Rate Delayed Draw Notes Due 2041(current
balance of $121,276,153), Downgraded to Caa3; previously on
February 10, 2009 Downgraded to Ba2;
-- US$20,000,000 Class A-1VB First Priority Senior Secured
Voting Floating Rate Notes Due 2041 (current balance of
$7,408,478), Downgraded to Caa3; previously on February 10,
2009 Downgraded to Ba2;
-- US$57,500,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2041 (current balance of
$57,500,000), Downgraded to C; previously on February 10,
2009 Downgraded to Ca.
Dunhill ABS CDO, Ltd., is a collateralized debt obligation
issuance backed by a portfolio of primarily Residential Mortgage-
Backed Securities with the majority originated in 2004 and 2005.
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 1,096 in February 2009 to 1,196 in February 2010. During the
same time, defaulted securities increased from $54.6 million to
$112.6 million. In addition, the Trustee reports that the
transaction is currently failing all principal and interest
coverage tests.
Moody's explained that in arriving at the rating action noted
above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM
RMBS which are currently on review for possible downgrade were
stressed. For purposes of monitoring its ratings of SF CDOs with
exposure to such 2005-2007 vintage RMBS, Moody's used certain
projections of the lifetime average cumulative losses as set forth
in Moody's press releases dated January 13th for subprime, January
14th for Alt-A, and January 27th for Option-ARM. Based on the
anticipated ratings impact of the updated cumulative loss numbers,
the stress varied based on vintage, current rating, and RMBS asset
type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Those securities currently rated in the Ba or B range
were stressed to Caa3, while current Caa securities were treated
as Ca. For 2006 and 2007 Alt-A and Option-ARM securities,
currently Aaa or Aa rated securities were stressed by eight
notches, and securities currently rated A, Baa or Ba were stressed
by five notches. Those securities currently rated in the B range
were stressed to Caa3, while current Caa securities were treated
as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
E*TRADE ABS: Fitch Downgrades Ratings on Five Classes of Notes
--------------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed two classes
of notes issued by E*Trade ABS CDO IV, Ltd./LLC as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in August 2008.
E*Trade IV entered an event of default in June 2008 because the
net outstanding portfolio collateral balance declined below the
aggregate outstanding amount of the class A notes. A notice of
the acceleration of maturity was sent on Feb. 22, 2010. On the
March 5, 2010 payment date, classes A-1A, A-1B-1, A-1B-2, and A-2
and class B, which are rated to the timely receipt of interest,
continued to receive their full interest distributions.
Based on the credit quality and par balance of the remaining
portfolio, default is inevitable for all classes of E*Trade IV.
As of the Feb. 28, 2010 trustee report, the current balance of the
portfolio is approximately $125.4 million, which is less than the
$133.6 million combined balance of the pari passu senior tranches,
classes A-1A and A-1B-1. Approximately $85.4 million, or 68.1%,
of the portfolio is considered defaulted by the transaction's
governing documents, leaving $40.1 million of non-defaulted
assets. Expected recoveries on the defaulted portion of the
portfolio are low, resulting in the class A-1A and A-1B-1 notes
being even further undercollateralized.
Additionally, principal collections have been needed to cover
shortfalls in interest collections since September 2008. Over
$656,000 of principal collections was needed for part of the
interest rate swap payment and the entire accrued interest
distributions for the class A and B notes on the March 2010
payment date.
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.
E*Trade IV is a structured finance collateralized debt obligation
that closed on Dec. 1, 2005, and is managed by Vertical Capital
LLC. The portfolio is composed of residential mortgage-backed
securities (79.2%), commercial mortgage-backed securities (9.3%),
SF CDOs (7.5%), corporate CDOs (2.4%) and consumer asset-backed
securities (1.6%).
Fitch has taken these rating actions on E*Trade IV:
-- $5,991,995 class A-1A notes downgraded to 'C' from 'CCC';
-- $127,558,364 class A-1B-1 notes downgraded to 'C' from 'CCC';
-- $35,936,397 class A-1B-2 notes downgraded to 'C' from 'CC';
-- $19,755,611 class A-2 notes downgraded to 'C' from 'CC';
-- $48,918,656 class B notes downgraded to 'C' from 'CC';
-- $18,318,550 class C notes affirmed at 'C';
-- $5,193,904 class D notes affirmed at 'C'.
E*TRADE ABS: Fitch Downgrades Ratings on Two Classes of Notes
-------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed two classes
of notes issued by E*Trade ABS CDO III, Ltd./LLC as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in February 2009.
E*Trade III entered an event of default on July 3, 2009, because
the net outstanding portfolio collateral balance declined below
the aggregate outstanding amount of the class A notes. A notice
of the acceleration of maturity was sent on Feb. 22, 2010. The
first payment date following the notice of acceleration will be in
April 2010, and according to the trustee, the priority of payments
is not expected to change due to the acceleration.
As of the Feb. 28, 2010 trustee report, the current balance of the
portfolio is approximately $101.6 million. Approximately 70.5% of
the portfolio has been downgraded since February 2009, resulting
in 90.9% of the portfolio with a Fitch derived rating below
investment grade and 72.8% with a rating in the 'CCC' rating
category or below, compared to 70.6% and 35.3%, 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
extent of collateral deterioration, Fitch believes that the
likelihood of default for all classes of notes can be assessed
without performing cash flow model analysis under the framework
described in the 'Global Criteria for Cash Flow Analysis in CDOs -
Amended' report.
While the class A-1 credit enhancement level is currently higher
than a 'BB' SF PCM rating loss rate, the transaction started using
principal proceeds to cover shortfalls in interest collections in
January 2009. This trend is expected to continue, as the trustee
reported interest coverage ratios are well below 100%, which will
continue to erode credit enhancement.
Fitch continues to maintain a Negative Outlook on the class A-1
notes due to the potential for additional deterioration in the
underlying assets. The Loss Severity rating of 'LS5' assigned to
the class A-1 notes indicates the tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral, as explained
in Fitch's 'Criteria for Structured Finance Loss Severity
Ratings'. The LS rating should always be considered in
conjunction with the notes' long-term credit rating. Fitch does
not assign LS ratings to tranches rated 'CCC' and below.
Based on the credit quality of the remaining portfolio, Fitch
believes default is inevitable for the class A-2, B and C notes.
The Feb. 28, 2010 trustee report shows that $58.9 million, or
57.9%, of the portfolio is considered defaulted by the
transaction's governing documents, leaving $43.8 million of non-
defaulted assets. Expected recoveries on the defaulted portion of
the portfolio are low and, after taking into account the
outstanding balance of class A-1 notes, the remaining classes in
the capital structure are undercollateralized.
The class A-2 notes are expected to continue receiving timely
interest distributions and some principal repayment after class A-
1 is paid in full. The class B notes are expected to continue
receiving timely interest distributions, assuming no change in the
priority of payments following the acceleration, with no principal
repayment. The class C notes will not be receiving any interest
or principal distributions going forward.
E*Trade III is a structured finance collateralized debt obligation
that closed on Dec. 22, 2004. The static portfolio was originally
selected by E*TRADE Global Asset Management, Inc and is now
monitored by Vertical Capital LLC. The portfolio is composed of
residential mortgage-backed securities (78.3%), SF CDOs (17.7%),
commercial mortgage-backed securities (2%) and commercial and
consumer asset-backed securities (2%).
Fitch has affirmed, downgraded and assigned LS Ratings on E*Trade
III as indicated:
-- $19,872,928 class A-1 notes affirmed at 'BB/LS5'; Outlook
Negative;
-- $37,750,000 class A-2 notes downgraded to 'C' from 'CCC';
-- $37,900,000 class B notes downgraded to 'C' from 'CC';
-- $12,885,128 class C notes affirmed at 'C'.
EDUCATION FUNDING: S&P Puts Note Ratings on CreditWatch Negative
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on the class
A-1, A-2, A-3, and B notes from Education Funding 2006-1 LLC on
CreditWatch with negative implications. The rating on the class C
notes remains unchanged at 'D'.
The CreditWatch placements reflect S&P's view of the increasing
rate of cumulative gross defaults for the transaction over the
past year and the resulting decline in parity levels (the trust's
total asset value divided by the amount of notes outstanding).
Given the pace at which the transaction is realizing defaults, S&P
believes that cumulative gross defaults will likely exceed its
previously revised expectation of 20%-21% of the original pool
balance.
As of the December 2009 collection period, after just 13 quarters
of performance, the transaction had experienced $45,521,365 in
cumulative gross defaults, or 13.26% of the original principal
balance plus interest capitalized. This represents an 85%
increase since the December 2008 collection period, when
cumulative gross defaults totaled 7.15%. Additionally, total
delinquencies, as a percent of the current balance of loans in
repayment (which make up 58.41% of the current pool balance),
stood at 7.3%, and the amount of loans in forbearance stood at
10.43% of the current principal balance of outstanding loans.
Furthermore, parity levels have declined at what S&P considers to
be a pronounced rate compared with the prior year.
Dec. 2008 Dec. 2009
distribution distribution
------------ ------------
Senior parity 113.40% 108.21%
Subordinate parity 100.74% 95.55%
Total parity 97.29% 92.12%
S&P lowered its rating on the class C notes to 'D' on Feb. 10,
2009, after the class did not receive its interest payment on the
January 2009 payment date. The missed payment followed a junior
subordinate note interest trigger event resulting from the
transaction's failure of certain asset and default tests. Because
of this trigger event, funds that would have otherwise been
available to pay class C interest are now being used to make
principal payments to the senior noteholders, and will continue to
do so until the transaction once again passes the related tests.
Given the effects of the recession and the state of the job
market, S&P believes that student loan default rates will likely
continue to rise in 2010. As a result, S&P expects the collateral
performance of private student loans, including those underlying
the Education Funding 2006-1 transaction, to remain under
pressure.
Standard & Poor's will continue its review of the credit
performance of the underlying private student loans, as well as
the credit enhancement available to the classes of notes with
ratings placed on CreditWatch, over the next 90 days and will take
any rating actions S&P consider appropriate.
Ratings Placed On Creditwatch Negative
Education Funding 2006-1 LLC
Rating
------
Class To From
----- -- ----
A-1 AA-/Watch Neg AA-
A-2 AA-/Watch Neg AA-
A-3 AA-/Watch Neg AA-
B BBB-/Watch Neg BBB-
Other Outstanding Rating
Education Funding 2006-1 LLC
Class Rating
----- ------
C D
FORT POINT: Moody's Downgrades Ratings on Three Classes of Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of three classes of notes issued by Fort Point CDO I, Ltd.
The notes affected by the rating action are:
-- US$285,000,000 Class A-1 Floating Rate Senior Notes, Due
2037 (current balance of $113,656,943), Downgraded to Caa3;
previously on February 6, 2009 Downgraded to Ba3;
-- US$33,000,000 Class A-2a Floating Rate Senior Notes due
2037 (current balance of $33,000,000), Downgraded to C;
previously on February 6, 2009 Downgraded to Ca;
-- US$12,000,000 Class A-2b Fixed Rate Senior Notes due 2037
(current balance of $12,000,000), Downgraded to C; previously
on February 6, 2009 Downgraded to Ca.
Fort Point CDO I, Ltd, is a collateralized debt obligation
issuance backed primarily by a portfolio of Residential Mortgage-
Backed Securities and Commercial Mortgage-Backed Securities that
were originated between 2002 and 2006.
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 2,007 in February 2009 to 3,022 in February 2010. During the
same time, defaulted securities increased from $32.1 million to
$53.3 million. In addition, the Trustee reports that the senior
OC level has declined from 94.1% to 58.7% and the transaction is
currently failing all principal and interest coverage tests.
Moody's notes that the transaction experienced on October 6, 2009
as reported by the Trustee, of an Event of Default described in
Section 2.2 of the Trust Deed dated October 22, 2003. The event
of default is due to the failure to maintain an
overcollateralization ratio of 100%. Following an Event of
Default certain parties to the transaction may have the ability to
take certain actions with respect to the Notes and the collateral,
such as directing the Trustee to liquidate the collateral. A
liquidation may effect the expected loss associated with each
rated tranche.
Moody's explained that in arriving at the rating action noted
above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM
RMBS which are currently on review for possible downgrade were
stressed. For purposes of monitoring its ratings of SF CDOs with
exposure to such 2005-2007 vintage RMBS, Moody's used certain
projections of the lifetime average cumulative losses as set forth
in Moody's press releases dated January 13th for subprime, January
14th for Alt-A, and January 27th for Option-ARM. Based on the
anticipated ratings impact of the updated cumulative loss numbers,
the stress varied based on vintage, current rating, and RMBS asset
type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Those securities currently rated in the Ba or B range
were stressed to Caa3, while current Caa securities were treated
as Ca. For 2006 and 2007 Alt-A and Option-ARM securities,
currently Aaa or Aa rated securities were stressed by eight
notches, and securities currently rated A, Baa or Ba were stressed
by five notches. Those securities currently rated in the B range
were stressed to Caa3, while current Caa securities were treated
as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
Moody's further explained that these stresses are based on a
preliminary sample analysis of deals from a given vintage and
asset type, and that they will be utilized in its SF CDO rating
analysis while subprime, Alt-A and Option-ARM securities remain on
review for downgrade. Current public ratings will be used for
securities that have undergone an in depth review by Moody's RMBS
team and are no longer on review for downgrade.
FRANKLIN CLO: Fitch Affirms Ratings on Two Classes of Notes
-----------------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by Franklin
CLO, Ltd/Corp.
The affirmation of the class C notes is the result of sufficient
collateral coverage provided by the underlying portfolio and from
the continued amortization of the liabilities, which has resulted
in increased credit enhancement. The class B notes were paid in
full at the November 2009 payment date, leaving the class C notes
as the senior-most remaining class. The affirmation of the class
D notes at their current rating level indicates the potential for
a principal shortfall at stated maturity, based on the expected
losses on the underlying collateral and the reliance on the sale
or refinancing of long dated collateral for the ultimate return of
principal.
Since the last review in April 2009, the credit quality of the
portfolio has remained stable. There are currently no defaulted
assets in the portfolio. The remaining portfolio collateral is
comprised of high yield loans issued by 18 unique obligors, with
an aggregate par balance of $29 million and an average rating of
'B'. The portfolio collateral also includes approximately
$2.8 million of principal cash, which will be distributed on the
next payment date in May 2010. Approximately 50% of the portfolio
balance is scheduled to mature after the stated maturity of the
transaction in May 2012, exposing the class D notes in particular
to significant market value risk.
This review did not utilize the Global Cash Flow model given the
short remaining tenor of the transaction and the high obligor
concentration of the portfolio. Instead, the current principal
cash balance, the projected recovery estimate on the defaulted
collateral and the projected market value of the long dated assets
were all applied in accordance with the principal waterfall.
Additionally, an expected loss was assigned to the remaining
performing assets, and the expected return from these assets was
also applied in accordance with the principal waterfall. The sum
of all available proceeds was used to calculate the notes expected
total return and to determine the long-term credit rating of the
remaining liabilities. The structural features of the transaction
were also factored into the analysis.
Rating Outlooks indicate the likely direction of any rating change
over a one- to two-year period. The Positive Outlook for the
class C notes is based on the overcollateralization of the notes
and the expectation that the notes will be redeemed in full in the
next two years. Fitch does not assign Rating Outlooks to classes
rated 'CCC' or lower.
The notes were assigned Loss Severity ratings. The LS ratings
indicate each tranche's potential loss severity given default, as
evidenced by the ratio of tranche size to the base-case loss
expectation for the collateral, as explained in Fitch's 'Criteria
for Structured Finance Loss Severity Ratings'. The LS rating
should always be considered in conjunction with the notes' long-
term credit rating.
The class D notes were assigned a Recovery Rating in this rating
review based on the total discounted future cash flows of
approximately $15.9 million projected to be available to these
bonds in a base-case default scenario. These discounted cash
flows yield ultimate recovery projections of 99%, which is
representative of an 'RR1' on Fitch's Recovery Rating scale.
Recovery Ratings are designed to provide a forward-looking
estimate of recoveries on currently distressed or defaulted
structured finance securities rated 'CCC' or below. For further
detail on Recovery Ratings, please see Fitch's reports 'Global
Surveillance Criteria for Corporate CDOs' and 'Criteria for
Structured Finance Recovery Ratings'.
Franklin is a cash flow collateralized loan obligation managed by
Franklin Advisers, Inc. which closed June 29, 2000. The stated
maturity of the transaction is May 9, 2012.
Fitch has affirmed and assigned an LS Rating to these classes as
indicated:
-- $12,801,430 class C notes affirmed at 'BBB/LS2; Outlook
Positive;
-- $16,000,000 class D notes affirmed at 'CCC/RR1'.
GE COMMERCIAL: Moody's Affirms Ratings on Nine 2005-C4 Certs.
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
downgraded 16 classes of GE Commercial Mortgage Corporation,
Commercial Mortgage Pass-Through Certificates, Series 2005-C4.
The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from specially serviced and
watchlisted loans and concerns about refinancing risk associated
with loans approaching maturity in an adverse environment.
Sixteen loans, representing 18% of the pool, mature over the next
36 months. Nine of these loans (11% of the pool) have a Moody's
stressed debt service coverage ratio below 1.00X. The
affirmations are due to key rating parameters, including Moody's
loan to value ratio, Moody's stressed DSCR and the Herfindahl
Index remaining within acceptable ranges.
On January 6, 2010, Moody's placed 16 classes of this transaction
on review for possible downgrade due to potential losses from
specially serviced and other poorly performing loans. This action
concludes Moody's review of this transaction. The rating action
is the result of Moody's on-going surveillance of commercial
mortgage backed securities transactions.
As of the March 10, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 4% to
$2.31 billion from $2.40 billion at securitization. The
Certificates are collateralized by 165 loans ranging in size from
less than 1% to 5% of the pool, with the top 10 loans representing
35% of the pool. The pool contains one loan, representing less
than 1% of the pool, with an investment grade underlying rating.
Twenty-four loans, representing 18% 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 trust, resulting in a
$3.9 million loss (81% loss severity). Currently there are ten
loans, representing 11% of the pool, in special servicing. The
largest specially serviced loan is the DDR/Macquarie Mervyn's
Portfolio Loan ($102.1 million -- 4.4% of the pool), which
represents a pari-passu interest in a $220.6 million first
mortgage loan. At securitization, the loan was secured by 35
single tenant buildings leased to Mervyn's. Mervyn's filed for
Chapter 11 bankruptcy protection in July 2008 and subsequently
closed all its stores. Mervyn's has rejected the leases on all
the properties in this portfolio. The loan was transferred to
special servicing in October 2008 due to imminent default. The
loan is current and the borrower is focused on selling or
releasing the properties prior to the loan maturity in October
2010. Five properties have been sold, resulting in a
$37.9 million prepayment to the pari-passu loan, and one sale is
pending. Nine properties have been fully or partially leased
although no tenants have started rental payments. The special
servicer is still evaluating the potential resolution. The loan
sponsors are Diversified Realty Corporation and Macquarie DDR
Trust, a publicly traded real estate investment trust.
The second largest specially serviced loan is the Empirian at
Northridge Loan ($43.2 million -- 1.9% of the pool), which is
secured by a 608 unit Class B multifamily property in Atlanta,
Georgia. The loan was transferred to special servicing in June
2009 due to imminent default and is currently 90+ days delinquent.
The property was 88% leased as of November 2009.
The remaining eight specially serviced loans are secured by a mix
of office, multifamily, retail, hotel and self storage properties.
Moody's estimates a $104.2 million aggregate loss for all of the
specially serviced loans (43% loss severity on average). The
special servicer has recognized an aggregate $62.6 million
appraisal reduction for seven of the specially serviced loans.
Moody's has assumed a high default probability on ten loans
representing 6.7% of the pool. These loans are either on the
servicer's watchlist or mature within the next 36 months and have
a Moody's stressed DSCR less than 1.0X. Moody's estimates a
$33.1 million loss for these troubled loans based on a 54%
weighted average default probability and a 39% weighted average
loss severity. 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 91% and 26%, respectively, of the pool.
Moody's weighted average LTV for the conduit component, excluding
the specially serviced and troubled loans, is 105% compared to
109% at Moody's prior review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.40X and 1.03X, respectively, compared to
1.39X and .99X 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 53 compared to 56 at last review.
The loan with an underlying rating is the Selden Plaza Shopping
Center Loan ($17.0 million -- 0.7% of the pool), which is secured
by a 222,000 square foot community shopping center located in
Selden (Nassau County), New York. The center is anchored by
Waldbaum's and T.J. Maxx. The in-line space was 94% leased as of
September 2009, essentially the same as last review. Moody's
current underlying rating and stressed DSCR are Baa3 and 1.49X,
respectively, compared to Baa3 and 1.43X at last review.
The top three conduit loans represent 12.9% of the pool. The
largest conduit loan is the 123 North Wacker Drive Loan
($122.0 million -- 5.3% of the pool), which is secured by a
541,000 square foot Class A office building located in Chicago,
Illinois. The largest tenants include Morton International (13%
of the net rentable area; lease expiration August 2016), Meckler,
Bulger & Tilson (13% of the NRA; lease expiration November 2020)
and Man-Glenwood (8% of the NRA; lease expiration September 2012).
The property was 86% leased as of August 2009 compared to 90% at
last review and 98% at securitization. Performance has declined
due to increased vacancy and operating expenses. The loan will
transition from an interest only period to an amortization period
based on a 360-month schedule in eight months. Moody's LTV and
stressed DSCR are 130% and 0.75X, respectively, compared to 118%
and 0.83X at last review.
The second largest conduit loan is the Design Center of the
Americas Loan ($90.7 million -- 3.9% of the pool), which
represents a 50% pari-passu interest in a $181.8 million first
mortgage loan. The loan is secured by a 775,000 square foot
design and showroom center located in Dania Beach (Ft.
Lauderdale), Florida. The property was 80% leased as of October
2009 compared to 77% at last review and 94% at securitization.
Property performance has declined due to increased vacancy and
decreased rental income. Additionally, Moody's valuation reflects
a stressed cash flow because of concerns about near-term lease
rollover and potential occupancy declines caused by depressed
consumer spending due to the stressed economic environment.
Moody's LTV and stressed DSCR are 120% and 0.84X, respectively,
compared to 109% and 0.92X at last review.
The third largest conduit loan is the Fireman's Fund Loan
($84.4 million -- 3.7% of the pool), which represents a pari-passu
interest in a $177.7 million first mortgage loan. The loan is
secured by a 710,000 square foot office complex located in Novato,
California. The property is 100% leased to Fireman's Fund
Insurance Company through November 2018. Performance has been
stable and the loan has benefited from amortization. The lease
and loan term are coterminous. Moody's LTV and stressed DSCR are
100% and 1.03X, respectively, compared to 101% and 1.02X at last
review.
Moody's rating action is:
-- Class A-1, $ 6,045,842, affirmed at Aaa; previously assigned
Aaa on 12/16/2005
-- Class A-1A, $ 209,406,820, affirmed at Aaa; previously
assigned Aaa on 12/16/2005
-- Class A-1D, $ 16,609,456, affirmed at Aaa; previously
assigned Aaa on 12/16/2005
-- Class A-2, $224,800,000, affirmed at Aaa; previously assigned
Aaa on 12/16/2005
-- Class A-3A, $197,000,000, affirmed at Aaa; previously
assigned Aaa on 12/16/2005
-- Class A-3B, $25,000,000, affirmed at Aaa; previously assigned
Aaa on 12/16/2005
-- Class A-4, $775,100,000, affirmed at Aaa; previously assigned
Aaa on 12/16/2005
-- Class A-SB, $140,040,000, affirmed at Aaa; previously
assigned Aaa on 12/16/2005
-- Class X-W, Notional, affirmed at Aaa; previously assigned Aaa
on 12/16/2005
-- Class A-M, $239,803,000, downgraded to Aa1 from Aaa;
previously placed on review for possible downgrade on
1/6/2010
-- Class A-J, $152,876,000, downgraded to A3 from Aaa;
previously placed on review for possible downgrade on
1/6/2010
-- Class B, $23,980,000, downgraded to Baa1 from Aa1; previously
placed on review for possible downgrade on 1/6/2010
-- Class C, $29,975,000, downgraded to Baa2 from Aa2; previously
placed on review for possible downgrade on 1/6/2010
-- Class D, $23,981,000, downgraded to Baa3 from A1; previously
placed on review for possible downgrade on 1/6/2010
-- Class E, $44,963,000, downgraded to B1 from A3; previously
placed on review for possible downgrade on 1/6/2010
-- Class F, $26,978,000, downgraded to Caa1 from Baa1;
previously placed on review for possible downgrade on
1/6/2010
-- Class G, $32,973,000, downgraded to Caa3 from Baa2;
previously placed on review for possible downgrade on
1/6/2010
-- Class H, $23,980,000, downgraded to Ca from Baa3; previously
placed on review for possible downgrade on 1/6/2010
-- Class J, $26,978,000, downgraded to C from Ba2; previously
placed on review for possible downgrade on 1/6/2010
-- Class K, $11,990,000, downgraded to C from B1; previously
placed on review for possible downgrade on 1/6/2010
-- Class L, $11,990,000, downgraded to C from B2; previously
placed on review for possible downgrade on 1/6/2010
-- Class M, $8,993,000, downgraded to C from B3; previously
placed on review for possible downgrade on 1/6/2010
-- Class N, $8,993,000, downgraded to C from Caa1; previously
placed on review for possible downgrade on 1/6/2010
-- Class O, $5,995,000, downgraded to C from Caa2; previously
placed on review for possible downgrade on 1/6/2010
-- Class P, $8,992,000, downgraded to C from Caa3; previously
placed on review for possible downgrade on 1/6/2010
GOLDMAN SACHS: Moody's Reviews Ratings on 17 2006-GG8 Certs.
------------------------------------------------------------
Moody's Investors Service placed 17 classes of Goldman Sachs
Mortgage Securities Corporation II, Commercial Mortgage Pass-
Through Certificates, Series 2006-GG8 on review for possible
downgrade due to higher expected losses for the pool resulting
from anticipated losses from loans in special servicing and
concerns about refinancing risk associated with loans approaching
maturity in an adverse environment. Six loans, representing 8% of
the pool, mature within the next two years and have a Moody's
stressed debt service coverage ratio below 1.00X.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the February 12, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $4.20 billion
from $4.24 billion at securitization. The Certificates are
collateralized by 160 mortgage loans ranging in size from less
than 1% to 5% of the pool, with the top ten loans representing 36%
of the pool. The pool contains two loans, representing 9% of the
pool, with investment grade underlying ratings.
Thirty-two loans, representing 12% 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 since securitization,
resulting in a $21,400 realized loss (1% loss severity on
average). Twenty-four loans, representing 16% of the pool, are
currently in special servicing. The specially serviced loans are
secured by a mix of retail, multifamily, office and hospitality
properties.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced and other poorly
performing loans.
Moody's rating action is:
-- Class A-M, $424,288,000, currently rated Aaa, on review for
possible downgrade; previously assigned Aaa on 11/8/2006
-- Class A-J, $302,305,000, currently rated Aa3, on review for
possible downgrade; previously downgraded to Aa3 on 2/9/2009
-- Class B, $26,518,000, currently rated A1, on review for
possible downgrade; previously downgraded to A1 on 2/9/2009
-- Class C, $53,036,000, currently rated A2, on review for
possible downgrade; previously downgraded to A2 on 2/9/2009
-- Class D, $37,125,000, currently rated A3, on review for
possible downgrade; previously downgraded to A3 on 2/9/2009
-- Class E, $37,125,000, currently rated Baa1, on review for
possible downgrade; previously downgraded to Baa1 on 2/9/2009
-- Class F, $42,429,000, currently rated Baa2, on review for
possible downgrade; previously downgraded to Baa2 on 2/9/2009
-- Class G, $53,036,000, currently rated Baa3, on review for
possible downgrade; previously downgraded to Baa3 on 2/9/2009
-- Class H, $47,733,000, currently rated Ba2, on review for
possible downgrade; previously downgraded to Ba2 on 2/9/2009
-- Class J, $53,036,000, currently rated B2, on review for
possible downgrade; previously downgraded to B2 on 2/9/2009
-- Class K, $42,428,000, currently rated B3, on review for
possible downgrade; previously downgraded to B3 on 2/9/2009
-- Class L, $26,518,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 on 2/9/2009
-- Class M, $15,911,000, currently rated Caa1, on review for
possible downgrade; previously downgraded to Caa1 on 2/9/2009
-- Class N, $15,911,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 on 2/9/2009
-- Class O, $10,607,000, currently rated Caa2, on review for
possible downgrade; previously downgraded to Caa2 on 2/9/2009
-- Class P, $10,607,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 on 2/9/2009
-- Class Q, $15,911,000, currently rated Caa3, on review for
possible downgrade; previously downgraded to Caa3 on 2/9/2009
GREENWICH CAPITAL: Moody's Takes Rating Actions on Various Classes
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes,
affirmed 13 classes and downgraded four classes of Greenwich
Capital Commercial Funding Corp., Commercial Mortgage Pass-Through
Certificates, Series 2003-C1. The upgrades are due to increased
enhancement due to loan payoffs and principal amortization. The
pool balance has declined by 22% since Moody's last review. The
downgrades are due to increased credit quality dispersion and
higher expected losses from the pool resulting from anticipated
losses from specially serviced and highly leveraged loans. 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
rating action is the result of Moody's on-going surveillance of
commercial backed securities transactions.
As of the March 5, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to
$838.3 million from $1.21 billion at securitization. The
Certificates are collateralized by 63 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten non-
defeased loans representing 36% of the pool. Ten loans,
representing 26% of the pool, have defeased and are secured by
U.S. Government securities. Defeasance at last review represented
28% of the pool.
Twenty loans, representing 18% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization.
Currently, six loans, representing 13% of the pool, are in special
servicing. The largest specially serviced loan is the Oxmoor
Center Mall loan ($56.1 million -- 6.7% of the pool), which is
secured by the borrower's interest in a 929,000 square foot
regional mall (517,000 square feet of collateral) located in
Louisville, Kentucky. The loan sponsor is an affiliate of General
Growth Properties, Inc. (GGP). The loan was transferred to
special servicing in April 2009 due to GGP's Chapter 11 bankruptcy
filing but is expected to be modified and transferred back to the
master servicer upon the resolution of the bankruptcy proceedings.
The center is anchored by Sears, Macy's and Von Maur. As of
December 2008, the mall and in-line space were 96% and 89% leased,
respectively, compared to 95% and 85% at last review. Performance
has improved since last review and the loan is not included in
Moody's loss estimate for specially serviced loans. The loan is
analyzed as part of the conduit pool. Moody's LTV and stressed
DSCR for this loan are 77% and 1.30X, respectively, compared to
85% and 1.18X at last review.
The remaining five specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $18.6 million
loss for these specially serviced loans (34% loss severity on
average).
Moody's has assumed a high default probability on two poorly
performing loans representing 1.4% of the pool. Moody's estimates
a $3.1 million aggregate loss for these troubled loans (28% loss
severity on average) based on 75% probability of default. 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 99% and 94%, respectively, of the non-
defeased pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV ratio is 89% compared to 86% at
Moody's prior full review. In addition to an overall increase in
leverage, credit quality dispersion has increased. Based on
Moody's analysis, 18% of the conduit pool has an LTV in excess of
100% compared to 13% at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCR are 1.34X and 1.22X, respectively, compared to
1.40X and 1.25X 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 27 compared to 28 at last review.
The top three performing loans represent 14% of the pool. The
largest loan is the Windsor Capital Portfolio Loan ($48.6 million
-- 5.8% of the pool), which is secured by seven full service
hotels (five Embassy Suites, one Radisson and one Marriott)
containing 1,531 rooms. The hotels are located California (6
hotels) and Michigan (1). The loan represents a 50% pari-passu
interest in a $97.3 million first mortgage loan. The portfolio is
also encumbered by a $13.3 million B-note which is held outside
the trust. Performance had been stable since securitization until
the end of 2008 but declined significantly in 2009. Net operating
income (NOI) for the 12-month period ending September 2009 was 20%
lower than the 12-month period ending December 2008. The
performance decline has been partially offset by amortization.
The loan has amortized 5% since last review. The loan matures in
June 2010. Moody's considers this loan to be low maturity default
risk due to its strong DSCR; however, the recent decline in cash
flow may negatively impact the borrower's refinancing options.
Moody's LTV and stressed DSCR are 86% and 1.44X, respectively,
compared to 70% and 1.56X at last review.
The second largest loan is the Tide Point Office Loan
($36.6 million -- 4.4% of the pool), which is secured by a 397,000
square foot office property located in Baltimore, Maryland. As of
October 2009 the property was 99% leased, essentially the same as
at last review and securitization. Although performance has been
stable, Moody's is concerned about the property's significant
near-term lease expirations. Leases representing approximately
96% of the property's net rentable area expire within the next 36
months and the property's in-place rents are above current market
rent levels. Moody's analysis reflects a downward cash flow
adjustment to reflect a potential decline in rental income as
leases roll. Moody's LTV and stressed DSCR are 92% and 1.11X,
respectively, compared to 76% and 1.35X at last review.
The third largest loan is the Frontier Building Office Loan
($31.1 million -- 3.7% of the pool), which is secured by a 279,896
square foot office building located in Anchorage, Alaska. As of
September 2009 the property was 100% leased compared to 92% at
last review. Performance has been stable. Moody's LTV and
stressed DSCR are 74% and 1.39X, respectively, compared to 75% and
1.38X at last review.
Moody's rating action is:
-- Class A-2, $40,244,171, affirmed at Aaa; previously assigned
at Aaa on 7/24/2003
-- Class A-3, $115,792,000, affirmed at Aaa; previously assigned
at Aaa on 7/24/2003
-- Class A-4, $442,352,000, affirmed at Aaa; previously assigned
at Aaa on 7/24/2003
-- Class X-P, Notional, affirmed at Aaa; previously assigned at
Aaa on 7/24/2003
-- Class X-C, Notional, affirmed at Aaa; previously assigned at
Aaa on 7/24/2003
-- Class B, $41,007,000, affirmed at Aaa; previously upgraded to
Aaa from Aa2 on 11/10/2006
-- Class C, $15,188,000, affirmed at Aaa; previously upgraded to
Aaa from Aa3 on 11/10/2006
-- Class D, $18,225,000, affirmed at Aaa; previously upgraded to
Aaa from A1 on 11/10/2006
-- Class E, $18,226,000, upgraded to Aaa from Aa1; previously
upgraded to Aa1 from Aa2 on 9/25/2008
-- Class F, $10,631,000, upgraded to Aa1 from Aa2; previously
upgraded to Aa2 from Aa3 on 9/25/2008
-- Class G, $15,188,000, affirmed at A1; previously upgraded to
A1 from A2 on 9/25/2008
-- Class H, $19,744,000, affirmed at Baa1; previously upgraded
to Baa1 from Baa2 on 11/10/2006
-- Class J, $18,225,000, affirmed at Baa3; previously assigned
at Baa3 on 7/24/2003
-- Class K, $15,188,000, affirmed at Ba1; previously assigned at
Ba1 on 7/24/2003
-- Class L, $15,188,000, affirmed at Ba2; previously assigned at
Ba2 on 7/24/2003
-- Class M, $7,594,000, downgraded to B1 from Ba3; previously
assigned at Ba3 on 7/24/2003
-- Class N, $6,075,000, downgraded to B3 from B1; previously
assigned at B1 on 7/24/2003
-- Class O, $9,113,000, downgraded to Caa2 from B2; previously
assigned at B2 on 7/24/2003
-- Class P, $6,075,000, downgraded to Caa3 from B3; previously
assigned at B3 on 7/24/2003
GS MORTGAGE: S&P Downgrades Ratings on Nine 2006-RR2 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes from GS Mortgage Securities Corp. II's series 2006-RR2, a
U.S. commercial mortgage-backed securities resecuritized real
estate mortgage investment conduit transaction. All of the
lowered ratings and eight additional ratings remain on CreditWatch
with negative implications.
The downgrades reflect S&P's analysis of the transaction following
S&P's downgrades to 18 CMBS certificates that serve as underlying
collateral for GSMS 2006-RR2. The downgraded underlying CMBS
certificates ($189.7 million, 24.8% of the GSMS 2006-RR2 pool
balance) are from 13 transactions. The downgrades also reflect
S&P's lowered credit estimates on two unrated CMBS collateral
certificates ($11 million, 1.4%). The GSMS 2006-RR2 ratings
remaining on CreditWatch negative reflect the transaction's
exposure to CMBS collateral with ratings on CreditWatch negative
($41.8 million, 5.5%) and the liquidity interruption to the
transaction.
According to the February 2010 trustee report, 78 CMBS
certificates ($764 million, 100%) from 58 distinct transactions
issued between 1996 and 2006 collateralize GSMS 2006-RR2. GSMS
2006-RR2 has significant exposure to CMBS certificates that
Standard & Poor's has downgraded from these transactions:
-- Credit Suisse First Boston Mortgage Securities Corp. 2005-C5
(classes H, and J; $36.6 million, 4.8%);
-- JPMorgan Chase Commercial Mortgage Securities Trust 2005-LDP5
(class K; $25 million, 3.3%); and
-- ML-CFC Commercial Mortgage Securities Trust 2006-2 (classes
E, F, and G; $20 million, 2.6%).
S&P will update or resolve its CreditWatch negative placements on
GSMS 2006-RR2's certificates in conjunction with its CreditWatch
resolutions of the underlying CMBS assets or its analysis of the
transaction if the liquidity interruptions continue. If S&P
determines that any interest shortfall to the classes with ratings
on CreditWatch negative will be ongoing and cannot be recovered
for an extended period of time, S&P may lower the related ratings
to 'D'.
Ratings Lowered And Remaining On Creditwatch Negative
GS Mortgage Securities Corp. II
Commercial mortgage-backed securities pass-through certificates
series 2006-RR2
Rating
------
Class To From
----- -- ----
A1 BBB/Watch Neg A+/Watch Neg
A2 BB/Watch Neg BBB-/Watch Neg
B B+/Watch Neg BB+/Watch Neg
C B/Watch Neg BB/Watch Neg
D B-/Watch Neg B+/Watch Neg
E CCC+/Watch Neg B/Watch Neg
F CCC/Watch Neg B/Watch Neg
G CCC-/Watch Neg CCC+/Watch Neg
H CCC-/Watch Neg CCC/Watch Neg
Ratings Remaining On Creditwatch Negative
GS Mortgage Securities Corp. II
Commercial mortgage-backed securities pass-through certificates
series 2006-RR2
Class Rating
----- ------
J CCC-/Watch Neg
K CCC-/Watch Neg
L CCC-/Watch Neg
M CCC-/Watch Neg
N CCC-/Watch Neg
O CCC-/Watch Neg
P CCC-/Watch Neg
Q CCC-/Watch Neg
GSC ABS: Fitch Downgrades Ratings on Three Classes of Notes
-----------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed two
classes of notes issued by GSC ABS CDO 2005-1, Ltd. as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in July 2008.
GSC 2005-1 entered an event of default on Nov. 5, 2008, after the
sum of non-defaulted collateral and cash assets declined below the
amount of the remaining senior swap, class A1S and class A1J
notes. The required majority of the controlling class voted to
accelerate on Feb. 9, 2010, and subsequently voted to liquidate
the portfolio on Feb. 10, 2010. At the time of this review, the
liquidation is in its beginning stage. Fitch will update its
ratings when the liquidation is completed and a final distribution
is made. On the last payment date classes A-1S, A-1J, and A-2
received their full interest due.
As of the Feb. 8, 2010 trustee report, the current balance of the
portfolio is approximately $372.4 million. Approximately 89.1% of
the portfolio has been downgraded since July 2008, resulting in
96.7% of the portfolio with a Fitch derived rating below
investment grade and 86.8% with a rating in the 'CCC' rating
category or below, compared to 70.5% and 15.6%, 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.
Based on the credit quality of the remaining portfolio, Fitch
believes default is inevitable for all rated classes of notes
issued by GSC 2005-1. The Feb. 8, 2010 trustee report shows that
$319.2 million, or 85.7%, of the portfolio is considered defaulted
by the transaction's governing documents, leaving $58 million of
non-defaulted assets. Expected recoveries on the defaulted
portion of the portfolio are low, and Fitch anticipates that
proceeds from liquidating the portfolio will be insufficient to
pay in full the outstanding balance of the class A-1S notes or
make any principal payments to the junior classes.
GSC 2005-1 is a hybrid structured finance collateralized debt
obligation that closed on Jan. 12, 2006 and is managed by GSC
Group. The transaction gained all of its exposure to SF assets
synthetically via credit default swaps. The proceeds from the
sale of funded notes were invested in a GIC, designed to cover
losses from credit events and floating amount events. The
portfolio is composed of residential mortgage-backed securities
(91.4%), commercial mortgage-backed securities (7.8%) and
commercial asset-backed securities (0.8%).
Fitch has taken these rating actions on GSC 2005-1:
-- $140,000,000 class A1S notes downgraded to 'C' from 'B';
-- $56,000,000 class A1J notes downgraded to 'C' from 'CCC';
-- $48,000,000 class A2 notes downgraded to 'C' from 'CC';
-- $26,000,000 class A3 notes affirmed at 'C';
-- $18,575,766 class B notes affirmed at 'C'.
GUGGENHEIM STRUCTURED: Fitch Downgrades Ratings on 10 2006-4 Notes
------------------------------------------------------------------
Fitch Ratings has downgraded 10 classes of Guggenheim Structured
Real Estate Funding 2006-4 Ltd./LLC reflecting Fitch's base case
loss expectation of 39.7%. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market value and cash flow declines.
Guggenheim 2006-4 is primarily collateralized by commercial real
estate debt of which approximately 55% is subordinate debt and 27%
is non-senior commercial mortgage backed securities or CRE CDO
tranches. Fitch expects significant losses upon default for the
subordinate positions since they are generally highly leveraged
debt classes. Further, four debt position from two obligors
(17.8%) are currently defaulted and one loan (2.5%) is considered
a Fitch Loan of Concern. Fitch expects significant to full losses
on the defaulted assets.
Guggenheim 2006-4 is a CRE collateralized debt obligation managed
by Guggenheim Structured Real Estate Advisors with approximately
$391 million of collateral. The transaction has a five-year
reinvestment period, which ends in February 2012.
As of the February 2010 trustee report and per Fitch
categorizations, the CDO was substantially invested: CRE
subordinate debt (54.9%), A-notes/whole loans (11.9%), CMBS
(13.0%), and CRE CDOs (14.3%). The CDO holds 5.9% in
cash/uninvested principal proceeds. In general, Fitch treats non-
senior, single-borrower CMBS as CRE B-notes.
All interest coverage tests are passing. However, as all
overcollateralization tests are failing, as of the February 2010
trustee report, interest and principal proceeds (after class B)
are being redirected to redeem class A-1.
Under Fitch's updated methodology, approximately 53.4% 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 12% from the most recent available cash flows
(generally from third quarter 2009). Fitch estimates that
recoveries will average 25.6%, reflecting the high percentage of
subordinate debt and non-senior CMBS or CRE CDO tranches.
The largest component of Fitch's base case loss expectation are
three consecutive subordinate mortgage participations (8.47%)
secured by three gaming properties located in Atlantic City, NJ;
Robinsonville, MS; and Tunica, MS. The loan is 90-plus days
delinquent. The special servicer obtained updated appraisals
valuing the portfolio at less than the senior debt amount. As
such, Fitch modeled this position as a full loss in its base case
scenario.
The next largest component of Fitch's base case loss expectation
is a defaulted A-note (9.3%) secured by undeveloped land in
Orlando, FL. During January 2009, the sponsor defaulted on its
terms and the loan was transferred to special servicing. The
servicer is currently pursuing foreclosure. Simultaneously, the
land was put up for auction, and the servicer is currently
reviewing the bids. The servicer received an appraisal valuing
the property at less than the A-note. As such, Fitch modeled the
position as a term default with a significant loss in its base
case scenario.
The third largest component of Fitch's base case loss expectation
is from three CMBS rake bonds secured by a 243-room luxury resort
hotel in Ka'upulehu-Kona on the Kona-Kohala Coast of the Big
Island of Hawaii. The hotel had consistent operating performance
through 2008. In 2009, over a third of the rooms were offline for
a capital improvement project. Even post renovation, the loan is
considered to be over leveraged. As such, Fitch modeled the
position as a term default with a significant loss 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 this analysis, the credit characteristics for class A-1 are
generally consistent with the 'BB' rating category. The credit
characteristics for class A-2 and B are generally consistent with
the 'B' rating category.
The ratings for classes C through H are generally based on a
deterministic analysis, which considers Fitch's base case loss
expectation for the pool, defaulted assets and Fitch Loans of
Concern relative to each class' credit enhancement. Based on this
analysis, the rating for classes C, D and E is consistent with the
'CCC' rating, meaning default is a real possibility given the
credit enhancement to each class falls below Fitch's base case
loss expectation of 39.7%, but above the expected loss on the
defaulted assets and Fitch Loans of Concern. Although the credit
enhancement for class F is above the expected loss on the
defaulted assets and Fitch Loan of Concerns, its cushion was
considered tight. As a result, the rating of class F is
consistent with the 'CC' rating, meaning default is probable.
With respect to classes G and H, their credit enhancement is below
the total expected losses from defaulted assets. Therefore, the
rating of classes G and H is consistent with the 'C' rating,
meaning that default is inevitable.
Class S is an interest-only class with a notional balance of
$6 million. The interest amount is paid monthly out of CDO cash
flows and is pari passu in priority to class A-1. As such, class
S credit characteristics are consistent with a 'BB' rating.
Classes S, A through B are each assigned a Negative Outlook
reflecting Fitch's expectation of further negative credit
migration of the underlying collateral. Except for class S, these
classes were also assigned Loss Severity ratings ranging from
'LS3' to 'LS5' indicating each tranche's potential loss severity
given default, as evidenced by the ratio of tranche size to the
expected loss for the collateral under the 'B' stress. LS ratings
should always be considered in conjunction with probability of
default indicated by a class' long-term credit rating. Fitch does
not assign Outlooks or LS ratings to interest only classes or
classes rated 'CCC' or lower.
Classes C through H are assigned Recovery Ratings to provide a
forward-looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Recovery Ratings are
calculated using Fitch's cash flow model and incorporate Fitch's
current 'B' stress expectation for default and recovery rates
(53.4% and 25.6%, respectively), the 'B' stress US$ LIBOR up-
stress, and a 24-month recovery lag. All modeled distributions
are discounted at 10% to arrive at a present value and compared to
the class' tranche size to determine a Recovery Rating.
Classes C through H are assigned a Recovery Rating of 'RR6' as the
present value of the recoveries in each case is less than 10% of
each class's principal balance.
Fitch has downgraded and assigned LS and RR ratings and Outlooks
to these classes as indicated:
-- $6,000,000 class S downgraded to 'BB' from 'AA-'; Outlook
Negative;
-- $181,933,227 class A-1 downgraded to 'BB/LS3' from 'AA-';
Outlook Negative;
-- $22,800,000 class A-2 downgraded to 'B/LS5' from 'A'; Outlook
Negative;
-- $42,052,000 class B downgraded to 'B/LS5' from 'BBB+';
Outlook Negative;
-- $42,053,000 class C downgraded to 'CCC/RR6' from 'BBB';
-- $24,029,000 class D downgraded to 'CCC/RR6' from 'BBB-;
-- $28,139,056 class E downgraded to 'CCC/RR6' from 'BB+';
-- $18,457,651 class F downgraded to 'CC/RR6' from 'B';
-- $20,744,926 class G downgraded to 'C/RR6' from 'B';
-- $10,625,000 class H downgraded to 'C/RR6' from B;
Additionally, all classes are removed from Rating Watch Negative.
HALCYON LOAN: Moody's Reviews Ratings on Various Classes
--------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade the ratings of these notes issued by
Halcyon Loan Investors CLO II, Ltd:
-- US$270,500,000 Class A-1-S Senior Secured Floating Rate Notes
due 2021 (current outstanding balance of $262,051,683), A2
Placed Under Review for Possible Upgrade; previously on
June 17, 2009 Downgraded to A2;
-- US$30,250,000 Class A-1-J Senior Secured Floating Rate Notes
due 2021, Baa3 Placed Under Review for Possible Upgrade;
previously on June 17, 2009 Downgraded to Baa3;
-- US$23,000,000 Class A-2 Senior Secured Floating Rate Notes
due 2021, Ba2 Placed Under Review for Possible Upgrade;
previously on June 17, 2009 Downgrade to Ba2 ;
-- US$18,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, B3 Placed Under Review for Possible Upgrade;
previously on June 17, 2009, Downgraded to B3;
-- US$21,750,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2021, Ca Placed Under Review for Possible Upgrade;
previously on March 17, 2009, Downgraded to Ca.
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the credit quality of the underlying
portfolio and a significant increase in the overcollateralization
of the rated notes since the last rating action in June 2009. In
Moody's view, these positive developments coincide with
reinvestment of principal repayments and sale proceeds into
substitute assets with higher par amounts and/or higher ratings.
Improvement in the credit quality is observed through a decrease
in the dollar amount of defaulted securities and a decrease in the
proportion of securities from issuers rated Caa1 and below. In
particular, as of the last trustee report dated February 11, 2010,
defaulted securities total about $14 million, which is
significantly less than the $24 million in defaulted collateral
reported in May 2009. The proportion of securities rated Caa1 or
lower declined from 18.5% as of the last rating action to 14.6% as
of February 2010. Additionally, overcollateralization of the
rated notes has increased significantly since the last rating
action in June 2009, and interest payments on the Class B Notes,
the Class C Notes, and the Class D Notes are no longer being
deferred as a result of the cure of the Class A, Class B, Class C,
and Class D Overcollateralization Ratio Tests. Currently, all
these tests are in compliance whereas they were all failing in May
2009. As of the February 2010 trustee report, the Class A, Class
B, Class C, and Class D Overcollateralization Ratios are reported
at 120.1%, 113.5%, 106.5%, and 102.1% versus May 2009 levels of
110.7%, 104.6%, 98.3%, and 94.2%, respectively.
On June 17, 2009, Moody's downgraded all the Notes issued by
Halcyon Loan Investors CLO II, Ltd, 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.
Halcyon Loan Investors CLO II, Ltd, issued in April 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
HAMPTON ROADS: Moody's Downgrades Ratings on $276 Mil. Bonds
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings assigned to
approximately $276 million of outstanding Hampton Roads PPV, LLC
Military Housing Taxable Revenue Bonds, 2007 Series A. The
ratings remain on Watch for possible further downgrade. Class I
bonds in the approximate amount of $209.5 million has been
downgraded to Ba2 from Baa2 and Class II and Class III bonds in
the amounts of $37.7 million and $8.8 million, respectively, have
been downgraded to B1 from Baa3.
The ratings actions primarily reflect the project's deteriorating
performance as a result of the delay in construction and declining
demand for the units due to the departure of a large number of
eligible tenants due to a change in the homeport of one of the
aircraft carriers as well as ship deployments. The ratings remain
on watch because of the possibility of further deterioration in
the performance as the construction process is completed and
uncertainty about prospects for increasing occupancy given the
reduced demand for units resulting from a decrease in eligible
tenants.
Incorporated into the ratings actions is the diminished credit
quality of the debt service reserve surety policy provided by
Ambac Assurance Corporation, which has been downgraded to Caa2
from Ba3.
Recent Development:
The project's financial performance has been weaker than
originally expected. The declining performance is due in part to
a delay in the construction of 806 beds that are part of the Camp
Allen Mid-Rise, a six-story building that is about one mile
outside the gate. The delay was primarily caused by recent
weather conditions in the area. According to management, the
delay has not resulted in increased costs to the project and the
funding remains the same, although it has resulted in fewer units
than expected being on line. Capitalized interest draws have been
higher than anticipated due to weaker occupancy and financial
performance. Further, 2010 occupancy is expected to lag the
original project projections due to a decline in the number of
eligible tenants from the combined effects of an aircraft carrier
changing homeport at the end of calendar year 2009 and two large
groups of ships being deployed, while more units are coming on
line. This highlights the volatility of the project's revenue
stream which is highly dependent on ships coming in to port.
Moody's will continue to monitor the rating and take appropriate
action as needed.
Outlook
The credit is on Watch for possible further downgrade due to the
possibility of further decline in performance as the construction
process is completed and the volatility of the project's continued
occupancy going forward.
What Could Change The Rating Up
-- Cash funding of debt service reserve fund, replacement of the
surety provider or an upgrade of the current surety bond
provider and maintenance of strong debt service coverage.
What Could Change The Rating Down
-- Significant decline in the BAH or a continued decline in
occupancy levels that result in a decline in debt service
coverage.
-- Downsizing or closure of the Navy bases in the Norfolk area.
-- Further downgrade of the AIG, the Excess Collateral Funding
Agreement provider, which is available pursuant to the terms
of the Agreement to provide $6.5 million in liquidity.
The rating assigned to Hampton Roads PPV, LLC, was issued on
Moody's municipal rating scale. Moody's has announced its plans
to recalibrate all U.S. municipal ratings to its global scale and
therefore, upon implementation of the methodology published in
conjunction with this initiative, the rating will be recalibrated
to a global scale rating comparable to other credits with a
similar risk profile. Market participants should not view the
recalibration of municipal ratings as rating upgrades, but rather
as a recalibration of the ratings to a different rating scale.
This recalibration does not reflect an improvement in credit
quality or a change in Moody's credit opinion for rated municipal
debt issuers.
HARTFORD FINANCIAL: S&P Assigns 'BB' Rating on $500 Mil. Offering
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'BBB' issue rating
to Hartford Financial Services Group Inc.'s proposed $1.1 billion
senior debt offering.
Standard & Poor's assigned a 'BB' rating to HIG's proposed
$500 million mandatorily convertible preferred shares offering
that are subordinate to existing junior subordinated notes. These
securities qualify as high equity content hybrids under Standard &
Poor's classification because the preferred shares mandatorily
convert to equity within three years.
In addition, Standard & Poor's affirmed its ratings on HIG and its
subsidiaries and revised the outlook on all of these ratings to
negative from stable.
"The negative outlook on S&P's ratings on HIG and its subsidiaries
reflects its opinion that the improvement in HIG's earnings is
slower than previously expected due to impairments and realized
losses on investments in excess of expectations for the ratings.
S&P believes HIG's modest prospective financial flexibility in the
face of its ongoing sensitivity to equity markets, and investment
results could converge to erode the company's financial strength,"
said Standard & Poor's credit analyst Shellie Stoddard.
"The ratings affirmation reflects S&P's opinion that HIG's brand
and franchise survived a tumultuous 2008 and 2009 intact. HIG has
retained strong competitive positions in U.S. savings and
retirement, group life and disability, and small and middle
commercial and personal lines property/casualty markets.
Meanwhile, it has exited certain institutional funding and
international markets and repositioned itself in the U.S.
retirement market with a lower-risk variable annuity offering,"
said Ms. Stoddard.
Operating earnings from these core businesses reflect a strong
underwriting performance and higher assets under management.
However, increasing industry loss cost trends in the
property/casualty sector could erode the strength of HIG's
operating earnings. In addition, net income is recovering more
slowly than expected because of investment impairments and
realized losses. Despite the incremental improvement in the
company's investment risk profile, S&P believes future losses in
the investment portfolio will likely continue to slow improvement
in HIG's net income. The company has a high level of exposures to
certain financial instruments, such as commercial mortgage-backed
securities and certain troubled sectors (specifically financial
services).
The new debt and equity issues will improve the quality of HIG's
capitalization by increasing its equity content. HIG will use the
net proceeds of these securities -- plus existing funds and the
net proceeds of the proposed new common equity shares -- to
repurchase in full the $3.4 billion preferred stock held by the
U.S. Treasury Department (pursuant to its Capital Purchase Program
participation) and to pre-fund $675 million in senior debt
maturities in 2010 and 2011.
Debt leverage should decrease dramatically to less than 25% of
total capital from 32.5% at year-end 2009; financial leverage will
fall to 33% from 39% at year-end 2009. The previously higher debt
leverage reflected S&P's treatment of the preferred shares the
Treasury Department held. S&P treated these securities as debt
because in its opinion, it was never management's intent to keep
them as a permanent part of HIG's capital structure. GAAP
interest and fixed-charge coverage are currently at the low end of
expectations for the ratings but should improve as operating
earnings continue to recover.
Volatility of capital remains a threat due to ongoing stress in
the credit markets, and exposure to equity market declines as they
relate to variable annuity product guarantees. A dramatic drop in
the equity market (the S&P 500 at 700) would create an additional
$2 billion capital net of the benefits of HIG's current hedging
programs.
HIG's prospective financial flexibility, in S&P's opinion, is a
modest rating weakness. HIG's unrestricted access to a long-term
$500 million contingent capital facility is a source of prefunded
hybrid equity. However, its $1.9 billion bank line of credit,
which currently has favorable terms, matures in 2012. This
approaching maturity limits HIG's ability to use this source of
funds to weather more than temporarily increased adversity.
"S&P expects HIG to maintain its core business strength and
conservative risk management practices. Core operating earnings
will likely be stable over the next several quarters but lower
than pre-2008 levels. Increasing loss cost trends in
property/casualty operations may hamper future margin expansion,"
said Ms. Stoddard.
While not expected, the ratings could be lowered if: Hartford's
competitive position weakens; Hartford adopts more aggressive
competitive positioning to regain market share; the equity markets
decline sharply; investment losses do not dissipate; business
results deteriorate; or other economic pressures drive
capitalization lower than expected.
A return to a stable outlook would depend on enduring stable
market conditions and diminished risk of asset losses, with
sustained operating and improved net income, as well as sustained
competitive advantages in multiple business segments.
HESPERIA COMMUNITY: S&P Downgrades Ratings on 2005A Bonds to 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its long-term and
underlying ratings to 'BB' from 'BBB' on Hesperia Community
Redevelopment Agency, California's series 2005A tax allocation
bonds. The outlook is stable.
"The rating action reflects S&P's view of the significant assessed
value declines that reduced tax increment revenues and thus pushed
coverage of the non-housing bonds below 1x MADS based on the weak-
linked structure," said Standard & Poor's credit analyst Alda
Mostofi.
The series 2005A bonds are secured by a first lien on tax
increment revenues, net of senior pass-throughs and housing set-
asides from project area Nos. 1 and 2. The tax increment revenues
are not cross-collateralized, so increment revenue from one area
is not available to pay the obligations of the other. More
specifically, tax revenues generated from project area No. 1 are
pledged for payment of approximately 90.03% of the debt service
due on the series A bonds, and tax increment revenues from project
area No. 2 are pledged for payment of approximately 9.97% of the
series A bonds. Based on S&P's criteria, the rating for the
series A bonds reflects S&P's assessment of the credit quality of
the tax increment revenues from project area No. 2, which S&P
considers to be lower than the credit quality of the tax increment
revenues from project area No. 1. Project area Nos. 1 and 2 have
a parity lien obligation through a loan agreement with Hesperia
Public Financing Authority's series 2007A and B bonds.
The stable outlook reflects S&P's expectation that the agency can
temporarily meet its debt service obligations, primarily through
ongoing tax increment revenue and through the use of cash
resources for the current non-housing series shortfall. In S&P's
view, the cash funded reserves provide some support for meeting
debt service obligations, but only temporarily.
HUNTINGTON CDO: Fitch Downgrades Ratings on Four Classes of Notes
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Fitch Ratings has downgraded four and affirmed two classes of
notes issued by Huntington CDO, Ltd./Corp. as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in July 2009.
As of the February 2010 trustee report, the current balance of the
portfolio (including cash) is $574.2 million. Approximately 32.8%
of the portfolio has been downgraded since the last review.
Defaulted securities, as defined in the transaction's governing
documents, now comprise 40.3% of the portfolio, compared to 23.5%
at last review. The downgrades to the portfolio have left
approximately 65.5% of the portfolio (including defaults) with a
Fitch derived rating below investment grade and 55% with a rating
in the 'CCC' rating category or lower, compared to 58.1% and
44.4%, respectively, at last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'. Due
to the magnitude of the collateral deterioration, Fitch believes
that the likelihood of default for all classes of notes can be
assessed without using the Structured Finance Portfolio Credit
Model and 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 class A-1A and A-1B (together class A-1) notes have
a credit enhancement level of 44.8% compared to the 40.3% of the
portfolio considered distressed.
The class A/B Overcollaterlization test at 67.9% is failing the
covenant of 103.7%. Consequently, interest that would otherwise
be paid to the class C notes is being used to pay down the class
A-1 notes. On the most recent payment date on Feb. 5, 2010, the
amount of interest proceeds used to pay down the class A notes was
approximately $1,126,429. Even considering the effect of any
future interest diversion, given the amount of the performing
assets versus the outstanding balance of the class A notes, the
default risk of the class A notes is commensurate with a 'CC'
rating.
The class A-2 and B notes have credit enhancement levels of 25.3%
and 13.1%, respectively compared to the 40.3% of the portfolio
considered distressed. Therefore, these notes have been
downgraded to 'C' to indicate Fitch's belief that default is
inevitable at or prior to maturity.
The class C-1 and C-2 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.
Huntington is a cash flow structured finance collateralized debt
obligation that closed on March 29, 2005. The portfolio is
monitored by Western Asset Management Company. The portfolio is
composed of residential mortgage-backed securities (86.3%), asset-
backed securities (6.5%), commercial mortgage-backed securities
(4.4%), other CDOs (2.2%), and SF CDOs (0.6%).
Fitch has downgraded or affirmed these ratings as indicated:
-- $317,056,463 class A-1A notes downgraded to 'CC' from 'B';
-- $171,660 class A-1B notes downgraded to 'CC' from 'B';
-- $112,000,000 class A-2 notes downgraded to 'C' from 'CCC';
-- $70,000,000 class B notes downgraded to 'C' from 'CC;
-- $16,697,204 class C-1 notes affirmed at 'C';
-- $5,562,104 class C-2 notes affirmed at 'C'.
Additionally, the Stable Outlook and 'LS3' rating has been removed
from the class A-1 notes. Fitch does not assign Rating Outlooks
or LS Rating to classes rated 'CCC' or lower.
INFINITI SPC: S&P Downgrades Rating on Class B Notes to 'CC'
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Standard & Poor's Ratings Services lowered its rating on Infiniti
SPC Ltd. Aladdin 2006-1's class B to 'CC' from 'CCC-'.
The downgrade follows a number of credit events within the
underlying 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 a partial principal loss.
JER CRE: Moody's Downgrades Ratings on Eight Classes of Notes
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Moody's Investors Service downgraded eight classes of Notes issued
by JER CRE CDO 2005-1, Ltd., due to deterioration in the credit
quality of the underlying portfolio as measured by deterioration
in the weighted average rating factor. The rating action, which
concludes Moody's current review, is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation transactions.
JER CRE CDO 2005-1, Ltd., is a static Re-Remic CRE CDO transaction
backed by a portfolio of commercial mortgage backed securities
collateral (96.6% of the pool) and Re-Remic certificates (3.4% of
the pool). As of February 18, 2010, the aggregate Notes balance
of the transaction, including the Income Notes, has decreased to
$414.0 million from $416.0 million at issuance, due to
approximately $2.0 million in pay-downs to the Class A Notes. The
pay-down was triggered as a result of the failure of the Class
A/B, Class C, and Class D/E Overcollateralization Tests. Per the
Indenture, the failure of any Overcollateralization Test results
in all scheduled interest and principal payments being directed to
pay down the most senior notes, until such Overcollateralization
Test is satisfied.
Twenty-six assets totaling approximately $130.0 million par amount
(31% of the pool balance) were listed as defaulted and another
forty-seven assets totaling approximately $269.5 million par
amount (64.4% of the pool balance) as impaired securities as of
February 18, 2010.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, 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.
Moody's have completed updated credit estimates for the entire
pool and the results will be reflected in a future Trustee Report.
The bottom-dollar WARF is a measure of the default probability
within a collateral pool. Moody's modeled a bottom-dollar WARF of
5,347 compared to 2,314 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 seven years
compared to eight years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled the actual
WARR of 3.3% compared to 8.0% 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 54.9% compared to 57.0% 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.
The cash flow model, CDOEdge v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors.
Therefore, the rating outcome may differ from the model output.
The rating actions are:
-- Class A, Downgraded to Ba1; previously on February 26, 2010
A2 Placed Under Review for Possible Downgrade
-- Class B-1, Downgraded to B3; previously February 26, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Class B-2, Downgraded to B3; previously on February 26, 2010
Baa2 Placed Under Review for Possible Downgrade
-- Class C, Downgraded to Caa3; previously on February 26, 2010
Ba2 Placed Under Review for Possible Downgrade
-- Class D, Downgraded to C; previously on February 26, 2010 B1
Placed Under Review for Possible Downgrade
-- Class E, Downgraded to C; previously February 26, 2010 B2
Placed Under Review for Possible Downgrade
-- Class F, Downgraded to C; previously on February 26, 2010 B3
Placed Under Review for Possible Downgrade
-- Class G, Downgraded to C; previously February 26, 2010 Caa2
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 full review is summarized in
a press release dated January 23, 2009.
JP MORGAN: Fitch Downgrades Ratings on 2003-CIBC6 Securities
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Fitch Ratings downgrades, assigns Rating Outlooks and Loss
Severity Ratings to J.P. Morgan Chase Commercial Mortgage
Securities Corp., series 2003-CIBC6:
-- $15.6 million class H to 'BB/LS5' from 'BBB'; Outlook
Negative;
-- $5.2 million class J to 'BB/LS5' from 'BBB-'; Outlook
Negative;
-- $7.8 million class K to 'B/LS5' from 'BB+'; Outlook Negative;
-- $5.2 million class L to 'B-/LS5' from 'BB-'; Outlook
Negative;
-- $3.9 million class M to 'B-/LS5' from 'B+'; Outlook Negative;
-- $1.3 million class N to 'B-/LS5' from 'B'; Outlook Negative.
In addition Fitch has affirmed, assigned Rating Outlooks and LS
ratings:
-- $135.9 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $653.2 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- Interest-only classes X-1 and X-2 at 'AAA'; Outlook Stable;
-- $31.2 million class B at 'AAA/LS4'; Outlook Stable;
-- $32.5 million class C at 'AAA/LS4'; Outlook Stable;
-- $11.7 million class D at 'AA+/LS5'; Outlook Stable;
-- $14.3 million class E at 'AA-/LS5', Outlook Stable;
-- $10.4 million class F at 'A+/LS5'; Outlook Negative;
-- $13 million class G at 'A-/LS5'; Outlook Negative.
Fitch does not rate the $18.1 million class NR.
The downgrades are due to an increase in Fitch expected losses
upon the disposition of specially serviced assets along with
expected losses from Fitch's prospective review of potential
stresses. Rating Outlooks reflect the likely direction of any
changes to the ratings over the next one to two years.
There are 126 of the original 129 loans remaining in the
transaction, 23 of which have defeased (27.0% of the current
transaction balance. Three assets (1.79%) are specially serviced.
The largest specially serviced asset (0.97%) is an 82,100 square
foot retail center in Peoria, AZ. The loan transferred in
February due to imminent default. Bashas' (66.3% of net rentable
area), the largest tenant, filed for bankruptcy in July 2009.
Bashas' is still in occupancy but has asked for a reduction in
their rental rate. The potential exists for the Bashas' lease to
be rejected in bankruptcy court.
The second largest specially serviced asset (0.80%) is a suburban
office property in Piscataway, NJ. The loan transferred to the
special servicer July 8, 2009 for payment default. The special
servicer is working with the borrower on a discounted loan payoff.
The property lost the largest tenant, dropping the occupancy to
20%. The discounted payoff amount has been approved and the
servicer is awaiting the borrower to secure the funds for payoff.
The third largest specially serviced asset (0.78%) is a 51,294 sf
retail center located in Southlake, TX. The loan transferred
Sept. 9, 2009, for payment default. Occupancy at the property
fell to 35% after the loss of a large tenant. The special
servicer began the foreclosure process in January 2010.
Fitch stressed the cash flow of the remaining non-defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.5% and
10% to determine value.
Similar to Fitch's prospective analysis of recent vintage
commercial mortgage backed securities, each loan also underwent a
refinance test by applying an 8% interest rate and 30-year
amortization schedule based on the stressed cash flow. Loans that
could refinance to a debt service coverage ratio of 1.25 times or
higher were considered to pay off at maturity. Of the non-
defeased or non-specially serviced loans, none incurred a loss
when compared to Fitch's stressed value.
JP MORGAN: Fitch Takes Rating Actions on Various 2004-C1 Notes
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Fitch Ratings downgrades, assigns Rating Outlooks and Loss
Severity Ratings to JP Morgan Commercial Mortgage, series 2004-C1.
Affirmations are due to the pool's stable performance and minimal
future expected losses following Fitch's prospective review of
potential stresses to the transaction. The downgrades are the
result of projected losses on the two specially serviced assets
(1.58%). Rating Outlooks reflect the likely direction of any
changes to the ratings over the next one to two years.
There are 105 of the original 117 loans remaining in the
transaction, 19 of which have defeased (13.3% of the current
transaction balance).
The largest specially serviced asset (1.39%) is an office building
located in San Diego, CA. The loan transferred to special
servicing Oct. 11, 2009 due to monetary default. The borrower has
been unresponsive and the special servicer is still collecting due
diligence. Occupancy at the property declined to 58.7% as of
February 2009, down from 94% at issuance.
The second largest specially serviced asset (0.19%) is a
multifamily property located in Arlington, Texas. The loan
transferred to the special servicing Jan. 9, 2009 due to material
impairment default. The borrower negotiated to extend the date to
perform required repairs at the property until the end of March
2010. Borrower also won a $2.3 million judgment from the original
seller which has been appealed. The special servicer is working
with the borrowers' counsel to defend against the appeal so
proceeds can be used to pay down the loan. The borrower has
continued to remit monthly payments, which are currently being
held since the loan has been accelerated. Fitch stressed the cash
flow of the remaining non-defeased loans by applying a 10%
reduction to 2008 fiscal year end net operating income and
applying an adjusted market cap rate between 7.5% and 10% to
determine value.
Similar to Fitch's prospective analysis of recent vintage
commercial mortgage backed securities, each loan also underwent a
refinance test by applying an 8% interest rate and 30-year
amortization schedule based on the stressed cash flow. Loans that
could refinance to a debt service coverage ratio of 1.25 times or
higher were considered to pay off at maturity. Of the non-
defeased or non-specially serviced loans, none incurred a loss
when compared to Fitch's stressed value.
Fitch has downgraded and assigned LS ratings:
-- $207.3 million class M to 'B/LS5' from 'B+'; Outlook
Negative;
-- $303.2 million class N to 'B-/LS5' from 'B'; Outlook
Negative;
-- $172.4 million class P to 'B-/LS5' from 'B-'; Outlook
Negative.
In addition Fitch has affirmed, assigned Rating Outlooks and LS
ratings:
-- $207.3 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $303.2 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $172.4 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- Interest-Only class X-1 at 'AAA'; Outlook Stable;
-- Interest-Only class X-2 at 'AAA'; Outlook Stable.
-- $27.4 million class B at 'AAA/LS4'; Outlook Stable;
-- $11.7 million class C at 'AAA/LS5'; Outlook Stable;
-- $22.1 million class D at 'AA-/LS5'; Outlook Stable;
-- $13 million class E at 'A/LS5'; Outlook Stable;
-- $11.7 million class F to 'A-/LS5'; Outlook Stable;
-- $9.1 million class G at 'BBB+/LS5'; Outlook Stable;
-- $10.4 million class H at 'BBB-/LS5'; Outlook Stable;
-- $6.5 million class J at 'BB+/LS5'; Outlook Negative;
-- $5.2 million class K to 'BB/LS5'; Outlook Negative;
-- $10.4 million class L at 'BB-/LS5'; Outlook Negative.
Fitch does not rate the $11.1 million class NR.
JP MORGAN: Fitch Takes Rating Actions on Various Classes of Notes
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Fitch Ratings downgraded, assigned Loss Severity ratings and
revised Rating Outlooks for J.P. Morgan Chase Commercial Mortgage
Securities Corp. mortgage pass-through certificates, series 2004-
PNC1:
-- $13.7 million class C to 'BBB/LS3' from 'AA-'; Outlook to
Negative from Stable;
-- $17.8 million class D to 'BB/LS3' from 'A'; Outlook to
Negative from Stable;
-- $11 million class E to 'B/LS3' from 'A-'; Outlook Negative;
-- $16.5 million class F to 'B-/LS3' from 'BBB'; Outlook
Negative;
-- $11 million class G to 'B-/LS3' from 'BB+'; Outlook Negative.
Fitch affirmed and revised the Outlook on this class:
-- $28.8 million class B at 'AA/LS2'; Outlook to Negative from
Stable.
In addition, Fitch affirmed, maintained Stable Outlooks, and
assigned LS ratings to these classes as indicated:
-- $213 million class A-1A at 'AAA/LS1'; Outlook Stable;
-- $57.7 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $98 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $426.2 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X at 'AAA'; Outlook Stable.
-- $20.6 million class H at 'CCC/RR1';
-- $2.7 million class J at 'C/RR6';
-- $6.9 million class K at 'C/RR6';
-- $4.1 million class L at 'C/RR6';
-- $5.5 million class M at 'C/RR6';
-- $2.7 million class N at 'C/RR6';
-- $2.7 million class P at 'C/RR6'.
Fitch does not rate the $8.7 million class NR. Class A-1 has paid
in full.
The downgrades are due to an increase in expected losses on
specially serviced assets coupled with expected losses following
Fitch's prospective review of potential stresses to the
transaction. The majority of the total expected losses (79%) are
associated with loans currently in special servicing.
As of the February 2010 distribution date, the pool's certificate
balance has paid down 13.6% to $947.7 million from $1.1 billion at
issuance.
There are 96 of the original 100 loans remaining in transaction,
16 of which have defeased (23% of the current transaction
balance). There are ten specially serviced loans of which five
are current, three are 90 days delinquent and two are 60 days
delinquent. Fitch expects losses from loans currently in special
servicing to deplete classes J thru NR and impact class H.
The largest specially serviced asset (5.1%) was originally secured
by a portfolio of six retail properties totaling 683,846 square
feet, located in CT, NH, NC, and TN; of which two have been sold.
The loan was transferred to special servicing in July 2008. The
Borrower is a subsidiary of Centro Properties Group, and Centro
did not have the ability to obtain new debt. Originally, a
modification was negotiated, approved and documented which
extended the maturity date to Feb. 1, 2010 and provided terms for
the partial release of collateral (greater of 125% of allocated
loan balance or lender approved net sale proceeds) and the full
repayment of all lender costs and fees (including SS fees). A
second loan modification dated Jan. 29, 2010 was executed
extending the loan until Feb. 1, 2011 and allowing for another
one-year option to extend to Feb. 1, 2012.
The second largest specially serviced asset (3.4%) is secured by a
portfolio of five properties (four office and one industrial)
located in southern New Hampshire and northern Boston,
Massachusetts, totaling 527,749 sf. The loan transferred to
special servicing in March 2009 due to the borrower's inability to
make debt service payments as a result of the loss of three large
tenants. The borrower informed the special servicer that
insufficient tenant improvement funds caused the property to lose
tenants and made lease-up nearly impossible. Additionally, the
Guarantor is in litigation with the equity partner. A receiver
was appointed in June 2009 with the ability to market and sell the
property. The property is currently being marketed for sale and
Fitch expects significant losses upon liquidation of the asset.
Fitch stressed the cash flow of the remaining non defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.5% and
10% to determine value.
Similar to Fitch's prospective analysis of recent vintage CMBS,
each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt service
coverage ratio of 1.25 times or higher were considered to payoff
at maturity. Of the non-defeased or non-specially serviced loans,
six loans (4.5% of the pool) incurred a loss when compared to
Fitch's stressed value.
JP MORGAN: Moody's Affirms Ratings on Seven 2004-C3 Classes
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Moody's Investors Service affirmed the ratings of seven classes
and downgraded 15 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2004-C3. The downgrades are due to higher expected losses
for the pool resulting from realized and anticipated losses from
specially serviced and other highly leveraged loans, a decline in
overall pool performance and increased credit quality dispersion.
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.
Moody's placed 15 classes of this transaction on review for
possible downgrade on February 17, 2010, due to anticipated losses
from loans in special servicing. This action concludes the
review. The rating action is the result of Moody's on-going
surveillance of commercial mortgage backed securities
transactions.
As of the February 16, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 9% to $1.4 billion
from $1.5 billion at securitization. The Certificates are
collateralized by 142 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten non-defeased loans
representing 36% of the pool. Nine loans, representing 12% of the
pool, have defeased and are secured by U.S. Government securities.
No loans were defeased at Moody's last full review.
Thirty loans, representing 17% 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.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $4.3 million (47% loss severity on
average). Thirteen loans, representing 12% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Everest Portfolio Loan ($58.9 million -- 4.2% of the
pool), which is secured by six office and industrial buildings
totaling 676,000 square feet. All of the properties are located
in Massachusetts. The loan was transferred to special servicing
in May 2009 for imminent default and was not able to obtain
refinancing on its January 1, 2010 maturity date. The remaining
12 specially serviced loans are secured by a mix of multifamily,
retail, office and manufactured home parks. Four of the loans,
representing 3% of the pool, are currently in the process of being
extended or returned to the master servicer. Moody's is not
estimating losses for these loans and they are analyzed as part of
the conduit pool. Moody's has estimated a $61.7 million aggregate
loss for ten of the specially serviced loans (44% loss severity on
average).
Moody's has assumed a high default probability on nine loans,
representing approximately 6% of the pool. These loans mature
within the next 36 months and have a Moody's stressed DSCR less
than 1.0X or are currently delinquent. Moody's has estimated a
$22.6 million aggregate loss on these loans (25% loss severity on
average).
Moody's was provided with year-end 2008 and partial-year 2009
operating statements for 93% and 68%, respectively, of the pool.
Moody's weighted average LTV for the conduit pool, excluding
specially serviced and troubled loans, is 100% compared to 97% at
Moody's prior full review. In addition the overall increase in
LTV, the pool has also experienced increased credit quality
dispersion. Based on Moody's analysis, 55% of the pool has an LTV
in excess of 100% compared to 31% at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.41X and 1.03X, respectively, compared to
1.46X and 1.02X 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 score of 28, compared to 37 at last review.
The top three loans represent 21% of the pool. The largest
conduit loan is the DDR Portfolio Loan ($150.5 million -- 10.8% of
the pool), which consist of a portfolio of 13 crossed
collateralized and crossed defaulted loans secured by properties
located in New York (9 properties), Ohio (1), Georgia (1),
Tennessee (1) and Mississippi (1). The portfolio totals
1.6 million square feet and is approximately 92% leased compared
to 98% at last review. The portfolio's performance has declined
since last review due to a decline in rental income. The loan is
interest only for its entire term. Moody's LTV and stressed DSCR
are 114% and 0.85X, respectively, compared to 97% and 0.99X at
last review.
The second largest loan is the 345 Park Avenue South Loan
($72.8 million -- 5.2% of the pool), which is secured by a 272,348
square foot office building located in New York City. As of
September 2009 the property was 93% leased compared to 96% at last
review. Net operating income for calendar year 2008 was 10% lower
than for calendar year 2007. The decline is due to a decrease in
rental income and expense reimbursements. Moody's LTV and
stressed DSCR are 118% and 0.80X, respectively, compared to 98%
and 0.96X at last review.
The third largest loan is the Crossroads Shopping Center Loan
($62.2 million -- 4.5% of the pool), which is secured by a 310,000
square foot retail center located in White Plains, New York. The
property was 96% leased as of September 2009 compared to 98% at
last review. NOI for the 12-month period ending September 2009
was 10% lower than NOI for calendar year 2008. The decline is due
to a decrease in rental revenues. Moody's LTV and stressed DSCR
are 115% and 0.75X, respectively, compared to 98% and 0.88X at
last review.
Moody's rating action is:
-- Class A-2, $115,837,465, affirmed at Aaa previously assigned
Aaa on 12/29/2004
-- Class A-3, $235,827,000, affirmed at Aaa; previously assigned
Aaa on 12/29/2004
-- Class A-4, $166,135,000, affirmed at Aaa; previously assigned
Aaa on 12/29/2004
-- Class A-5, $421,433,000, affirmed at Aaa; previously assigned
Aaa on 12/29/2004
-- Class A-1A, $175,823,774, affirmed at Aaa; previously
assigned Aaa on 12/29/2004
-- Class X-1, Notional, affirmed at Aaa; previously assigned Aaa
on 12/29/2004
-- Class X-2, Notional, affirmed at Aaa; previously assigned Aaa
on 12/29/2004
-- Class A-J, $87,251,000, downgraded to Aa3 from Aaa;
previously placed on review for possible downgrade on
2/17/2010
-- Class B, $43,626,000, downgraded to Baa1 from Aa2; previously
placed on review for possible downgrade on 2/17/2010
-- Class C, $13,277,000, downgraded to Baa2 from Aa3; previously
placed on review for possible downgrade on 2/17/2010
-- Class D, $13,277,000, downgraded to Ba1 from A1; previously
placed on review for possible downgrade on 2/17/2010
-- Class E, $15,174,000, downgraded to Ba3 from A2; previously
placed on review for possible downgrade on 2/17/2010
-- Class F, $15,174,000, downgraded to B3 from A3; previously
placed on review for possible downgrade on 2/17/2010
-- Class G, $18,968,000, downgraded to Caa2 from Baa1;
previously placed on review for possible downgrade on
2/17/2010
-- Class H, $15,174,000, downgraded to Caa3 from Baa2;
previously placed on review for possible downgrade on
2/17/2010
-- Class J, $20,865,000, downgraded to Ca from Baa3; previously
placed on review for possible downgrade on 2/17/2010
-- Class K, $7,587,000, downgraded to C from Ba1; previously
placed on review for possible downgrade on 2/17/2010
-- Class L, $5,690,000, downgraded to C from Ba2; previously
placed on review for possible downgrade on 2/17/2010
-- Class M, $9,484,000, downgraded to C from Ba3; previously
placed on review for possible downgrade on 2/17/2010
-- Class N, $3,793,000, downgraded to C from B1; previously
placed on review for possible downgrade on 2/17/2010
-- Class P, $5,691,000, downgraded to C from B2; previously
placed on review for possible downgrade on 2/17/2010
-- Class Q, $5,690,000, downgraded to C from B3; previously
placed on review for possible downgrade on 2/17/2010
JP MORGAN: Moody's Affirms Ratings on 10 Series 2005-LDP3 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of ten classes and
downgraded 12 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2005-LDP3. The downgrades are due to increased credit
quality dispersion, 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. Eighteen
loans, representing 7% of the pool, mature within the next six
months. Four of these loans, representing 2% of the pool, have a
Moody's stressed debt service coverage ratio below 1.00X. The
affirmations are due to key rating parameters, including Moody's
loan to value ratio, Moody's stressed DSCR and the Herfindahl
Index, remaining within acceptable ranges.
Moody's placed 12 classes of this transaction on review for
possible downgrade on March 10, 2010 due to higher expected losses
for the pool resulting from realized and anticipated losses from
loans in special servicing. This action concludes the review.
The rating action is the result of Moody's on-going surveillance
of commercial mortgage backed securities transactions.
As of the March 15, 2010 statement date, the transaction's
aggregate certificate balance has decreased 8% to $1.9 billion
from $2.0 billion at securitization. The certificates are
collateralized by 226 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten non-defeased loans
representing 34% of the pool. Four loans, representing 5% of the
pool, have defeased and are secured by U.S. Government securities.
At last review, one loan, representing 5% of the pool, had an
investment grade underlying rating. However, due to a decline in
performance and increased leverage this loan is now analyzed as
part of the conduit pool.
Sixty-eight loans, representing 13% 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.
Twelve loans, representing 6% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Sikes Senter Mall Loan ($60.4 million -- 3% of the pool), which is
secured by the borrower's interest in a 668,086 square foot
regional center located in Wichita Falls, Texas. The loan sponsor
is an affiliate of General Growth Properties, Inc. The loan was
transferred to special servicing in April 2009 due to GGP's
bankruptcy filing, but it is expected to be modified and
transferred back to the master servicer upon the resolution of the
bankruptcy proceedings. The center is anchored by Dillard's, JC
Penney and Sears. The inline space was 98% leased as of September
2009, essentially the same as at the prior review. Although
occupancy has been stable, the property's performance has declined
due to a drop in rental revenues. The loan is not included in
Moody's current loss estimate for specially serviced loans and is
analyzed as part of the conduit pool where a potential loss
estimate has been recognized. Moody's LTV and stressed DSCR are
128% and 0.76X, respectively, compared to 111% and 0.91X at last
review.
The remaining ten specially serviced loans are secured by a mix of
retail, multifamily and office properties. Moody's estimates an
aggregate $31.0 million loss for these specially serviced loans
(53% loss severity on average). The servicer has recognized an
aggregate $19.7 million appraisal reduction for seven of the
specially serviced loans.
Moody's has assumed a high default probability for three loans
representing 2% of the pool. These loans mature within the next
six months and have a Moody's stressed DSCR less than 1.00X or are
highly leveraged watchlisted loans. Moody's has estimated an
aggregate $7.0 million loss on these loans based on a 75% default
probability and a 31% weighted average loss severity. 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 98% and 83%, respectively, of the pool.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 105% compared to 95% at Moody's prior review. In
addition to increased leverage, credit quality dispersion has also
increased. Based on Moody's analysis, 23% of the conduit pool has
a LTV greater than 120% compared to 0% at last review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.42X and 0.99X, respectively, compared to
1.56X and 1.07X 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 44 compared to 50 at Moody's prior review.
The loan that originally had an underlying rating is the Loews
Universal Hotel Portfolio Loan ($100.0 million - 5.4% of the
pool), which represents a pari passu interest in a $450.0 million
first mortgage loan. The loan is secured by three full-service
hotel properties located in Orlando, Florida. The portfolio
contains 2,400 guest rooms. The portfolio's net operating income
(NOI) for the trailing 12-month period ending September 2009 was
29% less than at last review due to a decline in tourist and
business travel. Moody's current LTV and stressed DSCR are 111%
and 1.05X, respectively, compared to 66% and 1.84X at last review.
The top three performing conduit loans represent 15% of the pool
balance. The largest loan is the Shoppes at Buckland Hills Loan
($162.2 million -- 8.7% of the pool), which is secured by the
borrower's interest in a 985,000 square foot regional mall
(473,000 square feet of collateral) located in Manchester,
Connecticut. The mall is anchored by Macy's, Sears, and JC
Penney. The in-line shops were 89% leased as of September 2009
compared to 87% at last review. Despite stable occupancy,
performance has declined due to a drop in rental revenues. The
loan sponsor is GGP, but this loan was not included in GGP's
bankruptcy filing. Moody's LTV and stressed DSCR are 99% and
0.90X, respectively, compared to 89% and 1.00X at last review.
The second largest loan is the Four Seasons Hotel Loan
($80.0 million -- 4.3% of the pool), which is secured by a 273-
room luxury hotel located in Boston, Massachusetts. NOI for the
trailing 12-month period ending September 2009 was 24% less than
the same 12-month period in 2008. Occupancy and revenue per
participating room for the 12-month period ending September 2009
were 68% and $278, respectively, compared to 76% and $358 in 2008.
The loan is interest only for the first 60 months of its term,
amortizing on a 300-month schedule thereafter. Moody's LTV and
stressed DSCR are 147% and 0.74X, respectively, compared to 76%
and 1.46X at last review.
The third largest loan is the New Center One Building
($44.0 million -- 2.4% of the pool), which is secured by a Class B
office building located in Detroit, Michigan. The property was
78% leased as of July 2009 compared to 75% at securitization. The
property's performance has declined since last review due to a
slight drop in revenues and increased operating expenses. Moody's
LTV and stressed DSCR are 159% and 0.65X, respectively, compared
to 139% and 0.76X at last review.
Moody's rating action is:
-- Class A-2, $188,948,470, affirmed at Aaa; previously on
9/6/2005 assigned Aaa
-- Class A-3, $269,596,000, affirmed at Aaa; previously on
9/6/2005 assigned Aaa
-- Class A-4A, $546,251,000, affirmed at Aaa; previously on
9/6/2005 assigned Aaa
-- Class A-4B, $78,036,000, affirmed at Aaa; previously on
9/6/2005 assigned Aaa
-- Class A-SB, $104,651,000, affirmed at Aaa; previously on
9/6/2005 assigned Aaa
-- Class A-1A, $302,323,657, affirmed at Aaa; previously on
9/6/2005 assigned Aaa
-- Class X-1, Notional, affirmed at Aaa; previously on 9/6/2005
assigned Aaa
-- Class X-2, Notional, affirmed at Aaa; previously on 9/6/2005
assigned Aaa
-- Class A-J, $151,703,000, downgraded to A2 from Aaa;
previously on 3/4/2010 placed on review for possible
downgrade
-- Class B, $37,925,000, downgraded to Baa1 from Aa2; previously
on 3/4/2010 placed on review for possible downgrade
-- Class C, $17,699,000, downgraded to Baa2 from Aa3; previously
on 3/4/2010 placed on review for possible downgrade
-- Class D, $37,926,000, downgraded to Baa3 from A2; previously
on 3/4/2010 placed on review for possible downgrade
-- Class E, $17,699,000, downgraded to B1 from A3; previously on
3/4/2010 placed on review for possible downgrade
-- Class F, $27,812,000, downgraded to Caa1 from Baa1;
previously on 3/4/2010 placed on review for possible
downgrade
-- Class G, $20,227,000, downgraded to Caa3 from Baa2;
previously on 3/4/2010 placed on review for possible
downgrade
-- Class H, $25,284,000, downgraded to Ca from Baa3; previously
on 3/4/2010 placed on review for possible downgrade
-- Class J, $10,113,000, downgraded to C from Ba1; previously on
3/4/2010 placed on review for possible downgrade
-- Class K, $10,114,000, downgraded to C from Ba2; previously on
3/4/2010 placed on review for possible downgrade
-- Class L, $7,585,000, downgraded to C from B1; previously on
3/4/2010 placed on review for possible downgrade
-- Class M, $2,528,000, downgraded to C from B2; previously on
3/4/2010 placed on review for possible downgrade
-- Class N, $7,384,144, affirmed at C; previously on 3/4/2010
downgraded to C from B3
-- Class O, $0, affirmed at C; previously on 3/4/2010 downgraded
to C from Caa1
JPMORGAN-CIBC COMMERCIAL: S&P Cuts Ratings on Seven Securities
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage-backed securities pass-through
certificates from JPMorgan-CIBC Commercial Mortgage-Backed
Securities Trust 2006-RR1, a U.S. resecuritization of real-estate
mortgage investment conduit transaction. All of the lowered
ratings and two additional ratings remain on CreditWatch negative.
The lowered ratings reflect S&P's analysis of the transaction
following S&P's downgrades of 21 CMBS certificates that serve as
underlying collateral for JPMCIBC 2006-RR1. The downgraded CMBS
($163.3 million, 31.2% of the pool balance) are from 12 CMBS
transactions. Nine ratings from JPMCIBC 2006-RR1 remain on
CreditWatch negative due to the transaction's exposure to CMBS
collateral with ratings on CreditWatch negative ($34.9 million,
6.7%) and liquidity interruptions affecting the transaction.
According to the Feb. 23, 2010, trustee report, 83 CMBS
certificates ($523.9 million, 100%) from 53 distinct transactions
issued between 2002 and 2006 collateralized JPMCIBC 2006-RR1.
JPMCIBC 2006-RR1 has significant exposure to these CMBS
certificates that Standard & Poor has downgraded:
* JPMorgan Chase Commercial Mortgage Securities Trust 2005-LDP5
(classes D, J, and K; $36.4 million, 6.9%);
* Wachovia Bank Commercial Mortgage Trust 2005-C21 (classes G and
H; 17 million, 3.2%); and
* ML-CFC Commercial Mortgage Securities Trust 2006-1 (classes G
and H; $16 million, 3.1%).
S&P will update or resolve its CreditWatch negative placements on
JPMCIBC 2006-RR1's certificates in conjunction with its
CreditWatch resolutions of the underlying CMBS assets or if the
liquidity interruption to the transaction continues. If S&P
determines that any interest shortfalls incurred by the classes
with ratings on CreditWatch negative will be ongoing and not
recovered for an extended period of time, S&P may lower the
applicable ratings to 'D'.
Ratings Lowered And Remaining On Creditwatch Negative
JPMorgan-CIBC Commercial Mortgage-Backed Securities Trust 2006-RR1
Rating
------
Class To From
----- -- ----
A1 BBB+/Watch Neg AA/Watch Neg
A2 BB/Watch Neg BBB-/Watch Neg
B B/Watch Neg BB+/Watch Neg
C CCC+/Watch Neg BB-/Watch Neg
D CCC/Watch Neg B/Watch Neg
E CCC-/Watch Neg B-/Watch Neg
F CCC-/Watch Neg CCC+/Watch Neg
Ratings Remaining On Creditwatch Negative
JPMorgan-CIBC Commercial Mortgage-Backed Securities Trust 2006-RR1
Class Rating
----- ------
G CCC-/Watch Neg
H CCC-/Watch Neg
KEY COMMERCIAL: Moody's Downgrades Ratings on 13 2007-SL1 Certs.
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 13 classes of
Key Commercial Mortgage Securities Trust 2007-SL1, Commercial
Mortgage Pass-Through Certificates, Series 2007-SL1 due to higher
expected losses for the pool resulting from anticipated losses
from specially serviced and highly leveraged watchlisted 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 $7.4 million, which represents
3% 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 March 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 8% to
$219.4 million from $237.5 million at securitization. The
Certificates are collateralized by 149 mortgage loans ranging in
size from less than 1% to 3% of the pool, with the top ten loans
representing 22% of the pool.
Forty-eight loans, representing 31% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the
Commercial Mortgage Securities Association's monthly reporting
package. As part of Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
The pool has not experienced any losses since securitization.
Currently, there are four loans, representing 2% of the pool,
in special servicing. Moody's has estimated an aggregate
$2.9 million loss for the specially serviced loans (60% loss
severity on average).
Moody's has assumed a high default probability on 20 loans
representing 16% of the pool. These loans are either on the
watchlist or have a Moody's stressed debt service coverage less
than 1.0X. Moody's has estimated an aggregate $8.8 million loss
for these loans based on a 50% default probability and a 60% loss
severity. Moody's rating action recognizes potential uncertainty
around the timing and magnitude of loss from these troubled loans.
Moody's rating action is:
-- Class A-1, $23,482,971, downgraded to A3 from A1; previously
downgraded to A1 from Aaa on 2/11/2009
-- Class A-1A, $75,982,172 downgraded to A3 from A1; previously
downgraded to A1 from Aaa on 2/11/2009
-- Class A-2, $91,723,000, downgraded to A3 from A1; previously
downgraded to A1 from Aaa on 2/11/2009
-- Class X, Notional, downgraded to A3 from A1; previously
downgraded to A1 from Aaa on 2/11/2009
-- Class B, $5,344,000, downgraded to Baa3 from A3; previously
downgraded to A3 from Aa2 on 2/11/2009
-- Class C, $5,640,000, downgraded to B2 from Baa3; previously
downgraded to Baa3 from A2 on 2/11/2009
-- Class D, $4,750,000, downgraded to Caa1 from Ba2; previously
downgraded to Ba2 from Baa1 on 2/11/2009
-- Class E, $2,079,000, downgraded to Caa2 from B1; previously
downgraded to B1 from Baa2 on 2/11/2009
-- Class F, $1,781,000, downgraded Caa3 from B3; previously
downgraded to B3 from Baa3 on 2/11/2009
-- Class G, $1,187,000, downgraded to Ca from Caa2; previously
downgraded to Caa2 from Ba1 on 2/11/2009
-- Class H, $1,188,000, downgraded to C from Caa2; previously
downgraded to Caa2 from Ba2 on 2/11/2009
-- Class J, $891,000, downgraded to C from Caa3; previously
downgraded to Caa3 from Ba3 on 2/11/2009
-- Class K, $593,000, downgraded to C from Caa3; previously
downgraded to Caa3 from B1 on 2/11/2009
KKR FINANCIAL: Moody's Reviews Ratings on Five Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade the ratings of these notes issued by
KKR Financial CLO 2005-1, Ltd.:
-- US$58,000,000 Class B Senior Secured Floating Rate Notes
Due 2017, Baa3 Placed Under Review for Possible Upgrade;
previously on February 13, 2009 Downgraded to Baa3;
-- US$64,000,000 Class C Deferrable Mezzanine Secured
Floating Rate Notes Due 2017, Ba3 Placed Under Review for
Possible Upgrade; previously on February 13, 2009 Downgraded
to Ba3;
-- US$64,000,000 Class D Deferrable Mezzanine Secured
Floating Rate Notes Due 2017 (current outstanding balance of
$52,000,000), Caa2 Placed Under Review for Possible Upgrade;
previously on August 18, 2009 Upgraded to Caa2;
-- US$15,000,000 Class E Deferrable Mezzanine Floating Rate
Notes, Due 2017, Caa3 Placed Under Review for Possible
Upgrade; previously on August 18, 2009 Upgraded to Caa3;
-- US$5,000,000 Class F Deferrable Mezzanine Secured Floating
Rate Notes Due 2017, Ca Placed Under Review for Possible
Upgrade; previously on February 13, 2009 Downgraded to Ca.
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the overcollateralization of the
notes, a reduction in exposure to defaulted assets, and
stabilization in the credit quality of the collateral since the
last rating action in August 2009. The actions also consider the
implications of a recent agreement announced by KKR Financial
Holdings LLC which stipulates that -- subject to certain
conditions -- KKR Financial Holdings LLC will not undertake any
future cancellation of mezzanine and junior notes issued to it by
KKR Financial CLO 2005-1, Ltd.
Moody's observes that the transaction's overcollateralization
ratios have improved steadily since July 2009. Based on the
February 2010 trustee report, the senior overcollateralization
ratio is 128.84% compared to a level of 125.97% as of July 2009.
The Class C/D overcollateralization ratio is 112.03% compared to
109.53% as of July 2009. The Class E overcollateralization ratio
is 110.17% compared to 107.72% as of July 2009. The dollar amount
of defaulted assets currently held by the deal is also reported to
have decreased from $74.2 million in July 2009 to $38.5 million in
February 2010.
On July 10, 2009, KKR Financial Holdings LLC surrendered for
cancellation $12 million of the principal amount of the Class D
Notes, without receiving any payment in exchange. The surrendered
notes were cancelled upon receipt by the trustee, and the related
debt was extinguished by the issuer. On August 18, 2009, in
consideration of the impact of this note cancellation on the
operation of the overcolateralization tests and the related cash
flow re-diversion throughout the entire capital structure of KKR
Financial CLO 2005-1, Ltd., Moody's upgraded the Class D notes and
Class E notes. Moodys' also noted that the senior notes were
negatively impacted by the note cancellation, although the overall
effect on their ratings was not material. In November 2009 KKR
Financial Holdings LLC announced that it had agreed not to
undertake a comparable surrender for cancellation of any mezzanine
notes or junior notes issued to it by KKR Financial CLO 2005-1,
Ltd., KKR Financial CLO 2005-2, Ltd., KKR Financial CLO 2006-1,
Ltd., KKR Financial CLO 2007-1, Ltd., or KKR Financial 2007-A,
Ltd., without consideration in the future, for so long as no
challenge is brought to the company's prior surrender of CLO notes
by the controlling class note holders of KKR Financial CLO 2005-2,
Ltd. Moody's views this development as beneficial to maintaining
the predictability of future cash flow diversion based on
overcollateralization tests that were put in place at the deal's
closing.
KKR Financial CLO 2005-1, Ltd., issued in 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
KLEROS PREFERRED: Fitch Downgrades Ratings on Three Classes
-----------------------------------------------------------
Fitch Ratings has downgraded three and affirmed two classes of
notes issued by Kleros Preferred Funding, Ltd. due to
deterioration in the credit quality of the portfolio since last
review.
As of the January 2010 trustee report, the current balance of the
portfolio is $721.4 million including $114.4 million in defaulted
securities as defined in the transaction's governing documents.
Defaulted securities now comprise 15.9% of the portfolio, compared
to 8.4% at last review in April 2009. Approximately 71.5% of the
portfolio has been downgraded since Fitch's last rating action,
resulting in 64.8% of the portfolio with a Fitch derived rating
below investment grade and 35.2% with a rating in the 'CCC' rating
category or below, as compared to 27.6% and 12.2%, 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.
Based on the credit quality of the remaining portfolio, Fitch
believes default is inevitable for all classes of notes issued by
Kleros. The class A-1 notes represent 81.1% of the current
capital structure and have a credit enhancement of 16.3%, more
than twice the level of assets rated 'CCC' and lower.
While the class A-2 and class B notes 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 C and class D notes are no longer receiving interest
distributions and are not expected to receive any proceeds going
forward.
Kleros is a cash flow collateralized debt obligation, which closed
on June 3, 2005 and is managed by Strategos Capital Management,
LLC. Presently, 65.4% of the portfolio is comprised of subprime
residential mortgage-backed securities, 18.4% prime RMBS, 12.8%
structured finance CDO, and 3.4% corporate CDOs.
Fitch has taken rating actions on these classes:
-- $606,746,406 class A-1 downgraded to 'C' from 'B',
-- $60,614,986 class A-2 downgraded to 'C' from 'CCC';
-- $45,571,851 class B downgraded to 'C' from 'CC';
-- $11,818,814 class C affirmed at 'C';
-- $7,885,451 class D affirmed at 'C'.
LB-UBS COMMERCIAL: Moody's Reviews Ratings on 13 2004-C8 Certs.
---------------------------------------------------------------
Moody's Investors Service placed thirteen classes of LB-UBS
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2004-C8 on review for possible downgrade due
to higher expected losses for the pool resulting from anticipated
losses from specially serviced and highly leveraged watchlisted
loans, interest shortfalls and concerns about refinancing risk
associated with loans approaching maturity in an adverse
environment. Forty-seven loans, representing 25% of the pool,
mature over the next 36 months. Thirty-nine of these loans,
representing 18% of the pool, have a Moody's stressed debt service
coverage ratio below 1.00X. The rating action is the result of
Moody's on-going surveillance of commercial mortgage backed
securities transactions.
As of the February 18, 2010 statement date, the transaction's
aggregate certificate balance has decreased 18% to $1.1 billion
from $1.3 billion at securitization. The 83 mortgage loans that
collateralize the Certificates range in size from less than 1% to
11% of the pool, with the top ten non-defeased loans representing
31% of the pool. The pool contains three loans, representing 18%
of the pool, with underlying investment grade ratings. Three
loans, representing 21% of the pool, have defeased and are secured
by U.S. Government securities. Defeasance at last review
represented 19% of the pool.
At present, 17 loans, representing 12% of the pool, are on the
master servicer's watchlist. The watch list 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.
To date, two loans have been liquidated from the pool, resulting
in a $48,648 aggregate loss (1.2% loss severity on average).
Twenty-one loans, representing 25% of the pool, are currently in
special servicing. The specially serviced loans are secured by a
mix of multifamily, office and unanchored and anchored retail
center properties.
Based on the most recent remittance statement, Classes J through
T have experienced cumulative interest shortfalls totaling
$3.1 million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions and extraordinary
trust expenses.
Moody's review will focus on the performance of the overall pool
and potential losses from specially serviced loans.
Moody's rating action is:
-- Class A-J, $85,223,000, Aaa, on review for possible
downgrade; previously assigned Aaa on 12/07/2004;
-- Class B, $19,669,000, Aaa, on review for possible downgrade,
previously upgraded to Aaa from Aa1 on 3/30/07;
-- Class C, $19,669,000, Aa2, on review for possible downgrade;
previously assigned Aa2 on 12/07/2004;
-- Class D, $14,752,000, Aa3, on review for possible downgrade;
previously assigned Aa3 on 12/07/2004;
-- Class E, $14,752,000, A1, on review for possible downgrade;
previously assigned A1 on 12/07/2004;
-- Class F, $16,391,000, A3; on review for possible downgrade;
previously downgraded to A3 from A2 on 5/07/09
-- Class G, $11,473,000, Baa1; on review for possible downgrade;
previously downgraded to Baa1 from A3 on 5/07/09
-- Class H, $13,113,000, Baa3; on review for possible downgrade;
previously downgraded to Baa3 from Baa1 on 5/07/09
-- Class J, $9,838,000, Ba2; on review for possible downgrade;
previously downgraded to Ba2 from Baa2 on 5/07/09
-- Class K, $16,391,000, B1; on review for possible downgrade;
previously downgraded to B1 from Baa3 on 5/07/09
-- Class L, $6,556,000, B2; on review for possible downgrade;
previously downgraded to B2 from Ba1 on 5/07/09
-- Class M, $4,918,000, B3; on review for possible downgrade;
previously downgraded to B3 from Ba2 on 5/07/09
-- Class N, $4,917,000, Caa1; on review for possible downgrade;
previously downgraded to Caa1 from Ba3 on 5/07/09
LB-UBS COMMERCIAL: S&P Downgrades Ratings on 14 2005-C1 CMBS
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of commercial mortgage-backed securities from LB-UBS
Commercial Mortgage Trust 2005-C1 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on eight additional classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of its rating actions. The downgrades of the subordinate
classes also reflect credit support erosion S&P anticipate will
occur upon the eventual resolution of two specially serviced
assets, 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 1.70x and a loan-to-value ratio
of 87.0%. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 1.07x and an LTV
ratio of 113.2%. The implied defaults and loss severity under the
'AAA' scenario were 58.1% and 26.1%, respectively. The DSC and
LTV calculations S&P noted above exclude two ($14.4 million, 1.1%)
of the eight specially serviced assets and three additional loans
that S&P determined to be credit-impaired ($35.5 million, 2.7%).
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
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its ratings on the class X-
CL and X-CP 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 February 2010 remittance report, eight assets
($90.1 million, 6.9%) in the pool were with the special servicer,
CWCapital Asset Management. Two of the loans are 90-plus-days
delinquent ($17.2 million, 1.3%). Six ($72.8 million, 5.6%) were
unable to refinance at maturity.
The Great Neck Roslyn Portfolio loan, which has a total exposure
of $26.5 million (2.0%), is the largest loan with the special
servicer. The loan is secured by two office buildings totaling
243,979-sq.-ft. in Great Neck, N.Y. Reported DSC and occupancy as
of year-end 2008 was 1.03x and 90.3%, respectively. The loan was
transferred to the special servicer on Jan. 21, 2010, due to an
imminent maturity default that subsequently occurred on Feb. 11,
2010. It is S&P's understanding that the borrower is requesting a
loan modification, and CWCapital has issued a prenegotiation
letter.
The seven remaining specially serviced assets that were listed in
the February remittance report ($63.7 million, 4.9%) have balances
that individually represent less than 1.4% of the total pool
balance. S&P estimated losses for two of these assets resulting
in a weighted average loss severity of 17.0%. CWCapital has
indicated that it is working on potential loan modifications for
the remaining five assets. Four of the five loans experienced
maturity defaults.
In addition to the specially serviced assets, S&P determined three
loans ($35.4 million; 2.7%) to be credit-impaired. The largest
credit-impaired loan, the Atlantic Building loan ($28.4 million;
2.2%), is secured by a 315,993-sq.-ft. office building in
Philadelphia, Pa. For the nine months ended Sept. 30, 2009, the
reported occupancy and DSC were 99.8% and 1.24x, respectively.
However, the master servicer, Wachovia Bank N.A., reported that
occupancy at the property dropped to 76.2% in January 2010.
Furthermore, the master servicer projects occupancy to decline to
50% on or before July 2010 due to near-term lease expirations.
The two additional credit-impaired loans ($7.1 million, 0.5%) both
reported occupancies below 70% and DSCs below 0.60x. As a result,
Standard & Poor's considers these loans to be at an increased risk
of default and loss.
Transaction Summary
As of the February 2010 remittance report, the collateral pool
balance was $1.3 billion, which is 85.5% of the balance at
issuance. The pool includes 78 loans, down from 89 loans at
issuance. As of the February 2010 remittance report, Wachovia
provided financial information for 98.8% of the pool, and 98.5% of
the servicer-provided information was full-year 2008, interim-
2009, or full-year 2009 data. S&P calculated a weighted average
DSC of 1.77x for the pool based on the reported figures. S&P's
adjusted DSC and LTV, which exclude two ($14.4 million, 1.1%) of
the eight specially serviced assets and three credit-impaired
loans ($35.5 million; 2.7%), were 1.70x and 87.0%, respectively.
S&P estimated losses separately for the two specially serviced and
three credit-impaired assets. The transaction has experienced
three principal losses for a total of $6.5 million to date.
Fourteen loans ($122.9 million, 9.4%) are on the master servicer's
watchlist. Ten loans ($122.7 million, 9.4%) have a reported DSC
below 1.10x, and four of these loans ($15.7 million, 1.2%) have a
reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$829.8 million (63.6%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.98x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans are 1.84x and
86.2%, respectively. None of the top 10 loans appear on the
watchlist and none are with the special servicer at this time.
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 its lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2005-C1
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
B AA- AAA/Watch Neg 13.98
C A+ AA/Watch Neg 11.93
D A AA-/Watch Neg 10.47
E A- A/Watch Neg 8.57
F BBB+ A-/Watch Neg 7.40
G BBB BBB+/Watch Neg 6.08
H BBB- BBB/Watch Neg 4.77
J BB- BBB-/Watch Neg 3.01
K B+ BB+/Watch Neg 2.57
L B BB/Watch Neg 1.99
M B- BB-/Watch Neg 1.70
N CCC+ B+/Watch Neg 1.40
P CCC B/Watch Neg 1.11
Q CCC- B-/Watch Neg 0.82
Ratings Affirmed
LB-UBS Commercial Mortgage Trust 2005-C1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 22.88
A-3 AAA 22.88
A-AB AAA 22.88
A-1A AAA 22.88
A-4 AAA 22.88
A-J AAA 15.00
X-CL AAA N/A
X-CP AAA N/A
N/A - Not applicable.
LB-UBS COMMERCIAL: S&P Downgrades Ratings on Six 2000-C5 Certs.
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage pass-through certificates from LB-
UBS Commercial Mortgage Trust 2000-C5 and removed them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on five classes from the same transaction and removed
two of the ratings from CreditWatch with negative implications.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion commercial mortgage-backed securities
(CMBS) criteria. The downgrades of the subordinate classes
reflect credit support erosion that S&P anticipates will occur
upon the eventual resolution of eight of the nine specially
serviced assets. S&P downgraded classes J and K to 'D' because of
recurring interest shortfalls that are primarily due to appraisal
subordinate entitlement reductions and special servicing fees.
S&P expects these classes to continue experiencing interest
shortfalls for the foreseeable future.
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
1.47x and a loan-to-value ratio of 73.8%. S&P further stressed
the loans' cash flows under S&P's 'AAA' scenario to yield a
weighed average DSC of 1.22x and an LTV ratio of 92.0%. The
implied defaults and loss severity under S&P's 'AAA' scenario were
25.3% and 32.6%, respectively. The DSC and LTV calculations S&P
noted above exclude 30 defeased loans ($245.3 million, 41.9%) and
eight specially serviced assets ($60.7 million, 10.4%). S&P
separately estimated losses for these eight specially serviced
assets and included them in S&P's 'AAA' scenario implied default
and loss figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its rating on the class X
interest-only (IO) certificate based on its current criteria. S&P
published a request for comment proposing changes to its IO
criteria on June 1, 2009. After S&P finalizes its criteria
review, S&P may revise its IO criteria, which may affect
outstanding ratings, including the rating on the IO certificate
that S&P affirmed.
In arriving at its current ratings, S&P considered the outstanding
nondefeased and nonspecially serviced near-term maturing loans
with final maturities in 2010 ($131.0 million, 24.3%), as well as
its concerns that the trust may experience additional liquidity
interruption due to potential future revisions of appraisal
reduction amounts.
Credit Considerations
As of the Feb. 18, 2010, trustee remittance report, nine assets
($113.5 million, 19.4%) in the pool were with the special
servicer, LNR Partners Inc. The payment status of the specially
serviced assets is: one is current ($52.8 million, 9.0%), one is
less-than-30-days delinquent ($6.7 million; 1.1%), one is 30-plus-
days delinquent ($6.0 million, 1.0%), one is 60-plus-days
delinquent ($1.8 million, 0.3%), two are 90-plus-days delinquent
($13.3 million, 2.3%), two are in foreclosure ($26.1 million,
4.5%), and one is real estate owned ($6.8 million, 1.2%).
Four ($92.8 million, 15.8%) of the nine specially serviced assets
are among the top 10 real estate exposures, which are detailed
below.
The Gallery at Harborplace loan is the largest nondefeased loan in
the pool and the largest loan with the special servicer. The loan
has a trust balance of $52.7 million (9.0%) and a whole-loan
balance of $63.2 million and is secured by an office/retail
development totaling 405,000 sq. ft. The property, owned by
General Growth Properties, consists of 139,000 sq. ft. of retail
(34% of the gross leasable area) and 266,000 sq. ft. of class A
office space (66%). The property is located in Baltimore Inner
Harbor and was 79.7% occupied as of September 2009. The loan,
which is current, was transferred to LNR on April 21, 2009,
following GGP's bankruptcy filing on April 16, 2009. On Dec. 15,
2009, the bankruptcy court confirmed a modification plan for 85
GGP loans, including this loan. The loan modification closed on
Dec. 30, 2009, and the terms, among other items, include a
maturity extension of the loan to June 1, 2014. According to LNR,
the loan will be returned to the master servicer in the near
future. The DSC was reported at 1.98x for the year-end 2008.
The River Plaza loan is the fourth-largest nondefeased loan and
the second-largest loan with the special servicer. The loan is
secured by a 202,000-sq.-ft. office building in Stamford, Conn.
This loan has a total exposure of $27.1 million (4.2%) and was
transferred to the special servicer on March 4, 2009, due to
imminent default because of cash flow problems. An ARA totaling
$9.3 million is in effect for this asset. Foreclosure proceedings
began on July 10, 2009. LNR indicated that it continues to review
possible workout strategies. S&P expects a significant loss upon
the eventual resolution of this asset.
The Mars Plaza loan is the seventh-largest nondefeased loan and
the third-largest loan with the special servicer. The loan is
secured by a 169,000-sq.-ft. unanchored retail center in
Indianapolis, Ind. This loan has a total exposure of $9.0 million
(1.5%) and was transferred to the special servicer on Dec. 29,
2009, due to imminent default. An ARA totaling $2.2 million is in
effect for this asset. Local counsel has been retained for
possible foreclosure. S&P expects a moderate loss upon the
eventual resolution of this asset.
The Bank Atlantic Building, an 81,000-sq.-ft. office building
Miami, Fla., is the fourth-largest asset with the special
servicer. This asset has a total exposure of $8.8 million (1.2%)
and is the 10th-largest real estate asset in the pool. The
property was approximately 10.7% occupied as of May 2009 and
became REO on Oct. 30, 2009. An ARA totaling $4.4 million is in
effect for this asset. According to LNR, Hold-Thyssen (the former
receiver) has been engaged as the property manager. S&P expects a
significant loss upon the eventual resolution of this asset.
The remaining five specially serviced assets ($20.7 million, 3.5%)
have balances that individually represent less than 1.1% of the
total pool balance. S&P estimated losses for all of these
specially serviced assets. The loss severities for these five
assets range from 15.6% to 42.9%.
Transaction Summary
As of the Feb. 18, 2010, trustee remittance report, the collateral
pool balance was $585.7 million, which is 58.7% of the issuance
balance. The pool includes 86 loans and one REO asset, down from
110 loans at issuance. Wachovia Bank N.A., the master servicer,
provided financial information for 93.9% of the nondefeased loans
in the pool, most of which was full-year 2008, interim-2009, or
full-year 2009 data. S&P calculated a weighted average DSC of
1.37x for the nondefeased loans in the pool based on the reported
figures. S&P's adjusted DSC and LTV were 1.47x and 73.8%,
respectively, which excludes 30 defeased loans ($245.3 million,
41.9%) and eight specially serviced assets ($60.7 million, 10.4%).
If S&P included the specially serviced assets in its calculation,
its adjusted DSC would be 1.34x. However, S&P has estimated
losses separately for the eight specially serviced assets. The
transaction has experienced $27.2 million of principal losses to
date. Twenty loans ($96.4 million, 19.4%) are on the master
servicer's watchlist, including two of the top 10 loans. Fourteen
loans in the pool ($109.7 million, 18.7%) have reported DSC below
1.10x, 12 of which ($74.1 million, 12.6%) have a reported DSC of
less than 1.0x.
Summary of Top 10 Real Estate Exposures
The top 10 loans secured by real estate have an aggregate
outstanding balance of $195.4 million (33.4%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.45x
for the top 10 loans. S&P's adjusted DSC for the top 10 real
estate exposures is 1.40x. If S&P exclude the four top 10
exposures with the special servicer loan, S&P's adjusted DSC and
LTV for the top 10 exposures are 1.58x and 60.1%, respectively.
Two of the top 10 loans ($35.7 million, 6.1%) appear on the master
servicer's watchlist, which S&P discuss in detail below.
The Utica Park Place Shopping Center loan is the third-largest
nondefeased loan in the pool and was placed on the servicer's
watchlist due to a low DSC resulting from decreased revenue. The
loan has a trust balance of $28.3 million (4.8%) and is secured a
456,000-sq.-ft. retail center in Utica, Mich. The reported DSC as
of year-end 2008 was 1.05x with an occupancy of 94.3% as of Sept.
30, 2009, down from 1.22x and 100% at issuance.
The Long Beach Terrace Apartment loan is the eighth-largest
nondefeased loan in the pool and was placed on the servicer's
watchlist due to a low DSC primarily resulting from increased
operating expenses. The loan has a trust balance of $7.4 million
(1.3%) and is secured by a 76-unit multifamily property located in
Long Beach, Calif. The reported DSC as of Sept. 30, 2009, was
1.02x with an occupancy of 92.1% as of June 30, 2009, down from
1.20x and 97% at issuance.
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
LB-UBS Commercial Mortgage Trust 2000-C5
Commercial mortgage pass-through certificates series 2000-C5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
E A- A/Watch Neg 11.10
F BBB- A-/Watch Neg 8.97
G B+ BBB+/Watch Neg 7.27
H CCC- BB+/Watch Neg 3.86
J D BB-/Watch Neg 2.16
K D B/Watch Neg 1.31
Ratings Affirmed And Removed From Creditwatch Negative
LB-UBS Commercial Mortgage Trust 2000-C5
Commercial mortgage pass-through certificates series 2000-C5
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
C AA+ AA+/Watch Neg 14.93
D AA- AA-/Watch Neg 12.38
Ratings Affirmed
LB-UBS Commercial Mortgage Trust 2000-C5
Commercial mortgage pass-through certificates series 2000-C5
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 30.26
B AAA 22.59
X AAA N/A
N/A - Not applicable.
LIGHTPOINT CLO: Moody's Takes Rating Actions on Various Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these classes of notes issued by LightPoint CLO 2004-1,
Ltd.:
-- US$208,000,000 Class A-1-A Senior Secured Floating Rate
Notes, due February 2014 (current outstanding balance of
$115,458,620), Upgraded to Aa1; previously on February 24,
2009 Downgraded to Aa2 and Placed Under Review for Possible
Downgrade;
-- US$22,000,000 Class A-1-B Senior Secured Floating Rate
Notes, due February 2014, Upgraded to Aa3; previously on
February 24, 2009 Downgraded to A1 and Placed Under Review
for Possible Downgrade.
Moody's has also confirmed the ratings of these notes:
-- US$26,000,000 Class B Senior Secured Floating Rate Notes,
due February 2014, Confirmed at Baa1; previously on
February 24, 2009 Downgraded to Baa1 and Placed Under Review
for Possible Downgrade;
-- US$22,000,000 Class X 5.25% Fixed Rate Deferrable
Amortizing Senior Secured Notes, due February 2014 (current
outstanding balance of $9,254,332), Confirmed at Ba1;
previously on February 11, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade.
-- US$8,500,000 Class C Deferrable Senior Secured Floating
Rate Secured Notes, due February 2014 (current outstanding
balance of $8,904,207), Confirmed at Ba2; previously on
February 11, 2009 Downgraded to Ba2 and Placed Under Review
for Possible Downgrade.
-- US$8,500,000 Class D Secured Floating Rate Notes, due
February 2014 (current outstanding balance of $9,074,276),
Confirmed at B2; previously on February 11, 2009 Downgraded
to B2 and Placed Under Review for Possible Downgrade.
Moody's upgrade of the ratings of the Class A-1A and Class A-1B
notes is primarily a result of the significant delevering of the
Class A-1A notes. Since the last rating action in February, the
Class A-1A notes have delevered by more than 57%. Moody's notes
that the positive impact from such delevering more than offsets
the portfolio credit deterioration since the last rating action.
Based on the trustee report as of February 26, 2010, the weighted
average rating factor was 2760 versus a reprted WARF of 2251 in
February 2009. Additionally, securities rated Caa1/CCC+ and below
increased to 14.9% from 7.8% of the underlying portfolio over the
same period.
The rating actions also reflect Moody's consideration that the
risk of collateral liquidation has receded since the last rating
action due to improvement in loan market values. According to a
letter to the investors from the collateral manager, Neuberger
Berman Fixed Income LLC, dated February 12, 2010, the CLO
collateral's mark-to-market improved substantially from 66.48% as
of December 31, 2008 to 87.81% as of December 31, 2009. Since
each class of notes must vote in order to liquidate the CLO
collateral during the occurrence and continuation of an event of
default, in Moody's opinion the increase in loan price raises the
par coverage of all the notes based on market value and lowers the
likelihood that the mezzanine and junior note holders will vote to
liquidate.
LightPoint CLO 2004-1, Ltd., is a collateralized loan obligation
backed primarily by a portfolio of senior secured loans. As
reported by the Trustee, on December 10, 2008 the transaction
experienced an Event of Default caused by a failure of the
Overcollateralization Ratio with respect to the Class A-1A Notes
to be at least equal to 103%, as required under Section 5.1(d) of
the Indenture dated February 19, 2004. This Event of Default is
continuing. Moody's notes that the transaction provides that the
computation of overcollateralization ratios include a haircut to
par value of any collateral obligation with a market value below
85% of its principal balance, regardless of the rating of that
collateral obligation. (This haircut will continue until such
obligation trades at a market value of at least 95% of its
principal balance for 60 consecutive days). As provided in
Article V of the Indenture during the occurrence and continuance
of an event of default, the Holders of at least 66-2/3% of the
Aggregate Outstanding Amount of each Class of Notes may direct the
Trustee to proceed with the sale and liquidation of the
collateral, potentially resulting in losses to the note holders.
MACLAURIN SPC: Moody's Downgrades Ratings on Two Classes
--------------------------------------------------------
Moody's Investors Service downgraded two classes of Notes issued
by Maclaurin SPC 2007-2 Segregated Portfolio due to deterioration
in the credit quality of the underlying portfolio of reference
obligations as evidenced by an increase in the weighted average
rating factor and a decrease in the weighted average recovery rate
since last review. The rating action, which concludes Moody's
current review, is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation
transactions.
Maclaurin SPC 2007-2 Segregated Portfolio is a synthetic CRE CDO
currently backed by portfolio of commercial mortgage back security
reference obligations (100% of the pool balance). All of the CMBS
reference obligations were securitized between 2005 and 2007.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life, weighted average recovery rate, and Moody's asset
correlation. These parameters are typically modeled as actual
parameters for static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's have completed updated credit estimates for the 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 of 1,996 compared to 667 at
last review. The distribution of current ratings and credit
estimates is: A1-A3 (8.0% compared to 17.6% at last review), Baa1-
Baa3 (48.0% compared to 42.4% at last review), Ba1-Ba3 (22.8%
compared to 38.8% at last review), B1-B3 (7.2% compared to 1.2% at
last review), and Caa1-C (14.0% compared to 0.0% 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 6.5 years
compared to 7.6 years 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 variable
WARR with a mean of 14.6% compared to a mean of 17.0% 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 20.2% compared to 52.8% 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.
In cases where CUSIP collateral is resecuritized, CDOROM v2.5 adds
stress to capture the leveraging effect of the derivative
transaction. Moody's had previously announced on March 4, 2009
that the additional default probability stress applied to
resecuritized collateral would not be applied to conduit and
fusion CMBS from the 2006 to 2008 vintages due to a first quarter
2009 ratings sweep of such transactions. Moody's are now applying
the resecuritization stress factor to all vintages of CMBS
collateral to address the enhanced volatility in the
resecuritization and align Moody's modeling of CRE CDOs with its
expected performance.
The rating action is:
-- Class A1, Downgraded to Ba2; previously on 2/26/2010 A2
Placed Under Review for Possible Downgrade
-- Class A2, Downgraded to Ca; previously on 2/26/2010 Ba1
Placed Under Review for Possible Downgrade
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors. The
rating outcome may differ from the model output.
Moody's monitors transactions both on a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated March 6, 2009.
MAGNOLIA FINANCE: Moody's Downgrades Ratings on Two Classes
-----------------------------------------------------------
Moody's Investors Service downgraded two classes of Notes issued
by Magnolia Finance II Series 2007-2 due to deterioration in the
credit quality of the underlying portfolio of referenced
obligations as evidenced by a deterioration in the weighted
average rating factor and a decrease in the weighted average
recovery rate since last review. The rating action, which
concludes Moody's current review, is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation transactions.
Magnolia Finance II Series 2007-2 is a synthetic CRE CDO
transaction backed by a portfolio of commercial mortgage backed
securities reference obligations (100% of the pool balance). All
of the CMBS reference obligations were securitized between 2005
and 2006.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, 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.
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 of 3,779 compared to 2,357 at
last review. The distribution of current ratings and credit
estimates is: Baa1-Baa3 (17.2% compared to 40.7% at last review),
Ba1-Ba3 (12.5% compared to 3.1% at last review), B1-B3 (42.2%
compared to 45.3% at last review), and Caa1-C (28.1% compared to
10.9% 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 6.4 years
compared to 7.4 years 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 variable
WARR with a mean of 6.8% compared to mean of 10.7% 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 26.5% compared to 38.3% at last review.
Moody's review incorporated updated asset correlation assumptions
for the commercial real estate sector consistent with one of
Moody's CDO rating models, CDOROM v2.5, which was released on
April 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending on vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
In cases where CUSIP collateral is resecuritized, CDOROM v2.5 adds
stress to capture the leveraging effect of the derivative
transaction. Moody's had previously announced on March 4, 2009
that the additional default probability stress applied to
resecuritized collateral would not be applied to conduit and
fusion CMBS from the 2006 to 2008 vintages due to a first quarter
2009 ratings sweep of such transactions. Moody's are now applying
the resecuritization stress factor to all vintages of CMBS
collateral to address the enhanced volatility in the
resecuritization and align Moody's modeling of CRE CDOs with its
expected performance.
The rating action is:
-- Class D, Downgraded to C; previously on February 26, 2010 B3
Placed Under Review for Possible Downgrade
-- Class E, Downgraded to C; previously on February 26, 2010
Caa1 Placed Under Review for Possible Downgrade
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors.
Therefore, the rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated 3/6/2009.
MAGNOLIA FINANCE: Moody's Downgrades Ratings on Series 2007-2A
--------------------------------------------------------------
Moody's Investors Service downgraded one class of Notes issued by
Magnolia Finance II plc Series 2007-2A due to deterioration in the
credit quality of the underlying portfolio of referenced
obligations as evidenced by a deterioration in the weighted
average rating factor and a decrease in the weighted average
recovery rate since last review. The rating action, which
concludes Moody's current review, is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation transactions.
Magnolia Finance II plc Series 2007-2A is a static synthetic CRE
CDO transaction backed by a portfolio of commercial mortgage
backed securities reference obligations (100% of the pool
balance). All of the CMBS reference obligations were securitized
between 2005 and 2006. The aggregate Note balance of the
transaction has decreased to $1.066 billion from $1.072 billion at
securitization, due to a partial repurchase of the class A notes
by the collateral manager.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, 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.
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 of 3,779 compared to 2,357 at
last review. The distribution of current ratings and credit
estimates is: Baa1-Baa3 (17.2% compared to 40.7% at last review),
Ba1-Ba3 (12.5% compared to 3.1% at last review), B1-B3 (42.2%
compared to 45.3% at last review), and Caa1-C (28.1% compared to
10.9% 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 6.4 years
compared to 7.4 years 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 variable
WARR with a mean of 6.8% compared to a mean of 10.7% 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 26.5% compared to 38.3% at last review.
Moody's review incorporated updated asset correlation assumptions
for the commercial real estate sector consistent with one of
Moody's CDO rating models, CDOROM v2.5, which was released on
April 3, 2009. These correlations were updated in light of the
systemic seizure of credit markets and to reflect higher inter-
and intra-industry asset correlations. The updated asset
correlations, depending on vintage and issuer diversity, used for
CUSIP collateral (i.e. CMBS, CRE CDOs or REIT debt) within CRE
CDOs range from 30% to 60%, compared to 15% to 35% previously.
In cases where CUSIP collateral is resecuritized, CDOROM v2.5 adds
stress to capture the leveraging effect of the derivative
transaction. Moody's had previously announced on March 4, 2009
that the additional default probability stress applied to
resecuritized collateral would not be applied to conduit and
fusion CMBS from the 2006 to 2008 vintages due to a first quarter
2009 ratings sweep of such transactions. Moody's are now applying
the resecuritization stress factor to all vintages of CMBS
collateral to address the enhanced volatility in the
resecuritization and align Moody's modeling of CRE CDOs with its
expected performance.
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors.
Therefore, the rating outcome may differ from the model output.
The rating action is:
-- Class A, Downgraded to Ca; previously on February 26, 2010
Ba2 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 3/6/2009.
MAGNOLIA FINANCE: Moody's Downgrades Ratings on Series 2007-5
-------------------------------------------------------------
Moody's Investors Service downgraded one class of Notes issued by
Magnolia Finance II plc Series 2007-5 due to deterioration in the
credit quality of the underlying portfolio of referenced
obligations as evidenced by a deterioration in the weighted
average rating factor and a decrease in the weighted average
recovery rate since last review. The rating action, which
concludes Moody's current review, is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation transactions.
Magnolia Finance II plc Series 2007-5 is a synthetic CRE CDO
transaction backed by a portfolio of commercial mortgage backed
securities reference obligations (100% of the pool balance). All
of the CMBS reference obligations were securitized between 2005
and 2007.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, 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.
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 of 4,401 compared to 2,494 at
last review. The distribution of current ratings and credit
estimates is: Baa1-Baa3 (16.0% compared to 32.0% at last review),
Ba1-Ba3 (8.0% compared to 2.0% at last review), B1-B3 (46.0%
compared to 58.0% at last review), and Caa1-C (30.0% compared to
8.0% 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 6.4 years
compared to 7.3 years 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 variable
WARR with a mean of 6.3% compared to a mean of 9.5% 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 23.6% compared to 42.0% 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.
In cases where CUSIP collateral is resecuritized, CDOROM v2.5 adds
stress to capture the leveraging effect of the derivative
transaction. Moody's had previously announced on March 4, 2009
that the additional default probability stress applied to
resecuritized collateral would not be applied to conduit and
fusion CMBS from the 2006 to 2008 vintages due to a first quarter
2009 ratings sweep of such transactions. Moody's are now applying
the resecuritization stress factor to all vintages of CMBS
collateral to address the enhanced volatility in the
resecuritization and align Moody's modeling of CRE CDOs with its
expected performance.
The rating action is:
-- US$18,000,000 CMBS Portfolio Variable Rate Notes due October
2045, Downgraded to Ca; previously on February 26, 2010, Ba3
Placed Under Review for Possible Downgrade
As always, Moody's ratings are determined by a committee process
that considers both quantitative and qualitative factors.
Therefore, the rating outcome may differ from the model output.
Moody's monitors transactions on both a monthly basis through a
review of the available Trustee Reports and a periodic basis
through a full review. Moody's prior review is summarized in a
press release dated 3/6/2009.
MERRILL LYNCH: Fitch Downgrades Ratings on 2003-KEY Certificates
----------------------------------------------------------------
Fitch Ratings has downgraded and assigned Rating Outlooks to
several classes of Merrill Lynch Mortgage trust's commercial
mortgage pass-through certificates, series 2003-KEY1. Fitch has
also assigned Loss Severity ratings and Recovery Ratings to
numerous classes.
The downgrades are due to an increase in expected losses on
specially serviced assets coupled with expected losses following
Fitch's prospective review of potential stresses to the
transaction. The majority of the total expected losses are
associated with loans currently in special servicing.
As of the February 2010 distribution date, the pool's
certificate balance has paid down 10.0% to $969.1 million from
$1,076.5 million at issuance. Nine loans are defeased (11% of the
current transaction balance).
There are three specially serviced loans in the pool (5.7%),
including the fifth largest loan (4%). Two loans are delinquent
and one is performing matured.
The largest specially serviced asset (4%) is a 1,384-pad
manufactured housing community property located in Fair Haven, MI,
a Detroit suburb. The loan transferred to special servicing in
January 2010 due to monetary default. As of YE 2009, the servicer
reported occupancy was 44% with a debt service coverage ratio of
0.87x. The borrower has requested a modification, however
significant losses are possible should the loan be liquidated.
Fitch stressed the cash flow of the remaining non defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.5% and
10% to determine value.
Similar to Fitch's prospective analysis of recent vintage CMBS,
each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt service
coverage ratio of 1.25 times or higher were considered to payoff
at maturity. Of the non-defeased or non-specially serviced loans,
two loans (2.6% of the pool) incurred a loss when compared to
Fitch's stressed value.
Fitch has downgraded and assigned LS ratings and RRs:
-- $15.8 million class C to 'A/LS-4; Outlook Stable' from 'AA-';
-- $25.1 million class D to 'BBB-/LS-4; Outlook Stable' from
'A';
-- $10.6 million class E to 'BB/LS-5; Outlook Negative' from 'A-
';
-- $11.9 million class F to 'B/LS-5; Outlook Negative' from
'BBB+';
-- $7.9 million class G to 'B-/LS-5; Outlook Negative' from
'BBB';
-- $10.6 million class H to 'B-/LS-5; Outlook Negative' from
'BBB-';
-- $5.3 million class J to 'B-/LS-5; Outlook Negative' from
'BB+';
-- $5.3 million class K to 'CCC/RR5'from 'BB';
-- $4 million class L to 'CCC/RR6'from 'BB-';
-- $6.6 million class M to 'CC/RR6'from 'B+';
-- $2.6 million class N to 'CC/RR6'from 'B';
-- $1.3 million class P to 'CC/RR6'from 'B-'.
In addition, Fitch has affirmed, maintained Stable Outlooks and
assigns LS ratings to these classes:
-- $152.3 million class A-1A at 'AAA/LS-1';
-- $33.8 million class A-2 at 'AAA/LS-1';
-- $130 million class A-3 at 'AAA/LS-1';
-- $482.9 million class A-4 at 'AAA/LS-1';
-- Interest-only classes XC and XP at 'AAA';
-- $34.3 million class B at 'AA/LS-4'.
Fitch does not rate the $11.9 million class Q, $4.1 million class
WW-1, $4.1 million class WW-2, $12.7 million class W-3, and
interest-only class WW-X.
MILLERTON ABS: 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 Millerton ABS CDO,
Ltd. The Notes affected by the rating actions are:
-- US$210,000,000 Class A-1 Senior Secured Floating Rate Notes
Due 2039 (current balance of $128,621,811), Downgraded to
Caa2; Previously on March 10, 2009 Downgraded to B1;
-- US$36,000,000 Class A-2 Senior Secured Floating Rate Notes
Due 2039, Downgraded to C; Previously on March 10, 2009
Downgraded to Caa3;
-- US$24,750,000 Class B Senior Secured Floating Rate Notes Due
2039, Downgraded to C; Previously on March 10, 2009
Downgraded to Ca.
Millerton ABS CDO is a collateralized debt obligation issuance
backed by a portfolio of ABS, primarily consisting of RMBS. The
rating downgrade action reflects deterioration in the credit
quality of the underlying portfolio as indicated by rating actions
taken with respect to underlying assets. Credit deterioration of
the collateral pool is observed through a decline in the average
credit rating (as measured by an increase in the weighted average
rating factor) and failure of the coverage tests, among other
measures.
For this transaction, the weighted average rating factor, as
reported by the trustee, has increased from 1185 in February 2009
to 1309 in February 2010. During the same time, defaulted
securities increased from $31 million to $62 million, the Class
A/B Overcollateralization Ratio decreased from 91.06% to 65.43%,
and more than 50% of the portfolio experienced rating downgrades.
On August 31, 2009, as reported by the Trustee, an Event of
Default was declared as described in Section 5.01(i) of the
Indenture dated November 23, 2004. The Event of Default was
declared because the ratio (expressed as a percentage) calculated
by dividing (a) the Net Outstanding Portfolio Collateral Balance
on such Measurement Date by (b) the Aggregate Outstanding Amount
of the Class A Notes on such Measurement Date fell below 100%. As
provided in Article V of the Indenture during the occurrence and
continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of a liquidation.
MORGAN STANLEY: Fitch Downgrades Ratings on Class J to 'D/RR6'
--------------------------------------------------------------
Fitch Ratings has downgraded and assigned a Recovery Rating to
class J of Morgan Stanley Capital I, Inc.'s commercial mortgage
pass-through certificates, series 1997-HF1:
-- $1.3 million class J to 'D/RR6' from 'CCC'.
Additionally, Fitch has affirmed and assigned a Rating Outlook to
class X as noted below:
-- Interest-only class X at 'AAA'; Outlook Stable.
The downgrade is the result of losses incurred from liquidated
loans since last rating action. As of the February distribution
date, the pool's collateral balance has been reduced 99.8% to
$1.2 million from $618.4 million at issuance.
Only two loans remain the trust. The largest, Lariat Properties
(86.8%) is secured by three crossed retail properties located in
Eden Prairie, Minnesota and matures in 2012. The other loan,
Colonial Self Storage (13.2%) is secured by a self-storage
facility in Wixom, Michigan and matures in 2011.
MORGAN STANLEY: Fitch Downgrades Ratings on 2004-HQ4 Notes
----------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 15 classes of Morgan Stanley Capital I Trust's commercial
mortgage pass-through certificates, series 2004-HQ4. Fitch has
also assigned Rating Outlooks, Loss Severity Ratings and Recovery
Ratings to numerous classes.
The downgrades are the result of projected losses on the six
specially serviced assets (6.57%). Rating Outlooks reflect the
likely direction of any changes to the ratings over the next one
to two years.
There are 101 of the original 117 loans remaining in the
transaction, six of which have defeased (5.04% of the current
transaction balance).
The largest specially serviced asset (2.18%) is suburban office
building located in Long Island, New York. The property was
55.24% occupied at as of 12/31/09. The loan transferred 11/17/09
and the special servicer is currently pursuing foreclosure.
The second largest specially serviced asset (1.57%) is an REO
retail property located in Richmond, California. The loan
transferred to special servicing in June 2009 for monetary
default.
Fitch stressed the cash flow of the remaining non defeased loans
by applying a 10% reduction to 2008 fiscal year end net operating
income and applying an adjusted market cap rate between 7.5% and
10% to determine value.
Similar to Fitch's prospective analysis of recent vintage CMBS,
each loan also underwent a refinance test by applying an 8%
interest rate and 30-year amortization schedule based on the
stressed cash flow. Loans that could refinance to a debt service
coverage ratio of 1.25 times or higher were considered to payoff
at maturity. Of the non-defeased or non-specially serviced loans,
none incurred a loss when compared to Fitch's stressed value.
Fitch has downgraded these ratings, as well as assigned LS ratings
and RRs as noted below:
-- $776.2 million class A-7 to 'AA/LS1'from 'AAA'; Outlook
Negative;
-- $15.4 million class B to 'A/LS5' from 'AA+'; Outlook Stable;
-- $18.8 million class C to 'BBB/LS5' from 'AA'; Outlook Stable;
-- $13.7 million class D to 'BBB-/LS5' from 'AA-'; Outlook
Stable;
-- $24 million class E to 'BB/LS5' from 'A'; Outlook Negative;
-- $10.3 million class F to 'B/LS5' from 'A-'; Outlook Negative;
-- $12 million class G to 'B-/LS5' from 'BBB+'; Outlook
Negative;
-- $12 million class H to 'B-/LS5' from 'BBB'; Outlook Negative;
-- $15.4 million class J to 'B-/LS5' from 'BBB-'; Outlook
Negative;
-- $5.1 million class K to 'B-/LS5' from 'BB+'; Outlook
Negative;
-- $5.1 million class L to 'C/RR6' from 'BB';
-- $5.1 million class M to 'CC/RR6' from 'BB-';
-- $1.7 million class N to 'CC/RR6' from 'B+';
-- $3.4 million class O to 'CC/RR6' from 'B';
-- $3.4 million class P to 'C/RR6' from 'B-'.
In addition, Fitch has affirmed, assigned Rating Outlooks, LS
ratings, and RRs:
-- $23.2 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $72 million class A-4 at 'AAA/LS1'; Outlook Stable;
-- $123 million class A-5 at 'AAA/LS1'; Outlook Stable;
-- $120 million class A-6 at 'AAA/LS1'; Outlook Stable;
-- Interest-only class X-1 at 'AAA'; Outlook Stable;
-- Interest-only class X-2 at 'AAA'; Outlook Stable.
Classes A-1 and A-2 have paid in full. Fitch does not rate the
$12.3 million class Q.
MORGAN STANLEY: Moody's Downgrades Rating on Series 2006-33 Notes
-----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded its
rating on Morgan Stanley ACES SPC Series 2006-33, a collateralized
debt obligation transaction referencing a static portfolio of
corporate loan.
The rating action is:
Transaction: Morgan Stanley ACES SPC Series 2006-33
-- US$10,205,000 Class E Secured Floating Rate Notes due 2012,
Downgraded to B2; previously on Dec 7, 2009 Ba2 Placed Under
Review for Possible Downgrade
Moody's explained that the rating action taken is primarily
resulting from the deterioration of the credit quality of the
reference portfolio. The 10 year weighted average rating factor
of the portfolio has deteriorated from 2200 initially to 4000,
equivalent to an average rating of the current portfolio of Caa1.
Since inception of the transaction, the subordination of the rated
tranche has been reduced due to credit events on FairPoint
Communications, Inc., Accuride Corporation, Freedom
Communications, Inc., Six Flags Theme Parks, General Motors
Corporation, Dex Media East LLC, R.H. Donnelley Inc., General
Growth Properties, Inc., Stile Acquisition Corp, Smurfit-Stone
Container Enterprises, Inc., and Lyondell Chemical Company. These
credit events lead to a decrease by $16.2 million of the original
$52.3million of subordination protecting the CSO tranche.
The subordination also decreased following portfolio
amortizations. When a loan referenced in the portfolio is repaid
and cannot be replaced by an eligible debt of similar
characteristics, the exposure is removed from the portfolio. The
tranche size and subordination are then reduced in the same
proportion. At closing, the portfolio notional amounted to
$510 million and was reduced by $146 million to $364 million as
of. Besides credit events, $92.3 million of this reduction, i.e.
18% of the initial portfolio, is due to removals. The
subordination was reduced in the same proportion by an amount of
$9.5 million.
Amortizations and losses brought the current subordination to
$26.6 million, representing 7.3% of the current portfolio
notional. Similarly, the notes were partially repaid in
accordance to the terms of the transaction documentation . The
principal outstanding was reduced from $10.2 million to
$8.4 million as of.
The portfolio has the highest industry concentrations in Media
(12.4%), Hotel, Gaming and Leisure (9.8%), and Capital Equipment
(8.2%).
Furthermore, Moody's notes that the current subordination was
inaccurately reported in Trustee Reports. The subordination
should have been reduced not only by losses but also by the pro-
rata amount following each portfolio amortization. Moody's also
notes that its quantitative analysis in connection with the
previous rating action on March 18, 2009, did not account for the
portfolio amortization feature. The analysis used in the rating
action reflects the accurate current portfolio amortization.
MORGAN STANLEY: S&P Downgrades Ratings on 18 2005-HQ6 Securities
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 18
classes of commercial mortgage-backed securities from Morgan
Stanley Capital I Trust 2005-HQ6 and removed 16 of them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on eight additional classes from the same transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of its rating actions. The downgrades of the subordinate
classes also reflect credit support erosion that S&P anticipate
will occur upon the eventual resolution of nine 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 1.41x and a loan-to-value ratio of 105.8%.
S&P further stressed the loans' cash flows under its 'AAA'
scenario to yield a weighted average DSC of 0.97x and an LTV of
133.2%. The implied defaults and loss severity under the 'AAA'
scenario were 70.8% and 34.9%, respectively. The DSC and LTV
calculations S&P noted above exclude six defeased loans and one
partially defeased loan ($92.0 million, 3.5%) and nine
($93.9 million, 3.6%) of the 12 specially serviced assets. S&P
separately estimated losses for the nine specially serviced assets
and included them in S&P's 'AAA' scenario implied default and loss
figures.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels that are consistent with
the outstanding ratings. S&P affirmed its 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 February 2010 remittance report, 12 assets
($281.1 million, 10.7%) in the pool were with the special
servicer, CWCapital Asset Management. The payment status of the
specially serviced assets is: one is REO ($6.3 million, 0.2%), six
are 90-plus-days delinquent ($57.6 million, 2.2%), two are 60 days
delinquent ($29.9 million, 1.1%), two are less than 30 days
delinquent ($66.6, 2.5%), and one is within its grace period
($120.8 million, 4.6%). Three of the specially serviced assets
have appraisal reduction amounts in effect totaling $2.8 million.
The two largest loans with the special servicer ($171.8 million,
6.5%) are top 10 loans and are secured by retail malls owned by
General Growth Properties. They were transferred to the special
servicer in April 2009 following GGP's bankruptcy filing on
April 16, 2009. On Dec. 15, 2009, the bankruptcy court confirmed
a modification plan for 85 GGP loans, including these two loans.
Details of the two loans are:
The Coronado Center loan, which has a total exposure of
$121.3 million (4.6%), is the fifth-largest loan in the pool and
the largest loan with the special servicer. The loan is secured
by a 526,651-sq.-ft. anchored regional mall in Albuquerque, N.M.
CWCapital has confirmed that it extended the maturity date of this
loan from June 2010 to December 2016. As of year-end 2008, the
reported DSC was 1.59x and occupancy was 95.0%, compared with
1.66x and 90.9% at issuance, respectively. According to
CWCapital, it will return the loan to the master servicer once it
finalizes the loan modifications.
The Oviedo Marketplace loan, which has a total exposure of
$51.3 million (1.9%), is the eighth-largest loan in the pool and
the second-largest loan with the special servicer. The loan is
secured by a 437,734-sq.-ft. anchored regional mall in Orlando,
Fla. CWCapital anticipates that it will modify the maturity date
for this loan with an outside maturity date of no later than
March 31, 2011.
The County Line Commerce Center loan, which has a total exposure
of $26.3 million (1.0%), is the 18th-largest loan in the pool and
the third-largest loan with the special servicer. The loan is 90-
plus-days delinquent, and a receiver is in place. The loan is
secured by a 426,984-sq.-ft. multi-tenant office/warehouse
development in Warminster, Pa. The loan was transferred to
special servicing on March 19, 2009, due to imminent monetary
default. As of Jan. 1, 2010, the reported occupancy was 75.0%.
S&P anticipate a moderate loss upon the resolution of this asset.
The nine remaining specially serviced assets that were listed in
the February 2010 remittance report ($84.6 million, 3.2%) have
balances that individually represent less than 0.6% of the total
pool balance. S&P estimated losses for eight of these assets,
resulting in a weighted average loss severity of 27.7%. CWCapital
is reviewing a workout strategy for the remaining loan.
In addition to the specially serviced assets, S&P determined one
loan ($4.9 million, 0.2%) to be credit-impaired. The Conquistador
Office Park loan is secured by a 33,196-sq.-ft. two-story
commercial office building built in 2003 in Las Vegas. The DSC
was reported at 0.76x as of June 30, 2009, down from 0.88x at
year-end 2008, and 1.19x at issuance. The loan is also currently
30-59 days past due. As a result, S&P views this loan to be at an
increased risk of default and loss.
Transaction Summary
As of the February 2010 remittance report, the collateral pool
balance was $2.64 billion, which is 95.8% of the balance at
issuance. The pool includes 174 loans versus 177 loans at
issuance. As of the February 2010 remittance report, the master
servicer, Wells Fargo, provided financial information for 96.5% of
the non-defeased loans in the pool, and 94.9% of the
servicer-provided information was full-year 2008, interim-2009, or
full-year 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 six defeased loans and one partially
defeased loan and nine ($93.9 million, 3.6%) of the 12 specially
serviced assets, were 1.41x and 105.8%, respectively. S&P
estimated losses separately for the nine specially serviced
assets. The transaction has experienced three principal losses
totaling $8.9 million to date. Forty-seven loans ($1.0 billion,
38.1%) are on the master servicer's watchlist, including four of
the top 10 loans. Thirty loans ($194.5 million, 7.4%) have a
reported DSC below 1.10x, and 19 of these loans ($125.9 million,
4.8%) have a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.3 billion (49.5%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.45x for the top 10 loans.
Four of the top 10 loans ($717.3 million, 27.2%) appear on the
master servicer's watchlist. S&P's adjusted DSC and LTV for the
top 10 loans are 1.36x and 112.8%, respectively. In S&P's
decision to lower the ratings, S&P factored the cash flow
reductions of the two largest loans in the pool.
The Lincoln Square Retail loan is the largest loan in the pool.
It appears on the servicer's watchlist due to declining DSC, and
is partially defeased. The loan has a trust balance of
$340.0 million (11.4%). The loan is currently secured by four
cross-collateralized and cross-defaulted street-level retail
properties totaling 503,178 sq. ft. in New York, N.Y. The
collateral originally included a 96-room extended stay hotel with
a balance of $40.0 million, which was defeased on Aug. 29, 2008.
The reported DSC for the nine months ended Sept. 30, 2009, was
0.96x and occupancy was 97.0%, down from 1.15x and 98.0%,
respectively, as of year-end 2008. DSC was affected when the
tenant, Balducci's, vacated 13,599 sq. ft. in April 2009 prior to
its June 2015 lease expiration. Gourmet Garage subsequently
signed a lease for that space at $36.77/sq. ft., significantly
less than the $59.43/sq. ft. that Balducci's had been paying.
The 1500 Broadway loan is the second-largest loan in the pool and
also appears on the servicer's watchlist. The loan has a trust
balance of $287.0 million (10.9%) and is secured by a 513,563-sq.-
ft., 33-story, class A office building with retail space on the
lower floors. The property occupies the entire eastern block
front of Broadway between 43rd and 44th Streets in Times Square in
New York City. The reported DSC and occupancy for the nine months
ended Sept. 30, 2009, was 1.52x and 92.0%, respectively, compared
with 1.37x and 95.0% as of year-end 2008. The loan appears on the
servicer's watchlist due to declining occupancy. Edelman Public
Relations (20.3% of net rentable area {NRA}) vacated the property
at the end of its Sept. 30, 2009, lease. This resulted in an
occupancy decline to approximately 72.0%. The property manager is
actively marketing this space.
The Melrose Portfolio loan is the sixth-largest loan in the pool
and the third-largest loan on the servicer's watchlist. The loan
has a trust balance of $82.8 million (3.1%) and is secured by four
student housing properties. Together, the properties contain
1,298 units (4,112 beds) near four universities: University of
Florida, Gainesville, University of North Florida, Jacksonville,
Texas A&M in College Station, and University of Minnesota in
Minneapolis. The reported DSC and occupancy for the six months
ended Dec. 31, 2009, was 1.19x and 86.5%, respectively, down from
2.24x and 87.0% for year-end 2008. The loan appears on the
servicer's watchlist due to declining DSC.
The Arrowhead Crossing loan is the 10th-largest loan in the pool
and the fourth-largest loan on the servicer's watchlist. The loan
has a trust balance of $47.6 million (1.8%) and is secured by a
309,617-sq.-ft. retail power center in Beaverton, Ore. The
reported DSC and occupancy for the six months ended Sept. 30,
2009, was 1.12x and 72.0%, respectively, down from 1.65x and 74.0%
as of year-end 2008. The loan appears on the servicer's watchlist
due to declining occupancy and DSC resulting from Circuit City's
(12% NRA) and Linens 'N Things' (10% NRA) decision to vacate the
property. The December 2009 rent roll indicates that leases have
been signed with Hobby Lobby and Nordstrom Rack for these vacant
spaces.
Standard & Poor's stressed the loans in the pool according to its
conduit/fusion criteria. The resultant credit enhancement levels
are consistent with the lowered and affirmed ratings.
Ratings Lowered
Morgan Stanley Capital I Trust 2005-HQ6
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-1A A+ AAA 20.54
A-4B A+ AAA 20.54
Ratings Lowered And Removed From Creditwatch Negative
Morgan Stanley Capital I Trust 2005-HQ6
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J A- AAA/Watch Neg 13.89
B BBB+ AA+/Watch Neg 12.97
C BBB AA/Watch Neg 11.67
D BBB- AA-/Watch Neg 10.62
E BB+ A+/Watch Neg 9.71
F BB A/Watch Neg 8.67
G BB- A-/Watch Neg 7.62
H B+ BBB+/Watch Neg 6.32
J B+ BBB/Watch Neg 5.14
K B BBB-/Watch Neg 3.58
L B BB+/Watch Neg 3.19
M B- BB/Watch Neg 2.79
N CCC+ BB-/Watch Neg 2.14
O CCC+ B+/Watch Neg 2.01
P CCC B/Watch Neg 1.62
Q CCC- B-/Watch Neg 1.23
Ratings Affirmed
Morgan Stanley Capital I Trust 2005-HQ6
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-1 AAA 20.54
A-2A AAA 30.47
A-2B AAA 20.54
A-AB AAA 20.54
A-3 AAA 20.54
A-4A AAA 30.47
X-1 AAA N/A
X-2 AAA N/A
N/A - Not applicable.
MORGAN STANLEY: S&P Downgrades Ratings on Three Classes of Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class IIIA, IIID, and IIIA notes from Morgan Stanley Managed ACES
SPC's series 2007-1, 2007-6, and 2007-10, respectively, to 'CC'
from 'CCC-'.
The downgrades follow a number of credit events within the
underlying portfolio, which have caused the notes to incur a
principal loss.
Ratings Lowered
Morgan Stanley Managed ACES SPC
Series 2007-1
Rating
------
Class To From
----- -- ----
IIIA CC CCC-
Morgan Stanley Managed ACES SPC
Series 2007-6
Rating
------
Class To From
----- -- ----
IIISrDFloa CC CCC-
Morgan Stanley Managed ACES SPC
Series 2007-10
Rating
------
Class To From
----- -- ----
IIIA CC CCC-
MORGAN STANLEY: S&P Raises Ratings on Senior Notes to 'BB-'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
series 2007-8 senior and class A2 notes issued by Morgan Stanley
ACES SPC, a synthetic corporate investment-grade collateralized
debt obligation transaction.
The raised ratings reflect a change in the underlying reference
portfolio and subordination levels for the senior and class A2
notes due to an amendment dated March 12, 2010. The amendment
doesn't affect the ratings on the class A1, IA, IB, and IIA notes.
Ratings Raised
Morgan Stanley ACES SPC Series 2007-8
Rating
------
Class To From
----- -- ----
Senior BB- B-
A2 CCC CCC-
MOUNTAIN VIEW: Moody's Reviews Ratings on Various Classes
---------------------------------------------------------
Moody's Investors Service announced that it has placed under
review for possible upgrade the ratings of these notes issued by
Mountain View CLO III Ltd.:
-- US$75,000,000 Class A-2 Floating Rate Notes, Due April, 2021,
A2 Placed Under Review for Possible Upgrade; previously on
June 23, 2009 Downgraded to A2;
-- US$25,000,000 Class B Floating Rate Notes, Due April, 2021,
Baa2 Placed Under Review for Possible Upgrade; previously on
June 23, 2009 Downgraded to Baa2;
-- US$31,000,000 Class C Floating Rate Deferrable Notes, Due
April, 2021, Ba2 Placed Under Review for Possible Upgrade;
previously on June 23, 2009 Downgraded to Ba2;
-- US$24,000,000 Class D Floating Rate Deferrable Notes, Due
April, 2021, Caa2 Placed Under Review for Possible Upgrade;
previously on June 23, 2009 Downgraded to Caa2;
-- US$14,000,000 Class E Floating Rate Deferrable Notes, Due
April, 2021, Ca Placed Under Review for Possible Upgrade;
previously on June 23, 2009 Downgraded to Ca.
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the credit quality of the underlying
portfolio and an increase in the overcollateralization of the
rated notes since the last rating action in June 2009. In Moody's
view, these positive developments coincide with reinvestment of
principal repayments and sale proceeds into substitute assets with
higher par amounts and/or higher ratings.
Improvement in the credit quality is observed through an increase
in the average credit rating (as measured through the weighted
average rating factor). In particular, the weighted average
rating factor has decreased from 2824 as of the May 2009 trustee
report to 2670 as of the last trustee report, dated February 26,
2010. The weighted average rating factor test is currently in
compliance whereas it was failing in May 2009. Additionally,
overcollateralization of the rated notes has increased since the
last rating action in June 2009. Currently, all the
overcollateralization tests are in compliance whereas the Class E
Par Value Test was failing in May 2009. As of the February 2010
trustee report, the Class A/B, Class C, Class D, and Class E Par
Value Test ratios are reported at 122.0%, 113.2%, 107.2%, and
103.9% versus May 2009 levels of 119.7%, 111.1%, 105.2%, and
102.0%, respectively.
On June 23, 2009, Moody's downgraded Class A-2, Class B, Class C,
Class D, and Class E Notes issued by Mountain View CLO III Ltd.,
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.
Mountain View CLO III Ltd., issued in May 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
N-STAR REAL: Fitch Downgrades Ratings on Seven Classes of CMBS
--------------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed two classes of
notes from N-Star Real Estate CDO II Ltd. as a result of negative
credit migration of the commercial mortgage-backed securities
collateral within the portfolio.
Since Fitch's last rating action in February 2009, approximately
11.3% of the portfolio has been downgraded. Currently, 11.4% is
on Rating Watch Negative by at least one of the three rating
agencies. Approximately 34.3% of the portfolio has a Fitch
derived rating below investment grade, and 4.5% has a rating in
the 'CCC' category and below. Further, the CDO has paid down
$32.1 million since the last review.
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. 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'. Fitch incorporated
into its analysis additional sensitivity surrounding transactions
that have a significant amount of specially serviced loans or
Fitch loans of concern. Based on this analysis, the breakeven
rates for classes A-1 through C-2B are generally consistent with
the ratings assigned below.
The class D notes are downgraded to 'CCC' due to Fitch's
expectation of further credit deterioration as 11.4% of the
portfolio remains on Rating Watch Negative. Fitch notes that as
of the March 1, 2010 payment date, all classes are current on
interest and one asset (0.8%) is experiencing interest shortfalls.
The Negative Rating Outlook on the class A-1 through C-2 notes
reflects Fitch's expectation that underlying CMBS loans will
continue to face refinance risk and maturity defaults. Fitch also
assigned Loss Severity ratings to the notes. 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. The LS rating should always
be considered in conjunction with probability of default indicated
by a class' long-term credit rating. Fitch does not assign Rating
Outlooks or LS ratings to classes rated 'CCC' or lower.
N-Star CDO II is a static arbitrage cash flow collateralized debt
obligation, which closed July 1, 2004. The collateral is composed
of 74.1% CMBS, 16.8% real estate investment trusts, and 9.2% of SF
CDOs. The majority of the CMBS assets range from the 1998 through
2004 vintages, with 3.3% from the 2006 vintage and 1.4% from the
2005 vintage.
The ratings of the classes A-1, A-2A, and A-2B notes address the
likelihood that investors will receive timely payments of
interest, as per the governing documents, as well as the aggregate
principal amount by the maturity date. The ratings of the classes
B-1, B-2, the C-1, C-2A, C-2B, and D notes address the likelihood
that investors will receive ultimate interest payments, as per the
governing documents, as well as the aggregate principal amount by
the maturity date.
Fitch has affirmed, assigned LS ratings and revised Outlooks for
these classes as indicated:
-- $134,064,127 class A-1 notes at 'AAA/LS2'; Outlook to
Negative from Stable;
-- $14,000,000 class B-2 notes at 'BBB/LS4'; Outlook to Negative
from Stable.
Fitch has downgraded, assigned LS ratings and revised Outlooks for
these classes as indicated:
-- $42,000,000 class A-2A notes to 'A/LS3' from 'AA-'; Outlook
to Negative from Stable;
-- $15,000,000 class A-2B notes to 'A/LS3' from 'AA-'; Outlook
to Negative from Stable;
-- $12,000,000 class B-1 notes to 'A/LS5' from 'A+'; Outlook to
Negative from Stable;
-- $24,000,000 class C-1 notes to 'BB/LS4' from 'BBB-'; Outlook
to Negative from Stable;
-- $6,000,000 class C-2A notes to 'B/LS4' from 'BB-'; Outlook to
Negative from Stable;
-- $16,000,000 class C-2B notes to 'B/LS4' from 'BB-'; Outlook
to Negative from Stable;
-- $15,000,000 class D notes to 'CCC' from 'B'.
Fitch does not assign Rating Outlooks to classes rated 'CCC' or
lower. The Rating Outlook for class D was Stable prior to the
downgrade.
NEW JERSEY HEALTH: S&P Corrects Ratings on Health Care 1998B Bonds
------------------------------------------------------------------
Standard & Poor's Ratings Services corrected and lowered its
underlying rating on New Jersey Health Care Facilities Financing
Authority's bonds, issued for Saint Barnabas Health Care System
N.J.'s series 1998B refunding bonds (due July, 1, 2016, CUSIPs
64579FLM3 and 64579FLV3; due July 1, 2018, CUSIPs 64579FLP6 and
64579FLX9; due July 1, 2019, CUSIPs 64579FLQ4 and 64579FLY7; due
July 1, 2020, CUSIPs 64579FLR2 and 64579FLZ4; due July 1, 2021,
CUSIPs 64579FLS0 and 64579FMA8; due July 1, 2022, CUSIPs 64579FLT8
and 64579FMB6; due July 1, 2023, CUSIPs 64579FLU5 and 64579FMC4)
to 'BB+' from 'BBB-'. The outlook is negative.
The series 1998B bonds are guaranteed by a bond insurance policy
from National Public Finance Guarantee Corp. (A/Developing), which
results in a long-term rating of 'A' with a developing outlook for
the bonds.
According to S&P's criteria, the rating on a fully credit-enhanced
bond issuance is the higher of the rating on the credit enhancer
and the SPUR on the bonds.
On Oct. 13, 2009, Standard & Poor's lowered the rating on bonds
issued for SBHCS to 'BB+' from 'BBB-' but, due to an error, did
not contemporaneously lower the SPUR on the series 1998B bonds.
OWS CLO: Moody's Confirms Ratings on Various Rating Actions
-----------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
ratings of these notes issued by OWS CLO I, Ltd.:
-- US$235,500,000 Class A-1 Senior Secured Notes (current
balance of $207,803,565), Confirmed at Aa3; previously on
April 6, 2009 Downgraded to Aa3 and Placed Under Review for
Possible Downgrade;
-- US$14,500,000 Class A-2 Senior Secured Notes, Confirmed at
A3; previously on April 6, 2009 Downgraded to A3 and Placed
Under Review for Possible Downgrade;
-- US$3,000,000 Class X-1 Deferrable Amortizing Senior Secured
Notes (current balance of $2,070,691), Confirmed at Ba1;
previously on April 6, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$11,500,000 Class X-2 Deferrable Amortizing Senior Secured
Notes (current balance of $7,668,406), Confirmed at Ba1;
previously on April 6, 2009 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade;
-- US$14,000,000 Class B Deferrable Senior Secured Notes
(current balance of $14,218,641), Confirmed at B1; previously
on April 6, 2009 Downgraded to B1 and Placed Under Review for
Possible Downgrade;
-- US$8,000,000 Class C Secured Notes (current balance of
$8,383,700), Confirmed at Caa3; previously on April 6, 2009
Downgraded to Caa3 and Placed Under Review for Possible
Downgrade.
According to Moody's, the rating actions resolve the review for
possible downgrade involving the Class A-1, Class A-2, Class X-1,
Class X-2, Class B, and Class C Notes initiated in April 2009.
The resolution reflects consideration of a notice from the trustee
on September 30, 2009 that an Event of Default is no longer
continuing, and also reflects the positive impact of the
delevering of the Class A-1 Notes.
On March 20, 2009, the transaction experienced an "Event of
Default" caused by a failure of the overcollateralization ratio
with respect to the Class A Notes to be at least equal to 100%, as
required under Section 5.1(h) of the Indenture dated November 22,
2005. The failure of the Class A overcollateralization ratio was
primarily due to the inclusion of haircuts that are applied to the
par value of a collateral obligation with a market value below 85%
of its principal balance, regardless of the rating of that
collateral obligation. (This haircut continues until such
obligation trades at a market value of at least 90% of its
principal balance for 30 consecutive days.) As a result of
increases in loan market values, the trustee issued a notice in
September 2009 that the Event of Default under section 5.1(h) of
the Indenture is no longer continuing. The Class A
overcollateralization level is currently reported at a level of
112.59% based on the latest trustee report dated January 29, 2010.
The current overcollateralization ratio does not reflect any
haircuts for assets with a market value below 85%. In Moody's
view, rescission of the declaration of an Event of Default reduces
uncertainty relating to certain potential consequences of such a
declaration, including the risks associated with a possible
decision to liquidate the collateral. In addition, since the
Event of Default is no longer continuing, the deal has also
resumed its reinvestment period.
Moody's also notes that the deal has demonstrated relatively
stable credit performance since the last rating actions taken on
April 6, 2009. In particular, the weighted average rating factor
was 2200 as of the latest trustee report dated January 29, 2010.
Additionally, securities rated Caa1/CCC+ and below make up
approximately 5.7% of the underlying portfolio in January.
Moody's also observes that the continued failure of the Class B,
Class C, and Class D overcollateralization ratios has diverted
cashflow to delever the Class A-1 Notes. In particular, the Class
A-1 Notes received $1.1M on the last payment date in January 2010,
and have delevered approximately 12% since March 2009.
OWS CLO I Ltd., issued in November 2005, is a collateralized loan
obligation referencing a portfolio of primarily senior secured
loans.
PACIFIC BAY: 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 Pacific Bay CDO, Ltd.
The Notes affected by the rating actions are:
-- Class A-2 Second Priority Senior Secured Floating Rate Notes
Due 2038; Downgraded to Caa1; previously on 4/2/2009
Downgraded to B1;
-- Class B Third Priority Senior Secured Floating Rate Notes Due
2038; Downgraded to C; previously on 4/2/2009 Downgraded to
Ca.
Pacific Bay is a collateralized debt obligation backed primarily
by a portfolio of Structured Finance securities, with over 70% of
the portfolio consisting of RMBS. The rating downgrade action
reflects deterioration in the credit quality of the underlying
portfolio as indicated by rating actions taken with respect to
underlying assets. Credit deterioration of the collateral pool is
observed through a decline in the average credit rating (as
measured by an increase in the weighted average rating factor) and
failure of the coverage tests, among other measures. The weighted
average rating factor, as reported by the trustee, has increased
from 440 in March 2009 to 769 in February 2010. During the same
time, defaulted securities increased from $55 million to
$61 million, the Class A/B Overcollateralization Ratio decreased
from 90.43% to 85.25% and both interest coverage tests have
continued to deteriorate. In excess of 7% of the ratings assigned
to underlying portfolio securities are currently on review for
downgrade, 6% of which are comprised of 2005 vintage of Alt-A and
Subprime RMBS.
On December 10, 2008, as reported by the Trustee, an Event of
Default was declared as described in Section 5.1(i) of the
Indenture dated November 4, 2003. The Event of Default was caused
by a failure of the Class A/B Overcollateralization Ratio to be
greater than or equal to 100 percent. On May 1, 2009, a Majority
of the Controlling Class declared an Acceleration of Maturity.
This caused a change in the waterfall whereby all interest and
principal proceeds received are being paid to the Class A-1 prior
to any payments made to the other Classes. Therefore, Class A-2
and Class B are currently not receiving interest payments.
As provided in Article V of the Indenture during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of a liquidation.
Moody's explained that in arriving at the rating action noted
above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM
RMBS which are currently on review for possible downgrade were
stressed. For purposes of monitoring its ratings of SF CDOs with
exposure to such 2005-2007 vintage RMBS, Moody's used certain
projections of the lifetime average cumulative losses as set forth
in Moody's press releases dated January 13th for subprime,
January 14 for Alt-A, and January 27 for Option-ARM. Based on the
anticipated ratings impact of the updated cumulative loss numbers,
the stress varied based on vintage, current rating, and RMBS asset
type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Those securities currently rated in the Ba or B range
were stressed to Caa3, while current Caa securities were treated
as Ca. For 2006 and 2007 Alt-A and Option-ARM securities,
currently Aaa or Aa rated securities were stressed by eight
notches, and securities currently rated A, Baa or Ba were stressed
by five notches. Those securities currently rated in the B range
were stressed to Caa3, while current Caa securities were treated
as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
PREMIUM LOAN: Moody's Takes Rating Actions on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
ratings of these classes of notes issued by Premium Loan Trust I,
Ltd.:
-- US$215,000,000 Class A Senior Secured Notes due 2014
(current outstanding balance of $79,451,536), Confirmed at
Aa3; previously on February 24, 2009 Downgraded to Aa3 and
Placed Under Review for Possible Downgrade;
-- US$16,000,000 Class X Deferrable Amortizing Senior Secured
Notes due 2014 (current outstanding balance of $7,789,888),
Confirmed at Ba1; previously on February 24, 2009 Downgraded
to Ba1 and Placed Under Review for Possible Downgrade;
-- US$10,000,000 Class B Deferrable Senior Secured Notes due
2014 (current outstanding balance of $10,437,350), Confirmed
at Ba2; previously on February 24, 2009 Downgraded to Ba2 and
Placed Under Review for Possible Downgrade.
Moody's has also downgraded the ratings of these notes:
-- US$11,000,000 Class C Secured Notes (current outstanding
balance of $11,717,776), Downgraded to Caa3; previously on
February 24, 2009 Downgraded to B2 and Placed Under Review
for Possible Downgrade.
Moody's confirmation of the ratings of the Class A, Class X, and
Class B notes is primarily the result of significant delevering of
the Class A notes, which offsets the portfolio's credit
deterioration since the last rating action. Since the last rating
action in February, the Class A notes have delevered by more than
31%. Moody's downgrade of the Class C notes' rating reflects
primarily the portfolio's credit deterioration since the last
rating action. Based on the trustee report as of February 26,
2010, the weighted average rating factor was 2741 versus a
reported WARF of 2366 in February 2009. Additionally, securities
rated Caa1/CCC+ and below increased to 18.1% from 12.8% of the
underlying portfolio over the same period.
The rating actions also reflect Moody's consideration that the
risk of collateral liquidation has receded since the last rating
action due to improvement in loan market values. According to a
letter to the investors from the collateral manager, Neuberger
Berman Fixed Income LLC, dated January 22, 2010, the CLO
collateral's mark-to-market improved substantially from 60.40% as
of December 31, 2008, to 80.86% as of December 31, 2009. Since
each class of notes must vote in order to liquidate the CLO
collateral during the occurrence and continuation of an event of
default, in Moody's opinion the increase in loan price raises the
par coverage of all the notes based on market value and lowers the
likelihood that the mezzanine and junior note holders will vote to
liquidate.
Premium Loan Trust I, Ltd., is a collateralized loan obligation
backed primarily by a portfolio of senior secured loans. As
reported by the Trustee, on October 25, 2008, the transaction
experienced an Event of Default caused by a failure of the
Overcollateralization Ratio with respect to the Class A Notes to
be at least equal to 103%, as required under Section 5.1(d) of the
Indenture dated November 18, 2004. This Event of Default is
continuing. Moody's notes that the transaction provides that the
computation of overcollateralization ratios include a haircut to
par value of any collateral obligation with a market value below
85% of its principal balance, regardless of the rating of that
collateral obligation. (This haircut will continue until such
obligation trades at a market value of at least 95% of its
principal balance for 60 consecutive days). As provided in
Article V of the Indenture during the occurrence and continuance
of an event of default, the Holders of at least 66-2/3% of the
Aggregate Outstanding Amount of each Class of Notes may direct the
Trustee to proceed with the sale and liquidation of the
collateral, potentially resulting in losses to the note holders.
SAYBROOK POINT: Fitch Downgrades Ratings on Five Classes of Notes
-----------------------------------------------------------------
Fitch Ratings has downgraded five classes of notes issued by
Saybrook Point CBO II, Ltd. as a result of continued credit
deterioration in the portfolio since Fitch's last rating action in
September 2008.
As of the February 2010 trustee report, the current balance of the
portfolio is $198.3 million. Approximately 86.9% of the portfolio
has been downgraded since the last review. Defaulted securities,
as defined in the transaction's governing documents, now comprise
19.4% of the portfolio, compared to 3% at last review. The
downgrades to the portfolio have left approximately 78.6% of the
portfolio (including defaults) with a Fitch derived rating below
investment grade and 61.1% with a rating in the 'CCC' rating
category or lower, compared to 36.6% and 20.6%, respectively, at
last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' Due to
the magnitude of the collateral deterioration, Fitch believes that
the likelihood of default for all classes of notes can be assessed
without using the Structured Finance Portfolio Credit Model (SF
PCM) or performing cash flow model analysis under the framework
described in the 'Global Criteria for Cash Flow Analysis in CDOs -
Amended' report.
Due to the magnitude of the collateral deterioration, Fitch
believes that the likelihood of default for all classes of notes
can be assessed without using the Structured Finance Portfolio
Credit Model or 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 class A notes have a credit enhancement level of 30%
compared to the 61.1% of the portfolio considered distressed.
The class A overcollaterlization test at 93.9% is failing the
covenant of 112.5%. Consequently, interest that would otherwise
be paid to the class B-1 and B-2 notes is being used to pay down
the class A notes. On the most recent payment date on Feb. 8,
2010, the amount of interest proceeds used to pay down the class A
notes was approximately $96,552. Even considering the effect of
any future interest diversion, given the amount of the performing
assets versus the outstanding balance of the class A notes, the
default risk of the class A notes is commensurate with a 'CC'
rating.
The class B-1 and B-2 notes (together class B) and C-1 and C-2
notes (together class C) 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.
Saybrook II is a cash flow structured finance collateralized debt
obligation that closed on Nov. 11, 2002. The portfolio is
monitored by General Re - New England Asset Management Inc. The
portfolio is composed of residential mortgage-backed securities
(79.7%), asset-backed securities (10.4%), SF CDOs (4%), other CDOs
(2.9%), corporate bonds (1.5%), and commercial mortgage-backed
securities (1.5%).
Fitch has downgraded these ratings:
-- $138,784,001 class A notes to 'CC' from 'B';
-- $2,000,000 class B-1 notes to 'C' from 'CCC';
-- $13,000,000 class B-2 notes to 'C' from 'CCC';
-- $12,000,000 class C-1 notes to 'C' from 'CC';
-- $6,000,000 class C-2 notes to 'C' from 'CC'.
SOUTH COAST: Fitch Takes Rating Actions on Various Classes
----------------------------------------------------------
Fitch Ratings has affirmed one and downgraded three classes of
notes issued by South Coast Funding VI, Ltd./Inc. due to
deterioration in the credit quality of the portfolio since last
review.
As of the January 2010 trustee report, the balance of the
portfolio was $125.4 million, including $48 million, or 38.3%, in
par of assets deemed defaulted as per the transaction's governing
documents. Approximately 33.1% of the portfolio has been
downgraded since Fitch's last rating action in July 2009,
resulting in 62.7% of the portfolio with a Fitch derived rating in
a 'CCC' or lower rating category, as compared to 50.1%, at last
review. Presently, 68.8% of the portfolio has a below investment
grade rating.
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-1 notes' breakeven rates are
generally consistent with the rating assigned below. As of the
January 2010 distribution date, approximately 78.7% of the class
A-1 notes' original balances have paid down. The class A-1 notes
represent 33% of the current capital structure and have a credit
enhancement of 64.6%.
Breakevens for the class A-2 and class B 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 A-2 and class B notes have the credit enhancement levels
of 36.1% and 12.3%, 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 C 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.
South Coast VI is a cash flow collateralized debt obligation,
which closed on Sept. 29, 2004, and is managed by TCW Investment
Management Company. The transaction exited its reinvestment
period in September 2007. South Coast VI's portfolio is comprised
of approximately 69.4% residential mortgage-backed securities,
18.7% commercial mortgage-backed securities, 5.5% of structured
finance CDOs, 4.8% consumer asset-backed securities , and 1.6% of
corporate CDOs.
Fitch has downgraded these classes:
-- $44,642,854 class A-1 to 'CCC' from 'BB';
-- $36,000,000 class A-2 to 'C' from 'CCC';
-- $30,000,000 class B to 'C' from 'CC'.
Fitch has affirmed this class:
-- $12,751,551 class C at 'C'.
STRAITS GLOBAL: Fitch Downgrades Ratings on Four Classes
--------------------------------------------------------
Fitch Ratings has downgraded four and affirmed two classes of
notes issued by Straits Global ABS CDO I, Ltd. due to
deterioration in the credit quality of the portfolio since last
review in April 2009.
Straits CDO I declared an event of default on May 7, 2008,
following a decline of the class A/B overcollateralization ratio
to below 100%. On Jan. 27, 2009, the majority of the class A-1
noteholders elected to accelerate the transaction, and therefore
since the February 2009 distribution date, all collected interest
proceeds have been used to pay transaction related fees and
expenses and to pay current interest due on the class A-1 notes.
The remaining interest proceeds, if any, are used to amortize the
class A-1 notes until their principal is paid in full.
As of the January 2010 trustee report, the current balance of the
portfolio is $153.8 million. Defaulted securities, as defined in
the transaction's governing documents now comprise 39.8% of the
portfolio, compared to 19.2% at last review. The downgrades to
the portfolio have left approximately 88% of the portfolio with a
Fitch derived rating below investment grade and 68.2% with a
rating in the 'CCC' rating category or lower (including defaulted
assets), compared to 73.6% and 41.5%, 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. For each
class of notes, the credit enhancement levels were compared to the
rating loss levels projected by the SF PCM. For this review,
Fitch did not perform cash flow model analysis under the framework
described in the 'Global Criteria for Cash Flow Analysis in CDOs -
Amended' report. Due to acceleration, the transaction is
currently paying down in a straight sequential order and is
expected to continue to do so until maturity. In addition, while
some portion of the interest proceeds is currently being used to
pay down class A-1 notes, the magnitude of this additional credit
enhancement was not considered sufficient to offset the
significant deterioration in the credit quality of the portfolio.
The current CE level for the class A-1 notes is generally
consistent with the SF PCM rating loss rates for the 'CCC' rating
category. Based on the credit quality of the remaining portfolio,
Fitch believes that there is a possibility that the class A-1
notes may not receive its full principal. The class A-1 notes
represent 27.5% of the current capital structure and have a credit
enhancement of 62.4%, lower than the percentage of assets
considered distressed and defaulted.
Presently the class A-2, class B-1 and B-2 (together class B)
notes' credit enhancement levels are significantly below the level
of distressed assets. These classes are rated to the timely
receipt of interest. Due to the acceleration of maturity, the
class A-2 and B notes have defaulted on the payment of interest
and are therefore downgraded to 'D'.
The class C-1 and C-2 notes interest payments have been paid-in-
kind since May 2008, whereby the principal balance of the notes
has been written up by the amount of interest owed. Fitch expects
the class C notes to receive no further interest or principal
distribution in the future.
Straits I is a cash flow collateralized debt obligation, which
closed on Oct. 28, 2004, and is managed by Declaration Management
& Research LLC. Presently 42.7% of the portfolio is comprised of
subprime residential mortgage-backed securities, 22.1% of
structured finance CDOs and 18.6% of prime RMBS. The remaining
16.6% of the portfolio consists of 7.8% commercial mortgage-backed
securities, 5.2% of corporate CDOs, and 3.6% of various consumer
and commercial asset-backed securities.
Fitch has downgraded these classes:
-- $57,892,571 class A-1 notes to 'CCC' from 'BB';
-- $72,000,000 class A-2 notes to 'D' from 'CC';
-- $41,000,000 class B-1 notes to 'D' from 'C';
-- $7,000,000 class B-2 notes to 'D' from 'C'.
Fitch does not assign Rating Outlooks to classes rated 'CCC' or
lower. The Rating Outlook for class A-1 was Negative prior to the
downgrade.
Fitch has affirmed these classes:
-- $11,450,483 class C-1 notes at 'C';
-- $3,495,658 class C-2 notes at 'C'.
STREETERVILLE ABS: Fitch Downgrades Ratings on Three Classes
------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed two classes of
notes issued by Streeterville ABS CDO, Ltd./Inc. as a result of
continued credit deterioration in the portfolio since Fitch's last
rating action in February 2009.
As of the February 2010 trustee report, the current balance of the
portfolio (including cash) is $611.7 million. Approximately 63%
of the portfolio has been downgraded since the last review.
Defaulted securities, as defined in the transaction's governing
documents, now comprise 19% of the portfolio, compared to 5% at
last review. The downgrades to the portfolio have left
approximately 41.7% of the portfolio (including defaults) with a
Fitch derived rating below investment grade and 33.5% with a
rating in the 'CCC' rating category or lower, compared to 12.8%
and 7.7%, respectively, at last review.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'. Due
to the magnitude of the collateral deterioration, Fitch believes
that the likelihood of default for all classes of notes can be
assessed without using the Structured Finance Portfolio Credit
Model and 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 class A-1 notes have a credit enhancement level of
18.7% compared to the 33.5% of the portfolio considered
distressed. Therefore, the class A-1 notes as well as the class
A-2 and B-1 and B-2 (together class B) notes have been downgraded
to 'C' to indicate Fitch's belief that default is inevitable at or
prior to maturity.
Although the class C-1 and C-2 (together class C) notes are still
receiving interest distributions default is inevitable at or prior
to maturity. Therefore, these notes have been affirmed at 'C'.
Streeterville is a cash flow structured finance collateralized
debt obligation that closed on Oct. 1, 2004. The portfolio is
monitored by Vanderbilt Capital Advisors LLC. The portfolio is
composed of residential mortgage-backed securities (83.3%), SF
CDOs (14.4%), Other CDOs (1.7%) asset-backed securities (0.3%),
and commercial mortgage-backed securities (0.3%).
Fitch has downgraded or affirmed these ratings as indicated:
-- $497,035,286 class A-1 notes downgraded to 'C' from 'B';
-- $50,000,000 class A-2 notes downgraded to 'C' from 'CCC';
-- $30,000,000 class B-1 notes downgraded to 'C' from 'CC';
-- $37,000,000 class B-2 notes downgraded to 'C' from 'CC';
-- $5,445,575 class C-1 notes affirmed at 'C';
-- $9,265,784 class C-2 notes affirmed at 'C'.
STREETERVILLE ABS: Moody's Downgrades Ratings on Four Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings of four classes of notes issued by Streeterville ABS CDO,
Ltd. The notes affected by the rating action are:
-- US$850,000,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes Due 2040 (current balance of
$497,035,286), Downgraded to B2; previously on February 4,
2009 Downgraded to Ba2;
-- US$50,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2040, Downgraded to C; previously on
February 4, 2009 Downgraded to Caa1;
-- US$30,000,000 Class B-1 Third Priority Secured Floating
Rate Notes Due 2040, Downgraded to C; previously on
February 4, 2009 Downgraded to Ca;
-- US$37,000,000 Class B-2 Third Priority Secured Fixed Rate
Notes Due 2040, Downgraded to C; previously on February 4,
2009 Downgraded to Ca.
Streeterville ABS CDO, Ltd., is a collateralized debt obligation
issuance backed by a portfolio of primarily Residential Mortgage-
Backed Securities originated between 2003 and 2005, with the
majority originated in 2004.
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 204 in February 2009 to 744 in February 2010. During the
same time, defaulted securities increased from $34.3 million to
$114.2 million. In addition, the Trustee reports that the
transaction is currently failing its Overcollateralization test.
Moody's explained that in arriving at the rating action noted
above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM
RMBS which are currently on review for possible downgrade were
stressed. For purposes of monitoring its ratings of SF CDOs with
exposure to such 2005-2007 vintage RMBS, Moody's used certain
projections of the lifetime average cumulative losses as set forth
in Moody's press releases dated January 13th for subprime, January
14th for Alt-A, and January 27th for Option-ARM. Based on the
anticipated ratings impact of the updated cumulative loss numbers,
the stress varied based on vintage, current rating, and RMBS asset
type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Those securities currently rated in the Ba or B range
were stressed to Caa3, while current Caa securities were treated
as Ca. For 2006 and 2007 Alt-A and Option-ARM securities,
currently Aaa or Aa rated securities were stressed by eight
notches, and securities currently rated A, Baa or Ba were stressed
by five notches. Those securities currently rated in the B range
were stressed to Caa3, while current Caa securities were treated
as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
Moody's further explained that these stresses are based on a
preliminary sample analysis of deals from a given vintage and
asset type, and that they will be utilized in its SF CDO rating
analysis while subprime, Alt-A and Option-ARM securities remain on
review for downgrade. Current public ratings will be used for
securities that have undergone an in depth review by Moody's RMBS
team and are no longer on review for downgrade.
TRIBUNE LTD: S&P Downgrades Rating on Series 29 Tranche to 'CC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
tranche from Tribune Ltd.'s series 29 to 'CC' from 'CCC-'.
The downgrade follows a number of credit events within the
underlying 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 a partial principal loss.
TRINITY CDO: Moody's Junks Ratings on Senior Secured Notes
----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
rating of one class of Notes issued by Trinity CDO Ltd., an ABS
CDO. The Notes affected by the rating action are:
-- US$210,000,000 Class A-1 Floating Rate Senior Secured Notes
Due 2040 (current balance of $194,993,789), Downgraded to
Caa3; Previously on February 4, 2009 Downgraded to B1.
Trinity CDO is a collateralized debt obligation issuance backed
primarily by a portfolio of residential mortgage backed
securities. 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.
For this transaction, the weighted average rating factor, as
reported by the trustee, has increased from 1262 in January 2009
to 1461 in February 2010. During the same time, defaulted
securities increased from $51 million to $100 million, and the
Class A Overcollateralization Ratio decreased from 86.28% to
57.67%. Moody's also notes that in excess of 15% of the ratings
assigned to underlying portfolio securities are currently on
review for downgrade.
Moody's explained that in arriving at the rating action noted
above, the ratings of 2005-2007 subprime, Alt-A and Option-ARM
RMBS which are currently on review for possible downgrade were
stressed. For purposes of monitoring its ratings of SF CDOs with
exposure to such 2005-2007 vintage RMBS, Moody's used certain
projections of the lifetime average cumulative losses as set forth
in Moody's press releases dated January 13th for subprime, January
14th for Alt-A, and January 27th for Option-ARM. Based on the
anticipated ratings impact of the updated cumulative loss numbers,
the stress varied based on vintage, current rating, and RMBS asset
type.
For 2005 Alt-A and Option-ARM securities, securities that are
currently rated Aaa or Aa were stressed by eleven notches, and
securities currently rated A or Baa were stressed by eight
notches. Those securities currently rated in the Ba or B range
were stressed to Caa3, while current Caa securities were treated
as Ca. For 2006 and 2007 Alt-A and Option-ARM securities,
currently Aaa or Aa rated securities were stressed by eight
notches, and securities currently rated A, Baa or Ba were stressed
by five notches. Those securities currently rated in the B range
were stressed to Caa3, while current Caa securities were treated
as Ca.
For 2005 subprime RMBS, those currently rated Aa, A or Baa were
stressed by five notches, Ba rated securities were stressed to
Caa3, and B or Caa securities were treated as Ca. For subprime
RMBS originated in the first half of 2006, those currently rated
Aaa were stressed by four notches, while Aa, A and Baa rated
securities were stressed by eight notches. Those securities
currently rated in the Ba range were stressed to Caa3, while
current B and Caa securities were treated as Ca. For subprime
RMBS originated in the second half of 2006, those currently rated
Aa, A, Baa or Ba were stressed by four notches, currently B rated
securities were treated as Caa3, and currently Caa rated
securities were treated as Ca. For 2007 subprime RMBS, currently
Ba rated securities were stressed by four notches, currently B
rated securities were treated as Caa3, and currently Caa rated
securities were treated as Ca.
Moody's noted that the stresses applicable to categories of 2005-
2007 subprime RMBS that are not listed above will be two notches
if the RMBS ratings are on review for possible downgrade.
Moody's further explained that these stresses are based on a
preliminary sample analysis of deals from a given vintage and
asset type, and that they will be utilized in its SF CDO rating
analysis while subprime, Alt-A and Option-ARM securities remain on
review for downgrade. Current public ratings will be used for
securities that have undergone an in depth review by Moody's RMBS
team and are no longer on review for downgrade.
WACHOVIA BANK: S&P Downgrades Ratings on 14 2005-C19 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-C19 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on 11 other classes from the same
transaction.
The rating actions follow S&P's analysis of the transaction using
its U.S. conduit and fusion CMBS criteria, which was the primary
driver of the actions. S&P's analysis included a review of the
credit characteristics of all of the loans in the pool. Using
servicer-provided financial information, Standard & Poor's
calculated an adjusted debt service coverage of 1.76x and a loan-
to-value ratio of 90.6%. S&P further stressed the loans' cash
flows under S&P's 'AAA' scenario to yield a weighted average DSC
of 1.06x and an LTV of 117.8%. The implied defaults and loss
severity under the 'AAA' scenario were 68.8% and 26.6%,
respectively. All of the adjusted DSC and LTV calculations
excluded two specially serviced assets ($94.3 million, 6.0%). S&P
separately estimated losses for these specially serviced assets,
which S&P included in its 'AAA' scenario implied default and loss
figures. The affirmations of the ratings on the principal and
interest certificates reflect subordination levels that are
consistent with the outstanding ratings. S&P affirmed its ratings
on the class X-C and X-P 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 finalizes
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
Two assets ($94.3 million, 6.0%), the fourth- and ninth-largest
loans in the pool, are with the special servicer, ING Clarion
Capital Loan Services LLC.
The IBT Portfolio loan ($51.9 million, 3.3%) is the fourth-largest
exposure in the pool and is secured by a portfolio of three
anchored retail properties in O'Fallon, Mo., Valparaiso, Ind., and
Aurora, Ill., with an aggregate gross leasable area of 316,298 sq.
ft. The loan transferred to ING on Dec. 16, 2009, due to payment
default and is currently more than 90 days delinquent. As of
Sept. 1, 2009, the properties were 80.5% occupied. The reported
DSC was 1.16x as of Dec. 31, 2008; however, it declined to 0.73x
for the six months ended June 30, 2009, due to the loss of several
large tenants. S&P expects a minimal loss upon the resolution of
this asset.
The Centennial Tower loan ($42.4 million, 2.7%) is the ninth-
largest exposure in the pool and is secured by a 638,363-sq.-ft.
office building in Atlanta. The loan transferred to ING on
Nov. 24, 2009, due to an imminent maturity default, and is
currently less than 30 days delinquent. The loan is scheduled to
mature on June 11, 2010, and discussions between the special
servicer and the borrower regarding a loan extension are ongoing.
As of Dec. 31, 2009, the property was 76.4% occupied, and as of
Sept. 30, 2009, had a reported DSC of 2.42x. S&P expects a
minimal loss upon the resolution of this asset.
In addition to the specially serviced loans discussed above, eight
loans ($345.5 million, 22.1%) are scheduled to mature in 2010
including two of the 10 largest exposures in the pool. Given
current market conditions, S&P believes it is unclear whether the
borrowers will be able to refinance these loans prior to their
respective loan maturity, creating the potential for increased
maturity defaults and/or loan extensions. The weighted average
reported DSC for these loans, however, is 1.85x.
Transaction Summary
As of the February 2010 remittance report, the aggregate trust
balance was $1.56 billion, which represents 96.9% of the aggregate
pooled trust balance at issuance. There are 88 assets in the
pool, down from 92 at issuance. The master servicer for the
transaction is Wachovia Bank N. A. The master servicer provided
financial information for 98.0% of the loans in the pool, and
99.6% of the servicer-provided information was full-year 2008,
interim-2009, or full-year 2009 data.
S&P calculated a weighted average DSC of 1.81x for the pool based
on the reported figures. S&P's adjusted DSC and LTV were 1.76x
and 90.6%, respectively, which exclude two specially serviced
assets ($94.3 million, 6.0%). Based on the servicer-reported DSC
figures, S&P calculated a weighted average DSC of 1.73x for these
assets. To date, the transaction has not realized any principal
losses. Sixteen loans ($208.5 million, 13.3%) are on the master
servicer's watchlist. Three loans ($24.2 million, 1.6%) have a
reported DSC of less than 1.10x, and one of these loans
($1.3 million, 0.1%) has a reported DSC of less than 1.0x.
Summary of Top 10 Loans
The top 10 loans have an aggregate outstanding balance of
$776.9 million (49.7%). Using servicer-reported numbers, S&P
calculated a weighted average DSC of 1.90x for the top 10 loans.
S&P's adjusted DSC and LTV for the top 10 loans were 1.84x and
117.8%, respectively. As noted above, two of the top 10 loans are
scheduled to mature in 2010, including one of the two top 10 loans
currently with the special servicer.
Standard & Poor's stressed the loans in the pool according to its
conduit/fusion criteria. The resultant credit enhancement levels
are consistent with the lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C19
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-J AA- AAA/Watch Neg 14.19
B A AA+/Watch Neg 11.61
C A- AA/Watch Neg 10.32
D BBB+ A+/Watch Neg 8.26
E BBB A/Watch Neg 7.23
F BBB- BBB+/Watch Neg 5.94
G BB+ BBB/Watch Neg 4.90
H BB BBB-/Watch Neg 3.61
J BB- BB+/Watch Neg 3.10
K B+ BB/Watch Neg 2.58
L B BB-/Watch Neg 2.19
M B B+/Watch Neg 1.94
N B- B/Watch Neg 1.81
O CCC+ B-/Watch Neg 1.55
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C19
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 30.97
A-3 AAA 30.97
A-4 AAA 30.97
A-5 AAA 30.97
A-PB AAA 30.97
A-6 AAA 30.97
A-1A AAA 30.97
A-FL AAA 25.81
A-M AAA 20.65
XP AAA N/A
XC AAA N/A
N/A -- Not applicable.
WACHOVIA BANK: S&P Downgrades Ratings on 16 2005-C22 Securities
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes of commercial mortgage-backed securities from Wachovia
Bank Commercial Mortgage Trust's series 2005-C22 and removed them
from CreditWatch with negative implications. In addition, S&P
affirmed its ratings on six other classes from the same
transaction.
The downgrades follow S&P's analysis of the transaction using its
U.S. conduit and fusion CMBS criteria, which was the primary
driver of the rating actions. The downgrades of the subordinate
and mezzanine classes also reflect credit support erosion that S&P
anticipate will occur upon the eventual resolution of seven
specially serviced loans ($163.6 million, 6.7%).
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
1.53x and a loan-to-value ratio of 112.9% for the trust
collateral. S&P further stressed the loans' cash flows under its
'AAA' scenario to yield a weighted average DSC of 0.93x and an LTV
of 154.1%. The implied defaults and loss severity under the 'AAA'
scenario were 82.0% and 36.5%, respectively. All of the DSC and
LTV calculations S&P noted above exclude seven of the 12 specially
serviced assets and two defeased loans ($10.9 million, 0.5%). S&P
separately estimated losses for the seven specially serviced
assets and included them in S&P's '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 rating on the class IO interest-only 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 S&P affirmed.
Credit Considerations
As of the February 2010 remittance report, 11 loans
($293.7 million, 12.0%) in the pool were with the special
servicer, CWCapital Asset Management LLC. A 12th loan
($16.0 million, 0.7%) was transferred after the remittance report
date. A breakdown of the specially serviced loans by payment
status is: five ($104.7 million, 4.3%) are more than 90 days
delinquent, two ($40.8 million, 1.7%) are 60 days delinquent,
three ($105.1 million, 4.3%) are less than 30 days delinquent, one
($46.9 million, 1.9%) is in its grace period, and one ($12.1,
0.5%) is current. Two of the specially serviced loans have
appraisal reduction amounts in effect totaling $24.6 million. S&P
estimated losses for seven ($75.5 million, 2.8%) of the 12
specially serviced loans, and the weighted average loss severity
for those seven loans was 34.5%.
The largest ($46.9 million, 1.9%) and the third-largest
($39.4 million, 1.6%) loans with the special servicer are secured
by retail malls owned by General Growth Properties Inc. Both
loans were transferred to the special servicer in April 2009
following GGP's bankruptcy filing on April 16, 2009. On Dec. 15,
2009, the bankruptcy court confirmed a modification plan for 85
GGP loans, including these two loans. According to CWCapital,
both loans will be returned to the master servicer when the
servicers finalize the loan modifications. Details of these loans
are:
The Eagle Ridge Mall loan ($46.9 million, 1.9%) is the 10th-
largest real estate exposure in the pool and the largest loan with
the special servicer. The loan is secured by a 508,976-sq.-ft.
regional mall in Lake Wales, Fla. The special servicer has
informed us that it expects the maturity date for this loan to be
modified to two days after the emergence of GGP from bankruptcy,
with an outside maturity date of no later than March 31, 2011. As
of the nine months ended Sept. 30, 2009, the reported DSC was
1.05x and occupancy was 87.0%, compared with 1.21x and 89.0%,
respectively, at issuance.
The Knollwood Mall loan ($39.4 million, 1.6%) is the third-largest
loan with the special servicer and is secured by a 464,402-sq.-ft.
regional mall in Saint Louis Park, Minn. The special servicer has
confirmed that the maturity date of this loan was extended to
October 2017. As of the nine months ended Sept. 30, 2009, the
reported DSC was 1.89x and occupancy was 97.0%, compared with 1.22
and 91.0%, respectively, at issuance.
The Britannia Business Center II loan ($41.0 million, 1.7%) is the
second-largest loan with the special servicer and is secured by a
276,210-sq.-ft. office building in Pleasanton, Calif. The loan
was transferred to the special servicer on May 29, 2009, due to
imminent monetary default and is over 90 days delinquent. For the
nine-month period ended Sept. 30, 2009, the reported DSC was 0.33x
and occupancy was 49%. Standard & Poor's expects a significant
loss upon the resolution of this asset.
The Greenery Mall loan ($33.9 million, 1.4%) is the fourth-largest
loan with the special servicer and is secured by a 219,105-sq.-ft.
mixed-use office and retail property located in Miami and
constructed in 1982. The loan was transferred to the special
servicer on July 1, 2009, due to imminent monetary default and is
less than 30 days delinquent. The retail portion of the property
is currently 51% occupied due to the loss of two tenants, and the
borrower has requested a modification to the loan. As of year-end
2008, the reported DSC was 1.16x and occupancy was 85.2%.
Standard & Poor's expects a moderate loss upon the eventual
resolution of this asset.
The remaining eight specially serviced loans ($148.4 million,
6.1%) have balances that individually represent 1.3% or less of
the total pool balance. S&P estimated losses for five of these
loans ($88.7 million, 3.6%). CWCapital is reviewing resolution
strategies for the remaining three loans ($59.7 million, 2.5%),
including possible loan modifications.
Transaction Summary
As of the February 2010 remittance report, the collateral pool had
128 loans with an aggregate trust balance of $2.44 billion,
compared with 149 loans and $2.53 billion at issuance. Wachovia
Bank N.A. provided financial information for 98.4% of the
nondefeased loans ($10.9 million, 0.5%) in the pool. Ninety-two
percent of the information was either full-year 2008 or interim-
2009 data. S&P calculated a weighted average DSC of 1.52x for the
loans in the pool based on the reported figures. S&P's adjusted
DSC and LTV were 1.53x and 112.9%, respectively. S&P's adjusted
figures exclude seven specially serviced loans for which S&P
estimated losses. The weighted average DSC for these seven loans
was 0.71x. Twenty-six loans ($477.8 million, 19.6%) are on the
master servicer's watchlist. Three loans ($82.8 million, 3.4%)
have reported DSC between 1.0x and 1.10x, and 19 loans
($371.9 million, 15.2%) have reported DSC of less than 1.0x.
Summary Of Top 10 Loans
The top 10 real estate exposures have an aggregate outstanding
balance of $977.8 million (40.0%). Using servicer-reported
numbers, S&P calculated a weighted average DSC of 1.59x for these
loans. S&P's adjusted DSC and LTV were 1.48x and 127.3%,
respectively, for the top 10 real estate exposures. The second-
and ninth-largest real estate exposures appear on the master
servicer's watchlist, and details of these loans are:
The Westin Casuarina Hotel & Spa loan ($150.4 million, 6.2%) is
the largest loan on the watchlist and is secured by an 826-room,
16-story hotel in Las Vegas. As of year-end 2009, the reported
DSC was 0.53x and occupancy was 60.7%, compared with a DSC of
1.51x and 75.5% occupancy at issuance. The Birtcher Portfolio
loan ($51.1 million, 2.1%) is the second-largest loan on the
watchlist and consists of six cross-collateralized and cross-
defaulted office properties in Arizona aggregating 378,621 sq. ft.
For the nine months ended Sept. 30, 2009, the reported DSC was
1.09x and occupancy was 84.6%, compared with a DSC of 1.24x and
98.0% occupancy at issuance. Standard & Poor's stressed the loans
in the pool according to its conduit/fusion criteria. The
resultant credit enhancement levels are consistent with the
lowered and affirmed ratings.
Ratings Lowered And Removed From Creditwatch Negative
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C22
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
A-M A AAA/Watch Neg 20.76
A-J BBB AAA/Watch Neg 14.53
B BBB- AA+/Watch Neg 13.63
C BB+ AA/Watch Neg 12.33
D BB AA-/Watch Neg 11.29
E BB- A/Watch Neg 9.34
F B+ A-/Watch Neg 8.05
G B+ BBB+/Watch Neg 6.88
H B BBB/Watch Neg 5.71
J B- BBB-/Watch Neg 4.28
K CCC+ BB+/Watch Neg 3.63
L CCC BB/Watch Neg 3.11
M CCC- BB-/Watch Neg 2.60
N CCC- B+/Watch Neg 2.34
O CCC- B/Watch Neg 2.08
P CCC- B-/Watch Neg 1.69
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C22
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA 31.14
A-3 AAA 31.14
A-PB AAA 31.14
A-4 AAA 31.14
A-1A AAA 31.14
IO AAA N/A
N/A--Not applicable.
* Moody's Changes Loss Projections for 2005-2007 Second Lien RMBS
-----------------------------------------------------------------
Moody's Investors Service has revised its loss projections for
2005-2007 second lien U.S. residential mortgage backed securities.
Moody's expects cumulative losses to average approximately 25-55%
of outstanding balance for non-subprime closed-end second pools,
70-85% for subprime CES pools, and 40-50% for HELOC pools. These
updated numbers represent more than a 50% increase for non-
subprime CES, and nearly a 20% relative increase for subprime CES
and HELOC pools. Second lien pools issued prior to 2005 are
expected to realize lower cumulative loss levels as compared to
the recent vintages, but are still experiencing rising loss rates
and are therefore also subject to increased loss expectations. As
a result of the increasing loss expectations, Moody's placed 948
tranches of second lien RMBS with an original balance of
$113 billion and an outstanding balance of $35 billion on review
for possible downgrade. The review action includes all vintages
of second lien RMBS.
Second lien mortgage pools have experienced elevated loss rates
during the past few years as a result of the sharp decline in home
values. The most important predictor of mortgage default in the
past several years has been the degree to which borrowers have
negative equity in their homes. Borrowers with second liens,
particularly those originated in more recent years, are almost
universally in a negative equity position; most had combined loan
to value ratios approaching 100% at origination and home prices
have already dropped by nearly 30% since. In addition, since
defaulting on a second lien does not typically result in
foreclosure, borrowers might choose to default on their second
lien loan in favor of making payments on their first lien loan in
order to remain in their home. All of these factors contribute to
a very high borrower propensity to default on second lien loans.
Subprime CES annual loss rates, measured as total annual losses
against the pool balance at the start of the related year,
averaged 38% over the past year, recently dropping to 37% from
their high of 40% about 6 months ago. Non-subprime CES and HELOC
average annual loss rates were slower to take off, but in the past
year have reached 14%, though HELOCs have shown signs of
stabilizing at these levels. Non-subprime CES loss rates are
still on the rise, having increased from 5% to 14% over the course
of the past year. This trend is tracking the increasing
delinquencies in the prime-first lien sector, where delinquencies
have risen from 3% to 9% in the past 12 months.
Going forward, Moody's expect continued severe pressure on second
lien borrowers, as the overhang of impending foreclosures will
impact home prices negatively in the coming months. Moody's
Economy.com expects home prices to fall by an additional 7%,
reaching a peak-to-trough decline of approximately 34%. Adding to
borrowers' financial pressure, unemployment is now projected to
peak at 10.3%. Both measures are expected to reach their peaks in
the second half of 2010, after which recovery is expected to be
slow.
Estimation of Losses
To estimate losses, Moody's first established baseline annual
default and prepayment rates, which correspond to current loan
performance. The baseline default rates were based on a
combination of recent default rates and the current proportion of
delinquent loans, and the baseline prepayment rates were based on
recent voluntary prepayment rates. These rates represent total
annual defaults or prepayments against a pool's balance at the
beginning of the related year.
Moody's developed a forecast of future default and prepayment
rates based on expected trends for each of the second lien
sectors. Default rates on subprime CES are expected to remain
fairly level for the coming year, while default rates for HELOC
and non-subprime CES pools are expected to increase over the near-
term. Default rates beyond the coming year are expected to
decline with improving economic and housing conditions.
To estimate defaults on subprime CES pools, Moody's held the
baseline default rate constant for one year, and then applied a
reduction to the baseline rate of 15% for the second year, 50% for
the third year and thereafter to reflect the projected improving
economic environment. To estimate defaults on non-subprime CES,
Moody's applied an increase of 40% to the baseline default rate
for one year before applying a reduction of 10% to the baseline
for the second year, 45% for the third year, and 60% for years 4
and beyond. For HELOC pools, Moody's applied an increase of 10%
to the baseline default rate for one year, and then applied a
reduction of 20% for the second year, 60% for the third year, and
70% for years 4 and after. In each asset category, prepayment
rates were held at the rates in the low single-digits for the
lives of the pools, and no recoveries were expected for defaulted
loans.
Moody's will release a special report in the coming weeks that
will detail its methodology for determining revised loss
projections for second lien transactions.
Rating Actions
To assess the rating implications of the updated loss levels on
second lien RMBS, Moody's will compare updated loss projections to
available credit enhancement in the form of subordination, excess
spread and payment priority.
The announced review impacts all securities within the second lien
U.S. RMBS sector currently rated Ca and above. The anticipated
actions will vary, and certain bonds placed on review may have
their rating confirmed to the extent credit support and/or payment
priority offer sufficient protection against updated loss
projections to maintain their current ratings. Moody's expects
that upon conclusion of this review, nearly all outstanding second
lien securities issued in 2005 through 2007 will be rated B or
lower, although rating transitions for most of these bonds will be
muted since over 82% are already at these rating levels. Ratings
on earlier vintage bonds are also expected to see substantial
downgrades but will maintain generally higher ratings relative to
the 2005 through 2007 vintages.
Moody's rates securities B2 or higher if they are likely to be
paid off under an expected scenario. If a security is likely to
take a loss under an expected scenario, it will typically be rated
B3 or lower. Securities with expected recoveries of 65% to 95%
are rated in the Caa range. Securities with expected recoveries
of 35% to 65% are rated Ca, while securities with expected
recoveries below 35% are rated C.
* Moody's Reviews Ratings on 40 RMBS Resecuritization Tranches
--------------------------------------------------------------
Moody's Investors Service has placed 40 RMBS resecuritization
tranches with current outstanding balance of $500 million, on
watch for possible downgrade. The rating is triggered by a
downgrade watch on the underlying ratings of the securities
backing these resecuritization tranches.
On Jan 27, 2010, Moody's placed 2,553 tranches of Option Arm RMBS
issued between 2005 and 2007 on review for possible downgrade due
to an upward revision of loss projections on collateral backing
these transactions. On average, Moody's is now projecting
cumulative losses of 20% for 2005 securitizations, 41% for 2006
securitizations and 51% for 2007 securitizations, reported as a
percentage of original balance.
On Jan 14, 2010, Moody's placed 10,330 tranches of alt-a RMBS
issued between 2005 and 2007 on review for possible downgrade due
to an upward revision of loss projections on collateral backing
these transactions. On average, Moody's is now projecting
cumulative losses of 14% for 2005 alt-a securitizations, 29% for
2006 alt-a securitizations, 35% for 2007 alt-a securitizations
reported as a percentage of original balance.
On Dec 17, 2009, Moody's placed 4474 tranches of jumbo RMBS issued
between 2005 and 2008 on review for possible downgrade due to an
upward revision of loss projections on collateral backing these
transactions. On average, Moody's is now projecting cumulative
losses of 3.8% for 2005 jumbo securitizations, 8.0% for 2006 jumbo
securitizations, 10.9% for 2007 jumbo securitizations and 12.3%
for 2008 jumbo securitizations reported as a percentage of
original balance.
On Jan 13, 2010, Moody's placed 5,698 tranches of subprime RMBS
issued between 2005 and 2007 on review for possible downgrade due
to an upward revision of loss projections on collateral backing
these transactions. On average, Moody's is now projecting
cumulative losses of 18.7% for 2005 subprime securitizations,
38.4% for 2006 subprime securitizations, 48.1% for 2007 subprime
securitizations reported as a percentage of original balance.
Most resecuritization deals are structured as pass-through
structures with payments received on the underlying certificates
passed through to the resecuritization bonds. However, the
resecuritization deals typically build-in additional support for
the senior bonds issued in the transaction with certain junior
bonds taking losses ahead of the senior bonds. Increased losses
on the underlying certificates are thus likely to affect the
principal recovery on the junior resecuritization bonds and
probably the senior resecuritization bonds as well.
As such, in assigning ratings on the notes in the
resecuritization, Moody's evaluates:
(i) The updated expected loss of the pool of loans backing the
underlying securities portfolio and the updated ratings on
the underlying securities portfolio given credit
enhancement available to them, and
(iii) The structure of the resecuritization transaction,
including the cashflow allocation and the loss allocation
amongst the bonds issued.
Because the ratings on the notes in the resecuritization are
linked to the ratings on the underlying securities and their
mortgage pool performance, any rating action on the underlying
securities may trigger a further review of the ratings on the
notes in the resecuritization. The ratings on the notes in the
resecuritization address the ultimate payment of promised interest
and principal and do not address any other amounts that may be
payable on the notes.
Complete Rating Actions are:
Issuer: AAA Trust 2007-2
-- Cl. A-3, Ca Placed Under Review for Possible Downgrade;
previously on Jun 2, 2009 Downgraded to Ca
Issuer: Banc of America Funding 2006-R1 Trust
-- Cl. A-1, Ca Placed Under Review for Possible Downgrade;
previously on Nov 11, 2009 Downgraded to Ca
Issuer: Bear Stearns Structured Products Inc. Trust 2007-R6
-- Cl. I-A-2, Ca Placed Under Review for Possible Downgrade;
previously on May 8, 2009 Downgraded to Ca
-- Cl. II-A-2, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
Issuer: CWALT, Inc. Resecuritization Pass-Through Certificates,
Series 2007-26R
-- Cl. A-2, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
-- Cl. A-9, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
-- Cl. A-10, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
-- Cl. A-11, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
-- Cl. A-12, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
-- Cl. A-13, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
-- Cl. A-14, Ca Placed Under Review for Possible Downgrade;
previously on May 1, 2009 Downgraded to Ca
Issuer: Citigroup Mortgage Loan Trust 2007-11, Re-Remic Trust
Certificates, Series 2007-11
-- Cl. I-A-3, Ca Placed Under Review for Possible Downgrade;
previously on May 14, 2009 Downgraded to Ca
-- Cl. I-A-5, Ca Placed Under Review for Possible Downgrade;
previously on May 14, 2009 Downgraded to Ca
-- Cl. I-A-1B, Ca Placed Under Review for Possible Downgrade;
previously on May 14, 2009 Downgraded to Ca
Issuer: Citigroup Mortgage Loan Trust 2007-9
-- Cl. I-A-2, Ca Placed Under Review for Possible Downgrade;
previously on May 14, 2009 Downgraded to Ca
-- Cl. I-A-12, Ca Placed Under Review for Possible Downgrade;
previously on May 14, 2009 Downgraded to Ca
Issuer: Deutsche ALT-A Securities, Inc. Re-Remic Trust
Certificates, Series 2007-RS1
-- Cl. A-3, Ca Placed Under Review for Possible Downgrade;
previously on May 14, 2009 Downgraded to Ca
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2006-1
-- Cl. N-1, Ca Placed Under Review for Possible Downgrade;
previously on Jun 4, 2009 Downgraded to Ca
Issuer: GSMSC Pass-Through Trust 2008-2R
-- Cl. 1A-2, Ca Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to Ca
-- Cl. 2A-2, Ca Placed Under Review for Possible Downgrade;
previously on Jul 15, 2009 Downgraded to Ca
Issuer: J.P. Morgan Alternative Loan Trust, Series 2008-R1
-- Cl. 2-A-2, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust, Series 2008-R1
-- Cl. 1-A-2, Ca Placed Under Review for Possible Downgrade;
previously on Jun 22, 2009 Downgraded to Ca
Issuer: J.P. Morgan Mortgage Trust, Series 2008-R3
-- Cl. 1-A-2, Ca Placed Under Review for Possible Downgrade;
previously on Jul 22, 2009 Downgraded to Ca
Issuer: MASTR Adjustable Rate Mortgages Trust 2007-R5
-- Cl. A2, Ca Placed Under Review for Possible Downgrade;
previously on May 15, 2009 Downgraded to Ca
Issuer: MASTR Resecuritization 2005-3CI and MARS 2005-3CI CORP.
-- Cl. N-1, B3 Placed Under Review for Possible Downgrade;
previously on Jul 13, 2009 Downgraded to B3
Issuer: MASTR Resecuritization 2005-4CI
-- Cl. N-2, Baa2 Placed Under Review for Possible Downgrade;
previously on Jul 13, 2009 Downgraded to Baa2
-- Cl. N-3, B3 Placed Under Review for Possible Downgrade;
previously on Jul 13, 2009 Downgraded to B3
-- Cl. N-4, Ca Placed Under Review for Possible Downgrade;
previously on Jul 13, 2009 Downgraded to Ca
Issuer: MASTR Resecuritization 2006-1CI
-- Cl. N2, A2 Placed Under Review for Possible Downgrade;
previously on May 12, 2006 Assigned A2
-- Cl. N3, B3 Placed Under Review for Possible Downgrade;
previously on May 15, 2009 Downgraded to B3
Issuer: MASTR Resecuritization Trust 2007-1
-- Cl. A2, Ca Placed Under Review for Possible Downgrade;
previously on Aug 10, 2009 Downgraded to Ca
Issuer: Morgan Stanley Mortgage Resecuritization Trust 2008-1R
-- Cl. A8, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
-- Cl. A10, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
-- Cl. A12, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
-- Cl. A14, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
Issuer: RBSGC Structured Trust Pass-Through Certificates, Series
2008-A
-- Cl. A2, Ca Placed Under Review for Possible Downgrade;
previously on May 29, 2009 Downgraded to Ca
Issuer: Structured Asset Securities Corporation 2006-12
-- Cl. AXP1, Caa2 Placed Under Review for Possible Downgrade;
previously on Nov 9, 2009 Upgraded to Caa2
-- Cl. AXPR, Caa2 Placed Under Review for Possible Downgrade;
previously on May 15, 2009 Downgraded to Caa2
Issuer: Structured Asset Securities Corporation Trust 2007-9
-- Cl. AXP, B3 Placed Under Review for Possible Downgrade;
previously on May 15, 2009 Downgraded to B3
-- Cl. AX7N, B3 Placed Under Review for Possible Downgrade;
previously on May 15, 2009 Downgraded to B3
* Moody's Reviews Ratings on Various Junior Notes From Five CLOs
----------------------------------------------------------------
Moody's Investors Service announced that it has placed the ratings
of certain junior notes in five U.S. CLOs on review for possible
upgrade. The rating actions are:
Issuer: Atrium V
-- US$32,500,000 Class C Deferrable Floating Rate Notes Due
2020, Caa1 Placed Under Review for Possible Upgrade;
previously on August 6, 2009 Downgraded to Caa1;
-- US$19,330,000 Class D Deferrable Floating Rate Notes Due
2020, Ca Placed Under Review for Possible Upgrade; previously
on August 6, 2009 Downgraded to Ca.
Issuer: Callidus Debt Partners CLO Fund VII, Ltd.
-- US$25,500,000 Class E Senior Secured Deferrable Floating Rate
Notes Due 2021 (current balance of $21,461,438), Ca Placed
Under Review for Possible Upgrade; previously on June 11,
2009 downgraded to Ca.
Issuer: Blue Mountain CLO II Ltd.
-- US$11,500,000 Class E Deferrable Junior Floating Rate Notes
Due 2018, Ca Placed Under Review for Possible Upgrade;
previously on June 16, 2009 Downgraded to Ca.
Issuer: Denali Capital CLO IV, Ltd.
-- US$8,000,000 Class D Subordinated Secured Deferrable Interest
Notes due 2016 (current balance of $4,474,099), Ca Placed
Under Review for Possible Upgrade; previously on June 15,
2009 Downgraded to Ca.
Issuer: Mayport CLO Ltd.
-- US$20,000,000 Class B-2L Floating Rate Notes due February
2020 (current balance of $19,643,444), Ca Placed Under Review
for Possible Upgrade; previously on June 9, 2009 Downgraded
to Ca.
Moody's explained that the rating actions consider the positive
implications of improvement in certain deal collateral quality
metrics since the time of the previous rating actions. The notes
placed under review for possible upgrade have one or more of these
attributes that constituted key considerations for the actions:
* Strong absolute overcollateralization coverage for the affected
notes, which was considered in relation to the weighted average
rating factor level;
* Meaningful improvements in the WARF, OC levels, and/or exposure
to defaulted and Caa-rated assets since the last rating action;
* The affected notes have either never deferred interest or have
resumed paying interest for a seasoned period of time, and carry
no deferred interest balance;
* Sufficient OC test "cushion" exists for the notes senior to the
affected notes, which makes it less likely for the affected
notes to defer interest in the near future;
* OC stability as assessed by Moody's, i.e., Moody's consider the
extent to which the OC ratio remains vulnerable to market price
volatility, which depends on how much of the OC improvement
originated from realized sales of defaulted and Caa-rated assets
instead of unrealized gains;
* The affected notes benefit from a "turbo" amortization feature
that enables them to delever ahead of more senior notes under
certain conditions.
During its analysis Moody's examined the recent trading activities
of the collateral manager for each deal. In most transactions
Moody's observed successful reinvestment of principal repayments
and sale proceeds into substitute assets with higher par amounts
and/or higher ratings. The CLOs also typically benefited from a
reduction in par value haircuts due to a decrease in exposure to
defaulted securities and/or Caa-rated securities.
The deals affected are collateralized loan obligations backed
primarily by portfolios of senior secured loans.
* S&P Downgrades Ratings on 10 Classes From Three RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes from three residential mortgage-backed securities
transactions issued in 2003 and 2004 and removed one of them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on 17 classes from the downgraded transactions and
removed 10 of the affirmed ratings from CreditWatch negative. All
of the affected transactions are backed by U.S. Alternative-A
(Alt-A) mortgage loan collateral.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given its current projected losses in light of increased
delinquencies.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis.
For Alt-A deals, in order to maintain a rating higher than 'B',
S&P assessed whether a class could withstand losses exceeding its
base-case loss assumptions at a percentage specific to each rating
category, up to 150% for an 'AAA' rating. For example, in
general, S&P would assess whether one class could withstand
approximately 110% of S&P's base-case loss assumptions to maintain
a 'BB' rating, while S&P would assess whether a different class
could withstand approximately 120% of S&P's base-case loss
assumptions to maintain a 'BBB' rating. Each class with an
affirmed 'AAA' rating can, in S&P's view, withstand approximately
150% of its base-case loss assumptions under its analysis.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess spread.
The underlying pool of loans backing these transactions consists
of fixed- and adjustable-rate U.S. Alt-A mortgage loans that are
secured by first and second liens on one- to four-family
residential properties.
Rating Actions
Chevy Chase Funding LLC
Series 2003-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 16678RAJ6 AAA AAA/Watch Neg
A-NA 16678R9A6 AAA AAA/Watch Neg
B-2 16678RAM9 B A+
B-3 16678RAN7 CC BBB
B-4 16678RAP2 CC BB
B-5 16678RAQ0 CC B
Chevy Chase Funding LLC
Series 2004-4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 16678RCC9 AAA AAA/Watch Neg
A-2 16678RCD7 AAA AAA/Watch Neg
A-NA 16678R9K4 AAA AAA/Watch Neg
IO 16678R9L2 AAA AAA/Watch Neg
B-1 16678RCE5 AA AA/Watch Neg
B-2 16678RCF2 A A/Watch Neg
B-3 16678RCG0 BBB BBB/Watch Neg
B-4 16678RCH8 CC BB/Watch Neg
Impac CMB Trust Series 2004-6
Series 2004-6
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A 45254NJW8 AAA AAA/Watch Neg
M-2 45254NJY4 BBB AAA
M-3 45254NJZ1 B AA+
M-4 45254NKA4 CCC AA+
M-5 45254NKB2 CCC AA
M-6 45254NKC0 CC AA
Ratings Affirmed
Chevy Chase Funding LLC
Series 2003-4
Class CUSIP Rating
----- ----- ------
A-2 16678RAK3 AAA
IO 16678R9B4 AAA
B-1 16678RAL1 AA+
Impac CMB Trust Series 2004-6
Series 2004-6
Class CUSIP Rating
----- ----- ------
1-A-1 45254NJV0 AAA
1-A-2 45254NKD8 AAA
1-A-3 45254NKE6 AAA
M-1 45254NJX6 AAA
* S&P Downgrades Ratings on 23 Tranches From Five CDO Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 23
tranches from five U.S. corporate collateralized debt obligation
transactions and removed them from CreditWatch with negative
implications. At the same time, S&P affirmed its ratings on seven
tranches from four transactions and removed five of them from
CreditWatch negative.
The downgrades reflect two primary factors:
* The application of S&P's updated corporate CDO criteria; and
* Deterioration in the credit quality of certain CDO tranches due
to increased exposure to obligors that have either defaulted or
experienced downgrades into the 'CCC' range.
The downgrades of two classes from two 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 23 downgraded U.S. corporate CDO tranches have a total
issuance amount of $4.791 billion. Four of the five affected
transactions are collateralized loan obligation transactions. The
other is a collateralized bond obligation transaction.
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.
Tiered Recovery Rate For 'AAA' Liability Rating
Transaction Recovery rate (%)
----------- -----------------
CoLTS 2005-2 Ltd. 36.0
Genesis CLO 2007-1 Ltd. 43.5
Millennium Park CDO I Ltd. 13.8
Neptune Finance CCS 46.0
Symphony Credit Partners I 46.3
Vista Leveraged Income Fund 44.9
Whitney CLO I Ltd. 42.6
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
----------- ----- -- ----
CoLTS 2005-2 Ltd A A+ AAA/Watch Neg
CoLTS 2005-2 Ltd B BBB+ AA/Watch Neg
CoLTS 2005-2 Ltd C B+ A/Watch Neg
CoLTS 2005-2 Ltd D CCC+ BBB/Watch Neg
Genesis CLO 2007-1 Ltd A AA+ AAA/Watch Neg
Genesis CLO 2007-1 Ltd B A+ AA/Watch Neg
Genesis CLO 2007-1 Ltd C BBB+ A/Watch Neg
Genesis CLO 2007-1 Ltd D BB+ BBB/Watch Neg
Genesis CLO 2007-1 Ltd E B+ BB/Watch Neg
Millennium Park CDO I Ltd A-1 BB- BBB+/Watch Neg
Millennium Park CDO I Ltd A-2 CCC B+/Watch Neg
Millennium Park CDO I Ltd B CCC- CCC+/Watch Neg
Millennium Park CDO I Ltd C CCC- CCC-/Watch Neg
Millennium Park CDO I Ltd D CC CCC-/Watch Neg
Neptune Finance CCS A AAA AAA/Watch Neg
Neptune Finance CCS B AA AA/Watch Neg
Symphony Credit Partners I A A+ AAA/Watch Neg
Symphony Credit Partners I B BBB+ AA/Watch Neg
Symphony Credit Partners I C BBB+ A/Watch Neg
Vista Leveraged Income Fund Senior BB+ BB+/Watch Neg
Whitney CLO I Ltd. A-1LA AAA AAA/Watch Neg
Whitney CLO I Ltd. A-1 AA+ AAA/Watch Neg
Whitney CLO I Ltd. A-1LB AA+ AAA/Watch Neg
Whitney CLO I Ltd. A-2F A+ AA/Watch Neg
Whitney CLO I Ltd. A-2L A+ AA/Watch Neg
Whitney CLO I Ltd. A-3L BBB+ A/Watch Neg
Whitney CLO I Ltd. B-1LA BB- BB+/Watch Neg
Whitney CLO I Ltd. B-1LB CCC- BB/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Whitney CLO I Ltd. P1 AAA
Whitney CLO I Ltd. P2 AAA
* S&P Downgrades Ratings on 29 Tranches From Nine CDO Transactions
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 29
tranches from nine U.S. cash flow and hybrid collateralized debt
obligation transactions. At the same time, S&P removed 12 of the
lowered ratings from CreditWatch with negative implications.
Additionally, S&P placed four of the lowered ratings on
CreditWatch negative, and its ratings on 13 of the downgraded
tranches remain on CreditWatch negative, indicating a significant
likelihood of further downgrades. S&P also affirmed its ratings
on 26 other tranches.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on underlying U.S.
subprime residential mortgage-backed securities. S&P's
CreditWatch placements primarily affect transactions for which a
significant portion of the collateral assets currently have
ratings on CreditWatch with negative implications or that have
significant exposure to assets rated in the 'CCC' category.
The 29 downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $4.539 billion. Six of the nine affected
transactions are mezzanine structured finance CDOs of asset-backed
securities, which are collateralized in large part by mezzanine
tranches of RMBS and other SF securities. The other 3 are high-
grade SF CDOs of ABS that were collateralized at origination
primarily by 'AAA' through 'A' rated tranches of RMBS and other SF
securities.
The affirmations reflect current credit support levels that S&P
believes are sufficient to maintain the current ratings.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Ambassador Structured A-1 CC BB/Watch Neg
Finance CDO
Ambassador Structured A-2 CC CCC/Watch Neg
Finance CDO
C-Bass CBO V Ltd B AA/Watch Neg AAA
C-Bass CBO V Ltd C A+/Watch Neg AAA
C-Bass CBO V Ltd D-1 BB/Watch Neg AA
C-Bass CBO V Ltd D-2 BB/Watch Neg AA
Commodore CDO III, Ltd. A-1A CCC/Watch Neg A/Watch Neg
Commodore CDO III, Ltd. A-1B BB/Watch Neg AA/Watch Neg
Commodore CDO III, Ltd. A-1C CCC/Watch Neg A/Watch Neg
Commodore CDO III, Ltd. A-2 CC B+/Watch Neg
Gemstone CDO II Ltd. A-1 B/Watch Neg AA/Watch Neg
Gemstone CDO II Ltd. A-2 CCC/Watch Neg A/Watch Neg
Gemstone CDO II Ltd. A-3 CCC/Watch Neg A/Watch Neg
Gemstone CDO II Ltd. B CCC-/Watch Neg BB+/Watch Neg
Gemstone CDO II Ltd. C CC B-/Watch Neg
Gemstone CDO II Ltd. D CC CCC-/Watch Neg
G-Star 2004-4 Ltd. A-1 CC BBB+/Watch Neg
G-Star 2004-4 Ltd. A-2-A CC B+/Watch Neg
G-Star 2004-4 Ltd. A-2-B CC B+/Watch Neg
G-Star 2004-4 Ltd. B CC CCC/Watch Neg
Kleros Preferred Funding A-1 B/Watch Neg A+/Watch Neg
Kleros Preferred Funding A-2 CCC-/Watch Neg BB/Watch Neg
Streeterville ABS CDO A-1 CCC/Watch Neg AA-/Watch Neg
Streeterville ABS CDO A-2 CC BBB/Watch Neg
Trainer Wortham First A-1 BBB/Watch Neg AA/Watch Neg
Republic CBO V Ltd.
Trainer Wortham First A-2 B/Watch Neg BBB+/Watch Neg
Republic CBO V Ltd.
Vermeer Funding II, Ltd A-1 CCC/Watch Neg BBB+/Watch Neg
Vermeer Funding II, Ltd A-2A CC CCC/Watch Neg
Vermeer Funding II, Ltd A-2B CC CCC/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Ambassador Structured Finance CDO Ltd B CC
Ambassador Structured Finance CDO Ltd C CC
Ambassador Structured Finance CDO Ltd D CC
Commodore CDO III, Ltd. B CC
Commodore CDO III, Ltd. C-1 CC
Commodore CDO III, Ltd. C-2 CC
Gemstone CDO II Ltd. E CC
Gemstone CDO II Ltd. F CC
G-Star 2004-4 Ltd. C-1-A CC
G-Star 2004-4 Ltd. C-1-B CC
G-Star 2004-4 Ltd. PrefShare CC
Kleros Preferred Funding B CC
Kleros Preferred Funding C CC
Kleros Preferred Funding D CC
Niagara CDO Ltd. A A/Watch Neg
Streeterville ABS CDO Ltd B-1 CC
Streeterville ABS CDO Ltd B-2 CC
Streeterville ABS CDO Ltd C-1 CC
Streeterville ABS CDO Ltd C-2 CC
Trainer Wortham First Republic CBO V B CCC/Watch Neg
Trainer Wortham First Republic CBO V C CC
Trainer Wortham First Republic CBO V D CC
Vermeer Funding II, Ltd. B CC
Vermeer Funding II, Ltd. C-1 CC
Vermeer Funding II, Ltd. C-2 CC
Vermeer Funding II, Ltd. ComboSecs CC
* S&P Downgrades Ratings on 70 Classes From Four RMBS Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 70
classes from four U.S. Alternative-A residential mortgage-backed
securities transactions issued in 2005 and removed 58 of them from
CreditWatch with negative implications. In addition, S&P affirmed
its ratings on 24 classes from these transactions and removed
eight of the affirmed ratings from CreditWatch with negative
implications.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given its current projected losses, due to increased
delinquencies.
The affirmations reflect S&P's belief that there is sufficient
credit enhancement to support the ratings at their current levels.
Certain senior classes also benefit from senior-support classes
that would provide support to a certain extent before any
applicable losses could affect the super-senior certificates.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis.
For Alt-A transactions, in order to maintain a rating higher than
'B', S&P assessed whether a class could withstand losses exceeding
its base-case loss assumptions at a percentage specific to each
rating category, up to 150% for an 'AAA' rating. For example, in
general, S&P would assess whether one class could withstand
approximately 110% of S&P's base-case loss assumptions to maintain
a 'BB' rating, while S&P would assess whether a different class
could withstand approximately 120% of 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.
Subordination provides credit support for the affected
transactions. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess
interest. The underlying pool of loans backing these transactions
consists primarily of fixed rate U.S. Alt-A loans that are secured
by first and second liens on one- to four-family residential
properties.
Rating Actions
Banc of America Funding 2005-H
Series 2005-H
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 05946XH55 CCC B/Watch Neg
3-A1 05946XH71 AA AAA/Watch Neg
4-A1 05946XH97 BB AA/Watch Neg
5-A-1 05946XJ38 B- BBB-/Watch Neg
6-A-1 05946XJ53 CCC BB+/Watch Neg
7-A-2 05946XJ87 CC CCC
8-a-1 05946XJ95 B B/Watch Neg
9-A-1 05946XK36 CC CCC
9-A-2 05946XK44 CC CCC
CB-1 05946XK51 CC CCC
CSFB Mortgage-Backed Trust Series 2005-8
Series 2005-8
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 225458W87 CCC B+/Watch Neg
I-A-2 225458W95 CCC B+/Watch Neg
I-A-3 225458X29 BBB+ AAA/Watch Neg
I-A-4 225458X37 CCC B+/Watch Neg
IV-A-1 2254582C1 CCC B+/Watch Neg
V-A-1 2254582D9 CCC B+/Watch Neg
V-A-2 2254582E7 CCC B+/Watch Neg
V-A-3 2254582F4 CCC B+/Watch Neg
VI-A-1 2254582G2 CCC BB/Watch Neg
IX-A-1 2254582K3 CCC B+/Watch Neg
IX-A-2 2254582L1 B B+/Watch Neg
IX-A-3 2254582M9 CCC B+/Watch Neg
IX-A-4 2254582N7 CCC B+/Watch Neg
IX-A-6 2254582Q0 B BB/Watch Neg
IX-A-8 2254582S6 CCC B+/Watch Neg
IX-A-9 2254582T4 CCC B+/Watch Neg
IX-A-10 2254582U1 CCC B+/Watch Neg
IX-A-11 2254582V9 CCC B+/Watch Neg
IX-A-12 2254582W7 CCC B+/Watch Neg
IX-A-13 2254582X5 BB AAA/Watch Neg
IX-A-14 2254582Y3 CCC B+/Watch Neg
IX-A-15 2254582Z0 CCC B+/Watch Neg
A-X 2254583A4 AAA AAA/Watch Neg
D-X 2254583B2 B B/Watch Neg
A-P 2254583C0 CC B+/Watch Neg
B-1 2254583D8 CC CCC
B-2 2254583E6 CC CCC
II-A-1 225458X45 B- AAA/Watch Neg
II-A-2 225458X52 B- AAA/Watch Neg
III-A-1 225458X60 B- AAA/Watch Neg
III-A-2 225458X78 B- AAA/Watch Neg
III-A-3 225458X86 B- AAA/Watch Neg
III-A-5 225458Y28 B- AAA/Watch Neg
III-A-6 225458Y36 B- AAA/Watch Neg
III-A-7 225458Y44 B- AAA/Watch Neg
III-A-8 225458Y51 B- AAA/Watch Neg
III-A-9 225458Y69 B AAA/Watch Neg
III-A-10 225458Y77 A AAA/Watch Neg
III-A-11 225458Y85 B- AAA/Watch Neg
III-A-12 225458Y93 B- AAA/Watch Neg
III-A-13 225458Z27 AAA AAA/Watch Neg
III-A-14 225458Z35 B+ AAA/Watch Neg
III-A-15 225458Z43 A AAA/Watch Neg
III-A-16 225458Z50 B- AAA/Watch Neg
III-A-17 225458Z68 B- AAA/Watch Neg
III-A-18 225458Z76 AAA AAA/Watch Neg
III-A-19 225458Z84 AAA AAA/Watch Neg
III-A-20 225458Z92 AAA AAA/Watch Neg
III-A-21 2254582A5 B- AAA/Watch Neg
III-A-22 2254582B3 B- AAA/Watch Neg
C-B-2 2254583H9 CC CCC
VII-A-1 2254582H0 CC CCC
VIII-A-1 2254582J6 CC CCC
GSAA Home Equity Trust 2005-12
Series 2005-12
Rating
------
Class CUSIP To From
----- ----- -- ----
AF-3 362341SR1 BB- BBB/Watch Neg
AF-3W 362341TK5 AAA AAA/Watch Neg
AF-4 362341SS9 BB- BBB-/Watch Neg
AF-5 362341ST7 BB- BBB-/Watch Neg
AF-6 362341SU4 BB- BBB-/Watch Neg
M-4 362341SY6 CC CCC
Opteum Mortgage Acceptance Corporation
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-APT 68383NCA9 A AAA/Watch Neg
I-A1B 68383NCC5 A AAA/Watch Neg
I-A1C 68383NCD3 A AAA/Watch Neg
I-A1D 68383NCT8 A AAA/Watch Neg
I-A2 68383NCE1 B- BB/Watch Neg
II-A1 68383NCF8 A- AA+/Watch Neg
M-1 68383NCG6 CCC B-/Watch Neg
M-4 68383NCK7 CC CCC
M-5 68383NCL5 CC CCC
Ratings Affirmed
Banc of America Funding 2005-H
Series 2005-H
Class CUSIP Rating
----- ----- ------
1-A-1 05946XG98 CCC
1-A-2 05946XH22 CCC
1-A-3 05946XH30 CCC
2-A-2 05946XH63 CCC
3-A2 05946XH89 CCC
4-A-2 05946XJ20 CCC
5-A-2 05946XJ46 CCC
6-A-2 05946XJ61 CCC
7-A-1 05946XJ79 CCC
8-A-2 05946XK28 CCC
CSFB Mortgage-Backed Trust Series 2005-8
Series 2005-8
Class CUSIP Rating
----- ----- ------
C-B-1 2254583G1 CCC
GSAA Home Equity Trust 2005-12
Series 2005-12
Class CUSIP Rating
----- ----- ------
M-1 362341SV2 CCC
M-2 362341SW0 CCC
M-3 362341SX8 CCC
Opteum Mortgage Acceptance Corporation
Series 2005-4
Class CUSIP Rating
----- ----- ------
M-2 68383NCH4 CCC
M-3 68383NCJ0 CCC
* S&P Downgrades Ratings on 193 Classes From 26 RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 193
classes from 26 residential mortgage-backed securities
transactions issued between 2005 and 2007 and removed 60 of the
ratings from CreditWatch with negative implications. In addition,
S&P affirmed its ratings on 213 classes from 18 of the downgraded
transactions and 12 additional transactions, and removed 27 of the
affirmed ratings from CreditWatch negative. All of these
transactions are backed by U.S. Alternative-A mortgage collateral;
however, group 4 from American Home Mortgage Investment Trust
2006-2 is backed by closed-end second-lien mortgage loan
collateral.
Standard & Poor's has established revised loss projections for
each transaction rated between 2005 and 2007. S&P derived these
losses using the criteria that S&P outlined in "Standard & Poor's
Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For
Transactions Issued In 2005, 2006, And 2007," published July 6,
2009, as well as in "Revised Lifetime Loss Projections For U.S.
Closed-End Second-Lien And HELOC RMBS Transactions Issued In 2005,
2006, And 2007," published Dec. 21, 2009.
The downgrades reflect S&P's opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given its current projected losses in light of increased
delinquencies.
To assess the creditworthiness of each class, S&P reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in risk characteristics, servicing, and the
ability to withstand additional credit deterioration. In order to
maintain a 'B' rating on a class, S&P assessed whether, in its
view, a class could absorb the base-case loss assumptions S&P used
in its analysis.
In order to maintain a rating higher than 'B', S&P assessed
whether a class could withstand losses exceeding its base-case
loss assumptions at a percentage specific to each rating category,
up to 150% for an 'AAA' rating. For example, in general, S&P
would assess whether one class could withstand approximately 110%
of its base-case loss assumptions to maintain a 'BB' rating, while
S&P would assess whether a different class could withstand
approximately 120% of 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.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover losses associated with these rating levels.
Subordination provides credit support for the affected
transactions. In addition, some classes also benefit from
overcollateralization (prior to its depletion) and excess spread.
The underlying pool of loans backing these transactions consists
of fixed- and adjustable-rate U.S. Alt-A and closed-end second-
lien loans secured by first and second liens on one- to four-
family residential properties.
Rating Actions
American Home Mortgage Investment Trust 2006-2
Series 2006-2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-2 02660YAL6 CCC AAA/Watch Neg
I-A-3 02660YAM4 CCC AAA/Watch Neg
I-A-4 02660YAN2 CC AAA/Watch Neg
I-M-1 02660YAY8 D AA+/Watch Neg
II-A-1B 02660YAQ5 CCC AAA/Watch Neg
II-A-1C 02660YAR3 CCC AAA/Watch Neg
II-A-2 02660YAS1 CCC AAA/Watch Neg
III-A-1 02660YAT9 CCC AAA/Watch Neg
III-A-2 02660YAU6 CCC AAA/Watch Neg
III-A-3 02660YAV4 CCC AAA/Watch Neg
III-A-4 02660YAW2 CCC AAA/Watch Neg
III-A-5 02660YAX0 CCC AAA/Watch Neg
IV-A 02660YAB8 CCC B
Banc of America Funding 2007-3 Trust
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-2 059515BC9 A AAA/Watch Neg
3-A-3 059515BD7 A AAA/Watch Neg
Bear Stearns Mortgage Funding Grantor Trust 2007-AR5
Series 2007-AR5
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1B 07400NAB6 B+ B+/Watch Neg
Bear Stearns Mortgage Funding Trust 2007-AR4
Series 2007-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 07401YAA3 CCC B/Watch Neg
I-X-1 07401YAD7 CCC B/Watch Neg
I-X-2 07401YAE5 CCC B/Watch Neg
CHL Mortgage Pass-Through Trust 2005-HYB8
Series 2005-HYB8
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 126694QE1 CCC BB/Watch Neg
3-A-1 126694QG6 BBB+ AAA/Watch Neg
I-M 126694QR2 CC CCC
4-A-1 126694QJ0 B- B+/Watch Neg
CHL Mortgage Pass-Through Trust 2006-HYB5
Series 2006-HYB5
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 170256AA9 CC CCC
1-A-IO 170256AC5 CC CCC
CSMC Mortgage-Backed Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-4 12638PAG4 AAA AAA/Watch Neg
1-A-5 12638PAH2 AAA AAA/Watch Neg
DSLA Mortgage Loan Trust 2006-AR2
Series 2006-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1A 23332QAA1 BB BB/Watch Neg
2A-1A 23332QAC7 BB+ BB+/Watch Neg
2A-1B1 23332QAD5 AAA AAA/Watch Neg
GMACM Mortgage Loan Trust 2005-AF2
Series 2005-AF2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 36185MDB5 CC CCC
A-2 36185MDC3 CC CCC
PO 36185MDD1 CC CCC
IO 36185MDE9 CC CCC
GreenPoint Mortgage Funding Trust 2006-AR3
Series 2006-AR3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 39538WGZ5 D CC
II-A-1 39538WHA9 BB BB/Watch Neg
III-A-1 39538WHC5 CC CCC
III-A-2 39538WHD3 D CC
III-A-3 39538WHE1 D CC
IV-A-1 39538WHF8 BBB- BBB-/Watch Neg
IV-A-2 39538WHG6 CC CCC
IV-A-3 39538WHH4 D CC
IV-X 39538WHJ0 BBB- BBB-/Watch Neg
Harborview Mortgage Loan Trust 2005-15
Series 2005-15
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1B 41161PXG3 CC CCC
2-A1A1 41161PXH1 CCC A/Watch Neg
2-A1A2 41161PXJ7 CCC A/Watch Neg
2-A1B 41161PXK4 CCC B-/Watch Neg
2-A1C 41161PXL2 CC CCC
3-A1C 41161PXQ1 CC CCC
X-2 41161PXS7 CCC A/Watch Neg
X-B 41161PXV0 CC CCC
B-1 41161PYC1 CC CCC
HarborView Mortgage Loan Trust 2006-10
Series 2006-10
Rating
------
Class CUSIP To From
----- ----- -- ----
1A-1B 41162CAB7 AAA AAA/Watch Neg
2A-1A 41162CAC5 CCC B-/Watch Neg
2A-1C 41162CAE1 AAA AAA/Watch Neg
HarborView Mortgage Loan Trust 2006-7
Series 2006-7
Rating
------
Class CUSIP To From
----- ----- -- ----
1A 41161VAA8 D CCC
2A-1C 41161VAE0 CC CCC
IndyMac INDX Mortgage Loan Trust 2006-AR2
Series 2006-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1A 45661EAA2 B AAA/Watch Neg
1-A-1B 45661EAB0 B AAA/Watch Neg
1-A-2 45661EAC8 CC B/Watch Neg
1-A-3A 45661EAD6 CC B-/Watch Neg
1-A-3B 45661EAE4 CC A/Watch Neg
2-A-1 45661EAF1 BB BB/Watch Neg
2-A-2 45661EAG9 CC A/Watch Neg
IndyMac INDX Mortgage Loan Trust 2007-AR21IP
Series 2007-AR21IP
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 45670BAA7 BBB AAA/Watch Neg
10-A-1 45670BAU3 CC CCC
Lehman Mortgage Trust 2006-7
Series 2006-7
Rating
------
Class CUSIP To From
----- ----- -- ----
1A1 52520QAA2 CC CCC
1A4 52520QAD6 CC CCC
1A5 52520QAE4 CC CCC
1A6 52520QAF1 CC CCC
1A7 52520QAG9 CC CCC
1A8 52520QAH7 CC CCC
1A9 52520QAJ3 CC CCC
1A10 52520QAK0 CC CCC
2A1 52520QAL8 CC CCC
2A2 52520QAM6 CC CCC
2A3 52520QAN4 CC CCC
2A4 52520QAP9 CC CCC
2A5 52520QAQ7 CC CCC
2A6 52520QAR5 CC CCC
2A7 52520QAS3 CC CCC
2A8 52520QAT1 CC CCC
2A9 52520QAU8 CC CCC
2A10 52520QAV6 CC CCC
2 A11 52520QAW4 CC CCC
3A1 52520QAX2 CC CCC
3A2 52520QAY0 CC CCC
3A3 52520QAZ7 CC CCC
3A4 52520QBA1 CC CCC
3A5 52520QBB9 CC CCC
3A6 52520QBC7 CC CCC
3A7 52520QBD5 CC CCC
4A1 52520QBE3 CC CCC
4A2 52520QBF0 CC CCC
5A1 52520QBG8 CC CCC
5A3 52520QBJ2 CC CCC
5A5 52520QBL7 CC CCC
5A7 52520QBN3 CC CCC
5A8 52520QBP8 CC CCC
AP 52520QBQ6 D CC
Lehman Mortgage Trust 2007-10
Series 2007-10
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 52522QAA0 CCC AA
2-A1 52522QAD4 CCC A-
2-A2 52522QAE2 CCC AAA
2-A9 52522QBW1 CCC A-
2-A10 52522QBX9 CCC A-
2-A11 52522QBY7 CCC A-
2-A12 52522QBZ4 CCC A-
AX1 52522QBE1 CCC AA
3-A3 52522QAP7 CC CCC
3-A9 52522QAV4 CC CCC
AP2 52522QBC5 CC CCC
AP3 52522QBD3 CC CCC
AP4 52522QCE0 CC CCC
Lehman Mortgage Trust 2007-2
Series 2007-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-I01 52521DAT9 CC CCC
Lehman Mortgage Trust 2007-4
Series 2007-4
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 52521LAA2 CC CCC
1-A2 52521LAB0 CC CCC
1-A3 52521LAC8 CC CCC
2-A2 52521LAF1 CC CCC
2-A4 52521LAH7 CC CCC
2-A5 52521LAJ3 CC CCC
2-A6 52521LAK0 CC CCC
2-A7 52521LAL8 CC CCC
2-A8 52521LAM6 CC CCC
2A-9 52521LAN4 CC CCC
2-A10 52521LAP9 CC CCC
2-A11 52521LAQ7 CC CCC
2-A12 52521LAR5 CC CCC
2-A18 52521LAX2 CC CCC
2-A20 52521LAZ7 CC CCC
3-A1 52521LBD5 CC CCC
3-A2 52521LBE3 CC CCC
3-A4 52521LBU7 CC CCC
3-A5 52521LBV5 CC CCC
3-A6 52521LBW3 CC CCC
3-A7 52521LBX1 CC CCC
3-A8 52521LBY9 CC CCC
3-A9 52521LBZ6 CC CCC
AX 52521LBJ2 CC CCC
Lehman XS Trust 2007-6
Series 2007-6
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A1 52524PAG7 CC BBB/Watch Neg
3-A2 52524PAH5 CC BBB/Watch Neg
3-A3-1 52524PAY8 CC BBB/Watch Neg
3-A3-2 52524PAZ5 CC BBB/Watch Neg
3-A3-3 52524PBA9 CC BBB/Watch Neg
3-A4 52524PAK8 CC BBB/Watch Neg
3-A5 52524PAL6 CC BBB/Watch Neg
3-A6 52524PAM4 CCC AAA/Watch Neg
3-A7 52524PAN2 CC BBB/Watch Neg
3-AIO 52524PAP7 CC AA/Watch Neg
II-M1 52524PAT9 CC CCC
II-M2 52524PAU6 D CCC
MASTR Adjustable Rate Mortgages Trust 2007-3
Series 2007-3
Rating
------
Class CUSIP To From
----- ----- -- ----
1-1A1 57645NAA8 CCC B/Watch Neg
1-1A2 57645NAB6 AAA AAA/Watch Neg
1-2A1 57645NAC4 CCC B/Watch Neg
1-2A2 57645NAD2 AAA AAA/Watch Neg
2-1A1 57645NAM2 CCC B/Watch Neg
2-1A2 57645NAN0 AAA AAA/Watch Neg
2-2A3 57645NAR1 AAA AAA/Watch Neg
2-2A6 57645NAU4 AAA AAA/Watch Neg
2-M1 57645NAW0 CC CCC
2-M2 57645NAX8 CC CCC
2-M3 57645NAY6 CC CCC
2-M4 57645NAZ3 D CCC
MASTR Alternative Loan Trust 2007-HF1
Series 2007-HF1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A-1 55291YAA5 CC CCC
1-A-2 55291YAB3 CC CCC
2-A-1 55291YAC1 CC CCC
2-A-2 55291YAD9 CC CCC
3-A-1 55291YAE7 CC CCC
3-A-2 55291YAF4 CC CCC
4-A-1 55291YAG2 CC CCC
4-A-2 55291YAH0 CC CCC
4-A-3 55291YAJ6 CC CCC
4-A-4 55291YAK3 CC CCC
5-A-1 55291YAL1 CC CCC
4-PO 55291YAN7 CC CCC
4-AX 55291YAP2 CC CCC
2-A-3 55291YBD8 CC CCC
4-A-5 55291YBE6 CC CCC
4-A-6 55291YBF3 CC CCC
4-A-7 55291YBG1 CC CCC
Morgan Stanley Mortgage Loan Trust 2007-8XS
Series 2007-8XS
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1-W 61754PAB0 BB+ BB+/Watch Neg
A-3-W 61754PAD6 BB+ BB+/Watch Neg
Nomura Asset Acceptance Corporation, Alternative Loan Trust
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1A 65538PAA6 CC CCC
I-A-IB 65538PAB4 CC CCC
I-A-2 65538PAC2 CC CCC
I-A-3 65538PAD0 AAA AAA/Watch Neg
I-A-4 65538PAE8 AAA AAA/Watch Neg
I-A-5 65538PAF5 AAA AAA/Watch Neg
I-A-6 65538PAG3 AAA AAA/Watch Neg
II-A-1 65538NAA1 CC CCC
II-A-2 65538NAB9 CC CCC
II-A-3 65538NAC7 CC CCC
II-A-4 65538NAD5 CC CCC
RALI Grantor Trust I-A, Series 2006-QO9
Series 2006-QO9
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A1B 75114PAA7 D CCC
I-A2A 75114PAB5 CC CCC
I-A3A 75114PAC3 CC CCC
I-A3B 75114PAD1 D CCC
I-A4A 75114PAE9 CC CCC
RALI Series 2005-QO3 Trust
Series 2005-QO3
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 761118KU1 B- A-/Watch Neg
A-3 761118KW7 CC CCC
X 761118KX5 B- A-/Watch Neg
Structured Asset Mortgage Investments II Grantor Trust
Series 2007-AR3 CLASS II-A-3B
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-3B 86363QAB8 CC CCC
Structured Asset Mortgage Investments II Grantor Trust 2007-AR4
Series 2007-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-4B 86364NAA6 CCC AAA/Watch Neg
Structured Asset Mortgage Investments II Trust 2006-AR7
Series 2006-AR7
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1A 86361HAA2 CCC AAA/Watch Neg
A-1B 86361HAB0 CCC AAA/Watch Neg
A-3 86361HAF1 AAA AAA/Watch Neg
A-8 86361HAL8 AAA AAA/Watch Neg
A-9 86361HAM6 B B/Watch Neg
A-10 86361HAN4 CCC B/Watch Neg
A-11 86361HAP9 CCC B/Watch Neg
X 86361HAT1 AAA AAA/Watch Neg
B-7 86361HBA1 D CC
Structured Asset Mortgage Investments II Trust 2007-AR4
Series 2007-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1 86364MAA8 BBB AAA/Watch Neg
A-2 86364MAB6 CCC B/Watch Neg
A-3 86364MAC4 CCC B/Watch Neg
A-4A 86364MAD2 CCC AAA/Watch Neg
A-4B 86364MAU4 CCC AAA/Watch Neg
A-5 86364MAE0 CCC B/Watch Neg
A-7 86364MAG5 CC CCC
X-1 86364MAH3 BBB AAA/Watch Neg
X-2 86364MAJ9 BBB AAA/Watch Neg
Ratings Affirmed
Banc of America Funding 2007-3 Trust
Series 2007-3
Class CUSIP Rating
----- ----- ------
1-A-1 059515AV8 CCC
1-A-2 059515AW6 CCC
1-A-3 059515AX4 CCC
2-A-1 059515AY2 CCC
X-IO 059515AZ9 CCC
X-A-1 059515BE5 CCC
X-A-2 059515BF2 CCC
T-A-1A 059515AA4 CCC
T-A-5 059515AG1 CCC
T-A-6 059515AH9 CCC
T-A-8 059515AK2 CCC
Bear Stearns Mortgage Funding Grantor Trust 2006-AR3
Series 2006-AR3
Class CUSIP Rating
----- ----- ------
I-A-2B 07400JAA7 CCC
II-A-2B 07400JAB5 CCC
Bear Stearns Mortgage Funding Grantor Trust 2007-AR4
Series 2007-AR4 CLASS II-A-2B
Class CUSIP Rating
----- ----- ------
II-A-2B 073324AB1 CCC
Bear Stearns Mortgage Funding Grantor Trust 2007-AR5
Series 2007-AR5
Class CUSIP Rating
----- ----- ------
I-A-2B 07400NAD2 CCC
Bear Stearns Mortgage Funding Trust 2007-AR4
Series 2007-AR4
Class CUSIP Rating
----- ----- ------
I-A-2 07401YAB1 CCC
II-A-1 07401YAQ8 CCC
II-A-2A 07401YAR6 CCC
II-A-2B 07401YBF1 CCC
Chevy Chase Funding LLC Mortgage-Backed Certificates
Series 2006-2
Class CUSIP Rating
----- ----- ------
A-1 16678WAA4 CCC
A-2 16678WAB2 CCC
A-NA 16678W9A8 CCC
IO 16678W9D2 CCC
NIO 16678W9E0 CCC
CHL Mortgage Pass-Through Trust 2005-HYB8
Series 2005-HYB8
Class CUSIP Rating
----- ----- ------
1-A-2 126694SF6 CCC
2-A-1 126694QF8 CCC
2-A-2 126694SG4 CCC
2-A-IO 126694SH2 CCC
3-A-2 126694QH4 CCC
4-A-2 126694QK7 CCC
II-M 126694QU5 CCC
CHL Mortgage Pass-Through Trust 2006-HYB5
Series 2006-HYB5
Class CUSIP Rating
----- ----- ------
4-A-1 170256AN1 CCC
CSMC Mortgage-Backed Trust 2007-3
Series 2007-3
Class CUSIP Rating
----- ----- ------
1-A-1A 12638PAB5 CCC
1-A-1B 12638PAC3 CCC
1-A-2 12638PAD1 CCC
1-A-3A 12638PAE9 CCC
1-A-3B 12638PAF6 CCC
1-A-6A 12638PAJ8 CCC
1-A-6B 12638PAK5 CCC
2-A-4 12638PAW9 CCC
2-A-12 12638PBE8 CCC
4-A-3 12638PBS7 CCC
4-A-4 12638PBT5 CCC
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA2
Series 2007-OA2
Class CUSIP Rating
----- ----- ------
A-1 25150UAA6 CCC
A-2 25150UAB4 CCC
DSLA Mortgage Loan Trust 2006-AR2
Series 2006-AR2
Class CUSIP Rating
----- ----- ------
2A-1B2 23332QAE3 CCC
2A-1B3 23332QAS2 CCC
Harborview Mortgage Loan Trust 2005-15
Series 2005-15
Class CUSIP Rating
----- ----- ------
1-A1A 41161PXF5 CCC
3-A1A1 41161PXM0 CCC
3-A1A2 41161PXN8 CCC
3-A1B 41161PXP3 CCC
X-1 41161PXR9 CCC
X-3A 41161PXT5 CCC
X-3B 41161PXU2 CCC
PO-1 41161PXW8 CCC
PO-2 41161PXX6 CCC
PO-3A 41161PXY4 CCC
PO-3B 41161PXZ1 CCC
HarborView Mortgage Loan Trust 2006-10
Series 2006-10
Class CUSIP Rating
----- ----- ------
1A-1A 41162CAA9 CCC
2A-1B 41162CAD3 CCC
HarborView Mortgage Loan Trust 2006-7
Series 2006-7
Class CUSIP Rating
----- ----- ------
2A-1A 41161VAC4 CCC
2A-1B 41161VAD2 CCC
IndyMac INDX Mortgage Loan Trust 2007-AR21IP
Series 2007-AR21IP
Class CUSIP Rating
----- ----- ------
1-A-2 45670BAB5 CCC
1-A-3 45670BBQ1 CCC
2-A-1 45670BAC3 CCC
4-A-1 45670BAG4 CCC
7-A-1 45670BAN9 CCC
7-A-2 45670BAP4 CCC
9-A-1 45670BAS8 CCC
JPMorgan Alternative Loan Trust 2007-A2
Series 2007-A2
Class CUSIP Rating
----- ----- ------
1-1-A1 466278AA6 CCC
1-2-A1 466278AC2 CCC
1-2-A2 466278AD0 A+
1-2-A3 466278AE8 CCC
1-2-A4 466278AF5 CCC
1-2-A6 466278CP1 A+
2-A-1 466278AR9 CCC
2-A-1A 466278AS7 CCC
2-A-1B 466278AT5 CCC
2-A-1C 466278AU2 CCC
2-A-1D 466278AV0 CCC
2-A-1E 466278AW8 CCC
2-A-1F 466278AX6 CCC
2-A-1G 466278AY4 CCC
2-A-1H 466278AZ1 CCC
2-A-1I 466278BA5 CCC
2-A-1J 466278BB3 CCC
3-A-1 466278BD9 CCC
3-A-1A 466278BE7 CCC
3-A-1B 466278BF4 CCC
3-A-1C 466278BG2 CCC
3-A-1D 466278BH0 CCC
3-A-1E 466278BJ6 CCC
3-A-1F 466278BK3 CCC
3-A-1G 466278BL1 CCC
3-A-1H 466278BM9 CCC
3-A-1I 466278BN7 CCC
3-A-1J 466278BP2 CCC
4-A-1 466278BR8 CCC
4-A-1A 466278BS6 CCC
4-A-1B 466278BT4 CCC
4-A-1C 466278BU1 CCC
4-A-1D 466278BV9 CCC
4-A-1E 466278BW7 CCC
4-A-1F 466278BX5 CCC
4-A-1G 466278BY3 CCC
4-A-1H 466278BZ0 CCC
4-A-1I 466278CA4 CCC
4-A-1J 466278CB2 CCC
Lehman Mortgage Trust 2006-7
Series 2006-7
Class CUSIP Rating
----- ----- ------
1A2 52520QAB0 CCC
1A3 52520QAC8 CCC
5A2 52520QBH6 CCC
5A4 52520QBK9 CCC
5A6 52520QBM5 CCC
AX 52520QBR4 CCC
Lehman Mortgage Trust 2007-10
Series 2007-10
Class CUSIP Rating
----- ----- ------
1-A2 52522QAB8 CCC
1-A3 52522QAC6 CCC
2-A3 52522QAF9 CCC
2-A4 52522QAG7 CCC
2-A5 52522QAH5 CCC
2-A6 52522QAJ1 CCC
2-A7 52522QAK8 CCC
2-A8 52522QAL6 CCC
AP1 52522QBB7 CCC
3-A1 52522QAM4 CCC
3-A2 52522QAN2 CCC
3-A4 52522QAQ5 CCC
3-A5 52522QAR3 CCC
3-A6 52522QAS1 CCC
3-A7 52522QAT9 CCC
3-A8 52522QAU6 CCC
3-A10 52522QCA8 CCC
3-A11 52522QCB6 CCC
3-A12 52522QCC4 CCC
3-A13 52522QCD2 CCC
4-A1 52522QAW2 CCC
4-A2 52522QAX0 CCC
4-A3 52522QAY8 CCC
4-A4 52522QAZ5 CCC
4-A5 52522QBA9 CCC
AX3 52522QBF8 CCC
Lehman Mortgage Trust 2007-2
Series 2007-2
Class CUSIP Rating
----- ----- ------
2-A2 52521DAD4 CCC
2-A4 52521DAF9 CCC
2-A6 52521DAH5 CCC
2-A7 52521DAJ1 CCC
2-A-9 52521DAL6 CCC
2-A-10 52521DAM4 CCC
2-A12 52521DAP7 CCC
2-A13 52521DAQ5 CCC
MASTR Adjustable Rate Mortgages Trust 2007-3
Series 2007-3
Class CUSIP Rating
----- ----- ------
2-2A2 57645NAQ3 CCC
2-2A4 57645NAS9 CCC
2-2A5 57645NAT7 CCC
Morgan Stanley Mortgage Loan Trust 2007-8XS
Series 2007-8XS
Class CUSIP Rating
----- ----- ------
A-1 61754PAA2 CCC
A-1-M 61754PBK9 CCC
A-2 61754PAC8 CCC
A-4 61754PAE4 CCC
A-5 61754PAF1 CCC
A-6 61754PAG9 CCC
A-7 61754PAH7 CCC
A-8 61754PAJ3 CCC
A-9 61754PAX2 CCC
A-10 61754PAY0 CCC
A-11 61754PAZ7 CCC
A-12 61754PBA1 CCC
A-13 61754PBB9 CCC
A-14 61754PBC7 CCC
A-15 61754PBD5 CCC
A-16 61754PBE3 CCC
A-17 61754PBF0 CCC
A-18 61754PBG8 CCC
A-19 61754PBH6 CCC
A-20 61754PBJ2 CCC
RALI Series 2005-QO3 Trust
Series 2005-QO3
Class CUSIP Rating
----- ----- ------
A-2 761118KV9 CCC
Structured Asset Mortgage Investments II Grantor Trust 2006-AR1
Series 2006-AR1
Class CUSIP Rating
----- ----- ------
3A-2B CCC
Structured Asset Mortgage Investments II Grantor Trust 2006-AR8
Series 2006-AR8
Class CUSIP Rating
----- ----- ------
A-1B 86361XAA7 CCC
A-4B 86361XAB5 CCC
A-4C 86361XAC3 CCC
Structured Asset Mortgage Investments II Grantor
Trust 2007-AR3
Series 2007-AR3 CLASS I-A-4B
Class CUSIP Rating
----- ----- ------
I-A-4B 86363QAA0 CCC
Structured Asset Mortgage Investments II Trust 2006-AR7
Series 2006-AR7
Class CUSIP Rating
----- ----- ------
A-2A 86361HAC8 CCC
A-2B 86361HAD6 CCC
A-4 86361HAG9 CCC
A-5 86361HAH7 CCC
A-6 86361HAJ3 CCC
A-12 86361HAQ7 CCC
A-13A 86361HAR5 CCC
A-13B 86361HAS3 CCC
Structured Asset Mortgage Investments II Trust 2007-AR4
Series 2007-AR4
Class CUSIP Rating
----- ----- ------
A-6 86364MAF7 CCC
* S&P Puts Ratings on Seven Tranches on CreditWatch Negative
------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on seven
tranches from three corporate-backed synthetic collateralized debt
obligation transactions and seven tranches from six residential
mortgage-backed securities- backed synthetic CDO transactions on
CreditWatch negative. At the same time, S&P affirmed its ratings
on 31 tranches from 14 commercial mortgage-backed securities-
backed synthetic CDO transactions, seven tranches from six
corporate-backed synthetic CDO transactions, and one tranche from
one RMBS-backed synthetic CDO transaction. S&P removed all of the
affirmed ratings from CreditWatch negative. The CreditWatch
placements and affirmations followed S&P's monthly review of U.S.
synthetic CDO transactions.
The CreditWatch negative placements reflect negative rating
migration in the respective portfolios and synthetic rated
overcollateralization ratios that had fallen below 100% as of
S&P's February month-end review. The affirmations reflect SROC
ratios at or above 100% as of S&P's February month-end review.
Ratings List
ABACUS 2005-3, Ltd.
Rating
------
Class To From
----- -- ----
C CCC+/Watch Neg CCC+
C Series2 CCC+/Watch Neg CCC+
AMP CMBS 2006-1
Rating
------
Class To From
----- -- ----
Securd Nts BBB BBB/Watch Neg
Aphex Capital NSCR 2007-5, Ltd.
Rating
------
Class To From
----- -- ----
A-1FX BBB+ BBB+/Watch Neg
A-1FL BBB+ BBB+/Watch Neg
A-2 BBB BBB/Watch Neg
B CCC+ CCC+/Watch Neg
C CCC CCC/Watch Neg
Aphex Capital NSCR 2007-6, Ltd
Rating
------
Class To From
----- -- ----
A-2 B+ B+/Watch Neg
B CCC+ CCC+/Watch Neg
Aphex Capital NSCR 2007-7SR Ltd
Rating
------
Class To From
----- -- ----
A-1A BBB+ BBB+/Watch Neg
A-1B BBB+ BBB+/Watch Neg
A-2 BBB BBB/Watch Neg
B BBB- BBB-/Watch Neg
D-A BB+ BB+/Watch Neg
D-B BB+ BB+/Watch Neg
E BB+ BB+/Watch Neg
F BB+ BB+/Watch Neg
G BB+ BB+/Watch Neg
J CCC CCC/Watch Neg
Calculus ABS Resecuritization Trust Series 2007-1
Rating
------
Class To From
----- -- ----
VarDisTrUn CCC CCC/Watch Neg
Claris Limited
94/2007
Rating
------
Class To From
----- -- ----
Tranche 1 BBB- BBB-/Watch Neg
Claris Limited
93/2007
Rating
------
Class To From
----- -- ----
Tranche 1 A+ A+/Watch Neg
Claris Limited
92/2007
Rating
------
Class To From
----- -- ----
Tranche 1 AA+ AA+/Watch Neg
Claris Limited
106/2007
Rating
------
Class To From
----- -- ----
Tranche BBB BBB/Watch Neg
Claris Limited
105/2007
Rating
------
Class To From
----- -- ----
Tranche AA- AA-/Watch Neg
Claris Limited
114/2007
Rating
------
Class To From
----- -- ----
Tranche B B/Watch Neg
Global Credit Pref Corp.
Rating
------
Class To From
----- -- ----
Pfd Shares CCC- CCC-/Watch Neg
P-5(Low) P-5(Low)/Watch Neg
Magnolia Finance II PLC
2006-6B
Rating
------
Class To From
----- -- ----
Series B CCC+/Watch Neg CCC+
Magnolia Finance II PLC
2006-7D
Rating
------
Class To From
----- -- ----
Notes B+/Watch Neg B+
Magnolia Finance II PLC
2006-6A2E
Rating
------
Class To From
----- -- ----
Notes CCC+/Watch Neg CCC+
Morgan Stanley Managed ACES SPC
2007-14
Rating
------
Class To From
----- -- ----
IB B/Watch Neg B
IIIA CCC/Watch Neg CCC
Newport Waves CDO
2
Rating
------
Class To From
----- -- ----
A3-$LMS BB- BB-/Watch Neg
Newport Waves CDO
5
Rating
------
Class To From
----- -- ----
A3-$LMS BB BB/Watch Neg
Newport Waves CDO
7
Rating
------
Class To From
----- -- ----
A1-ELS BB BB/Watch Neg
A3-ELS B- B-/Watch Neg
Newport Waves CDO
9
Rating
------
Class To From
----- -- ----
A1-GLS BB BB/Watch Neg
North Street Referenced Linked Notes 2005-8 Limited
Rating
------
Class To From
----- -- ----
A CCC/Watch Neg CCC
North Street Referenced Linked Notes 2004-6 Limited
Rating
------
Class To From
----- -- ----
A B-/Watch Neg B-
Pegasus 2007-1, Ltd.
Rating
------
Class To From
----- -- ----
A1 AA+ AA+/Watch Neg
A2 AA+ AA+/Watch Neg
REVE SPC
2007-1
Rating
------
Class To From
----- -- ----
A Series 4 B-/Watch Neg B-
A Series 5 B-/Watch Neg B-
A Series 7 B-/Watch Neg B-
A Series 9 B-/Watch Neg B-
Rutland Rated Investments
13
Rating
------
Class To From
----- -- ----
Series 13 BBB+/Watch Neg BBB+
Seawall 2006-1 Ltd
Rating
------
Class To From
----- -- ----
C-2 BBB- BBB-/Watch Neg
Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
Rating
------
Class To From
----- -- ----
A AA AA/Watch Neg
B A- A-/Watch Neg
Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd
Rating
------
Class To From
----- -- ----
A AA AA/Watch Neg
B A- A-/Watch Neg
STEERS Morningside Heights CDO Trust, Series 2005-4
Rating
------
Class To From
----- -- ----
Trust Cert B+ B+/Watch Neg
* S&P Withdraws Ratings on 35 Classes From Eight Aircraft Loans
---------------------------------------------------------------
Standard & Poor's Ratings Services has withdrawn its ratings on 35
classes of notes from eight U.S. aircraft asset-backed securities
transactions and two franchise loan ABS transactions.
S&P had previously lowered its ratings on all 35 classes to 'D'
due to interest shortfalls, and S&P expects these classes to
experience principal shortfalls at maturity. S&P will no longer
be reviewing the tranches as part of its surveillance process and
have withdrawn the ratings.
Ratings Withdrawn
AerCo Ltd.
US$460 mil secured floating-rate notes
Rating
------
Class To From
----- -- ----
B-1 NR D
C-1 NR D
AerCo Ltd.
US$1.06 bil secured fixed- and floating-rate notes
Rating
------
Class To From
----- -- ----
B2 NR D
C2 NR D
D2 NR D
Aircraft Finance Trust
US$1.209 bil floating- and fixed-rate asset-backed notes
series 1999-1
Rating
------
Class To From
----- -- ----
B NR D
C NR D
D NR D
Airplanes Pass-Through Trust
US$7.235 bil floating- and fixed-rate pass-through certificates
Rating
------
Class To From
----- -- ----
B NR D
C NR D
D NR D
Atherton Franchisee Loan Funding 1999 A LLC
US$8.078 tri ln nts ser 1999-A due 2021
Rating
------
Class To From
----- -- ----
C NR D
D NR D
E NR D
F NR D
Aviation Capital Group Trust
US$687 mil floating- and fixed-rate notes series 2000-1
Rating
------
Class To From
----- -- ----
B-1 NR D
C-1 NR D
D-1 NR D
Captec Franchise Trust 1999-1
US$144.23 mil fran rec nts ser 1999-1 due 2020
Rating
------
Class To From
----- -- ----
B NR D
C NR D
D NR D
E NR D
F NR D
Embarcadero Aircraft Securitization Trust
US$792.57 mil fixed- and floating-rate notes series 2000-1
Rating
------
Class To From
----- -- ----
B NR D
C NR D
Lease Investment Flight Trust
US$1.429 bil floating-rate asset-backed notes series 2001-1
Rating
------
Class To From
----- -- ----
B-1 NR D
B-2 NR D
C-1 NR D
C-2 NR D
D-1 NR D
D-2 NR D
Triton Aviation Finance
US$720 mil secured notes
Rating
------
Class To From
----- -- ----
B-1 NR D
B-2 NR D
C-1 NR D
C-2 NR D
NR - Not rated.
*********
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-
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firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
Beard at 240/629-3300.
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