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T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, October 3, 2010, Vol. 14, No. 274
Headlines
ACCESS GROUP: Fitch Affirms Ratings on Senior Student Loans
ACCREDITED MORTGAGE: Moody's Takes Rating Actions on Five Notes
ALESCO PREFERRED: Moody's Downgrades Ratings on Two Classes
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Classes
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Notes
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Notes
ALESCO PREFERRED: Moody's Downgrades Ratings on Three Classes
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Classes
ATHILON CAPITAL: Moody's Upgrades Senior Subordinated Debt Ratings
BABSON CLO: Supplemental Indenture Won't Affect Moody's Ratings
BALLANTYNE RE: Fitch Affirms Ratings on Three Classes of Notes
BANC OF AMERICA: Moody's Downgrades Ratings on Four 2005-3 Certs.
BANC OF AMERICA: Moody's Reviews Ratings on 2008-1 Certs.
BANC OF AMERICA: Moody's Reviews Ratings on 16 2006-1 Certs.
BANC OF AMERICA: Moody's Reviews Ratings on 15 Certificates
BEAR STERNS: Moody's Downgrades Ratings on Seven 2002-PBW1 Certs.
BEAR STEARNS: Moody's Downgrades Rating on 21 Tranches
CABELA'S CREDIT: Fitch Assigns Ratings on Series 2010-II Certs.
CABELA'S CREDIT: DBRS Assigns 'BB' Rating on Class D Notes
CBA COMMERCIAL: Moody's Downgrades Ratings on Two Classes
CD 2006-CD3: Moody's Reviews Ratings on Various Certificates
CITIBANK COMMERCIAL: Moody's Reviews Ratings on 2007-FL3 Certs.
CITIGROUP COMMERCIAL: Moody's Downgrades Ratings on 2005-C3 Certs.
CITIGROUP COMMERCIAL: Moody's Reviews Ratings on 2008-C7 Certs.
COUNTRYWIDE COMMERCIAL: Moody's Reviews Ratings on 2007-MF1 Certs.
CPS AUTO: S&P Assigns Preliminary Ratings on $94.541 Mil. Notes
CPS AUTO: S&P Assigns Ratings on $94.541 Mil. 2010-A Notes
CREDIT SUISSE: Moody's Cuts Ratings on Eight 2002-CKS4 Certs.
CREDIT SUISSE: Moody's Reviews Ratings on 14 2005-C1 Certs.
CREDIT SUISSE: Moody's Reviews Ratings on Seven 2006-C2 Certs.
DUNLOE 2005-I: S&P Downgrades Ratings on Two Classes of Notes
FIRST UNION: Moody's Takes Rating Actions on 1999-C1 Certs.
GREENWICH CAPITAL: S&P Downgrades Ratings on Four Classes
GS MORTGAGE: Moody's Reviews Ratings on 11 2007-GG10 Certs.
GS MORTGAGE: S&P Downgrades Ratings on Five Classes of Certs.
GULF STREAM-COMPASS: Moody's Upgrades Ratings on Four Classes
HESPERIA REDEVELOPMENT: S&P Cuts Rating on Tax Bonds to 'BB+'
JP MORGAN: Fitch Issues Presale Report on Various Certificates
JP MORGAN: Moody's Downgrades Ratings on Eight 2004-CIBC8 Certs.
JP MORGAN: Moody's Downgrades Ratings on 11 2006-FL2 Certificates
JP MORGAN: Moody's Downgrades Ratings on Three 2002-CIBC4 Notes
JP MORGAN: Moody's Downgrades Ratings on Nine Tranches
JP MORGAN: Moody's Reviews Ratings on 2007-CIBC19 Certificates
JP MORGAN: Moody's Reviews Ratings on 15 2005-LDP4 Certificates
JP MORGAN: Moody's Reviews Ratings on 13 Series 2004-C2 Certs.
JP MORGAN: Moody's Reviews Ratings on 15 2006-CIBC16 Certs.
JP MORGAN: Moody's Reviews Ratings on 12 2006-LDP6 Certificates
JP MORGAN: Moody's Reviews Ratings on 15 2007-CIBC20 Certs.
JP MORGAN: Moody's Reviews Ratings on 2007-FL1 Certificates
JP MORGAN: S&P Assigns Ratings on $1.10 Bil. 2010-C2 Certs.
KAPKOWSKI ROAD: Moody's Downgrades Ratings on Bonds to 'Ba2'
KIMBERLITE CDO: S&P Downgrades Ratings on Seven Classes of CDOs
LEHMAN BROTHERS-UBS: Moody's Reviews Ratings on 16 2006-C3 Certs.
ML-CFC COMMERCIAL: Moody's Reviews Ratings on 15 Classes of Certs.
MACH ONE: S&P Downgrades Ratings on 11 Classes of Certificates
MASSACHUSETTS DEVELOPMENT: S&P Cuts Rating on Housing Bonds to BB
MM COMMUNITY: Moody's Downgrades Ratings on Class B Senior Notes
MMCAPS FUNDING: Moody's Downgrades Ratings on Various Classes
MONTANA HIGHER: Fitch Affirms Ratings on Senior Student Loans
MORGAN STANLEY: Fitch Affirms Ratings on 2004-RR Notes
MORGAN STANLEY: Fitch Affirms Ratings on Three 1997-RR Notes
MORGAN STANLEY: Moody's Cuts Ratings on Series 2005-HQ7 Certs.
MORGAN STANLEY: Moody's Downgrades Ratings on Two Tranches
MORGAN STANLEY: Moody's Downgrades Ratings on 14 2005-IQ10 Certs.
MORGAN STANLEY: Moody's Reviews Ratings on 14 2005-IQ10 Certs.
MORGAN STANLEY: Moody's Takes Rating Actions on Various Notes
MORGAN STANLEY: S&P Raises Ratings on Senior Notes to 'B-'
MUNIMAE TE: Moody's Puts Ratings on Various Notes on Watchlist
N-STAR REAL: Moody's Takes Rating Actions on Four Classes
NELNET STUDENT: Fitch Cuts Rating on Class B-1 Notes to 'BBsf/LS3'
NEWCASTLE CDO: Moody's Downgrades Ratings on 12 Classes of Notes
NOMURA RESECURITIZATION: S&P Assigns Ratings on 2010-3R Certs.
NUCO2 FUNDING: Fitch Confirms 'BB' Rating on Class B-1 Notes
ONE MORTGAGE: S&P Affirms Ratings on Six Classes of Notes
OVERLAND PARK: S&P Cuts Rating on $44.67 2007A Bonds to 'BB+'
OVERLAND PARK: S&P Downgrades Rating on 2007B Bonds to 'BB+'
PRO RATA: Moody's Upgrades Ratings on Three Classes of Notes
RACERS SERIES: Moody's Upgrades Ratings on Series 2004-2-A Certs.
SALOMON BROS: S&P Downgrades Ratings on Six 2002-KEY2 Certs.
SANKATY HIGH: S&P Puts Ratings on CreditWatch Positive
SLM STUDENT: Fitch Affirms Ratings on 2002-7 Senior Student Loans
SLM STUDENT: Fitch Affirms Ratings on 2003-2 Senior Student Loans
SLM STUDENT: Fitch Affirms Ratings on 2003-5 Senior Student Loans
SLM STUDENT: Fitch Affirms Ratings on 2003-10 Senior Student Loans
SLM STUDENT: Fitch Affirms Ratings on 2006-7 Senior Student Loans
SLM STUDENT: Fitch Affirms Ratings on 2007-4 Senior Student Loans
SLM STUDENT: Fitch Affirms Ratings on 2007-5 Student Loans
SOUNDVIEW HOME: Moody's Downgrades Ratings on Six Tranches
TIERS SYNTHETIC: S&P Downgrades Rating on 2008-1 Notes to 'D'
TRIBUNE LTD: S&P Downgrades Rating on Series 48 Notes to 'D'
TW HOTEL: S&P Raises Ratings on Eight Classes of 2005-LUX Certs.
U-HAUL S: Moody's Confirms Rating on Series 2007-1 Notes
WACHOVIA BANK: Moody's Reviews Ratings on 17 2006-C24 Certs.
WACHOVIA BANK: Moody's Reviews Ratings on 2007-WHALE 8 Certs.
* Moody's Places on Review Ratings on 11 Classes of Certs.
* S&P Cuts Ratings on 23 Classes of Certs. From Five CMBS Deals
* S&P Cuts Rating on Orange County, California's Bonds to 'BB'
* S&P Downgrades Ratings on 22 Tranches From Four CDO CMBS Deals
* S&P Downgrades Ratings on Eight Notes From Three CDO Deals
* S&P Downgrades Ratings on 495 Certs. From 351 RMBS to 'D'
* S&P Downgrades Ratings on Two Certificates From Two RMBS Deals
* S&P Downgrades Ratings on Six Tranches From Three CDO Deals
* S&P Puts Ratings on 117 Tranches on CreditWatch Positive
* S&P Takes Rating Actions on 31 Classes From 15 Housing Deals
* S&P Withdraws 'BB' Rating on Bell, California's GO Bonds
* S&P Withdraws Ratings on 35 Classes From Nine CMBS Deals
*********
ACCESS GROUP: Fitch Affirms Ratings on Senior Student Loans
-----------------------------------------------------------
Fitch Ratings affirms the senior student loan bonds at 'AAA' and
downgrades the subordinate bonds to 'B' issued by Access Group,
Inc. 2002 Indenture of Trust. Stable Outlooks are assigned to the
senior and subordinate bonds. Fitch used its 'Global Structured
Finance Rating Criteria' and 'FFELP Student Loan ABS Rating
Criteria', as well as the refined basis risk criteria outlined in
Fitch's Sept. 22, 2010 press release 'Fitch to Gauge Basis Risk in
Auction-Rate U.S. FFELP SLABS Review' to review the ratings. A
full ratings list is shown below.
The ratings on the senior bonds are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination, and the projected minimum excess spread) to cover
the applicable risk factor stresses. The rating on the
subordinate bonds is downgraded to 'B' due to the trust's very
high cost structure that will limit the trust's ability to
generate excess spread and reach parity of 100%.
Fitch has taken these rating actions:
Access Group, Inc. 2002 Indenture of Trust:
-- Series 2002-1 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2002-1 A-3 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2002-1 A-4 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2003-1 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2003-1 A-3 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2003-1 A-4 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2003-1 A-5 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2003-1 A-6 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2004-1 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2004-1 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2004-1 A-3 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2004-1 A-4 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2004-1 A-5 affirmed at 'AAA/LS1'; Outlook Stable;
-- Series 2002-1 B downgrade to 'B/LS3'; Outlook Stable;
-- Series 2003-1 B downgrade to 'B/LS3'; Outlook Stable;
-- Series 2004-1 B downgrade to 'B/LS3'; Outlook Stable.
ACCREDITED MORTGAGE: Moody's Takes Rating Actions on Five Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of 1 tranche and
downgraded the ratings of 2 tranches issued by Accredited Mortgage
Loan Trust 2005-4. The rating of two other tranches were
confirmed. The collateral backing this deal primarily consists of
first-lien, fixed and adjustable-rate subprime residential
mortgages.
Issuer: Accredited Mortgage Loan Trust 2005-4
-- Cl. A-1, Downgraded to A3 (sf); previously on Jan. 13, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2C, Upgraded to Aaa (sf); previously on Jan. 13, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2D, Confirmed at Ba1 (sf); previously on Jan. 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B3 (sf); previously on Jan. 13, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Ca (sf); previously on Jan. 13, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007. To assess the rating implications of the
updated loss levels on subprime RMBS, each individual pool was run
through a variety of scenarios in the Structured Finance
Workstation(R), the cash flow model developed by Moody's Wall
Street Analytics. This individual pool level analysis
incorporates performance variances across the different pools and
the structural features of the transaction including priorities of
payment distribution among the different tranches, average life of
the tranches, current balances of the tranches and future cash
flows under expected and stressed scenarios. The scenarios
include ninety-six different combinations comprising of six loss
levels, four loss timing curves and four prepayment curves. The
volatility in losses experienced by a tranche due to small
increments in losses on the underlying mortgage pool is taken into
consideration when assigning ratings.
The rating on the Class A-2C tranche has also been been adjusted
to reflect the fact that principal payments are always distributed
sequentially to the Class A-2C and then to the Class A-2D, and
losses will not be allocated to senior certificates. Previous
rating actions did not give full benefit to the credit enhancement
provided by the Class A-2D.
In addition, for the deal affected by the actions, when
calculating the rate of new delinquencies (as described on page 4
of the methodology publication referenced above), Moody's took
into account loans that were reclassified from delinquent to
current due to modification in order to not understate the rate of
new delinquencies.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
ALESCO PREFERRED: Moody's Downgrades Ratings on Two Classes
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by Alesco Preferred Funding X, Ltd.:
-- US$489,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes due September 23, 2036 (current balance
of $451,983,698.73), Downgraded to Baa1 (sf); previously on
March 27, 2009 Downgraded to A3 (sf);
-- US$82,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes due September 23, 2036 (current balance
of $82,363,622.76), Downgraded to Caa2 (sf); previously on
March 27, 2009 Downgraded to Caa1 (sf);
Ratings Rationale
Alesco Preferred Funding X, Ltd., issued on March 15, 2006, is a
collateral debt obligation backed by a managed portfolio of bank
and insurance trust preferred securities. On March 27, 2009,
Moody's downgraded 5 classes of notes as a result of the
application of revised and updated key modelling assumptions, as
well as the deterioration in the credit quality of the
transaction's underlying portfolio.
Moody's indicated that the rating actions on the notes are
primarily the result from the increase in the assumed defaulted
amount, as evidenced by $94.2 million additional defaults of the
trust preferred securities held in the portfolio since the last
rating action. The par loss due to the increase in the assumed
defaulted amount has resulted in loss of overcollateralization for
the tranches affected and an increase of their expected losses
since the last rating action. In addition, the
overcollateralization tests continue to breach their triggers
which has resulted in a diversion of excess spreads to pay down
senior notes. As of the latest trustee report dated July 30,
2010, the Class A and Class B/C/D overcollateralization ratios are
reported at 135.92% and 89.05%, respectively, versus trustee
reported levels from the report dated December 16, 2008 of 142.66%
and 96.75%, respectively, which were used during the last rating
action on March 27, 2009.
The credit deterioration exhibited by these portfolios is a
reflection of the continued pressure in the banking sector as the
number of bank failures and interest deferrals of trust preferred
securities issued by banks has continued to increase. According
to FDIC data, 125 U.S. banks have failed to date this year, while
140 banks failed in 2009, as compared to 25 in all of 2008. In
Moody's opinion, the banking sector outlook continues to remain
negative while insurance is stabilizing with the exception to
commercial P&C insurance, which remains negative.
Cumulative assumed defaults now total $187.85 million, 19.8% of
the portfolio, $94.2 million of which have occurred since the
previous rating action. All the assumed defaulted assets are
carried at zero recovery in Moody's analysis. The remaining
assets in the portfolio have also suffered credit deterioration,
with now more than 40% of the portfolio estimated to be Ba1 or
below, as determined using FDIC Q1-10 financial data in
conjunction with Moody's RiskCalc model to assess non-publicly
rated bank trust preferred securities. Similarly, 30% of the
remaining assets in the portfolio are estimated to be Ba1 or below
by Moody's Insurance team using insurance companies financial
data.
Given the current market conditions, Moody's have assumed in
Moody's analysis that there are no amortizations and thus, the WAL
of the portfolio is around 26. Moody's cash-flow modeling
analysis is described in Moody's Rating Methodology publication
titled "Moody's Approach To Rating U.S. Bank Trust Preferred
Security CDOs", June 2010, under Appendix A (page 8).
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community bank and insurance companies that are generally not
publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated transactions to their
volatility, as described in Moody's Rating Methodology "Updated
Approach to the Usage of Credit Estimates in rated Transactions",
October 2009. The effect of the stress testing of these credit
scores varies between 1 and 3 notches, depending on the total
amount and relative size of these securities in the collateral
pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of obligors in the pool as of Q1-2010.
This financial data is used by Moody's to assess the credit
quality of obligors in the pool, relying on RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings.
The sensitivity of the model results to increases and decreases to
the WARF (representing a slight improvement and a slight
deterioration of the credit quality of the collateral pool) was
examined. If WARF is increased by 144 points from the base case
of 1826, the model results in an expected loss that is one notch
worse than the result of the base case for Class A-1. If the WARF
is decreased by 61 points, expected losses are one notch better
than the base case results. Additionally, the effects of higher
and lower spread and coupon rates of the collateral pool resulted
in these: Increasing both the weighted average spread (WAS) and
weighted average coupon by 25 basis points yielded an expected
loss that is one notch better than the results from the base case.
Conversely, decreasing the spread and coupon by the 50 basis
points from the base case resulted in an expected loss that is one
notch worse than the results from the base case for Class A-1.
Additional sources of uncertainty to the evaluation assumptions
result from continued negative outlook of the underlying
collateral portfolio sectors, especially in the banking industry
where Moody's anticipate more bank closures by the FDIC in 2010 as
compared to previous years.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled, according to Moody's
rating approach, using CDOROMTM v.2.6 to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROMTM v.2.6 is available on
moodys.com under Products and Solutions -- Analytical models, upon
return of a signed free license agreement.
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by Alesco Preferred Funding XII, Ltd.:
-- US$10,000,000 Class X First Priority Senior Secured Floating
Rate Notes due October 15, 2016 (current balance of
$10,000,000), Downgraded to Ba1 (sf); previously on March 27,
2009 Downgraded to Baa1 (sf);
-- US$370,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes due July 15, 2037(current balance of
$349,430,347), Downgraded to Ba1 (sf); previously on
March 27, 2009 Downgraded to Baa1 (sf);
-- US$87,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes due July 15, 2037(current balance of
$87,000,000), Downgraded to B1 (sf); previously on March 27,
2009 Downgraded to Ba2 (sf);
-- US$70,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes due July 15, 2037(current balance of
$70,667,743), Downgraded to Ca (sf); previously on March 27,
2009 Downgraded to Caa3 (sf);
-- US$60,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes due July 15, 2037(current balance
of $61,002,366), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf);
-- US$10,000,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes due July 15, 2037(current
balance of $10,647,346), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf).
Ratings Rationale
Alesco Preferred Funding XII, Ltd., issued on October 12, 2006, is
a collateral debt obligation backed by a managed portfolio of bank
and insurance trust preferred securities. On March 27, 2009,
Moody's downgraded 6 classes of notes as a result of the
application of revised and updated key modelling assumptions, as
well as the deterioration in the credit quality of the
transaction's underlying portfolio.
Moody's indicated that the rating actions on the notes are
primarily the result from the increase in the assumed defaulted
amount, as evidenced by $101.8 million additional defaults of the
trust preferred securities held in the portfolio since the last
rating action. The par loss due to the increase in the assumed
defaulted amount has resulted in loss of overcollateralization for
the tranches affected and an increase of their expected losses
since the last rating action. In addition, the
overcollateralization tests continue to breach their triggers
which has resulted in a diversion of excess spreads to pay down
senior notes. As of the latest trustee report dated July 8, 2010,
the Class A OC Test was reported at 110.54%, the Class B OC Test
was reported at 95.2%, the Class C OC Test was reported at 83.5%,
and the Class D OC Test was reported at 78.8%, versus trustee
reported levels from the report dated January 8, 2009 of 135.59%,
117.27%, 103.32%, and 97.91%, , respectively, which were used
during the last rating action on March 27, 2009.
The credit deterioration exhibited by these portfolios is a
reflection of the continued pressure in the banking sector as the
number of bank failures and interest deferrals of trust preferred
securities issued by banks has continued to increase. According
to FDIC data, 125 U.S. banks have failed to date this year, while
140 banks failed in 2009, as compared to 25 in all of 2008. In
Moody's opinion, the banking sector outlook continues to remain
negative while insurance is stabilizing with the exception to
commercial P&C insurance, which remains negative.
Cumulative assumed defaults now total $203.8 million, 30.8% of the
portfolio, $101.8 million of which have occurred since the
previous rating action. All the assumed defaulted assets are
carried at zero recovery in Moody's analysis. The remaining
assets in the portfolio have also suffered credit deterioration,
with now more than 35% of the portfolio estimated to be Ba1 or
below, as determined using FDIC Q1-10 financial data in
conjunction with Moody's RiskCalc model to assess non-publicly
rated bank trust preferred securities. Similarly, 31% of the
remaining assets in the portfolio are estimated to be Ba1 or below
by Moody's Insurance team using insurance companies financial
data.
Given the current market conditions, Moody's have assumed in
Moody's analysis that there are no amortizations and thus, the WAL
of the portfolio is around 26. Moody's cash-flow modeling
analysis is described in Moody's Rating Methodology publication
titled "Moody's Approach To Rating U.S. Bank Trust Preferred
Security CDOs", June 2010, under Appendix A (page 8).
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community bank and insurance companies that are generally not
publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated transactions to their
volatility, as described in Moody's Rating Methodology "Updated
Approach to the Usage of Credit Estimates in rated Transactions",
October 2009. The effect of the stress testing of these credit
scores varies between 1 and 3 notches, depending on the total
amount and relative size of these securities in the collateral
pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of obligors in the pool as of Q1-2010.
This financial data is used by Moody's to assess the credit
quality of obligors in the pool, relying on RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings.
The sensitivity of the model results to increases and decreases to
the WARF (representing a slight improvement and a slight
deterioration of the credit quality of the collateral pool) was
examined. If WARF is increased by 199 points from the base case
of 1561, the model results in an expected loss that is one notch
worse than the result of the base case for Class A-1. If the WARF
is decreased by 71 points, expected losses are one notch better
than the base case results. Additionally, the effects of higher
and lower spread and coupon rates of the collateral pool resulted
in these: Increasing both the weighted average spread (WAS) and
weighted average coupon by 25 basis points yielded an expected
loss that is one notch better than the results from the base case.
Conversely, decreasing the spread and coupon by the 50 basis
points from the base case resulted in an expected loss that is one
notch worse than the results from the base case for Class A-1.
Additional sources of uncertainty to the evaluation assumptions
result from continued negative outlook of the underlying
collateral portfolio sectors, especially in the banking industry
where Moody's anticipate more bank closures by the FDIC in 2010 as
compared to previous years.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled, according to Moody's
rating approach, using CDOROMTM v.2.6 to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROMTM v.2.6 is available on
moodys.com under Products and Solutions -- Analytical models, upon
return of a signed free license agreement.
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by Alesco Preferred Funding IX, Ltd.
-- US$365,000,000 Class A-1 First Priority Delayed Draw Senior
Secured Floating Rate Notes Due 2036-1 (current balance of
$327,989,212.34), Downgraded to Baa3 (sf); previously on
March 27, 2009 Downgraded to A3 (sf);
-- US$59,000,000 Class A-2A Second Priority Senior Secured
Floating Rate Notes Due 2036, Downgraded to B2 (sf);
previously on March 27, 2009 Downgraded to Ba1 (sf);
-- US$3,000,000 Class A-2B Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2036, Downgraded to B2 (sf);
previously on March 27, 2009 Downgraded to Ba1 (sf);
-- US$51,000,000 Class B-1 Deferrable Third Priority Secured
Floating Rate Notes Due 2036 (current balance of
$50,934,316.70), Downgraded to Caa3 (sf); previously on
March 27, 2009 Downgraded to Caa1 (sf);
-- US$7,000,000 Class B-2 Deferrable Third Priority Secured
Fixed/Floating Rate Notes Due 2036 (current balance of
$7,440,728.47), Downgraded to Caa3 (sf); previously on
March 27, 2009 Downgraded to Caa1 (sf);
-- US$54,000,000 Class C-1 Deferrable Fourth Priority Mezzanine
Secured Floating Rate Notes Due 2036 (current balance of
$54,545,637.19), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf);
-- US$48,500,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036 (current balance
of $52,182,657.04), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf);
-- US$12,500,000 Class C-3 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036 (current balance
of $12,638,299.28), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf);
-- US$7,000,000 Class C-4 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2036 (current balance
of $7,544,956.36), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf).
Ratings Rationale
Alesco Preferred Funding IX, Ltd., issued in December 15, 2005, is
a collateral debt obligation backed by a managed portfolio of bank
and insurance trust preferred securities. On March 27, 2009,
Moody's downgraded 9 classes of notes 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.
Moody's indicated that the rating actions on the notes are
primarily the result from the increase in the assumed defaulted
amount, as evidenced by $111.57 million additional defaults of the
trust preferred securities held in the portfolio since the last
rating action and an increase in the WARF from 1623 (March 27,
2009) to 2132 (September 22, 2010). The par loss due to the
increase in the assumed defaulted amount has resulted in loss of
overcollateralization for the tranches affected and an increase of
their expected losses since the last rating action. In addition,
the overcollateralization tests continue to breach their triggers
which has resulted in a diversion of excess spreads to pay down
senior notes. As of the latest trustee report dated July 30,
2010, the Class A and Class D overcollateralization ratios are
reported at 120.54% and 77.18%, respectively, versus trustee
reported levels from the report dated December 16, 2008 of 145.54%
and 96.59%, respectively, which were used during the last rating
action on March 27, 2009.
The assumed defaulted amounts and model WARF are provided in the
text below. The credit deterioration exhibited by these
portfolios is a reflection of the continued pressure in the
banking sector as the number of bank failures and interest
deferrals of trust preferred securities issued by banks has
continued to increase. According to FDIC data, 127 U.S. banks
have failed to date this year, while 140 banks failed in 2009, as
compared to 25 in all of 2008. In Moody's opinion, the banking
sector outlook continues to remain negative while insurance is
stabilizing with the exception to commercial P&C insurance, which
remain negative.
Cumulative assumed defaults now total $211.07 million (32% of the
portfolio), $111.57 million of which have occurred since the
previous rating action. All the assumed defaulted assets are
carried at zero recovery in Moody's analysis. The remaining
assets in the portfolio have also suffered credit deterioration,
with now 52.01% of the portfolio estimated to be Baa2 or below, as
determined using FDIC Q1-2010 financial data in conjunction with
Moody's RiskCalc model to assess non-publicly rated bank trust
preferred securities. Similarly, 37.51% of the remaining assets
in the portfolio are estimated to be Baa1 or below by Moody's
Insurance team using insurance companies financial data.
Given the current market conditions, Moody's have assumed in
Moody's analysis that there are no amortizations and thus, the WAL
of the portfolio is around 26.
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community bank and insurance companies that are generally not
publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated transactions to their
volatility, as described in Moody's Rating Methodology "Updated
Approach to the Usage of Credit Estimates in Rated Transactions",
October 2009. The effect of the stress testing of these credit
scores varies between 1 and 3 notches, depending on the total
amount and relative size of these securities in the collateral
pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of obligors in the pool as of Q1-2010.
This financial data is used by Moody's to assess the credit
quality of obligors in the pool, relying on RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings.
The sensitivity of the model results to increases and decreases to
the WARF (representing a slight improvement and a slight
deterioration of the credit quality of the collateral pool) was
examined. If WARF is increased by 368 points from the base case
of 2132, the model results in an expected loss that is one notch
worse than the result of the base case for Class A-1. If the WARF
is decreased by 132 points, expected losses are one notch better
than the base case results. Additionally, the effects of higher
and lower recovery rates of the collateral pool resulted in these:
Increasing the weighted average recovery rate by 68 basis points
yielded an expected loss that is one notch better than the results
from the base case. Conversely, decreasing the weighted average
recovery rate by the 59 basis points from the base case resulted
in an expected loss that was not enough to move the rating by one
notch down from the base case for Class A-1.
Additional sources of uncertainty to the evaluation assumptions
result from continued negative outlook of the underlying
collateral portfolio sectors, especially in the banking industry
where Moody's anticipate more bank closures by the FDIC in 2010 as
compared to previous years.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled, according to Moody's
rating approach, using CDOROMTM v.2.7 to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROMTM v.2.7 is available on
moodys.com under Products and Solutions -- Analytical models, upon
return of a signed free license agreement.
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Notes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by Alesco Preferred Funding XVII, Ltd.
-- US$236,000,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2038 (current balance of
$229,589,147.00), Downgraded to B1 (sf); previously on
March 27, 2009 Downgraded to Baa3 (sf);
-- US$16,000,000 Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2038, Downgraded to Caa3 (sf);
previously on March 27, 2009 Downgraded to B1 (sf);
-- US$44,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2038, (current balance of
$44,608,784.65), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf);
-- US$42,000,000 Class C-1 Deferrable Fourth Priority
Mezzanine Secured Floating Rate Notes Due 2038, (current
balance of $42,796,642.34), Downgraded to C (sf); previously
on March 27, 2009 Downgraded to Ca (sf);
-- US$500,000 Class C-2 Deferrable Fourth Priority Mezzanine
Secured Fixed/Floating Rate Notes Due 2038, (current balance
of $531,738.70), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf).
Ratings Rationale
Alesco Preferred Funding XVII, Ltd., issued in October 30, 2007,
is a collateral debt obligation backed by a managed portfolio of
bank and insurance trust preferred securities. Moody's indicated
that the rating actions on the notes are primarily the result from
the increase in the assumed defaulted amount, as evidenced by
$108 million additional defaults of the trust preferred securities
held in the portfolio since the last rating action and a decrease
in the WARF from 1935 (March 27, 2009) to 1703 (September 27,
2010). The par loss due to the increase in the assumed defaulted
amount has resulted in loss of overcollateralization for the
tranches affected and an increase of their expected losses since
the last rating action. In addition, the overcollateralization
tests continue to breach their triggers which has resulted in a
diversion of excess spreads to pay down senior notes.
On March 27, 2009, Moody's downgraded 5 classes of notes 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. In the latest trustee
report dated July 30, 2010, the Class A, Class B, Class C, and
Class D overcollateralization ratios are reported at 106.44%,
90.08%, 78.37%, and 70.63%, respectively, versus trustee reported
levels from the report dated January 30, 2009 of 145.73%, 123.99%,
108.38%, 98.41%, respectively, which were used during the last
rating action on March 27, 2009.
The credit deterioration exhibited by these portfolios is a
reflection of the continued pressure in the banking sector as the
number of bank failures and interest deferrals of trust preferred
securities issued by banks has continued to increase. According
to FDIC data, 127 U.S. banks have failed to date this year, while
140 banks failed in 2009, as compared to 25 in all of 2008. In
Moody's opinion, the banking sector outlook continues to remain
negative while insurance is stabilizing with the exception to
commercial P&C insurance, which remain negative.
Cumulative assumed defaults now total $167 million (42% of the
portfolio), $108 million of which have occurred since the previous
rating action. All the assumed defaulted assets are carried at
zero recovery in Moody's analysis. The remaining assets in the
portfolio have also suffered credit deterioration, with now 86.23%
of the portfolio estimated to be Baa2 or below, as determined
using FDIC Q1-2010 financial data in conjunction with Moody's
RiskCalc model to assess non-publicly rated bank trust preferred
securities. Meanwhile, 4.28% of the remaining assets in the
portfolio are estimated to be Ba3 or below by Moody's Insurance
team using insurance companies financial data.
Given the current market conditions, Moody's have assumed in
Moody's analysis that there are no amortizations and thus, the WAL
of the portfolio is around 27.
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community bank and insurance companies that are generally not
publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated transactions to their
volatility, as described in Moody's Rating Methodology "Updated
Approach to the Usage of Credit Estimates in rated Transactions",
October 2009. The effect of the stress testing of these credit
scores varies between 1 and 2 notches, depending on the total
amount and relative size of these securities in the collateral
pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of obligors in the pool as of Q1-2010.
This financial data is used by Moody's to assess the credit
quality of obligors in the pool, relying on RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings.
The sensitivity of the model results to increases and decreases to
the WARF (representing a slight improvement and a slight
deterioration of the credit quality of the collateral pool) was
examined. If WARF is increased by 397 points from the base case
of 1703, the model results in an expected loss that is one notch
worse than the result of the base case for Class A-1. If the WARF
is decreased by 203 points, expected losses are one notch better
than the base case results. Additionally, the effects of higher
and lower recovery rates of the collateral pool resulted in these:
Increasing the weighted average recovery rate by 21 basis points
yielded an expected loss that was not enough to move the rating by
one notch up from the base case for Class A-1. Similarly,
decreasing the weighted average recovery rate by the 104 basis
points from the base case resulted in an expected loss that was
not enough to move the rating by one notch down from the base case
for Class A-1.
Additional sources of uncertainty to the evaluation assumptions
result from continued negative outlook of the underlying
collateral portfolio sectors, especially in the banking industry
where Moody's anticipate more bank closures by the FDIC in 2010 as
compared to previous years.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled, according to Moody's
rating approach, using CDOROMTM v.2.7 to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROMTM v.2.7 is available on
moodys.com under Products and Solutions -- Analytical models, upon
return of a signed free license agreement.
ALESCO PREFERRED: Moody's Downgrades Ratings on Three Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by Alesco Preferred Funding XVI, Ltd.:
-- US$349,000,000 Class A First Priority Senior Secured
Floating Rate Notes due March 23, 2038 (current balance of
$341,459,316), Downgraded to Ba3 (sf); previously on
March 27, 2009 Downgraded to Baa3 (sf);
-- US$20,000,000 Class B Deferrable Second Priority Secured
Fixed/Floating Rate Notes due March 23, 2038 (current balance
of $21,311,048), Downgraded to Ca (sf); previously on
March 27, 2009 Downgraded to Caa3 (sf);
-- US$85,250,000 Class C Deferrable Third Priority Mezzanine
Secured Floating Rate Notes due March 23, 2038 (current
balance of $87,031,352), Downgraded to C (sf); previously on
March 27, 2009 Downgraded to Ca (sf).
Ratings Rationale
Alesco Preferred Funding XVI, Ltd., issued on June 28, 2007, is a
collateralized debt obligation backed by a managed portfolio of
bank and insurance trust preferred securities. On March 27, 2009,
Moody's downgraded 3 classes of notes 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.
Moody's indicated that the rating actions on the notes are
primarily the result of an increase in the assumed defaulted
amount, as evidenced by $96.25 million additional defaults of
the trust preferred securities held in the portfolio since
the last rating action. The par loss due to the increase in
the assumed defaulted amount has resulted in loss of
overcollateralization for the tranches affected and an increase
of their expected losses since the last rating action. In
addition, the overcollateralization tests continue to breach
their triggers which has resulted in a diversion of excess
spreads to pay down senior notes. As of the latest trustee
report dated July 30, 2010, the Class A overcollateralization
ratio was 107.59%, the Class B OC ratio was 101.27%, and the
Class C OC ratio was 81.67%, versus trustee reported levels from
the report dated January 31, 2009 of 132.08%, 124.87%, and
101.30%, respectively, which were used during the last rating
action on March 27, 2009.
The credit deterioration exhibited by these portfolios is a
reflection of the continued pressure in the banking sector as the
number of bank failures and interest deferrals of trust preferred
securities issued by banks has continued to increase. According
to FDIC data, 127 U.S. banks have failed to date this year, while
140 banks failed in 2009, as compared to 25 in all of 2008. In
Moody's opinion, the banking sector outlook continues to remain
negative while insurance is stabilizing with the exception to
commercial P&C insurance, which remains negative.
Cumulative assumed defaults now total $168.25 million, 33.7% of
the portfolio, $96.25 million of which have occurred since the
previous rating action. All the assumed defaulted assets are
carried at zero recovery in Moody's analysis. The remaining
assets in the portfolio have also suffered credit deterioration,
with now almost 30% of the portfolio estimated to be Ba1 or below,
as determined using FDIC Q1-2010 financial data in conjunction
with Moody's RiskCalc model to assess non-publicly rated bank
trust preferred securities. Similarly, 6.9% of the remaining
assets in the portfolio are estimated to be Ba1 or below by
Moody's Insurance team using insurance companies financial data.
Given the current market conditions, Moody's have assumed in
Moody's analysis that there are no amortizations and thus, the WAL
of the portfolio is around 27. Moody's cash-flow modeling
analysis is described in Moody's Rating Methodology publication
titled "Moody's Approach To Rating U.S. Bank Trust Preferred
Security CDOs", June 2010, under Appendix A (page 8).
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community bank and insurance companies that are generally not
publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated transactions to their
volatility, as described in Moody's Rating Methodology "Updated
Approach to the Usage of Credit Estimates in rated Transactions",
October 2009. The effect of the stress testing of these credit
scores varies between 1 and 2 notches, depending on the total
amount and relative size of these securities in the collateral
pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of obligors in the pool as of Q1-2010.
This financial data is used by Moody's to assess the credit
quality of obligors in the pool, relying on RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings.
The sensitivity of the model results to increases and decreases to
the WARF (representing a slight improvement and a slight
deterioration of the credit quality of the collateral pool) was
examined. If WARF is increased by 205 points from the base case
of 1320, the model results in an expected loss that is one notch
worse than the result of the base case for Class A. If the WARF
is decreased by 45 points, expected losses are one notch better
than the base case results. Additionally, the effects of higher
and lower spread and coupon rates of the collateral pool resulted
in these: Increasing both the weighted average spread and weighted
average coupon by 25 basis points yielded an expected loss that is
one notch better than the results from the base case. Conversely,
decreasing the spread and coupon by the 50 basis points from the
base case resulted in an expected loss that is one notch worse
than the results from the base case for Class A.
Additional sources of uncertainty to the evaluation assumptions
result from continued negative outlook of the underlying
collateral portfolio sectors, especially in the banking industry
where Moody's anticipate more bank closures by the FDIC in 2010 as
compared to previous years.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled, according to Moody's
rating approach, using CDOROMTM v.2.6 to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROMTM v.2.6 is available on
moodys.com under Products and Solutions -- Analytical models, upon
return of a signed free license agreement.
ALESCO PREFERRED: Moody's Downgrades Ratings on Various Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by Alesco Preferred Funding XIII, Ltd. The notes affected
by the rating action are:
-- US$250,800,000 Class A-1 First Priority Senior Secured
Floating Rate Notes Due 2037 (current balance
$232,484,656.82), Downgraded to Baa2 (sf); previously on
March 27, 2009 was downgraded to Baa1 (sf)
-- US$80,000,000 Class B Deferrable Third Priority Secured
Floating Rate Notes Due 2037 (current balance $82,209,157.6),
Downgraded to Ca (sf); previously on March 27, 2009 was
downgraded to Caa3 (sf)
-- US$27,000,000 Class C-1 Deferrable Fourth Priority
Mezzanine Secured Floating Rate Notes Due 2037 (current
balance $28,144,448.69), Downgraded to C (sf); previously on
March 27, 2009 was downgraded to Ca (sf)
-- US$33,000,000 Class C-2 Deferrable Fourth Priority
Mezzanine Secured Fixed/Floating Rate Notes Due 2037 (current
balance $36,812,458.32), Downgraded to C (sf); previously on
March 27, 2009 was downgraded to Ca (sf)
-- US$7,500,000 Class X First Priority Senior Secured
Floating Rate Notes Due 2016, Downgraded to Baa2 (sf);
previously on March 27, 2009 was downgraded to Baa1 (sf)
Ratings Rationale
Alesco Preferred Funding XIII, Ltd., is a collateralized debt
obligation backed by a portfolio of bank and insurance trust
preferred securities and it was issued on October 30, 2006.
According to Moody's, the rating downgrade action on the notes is
the result of a significant increase in the defaults and deferrals
on the trust preferred securities held in the portfolio. Such
negative performance has been observed through an increase of
$54 million of additional assumed defaults which offset the slight
improvement in the Weighted Average Rating Factor.
On March 27, 2009, Moody's downgraded six classes of notes 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 and since then the Weighted
Average Rating Factor has slightly improved by 263 from 1842
(March 27, 2009) to 1579 (September 27, 2010).
The par loss due to the increase in the assumed defaulted amount
has resulted in loss of overcollateralization for the rated
tranches. In addition, the overcollateralization tests continue
to breach their triggers, resulting in a diversion of excess
spreads to pay down senior notes. As of the latest trustee report
dated July 30, 2010, the Class A, Class B, Class C and Class D
overcollateralization ratios were reported at 121.57%, 94.55%,
80.43% and 75.49%, respectively, versus previous levels of
137.53%, 108.37%, 93.45% and 88.10%, respectively at the time of
last rating actions.
The credit deterioration in these portfolios is a reflection of
the continued distress in some part of the banking sector as the
number of bank failures and interest deferrals of trust preferred
securities issued by regional and community banks continued to
increase. According to FDIC data, 127 U.S. banks have failed so
far this year, while 140 banks failed in 2009, as compared to 25
in all of 2008. In Moody's opinion, the banking sector outlook
continues to remain negative while insurance is stabilizing with
the exception to commercial P&C which remain negative.
Moody's notes that the cumulative assumed defaults in this
transaction now total $167.7 million or 33.64% of the portfolio,
$54 million of which have occurred since the previous rating
action. All the assumed defaulted assets are carried at zero
recovery in Moody's analysis. The remaining performing assets in
the portfolio have also experienced slight credit improvement.
67.6% of the portfolio are bank TruPS with an average estimated
rating of Ba2 (sf) or below, as determined using FDIC Q1-2010
financial data in conjunction with Moody's RiskCalc model and
32.4% of the remaining portfolio are insurance TruPS with an
average estimated rating of Ba3 (sf) or below by Moody's Insurance
team using insurance companies reported financial data.
Given the current market conditions, Moody's have assumed in
Moody's cash-flow modeling analysis that there are no
amortizations and the WAL of the portfolio is around 27 years.
Moody's cash-flow modeling analysis is described in Moody's Rating
Methodology publication titled "Moody's Approach To Rating U.S.
Bank Trust Preferred Security CDOs", June 2010, under Appendix A
(page 8).
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community bank and insurance companies that are generally not
publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated transactions to their
volatility, as described in Moody's Rating Methodology "Updated
Approach to the Usage of Credit Estimates in rated Transactions",
October 2009. The effect of the stress testing of these credit
scores may vary between 1 and 3 notches, depending on the total
amount and relative size of these securities in the collateral
pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of bank obligors in the pool as of
Q1_2010. This financial data is used by Moody's to assess the
credit quality of obligors in the pool, using RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses on some of the
key factors driving the ratings. This analysis includes further
increase and decrease to the WARF (representing a slight
improvement and a slight deterioration of the credit quality of
the collateral pool) and the results indicate a one-notch downward
movement on Class A1 when WARF was increased by 370 and a one-
notch upward movement when the WARF was decreased by 180.
Further, a decrease of 1% in the WAC or 0.5% in the WAS of the
collateral pool resulted in one notch downward movement on the
Class A1 notes.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are parts of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's asset correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled using CDOROM v.2.7,
according to Moody's rating approach, to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROM v.2.7 is available on moodys.com
under Products and Solutions -- Analytical models, upon return of
a signed free license agreement.
ATHILON CAPITAL: Moody's Upgrades Senior Subordinated Debt Ratings
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
senior subordinated debt ratings of Athilon Capital Corp., an
operating company whose primary business activity is providing
credit protection in the form of credit default swaps.
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series A Bond, Upgraded to B3; previously on May 7, 2009
Downgraded to Caa2
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series B Bond, Upgraded to B3; previously on May 7, 2009
Downgraded to Caa2
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series C Bond, Upgraded to B3; previously on May 7, 2009
Downgraded to Caa2
-- US$62,500,000 Senior Subordinated Deferrable Interest Notes-
Series D Bond, Upgraded to B3; previously on May 7, 2009
Downgraded to Caa2
-- US$100,000,000 Senior Subordinated Deferrable Interest Notes,
Series E Bond, Upgraded to B3; previously on May 7, 2009
Downgraded to Caa2
Ratings Rationale
Moody's explained that the key driver behind the rating actions
was the commutation of a CDS on an asset-backed collateral debt
obligation, against which Athilon had written protection, executed
on September 17, 2010. Athilon and the protection buyer of the
ABS CDO have agreed on a termination payment that has been paid at
the time of execution of the Commutation.
Based on Moody's analysis, the positive effect of the Commutation
outweighs the deterioration in credit quality of Athilon's
remaining CDS portfolio. The Termination Payment is significantly
less than the potential future credit protection obligation for
the CDS on this ABS CDO. Additionally, the Commutation reduces
the uncertainty surrounding the amount of this future obligation.
In the process of determining the rating action, Moody's took into
account the results of a number of sensitivity analyses:
(1) Use of forward-looking measures -- Notching adjustment on each
entity's rating due to credit watch or negative outlook was
implemented.
(2) Use of Market Implied Ratings -- MIRs were used in place of
the corporate fundamental ratings to derive the default
probability of each corporate name in the reference portfolio.
The gap between an MIR and a Moody's corporate fundamental
rating is an indicator of the extent of the divergence of
credit view between Moody's and the market. This run
generated a result that was the same rating level as the one
modelled under the forward-looking measures.
(3) Not Haircutting the Eligible Investments -- Eligible
investment values have haircuts based on levels specified in
the operating guidelines of Athilon, which is used in Moody's
base case modelling. Moody's tested the sensitivity of the
ratings by using the mark-to-market values of the eligible
investments without haircuts. The result was one notch higher
than the base case modelling for the Counterparty rating and
the senior subordinated note rating, four notches higher than
the base case modelling for the subordinated note rating. The
subordinated notes are most affected by the amount of eligible
investments available because of their subordinated position
in the capital structure.
In addition, to the quantitative factors that are explicitly
modelled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to the
rating committee, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions was taken into account in the final rating decision.
Moody's analysis for this transaction is based on CDOROMv2.6 and
CDOEdge v.3.2.1.0 (27-Oct-2009:3081). CDOROM is available on
moodys.com under Products and Solutions -- Analytical models, upon
return of a signed free license agreement.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's analysis of CDPCs is subject to uncertainties, the primary
sources of which includes complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
CDPC structure, it remains a simplification of the complex
reality. Of greatest concern are (a) variations over time in
default rates for instruments with a given rating, (b) variations
in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlation characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CDPC is also dependent on
on-going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions
is mitigated by structural constraints, anticipating the quality
of these decisions necessarily introduces some level of
uncertainty in Moody's assumptions. Given the tranched nature of
CDSs that is in Athilon's portfolio, rating transitions in the
reference pool may have leveraged rating implications for the
ratings of the CDSs, thus leading to a high degree of volatility.
All else being equal, the volatility is likely to be higher for
more junior or thinner liabilities.
The base case scenario modelled fits into the central
macroeconomic scenario predicted by Moody's of a sluggish recovery
scenario of the corporate universe. Should macroeconomic
conditions evolve towards a more severe scenario such as a double
dip recession, Athilon's rating will likely be downgraded to an
extent depending on the expected severity of the worsening
conditions.
BABSON CLO: Supplemental Indenture Won't Affect Moody's Ratings
---------------------------------------------------------------
Moody's Investors Service has determined that entry by Babson CLO
Ltd. 2008-I, a cash flow CLO, into the proposed Supplemental
Indenture No. 1, dated as of September 23, 2010, to the Indenture,
dated as of June 20, 2008, among the Issuer, Babson CLO 2008-I,
LLC, as co-Issuer, and State Street Bank and Trust Company, as
Trustee will not in and of itself cause the current Moody's
ratings of the notes issued by the Issuer to be reduced or
withdrawn. Moody's does not express an opinion as to whether the
amendment could have non-credit-related effects.
The Indenture was amended to allow the Issuer to create one or
more subsidiaries which will be able to own certain workout
securities which the Issuer itself could not own without
endangering the Issuer's tax status.
This amendment was made pursuant to Section 8.1(h) of the
Indenture which allows changes to the Indenture without investor
consent in order to avoid negative tax treatment of the Issuer, so
long as certain conditions are met.
Moody's will continue monitoring the ratings of the notes issued
by the Issuer. Any change in the ratings will be publicly
disseminated by Moody's through appropriate media.
BALLANTYNE RE: Fitch Affirms Ratings on Three Classes of Notes
--------------------------------------------------------------
Fitch Ratings affirms these tranches of Ballantyne Re Plc:
-- Class A-1 notes at 'CC/RR5';
-- Class B-1 notes at 'C/RR6';
-- Class B-2 notes at 'C/RR6'.
Fitch's rating rationale is based on the significant mark-to-
market losses Ballantyne Re has experienced in its investment
portfolio of residential-mortgage-backed and asset-backed
securities. Ballantyne Re's liabilities exceed the current book
value of its assets by a significant margin.
Interest payments on class A-1 are current, and Fitch expects
interest on class A-1 to remain current for the foreseeable
future. Absent a remarkable recovery in RMBS/ABS values, however,
Fitch believes it is probable that Ballantyne Re will eventually
be unable to pay interest or full principal on the class A-1
notes. Fitch believes default is inevitable on the class B-1 and
B-2 notes and does not expect holders of these notes to receive
any further interest or principal payments.
Key rating drivers for Ballantyne Re's ratings that could lead to
an upgrade or upward Recovery Rating revision include:
-- Investment portfolio recovery whereby the value of its assets
increases by $1.1 billion.
-- Increase in the LIBOR to over 280 basis points (bps) from its
current level of under 30 bps.
-- Profits emerge from life insurance book
Key rating drivers for Ballantyne Re's ratings that could lead to
a downgrade or downward Recovery Rating revision include:
-- Investment portfolio decline whereby the value of its assets
decreases by $650 million.
-- Life insurance losses exceed expectation.
Ballantyne Re is a special purpose public limited company
incorporated and registered in Ireland. The company was
established for the limited purpose of entering into a reinsurance
agreement and conducting activities related to the notes'
issuance. Ballantyne Re issued the notes to finance excess
reserve requirements under Regulation XXX for the block of
business ceded under the reinsurance agreement.
BANC OF AMERICA: Moody's Downgrades Ratings on Four 2005-3 Certs.
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
of Banc of America Commercial Mortgage, Inc., Commercial Mortgage
Pass-Through Certificates, Series 2005-3 and placed eight classes
on review for possible downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on July 15, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Aa2 (sf)
-- Cl. B, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Aa3 (sf)
-- Cl. C, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to A1 (sf)
-- Cl. D, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to A3 (sf)
-- Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Baa2 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Baa3 (sf)
-- Cl. G, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Ba3 (sf)
-- Cl. H, Downgraded to C (sf); previously on Nov. 19, 2009
Downgraded to Caa1 (sf)
-- Cl. J, Downgraded to C (sf); previously on Nov. 19, 2009
Downgraded to Caa3 (sf)
-- Cl. K, Downgraded to C (sf); previously on Nov. 19, 2009
Downgraded to Ca (sf)
-- Cl. L, Downgraded to C (sf); previously on Nov. 19, 2009
Downgraded to Ca (sf)
Ratings Rationale
The downgrades of Classes H through L are due to realized and
anticipated losses from specially serviced loans. The pool has
experienced an aggregate $9.6 million loss on five loans resulting
in a 32% loss for class Class Q. The servicer has recognized
appraisal reductions totaling $165.3 million for 12 loans
currently in special servicing.
Moody's placed Classes D through L on review for possible
downgrade due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and
troubled loans.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated November 19, 2009. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction
As of the September 10, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 10% to $1.9 billion
from $2.2 billion at securitization. The Certificates are
collateralized by 87 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans representing 57% of
the pool. One loan, representing 1% of the pool, has defeased and
is now collateralized by U.S. Government securities.
Twenty-one loans, representing 16% 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 CRE
Finance Council 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.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $9.6 million (35% loss severity).
Fourteen loans, representing 21% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Pacific Arts Plaza Loan ($132.0 million -- 6.8% of the pool),
which represents a 54.5% pari passu interest in a $242.0 million
first mortgage loan. The property is also encumbered by a
$28.0 million B Note. The loan is secured by four office
buildings, totaling 825,061 square feet (SF) located in Costa
Mesa, California. The loan was transferred to special servicing
in August 2009 and is now in foreclosure.
The second largest specially serviced loan is the FRI Portfolio
Loan ($70.0 million -- 3.6% of the pool), which is secured by two
office buildings, totaling 591,189 SF, located in Nashville,
Tennessee and West Palm Beach, Florida. The loan transferred into
special servicing in February 2010 due to maturity default.
The remaining 12 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$165.3 million appraisal reduction for 12 of the specially
serviced loans.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
BANC OF AMERICA: Moody's Reviews Ratings on 2008-1 Certs.
---------------------------------------------------------
Moody's Investors Service placed 19 classes of Banc of America
Commercial Mortgage Inc. Commercial Mortgage Pass-Through
Certificates, Series 2008-1 on review for possible downgrade:
-- Cl. A-1A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on July 1, 2008 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on July 1, 2008 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on July 1, 2008 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A1 (sf)
-- Cl. B, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A2 (sf)
-- Cl. C, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A3 (sf)
-- Cl. D, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa1 (sf)
-- Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa2 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa3 (sf)
-- Cl. G, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba1 (sf)
-- Cl. H, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba3 (sf)
-- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B2 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B3 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. N, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. O, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
-- Cl. Q, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
The classes were placed on review due to higher expected losses
for the pool resulting from anticipated losses from specially
serviced and troubled loans.
Deal And Performance Summary
As of the September 10, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $1.25 billion
from $1.29 billion at securitization. The Certificates are
collateralized by 107 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 47%
of the pool.
Thirty loans, representing 35% 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 CRE
Finance Council 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 since securitization,
resulting in an aggregate $498,569 loss (49% loss severity on
average). Currently 11 loans, representing 9% of the pool, are in
special servicing. The 11 specially serviced loans are secured by
a mix of property types.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
BANC OF AMERICA: Moody's Reviews Ratings on 16 2006-1 Certs.
------------------------------------------------------------
Moody's Investors Service placed 16 classes of Banc of America
Commercial Mortgage Inc., Commercial Pass-Through Certificates,
Series 2006-1 on review for possible downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on March 14, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Aa3 (sf)
-- Cl. B, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to A1 (sf)
-- Cl. C, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to A2 (sf)
-- Cl. D, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to A3 (sf)
-- Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Baa2 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Baa3 (sf)
-- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Ba2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to B1 (sf)
-- Cl. J, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to B3 (sf)
-- Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Caa2 (sf)
-- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Caa2 (sf)
-- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Caa2 (sf)
-- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Caa3 (sf)
-- Cl. O, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Caa3 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 9, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
Deal And Performance Summary
As of the September 10, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 4%% to
$1.96 billion from $2.03 billion at securitization. The
Certificates are collateralized by 192 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten loans
representing 35% of the pool.
Fifty loans, representing 19% 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 CRE
Finance Council 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.
Currently 20 loans, representing 8% of the pool, are in special
servicing. The master servicer has recognized an aggregate
$80.2 million appraisal reduction for the specially serviced
loans.
Based on the most recent remittance statement, Classes G through
Q have experienced cumulative interest shortfalls totaling
$6.1 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 potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
BANC OF AMERICA: Moody's Reviews Ratings on 15 Certificates
-----------------------------------------------------------
Moody's Investors Service placed 15 classes of Banc of America
Commercial Mortgage, Inc., Commercial Mortgage Pass-Through
Certificates, Series 2005-5 on review for possible downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 17, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 17, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 17, 2005 Definitive Rating Assigned Aa2
(sf)
-- Cl. C, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 17, 2005 Definitive Rating Assigned Aa3
(sf)
-- Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 17, 2005 Definitive Rating Assigned A2
(sf)
-- Cl. E, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 17, 2005 Definitive Rating Assigned A3
(sf)
-- Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to Baa2 (sf)
-- Cl. G, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to Baa3 (sf)
-- Cl. H, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to Ba2 (sf)
-- Cl. J, B1 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to B1 (sf)
-- Cl. K, B2 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to B2 (sf)
-- Cl. L, B3 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to B3 (sf)
-- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to Caa2 (sf)
-- Cl. N, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to Caa2 (sf)
-- Cl. O, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on March 25, 2009 Downgraded to Caa3 (sf)
The classes were placed on review due to higher expected losses
for the pool resulting from actual and anticipated losses from
specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated March 25, 2009.
Deal And Performance Summary
As of the September 10, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 14% to
$1.67 billion from $1.96 billion at securitization. The
Certificates are collateralized by 94 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten loans
representing 43% of the pool. Two loans, representing 1% of the
pool, have defeased and are collateralized with U.S. Government
securities. Defeasance at last review represented 2% of the pool.
Twenty-two loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (formerly the Commercial Mortgage Securities
Association) 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 $6.6 million (22% loss severity).
Eight loans, representing 8% of the pool, are currently in special
servicing. The specially serviced loans are secured by a mix of
multifamily, retail, hotel and industrial property types. The
master servicer has recognized appraisal reductions totaling
$45.8 million for five of the specially serviced loans.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
BEAR STERNS: Moody's Downgrades Ratings on Seven 2002-PBW1 Certs.
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes
and affirmed nine classes of Bear Sterns Commercial Mortgage
Securities Trust, Commercial Mortgage Pass-Through Certificates,
Series 2002-PBW1:
Issuer: Bear Stearns Commercial Mortgage Securities Trust 2002-
PBW1
-- Cl. A-1, Rating affirmed Aaa (sf); previously on Oct. 3, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Rating affirmed Aaa (sf); previously on Oct. 3, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Rating affirmed Aaa, (sf); previously on April 6, 2006
rating Upgraded from Aa2 to Aaa (sf)
-- Cl. C, Rating affirmed Aaa (sf); previously on Sept. 20, 2007
rating Upgraded from Aa2 to Aaa (sf)
-- Cl. D, Rating affirmed Aaa, (sf); previously on Sept. 20,
2007 rating Upgraded from Aa3 to Aaa (sf)
-- Cl. E, Rating affirmed Aaa, (sf); previously on Sept. 25,
2008 rating Upgraded from Aa1 to Aaa (sf)
-- Cl. F, Rating affirmed Aa2, (sf); previously on Sept. 25,
2008 rating Upgraded from Aa3 to Aa2 (sf)
-- Cl. G, Downgraded to Ba1 (sf); previously on Sept. 20, 2007
rating Upgraded to A3 (sf)
-- Cl. H, Downgraded to B2 (sf); previously on Oct. 3, 2002
Definitive Rating Assigned Ba1 (sf)
-- Cl. J, Downgraded to Caa3 (sf); previously on Oct. 3, 2002
Definitive Rating Assigned Ba2 (sf)
-- Cl. K, Downgraded to C (sf); previously on Oct. 3, 2002
Definitive Rating Assigned Ba3 (sf)
-- Cl. L, Downgraded to C (sf); previously on Oct. 3, 2002
Definitive Rating Assigned B1 (sf)
-- Cl. M, Downgraded to C (sf); previously on Oct. 3, 2002
Definitive Rating Assigned B2 (sf)
-- Cl. N, Downgraded to C (sf); previously on Oct. 3, 2002
Definitive ating Assigned B3 (sf)
-- Cl. X-1, Rating affirmd Aaa (sf); previously on Oct. 3, 2002
Definitive Rating Assgned Aaa (sf)
-- Cl. X-2, Rating affirmed Aaa (sf); previously on Oct. 3, 2002
Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from specially serviced and
troubled loans, interest shortfalls and concerns about refinance
risk associated with loans approaching maturity in an adverse
environment. Eight-three loans, representing 71% of the pool,
mature within the next 36 months. Twelve of these loans,
representing 11% of the pool, mature within the next 24 months and
have a Moody's stressed debt service coverage ratio below 1.00X.
The affirmations are due to key parameters, including Moody's loan
to value ratio, Moody's stressed DSCR and the Herfindahl
Index, remaining within acceptable ranges. In addition, the pool
has benefited from increased credit subordination due to loan
payoffs and amortization. Based on Moody's current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
6.7% of the current balance. At last review, Moody's cumulative
base expected loss was 1.2%. Moody's stressed scenario loss is
7.7% of the current balance.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl score
, a measure of loan level diversity, is a primary determinant of
pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated September 20, 2007. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to
$573.4 million from $921.2 million at securitization. The
Certificates are collateralized by 103 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten loans
representing 24% of the pool. The pool includes one loan with an
investment grade underlying rating, representing 4% of the pool.
Nineteen loans, representing 29% of the pool, have defeased and
are now collateralized by U.S. Government securities compared to
28% at last review.
Thirty-one loans, representing 23% 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 CRE
Finance Council 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 to date. Five loans,
representing 7% of the pool, are currently in special servicing.
The master servicer has recognized an aggregate $27.0 million
appraisal reduction for five of the specially serviced loans. The
largest specially serviced loan is the Fifth Third Center Loan
($22.4 million -- 3.9% of the pool), which is secured by a 294,850
square foot office building located in Dayton, Ohio. The loan was
transferred to special servicing in December 2009 and is now real
estate owned. As of August 2010 the property was 28% leased.
The remaining four specially serviced loans are secured by a mix
of property types. Moody's has estimated an aggregate
$31.3 million loss (77% expected loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for seven poorly
performing loan representing 3% of the pool and has estimated a
$3.3 million loss (20% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full-year 2008 and 2009 operating
results for 98% and 92%, respectively, of the pool. Excluding
specially serviced and troubled loans, Moody's weighted average
LTV is 72% compared to 79% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 11.4% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.73X and 1.56X, respectively, compared to
1.45X and 1.38X at last review. Moody's actual DSCR is based on
Moody's NCF and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stressed rate applied to
the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 42 compared to 51 at Moody's prior review.
The loan with an underlying rating is the RREEF Textron Portfolio
Loan ($20.4 million -- 3.6% of the pool), which is secured by
seven properties, including industrial, multifamily and office
buildings, located in five states and the District of Columbia.
This loan is currently on the master servicer's watchlist for a
drop in DSCR. Moody's underlying rating and stressed DSCR are Aaa
and 3.17X, respectively, compared to Aaa and 3.05X at last review.
The top three performing conduit loans represent 10% of the pool
balance. The largest loan is the Mountain Square Shopping Center
Loan ($29.1 million -- 3.8% of the pool), which is secured by a
273,189 SF office building located in Upland, California. The
property was 83%% leased as of December 2009 compared to 100% at
last review. Moody's LTV and stressed DSCR are 78% and 1.32X,
respectively, compared to 76% and 1.36X at last review.
The second largest loan is the CNL Retail Portfolio Loan
($18.9 million -- 3.3% of the pool), which is secured by five
freestanding single-tenant retail properties located in Florida
(4) and Virginia. The portfolio is 100% leased, the same as at
securitization. Performance has improved due to scheduled rent
steps. Moody's LTV and stressed DSCR are 55% and 1.91X,
respectively, compared to 71% and 1.50X at last review.
The third largest loan is the Valencia Corporate Plaza Loan
($15.7 million -- 2.7% of the pool), which is secured by two
office buildings, totaling 144,272 SF, located in Santa Clarita,
California. The property was 84% leased as of June 2010 compared
to 100% at securitization. This loan is currently on the master
servicer's watchlist for a drop in occupancy. Despite the decline
in occupancy, performance has been stable. The loan has amortized
5% since last review. Moody's LTV and stressed DSCR are 88% and
1.3X, respectively, compared to 94% and 1.21X at last review.
BEAR STEARNS: Moody's Downgrades Rating on 21 Tranches
------------------------------------------------------
Moody's Investors Service has downgraded the rating of 21
tranches, confirmed the ratings of 3 tranches, and upgraded the
ratings of 1 tranche from 4 RMBS transactions issued by Bear
Stearns. The collateral backing these deals primarily consists of
first-lien, fixed and adjustable-rate subprime residential
mortgages.
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE3
-- Cl. M-1, Upgraded to Aaa (sf); previously on Jan. 13, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa1 (sf); previously on Jan. 13, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ca (sf); previously on Jan. 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C (sf); previously on Jan. 13, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C (sf); previously on Jan. 13, 2010 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C (sf); previously on Jan. 13, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C (sf); previously on Jan. 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C (sf); previously on Jan. 13, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AQ1
-- Cl. I-1A-1, Confirmed at A2 (sf); previously on Jan. 13, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-1A-2, Downgraded to Caa3 (sf); previously on Jan. 13,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-1A-3, Downgraded to Ca (sf); previously on Jan. 13,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2A, Downgraded to Caa3 (sf); previously on Jan. 13,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Confirmed at B3 (sf); previously on Jan. 13, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Confirmed at Ca (sf); previously on Jan. 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE10
-- Cl. II-1A-1, Downgraded to B1 (sf); previously on Jan. 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-1A-2, Downgraded to Caa3 (sf); previously on Jan. 13,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-1A-3, Downgraded to Ca (sf); previously on Jan. 13,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-2A, Downgraded to Caa3 (sf); previously on Jan. 13,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-3A, Downgraded to Caa3 (sf); previously on Jan. 13,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE8
-- Cl. II-1A-1, Downgraded to Aa2 (sf); previously on Jan. 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-1A-2, Downgraded to B1 (sf); previously on Jan. 13,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-1A-3, Downgraded to Caa2 (sf); previously on Jan. 13,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-2A, Downgraded to B1 (sf); previously on Jan. 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-M-1, Downgraded to C (sf); previously on Jan. 13, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-M-2, Downgraded to C (sf); previously on Jan. 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions reflect the continued performance deterioration in
Subprime pools in conjunction with home price and unemployment
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on subprime pools issued from 2005 to
2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
CABELA'S CREDIT: Fitch Assigns Ratings on Series 2010-II Certs.
---------------------------------------------------------------
Fitch Ratings has assigned these ratings, Loss Severity ratings
and Outlooks to Cabela's Credit Card Master Note Trust's asset-
backed notes, series 2010-II:
-- $127,500,000 class A-1 fixed-rate 'AAAsf'/LS1'; Outlook
Stable;
-- $85,000,000 class A-2 floating-rate 'AAAsf'/LS1'; Outlook
Stable;
-- $20,000,000 class B fixed-rate 'A+sf'/LS2'; Outlook Stable;
-- $10,625,000 class C fixed-rate 'BBB+sf'/LS2'; Outlook Stable;
-- $6,875,000 class D fixed-rate 'BB+sf'/LS3'. Outlook Stable;
Fitch's ratings are based on the underlying receivables pool,
available credit enhancement, World's Foremost Bank's underwriting
and servicing capabilities, and the transaction's legal and cash
flow structures, which employ early redemption triggers.
CABELA'S CREDIT: DBRS Assigns 'BB' Rating on Class D Notes
----------------------------------------------------------
DBRS has assigned final ratings to the following notes issued by
Cabela's Credit Card Master Note Trust, Series 2010-II:
-- Class A Notes rated AAA (sf)
-- Class B Notes rated 'A' (high) (sf)
-- Class C Notes rated BBB (sf)
-- Class D Notes rated BB (sf)
CBA COMMERCIAL: Moody's Downgrades Ratings on Two Classes
---------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed four classes of CBA Commercial Assets, Small Balance
Commercial Mortgage Pass-Through Certificates Series 2007-1:
-- Cl. A, $89.166M, Downgraded to C (sf); previously on Jan 28,
2010 Downgraded to Ca (sf)
-- Cl. M-1, $3.509M, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
-- Cl. M-2, $3.669 M, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
-- Cl. M-3, $2.233M, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
-- Cl. M-4, $0.719M, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
-- Cl. X-1, Downgraded to C (sf); previously on Jan 28, 2010
Downgraded to Ca (sf)
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced loans. The classes that Moody's affirmed are all rated C
based on realized losses and Moody's current base expected loss.
This transaction is classified as a small balance CMBS
transaction. Small balance transactions, which represent
approximately 1% of the Moody's rated conduit/fusion universe,
have generally experienced higher defaults and losses than
traditional conduit and fusion transaction
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated January 28, 2010. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
As of the August 25, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 22% to
$99.3 million from $127.6 million at securitization. The
Certificates are collateralized by 186 mortgage loans ranging
in size from less than 1% to 3% of the pool, with the top ten
loans representing 21% of the pool. The pool has a Herfindahl
score of 90 compared to 101 at Moody's last review.
Sixteen 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 CRE
Finance Council 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.
Nineteen loans have been liquidated from the pool, resulting in
an aggregate realized loss of $9.2 million (75% loss severity on
average). These losses have resulted in the elimination of
Classes M-5 through M-8 and a 50% principal loss on Class M-4.
Currently, there are 51 loans, representing 31% of the pool, in
special servicing. Moody's has estimated an aggregate
$22.9 million loss for the specially serviced loans (75% expected
loss on average). The master servicer has recognized $2.5 million
in appraisal reductions.
Moody's has also assumed a high default probability for nine
poorly performing loan representing 4% of the pool and has
estimated a $1.6 million (38% expected loss based on a 75%
probability default) from these troubled loan. Moody's rating
action recognizes potential uncertainty around the timing and
magnitude of loss from this troubled loan. Moody's rating action
reflects a cumulative base expected loss of 29% of the current
balance.
CD 2006-CD3: Moody's Reviews Ratings on Various Certificates
------------------------------------------------------------
Moody's Investors Service placed 20 classes of CD 2006-CD3
Mortgage Trust Commercial Mortgage Pass-Through Certificates,
Series 2006-CD3 on review for possible downgrade due to higher
expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans:
-- Cl. A-4, $127.0 M, Aaa (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 14, 2006 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-5, $1,412.355M, Aaa (sf), Placed Under Review for
Possible Downgrade; previously on Nov. 14, 2006 Definitive
Rating Assigned Aaa (sf)
-- Cl. A-M, $328.240M, Aaa (sf), Placed Under Review for
Possible Downgrade; previously on Nov. 14, 2006 Definitive
Rating Assigned Aaa (sf)
-- Cl. A-J, $270.800M, A1 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to A1 (sf)
-- Cl. A-1A, $251.331 M, A1 (sf), Placed Under Review for
Possible Downgrade; previously on Feb. 9, 2009 Downgraded to
A1 (sf)
-- Cl. B, $22.321 M, A2 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to A2 (sf)
-- Cl. C, $53.571 M, A3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to A3 (sf)
-- Cl. D, $31.249 M, Baa1 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Baa1 (sf)
-- Cl. E, $22.321 M, Baa2 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Baa2 (sf)
-- Cl. F, $26.786 M, Baa3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Baa3 (sf)
-- Cl. G, $44.642 M, Ba1 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Ba1 (sf)
-- Cl. H, $40.177 M, Ba3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Ba3 (sf)
-- Cl. J, $40.178 M, B2 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to B2 (sf)
-- Cl. K, $40.178 M, B3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to B3 (sf)
-- Cl. L, $13.393 M, Caa2 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Caa2 (sf)
-- Cl. M, $8.928 M, Caa2 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Caa2 (sf)
-- Cl. N, $13.393 M, Caa2 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Caa2 (sf)
-- Cl. O, $4.464 M, Caa3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Caa3 (sf)
-- Cl. P, $13.392 M, Caa3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Caa3 (sf)
-- Cl. Q, $4.465 M, Caa3 (sf), Placed Under Review for Possible
Downgrade; previously on Feb. 9, 2009 Downgraded to Caa3 (sf)
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated February 9, 2009. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $3.48 billion
from $3.57 billion at securitization. The Certificates are
collateralized by 191 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten loans representing 43%
of the pool. The largest loan in the pool is the GGP-sponsored
Ala Moana Portfolio Loan ($293.6 million -- 8.4% of the pool),
which is secured by portfolio of retail and office properties in
Honolulu, Hawaii. The Ala Moana Mall is part of this portfolio
and is the dominant mall on the island.
Fifty-five loans, representing 20% 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 CRE
Finance Council 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 since securitization,
resulting in an aggregate $7.3 million loss (80% loss severity on
average). The pool has also realized an additional $7.2 million
in loss from five modified loans. Currently, 25 loans,
representing 15% of the pool, are in special servicing. The
largest specially serviced loan is the High Point Furniture Mart
Loan ($190.5 million -- 6% of the pool), which is secured by a
2 million square foot retail/showroom complex located in High
Point, North Carolina. The loan was transferred to special
servicing in March 2010 due to the borrower defaulting on the
master lease, which resulted in a payment default. The remaining
24 specially serviced loans are secured by a mix of property
types. The master servicer has recognized an aggregate
$83.2 million appraisal reduction for the specially serviced
loans.
Based on the most recent remittance statement, Classes K through
S have experienced cumulative interest shortfalls totaling
$3.92 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 and troubled loans and the performance of the overall
pool.
CITIBANK COMMERCIAL: Moody's Reviews Ratings on 2007-FL3 Certs.
---------------------------------------------------------------
Moody's Investors Service placed 10 pooled classes and seven non-
pooled, or rake, classes of Citibank Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 2007-FL3 on
review for possible downgrade Moody's rating action is:
-- Cl. A-2, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Aa2 (sf)
-- Cl. B, A1 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to A1 (sf)
-- Cl. C, A3 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to A3 (sf)
-- Cl. D, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Baa1 (sf)
-- Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Baa2 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Baa3 (sf)
-- Cl. G, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Ba1 (sf)
-- Cl. H, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Ba2 (sf)
-- Cl. J, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Ba3 (sf)
-- Cl. K, B1 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to B1 (sf)
-- Cl. THH-1, Ba3 (sf) Placed Under Review for Possible
Downgrade; previously on March 11, 2009 Downgraded to Ba3
(sf)
-- Cl. INM, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Ba3 (sf)
-- Cl. MLA-1, Ba3 (sf) Placed Under Review for Possible
Downgrade; previously on March 11, 2009 Downgraded to Ba3
(sf)
-- Cl. HTT-1, Ba3 (sf) Placed Under Review for Possible
Downgrade; previously on March 11, 2009 Downgraded to Ba3
(sf)
-- Cl. VSM-1, Ba3 (sf) Placed Under Review for Possible
Downgrade; previously on March 11, 2009 Downgraded to Ba3
(sf)
-- Cl. VSM-2, B1 (sf) Placed Under Review for Possible
Downgrade; previously on March 11, 2009 Downgraded to B1 (sf)
-- Cl. WES, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on March 11, 2009 Downgraded to Ba3 (sf)
The 17 classes have been placed under review for downgrade due to
the deterioration in performance of assets in the trust, the
significant concentration of loans secured by hotel properties
(100% of pooled balance), and the refinancing risk associated with
loans approaching maturity in an adverse environment. There are
currently five loans in special servicing (24% of pooled balance)
which are the Hudson Hotel loan (14%), the Mondrian Los Angeles
loan (5%), the Westmont Portfolio loan (3%), the Avalon loan (1%)
and the Maison 140 loan (1%). Seven loans, representing 48% of
the pool, are on the master servicer's watchlist.
CITIGROUP COMMERCIAL: Moody's Downgrades Ratings on 2005-C3 Certs.
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes,
confirmed two classes and affirmed 16 classes of Citigroup
Commercial Mortgage Trust 2005-C3, Commercial Mortgage Pass-
Through Certificates, Series 2005-C3:
-- Cl. A-2, Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-SB, Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-MFL, Confirmed at Aaa (sf); previously on Sept. 16,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-M, Confirmed at Aaa (sf); previously on Sept. 16, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-J, Downgraded to A2 (sf); previously on Sept. 16, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Baa1 (sf); previously on Sept. 16, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. C, Downgraded to Baa3 (sf); previously on Sept. 16, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to B1 (sf); previously on Sept. 16, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to B3 (sf); previously on Sept. 16, 2010 A3
(sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to Caa3 (sf); previously on Sept. 16, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to Ca (sf); previously on Sept. 16, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to C (sf); previously on Sept. 16, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. J, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. CP-1, Affirmed at Baa1 (sf); previously on July 15, 2005
Definitive Rating Assigned Baa1 (sf)
-- Cl. CP-2, Affirmed at Baa2 (sf); previously on July 15, 2005
Definitive Rating Assigned Baa2 (sf)
-- Cl. CP-3, Affirmed at Baa3 (sf); previously on July 15, 2005
Definitive Rating Assigned Baa3 (sf)
-- Cl. XC, Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. XP, Affirmed at Aaa (sf); previously on July 15, 2005
Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans. The confirmations and affirmations
are due to key parameters, including Moody's loan to value ratio,
Moody's stressed debt service coverage ratio and the Herfindahl
Index, remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain the existing rating.
On September 16, 2010, Moody's placed ten classes on review for
possible downgrade. This action concludes Moody's review.
Moody's rating action reflects a cumulative base expected loss of
8.5% of the current balance. At last review, Moody's cumulative
base expected loss was 2.0%. Moody's stressed scenario loss is
16.2% of the current balance.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl score
, a measure of loan level diversity, is a primary determinant of
pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 30, 2007. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 14% to $1.25
billion from $1.45 billion at securitization. The Certificates
are collateralized by 116 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten loans representing 34%
of the pool. The pool includes one loan with an investment grade
underlying rating, representing 8% of the pool. Three loans,
representing 1% of the pool, have defeased and are collateralized
with U.S. Government securities.
Twenty-four 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 CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
One loan has been liquidated from the pool, resulting in an
realized loss of $4.12 million (87% loss severity). Ten loans,
representing 16% of the pool, are currently in special servicing.
The largest specially serviced loan is the 100 & 150 College Road
West Loan ($53.0 million -- 4% of the pool), which is secured by a
226,000 square foot Class A office complex located in Princeton,
New Jersey. The loan transferred to special servicing in January
2010 due to imminent maturity default. The loan matured in March
2010.
The second largest specially serviced loan is the 270 Technology
Park Loan ($49.6 million -- 4% of the pool), which is secured by
11 office and flex properties located in Frederick, Maryland. The
buildings total 450,000 square feet. The loan transferred into
special servicing in December 2008 due to imminent monetary
default and is currently in foreclosure.
The remaining eight specially serviced loans are secured by a mix
of property types. The master servicer has recognized an
aggregate $54.9 million appraisal reduction for six of the
specially serviced loans. Moody's has estimated an aggregate
$66.1 million loss (36% expected loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans representing 7% of the pool and has estimated a
$13.2 million loss (15% expected loss based on a 30% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes H through P
have experienced cumulative interest shortfalls totaling
$2.4 million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions and extraordinary
trust expenses.
Moody's was provided with full year 2009 and partial year 2010
operating results for 94% and 61% of the non-defeased pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 97% compared to 101% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 11.5% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.29X and 1.03X, respectively, compared to
1.31X and 0.98X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 52 compared to 69 at Moody's prior review.
The loan with an underlying rating is the Carolina Place Loan
($103.2 million -- 8.2%), which is the pooled component of a
$151.7 million first mortgage loan secured by the borrower's
interest in a 1.1 million square foot regional mall located in
suburban Charlotte, North Carolina. The mall is anchored by Belk,
Dillard's, Macy's, J.C. Penney and Sears. The inline space was
93% leased as of March 2010 compared to 91% at last review. The
trust also includes the $14.3 million non-pooled loan component
which secures the non-pooled Classes CP-1, CP-2 and CP-3. Moody's
underlying rating and stressed DSCR for the pooled loan component
are A3 and 1.62X, respectively, compared to A3 and 1.46X at last
review. The underlying ratings for Classes CP-1, CP-2 and CP-3
are Baa1, Baa2, and Baa3, respectively, the same as at last
review.
The top three performing conduit loans represent 9% of the pool
balance. The largest loan is the Abilene Mall Loan ($36.0 million
-- 2.9% of the pool), which is secured by a single-story regional
mall located in Abilene, Texas. The mall is anchored by
Dillard's, J.C. Penney, and Sears. J.C. Penney is only anchor
included in the collateral. The overall property was 90% leased
as of December 2009 compared to 91% at last review. The loan has
amortized 3% since last review. Moody's LTV and stressed DSCR are
105% and 0.95X, respectively, compared to 104% and 1.05X at last
review.
The second largest loan is the Penn Mar Shopping Center Loan
($35.8 million -- 2.9% of the pool), which is secured by a 382,000
square foot retail center located in Forestville (Prince George's
County), Maryland. The center was 94% leased as of December 2009
compared to 97% at last review. The loan has amortized 5% since
last review. Moody's LTV and stressed DSCR are 88% and 1.07X,
respectively, compared to 92% and 1.05X at last review.
The third largest loan is the 250 West Pratt Loan ($35.1 million -
- 2.8% of the pool), which is secured by a 24-story 355,186 square
foot office property located in downtown Baltimore, Maryland.
This loan is currently on the master servicer's watchlist due to a
low DSCR. Property performance has declined since last review due
to a decrease in rental income from increased vacancy. The
property was 78% leased as of March 2010 compared to 84% at last
review. Moody's LTV and stressed DSCR are 122% and 0.82X,
respectively, compared to 104% and 1.05X at last review.
CITIGROUP COMMERCIAL: Moody's Reviews Ratings on 2008-C7 Certs.
---------------------------------------------------------------
Moody's Investors Service placed 21 classes of Citigroup
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2008-C7 on review for possible downgrade:
-- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 29, 2008 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-1A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on April 29, 2008 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 29, 2008 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-MA, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on April 29, 2008 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-J, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A2 (sf)
-- Cl. A-JA, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A2 (sf)
-- Cl. B, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A3 (sf)
-- Cl. C, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa1 (sf)
-- Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa2 (sf)
-- Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa3 (sf)
-- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba1 (sf)
-- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B1 (sf)
-- Cl. Q, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
-- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B2 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B3 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa1 (sf)
-- Cl. N, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. O, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior review is
summarized in a press release dated February 6, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $1.81 billion
from $1.85 billion at securitization. The Certificates are
collateralized by 94 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten loans representing 48% of
the pool. The pool does not contain any defeased loans or loans
with underlying ratings.
Sixteen 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 CRE
Finance Council 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.
Three loans have been liquidated from the pool since
securitization, resulting in an aggregate $12.0 million loss (61%
loss severity on average). Currently 13 loans, representing 13%
of the pool, are in special servicing. The largest specially
serviced loan is the CGM RRI Hotel Portfolio Loan ($58.1 million -
- 3.2% of the pool), which is secured by 52 hotels totaling 6,030
guestrooms located in 21 states and the District of Columbia. The
loan was transferred to special servicing in May 2009 due to
monetary default and is in the process of foreclosure. The
remaining 12 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$77.2 million appraisal reduction for 12 of the specially serviced
loans.
Based on the most recent remittance statement, Classes K through
S have experienced cumulative interest shortfalls totaling
$2.9 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 and troubled loans and the performance of the overall
pool.
COUNTRYWIDE COMMERCIAL: Moody's Reviews Ratings on 2007-MF1 Certs.
------------------------------------------------------------------
Moody's Investors Service placed 16 classes of Countrywide
Commercial Mortgage Pass-Through Certificates, Series 2007-MF1 on
review for possible downgrade:
-- Cl. A, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Aa2 (sf)
-- Cl. B, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Aa3 (sf)
-- Cl. C, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A1 (sf)
-- Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A2 (sf)
-- Cl. E, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A3 (sf)
-- Cl. F, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa1 (sf)
-- Cl. G, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa2 (sf)
-- Cl. H, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa3 (sf)
-- Cl. J, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba1 (sf)
-- Cl. K, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B1 (sf)
-- Cl. L, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B2 (sf)
-- Cl. M, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B3 (sf)
-- Cl. N, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa1 (sf)
-- Cl. P, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. Q, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
-- Cl. S, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans and
interest shortfalls.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior review is
summarized in a press release dated February 6, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 14, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to
$607.5 million from $639.9 million at securitization. The
Certificates are collateralized by 241 mortgage loans ranging in
size from less than 1% to 4% of the pool, with the top ten loans
representing 27% of the pool. The pool does not contain any
defeased loans or loans with underlying ratings.
This transaction is classified as a small balance CMBS
transaction. Small balance transactions, which represent
approximately 1% of Moody's rated conduit/fusion universe,
generally experience higher defaults and losses than traditional
conduit and fusion transactions.
Forty-nine loans, representing 20% 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 CRE
Finance Council 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.
Three loans have been liquidated from the pool since
securitization, resulting in an aggregate $1.1 million loss (51%
loss severity on average). Currently 14 loans, representing 10%
of the pool, are in special servicing. The largest specially
serviced loan is the Belmont Apartments Montgomery Loan
($22.9 million -- 3.8% of the pool), which is secured by a 468-
unit multifamily property located in Montgomery, Alabama. The
loan was transferred to special servicing in November 2008 due to
imminent default and is in the process of foreclosure. The
remaining 13 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$25.9 million appraisal reduction for nine of the specially
serviced loans.
Based on the most recent remittance statement, Classes J through T
have experienced cumulative interest shortfalls totaling $983,000.
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 and troubled loans and the performance of the overall
pool.
CPS AUTO: S&P Assigns Preliminary Ratings on $94.541 Mil. Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to CPS Auto Receivables Trust 2010-A's $94.541 million
asset-backed notes.
The preliminary ratings are based on information as of Sept. 22,
2010. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's opinion of:
The availability of approximately 36.1%, 29.5%, and 25.8% of
credit support for the class A, B, and C notes, respectively,
based on stressed cash flow scenarios (including excess spread),
which provide approximately 1.9x, 1.5x, and 1.3x S&P's 18%-19%
expected cumulative net loss range for the class A, B, and C
notes, respectively; The ratings on the notes remaining within two
rating categories of the preliminary ratings under a moderate
stress scenario of 1.5x S&P's expected net loss level. This is
consistent with its credit stability criteria;
* The credit enhancement underlying each of the preliminary rated
notes, which is in the form of subordination,
overcollateralization, a reserve account, and excess spread for
the class A, B, and C notes;
* The timely interest and principal payments made to the
preliminary rated notes under S&P's stressed cash flow modeling
scenarios that S&P believes are appropriate for the assigned
preliminary ratings;
* The collateral characteristics of the subprime automobile loans
securitized in this transaction;
* The transaction's payment and credit enhancement structures,
which include performance triggers; and
* The transaction's legal structure.
Preliminary Ratings Assigned
CPS Auto Receivables Trust 2010-A
Interest Amount
Class Rating Type rate (mil. $)*
----- ------ ---- -------- ---------
A A (sf) Senior Fixed 77.050
B BBB (sf) Subordinate Fixed 8.302
C BB (sf) Subordinate Fixed 5.189
D-X** NR Subordinate Zero coupon 4.000
D-A** NR Subordinate Zero coupon 0.000
*The actual size of these tranches will be determined on the
pricing date.
**The class D-X and D-A notes will be issued as subordinate
contingent cash flow notes and will not carry an interest rate.
The class D-X notes will have a principal balance of $4 million,
and the class D-A notes will not have a principal balance.
NR - Not rated.
CPS AUTO: S&P Assigns Ratings on $94.541 Mil. 2010-A Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CPS
Auto Receivables Trust 2010-A's $94.541 million asset-backed
notes.
The ratings reflect S&P's opinion of:
* The availability of approximately 36.1%, 29.6%, and 25.9% credit
support for the class A, B, and C notes, respectively, based on
stressed cash flow scenarios (including excess spread). This
credit support provides approximately 1.9x, 1.5x, and 1.3x S&P's
18%-19% expected cumulative net loss range for the class A, B,
and C notes, respectively; The ratings on the notes remaining
within two rating categories of the assigned ratings under a
moderate stress scenario of 1.5x S&P's expected net loss level,
which is consistent with its credit stability criteria;
* The credit enhancement underlying each of the rated notes, which
is in the form of subordination, overcollateralization, a
reserve account, and excess spread for the class A, B, and C
notes;
* The timely interest and principal payments made to the rated
notes under its stressed cash flow modeling scenarios, which S&P
believes are appropriate for the assigned ratings; The
collateral characteristics of the subprime automobile loans
securitized in this transaction;
* The transaction's payment and credit enhancement structures,
which include performance triggers; and
* The transaction's legal structure.
Ratings Assigned
CPS Auto Receivables Trust 2010-A
Interest
Class Rating Type rate Amount (mil. $)
----- ------ ---- -------- ---------------
A A (sf) Senior Fixed 77.050
B BBB (sf) Subordinate Fixed 8.302
C BB (sf) Subordinate Fixed 5.189
D-X* NR Subordinate None 4.000
D-A* NR Subordinate None 0.000
* The class D-X and D-A notes will be issued as subordinate
contingent cash flow notes and will not carry an interest rate.
NR - Not rated.
CREDIT SUISSE: Moody's Cuts Ratings on Eight 2002-CKS4 Certs.
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes,
confirmed two classes and affirmed seven classes of Credit Suisse
First Boston Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2002-CKS4:
-- Cl. A-1 Certificate, Affirmed at Aaa (sf); previously on
Oct. 29, 2002 Definitive Rating Assigned Aaa (sf)
-- Cl. A-2 Certificate, Affirmed at Aaa (sf); previously on
Oct. 29, 2002 Definitive Rating Assigned Aaa (sf)
-- Cl. B Certificate, Confirmed at Aaa (sf); previously on
Aug. 12, 2010 Aaa (sf) Placed Under Review for Possible
Downgrade
-- Cl. C Certificate, Confirmed at Aaa (sf); previously on
Aug. 12, 2010 Aaa (sf) Placed Under Review for Possible
Downgrade
-- Cl. D Certificate, Downgraded to Aa2 (sf); previously on
Aug. 12, 2010 Aaa (sf) Placed Under Review for Possible
Downgrade
-- Cl. E Certificate, Downgraded to A2 (sf); previously on
Aug. 12, 2010 Aa2 (sf) Placed Under Review for Possible
Downgrade
-- Cl. F Certificate, Downgraded to Baa3 (sf); previously on
Aug. 12, 2010 A1 (sf) Placed Under Review for Possible
Downgrade
-- Cl. G Certificate, Downgraded to B1 (sf); previously on
Aug. 12, 2010 A3 (sf) Placed Under Review for Possible
Downgrade
-- Cl. H Certificate, Downgraded to Caa3 (sf); previously on
Aug. 12, 2010 Baa2 (sf) Placed Under Review for Possible
Downgrade
-- Cl. J Certificate, Downgraded to C (sf); previously on
Aug. 12, 2010 Ba1 (sf) Placed Under Review for Possible
Downgrade
-- Cl. K Certificate, Downgraded to C (sf); previously on
Aug. 12, 2010 Ba2 (sf) Placed Under Review for Possible
Downgrade
-- Cl. L Certificate, Downgraded to C (sf); previously on
Aug. 12, 2010 Ba3 (sf) Placed Under Review for Possible
Downgrade
-- Cl. M Certificate, Affirmed at C (sf); previously on Aug. 12,
2010 Downgraded to C (sf)
-- Cl. N Certificate, Affirmed C (sf); previously on Aug. 12,
2010 Downgraded to C (sf)
-- Cl. O Certificate, Affirmed at C (sf); previously on Aug. 12,
2010 Downgraded to C (sf)
-- Cl. APM Certificate, Affirmed at A1 (sf); previously on
June 26, 2008 Upgraded to A1 (sf)
-- Cl. A-X Certificate, Affirmed at Aaa (sf); previously on
Oct. 29, 2002 Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The downgrades are due to higher expected losses from the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans and concerns about refinance risk
associated with loans maturing in an adverse environment. One
hundred-four loans, representing 78% of the pool, mature within
the next 36 months. Twenty-two of these loans, representing 22%
of the pool, have a Moody's stressed debt service coverage less
than 1.00X.
The confirmations and 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. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain the current ratings.
Moody's placed ten classes of this transaction on review for
possible downgrade on August 12, 2010. This action concludes the
review.
Moody's rating action reflects a cumulative base expected loss of
7.4% of the current balance. At last review, Moody's cumulative
base expected loss was 1.8%. Moody's stressed scenario loss is
10.1% of the current balance.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score, a measure of loan level diversity, is a primary
determinant of pool level diversity and has a greater impact on
senior certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 (sf) and B2 (sf), the remaining conduit
classes are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 28, 2008. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the ratings.
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 20% to
$982.80 million from $1.234 billion at securitization. The
Certificates are collateralized by 133 mortgage loans ranging in
size from less than 1% to 10% of the pool, with the top ten loans
representing 36% of the pool. Two loans, representing 19% of the
pool, have investment grade underlying ratings. Twenty-nine
loans, representing 22% of the pool, have defeased and are
collateralized with U.S. Government securities. Defeasance at
last review represented 19% of the pool.
Sixteen 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 CRE
Finance Council 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 have been liquidated from the pool, resulting in an
aggregate realized loss of $21.6 million (29% loss severity on
average). Fifteen loans, representing 12% of the pool, are
currently in special servicing. The largest specially serviced
loan is the McDonald Investment Center Loan ($26.8 million -- 2.7%
of the pool), which is secured by an office building located in
Cleveland, Ohio. The loan was transferred to special servicing in
October 2009 due to imminent default and is currently real estate
owned.
The remaining fourteen loans are secured by a mix of office,
industrial, multifamily and retail properties. The master
servicer has recognized an aggregate $36.9 million appraisal
reduction for eleven of the specially serviced loans. Moody's has
estimated an aggregate $53.1 million loss (46% expected loss on
average) for the specially serviced loans.
Moody's has assumed a high default probability for four poorly
performing watchlisted loans representing 6% of the pool and has
estimated a $11.0 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Based on the most recent remittance statement, Classes M through
Q have experienced cumulative interest shortfalls totaling
$1.9 million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions and extraordinary
trust expenses.
Moody's was provided with full-year 2009 operating results for 99%
of the non-defeased performing pool. Excluding specially serviced
and troubled loans, Moody's weighted average LTV is 82% compared
to 86% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 12.3% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.4%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.32X and 1.31X, respectively, compared to
1.32X and 1.25X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 40 compared to 45 at Moody's prior review.
The largest loan with an underlying rating is the Crystal Mall
Loan ($93.1 million -- 9.5%), which is secured by the borrower's
interest in a 801,600 square foot regional mall located in
Waterford, Connecticut. The center is anchored by Sears, Macy's
and J.C. Penney. The in-line space was 75% leased as of December
2009 compared to 83% at last review. The loan sponsor is Simon
Property Group. Moody's underlying rating and stressed DSCR are
Baa3 and 1.31X, respectively, compared to Baa2 and 1.42X at last
review.
The second loan with an underlying rating is the Arbor Place Mall
Loan ($63.3 million - 6.4%), which is the senior pooled component
of a $67.5 million mortgage loan. The $4.2 million B-Note is
included in the trust and is the security for the non-pooled
Class APM. The loan is secured by the borrower's interest in a
1.0 million square foot regional mall located in Douglasville,
Georgia, approximately 22 miles west of Atlanta. The mall is
anchored by Dillard's, Belk, Macy's, and J.C. Penney. As of
December 2009, the inline space was 99% leased, the same as at
last review. The loan amortizes on a 25-year schedule and has
amortized by approximately 22% since securitization. The loan
sponsor is CBL & Associates Properties. Moody's underlying rating
and stressed DSCR of the senior component are Aa3 and 1.98X,
respectively, compared to Aa3 and 1.90X at last review. The
underlying rating of the B-note is A1.
The top three performing non-defeased loans represent 10% of the
pool balance. The largest loan is the SummitWoods Crossing Loan
($43.6 million -- 4.4%), which is secured by the borrower's
interest in a 719,600 square foot retail center located in Lee's
Summit, Missouri. The property was 100% leased as of March 2010,
essentially the same as last review. Major tenants include
Target, Lowe's Home Centers and Kohl's. Although performance has
been stable since last review, Moody's evaluation reflects a
stressed net cash flow due to concerns about upcoming lease
expirations. Leases for approximately 18% of the net rentable
area expires in 2011. Moody's LTV and stressed DSCR are 103% and
0.98X, respectively, compared to 91% and 1.09X at last review.
The second largest loan is the Old Hickory Mall Loan
($29.8 million -- 3.0%), which is secured by the borrower's
interest in a 555,000 square foot regional mall located in
Jackson, Tennessee. The anchor tenants are Macy's, Sears, Belk
and J.C. Penney. The in-line shops were 99% leased as of
December 2009 compared to 93% at last review. The loan is
structured with a 25 year amortization schedule and has amortized
17% since securitization. Moody's LTV and stressed DSCR are 72%
and 1.40X, respectively, compared to 73% and 1.37X at last review.
The third largest loan is the Creeks at Virginia Center
($25.0 million -- 2.5%), which is secured by a community power
center located in Glen Allen, Virginia. The property was 86%
leased as of January 2010 compared to 100% at year-end 2008. The
property's performance has declined due to the drop in occupancy.
Moody's LTV and stressed DSCR are 97% and 1.06X, respectively,
compared to 85% and 1.21X at last review.
CREDIT SUISSE: Moody's Reviews Ratings on 14 2005-C1 Certs.
-----------------------------------------------------------
Moody's Investors Service placed 14 classes of Credit Suisse First
Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through
Certificates 2005-C1 on review for possible downgrade:
-- Cl. A-J, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 19, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on April 19, 2005 Definitive Rating Assigned Aa2
(sf)
-- Cl. C, A2 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to A2 (sf)
-- Cl. D, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Baa1 (sf)
-- Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Baa2 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Baa3 (sf)
-- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Ba2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to B1 (sf)
-- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to B2 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to B3 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Caa2 (sf)
-- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Caa3 (sf)
-- Cl. O, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 17, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from anticipated
losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 17, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to
$1.24 billion from $1.51 billion at securitization. The
Certificates are collateralized by 150 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top ten loans
representing 35% of the pool. Thirteen loans, representing 8% of
the pool, have defeased and are collateralized with U.S.
Government securities. Defeasance at last review represented 9%
of the pool.
Forty-seven loans, representing 43% 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 CRE
Finance Council 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 have been liquidated from the pool since
securitization, resulting in an aggregate $10.4 million loss (12%
loss severity on average). Currently 12 loans, representing 6% of
the pool, are in special servicing. The 12 specially serviced
loans are secured by a mix of property types. The master servicer
has recognized an aggregate $25.3 million appraisal reduction for
the specially serviced loans.
Based on the most recent remittance statement, Classes J through
NR have experienced cumulative interest shortfalls totaling
$3.0 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.
CREDIT SUISSE: Moody's Reviews Ratings on Seven 2006-C2 Certs.
--------------------------------------------------------------
Moody's Investors Service placed seven classes of Credit Suisse
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2006-C2 on review for possible downgrade:
-- Cl. A-1-A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on July 5, 2006 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-M, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 29, 2009 Downgraded to Aa3 (sf)
-- Cl. A-J, Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Oct. 29, 2009 Downgraded to Baa3
(sf)
-- Cl. B, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 29, 2009 Downgraded to Ba3 (sf)
-- Cl. C, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 29, 2009 Downgraded to Caa1 (sf)
-- Cl. D, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 29, 2009 Downgraded to Caa3 (sf)
-- Cl. E, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 29, 2009 Downgraded to Ca (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 17, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $1.36 billion
from $1.44 billion at securitization. The Certificates are
collateralized by 192 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
34% of the pool.
Forty-nine 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 CRE
Finance Council 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 since securitization,
resulting in an aggregate $2.2 million loss (48% loss severity on
average). Currently 16 loans, representing 23% of the pool, are
in special servicing. The largest specially serviced loan is the
Babcock & Brown FX1 Loan ($157.5 million -- 11.4%), which is
secured by 13 Class B multifamily properties containing 4,990
units. The properties are located in Houston, Texas (eight
properties), South Carolina (four) and Alabama (one). The loan
was transferred to special servicing in March 2009 and is
currently more than 90 days delinquent.
The second largest specially serviced loan is the Fortunoff
Portfolio Loan ($69.9 million -- 5.0%), which is secured by two
stand-alone retail buildings which anchor regional malls located
in Woodbridge, New Jersey and Westbury, New York. The loan was
transferred to special servicing in January 2009 due to
Fortunoff's bankruptcy filing. Both properties are vacant and the
loan is over 90 days delinquent.
The remaining 14 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$138.6 million appraisal reduction for the specially serviced
loans.
Based on the most recent remittance statement, Classes B through
P have experienced cumulative interest shortfalls totaling
$8.78 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 and troubled loans and the performance of the overall
pool.
DUNLOE 2005-I: S&P Downgrades Ratings on Two Classes of Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class B and C notes from Dunloe 2005-I Ltd., a synthetic
collateralized debt obligation transaction. At the same time, S&P
affirmed its rating on the class A notes.
The downgrades follow a number of write-downs in the transaction's
underlying reference portfolio, which have caused the notes to
incur principal losses.
Ratings Lowered
Dunloe 2005-I Ltd.
Rating
------
Class To From
----- -- ----
B CC (sf) CCC- (sf)
C D (sf) CCC- (sf)
Rating Affirmed
Dunloe 2005-I Ltd.
Class Rating
----- ------
A CCC- (sf)
FIRST UNION: Moody's Takes Rating Actions on 1999-C1 Certs.
-----------------------------------------------------------
Moody's Investors Service downgraded the ratings of one class and
affirmed five classes of First Union Commercial Mortgage
Securities, Inc., Commercial Mortgage Pass-Through Certificates,
Series 1999-C1:
-- IO-1 Certificate, Affirmed at Aaa (sf); previously on Dec 22,
1998 Assigned Aaa (sf)
-- Cl C, Affirmed at Aaa (sf); previously on Oct. 27, 2005
Upgraded to Aaa (sf)
-- Cl D, Affirmed at Aaa (sf); previously on Jan. 24, 2007
Upgraded to Aaa (sf)
-- Cl E, Affirmed at Aaa (sf); previously on Sept. 25, 2008
Upgraded to Aaa (sf)
-- CL F, Affirmed at Baa1 (sf); previously on Dec. 19, 2008
Upgraded to Baa1 (sf)
-- CL G, Downgraded to Caa3 (sf); previously on Dec. 4, 2003
Downgraded to B3 (sf)
Ratings Rationale
The downgrade is due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans. The affirmations are due to key
parameters, including Moody's loan to value ratio, Moody's
stressed debt service coverage ratio and the Herfindahl Index,
remaining within acceptable ranges. In addition, the pool
benefits from significant increases in credit subordination due to
loan payoffs and amortization. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
7.9% of the current balance. At last review, Moody's cumulative
base expected loss was 3.0%. Moody's stressed scenario loss is
10.5% of the current balance.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
tronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's employs the large loan/single borrower methodology in
cases where the Herf falls below 20. This methodology uses the
excel-based Large Loan Model v 8.0 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's currently uses a Gaussian copula model to evaluate pools
of credit tenant loans within CMBS transactions. Moody's public
CDO rating model CDOROMv2.6 is used to generate a portfolio loss
distribution to assess the credit enhancement levels for ratings.
Under Moody's CTL approach, the rating is primarily based on the
senior unsecured debt rating (or the corporate family rating) of
the tenant leasing the real estate collateral. This tenant's
credit rating is the key factor in determining the probability of
default on the underlying lease. The lease generally is
"bondable", which means it is an absolute net lease, yielding
fixed rent paid to the trust through a lock-box, sufficient under
all circumstances to pay in full all interest and principal of the
loan. The leased property should be owned by a bankruptcy-remote,
special purpose borrower, which grants a first lien mortgage and
assignment of rents to the securitization trust. The dark value
of the collateral, which assumes the property, is vacant or
"dark", is then examined to determine a recovery rate upon a
loan's default. Moody's also considers the overall structure and
legal integrity of the transaction. Moody's reconciles and
weights the results from the two models in formatting a rating
recommendation.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated December 19, 2008. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six six months
As of the September 16, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 80% to $228.76
million from $1.16 billion at securitization. The Certificates
are collateralized by 73 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 36%
of the pool. Thirteen loans, representing 23% of the pool, have
defeased and are collateralized with U.S. Government securities.
Defeasance at last review represented 25% of the pool.
Fourteen loans, representing 16% 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 CRE
Finance Council 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.
Thirty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $15.5 million (14% loss severity).
Three loans, representing 11% of the pool, are currently in
special servicing. The largest specially serviced loan is the
Prince George Metro Center Loan ($20.3 million -- 9% of the pool),
which is secured by a 375,000 square foot office building located
in Hyattsville, Maryland. The property was 59% leased in August
2010. The Borrower has been making partial debt service payments.
The remaining two specially serviced loans are secured by limited
service hotel properties. Moody's has estimated an aggregate
$5.7 million loss (23% expected loss on average) for the specially
serviced loans.
Moody's has assumed a high default probability for seven poorly
performing loans representing 11% of the pool and has estimated a
$5.4 million loss (23% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2009 operating results for
100% of the pool. Excluding specially serviced and troubled
loans,
Moody's weighted average LTV is 69% compared to 78% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 14% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.36X and 1.64X, respectively, compared to
1.35X and 1.53X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 11 compared to 17 at Moody's prior review.
The top three performing conduit loans represent 16% of the pool
balance. The largest loan is the The Clarinbridge Loan
($17.7 million -- 7.7%), which is secured by a 306-unit
multifamily property located approximately 26 miles northwest of
Atlanta in Kennesaw, Georgia. The property was 92% leased as of
June 2010 compared to 96% at last review. Moody's LTV and
stressed DSCR are 81% and 1.16X, respectively, essentially the
same as at last review.
The second largest loan is the New Brighton Manor Loan ($12.0
million -- 5.3%), which is secured by a 300-bed nursing home
located in Staten Island, New York. The loan is on the servicer's
watchlist for debt service below 1.0x. The loan fully amortizes
over its term and has amortized 9% since last review. Moody's LTV
and stressed DSCR are 124% and 1.18X, respectively, compared to
119% and 1.22X at last review.
The third largest loan is the Kelton Towers Loan ($6.8 million --
3.0%), which is secured by a multifamily property located in
Westwood, California. The property was 89% leased as of March
2010. Moody's LTV and stressed DSCR are 36% and 2.59X,
respectively, compared to 34% and 2.78X at last review.
GREENWICH CAPITAL: S&P Downgrades Ratings on Four Classes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage-backed securities pass-through
certificates from Greenwich Capital Commercial Mortgage Trust
2006-RR1, a U.S. resecuritized real estate mortgage investment
conduit transaction. At the same time, S&P affirmed its 'CCC-
(sf)' rating on class B from the transaction.
The downgrades and affirmation primarily reflect S&P's analysis of
the interest shortfalls affecting the entire transaction.
According to the Sept. 22, 2010, trustee report, cumulative
interest shortfalls to the transaction totaled $8.1 million. The
interest shortfalls to GCCMT 2006-RR1 resulted from interest
shortfalls on 17 of the underlying CMBS transactions, primarily
due to special servicing fees and appraisal subordinate
entitlement reductions. S&P lowered its ratings on classes C and
D to 'D (sf)' due to ongoing interest shortfalls since November
2009 that S&P expects will continue for the foreseeable future.
According to the Sept. 22, 2010, trustee report, GCCMT 2006-RR1 is
collateralized by 74 CMBS classes ($657 million, 100%) from 34
distinct transactions issued in 2005 or 2006. The rated CMBS
collateral has a weighted average rating of 'B- (sf)' and a rating
range of 'BBB (sf)' to 'CCC- (sf)'. The weighted average credit
estimate of the unrated CMBS collateral is 'ccc'.
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 and affirmed ratings.
Ratings Lowered
Greenwich Capital Commercial Mortgage Trust 2006-RR1
Commercial mortgage-backed securities pass-through certificates
Rating
------
Class To From
----- -- ----
A1 CCC- (sf) B+ (sf)
A2 CCC- (sf) CCC (sf)
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
Rating Affirmed
Greenwich Capital Commercial Mortgage Trust 2006-RR1
Commercial mortgage-backed securities pass-through certificates
Class Rating
----- ------
B CCC- (sf)
GS MORTGAGE: Moody's Reviews Ratings on 11 2007-GG10 Certs.
-----------------------------------------------------------
Moody's Investors Service placed 11 classes of GS Mortgage
Securities Corporation II, Commercial Mortgage Pass-Through
Certificates, Series 2007-GG10 on review for possible downgrade:
-- Cl. A-4, $3,661.032M, Aa2 (sf), Placed Under Review for
Possible Downgrade; previously on Dec. 10, 2009 Downgraded to
Aa2 (sf)
-- Cl. A-1A, $513.0M, Aa2 (sf), Placed Under Review for Possible
Downgrade; previously on Dec. 10, 2009 Downgraded to Aa2 (sf)
-- Cl. A-M, $756.277M, A2 (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to A2 (sf)
-- Cl. A-J, $519.941M, Ba2 (sf), Placed Under Review for
Possible Downgrade; previously on Nov. 19, 2009 Downgraded to
Ba2 (sf)
-- Cl. B, $75.628M, Ba3 (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to Ba3 (sf)
-- Cl. C, $94.535M, B2 (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to B2 (sf)
-- Cl. D, $56.720M, B3 (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to B3 (sf)
-- Cl. E, $56.721M, Caa3 (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to Caa3
(sf)
-- Cl. F, $75.628M, Ca (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to Ca (sf)
-- Cl. G, $75.628M, Ca (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to Ca (sf)
-- Cl. H, $103.988M, Ca (sf), Placed Under Review for Possible
Downgrade; previously on Nov. 19, 2009 Downgraded to Ca (sf)
The classes were placed on review due to higher expected losses
for the pool resulting from realized and anticipated losses from
specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated December 10, 2009. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 0.4% to
$7.53 billion from $7.56 billion at securitization. The
Certificates are collateralized by 200 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top ten loans
representing 42% of the pool. The pool does not contain any
defeased loans or loans with underlying ratings.
Forty-eight loans, representing 26% 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 CRE
Finance Council 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 since securitization,
resulting in an aggregate $12.6 million loss (52% loss severity on
average). Currently, 31 loans, representing19% of the pool, are
in special servicing. The largest specially serviced loan is the
550 South Hope Street Loan ($165 million -- 2.2% of the pool),
which is secured by a 567,000 square foot office building located
in Los Angeles, California. The loan was transferred to special
servicing in August 2009 due to imminent default and is in the
process of foreclosure. The remaining 30 specially serviced loans
are secured by a mix of property types. The master servicer has
recognized an aggregate $550 million appraisal reduction on the
specially serviced loans.
Based on the most recent remittance statement, Classes C through
S have experienced cumulative interest shortfalls totaling
$30.9 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 and troubled loans and the performance of the overall
pool.
GS MORTGAGE: S&P Downgrades Ratings on Five Classes of Certs.
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage-backed securities pass-through
certificates from GS Mortgage Securities Corp. II's series 2006-
RR3, a U.S. resecuritized real estate mortgage investment conduit
transaction. At the same time, S&P affirmed its 'CCC- (sf)'
rating on class A-2 from the transaction.
The downgrades and affirmation primarily reflect S&P's analysis of
the interest shortfalls affecting the entire transaction.
According to the Sept. 20, 2010, trustee report, cumulative
interest shortfalls to the transaction totaled $4.9 million. The
interest shortfalls to GSMS 2006-RR3 resulted from interest
shortfalls on 12 of the underlying CMBS transactions primarily due
to special servicing fees and appraisal subordinate entitlement
reductions. S&P lowered its ratings on classes B, C, and D to 'D
(sf)' due to interest shortfalls since February 2010 that S&P
expects will continue for the foreseeable future.
According to the Sept. 20, 2010, trustee report, GSMS 2006-RR3 is
collateralized by 58 CMBS classes ($728 million, 100%) from 34
distinct transactions issued between 2004 and 2006. The rated
CMBS collateral has a weighted average rating of 'BB- (sf)' and a
rating range of 'A (sf)' to 'CCC- (sf)'. The weighted average
credit estimate of the unrated CMBS collateral is 'ccc+'.
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 and affirmed ratings.
Ratings Lowered
GS Mortgage Securities Corp. II 2006-RR3
Commercial mortgage-backed securities pass-through certificates
Rating
------
Class To From
----- -- ----
A1 CCC- (sf) B+ (sf)
A1-S CCC- (sf) B+ (sf)
B D (sf) CCC- (sf)
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
Rating Affirmed
GS Mortgage Securities Corp. II 2006-RR3
Commercial mortgage-backed securities pass-through certificates
Class Rating
----- ------
A-2 CCC- (sf)
GULF STREAM-COMPASS: Moody's Upgrades Ratings on Four Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Gulf Stream-Compass CLO 2002-1,
Ltd.:
-- US$232,500,000 Class A Floating Rate Senior Notes Due
August 2014 (current outstanding balance of $106,366,617),
Upgraded to Aaa (sf); previously on July 20, 2009 Downgraded
to Aa3 (sf);
-- US$12,700,000 Class B Floating Rate Senior Subordinated
Notes Due August 2014, Upgraded to A2 (sf); previously on
July 20, 2009 Downgraded to Baa1 (sf);
-- US$10,950,000 Class C Floating Rate Senior Subordinated
Notes Due August 2014, Upgraded to Baa3 (sf); previously on
July 20, 2009 Downgraded to Ba2 (sf);
-- US$11,850,000 Class D Floating Rate Senior Subordinated
Notes Due August 2014, Upgraded to B2 (sf); previously on
July 20, 2009 Downgraded to Caa1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A Notes, which have
been paid down by approximately 49% or $101 million since the last
rating action in July 2009. As a result of the delevering, the
overcollateralization ratios have increased since the last rating
action in July 2009. As of the latest trustee report dated
September 13, 2010, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 122.94%, 113.96%,
105.61% and 100.42%, respectively, versus June 2009 levels of
112.78%, 107.76%, 102.80% and 99.71%, respectively. Class C and
Class D overcollateralization ratios are currently in compliance
while they were failing in June 2009.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating action.
Based on the September 2010 trustee report, the weighted average
rating factor is 2822 compared to 2848 in June 2009. The deal
also experienced a decrease in defaults. In particular, the
dollar amount of defaulted securities has decreased to about
$5 million from approximately $25 million in June 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $150 million, defaulted par of $7 million, weighted
average default probability of 23.07% (implying a WARF of 3839), a
weighted average recovery rate upon default of 43.72%, and a
diversity score of 53. These default and recovery properties of
the collateral pool are incorporated in cash flow model analysis
where they are subject to stresses as a function of the target
rating of each CLO liability being reviewed. The default
probability is derived from the credit quality of the collateral
pool and Moody's expectation of the remaining life of the
collateral pool. The average recovery rate to be realized on
future defaults is based primarily on the seniority of the assets
in the collateral pool. In each case, historical and market
performance trends, and collateral manager latitude for trading
the collateral are also factors.
Gulf Stream-Compass CLO 2002-1, Ltd., issued in December 2002, is
a collateralized loan obligation backed primarily by a portfolio
of senior secured loans.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in August 2009.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, where a positive difference corresponds
to lower expected losses), assuming that all other factors are
held equal:
Moody's Adjusted WARF -- 20% (3071)
-- Class A: 0
-- Class B: +3
-- Class C: +2
-- Class D: +2
-- Class E: 0
Moody's Adjusted WARF + 20% (4607)
-- Class A: -1
-- Class B: -2
-- Class C: -2
-- Class D: -3
-- Class E: 0
Below is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, where a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR + 2% (45.72%)
-- Class A: 0
-- Class B: +1
-- Class C: 0
-- Class D: 0
-- Class E: 0
Moody's Adjusted WARR - 2% (41.72%)
-- Class A: 0
-- Class B: 0
-- Class C: -1
-- Class D: -1
-- Class E: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to
high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deals'
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus
selling defaulted assets create additional uncertainties.
Moody's analyzed defaulted recoveries assuming the lower of the
market price and the recovery rate in order to account for
potential volatility in market prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of
an assumed liquidation value (depending on the extent to which
the asset's maturity lags that of the liabilities) and the
asset's current market value.
HESPERIA REDEVELOPMENT: S&P Cuts Rating on Tax Bonds to 'BB+'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its long-term rating
and underlying rating to 'BB+' from 'BBB-' on Hesperia
Redevelopment Agency, Calif.'s series 2005B tax allocation housing
bonds issued against project area Nos. 1 and 2. The outlook is
stable.
"The rating action reflects S&P's view of declining project area
assessed value, which has reduced tax increment revenues and thus
pushed coverage of series 2005B bonds below 1x maximum annual debt
service and the 1.25x additional bonds test," said Standard &
Poor's credit analyst Alda Mostofi.
Overall total assessed value for the two project areas has
declined -- most recently by 16% and 11% for fiscal 2010 and
fiscal 2011, respectively -- to $3.6 billion in fiscal 2011 from
$4.8 billion in fiscal 2009. Incremental AV for the two project
areas has been more volatile, dropping by a cumulative 39% during
fiscals 2009-2011.
Pro forma pledged housing set-aside revenues from both project
areas provide approximately 0.93x maximum annual debt service,
(MADS) coverage and annual debt service coverage in fiscal 2011,
down from 1.15x MADS in the prior year. Management attributes the
decline in coverage to the roughly 19% drop in fiscal 2011
incremental AV for the combined project areas. At the fiscal 2011
pro forma DSC level, the agency is below its annual debt service
obligation and bond provisions of 1.25x additional bonds test.
Based on S&P's assessment in April 2010, the combined project area
could have withstood the loss of approximately 8% in total AV and
still provide 1x MADS; however, the project area's AV declined by
nearly 11%.
The total project area encompasses 51% of the total acreage of the
City of Hesperia (population 75,000) in the high desert of San
Bernardino County, 35 miles north of the City of San Bernardino.
JP MORGAN: Fitch Issues Presale Report on Various Certificates
--------------------------------------------------------------
Fitch Ratings has issued a presale report on J.P. Morgan Chase
Commercial Mortgage Securities Corp. commercial mortgage pass-
through certificates, series 2010-C2.
Fitch expects to rate the transaction and assign Loss Severity
ratings, with a Stable Outlook:
-- $266,660,000 class A-1 'AAAsf/LS1';
-- $243,099,000 class A-2 'AAAsf/LS1';
-- $390,533,000 class A-3 'AAAsf/LS1';
-- $900,292,000* class X-A 'AAAsf';
-- $37,168,000 class B 'AAsf/LS3';
-- $53,688,000 class C 'Asf/LS3';
-- $33,038,000 class D 'BBB+sf/LS3';
-- $22,025,000 class E 'BBB-sf/LS4';
-- $16,520,000 class F 'BBsf/LS4';
-- $13,766,000 class G 'Bsf/LS4';
-- $2,753,000 class H 'B-sf/LS5'.
*Notional amount and interest only.
The expected ratings are based on information provided by the
issuer as of Sept. 17, 2010.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 30 loans secured by 47 commercial
properties having an aggregate principal balance of approximately
$1.101 billion as of the cutoff date. The loans were originated
by JP Morgan Chase Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.8% of the properties
by balance, cash flow analysis of 92.8% of the pool and asset
summary reviews on 97.7% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
of 1.32 times, a Fitch stressed loan-to value of 83%, and a Fitch
debt yield of 10.9%. Fitch's aggregate net cash flow represents a
variance of 6% to issuer cash flows and 22% below full-year 2009
performance. This compares favorably relative to the average
Fitch DSCR and LTV of 1.05x and 110.7% across Fitch rated conduit
transactions in 2007.
The transaction is concentrated by loan and sponsor. The largest
10 loans account for 74.5% of the pool and the largest 15 account
for 84.9%. Additionally, Simon Property Group, via joint
ventures, is among the sponsors of the largest and fourth-largest
loans, which account for 23% of the pool.
The Master Servicer and Special Servicer will be Midland Loan
Services, Inc. (rated 'CMS1' and 'CSS1', respectively, by Fitch).
JP MORGAN: Moody's Downgrades Ratings on Eight 2004-CIBC8 Certs.
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes
and affirmed eleven classes of J.P. Morgan Commercial Mortgage
Finance Corp., Series 2004-CIBC8:
-- Cl. A-2, Affirmed at Aaa (sf); previously on April 12, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on April 12, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on April 12, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on April 12, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on April 12, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. X-2, Affirmed at Aaa (sf); previously on April 12, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa2 (sf); previously on April 12, 2004
Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Affirmed at Aa3 (sf); previously on April 12, 2004
Definitive Rating Assigned Aa3 (sf)
-- Cl. D, Downgraded to A3 (sf); previously on Sept. 16, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to Baa2 (sf); previously on Sept. 16, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to Ba1 (sf); previously on Sept. 16, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to B1 (sf); previously on Sept. 16, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to Caa3 (sf); previously on Sept. 16, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. J, Downgraded to Ca (sf); previously on Sept. 16, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. K, Downgraded to C (sf); previously on Sept. 16, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade
-- Cl. L, Downgraded to C (sf); previously on Sept. 16, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Sept. 16, 2010
Downgraded to C (sf)
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans. The affirmations are due to key
parameters, including Moody's loan to value ratio, Moody's
stressed debt service coverage ratio and the Herfindahl Index,
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain the current ratings.
On September 16, 2010, Moody's placed eight classes on review for
possible downgrade. This action concludes Moody's review.
Moody's rating action reflects a cumulative base expected loss of
3.4% of the current balance. At last review, Moody's cumulative
base expected loss was 1.4%. Moody's stressed scenario loss is
7.0% of the current balance.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated January 10, 2008. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the ratings.
Deal Performance
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to
$905.1 million from $1.254 billion at securitization. The
Certificates are collateralized by 94 mortgage loans ranging in
size from less than 1% to 9% of the pool, with the top ten loans
representing 45% of the pool. Nine loans, representing 7% of the
pool, have defeased and are collateralized with U.S. Government
securities. Defeasance at last review represented 5% of the pool.
Twenty four loans, representing 25% 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 CRE
Finance Council 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 $14.0 million (42% loss severity).
Five loans, representing 3% of the pool, are currently in special
servicing. The five specially serviced loans are secured by a mix
of retail, office and multi-family property types. Moody's has
estimated an aggregate $14.2 million loss (55% expected loss on
average) for the specially serviced loans.
Moody's has assumed a high default probability for 13 poorly
performing loans representing 9% of the pool and has estimated a
$4.8 million loss (16% expected loss based on a 51% probability
default) from these troubled loans.
Moody's was provided with partial year 2009 operating results for
76% of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 71% compared to 82% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 12.0% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.57X and 1.21X, respectively, compared to
1.38X and 1.14X 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 risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23 compared to 30 at Moody's prior review.
Currently there are two loans with underlying ratings compared to
three loans at last review.
The largest loan with an underlying rating is the Camp Creek
Marketplace loan ($43.0 million -- 4.8% of the pool), which is
secured by a 443,570 square foot retail power center located in
East Point, Georgia. Sixty-five percent of the retail center
space is leased to big box tenants with long-term leases. Both
Target and Lowe's are anchor tenants but are not included in the
collateral for the loan. The loan is interest-only through the 7-
year term. Property performance has been consistent since
securitization and the center is currently 91% leased. Moody's
underlying rating and stressed DSCR are Baa3 and 1.32X,
respectively compared to Baa3 and 1.32X at last review.
The second loan with an underlying rating is the Northpark Mall
loan ($36.3 million -- 4.0% of the pool) which is secured by an
809,166 square enclosed regional mall located Joplin, Missouri.
Current occupancy is 96%, which is consistent with occupancy at
the prior review and at securitization. JC Penney, Sears, Shopko
and Macy's are the anchor tenants at this consistently well
performing mall. This loan has amortized 7% since last review.
Moody's underlying rating and stressed DSCR are Aa2 and 2.0X,
respectively, compared to A3 and 1.62X at last review.
The loan that previously had an underlying rating is the Harbor
Plaza loan ($78.9 million -- 8.7% of the pool), which is secured
by a 740,000 square foot Class A office complex located in
Stamford, Connecticut. The property was 85% leased at last review
but due to challenging leasing conditions in the Stamford office
market, Harbor Plaza was only 68% leased as of December 2009. The
loan is on the servicer's watchlist. Moody's LTV and stressed
DSCR are 106% and 0.92X, respectively, compared to 66% and 1.35X
at last review.
The top three performing conduit loans represent 17% of the pool
balance. The largest loan is the Hometown America Portfolio IV
Loan ($73.9 million -- 8.2% of the pool), which is secured by six
manufactured home communities located in four states. The
portfolio contains 2,727 pads with individual properties ranging
from 201 to 1,000 pads. The portfolio is presently 80% occupied
compared to 85% at last review. The loan has amortized 5% since
last review. Moody's LTV and stressed DSCR are 87% and 1.12X,
respectively, compared to 95% and 1.35X at last review.
The second largest loan is the Santee Trolley Square Loan ($50.4
million -- 5.6% of the pool), which is secured by a 311,430 square
foot retail power center located in Santee, California. Property
performance has been stable and the six largest big box retail
tenants occupy 50% of net rentable area under long-term leases. A
126,587 square foot Target is not included in the collateral for
the loan. The loan has amortized 4% since last review. Moody's
LTV and stressed DSCR are 95% and 0.99X, respectively, compared to
97% and 0.97X at last review.
The third largest loan is the 554 Third Avenue Loan ($32.6 million
-- 3.6% of the pool), which is secured by a 126-unit multifamily
property located in New York, New York. The property is 100%
leased to Marriott's ExecuStay Corporation for 15 years through
January 2019. ExecuStay may terminate its lease on one or all of
the rental units with 60 days notice and payment of a termination
fee. This loan has amortized 6% since last review. Moody's LTV
and stressed DSCR are 77% and 1.08X, respectively, compared to 89%
and 0.94X at last review.
JP MORGAN: Moody's Downgrades Ratings on 11 2006-FL2 Certificates
-----------------------------------------------------------------
Moody's Investors Service downgraded 11 classes and affirmed one
class of J.P. Morgan Chase Commercial Mortgage Securities Corp.
Commercial Mortgage Pass-Through Certificates, Series 2006-FL2.
-- Cl. A-1, Affirmed at Aaa (sf); previously on Dec. 7, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Downgraded to Aa2 (sf); previously on Sept. 16, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to A1 (sf); previously on Sept. 16, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. C, Downgraded to A2 (sf); previously on Sept. 16, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to A3 (sf); previously on Sept. 16, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to Baa1 (sf); previously on Sept. 16, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to Baa3 (sf); previously on Sept. 16, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to Ba1 (sf); previously on Sept. 16, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to Ba2 (sf); previously on Sept. 16, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. J, Downgraded to B1 (sf); previously on Sept. 16, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. K, Downgraded to Ca (sf); previously on Sept. 16, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. L, Downgraded to C (sf); previously on Sept. 16, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
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 (42% of pooled trust balance), and
refinancing risk associated with loans approaching maturity in an
adverse environment. Approximately 100% of loans mature within
the next 18 months. Moody's also affirmed one pooled class. The
affirmation is due to key parameters, including Moody's loan to
value ratio and Moody's stressed debt service coverage ratio,
remaining within acceptable ranges. Moody's placed these classes
on review for possible downgrade on September 16, 2010. This
action concludes Moody's review.
Further downward pressure on the ratings could occur if the
collateral for the Doubletree Hotel loan and the Roosevelt hotel
loan fail to demonstrate Revenue per Available Room and cash flow
improvement in line with Moody's expectation. Hotels located in
New York City have begun to show improved performance since the
beginning of 2010. The New York hotel market has seen a 15.3%
improvement in RevPAR year to date through July 2010, as compared
to the same period in 2009, based on the Smith Travel Research 'US
Hotel Industry Performance for the month of July 2010' report.
Moody's anticipated RevPAR to increase in line with the New York
City hotel market. In addition, office cash flow performance
below Moody's expectation on the RREEF Silicon Office Portfolio
loan and Marina Village loan will also have an impact on the
ratings. In the case of the RREEF loan, a material lease rollover
occurs in 2011, while occupancy levels have already declined due
to lease rollover on the Marina Village property.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS Large
Loan Model v 8.0 which is used for both large loan and single
borrower transactions. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, property type, and sponsorship. These aggregated
proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and
correlations. The model also incorporates a supplementary tool to
allow for the testing of the credit support at various rating
levels. The scenario or "blow-up" analysis tests the credit
support for a rating assuming that all loans in the pool default
with an average loss severity that is commensurate with the rating
level being tested.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated March 19, 2009. The
previous review was part of Moody's first quarter 2009 ratings
sweep and incorporated assumptions for capitalization rates and
stressed cash flows that were outlined in "Rating Methodology
Update: US CMBS Conduit and Fusion Review Prompted by Declining
Property Values and Rising Delinquencies" dated February 5, 2009.
Please see the ratings tab on the issuer / entity page on
moodys.com for the last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
As of the September 16, 2010 distribution date, the transaction's
certificate balance decreased by approximately 55% to
$680.9 million from $1.5 billion at securitization due to the
payoff of eight loans and principal pay downs associated with five
loans. The Certificates are collateralized by eight floating-rate
loans ranging in size from 3% to 21% of the pooled trust mortgage
balance. The largest three loans account for 55% of the pooled
balance. The pool composition includes office properties (58% of
the pooled balance) and hotel properties (42%).
The deal has a modified pro-rata structure. Interest on the
pooled trust certificates are distributed first to Classes A-1, X-
1 and X-2, pro rata, and then to Classes A-2, B, C, D, E, F, G, H,
J, K, and L, sequentially. Prior to a monetary or material non-
monetary event of default, scheduled and unscheduled principal
payments are allocated to the Pooled Classes and junior
participation interests on a pro rata basis. Initially, 80% of
the principal received is paid to the Class A-1 and A-2
certificates sequentially and 20% will be allocated pro rata to
the other certificates. Principal distributions are made
sequentially from the most senior to the most junior class after
the outstanding principal balance of the Pooled Trust Assets
(exclusive of Trust Assets related to Specially Service Mortgage
Loans) is less than 20% of the initial principal balance of the
Trust Assets. All losses and shortfalls are allocated first to
the relevant junior interest, and then to Classes L, K, J, H, G,
F, E, D, C, B, and A-2 in that order, and then to Class A-1.
The pool has experienced losses of $161,948 since securitization.
There are currently two loans in special servicing which are the
Menlo Oaks Corporate Center loan ($59.4 million; 9% of the pooled
balance) and the Hilton San Diego Mission Valley Hotel loan
($20.3 million; 3%). The Menlo Oaks Corporate Center loan was
transferred to special servicing on October 2009 due to maturity
default. The collateral is an office park located in the Menlo
Park submarket of San Francisco, California. As of May 2010,
occupancy at the center has dropped to 56% from 73% at
securitization. The borrower and lender are negotiating a
forbearance. The loan collateral was appraised on January 4,
2010, for $71 million.
The Hilton San Diego Mission Valley Hotel loan was transferred to
special servicing in February 2010 due to maturity default. The
collateral is a 349-room full service hotel located in San Diego,
California. Revenue per available room for 2009 was
$77.56 which was down 25% from the 2008 RevPAR of $122 which is
slightly higher than the 17.5% decline in San Diego RevPAR for
2009 according to Smith Travel Research. The loan is pending
return to the master servicer following a modification which
included a two year forbearance, a $3 million principal
prepayment, and a cash flow trap after debt service to be applied
to the loan.
Moody's weighed average pooled loan to value ratio is 90.2%,
compared to 83.8% at last review on March 19, 2009 and 66.1% at
securitization. Moody's pooled stressed debt service coverage is
1.30X, compared to 1.32X at last review and 1.38X at
securitization.
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 risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40.
Large loan transactions have a Herf of less than 20. The pool has
a Herf of 7 compared to 8 at Moody's prior review.
The three largest loans in the pool represent 55% of the pooled
balance. The RREEF Silicon Valley Office Portfolio Loan
($139.8 million -- 21%), a 27% portion of a pari passu split loan
structure, is the largest in the pool. The loan is secured by a
5.3 million square foot portfolio of office/R&D properties located
in Santa Clara, Sunnyvale, Mountain View, Milpitas and San Jose,
California. Occupancy as of December 2008 was 83%, compared to
71% at securitization. At securitization, the largest tenant was
Maxtor, leasing approximately 15% of the NRA on multiple leases
that expire in 2011. Moody's current loan to value ratio and
stressed DSCR for the loan are 91.4% and 1.15X. Moody's
underlying rating for the pooled balance is Ba3, the compared to
Ba2 at last full review.
The second largest loan in the pool is the Doubletree Metropolitan
Loan ($125.0 million -- 18%) which is secured by a 755-room full
service hotel located in Midtown Manhattan in New York City.
RevPAR for 2009 was $183, down 28% from the 2008 RevPAR of $255.
Hotels located in New York City have begun to show improved
performance based on the Smith Travel Research 'US Hotel Industry
Performance for the month of July 2010' report. Moody's
anticipated RevPAR to increase in line with the New York City
hotel market. Moody's current loan to value ratio and stressed
DSCR for the loan are 69% and 1.69X. Moody's underlying rating
for the pooled balance is Baa1, the same as at last full review.
The Marina Village loan ($112.5 million, 17%) is the third largest
loan in the pool and currently on the master servicer's watchlist.
The loan is secured by a 1.2 million square foot suburban office
property in the Alameda submarket of Oakland, California.
Occupancy and net cash flow have fallen significantly since
securitization and the loan matures in February of 2011. As of
July 2010, occupancy for the property was 74% compared to 80% at
securitization. At the time of securitization, the property had
recently lost two tenants but had historically performed better.
A return to prior cash flow levels had been anticipated at
securitization, however this has not materialized. Moody's
current loan to value ratio is over 100% and Moody's stressed DSCR
for the loan is 0.73X. Moody's underlying rating for the pooled
balance is C, compared to Ba3 at last full review.
JP MORGAN: Moody's Downgrades Ratings on Three 2002-CIBC4 Notes
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
of J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2002-CIBC4
and placed seven classes on review for possible downgrade:
-- Cl. C, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Dec. 20, 2007 Upgraded to Aaa (sf)
-- Cl. D, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec. 20, 2007 Upgraded to Aa2 (sf)
-- Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 12, 2007 Upgraded to Baa1 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on April 29, 2002 Definitive Rating Assigned Baa3
(sf)
-- Cl. G, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on April 29, 2002 Definitive Rating Assigned Ba1
(sf)
-- Cl. H, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 26, 2009 Downgraded to B2 (sf)
-- Cl. J, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 26, 2009 Downgraded to B3 (sf)
-- Cl. K, Downgraded to C (sf); previously on Feb. 26, 2009
Downgraded to Caa2 (sf)
-- Cl. L, Downgraded to C (sf); previously on Feb. 26, 2009
Downgraded to Caa3 (sf)
-- Cl. M, Downgraded to C (sf); previously on Feb. 26, 2009
Downgraded to Ca (sf)
Ratings Rationale
The downgrades of Classes K, L and M are due to realized and
anticipated losses from specially serviced loans. The pool has
experienced an aggregate $20.8 million loss which has resulted in
a 100% principal loss for Class NR and M and a 2% principal loss
for Class L. The servicer has recognized appraisal reductions
totaling $35.0 million for six of the loans currently in special
servicing.
Moody's placed Classes C through J on review for possible
downgrade due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and
troubled loans and concerns about refinance risk in an adverse
environment. One hundred-six loans, representing 78% of the pool,
mature within the next 36 months.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated February 26, 2009. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 25% to $599.6
million from $798.9 million at securitization. The Certificates
are collateralized by 107 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans representing
29% of the pool. Twenty-seven loans representing 31% of the pool,
have defeased and are collateralized with U.S. Government
securities. Defeasance at last review represented 30% of the
pool.
Twenty-two 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 CRE
Finance Council 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.
Seven loans have been liquidated from the pool since
securitization, resulting in an aggregate $20.8 million loss (42%
loss severity on average). Currently three loans, representing
12% of the pool, are in special servicing. The largest specially
serviced loan is the Highland Mall Loan ($62.7 million -- 10.4% of
the pool), which is secured by the borrower's interest in a
1.1 million square foot regional mall located in Austin, Texas.
The loan became real estate owned in June 2010.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Downgrades Ratings on Nine Tranches
------------------------------------------------------
Moody's Investors Service has downgraded the ratings of nine
tranches, upgraded the ratings of two tranches and confirmed the
ratings of two tranches from an RMBS transactions, backed by Alt-A
loans, issued by J.P. Morgan Alternative Loan Trust 2006-A5.
Ratings Rationale
The collateral backing these transactions consists primarily of
first-lien, fixed and adjustable-rate, Alt-A residential mortgage
loans. The actions are a result of the rapidly deteriorating
performance of Alt-A pools in conjunction with macroeconomic
conditions that remain under duress. The actions reflect Moody's
updated loss expectations on Alt-A pools issued from 2005 to 2007.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
In addition, the rating of the Class 2-P has been upgraded to Aaa
to reflect the benefit of a reserve account. The trustee has
confirmed the availability of a $100 reserve fund for the benefit
of the Class 2-P certificates up to its class principal amount.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
Complete rating actions are:
Issuer: J.P. Morgan Alternative Loan Trust 2006-A5
-- Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Upgraded to A1 (sf); previously on Jan. 14, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-3, Downgraded to Caa2 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-4, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-5, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Confirmed at Caa1 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Confirmed at Caa1 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-4, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-5, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-6, Downgraded to Ca (sf); previously on Jan. 14, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-7, Downgraded to Caa3 (sf); previously on Jan. 14,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-8, Downgraded to C (sf); previously on Jan. 14, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-P, Upgraded to Aaa (sf); previously on Jan 29, 2009
Downgraded to Caa1 (sf)
JP MORGAN: Moody's Reviews Ratings on 2007-CIBC19 Certificates
--------------------------------------------------------------
Moody's Investors Service placed 19 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. 2007-CIBC19 Commercial
Mortgage Pass-Through Certificates, Series 2007-CIBC19 on review
for possible downgrade:
-- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on June 14, 2007 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-SB, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on June 14, 2007 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-1A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on June 14, 2007 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on June 14, 2007 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A1 (sf)
-- Cl. B, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A2 (sf)
-- Cl. C, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A3 (sf)
-- Cl. D, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa1 (sf)
-- Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa3 (sf)
-- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ba1 (sf)
-- Cl. G, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ba3 (sf)
-- Cl. H, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B2 (sf)
-- Cl. J, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B3 (sf)
-- Cl. K, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa1 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa2 (sf)
-- Cl. N, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa2 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa3 (sf)
-- Cl. Q, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated February 10, 2009. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $3.18 billion
from $3.28 billion at securitization. The Certificates are
collateralized by 234 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 24%
of the pool. The pool does not contain any defeased loans or
loans with underlying ratings.
Fifty-five loans, representing 22% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council 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.
Seven loans have been liquidated from the pool since
securitization, resulting in an aggregate $42.3 million loss (79%
loss severity on average). Currently 26 loans, representing 11%
of the pool, are in special servicing. The largest specially
serviced loan is the Doubletree Guest Suites Loan ($39.8 million -
- 1.3% of the pool), which is secured by a 253-room full-service
hotel located in Plymouth Meeting, Pennsylvania. The loan was
transferred to special servicing in February 2010 due to monetary
default and is in the process of foreclosure. The remaining 25
specially serviced loans are secured by a mix of property types.
The master servicer has recognized an aggregate $148.2 million
appraisal reduction for 24 of the specially serviced loans.
Based on the most recent remittance statement, Classes G through
NR have experienced cumulative interest shortfalls totaling
$6.4 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 and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Reviews Ratings on 15 2005-LDP4 Certificates
---------------------------------------------------------------
Moody's Investors Service placed 15 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates 2005-LDP4 on review for possible downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 21, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 21, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 21, 2005 Definitive Rating Assigned Aa2
(sf)
-- Cl. C, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 21, 2005 Definitive Rating Assigned Aa3
(sf)
-- Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 21, 2005 Definitive Rating Assigned A2
(sf)
-- Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Baa1 (sf)
-- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Ba1 (sf)
-- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Ba2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to B1 (sf)
-- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to B2 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to B3 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Caa1 (sf)
-- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Caa3 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 25, 2009 Downgraded to Caa3 (sf)
The classes were placed on review due to higher expected losses
for the pool resulting from realized and anticipated losses from
specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 25, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 19% to
$2.17 billion from $2.67 billion at securitization. The
Certificates are collateralized by 178 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten loans
representing 29% of the pool. Three loans, representing 5% of the
pool, have defeased and are collateralized with U.S. Government
securities. Defeasance at last review represented 4% of the pool.
Forty 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 CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Four loans have been liquidated from the pool since
securitization, resulting in an aggregate $6.36 million loss (11%
loss severity on average). Currently 15 loans, representing 19%
of the pool, are in special servicing. The largest specially
serviced loan is The Silver City Loan ($126.2 million -- 5.8%),
which is secured by the borrower's interest in a 971,000 square
foot regional mall located in Taunton, Massachusetts. The mall is
anchored by Macy's, Sears and J.C. Penney. The Borrower stopped
contributing capital to cover cash flow shortages and the loan
went into monetary default in December 2009. The loan is over 90
days delinquent. The loan sponsor is General Growth Properties.
The property was not part of GGP's bankruptcy filing.
The remaining 14 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$70.1 million appraisal reduction for seven of the specially
serviced loans.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Reviews Ratings on 13 Series 2004-C2 Certs.
--------------------------------------------------------------
Moody's Investors Service placed 13 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2004-C2 on review for possible
downgrade:
-- Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Aa2
(sf)
-- Cl. C, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Aa3
(sf)
-- Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned A2 (sf)
-- Cl. E, A3 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned A3 (sf)
-- Cl. F, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Baa1
(sf)
-- Cl. G, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Baa2
(sf)
-- Cl. H, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Baa3
(sf)
-- Cl. J, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Ba1
(sf)
-- Cl. K, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Ba2
(sf)
-- Cl. L, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned Ba3
(sf)
-- Cl. M, B1 (sf) Placed Under Review for Possible Downgrade;
previously on June 2, 2004 Definitive Rating Assigned B1 (sf)
-- Cl. N, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 9, 2008 Downgraded to B3 (sf)
-- Cl. P, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 9, 2008 Downgraded to Caa1 (sf)
Moody's placed the classes on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated October 9, 2008. Please
see he ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 15% to
$902.2 million from $1.0 billion at securitization. The
Certificates are collateralized by 118 mortgage loans ranging in
size from less than 1% to 14% of the pool, with the top ten loans
representing 53% of the pool. Eleven loans, representing 7% of
the pool, have defeased and are collateralized with U.S.
Government securities. Defeasance at last review represented 8%
of the pool.
Twenty-three 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 CRE Finance Council 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.
Seven loans have been liquidated from the pool since
securitization, resulting in an aggregate $5.0 million loss (30%
loss severity on average). Currently four loans, representing 8%
of the pool, are in special servicing. The seven specially
serviced loans are secured by a mix of property types. The master
servicer has recognized an aggregate $9.8 million appraisal
reduction for three of the specially serviced loans.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Reviews Ratings on 15 2006-CIBC16 Certs.
-----------------------------------------------------------
Moody's Investors Service placed 15 classes of J.P. Morgan Chase
Commercial Securities Trust 2006-CIBC16, Commercial Mortgage Pass-
Through Certificates, Series 2006-CIBC16 on review for possible
downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 2, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to A2 (sf)
-- Cl. B, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa1 (sf)
-- Cl. C, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Baa2 (sf)
-- Cl. D, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba1 (sf)
-- Cl. E, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Ba3 (sf)
-- Cl. F, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B1 (sf)
-- Cl. G, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B2 (sf)
-- Cl. H, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to B3 (sf)
-- Cl. J, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa1 (sf)
-- Cl. K, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa1 (sf)
-- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. M, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa2 (sf)
-- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 6, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 17, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 2.5% to
$2.09 billion from $2.15 billion at securitization. The
Certificates are collateralized by 120 mortgage loans ranging in
size from less than 1% to 10% of the pool, with the top ten loans
representing 49% of the pool.
Thirty-three loans, representing 26% 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 CRE Finance Council 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 an $8.1 million loss (61% loss severity). Currently
13 loans, representing 14% of the pool, are in special servicing.
The master servicer has recognized an aggregate $63 million
appraisal reduction for the specially serviced loans.
Based on the most recent remittance statement, Classes G through
NR have experienced cumulative interest shortfalls totaling
$2.7 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 and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Reviews Ratings on 12 2006-LDP6 Certificates
---------------------------------------------------------------
Moody's Investors Service placed 12 classes of J.P. Morgan Chase
Commercial Mortgage Trust 2006-LDP6 on review for possible
downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 5, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Aa3 (sf)
-- Cl. B, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to A2 (sf)
-- Cl. C, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to A3 (sf)
-- Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Baa2 (sf)
-- Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Baa3 (sf)
-- Cl. F, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Ba2 (sf)
-- Cl. G, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to B1 (sf)
-- Cl. H, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to B3 (sf)
-- Cl. J, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa1 (sf)
-- Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa2 (sf)
-- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa2 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated December 11, 2007. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $2.00 billion
from $2.14 billion at securitization. The Certificates are
collateralized by 152 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
46% of the pool. One loan, representing 0.1% of the pool, has
defeased and is collateralized with U.S. Government securities.
The pool includes five loans with investment grade underlying
ratings, representing 15% of the pool.
Forty-two loans, representing 22% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council 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 have been liquidated from the pool since
securitization, resulting in an aggregate $43.0 million loss (54%
loss severity on average). Currently 16 loans, representing 8% of
the pool, are in special servicing. The largest specially
serviced loan is the 4450 Eastgate Boulevard Loan ($28.8 million -
- 1.4% of the pool), which is secured by a 402,634 square foot
retail anchored property located in Cincinnati, Ohio. The loan
was transferred to special servicing in June 2009 due to monetary
default and is currently real estate owned (REO). The remaining
15 specially serviced loans are secured by a mix of property
types. The master servicer has recognized an aggregate
$74.6 million appraisal reduction for 14 of the specially serviced
loans.
Based on the most recent remittance statement, Classes K through
NR have experienced cumulative interest shortfalls totaling
$3.8 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 and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Reviews Ratings on 15 2007-CIBC20 Certs.
-----------------------------------------------------------
Moody's Investors Service placed 15 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. Commercial Mortgage Pass-
Through Certificates, Series 2007-CIBC20 on review for possible
downgrade:
-- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 3, 2007 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-SB, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Oct. 3, 2007 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-1A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Oct. 3, 2007 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Oct. 3, 2007 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-MFL, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Oct. 3, 2007 Assigned Aaa (sf)
-- Cl. A-J, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A2 (sf)
-- Cl. B, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A3 (sf)
-- Cl. C, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa1 (sf)
-- Cl. D, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa2 (sf)
-- Cl. E, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa3 (sf)
-- Cl. F, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ba1 (sf)
-- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ba2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B1 (sf)
-- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B2 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior review is
summarized in a press release dated February 10, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $2.52 billion
from $2.56 billion at securitization. The Certificates are
collateralized by 136 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
45% of the pool. The pool does not contain any defeased loans.
Two loans, representing 2% of the pool, have investment grade
underlying ratings.
Thirty-six loans, representing 21% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council 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 since securitization,
resulting in an aggregate $5.5 million loss (85% loss severity on
average). Currently 16 loans, representing 9% of the pool, are in
special servicing. The largest specially serviced loan is the STF
Portfolio Loan ($49.0 million -- 1.9% of the pool), which is
secured by 19 industrial properties located in New Mexico (two
properties) and Texas (17). The loan was transferred to special
servicing in August 2010 due to monetary default and is currently
90+ days delinquent. The remaining 15 specially serviced loans
are secured by a mix of property types. The master servicer has
recognized an aggregate $50.1 million appraisal reduction for 13
of the specially serviced loans.
Based on the most recent remittance statement, Classes L through
T have experienced cumulative interest shortfalls totaling
$2.2 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 and troubled loans and the performance of the overall
pool.
JP MORGAN: Moody's Reviews Ratings on 2007-FL1 Certificates
-----------------------------------------------------------
Moody's Investors Service placed 13 pooled classes and seven non-
pooled, or rake, classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp. Commercial Mortgage Pass-Through Certificates,
Series 2007-FL1 on review for possible downgrade Moody's rating
action is:
-- Cl. A-1, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug. 23, 2007 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-2, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Aa2 (sf)
-- Cl. X-2, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug. 23, 2007 Definitive Rating Assigned Aaa
(sf)
-- Cl. B, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Aa3 (sf)
-- Cl. C, A1 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to A1 (sf)
-- Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to A2 (sf)
-- Cl. E, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Baa2 (sf)
-- Cl. F, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Baa3 (sf)
-- Cl. G, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Ba2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to B1 (sf)
-- Cl. J, B3 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to B3 (sf)
-- Cl. K, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Caa1 (sf)
-- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on March 19, 2009 Downgraded to Caa2 (sf)
-- Cl. RS-1, Caa1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec. 19, 2008 Downgraded to Caa1
(sf)
-- Cl. RS-2, Caa2 (sf) Placed Under Review for Possible
Downgrade; previously on Dec. 19, 2008 Downgraded to Caa2
(sf)
-- Cl. RS-3, Caa3 (sf) Placed Under Review for Possible
Downgrade; previously on Dec. 19, 2008 Downgraded to Caa3
(sf)
-- Cl. RS-4, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Dec. 19, 2008 Downgraded to Ca (sf)
-- Cl. RS-5, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Dec. 19, 2008 Downgraded to Ca (sf)
-- Cl. RS-6, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Dec. 19, 2008 Downgraded to Ca (sf)
-- Cl. RS-7, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Dec. 19, 2008 Downgraded to Ca (sf)
The classes have been placed under review for downgrade due to the
deterioration in performance of assets in the trust, the
significant concentration of loans secured by hotel properties
(70% of pooled balance), and the refinancing risk associated with
loans approaching maturity in an adverse environment. There are
currently five loans in special servicing (25% of pooled balance)
which are the PHOV Portfolio loan (12%), the Resorts International
loan (8%), the Westin Chicago North Shore loan (3%), the Sofitel
Minneapolis loan (1%) and the 321 Ellis loan (1%). Both the
Resorts International and the Westin Chicago North Shore loans are
in foreclosure. Two loans, representing 8% of the pool, are on
the master servicer's watchlist.
JP MORGAN: S&P Assigns Ratings on $1.10 Bil. 2010-C2 Certs.
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust
2010-C2's $1.10 billion commercial mortgage pass-through
certificates.
The preliminary ratings are based on information as of Sept. 24,
2010. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of the credit support
provided by the subordinate classes of certificates, the liquidity
provided by the trustee, the economics of the underlying loans,
and the loans' geographic and property type diversity. Standard &
Poor's determined that, on a weighted average basis, the pool has
a debt service coverage of 1.34x based on a weighted average
Standard & Poor's loan constant of 8.28%, a beginning loan-to-
value ratio of 82.4%, and an ending LTV ratio of 70.4%.
Preliminary Ratings Assigned
J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2
Recommended
Class Rating Amount ($) credit support (%)
----- ------ ---------- ------------------
A-1 AAA (sf) 266,660,000 18.250
A-2 AAA (sf) 243,099,000 18.250
A-3 AAA (sf) 390,533,000 18.250
X-A* AAA (sf) 900,292,000** N/A
X-B* NR 200,983,731** N/A
B AA (sf) 37,168,000 14.875
C A (sf) 53,688,000 10.000
D BBB+ (sf) 33,038,000 7.000
E BBB- (sf) 22,025,000 5.000
F BB (sf) 16,520,000 3.500
G B (sf) 13,766,000 2.250
H B- (sf) 2,753,000 2.000
NR NR 22,025,731 0.000
*Interest-only class.
**Notional amount.
N/A-Not applicable.
NR-Not rated.
KAPKOWSKI ROAD: Moody's Downgrades Ratings on Bonds to 'Ba2'
------------------------------------------------------------
Moody's has downgraded to Ba2 from Baa3 the Kapkowski Road
Landfill Reclamation Improvement District Project Bonds due to the
absence of a debt reserve fund and a weak external liquidity
support agreement intended to provide timely payment of debt
service.
Ratings Rationale
The Ba2 rating and stable outlook reflect the healthy and growing
cash flow from the Jersey Gardens Mall, whose payment-in-lieu-of-
tax payments secure the bonds; relatively diverse and stable
retail tenants and a good location adjacent to the New Jersey
Turnpike and Newark-Liberty International Airport near densely
populated areas. The Jersey Gardens Mall is owned by JG
Elizabeth, LLC, a subsidiary of Glimcher Realty Trust (preferred
stock rated B2).
Strengths:
* Prime location with access to transportation and diverse
tenants. Mall is the only value mega-mall in northern New
Jersey offering a combination factory outlet and retail stores
* Current mall occupancy relative to square footage is high at
96.6% and inline sales per square foot of $560 are strong
* The PILOT payments assessed by the City of Elizabeth (rated A1)
cannot be repealed. Failure to pay PILOTs results in a fixed
annual property lien on the mall that is not subject to
reduction in bankruptcy
* A PILOT payment shortfall if not remedied could result in
foreclosure of the mall
* Mall has strong and growing cash flow and net income, with
approximately 3x net income coverage of annual PILOT payments
Challenges:
* Lack of a DSRF and weak external liquidity support to ensure
timely payment of debt service payments
* Weak economy and retail sector could trigger tenant bankruptcies
that could diminish mall cash flow for PILOT payments
* Potential for increased retail competition in the service area
* No mortgage interest in the property for bondholders
Security:
PILOT payments made by the Jersey Gardens Mall owner in Elizabeth.
PILOTs are collected quarterly and paid directly to the bond
trustee through assignment by the City of Elizabeth. The Landfill
Improvement Act of New Jersey provides for imposition of a special
assessment as a back-up taxing mechanism to the lien of PILOT
payments. The city's assessment ordinance prescribes the lien on
the special assessment as $180 million and requires it to be pay
so long as the bonds are outstanding, or 30 years, whichever is
less.
There is no mortgage interest in the property for bond holders.
Rate Covenant:
One times debt service coverage by PILOT payments.
Reserve Requirement:
There is no debt service reserve fund.
There is an advancing agreement (expires April 1, 2031, or date on
which all bonds repaid) between Midland Loan Services and LaSalle
Bank NA, the trustee, to support timely debt service payments in
the event of a cash flow interruption and delay in PILOT payments.
Per the advancing agreement, if the trustee does not receive the
full PILOT payment when due, then Midland Loan Services, as
Standby Liquidity Provider will be notified the day after the due
date for each PILOT payment and will be required to remit the
delinquency by the last business day prior to the respective debt
service due dates on April 1 and October 1. In Moody's opinion, a
critical weakness in the support agreement is that the requirement
to remit the PILOT shortfall is subject to a bank officer's
reasonable judgment of ultimate loan recovery. Therefore, it is
conceivable that the agreement would not cover all debt service
shortfalls under circumstances subject to the bank officer's
judgment. The lack of a debt service reserve fund and the
requirement of only sum sufficient debt service coverage from
PILOT payments effectively results in zero liquidity should
Midland Loan Services opt to withhold funding of PILOT shortfalls.
Recent Developments:
The mall's two floors of retail and theater space house 12 anchor
tenants that provide a mix of retailer and manufacturer outlets,
discount and off-price stores, restaurants and entertainment.
Since the mall's opening in 1999, occupancy has increased to
approximately 97% in 2010 from 91% in 2001. Current anchor
tenants include Bed Bath & Beyond; Burlington Coat Factory; Cohoes
Fashions; Daffy's; The Gap Outlet; Marshall's as well as Loew's
Theaters. No single tenant accounts for more than 10% of mall
rental income. While there have been some tenant bankruptcies all
tenants are reportedly current on their rents.
The 2010 mall occupancy levels relative to square footage are high
at 96.6% and inline sales per square foot of $560 are strong.
Mall cashflow yields annual net revenues that are more than double
the annual PILOT payments after debt service is paid and triple
the annual PILOT payment, further underscoring Moody's expectation
that Glimcher has strong motivation to make its quarterly PILOT
payment to the bond trustee.
No major capital improvement or expansions are currently planned
and only normal capital expenditures to maintain the property are
expected.
The most recent property appraisal was $288 million in 2004 and
net book value was $178.7 million as of June 30, 2010, compared to
the $10.55 million annual PILOT payments and $150 million of
outstanding debt.
Background:
The outstanding Series 1998B and 2002 bonds financed
transportation infrastructure and environmental remediation of a
landfill site that was converted to the Jersey Gardens Mall -- a
two level value-oriented retail and entertainment megamall with
approximately 1.3 million square feet of gross leasable area
located in Elizabeth (rated A1 stable outlook). The PILOTs were
approved in 1998 by the City of Elizabeth and N.J. Metromall Urban
Renewal Inc. -- a subsidiary of Glimcher Realty Trust- who is
legally required to pay the PILOT payments.
JG Elizabeth, LLC, was formed on June 9, 2004, for the purpose of
operating and holding the mall property for long-term investment.
The Company is a wholly-owned subsidiary of Glimcher Properties
Limited Partnership. The Company owes quarterly PILOT payments to
NJ Urban Renewal. GPLP has made the payments directly to the City
of Elizabeth on behalf of on behalf of the Company and NJ Urban
Renewal. The PILOT payments will terminate on the date of the
maturity of the bonds in 2031. The amount of the annual PILOT
payments increases 10.0% every five years until the final payment
is made. The payment for 2010 is $10.55 million.
There is insurance on the facility, coupled with legal covenants
to rebuild the facility in almost all cases in case of a disaster;
however, there are three situations in which insurance proceeds
may not be available for rebuilding:
1. if a casualty occurs after a monetary event of default on the
existing or future mall mortgage;
2. if a future mortgage has been foreclosed upon; or,
3. if rebuilding of the project after a casualty cannot be
completed prior to the maturity date of the existing mortgage
PILOT payments agreed to in 1998 by the City of Elizabeth and
Glimcher provide satisfactory coverage for the debt given that
PILOTs cannot be appealed, the par value of the liens generally
cannot be reduced in the case of a bankruptcy, and the property
cannot be divided for resale until final debt maturity. If there
is a shortfall of PILOT payments, the payments cannot not be
accelerated. Rather, the PILOT will be subject to a municipal
lien annually -- to be collected prior to the next bond year -- at
the agreed upon amount. If the payment is not made in full, the
land will then be subject to a tax lien sale on April 1st of the
year following the arrearage in accordance with a statutory
procedure enabling Elizabeth, on behalf of the trustee, to hold a
tax lien certificate sale. The purchase price at auction of the
tax lien must be at least par plus statutory accrued interest.
The holder of the auctioned tax lien may then later foreclose on
the property if the tax lien certificate is not paid within the
statutory period.
Outlook
The rating outlook is stable.
What Could Change the Rating -- Up
Addition of a DSRF or enhanced liquidity support could result in
positive rating pressure.
What Could Change the Rating -- Down
Depressed retail sales; increasing tenant bankruptcies or a sharp
decline in the value of the mall asset could place negative
pressure on the rating.
Key Indicators
* Security: PILOT payments on New Jersey Gardens Mall
* Debt Service Coverage: 1x
* Debt Service Coverage by Cash Flow: (2009)
* Final Maturity: 4/1/31
* Mall Occupancy: 96.6% (as of 2010)
* Debt Outstanding: $150 million
The bond ratings were assigned by evaluating factors believed to
be relevant to the credit profile of the issuer such as i) the
business risk and competitive position of the issuer versus others
within its industry or sector, ii) the capital structure and
financial risk of the issuer, iii) the projected performance of
the issuer over the near to intermediate term, iv) the issuer's
history of achieving consistent operating performance and meeting
budget or financial plan goals, v) the nature of the dedicated
revenue stream pledged to the bonds, vi) the debt service coverage
provided by such revenue stream, vii) the legal structure that
documents the revenue stream and the source of payment, and viii)
and the issuer's management and governance structure related to
payment.
KIMBERLITE CDO: S&P Downgrades Ratings on Seven Classes of CDOs
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from Kimberlite CDO I Ltd., a hybrid collateralized debt
obligation of commercial mortgage-backed securities transaction.
S&P removed five of the lowered ratings from CreditWatch negative
and the other two lowered ratings remain on CreditWatch negative.
The ratings on the super-senior class A and B notes remain on
CreditWatch negative.
According to the trustee, Kimberlite CDO I, experienced an EOD on
Oct. 27, 2009, under section 5.1.(d) of its indenture. The EOD
occurred when the par balance of the collateral (as defined in the
indenture) represented less than 100% of the sum of the
outstanding notional amount of the super senior notes and the
outstanding balance of the class A notes.
Standard & Poor's has not received any notice of acceleration.
According to the most recent trustee report, interest proceeds
continue to be used to pay interest on the class A and B notes.
The continuing failure of the class A/B coverage tests diverted
the remaining interest proceeds to reduce the super-senior
notional amount. As a result, interest payments to all classes
subordinate to class B are being deferred according to the terms
of the transaction.
The ratings on the super-senior class A and B notes reflect S&P's
criteria for rating CDO transactions that have triggered an EOD
and may be subject to acceleration or liquidation.
The downgrades of classes C, D, E, F, G, H, and combo notes, as
well as the continued placement on CreditWatch negative of all
ratings above 'CC' reflect the decline in the credit quality of
the collateral pool.
Ratings Remaining On Creditwatch Negative
Kimberlite CDO I Ltd.
Tranche Rating
------- ------
Super senior BB (sf)/Watch Neg)
A CCC (sf)/Watch Neg)
B CCC (sf)/Watch Neg
Ratings Lowered And Remaining On Creditwatch Negative
Kimberlite CDO I Ltd.
Rating
------
Tranche To From
------- -- ----
C CCC-(sf)/Watch Neg CCC (sf)/Watch Neg
D CCC-(sf)/Watch Neg CCC (sf)/Watch Neg
Ratings Lowered And Removed From Creditwatch Negative
Kimberlite CDO I Ltd.
Rating
------
Tranche To From
------- -- ----
E CC (sf) CCC (sf)/Watch Neg
F CC (sf) CCC (sf)/Watch Neg
G CC (sf) CCC (sf)/Watch Neg
H CC (sf) CCC (sf)/Watch Neg
Combo notes CC (sf) CCC (sf)/Watch Neg
Transaction Information
-----------------------
Issuer: Kimberlite CDO I Ltd.
Co-issuer: Kimberlite CDO I LLC
Collateral manager: BlackRock Financial Management Inc.
Transaction type: Hybrid CDO of CMBS
LEHMAN BROTHERS-UBS: Moody's Reviews Ratings on 16 2006-C3 Certs.
-----------------------------------------------------------------
Moody's Investors Service placed 16 classes of Lehman Brothers-UBS
Commercial Mortgage Inc., Commercial Pass-Through Certificates,
Series 2006-C3 on review for possible downgrade:
-- Cl. A-1A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on April 13, 2006 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 13, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 13, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Aa3 (sf)
-- Cl. B, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to A1 (sf)
-- Cl. C, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to A2 (sf)
-- Cl. D, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to A3 (sf)
-- Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Baa1 (sf)
-- Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Baa2 (sf)
-- Cl. G, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Ba1 (sf)
-- Cl. H, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Ba3 (sf)
-- Cl. J, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to B2 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to B3 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa1 (sf)
-- Cl. N, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa2 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans and
concerns about refinance risk in an adverse environment. Ten
loans, representing 13% of the pool, mature within the next six
months.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated December 12, 2007.
Deal And Performance Summary
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 4% to $1.68 billion
from $1.74 billion at securitization. The Certificates are
collateralized by 123 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 45%
of the pool. The pool does not contain any defeased loans. Two
loans, representing 11% of the pool, have an investment grade
underlying ratings.
Forty-five loans, representing 20% 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 CRE
Finance Council 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.
Three loans have been liquidated from the pool since
securitization, resulting in an aggregate $14.8 million loss (75%
loss severity on average). Currently 12 loans, representing 21%
of the pool, are in special servicing. The largest specially
serviced loan is the 200 South Wacker Drive Loan ($95.5 million --
5.7% of the pool), which is secured by a 743,133 square foot
office property located in Chicago, Illinois. The loan was
transferred to special servicing in May 2010 due to imminent
default is currently less than one month delinquent. A major
tenant vacated the building in January 2010 and the borrower can
no longer cover expenses with the current cashflow. The remaining
11 specially serviced loans are secured by a mix of property
types. The master servicer has recognized an aggregate
$32.0 million appraisal reduction for eight of the specially
serviced loans.
Based on the most recent remittance statement, Classes K through
T have experienced cumulative interest shortfalls totaling
$1.6 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 and troubled loans and the performance of the overall
pool.
ML-CFC COMMERCIAL: Moody's Reviews Ratings on 15 Classes of Certs.
------------------------------------------------------------------
Moody's Investors Service placed 15 classes of ML-CFC Commercial
Mortgage Trust 2006-3, Commercial Mortgage Pass-Through
Certificates, Series 2006-3 on review for possible downgrade:
-- Cl. AM, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Nov 30, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. AJ, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to A2 (sf)
-- Cl. B, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Baa1 (sf)
-- Cl. C, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Baa2 (sf)
-- Cl. D, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Ba1 (sf)
-- Cl. E, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Ba2 (sf)
-- Cl. F, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to B1 (sf)
-- Cl. G, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to B2 (sf)
-- Cl. H, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa1 (sf)
-- Cl. J, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa2 (sf)
-- Cl. K, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa2 (sf)
-- Cl. L, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa2 (sf)
-- Cl. M, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa3 (sf)
-- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa3 (sf)
-- Cl. P, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 11, 2009 Downgraded to Caa3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 17, 2009. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $2.31 billion
from $2.43 billion at securitization. The Certificates are
collateralized by 144 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten loans representing
35% of the pool.
Sixty-one loans, representing 39% 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 CRE
Finance Council 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.
Nine loans have been liquidated from the pool since
securitization, resulting in an aggregate $25.6 million loss (43%
loss severity on average). Currently 25 loans, representing 11%
of the pool, are in special servicing. The master servicer has
recognized an aggregate $83.7 million appraisal reduction for the
specially serviced loans.
Based on the most recent remittance statement, Classes F through
Q have experienced cumulative interest shortfalls totaling
$5.03 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 and troubled loans and the performance of the overall
pool.
MACH ONE: S&P Downgrades Ratings on 11 Classes of Certificates
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 11
classes of commercial mortgage-backed securities pass-through
certificates from Mach One 2004-1 LLC, a U.S. resecuritized real
estate mortgage investment conduit transaction. At the same time,
S&P affirmed its ratings on five classes from the transaction.
The downgrades and affirmations primarily reflect S&P's analysis
of the interest shortfalls affecting the transaction. S&P's
analysis also considered potential interest shortfalls on classes
that have not experienced interest shortfalls.
According to the Aug. 30, 2010, trustee report, cumulative
interest shortfalls to the transaction totaled $1.5 million and
affected class N and all of the classes subordinate to it. The
interest shortfalls to Mach One 2004-1 resulted from interest
shortfalls on six of the underlying CMBS transactions primarily
due to special servicing fees and appraisal subordinate
entitlement reductions. S&P lowered its ratings on classes N and
O to 'D (sf)' due to interest shortfalls since December 2009 that
S&P expects will continue for the foreseeable future.
According to the Aug. 30, 2010, trustee report, Mach One 2004-1 is
collateralized by 43 CMBS classes ($393.2 million, 100%) from 31
distinct transactions issued between 1996 and 2003. The rated
CMBS collateral has a weighted average rating of 'BB+ (sf)' and a
rating range of 'AAA (sf)' to 'CCC- (sf)'. The weighted average
credit estimate of the unrated CMBS collateral is 'bbb+'.
Standard & Poor's analyzed the transaction and its underlying
collateral assets according to its current criteria. S&P's
analysis is consistent with the lowered and affirmed ratings.
Ratings Lowered
Mach One 2004-1 LLC
Commercial mortgage-backed securities pass-through certificates
Rating
------
Class To From
----- -- ----
D A+ (sf) AA (sf)
E A- (sf) AA- (sf)
F BBB+ (sf) A+ (sf)
G BB+ (sf) BBB+ (sf)
H BB- (sf) BBB (sf)
J B- (sf) BB+ (sf)
K CCC+ (sf) BB (sf)
L CCC (sf) BB- (sf)
M CCC- (sf) B (sf)
N D (sf) CCC+ (sf)
O D (sf) CCC- (sf)
Ratings Affirmed
Mach One 2004-1 LLC
Commercial mortgage-backed securities pass-through certificates
Class Rating
----- ------
A-2 AAA (sf)
A-3 AAA (sf)
B AAA (sf)
C AA+ (sf)
X AAA (sf)
MASSACHUSETTS DEVELOPMENT: S&P Cuts Rating on Housing Bonds to BB
-----------------------------------------------------------------
Standard & Poor's Ratings Services said it lowered to 'BB' from
'AAA' its rating on Massachusetts Development Finance Agency's
series 2007 multifamily housing revenue bonds (Ginnie Mae
collateralized mortgage loan; Emerson Manor Project), and removed
it from CreditWatch.
"The rating actions are based on S&P's view of the project's
reliance on short-term market rate investments," said Standard &
Poor's credit analyst Wendy Dolber.
The rating reflects S&P's view of these:
* Cash flows showing timely payment of principal and interest on
the bonds plus fees until Jan. 20, 2027; after that date there
are insufficient funds to pay debt service until maturity; and
* Asset-to-liability ratio falls below 1x on July 20, 2042;
Offsetting factors are:
* The high credit quality of the assets consisting of a Fannie Mae
pass-through certificate; and
* Investments held in Fidelity Institutional Treasury Portfolio
money market fund (AAAm).
In addition, Standard & Poor's has been advised that the partners
are considering paying the rebate fee directly, instead of out of
bond cash flows. This would have a considerable positive impact
on the cash flows. However, to date, S&P has not received written
confirmation.
On May 12, 2010, S&P placed its ratings on certain housing issues,
including this rating, on CreditWatch with negative implications
due to revised criteria for certain federal government-enhanced
housing transactions. S&P's revised criteria affect government-
enhanced housing transactions where funds are invested in money
market funds and other investments with no guaranteed rate of
return. According to its revised criteria, S&P cap ratings on
bonds issued in transactions that assume stressed reinvestment
rates at the 'A' level.
Standard & Poor's has analyzed updated cash flow statements, based
on its current stressed reinvestment rate assumptions for all
scenarios as set forth in the related criteria articles.
MM COMMUNITY: Moody's Downgrades Ratings on Class B Senior Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by MM Community Funding III, Ltd. The notes affected by
the rating action are:
-- US$177,000,000 Class B Floating Rate Senior Subordinate
Notes Due 2032 (current balance $82,064,238.7), Downgraded to
Ba1 (sf); previously on 3/27/2009 was Downgraded to Baa3 (sf)
Ratings Rationale
MM Community Funding III, Ltd., is a collateralized debt
obligation backed by a portfolio of bank trust preferred
securities and it was issued on April 10, 2002. According to
Moody's, the rating downgrade action on the notes is the result of
a significant increase in the defaults and deferrals on the trust
preferred securities held in the collateral pool and the
deterioration of the overall credit quality of the portfolio.
Such negative performance has been 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) and an increase in the assumed amount of defaults.
On March 27, 2009, Moody's downgraded one class of notes 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.
Since then the Weighted Average Rating Factor has increased by 80
from 603 (March 27, 2009) to 683 (September 26, 2010).
Additionally, there were approximately $14 million of additional
assumed defaults in this transaction.
For this TRUP CDO, a substantial number of issuers called their
trust preferred securities at par. Most of these calls occurred
many years ago when there was an active TRUP CDO market. Only
eight performing assets remain in the portfolio to support one
tranche of debt which makes this portfolio highly concentrated.
Because of this, a pass through analysis of the underlying default
probability of the concentrated pool was considered for the
current rating.
Moody's also looked at scenarios to see how many underlying TruPS
could default before a loss would be realized on the rated TRUP
CDO tranche. This analysis was mainly used as a supplement to the
other methods of analysis to make sure the current subordination
was sufficient for the assigned rating.
The credit deterioration in these portfolios is a reflection of
the continued distress in some part of the banking sector as the
number of bank failures and interest deferrals of trust preferred
securities issued by regional and community banks continued to
increase. According to FDIC data, 127 U.S. banks have failed so
far this year, while 140 banks failed in 2009, as compared to 25
in all of 2008. In Moody's opinion, the banking sector outlook
continues to remain negative.
Moody's notes that the cumulative assumed defaults in this
transaction now total $27 million or 22.7% of the portfolio,
$14 million of which have occurred since the previous rating
action. All the assumed defaulted assets are carried at zero
recovery in Moody's analysis. The remaining performing assets in
the portfolio have also experienced slight credit improvement.
100% of the portfolio are bank TruPS with an average estimated
rating of about Ba1 (sf), as determined using FDIC Q1-2010
financial data in conjunction with Moody's RiskCalc model.
Given the current market conditions, Moody's have assumed in
Moody's cash-flow modeling analysis that there are no
amortizations and the WAL of the portfolio is around 22 years.
Moody's cash-flow modeling analysis is described in Moody's Rating
Methodology publication titled "Moody's Approach To Rating U.S.
Bank Trust Preferred Security CDOs", June 2010, under Appendix A
(page 8).
The portfolios of these CDOs are mainly composed of TruPS issued
by small to medium sized U.S. community banks that are generally
not publicly rated by Moody's. To evaluate their credit quality,
Moody's derives credit scores for these non-publicly rated assets
and evaluates the sensitivity of the rated notes to volatility in
these estimates, as described in Moody's Rating Methodology
"Updated Approach to the Usage of Credit Estimates in rated
Transactions", October 2009. The effect of the stress testing of
these credit scores may vary between 1 and 3 notches, depending on
the total amount and relative size of these securities in the
collateral pool.
Moody's evaluation of this transaction relies on Q1-2010 financial
data received for the bank obligors in the pool. This financial
data is used by Moody's to assess the credit quality of obligors
in the pool, using RiskCalc, an econometric model developed by
Moody's KMV. The results obtained from the RiskCalc model have
been translated to Moody's rating scale and adjusted by one notch
where necessary in order to compensate for the absence of credit
indicators such as rating reviews, outlooks and adjustments
factoring in cyclical developments in the economy.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are parts of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's asset correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled using CDOROM v.2.7,
according to Moody's rating approach, to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROM v.2.7 is available on moodys.com
under Products and Solutions -- Analytical models, upon return of
a signed free license agreement.
Regulatory Disclosures
Information sources used to prepare the credit rating are these:
parties involved in the ratings, public information, confidential
and proprietary Moody's Investors Service information, and
confidential and proprietary Moody's Analytics' information.
Moody's Investors Service considers the quality of information
available on the issuer or obligation satisfactory for the
purposes of maintaining a credit rating.
MOODY'S adopts all necessary measures so that the information it
uses in assigning a credit rating is of sufficient quality and
from sources MOODY'S considers to be reliable including, when
appropriate, independent third-party sources. However, MOODY'S is
not an auditor and cannot in every instance independently verify
or validate information received in the rating process.
MMCAPS FUNDING: Moody's Downgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has downgraded notes
issued by MMCAPS Funding XIX, Ltd. The notes affected by the
rating action are:
-- US$220,000,000 Class A-1 Floating Rate Senior Notes Due
2038 (current balance of $214,792,985.33), Downgraded to Ba2
(sf); previously on Aug. 18, 2009 Downgraded to Ba1 (sf)
-- US$26,000,000 Class A-2 Floating Rate Senior Notes Due
2038, Downgraded to Caa3 (sf); previously on Aug. 18, 2009
Downgraded to B3 (sf)
-- US$32,000,000 Class B Floating Rate Senior Notes Due 2038,
Downgraded to Ca (sf); previously on Aug. 18, 2009 Downgraded
to Caa3 (sf)
-- US$79,000,000 Class C Floating Rate Senior Subordinate
Notes Due 2038 (current balance of $80,252,061.53),
Downgraded to C (sf); previously on Aug. 18, 2009 Downgraded
to Ca (sf)
Ratings Rationale
MMCAPS Funding XIX, Ltd., is a collateralized debt obligation
backed by a portfolio of bank trust preferred securities and it
was issued on July 12, 2007. According to Moody's, the rating
downgrade action on the notes is the result of a significant
increase in the defaults and deferrals on the trust preferred
securities held in the portfolio. Such negative performance has
been observed through an increase of $88 million of additional
assumed defaults which offset the slight improvement in the
Weighted Average Rating Factor.
On August 18, 2009, Moody's downgraded four classes of notes 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. Since then the Weighted
Average Rating Factor has slightly improved by 93 from 1675
(August 18, 2009) to 1582 (September 27, 2010). An Event of
Default has been declared on July 14, 2009, due to non-payment of
interest on one of the Senior Notes. As of the trustee has not
received any indication either to accelerate cash flows from the
underlying performing securities or liquidate the assets to pay
down the notes.
The par loss due to the increase in the assumed defaulted amount
has resulted in loss of overcollateralization for the rated
tranches. In addition, the Principal Coverage tests continue to
breach their triggers, resulting in a diversion of excess spreads
to pay down senior notes. As of the latest trustee report dated
July 12, 2010, the Class A, Class B, Class C and Class D Principal
Coverage Tests were reported at 105.72%, 93.32%, 72.15% and
66.89%, respectively, versus previous levels of 140.80%, 124.40%,
96.63% and 89.73%, respectively at the time of last rating
actions.
The credit deterioration in these portfolios is a reflection of
the continued distress in some part of the banking sector as the
number of bank failures and interest deferrals of TruPS issued by
regional and community banks continued to increase. According to
FDIC data, 127 U.S. banks have failed so far this year, while 140
banks failed in 2009, as compared to 25 in all of 2008. In
Moody's opinion, the banking sector outlook continues to remain
negative.
Moody's notes that the cumulative assumed defaults in this
transaction now total $166.6 million or 41.62% of the portfolio,
$88 million of which have occurred since the previous rating
action. All the assumed defaulted assets are carried at zero
recovery in Moody's analysis. The remaining performing assets in
the portfolio have also experienced slight credit improvement.
100% of the portfolio are bank TruPS with an average estimated
rating of Ba3 (sf), as determined using FDIC Q1-2010 financial
data in conjunction with Moody's RiskCalc model.
Given the current market conditions, Moody's have assumed in
Moody's cash-flow modeling analysis that there are no
amortizations and the WAL of the portfolio is around 28 years.
Moody's cash-flow modeling analysis is described in Moody's Rating
Methodology publication titled "Moody's Approach To Rating U.S.
Bank Trust Preferred Security CDOs", June 2010, under Appendix A
(page 8).
The portfolios of these CDOs are mainly composed of trust
preferred securities issued by small to medium sized U.S.
community banks that are generally not publicly rated by Moody's.
To evaluate their credit quality, Moody's derives credit scores
for these non-publicly rated assets and evaluates the sensitivity
of the rated transactions to their volatility, as described in
Moody's Rating Methodology "Updated Approach to the Usage of
Credit Estimates in rated Transactions", October 2009. The effect
of the stress testing of these credit scores may vary between 1
and 3 notches, depending on the total amount and relative size of
these securities in the collateral pool.
Moody's evaluation of this transaction relies on financial data
received for a majority of bank obligors in the pool as of
Q1_2010. This financial data is used by Moody's to assess the
credit quality of obligors in the pool, using RiskCalc, an
econometric model developed by Moody's KMV. The results obtained
from the RiskCalc model have been translated to Moody's rating
scale and adjusted by one notch where necessary in order to
compensate for the absence of credit indicators such as rating
reviews, outlooks and adjustments factoring in cyclical
developments in the economy.
Moody's performed a number of sensitivity analyses on some of the
key factors driving the ratings. This analysis includes further
increase and decrease to the WARF (representing a slight
improvement and a slight deterioration of the credit quality of
the collateral pool) and the results indicate a one-notch downward
movement on Class A1 when WARF was increased by 218 and a one-
notch upward movement when the WARF was decreased by 182.
Further, a decrease of 1% in the WAC or 0.5% in the WAS of the
collateral pool resulted in one notch downward movement on the
Class A1 notes.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are parts of rating committee
considerations. These qualitative factors include, among other
elements, an assessment of the collateral manager track record and
practices. In particular, Moody's looked at the quality of
information provided by the manager, its interpretation of the
documentation and level of diligence in the implementation of the
transaction criteria. Moody's considers as well the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's asset correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled using CDOROM v.2.7,
according to Moody's rating approach, to develop the loss
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROM v.2.7 is available on moodys.com
under Products and Solutions -- Analytical models, upon return of
a signed free license agreement.
MONTANA HIGHER: Fitch Affirms Ratings on Senior Student Loans
-------------------------------------------------------------
Fitch Ratings has affirmed the senior student loan notes and
downgraded the subordinate notes issued by Montana Higher
Education Assistance Corp, 1993 Master Trust. The Rating Outlook
is Stable.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement consisting of subordination
and projected minimum excess spread to cover the applicable risk
factor stresses. The ratings on the subordinate notes are
downgraded to 'B' due to the trust's very high cost structure that
will limit the trust's ability to generate excess spread and reach
parity of 100%.
Fitch has taken these rating actions:
MHESAC 1993 Master Trust
-- Class 1995-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 1995-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 1995-C affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 1998-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 1999-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2000-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2000-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2000-C affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2001-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2001-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2001-C affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2002-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2002-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2002-D affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2003-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2003-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2003-C affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2004-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2004-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2005-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2005-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2006-A affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2006-B affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2006-D affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2006-E affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 2006-F affirmed at 'AAA/LS1'; Outlook Stable;
-- Class 1998-B downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable;
-- Class 1999-B downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable;
-- Class 2000-D downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable;
-- Class 2002-E downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable;
-- Class 2003-D downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable;
-- Class 2004-C downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable;
-- Class 2006-C downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable.
-- Class 2006-G downgraded to 'B/LS3' from 'A/LS3'; Outlook
Stable.
MORGAN STANLEY: Fitch Affirms Ratings on 2004-RR Notes
------------------------------------------------------
Fitch Ratings has affirmed five and downgraded one class of notes
issued by Morgan Stanley 2004-RR. The downgrade to the class F-6
notes reflects the quality of the remaining collateral of which
approximately 40.1% are unrated first loss commercial mortgage-
backed securities bonds. The affirmations to the senior classes,
however, reflect that the performing CMBS collateral covers the
balance of these classes.
Fitch withdraws the rating of the interest only class F-X.
The affirmations for class F-2 and F-3 are based upon the balance
of the 'AAA' rated collateral which is sufficient to cover the
balance of these classes. The affirmation of class F-4 reflects
the quality of the collateral that would be available to cover the
class after the more senior classes are repaid.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. Given the
portfolio's concentrated nature, Fitch believes that the
probability of default for all classes of notes can be evaluated
without factoring potential further losses from the non-defaulted
portion of the portfolio. Therefore this transaction was not
modeled using the Structured Finance Portfolio Credit Model.
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. The LS rating
should always be considered in conjunction with the probability of
default indicated by a class' long-term credit rating.
The certificates of MS 2004-RR, which closed June 17, 2004,
represent beneficial ownership interest in the trust, assets of
which are $73,467,027 of the class F certificates from Morgan
Stanley Capital I Inc., series 1997-RR, which is backed by CMBS B-
pieces. The class F certificates are collateralized by all or a
portion of 12 classes of fixed-rate CMBS in nine separate
underlying transactions from the 1996 and 1997 vintages. The pool
is concentrated with less than 20% of the original collateral
remaining since issuance. Of the collateral 58.5% is currently
rated below 'B-' or not rated, and therefore, is more susceptible
to losses in the near term. Two bonds (25.6%) are rated 'AAA'.
Fitch has affirmed and revises LS ratings on these classes as
indicated:
-- $8,942,275 class F-2 at 'AAAsf'; Outlook Stable; LS rating to
'LS5' from 'LS4';
-- $7,241,000 class F-3 at 'AA+sf/LS5'; Outlook Stable;
-- $8,236,000 class F-4 at 'BBsf/LS5'; Outlook Negative;
-- $13,613,000 class F-5 at 'CCCsf';
-- $29,699,752 class F-7 at 'Csf'.
Fitch has downgraded this class:
-- $5,735,000 class F-6 to 'CCsf' from 'CCCsf'.
Class F-1 has paid in full. The rating for Interest-only class F-
X has been withdrawn.
MORGAN STANLEY: Fitch Affirms Ratings on Three 1997-RR Notes
------------------------------------------------------------
Fitch Ratings has affirmed three classes of notes issued by Morgan
Stanley 1997-RR. The affirmations reflect the quality of the
remaining collateral of which approximately 40.1% are unrated or
defaulted first loss commercial mortgage-backed securities bonds.
For the class F notes, Fitch expects that it is highly likely the
bond will experience a loss as it is dependent upon first loss
CMBS bonds to pay. Classes G-1 and G-2 have already experienced
losses totaling $24.4 million and further losses are anticipated
as additional losses on the underlying collateral will directly
impact them.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. Given the
portfolio's concentrated nature, Fitch believes that the
probability of default for all classes of notes can be evaluated
without factoring potential further losses from the non-defaulted
portion of the portfolio. Therefore, this transaction was not
modeled using the Structured Finance Portfolio Credit Model (SF
PCM).
MS 1997-RR is backed by CMBS B-pieces (the most junior bonds of
CMBS transactions) and closed on Nov. 26, 1997. It is
collateralized by all or a portion of 12 classes of fixed-rate
CMBS in nine separate underlying transactions from the 1996 and
1997 vintages. The pool is concentrated with less than 20% of the
original collateral remaining since issuance. Of the collateral,
58.5% is currently rated below 'B-' or not rated, and therefore,
is more susceptible to losses in the near term. Two bonds (25.6%)
are rated 'AAA'.
Fitch has affirmed these classes:
-- $81,794,168 class F notes at 'Csf';
-- $10,615,480 class G-1 notes at 'Dsf';
-- $5,250,581 class G-2 notes at 'Dsf'.
Classes A, B, C, D, E, and IO have been paid in full while classes
H-1 and H-2 have been reduced to zero due to realized losses.
MORGAN STANLEY: Moody's Cuts Ratings on Series 2005-HQ7 Certs.
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 16 classes and
affirmed eight classes of Morgan Stanley Capital I Inc. Commercial
Mortgage Pass-Through Certificates, Series 2005-HQ7:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-AB, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-M, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Downgraded to A2 (sf); previously on Aug. 4, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to A3 (sf); previously on Aug. 4, 2010 Aa1
(sf) Placed Under Review for Possible Downgrade
-- Cl. C, Downgraded to Baa1 (sf); previously on Aug. 4, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to Baa2 (sf); previously on Aug. 4, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to Baa3 (sf); previously on Aug. 4, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to Ba2 (sf); previously on Aug. 4, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to B2 (sf); previously on Aug. 4, 2010 A3
(sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to Caa3 (sf); previously on Aug. 4, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. J, Downgraded to Ca (sf); previously on Aug. 4, 2010 Baa2
(sf) Placed Under Review for Possible Downgrade
-- Cl. K, Downgraded to C (sf); previously on Aug. 4, 2010 Baa3
(sf) Placed Under Review for Possible Downgrade
-- Cl. L, Downgraded to C (sf); previously on Aug. 4, 2010 Ba1
(sf) Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to C (sf); previously on Aug. 4, 2010 Ba2
(sf) Placed Under Review for Possible Downgrade
-- Cl. N, Downgraded to C (sf); previously on Aug. 4, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade
-- Cl. O, Downgraded to C (sf); previously on Aug. 4, 2010 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. P, Downgraded to C (sf); previously on Aug. 4, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. Q, Downgraded to C (sf); previously on Aug. 4, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. X, Affirmed at Aaa (sf); previously on Dec. 5, 2005
Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans and refinance risk associated with
loans approaching maturity in an adverse environment. Forty-three
loans, representing 13% of the pool, mature within the next 36
months. Seven of these loans, representing 6% of the pool, have a
Moody's stressed debt service coverage ratio less than 1.00X.
The affirmations are due to key parameters, including Moody's loan
to value ratio, Moody's stressed DSCR and the Herfindahl Index ,
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings.
Moody's placed 16 classes of this transaction on review for
possible downgrade on August 4, 2010. This action concludes the
review.
Moody's rating action reflects a cumulative base expected loss of
5.9% of the current balance. At last review, Moody's cumulative
base expected loss was 1.6%. Moody's stressed scenario loss is
16.4% of the current balance. Moody's provides a current list of
base and stress scenario losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 7, 2007. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the ratings.
As of the September 14, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to
$1.807 million from $1.956 million at securitization. The
Certificates are collateralized by 263 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 28% of the pool. Three loans, representing 2% of the
pool, have defeased and are collateralized with U.S. Government
securities. There are no loans with an investment grade
underlying rating.
Eighty five loans, representing 30% 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 CRE
Finance Council 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.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $15 million (53% loss severity).
Fifteen loans, representing 4% of the pool, are currently in
special servicing. The specially serviced loans are secured by a
mix of hotel, retail, office and self storage properties. Moody's
has estimated an aggregate $30 million loss (38% expected loss on
average) for the specially serviced loans.
Moody's has assumed a high default probability for 30 poorly
performing loan representing 11% of the pool and has estimated a
$41.4 million loss (20% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 88%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 101% compared to 102% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 11.7% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.40X and 1.03X, respectively, compared to
1.42X and 1.01X 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 57 compared to 82 at Moody's prior review.
The top three performing conduit loans represent 16% of the pool
balance. The largest loan is the 261 Fifth Avenue Loan ($141
million -- 7.8% of the pool), which is secured by a 434,000 square
foot office property located in New York City. The property was
89% leased as of March 2010 compared to 96% at last review.
Despite the decline in occupancy, performance has improved due to
increased revenues. The loan is interest only for its entire
term. Moody's LTV and stressed DSCR are 122% and 0.78X,
respectively, compared to 135% and 0.74X at last review.
The second largest loan is the U-Store-It Portfolio Loan ($80
million -- 4.4% of the pool), which is secured by a portfolio of
29 self-storage properties located in 14 states. Facility sizes
range from 246 units to 1,014 units and total 16,318 square feet.
The loan is interest only for its entire term. Moody's LTV and
stressed DSCR are 98% and 1.05X, respectively, compared to 93% and
1.17X at last review.
The third largest loan is Hilltop Mall Loan ($64.4 million -- 3.6%
of the pool), which is secured by the borrower's interest in a 1.1
million square foot regional mall (564,410 square feet of
collateral) located in Richmond, California. The loan has been on
the watchlist since June 2010 due to low occupancy. The center's
largest tenants are Walmart (34% of the net rentable area (NRA);
lease expiration January 2022) and 24 Hour Fitness (7% of the NRA,
lease expiration January 2011). The loan sponsor is Simon
Property Group Inc. As of December 2009, the property was 73%
leased compared to 94% last review. The loan is interest only for
its entire term. Moody's believes that there is a high likelihood
of default due to the property's decline in performance. Moody's
LTV and stressed DSCR are 132% and 0.76X, respectively, compared
to 77% and 1.37X at last review.
MORGAN STANLEY: Moody's Downgrades Ratings on Two Tranches
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
and upgraded the ratings of 2 tranches issued by Morgan Stanley
Structured Trust I 2007-1. The collateral backing this deal
primarily consists of first-lien, fixed and adjustable-rate
subprime residential mortgages.
Issuer: Morgan Stanley Structured Trust I 2007-1
-- Cl. A-1, Upgraded to Ba1 (sf); previously on Jan. 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Upgraded to B2 (sf); previously on Jan. 13, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C (sf); previously on Jan. 13, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C (sf); previously on Jan. 13, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
In addition, the ratings on these tranches have been adjusted to
reflect the fact that principal payments are always distributed
sequentially to the Class A-1, A-2, A-3, and A-4 securities.
Previous rating actions were based on the incorrect assumption
that the principal payments to the Class A-1, A-2, A-3, and A-4
securities would be distributed pro rata if the balance of the
mezzanine certificates were depleted.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
MORGAN STANLEY: Moody's Downgrades Ratings on 14 2005-IQ10 Certs.
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of 14 classes and
affirmed 12 classes of Morgan Stanley Capital I Trust 2005-IQ10,
Commercial Mortgage Pass-Through Certificates, Series 2005-IQ10:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-AB, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3-1FL, Affirmed at Aaa (sf); previously on Nov. 21,
2005 Definitive Rating Assigned Aaa (sf)
-- Cl. A-3-1, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Assigned Aaa (sf)
-- Cl. A-3-2, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Assigned Aaa (sf)
-- Cl. A-4A, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4B, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assignend Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. X-2, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. X-Y, Affirmed at Aaa (sf); previously on Nov. 21, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Downgraded to A2 (sf); previously on Sept. 22, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Baa1 (sf); previously on Sept. 22, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. C, Downgraded to Baa2 (sf); previously on Sept. 22, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to Ba2 (sf); previously on Sept. 22, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to Ba3 (sf); previously on Sept. 22, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to B3 (sf); previously on Sept. 22, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to Caa1 (sf); previously on Sept. 22, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to Caa3 (sf); previously on Sept. 22, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. J, Downgraded to Ca (sf); previously on Sept. 22, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. K, Downgraded to Ca (sf); previously on Sept. 22, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. L, Downgraded to C (sf); previously on Sept. 22, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to C (sf); previously on Sept. 22, 2010 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. N, Downgraded to C (sf); previously on Sept. 22, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. O, Downgraded to C (sf); previously on Sept. 22, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from specially serviced and
troubled loans. The affirmations are due to key parameters,
including Moody's loan to value ratio, Moody's stressed debt
service coverage ratio and the Herfindahl Index, remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain the current ratings.
On September 22, 2010, Moody's placed 14 classes on review for
possible downgrade. This action concludes Moody's review.
Moody's rating action reflects a cumulative base expected loss of
5.5% of the current balance. At last review, Moody's cumulative
base expected loss was 1.1%. Moody's stressed scenario loss is
14.9% of the current balance.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines,
the expected level of credit enhancement and the priority in the
cash flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current stressed
macroeconomic environment and continuing weakness in the
commercial real estate and lending markets. Moody's currently
views the commercial real estate market as stressed with further
performance declines expected in the industrial, office, and
retail sectors. Hotel performance has begun to rebound, albeit
off a very weak base. Multifamily has also begun to rebound
reflecting an improved supply / demand relationship. The
availability of debt capital is improving with terms returning
towards market norms. Job growth and housing price stability will
be necessary precursors to commercial real estate recovery.
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's largest economies, returning to trend growth rate
with elevated fiscal deficits and persistent unemployment levels.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR, and Moody's
property quality grade (which reflects the capitalization rate
used by Moody's to estimate Moody's value). Conduit model results
at the B2 level are driven by a paydown analysis based on the
individual loan level Moody's LTV ratio. Moody's Herfindahl
score, a measure of loan level diversity, is a primary determinant
of pool level diversity and has a greater impact on senior
certificates. Other concentrations and correlations may be
considered in Moody's analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or
determined based on a multiple or ratio of either of these two
data points. For fusion deals, the credit enhancement for loans
with investment-grade underlying ratings is melded with the
conduit model credit enhancement into an overall model result.
Fusion loan credit enhancement is based on the underlying rating
of the loan which corresponds to a range of credit enhancement
levels. Actual fusion credit enhancement levels are selected
based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
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 a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 9, 2007. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
As of the September 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $1.45 billion
from $1.55 billion at securitization. The Certificates are
collateralized by 205 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans representing
48% of the pool. The pool includes 74 loans secured by
residential cooperative properties (9% of the pool).
Forty-eight 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 CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
One loan has been liquidated from the pool, resulting in a
$1.3 million realized loss (21% loss severity). Twelve loans,
representing 7% of the pool, are currently in special servicing.
The loans are secured by a mix of property types. Moody's has
estimated an aggregate $40.2 million loss (38% expected loss on
average) for the specially serviced loans. The master servicer
has recognized an aggregate $22.2 million appraisal reduction for
five of the specially serviced loans.
Moody's has assumed a high default probability for five poorly
performing loans representing 3% of the pool and has estimated a
$9.3 million loss (25% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full-year 2009 and partial year 2010
operating results for 85% and 33% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 95% compared to 100% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 13%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.45X and 1.07X, respectively, compared to
1.38X and 1.01X 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 risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 28 compared to 25 at Moody's prior review.
The top three performing conduit loans represent 25% of the
pool balance. The largest loan is the 195 Broadway Loan
($196.0 million -- 13.5%), which is secured by a 915,000 square
foot office building located in New York City. The property was
85% leased as of June 2010, essentially the same at last review
and securitization. Performance has improved due to higher rents.
Moody's LTV and stressed DSCR are 93% and 1.02X, respectively,
compared to 114% and 0.83X at last review.
The second largest loan is the 1875 K Street Loan ($85.0 million -
5.9%), which is secured by a 188,000 square foot Class A office
building located in Washington D.C. The property was 95% leased
as of June 2010 compared to 99% at last review. Moody's LTV and
stressed DSCR are 123% and 0.75X, respectively, compared to 118%
and 0.78X at last review.
The third largest loan is the L-3 Communications Loan
($81.5 million -- 5.6%), which is secured by an eight building
office/industrial complex totaling 901,000 square feet. The
complex is located in Salt Lake City, Utah, and is 100% leased,
the same as at last review and securitization. Moody's LTV and
stressed DSCR are 94% and 1.06X, respectively, compared to 100%
and 1.00X at last review.
MORGAN STANLEY: Moody's Reviews Ratings on 14 2005-IQ10 Certs.
--------------------------------------------------------------
Moody's Investors Service placed 14 classes of Morgan Stanley
Capital I Trust 2005-IQ10, Commercial Mortgage Pass-Through
Certificates, Series 2005-IQ10 on review for possible downgrade:
-- Cl. A-J, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned Aa2
(sf)
-- Cl. C, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned Aa3
(sf)
-- Cl. D, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned A2
(sf)
-- Cl. E, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned A3
(sf)
-- Cl. F, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned Baa1
(sf)
-- Cl. G, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned Baa2
(sf)
-- Cl. H, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Definitive Rating Assigned Baa3
(sf)
-- Cl. J, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Assigned Ba1 (sf)
-- Cl. K, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Assigned Ba2 (sf)
-- Cl. L, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Assigned Ba3 (sf)
-- Cl. M, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Assigned B1 (sf)
-- Cl. N, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Assigned B2 (sf)
-- Cl. O, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 21, 2005 Assigned B3 (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from anticipated
losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated July 9, 2007. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the September 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $1.45 billion
from $1.55 billion at securitization. The Certificates are
collateralized by 205 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans representing
48% of the pool. The pool includes 74 loans backed by residential
cooperative units (9% of the pool).
Fifty-one loans, representing 22% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $1.3 million (21% loss severity).
Eleven loans, representing 7% of the pool, are currently in
special servicing. The master servicer has recognized an
aggregate $22.2 million appraisal reduction for five of the
specially serviced loans.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
MORGAN STANLEY: Moody's Takes Rating Actions on Various Notes
-------------------------------------------------------------
Moody's Investors Service announced these rating actions on Morgan
Stanley Managed ACES SPC, Series 2005-1 and Series 2006-4,
collateralized debt obligation transactions referencing a managed
portfolio of 92 synthetic credit corporate exposures.
Issuer: Morgan Stanley Managed ACES SPC Series 2005-1
-- US$125,000,000 Junior Super Senior Secured Floating Rate
Notes due 2013, Upgraded to Ba2 (sf); previously on Sept. 4,
2009 Downgraded to Caa1 (sf)
-- US$100,000,000 Class I-A Secured Floating Rate Notes due
2013, Upgraded to B1 (sf); previously on Sept. 4, 2009
Downgraded to Caa2 (sf)
Issuer: Morgan Stanley Managed ACES SPC Series 2006-4
-- EUR 5,000,000 Class IA Secured Floating Rate Notes due 2013,
Upgraded to B1 (sf); previously on Sept. 4, 2009 Downgraded
to Caa2 (sf)
-- EUR 5,000,000 Class IB Secured Floating Rate Notes due 2013,
Upgraded to B1 (sf); previously on Sept. 4, 2009 Downgraded
to Caa2 (sf)
Ratings Rationale
Moody's explained that the rating actions taken are the result of
improvement in the credit quality of the reference portfolio,
including a decrease in weighted average rating factor and
decrease of the concentration of Caa-rated exposures from 12.9% of
the portfolio as of the last rating action, to 6.5%. Notable
rating changes include the upgrades of Ford Motor Credit Company
LLC from Caa1 to Ba3, TRW Automotive Inc. from Caa2 to B2,
American Axle & Manufacturing, Inc. from Ca to B3, Ally Financial
Inc. (formerly GMAC LLC) from Ca to B3, and DIRECTV Holdings LLC
from Ba2 to Baa2.
The underlying portfolio of synthetic credit corporate securities
references senior and subordinated unsecured bonds. The 10-year
WARF of the portfolio is 1387, equivalent to Ba2. This compares
to a 10-year WARF of 1801 from the last rating review. There have
been no credit events in the portfolio since the last rating
action. The CSO notes have a remaining life of 2.5 years.
Remaining subordination is 13.7% for the Series 2005-1 Junior
Super Senior notes, 12.4% for the Series 2005-1 Class I-A notes,
12.4% for the Series 2006-4 Class IA notes, and 12.3% for the
Series 2006-4 Class IB notes.
In the process of determining the rating action, Moody's took into
account the results of a number of sensitivity analyses:
(1) Removal of forward-looking measures -- The notching adjustment
on each entity's rating due to credit watch or negative
outlook was removed. This run generated a result that was one
notch better than the one modeled under the base case.
(2) Use of Market Implied Ratings -- MIRs were used in place of
the corporate fundamental ratings to derive the default
probability of each corporate name in the reference portfolio.
The gap between an MIR and a Moody's corporate fundamental
rating is an indicator of the extent of the divergence of
credit view between Moody's and the market. This run
generated a result that was one notch better than the one
modeled under the base case.
(3) Reduction of time to maturity -- Time to maturity was reduced
by six months, all other things being equal. This run
generated a result that was one notch better than the one
modeled under the base case.
(4) Stress on Banking and FIRE industry group -- All entities in
the Banking, Finance, Insurance, and Real Estate sectors,
representing 31% of the portfolio notional, were notched down
by one. This run generated a result that was one notch worse
than the one modeled under the base case.
In addition, to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of these
transactions in the past 6 months.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's did not run a separate loss and cash flow analysis other
than the one already done using the CDOROM model. For a
description of the analysis, refer to the methodology and the
CDOROM user guide on Moody's website.
Moody's also ran a stress scenario defaulting all reference
entities modeled at Caa1 and below, which represents 6.5% of the
portfolio. This run generated a result that was three notches
worse than the one modeled under the base case.
Moody's analysis of corporate CSOs is subject to uncertainties,
the primary sources of which includes complexity, governance and
leverage. Although the CDOROM model capture many of the dynamics
of the Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions
is mitigated by structural constraints, anticipating the quality
of these decisions necessarily introduces some level of
uncertainty in Moody's assumptions. Given the tranched nature of
Corporate CSO liabilities, rating transitions in the reference
pool may have leveraged rating implications for the ratings of the
Corporate CSO liabilities, thus leading to a high degree of
volatility. All else being equal, the volatility is likely to be
higher for more junior or thinner liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario of
the corporate universe. Should macroeconomic conditions evolve
towards a more severe scenario such as a double dip recession, the
CSOs ratings will likely be downgraded to an extent depending on
the expected severity of the worsening conditions.
MORGAN STANLEY: S&P Raises Ratings on Senior Notes to 'B-'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on Morgan
Stanley ACES SPC's class A-14 secured fixed-rate notes series
2006-8 to 'B- (sf)' from 'CCC (sf)'.
The rating on the class A-14 notes is dependent on the lowest of:
the rating on American Axle & Manufacturing Inc.'s 5.25% senior
notes due Feb. 11, 2014 ('B-'); the rating on Morgan Stanley, the
guarantor under the swap and forward agreements (A/Negative/A-1);
and the rating on BA Master Credit Card Trust II's class A
certificates series 2001-B due 2013 (the underlying security; 'AAA
(sf)').
The upgrade follows the Sept. 20, 2010, raising of S&P's rating on
American Axle & Manufacturing Inc.'s senior notes, the reference
obligation, to 'B-' from 'CCC'. S&P may take subsequent rating
actions on the class A-14 notes due to changes in S&P's rating
assigned to American Axle & Manufacturing Inc.'s 5.25% senior
notes, Morgan Stanley as the guarantor, or the underlying
security.
MUNIMAE TE: Moody's Puts Ratings on Various Notes on Watchlist
--------------------------------------------------------------
Moody's Investors Service has placed these ratings on the MuniMae
TE Bond Subsidiary, LLC's Preferred and Perpetual Preferred Shares
on Watchlist for potential downgrade - Baa1 on $147.3 million
total Series A, A-1, A-2, A-3, A-4; Baa2 on $104 million total
Series B, B-1, B-2, B-3; Baa3 on $49 million total Series C, C-1,
C-2, C-3; Ba1 on $34 million Series D. Concurrently, Moody's has
also placed the A3 MuniMae TE Bond Subsidiary's Issuer Rating on
Watchlist for potential downgrade. There is no debt affected by
the issuer rating.
Ratings Rationale
This rating action is primarily based on the change in the
structure of the shares since the last review. Effective June 30
2009, the Series Exhibits for the Series A and A-1 shares were
amended and restated to provide distributions and redemptions at a
combined rate of 12.68% (7.50% distribution & 5.18% amortization)
and 20% (6.30% distribution & 13.70% amortization), respectively.
Moody's will assess the impact of this structural change during
the Watchlist period. Moody's will also consider in Moody's
review the continued credit weakness in the multi-family housing
sector and credits associated with this sector, as well as the
rollover risk of the Freddie Mac credit facility on bonds that
provide revenues to the MuniMae TE Bond Sub which expires in 2013.
Outlook
Moody's has placed MuniMae TE Bond Subsidiary, LLC's Preferred
Shares, Perpetual Preferred Shares, as well as the Issuer Rating
on Watchlist for potential downgrade. During the Watchlist period
Moody's will assess the risks to the transaction associated with
the introduction of Series A and A-1 share redemptions, the impact
of the overall deterioration in the multi-family housing sector on
the transaction and the impact of the rollover risk affiliated
with the Freddie Mac credit facility. The outcome of Moody's
rating review may result in a downgrade greater than one notch.
N-STAR REAL: Moody's Takes Rating Actions on Four Classes
---------------------------------------------------------
Moody's has upgraded one and affirmed three classes of Notes
issued by N-Star Real Estate CDO II Ltd. due to decreased expected
loss expectations as a result of the rate of paydown of the Class
A-1 Notes. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation transactions.
-- Cl. A-1 Floating Rate Senior Notes due 2039, Upgraded to Aaa
(sf); previously on March 24, 2009 Confirmed at Aa3 (sf)
-- Cl. B-1 Floating Rate Senior Subordinate Notes due 2039,
Affirmed at Baa2 (sf); previously on March 24, 2009 Confirmed
at Baa2 (sf)
-- Cl. B-2 Floating Rate Senior Subordinate Notes due 2039,
Affirmed at Baa3 (sf); previously on March 24, 2009 Confirmed
at Baa3 (sf)
-- Cl. C-1 Floating Rate Subordinate Notes due 2039, Affirmed at
Ba3 (sf); previously on March 24, 2009 Confirmed at Ba3 (sf)
Ratings Rationale
N-Star Real Estate CDO II Ltd. is a CRE CDO transaction backed by
a portfolio of commercial mortgage-backed securities (78.4% of the
pool balance), real estate investment trust bonds (14.7%) and
collateralized debt obligations (6.9%). As of the August 24, 2010
Trustee report, the aggregate Note balance of the transaction has
decreased to $290.0 million from $400.0 million at issuance, with
the paydown directed to the Class A-1 Notes as a result of the
failure of the Class D Coverage Test.
There are three assets with a par balance of $14.0 million (4.9%
of the current pool balance) that are considered Defaulted
Securities as of the August 24, 2010 Trustee report. All of these
assets are CMBS. While there have been no realized losses to
date, Moody's does expect some losses to occur for some lower
rated CMBS in the portfolio.
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 995 compared to 848 at
last review. The distribution of current ratings and credit
estimates is: Aaa-Aa3 (12.5% compared to 13.8% at last review),
A1-A3 (7.4% compared to 12.4% at last review), Baa1-Baa3 (44.7%
compared to 50.2% at last review), Ba1-Ba3 (17.3% compared to
18.2% at last review), B1-B3 (7.5% compared to 7.7% at last
review), and Caa1-C (10.5% compared to 0.8% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 5.2
years compared to 4.8 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 fixed WARR
of 25.3% compared to 25.3% 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 14.0%.
Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO
rating models, which was released on May 27, 2010.
The cash flow model, CDOEdge(R) v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However,
in many instances, a change in key parameter assumptions in
certain stress scenarios may be offset by a change in one or more
of the other key parameters. Rated notes are particularly
sensitive to changes in recovery rate assumptions. Holding all
other key parameters static, changing the recovery rate assumption
down from 25.3% to 15.3% or up to 35.3% would result in average
rating movement on the rated tranches of 1 to 2 notches downward
and 1 to 2 notches upward, respectively.
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 stressed macroeconomic environment and
continuing weakness in the commercial real estate and lending
markets. Moody's currently views the commercial real estate
market as stressed with further performance declines expected in a
majority of property sectors. The availability of debt capital is
improving with terms returning towards market norms. Job growth
and housing price stability will be necessary precursors to
commercial real estate recovery. 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's largest
economies, returning to trend growth rate with elevated fiscal
deficits and persistent unemployment levels.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
NELNET STUDENT: Fitch Cuts Rating on Class B-1 Notes to 'BBsf/LS3'
------------------------------------------------------------------
Fitch Ratings has affirmed the senior student loan notes and
downgraded the subordinate notes issued by Nelnet Student Loan
Trust 2007-2. The Rating Outlook is Stable.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement, consisting of
subordination and the projected minimum excess spread to cover the
applicable risk factor stresses. The ratings on the subordinate
notes are downgraded to 'BBsf/LS3' because a mild level of basis
risk stress will limit the trust's ability to generate excess
spread and reach and maintain a parity of 100%.
Fitch has taken these rating actions:
Nelnet Student Loan Trust 2007-2
-- Class A-2L affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3L affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4AR1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4AR2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B-1 downgraded to 'BBsf/LS3' from 'Asf/LS3'; Outlook
Stable;
-- Class B-2 downgraded to 'BBsf/LS3' from 'Asf/LS3'; Outlook
Stable.
Class A-1L is paid in full.
NEWCASTLE CDO: Moody's Downgrades Ratings on 12 Classes of Notes
----------------------------------------------------------------
Moody's has downgraded 12 classes of Notes issued by Newcastle CDO
VII 1, Limited and Newcastle CDO VIII 2, Limited due to the
deterioration in the credit quality of the underlying portfolio as
evidenced by an increase in the weighted average rating factor.
The rating action, which concludes Moody's review, is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation transactions.
-- Cl. S, Downgraded to Baa2 (sf); previously on Feb. 26, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A, Downgraded to Baa2 (sf); previously on Feb. 26, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-AR, Downgraded to Baa2 (sf); previously on Feb. 26,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B, Downgraded to B3 (sf); previously on Feb. 26, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II, Downgraded to Caa1 (sf); previously on Feb. 26, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. III, Downgraded to Caa3 (sf); previously on Feb. 26, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. V, Downgraded to Ca (sf); previously on Feb. 26, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. VIII, Downgraded to C (sf); previously on Feb. 26, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. IX-FL, Downgraded to C (sf); previously on Feb. 26, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. IX-FX, Downgraded to C (sf); previously on Feb. 26, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to C (sf); previously on Feb. 26, 2010 Caa3
(sf) Placed Under Review for Possible Downgrade
-- Cl. XII, Downgraded to C (sf); previously on Feb. 26, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Ratings Rationale
Newcastle CDO VIII 1, Limited, and Newcastle CDO VII 2, Limited,
is a revolving cash CRE CDO transaction backed by a portfolio of
mezzanine debt (32% of the pool balance), commercial mortgage
backed securities (22%), Bank Loans (12%), CRE CDO (10%),
residential mortgage backed securities (12%), B-note debt (10%),
CMBS rake bonds (3%). As of the August 18, 2010 Trustee report,
the aggregate Note balance of the transaction, including Preferred
Shares, has decreased to $904 million from $984 million at
issuance, due to full or partial cancellations to Class IV, VI,
VII, X and XI Notes.
There are three assets with par balance of $16.3 million (1.8% of
the current pool balance) that are considered Defaulted Securities
as of the August 18, 2010 Trustee report. Two of these assets
(92% of the defaulted balance) are CMBS, and one assets is RMBS
(6.1%).
There have been no realized losses to the deal to date, and
Moody's does not expect significant losses from these Defaulted
Securities to occur once they are realized.
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. For non-CUSIP collateral,
Moody's is eliminating the additional default probability stress
applied to corporate debt in CDOROM(R) v2.6 as Moody's expect the
underlying non-CUSIP collateral to experience lower default rates
and higher recovery compared to corporate debt due to the nature
of the secured real estate collateral. The bottom-dollar WARF is
a measure of the default probability within a collateral pool.
Moody's modeled a bottom-dollar WARF of 6,032 compared to 5,339 at
last review. The distribution of current ratings and credit
estimates is: Aaa-Aa3 (4.3% compared to 1.0% at last review),
Baa1-Baa3 (7.8% compared to 4.9% at last review), Ba1-Ba3 (5.5%
compared to 12.4% at last review), B1-B3 (17.7% compared to 26.1%
at last review), and Caa1-C (57.2% compared to 53.4% at last
review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 3.5
years compared to 5.0 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 fixed WARR
of 18.0% compared to 18.0% 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 5.9% compared to 10.4% at last review.
Moody's review incorporated CDOROM(R) v2.6, one of Moody's CDO
rating models, which was released on May 27, 2010.
The cash flow model, CDOEdge(R) v3.2, was used to analyze the cash
flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However,
in many instances, a change in key parameter assumptions in
certain stress scenarios may be offset by a change in one or more
of the other key parameters. Rated notes are particularly
sensitive to changes in recovery rate assumptions. Holding all
other key parameters static, changing the recovery rate assumption
down from 18% to 8% or up to 28% would result in average rating
movement on the rated tranches of 1 to 2 notches downward and 1 to
5 notches upward, respectively.
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 stressed macroeconomic environment and
continuing weakness in the commercial real estate and lending
markets. Moody's currently views the commercial real estate
market as stressed with further performance declines expected in a
majority of property sectors. The availability of debt capital is
improving with terms returning towards market norms. Job growth
and housing price stability will be necessary precursors to
commercial real estate recovery. 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's largest
economies, returning to trend growth rate with elevated fiscal
deficits and persistent unemployment levels.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
NOMURA RESECURITIZATION: S&P Assigns Ratings on 2010-3R Certs.
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Nomura
Resecuritization Trust 2010-3R's $20 million residential-backed
certificates.
Nomura Resecuritization Trust 2010-3R is a U.S. resecuritized real
estate mortgage investment conduit residential mortgage-backed
securities transaction backed by residential mortgage loans. The
ratings reflect S&P's view of:
* The timely interest and principal payments made under stressed
scenarios, which are consistent with the assigned rating
categories;
* The subordination levels, loss severities, and delinquency
pipelines in the underlying transaction;
* The underlying security's ratings and expected performance; and
* The transaction's payment and legal structures.
Ratings Assigned
Nomura Resecuritization Trust 2010-3R
Interest
Class Rating Type Rate Amount (mil.$)
----- ------ ---- -------- --------------
A1 AA (sf) Senior, Sequential Pass-through 13.92
A2 B (sf) Subordinate, Sequential Pass-through 6.08
NUCO2 FUNDING: Fitch Confirms 'BB' Rating on Class B-1 Notes
------------------------------------------------------------
Fitch Ratings confirms NuCO2 Funding LLC, series 2008-1 notes:
-- $75,000,000 class B-1 at 'BB'; Outlook Stable.
This confirmation is being made in connection with NUCO2's
execution of a $40 million add-on securitization to fund future
acquisitions, pay securitization expenses and for other general
corporate purposes. The new 2010-1 securitization will be issued
out of the existing securitization trust and will be pari-passu
with outstanding senior notes (series 2008-1 class A notes).
The notes are backed by cash flows generated by substantially all
of NuCO2, Inc.'s business activities, which are primarily the
leasing of bulk carbon dioxide systems and the distribution of
carbon dioxide to quick service restaurants and other retailers of
fountain beverages in the United States.
Fitch's confirmation reflects trust performance within initial
rating expectations. Since issuance, NuCO has strengthened its
industry position and improved trust interest coverage and
leverage. The rating confirmation also reflects the trust's
ability to withstand various stress scenarios that test customer
location, attrition and growth rate assumptions.
As of March 31, 2010, customer locations have increased by 17.5%
to 132,000 and trailing 12-month revenues have increased 22.5% to
$165.1 million when compared to Dec. 31, 2007. As of the August
servicing report dated Sept. 27, 2010, NuCO's three-month and 12-
month interest coverage ratios on the senior debt were 2.86 times
and 3.13x, respectively. These coverage ratios compare favorably
to the original three-month interest coverage ratio of 2.59x when
first reported in June 2008. Fitch expects trust performance to
remain stable as additional revenues attributable to NuCO's
ongoing acquisition strategy will be available to service the
additional debt and maintain coverage and leverage metrics.
Fitch's Stable Outlook reflects the trust's expected continued
performance despite the challenging economic and restaurant
environment, due to the unique nature of its product and business
model.
Over the remaining term of the securitization, Fitch will
continually monitor NuCO's performance. Any material change in
Fitch's assessment or assumptions could affect the ratings of the
trust.
ONE MORTGAGE: S&P Affirms Ratings on Six Classes of Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on six
classes from One Mortgage Partners LLC Mortgage Pass-Through
Certificates MPF Shared Funding Program Series 2003-1 Trust. This
U.S. residential mortgage-backed securities transaction is backed
by U.S. prime conforming mortgage collateral.
The affirmed ratings reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover projected losses under its stress scenarios associated with
S&P also reviewed the individual delinquency and loss trends of
this transaction and its ability to withstand additional credit
deterioration. In order to maintain a 'B' rating on a class, S&P
assessed whether, in S&P's view, a class could absorb the base-
case loss assumption S&P used in its analysis. In order to
maintain a rating higher than 'B', S&P assessed whether the class
could withstand losses exceeding the base-case assumption at a
percentage specific to each rating category, up to 235% for a
'AAA' rating on prime structures.
Subordination provides credit support for each of the rated
classes.
Ratings Affirmed
One Mortgage Partners LLC Mortgage Pass-Through Certificates
MPF Shared Funding Program Series 2003-1 Trust
Class CUSIP Rating
----- ----- ------
A-1 553225AA1 AAA (sf)
A-2 553225AC7 AA (sf)
B-1 553225AE3 A (sf)
B-2 553225AG8 BBB (sf)
B-3 553225AJ2 BB (sf)
B-4 553225AL7 CCC (sf)
OVERLAND PARK: S&P Cuts Rating on $44.67 2007A Bonds to 'BB+'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Overland
Park Development Corp.'s $44.67 million first-tier refunding
revenue bonds series 2007A to 'BB+' from 'BBB-' due to the
volatility of the cash flows from the project and the citywide
transient guest tax pledged to bondholders.
At the same time, S&P assigned a recovery rating of '3' to the
bonds, indicating bondholders would have meaningful (50%-70%)
recovery in case of default. The outlook is stable.
OVERLAND PARK: S&P Downgrades Rating on 2007B Bonds to 'BB+'
------------------------------------------------------------
Standard & Poor's Ratings Services said it lowered by one notch to
'BB+' its underlying rating on Overland Park Development Corp.,
Kansas's subordinate-lien series 2007B revenue refunding bonds.
"The downgrade is based on deteriorating debt service coverage
from the main pledged revenue and diminished availability of other
supplemental pledged revenues due to the recession," said Standard
& Poor's credit analyst Theodore Chapman.
The outlook is stable, reflecting the debt service support
agreement between the Overland Park (AAA/Stable general obligation
rating) and the OPDC. Under the agreement, Overland Park will
provide additional revenues for debt service, thus assuring debt
service payments will continue to be made. The downgrade affects
about $66.5 million of the series 2007B bonds. Continued reliance
on the debt service support agreement is realistic in the near
term and will allow OPDC to continue to make its debt service
payments. But S&P no longer view OPDC's performance commensurate
with an investment-grade rating, given an increasing debt service
schedule that was already reliant on growth from inception.
Factors that remain credit weaknesses include:
* Weak coverage of maximum annual debt service at 0.48x, based on
projected fiscal 2010 transient guest tax (collections of
$3.4 million from the 4.5% pledge, implying a reliance on
revenues to essentially double from current levels by the 2032
maximum annual payment;
* With the TGT revenues underperforming, this creates refinancing
risk and also precludes the revenue stream from being further
leveraged if the convention center facility needs larger-scale
capital improvements over time; and
* The hotel's exposure to the cyclical and competitive conference
center and lodging market. The Overland Park market has
experienced a decline in revenue per available room due to the
recession, after peaking in December 2007. Results through June
2010 reflect declining RevPar for the third consecutive year,
although the rate of decline has slowed in the last three
months. The Sheraton's year-to-date June 2010 RevPAR was above
the competitive set's RevPAR, but down 9% from the previous
year, while the competitive set in Overland Park has grown by
4.1%. Based on the results, it appears increasingly likely that
it could be at least several more years before the senior-lien
bonds may have material amounts of surplus net revenues that
could be released and used to support the junior-lien series
2007B bonds.
PRO RATA: Moody's Upgrades Ratings on Three Classes of Notes
------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Pro Rata Funding Ltd., a
synthetic collateralized loan obligation:
-- US$54,000,000 Class B Floating Rate Deferrable Senior
Subordinate Notes Due 2013, Upgraded to A3 (sf); previously
on June 16, 2009 Downgraded to Baa2 (sf);
-- US$13,000,000 Class C Floating Rate Deferrable Subordinate
Notes Due 2013, Upgraded to Baa2 (sf); previously on June 16,
2009 Downgraded to Baa3 (sf);
-- US$7,000,000 Class D Floating Rate Deferrable Subordinate
Notes Due 2013, Upgraded to Ba2 (sf); previously on June 16,
2009 Downgraded to Ba3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the improvement in the credit quality of the
reference portfolio as well as the shortened time to maturity of
the rated notes and a decrease in the weighted average life of the
reference portfolio since the last rating action in June 2009. A
shorter weighted average life of the reference portfolio
corresponds to a shorter time horizon and thus results in a lower
default probability associated with the reference portfolio.
Additionally, the deal benefits from principal amortizations of
the reference portfolio, which will first reduce the super senior
position of the swap counterparty and then redeem the Notes, upon
termination of the deal's Portfolio Modification Period on the
next payment date in November 2010.
Improvement in the credit quality is observed through an
improvement in the average credit rating (as measured by the
weighted average rating factor) and a decrease in the proportion
of securities from issuers rated Caa1 and below. In particular,
as of the latest trustee report dated August 13, 2010, the
weighted average rating factor is currently 2116 compared to 2448
in the April 2009 report, and securities rated Caa1 or lower make
up approximately 2% of the underlying portfolio versus 5.5% in
April 2009. The deal also experienced a significant decrease in
defaults. In particular, the dollar amount of defaulted
securities has decreased to about $0.2 million from approximately
$39 million in April 2009.
Additionally, the overcollateralization ratios of the rated notes
have increased significantly since the last rating action. This
is a result of paydowns of the senior funded notes due to
overcollateralization ratio failures and higher than expected
recoveries on defaulted securities. The Class A, Class B, Class
C, and Class D overcollateralization ratios are reported at
323.62%, 132.73%, 116.23% and 108.94%, respectively, versus April
2009 levels of 267.22%, 118.46%, 104.46% and 98.21%, respectively,
and all related overcollateralization tests are currently in
compliance. Moody's also notes that the Class D Notes are no
longer deferring interest and that all previously deferred
interest has been paid in full.
Furthermore, Moody's noted that the reference portfolio includes a
number of investments in securities that mature after the maturity
date of the notes. Based on Moody's analysis, reference
securities that mature after the maturity date of the notes
currently make up approximately 18.7% of the underlying reference
portfolio versus 6.2% in April 2009. These investments
potentially expose the notes to market risk in the event of
liquidation at the time of the notes' maturity.
According to Moody's, the ratings of the notes also reflect the
risk exposure to General Electric Capital Corporation, which acts
as Guarantor under the Investment Agreement in the transaction.
On March 23, 2009, Moody's downgraded the senior unsecured rating
of General Electric Capital Corporation to Aa2 from Aaa.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying reference collateral pool to have a swap notional
balance of $390 million, reference portfolio balance of
$235 million, and an eligible investment balance of $121.5 million
(Moody's adjusted eligible investment balance of $111.2 million
after reduction of $10.3 million swap fee payable on the swap
termination date), defaulted par of $0.2 million, weighted average
default probability of 12.4% (implying a WARF of 2585), a weighted
average recovery rate upon default of 45%, and a diversity score
of 33. These default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the reference collateral pool and Moody's
expectation of the remaining life of the reference collateral
pool. The average recovery rate to be realized on future defaults
is based primarily on the seniority of the assets in the reference
collateral pool. In each case, historical and market performance
trends, and collateral manager latitude for trading the collateral
are also factors.
Pro Rata Funding Ltd., issued in September 2003, is a synthetic
collateralized loan obligation referencing a portfolio of senior
secured loans.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in August 2009.
In addition to the base case analysis described above, Moody's
also performed a number of sensitivity analyses to test the impact
on all rated notes, including these:
1. Various default probabilities to capture potential defaults in
the underlying portfolio.
2. A range of recovery rate assumptions for all assets to capture
variability in recovery rates.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, whereby a positive difference
corresponds to lower expected losses), assuming that all other
factors are held equal:
Moody's Adjusted WARF -- 20% (2068)
-- Class A1: 0
-- Class A2: 0
-- Class B: 0
-- Class C: +1
-- Class D: +1
Moody's Adjusted WARF + 20% (3102)
-- Class A1: 0
-- Class A2: 0
-- Class B: -1
-- Class C: 0
-- Class D: -1
Below is a summary of the impact of different recovery rate levels
on all rated notes (shown in terms of the number of notches'
difference versus the current model output, whereby a positive
difference corresponds to lower expected losses), assuming that
all other factors are held equal:
Moody's Adjusted WARR + 2% (47%)
-- Class A1: 0
-- Class A2: 0
-- Class B: 0
-- Class C: 0
-- Class D: 0
Moody's Adjusted WARR - 2% (43%)
-- Class A1: 0
-- Class A2: 0
-- Class B: -1
-- Class C: -1
-- Class D: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities, and 3) potential additional
expected loss associated with swap agreements in CDOs as a result
of recent U.S. bankruptcy court ruling on Lehman swap termination
in the Dante case.
Sources of additional performance uncertainties are described
below:
1) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of
an assumed liquidation value (depending on the extent to which
the asset's maturity lags that of the liabilities) and the
asset's current market value.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings.
RACERS SERIES: Moody's Upgrades Ratings on Series 2004-2-A Certs.
-----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these certificates issued by RACERS, Series 2004-2-A:
-- US$5,000,000 Class A1 Certificates, Upgraded to Ba3 (sf);
previously on January 29, 2010 Upgraded to B3 (sf);
-- US$3,000,000 Class A2 Certificates, Upgraded to Ba3 (sf);
previously on January 29, 2010 Upgraded to B3 (sf).
Ratings Rationale
The transaction is a structured note whose rating is based on the
rating of the underlying security and the legal structure of the
transaction.
The rating action is a result of the change of the rating of
US$44,000,000 Class A-3 Fixed Rate Senior Secured Notes Due 2012
issued by Arlington Street CDO (Cayman) Ltd., which was upgraded
to Ba3 (sf) by Moody's on September 21, 2010.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
SALOMON BROS: S&P Downgrades Ratings on Six 2002-KEY2 Certs.
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage-backed securities from Salomon
Bros. Commercial Mortgage Trust 2002-KEY2. Concurrently, S&P
affirmed its ratings on 11 other classes from the same
transaction.
The downgrades and affirmations follow S&P's analysis of the
transaction using its U.S. conduit and fusion CMBS criteria. The
lowered ratings reflect credit support erosion that S&P
anticipates will occur upon the eventual resolution of the
specially serviced loans, as well as credit concerns associated
with the large volume of loan maturities scheduled for 2011 and
2012. Twenty-nine ($348.8 million, 60.8%) of the nondefeased and
nonspecially serviced loans have scheduled maturities or
anticipated repayment dates through 2012.
In arriving at its current ratings, S&P also considered the
outstanding nondefeased and nonspecially serviced near-term
maturing loans with final maturities in 2012 ($317.8 million,
55%).
Our analysis included a review of the credit characteristics of
all of the loans in the transaction. Using servicer-provided
financial information, Standard & Poor's calculated an adjusted
debt service coverage of 1.49x and a loan-to-value ratio of 64.8%
for the pool. S&P further stressed the loans' cash flows under
its 'AAA' scenario to yield a weighted average DSC of 1.29x and an
LTV of 79.8%. The implied defaults and loss severity under the
'AAA' scenario were 23.7% and 11.1%, respectively. All of the
adjusted DSC and LTV calculations excluded two specially serviced
loans ($16.0 million, 2.8%) and 12 defeased loans ($113.5 million,
19.8%). S&P separately estimated losses for the specially
serviced loans, which S&P included in its 'AAA' scenario implied
default and loss figures.
S&P affirmed its rating on the class X1 interest-only certificate
based on its current criteria.
Credit Considerations
As of the September 2010 remittance report, three loans ($24.3
million, 4.2%) in the pool were with the special servicer, C-III
Asset Management LLC. Two ($16.0 million, 2.8%) are more than 90
days delinquent, and one ($8.3 million, 1.5%) is 60 days
delinquent. An appraisal reduction amount (ARA) of $1.3 million
is in effect against one of the specially serviced loans.
The largest specially serviced asset is the Seekonk Crossing loan
($11.2 million, 2.0%), which is secured by a 213,994-sq.-ft.
anchored retail center in Seekonk, Mass. The loan was transferred
to C-III on May 5, 2010, due to monetary default, and is currently
more than 90 days delinquent. As of June 30, 2010, property
occupancy declined to 69.0% from 94.6% as of Dec. 31, 2009. C-III
recently approved a discounted payoff, and it expects that this
transaction will close before Dec. 31, 2010. Standard & Poor's
anticipates a moderate loss upon the resolution of this loan. S&P
estimated losses ranging from 26.0% to 34.0% for two of the
specially serviced loans, and the third loan is a recent transfer
for which limited information was available.
Transaction Summary
As of the September 2010 remittance report, the aggregate pooled
trust balance was $573.3 million, which represents 61.5% of the
aggregate pooled trust balance at issuance. There are 49 loans in
the pool, down from 66 at issuance. The master servicer for the
transaction, KeyCorp Real Estate Capital Markets Inc., provided
financial information for 100.0% of the pool, and all of the
servicer-provided information was full-year 2009 data.
S&P calculated a weighted average DSC of 1.64x for the pool based
on the reported figures. S&P's adjusted DSC and LTV were 1.49x
and 64.8%, respectively, which exclude two specially serviced
assets ($16.0 million, 2.8%) for which S&P has estimated losses
separately. Based on the servicer-reported DSC figures, S&P
calculated a weighted average DSC of 0.89x for these two loans.
Three loans ($11.3 million, 2.0%) are on the master servicer's
watchlist. Four loans ($23.2 million, 4.0%) have a reported DSC
of less than 1.0x. Twelve loans ($113.5 million, 19.8%) have been
defeased. To date, the transaction has realized principal losses
of $2.7 million in connection with two loans.
Summary of Top 10 Loans
The top 10 exposures secured by real estate have an aggregate
outstanding balance of $295.9 million (51.6%). Using servicer-
reported numbers, S&P calculated a weighted average DSC of 1.62x
for the top 10 loans. S&P's adjusted DSC and LTV for the top 10
loans were 1.35x and 67.0%, respectively. None of the top 10
loans appear on the master servicer's watchlist.
Standard & Poor's stressed the loans in the pool according to its
U.S. conduit/fusion criteria. The resultant credit enhancement
levels support the lowered and affirmed ratings.
Ratings Lowered
Salomon Bros. Commercial Mortgage Trust 2002-KEY2
Commercial mortgage pass-through certificates
Rating
------
Class To From Credit enhancement (%)
----- -- ---- ----------------------
L BBB- (sf) BBB (sf) 6.84
M BB (sf) BB+ (sf) 5.21
N BB- (sf) BB (sf) 4.40
P B+ (sf) BB- (sf) 3.99
Q B- (sf) B (sf) 2.77
S CCC+ (sf) B- (sf) 1.55
Ratings Affirmed
Salomon Bros. Commercial Mortgage Trust 2002-KEY2
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
----- ------ ----------------------
A-2 AAA (sf) 28.80
A-3 AAA (sf) 28.80
B AAA (sf) 21.89
C AAA (sf) 20.26
D AAA (sf) 18.64
E AA+ (sf) 16.19
F AA (sf) 14.57
H AA- (sf) 13.35
J A (sf) 10.91
K A- (sf) 9.28
X-1 AAA (sf) N/A
N/A - Not applicable.
SANKATY HIGH: S&P Puts Ratings on CreditWatch Positive
------------------------------------------------------
Standard & Poor's Ratings Services placed its rating on the class
B notes from Sankaty High Yield Partners III, a market value
collateralized debt obligation, on CreditWatch with positive
implications. At the same time, S&P affirmed its ratings on three
of the other classes from the same transaction.
S&P placed its rating on the class B notes on CreditWatch with
positive implications following its most recent monthly
performance review of all the market value CDOs that S&P rates.
S&P placed its rating on the class B notes on CreditWatch positive
following the complete paydown of the class A-1 and A-2 notes,
which boosted the credit enhancement available to the class B
notes.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating Placed On Creditwatch Positive
Sankaty High Yield Partners III
Rating
------
Class To From
----- -- ----
B BB- (sf)/Watch Pos BB- (sf)
Ratings Affirmed
Sankaty High Yield Partners III
Class Rating
----- ------
C CCC (sf)
D CCC- (sf)
E CC (sf)
SLM STUDENT: Fitch Affirms Ratings on 2002-7 Senior Student Loans
-----------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2002-7. Stable Outlooks are assigned to all bonds and
the Rating Watch Negative on the subordinated bond is removed.
Fitch used its 'Global Structured Finance Rating Criteria' and
'FFELP Student Loan ABS Rating Criteria', as well as the refined
basis risk criteria outlined in Fitch's Sept. 22, 2010 press
release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP
SLABS Review' to review the ratings. A full ratings list is shown
below.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The rating on the
subordinate note is downgraded to 'BBsf' due to the trust's very
high cost structure that will put pressure on the trust's ability
to generate excess spread (which is the only form of credit
enhancement for the subordinate note) and absorb even a mild level
of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2002-7
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-7 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-8 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-9 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-10 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-11 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable.
SLM STUDENT: Fitch Affirms Ratings on 2003-2 Senior Student Loans
-----------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2003-2. Stable Outlooks are assigned to all bonds and
the Rating Watch Negative on the subordinated bond is removed.
Fitch used its 'Global Structured Finance Rating Criteria' and
'FFELP Student Loan ABS Rating Criteria', as well as the refined
basis risk criteria outlined in Fitch's Sept. 22, 2010 press
release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP
SLABS Review' to review the ratings. A full ratings list is shown
below.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The rating on the
subordinate note is downgraded to 'BBsf' due to the trust's very
high cost structure that will put pressure on the trust's ability
to generate excess spread (which is the only form of credit
enhancement for the subordinate note) and absorb even a mild level
of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2003-2
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-7 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-8 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-9 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable.
SLM STUDENT: Fitch Affirms Ratings on 2003-5 Senior Student Loans
-----------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2003-5. Stable Outlooks are assigned to all bonds, and
the subordinated bond is removed from Rating Watch Negative.
Fitch used its 'Global Structured Finance Rating Criteria' and
'FFELP Student Loan ABS Rating Criteria, as well as the refined
basis risk criteria outlined in Fitch's Sept. 22, 2010 press
release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP
SLABS Review' to review the ratings.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The rating on the
subordinate note is downgraded to 'BBsf' due to the trust's very
high cost structure that will put pressure on the trust's ability
to generate excess spread (which is the only form of credit
enhancement for the subordinate note) and absorb even a mild level
of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2003-5
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-7 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-8 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-9 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable.
SLM STUDENT: Fitch Affirms Ratings on 2003-10 Senior Student Loans
------------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2003-10. Stable Outlooks are assigned to all bonds and
the Rating Watch Negative on the subordinated bond is removed.
Fitch used its 'Global Structured Finance Rating Criteria' and
'FFELP Student Loan ABS Rating Criteria', as well as the refined
basis risk criteria outlined in Fitch's Sept. 22, 2010 press
release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP
SLABS Review' to review the ratings.
Although the level of credit enhancement for senior notes is not
commensurate with the current ratings, Fitch accounted to for the
senior parity buildup that is expected once the recycling period
is over. The rating on the subordinate note is downgraded to
'BBsf' due to the trust's very high cost structure that will put
pressure on the trust's ability to generate excess spread (which
is the only form of credit enhancement for the subordinate note)
and absorb even a mild level of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2003-10
-- Class A-1A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1C affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1D affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1E affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1F affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1G affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-1H affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable.
SLM STUDENT: Fitch Affirms Ratings on 2006-7 Senior Student Loans
-----------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2006-7. Stable Outlooks are assigned to all bonds, and
the subordinated bond is removed from Rating Watch Negative.
Fitch used its 'Global Structured Finance Rating Criteria' and
'FFELP Student Loan ABS Rating Criteria, as well as the refined
basis risk criteria outlined in Fitch's Sept. 22, 2010 press
release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP
SLABS Review' to review the ratings.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The rating on the
subordinate note is downgraded to 'BBsf' due to the trust's very
high cost structure towards the tail end that will put pressure on
the trust's ability to generate excess spread (which is the only
form of credit enhancement for the subordinate note) and absorb
even a mild level of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2006-7
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6C affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable.
SLM STUDENT: Fitch Affirms Ratings on 2007-4 Senior Student Loans
-----------------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bonds to 'BBsf' issued by SLM Student
Loan Trust 2007-4. Fitch also removes class B1 from Rating Watch
Negative, and Stable Outlooks are assigned to all bonds. Fitch
used its 'Global Structured Finance Rating Criteria' and 'FFELP
Student Loan ABS Rating Criteria, as well as the refined basis
risk criteria outlined in Fitch's Sept. 22, 2010 press release
'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP SLABS
Review' to review the ratings.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The ratings on the
subordinate notes are downgraded to 'BBsf' due to the trust's very
high cost structure towards the tail end that will put pressure on
the trust's ability to generate excess spread (which is the only
form of credit enhancement for the subordinate notes) and absorb
even a mild level of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2007-4:
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B1 downgraded to 'BBsf/LS3' from 'AAAsf/LS3'; Outlook
Stable;
-- Class B2A downgraded to 'BBsf/LS3' from 'AA+sf/LS3'; Outlook
Stable;
-- Class B2B downgraded to 'BBsf/LS3' from 'AA+sf/LS3'; Outlook
Stable.
SLM STUDENT: Fitch Affirms Ratings on 2007-5 Student Loans
----------------------------------------------------------
Fitch Ratings affirms the senior student loan notes at 'AAAsf' and
downgrades the subordinate bond to 'BBsf' issued by SLM Student
Loan Trust 2007-5. Stable Outlooks are assigned to all bonds.
Fitch used its 'Global Structured Finance Rating Criteria' and
'FFELP Student Loan ABS Rating Criteria, as well as the refined
basis risk criteria outlined in Fitch's Sept. 22, 2010 press
release 'Fitch to Gauge Basis Risk in Auction-Rate U.S. FFELP
SLABS Review' to review the ratings.
The ratings on the senior notes are affirmed based on the
sufficient level of credit enhancement (consisting of
subordination and the projected minimum excess spread) to cover
the applicable risk factor stresses. The ratings on the
subordinate notes are downgraded to 'BBsf' due to the trust's very
high cost structure towards the tail end that will put pressure on
the trust's ability to generate excess spread (which is the only
form of credit enhancement for the subordinate notes) and absorb
even a mild level of risk factor stresses.
Fitch has taken these rating actions:
SLM Student Loan Trust 2007-5:
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B1 downgraded to 'BBsf/LS3' from 'AA+sf/LS3'; Outlook
Stable;
-- Class B2 downgraded to 'BBsf/LS3' from 'AA+sf/LS3'; Outlook
Stable.
SOUNDVIEW HOME: Moody's Downgrades Ratings on Six Tranches
----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 6 tranches
and confirmed the ratings of 2 tranches issued by Soundview Home
Loan Trust 2005-DO1. The collateral backing this deal primarily
consists of first-lien, fixed and adjustable-rate subprime
residential mortgages.
Issuer: Soundview Home Loan Trust 2005-DO1
-- Cl. M-1, Confirmed at Aa1 (sf); previously on Jan. 13, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Aa2 (sf); previously on Jan. 13, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to A1 (sf); previously on Jan. 13, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Baa2 (sf); previously on Jan. 13, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to B1 (sf); previously on Jan. 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to Caa3 (sf); previously on Jan. 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-7, Downgraded to C (sf); previously on Jan. 13, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-8, Downgraded to C (sf); previously on Jan. 13, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the continued performance
deterioration in Subprime pools in conjunction with home price and
unemployment conditions that remain under duress. The actions
reflect Moody's updated loss expectations on subprime pools issued
from 2005 to 2007.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R), the cash flow
model developed by Moody's Wall Street Analytics. This individual
pool level analysis incorporates performance variances across the
different pools and the structural features of the transaction
including priorities of payment distribution among the different
tranches, average life of the tranches, current balances of the
tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different
combinations comprising of six loss levels, four loss timing
curves and four prepayment curves. The volatility in losses
experienced by a tranche due to small increments in losses on the
underlying mortgage pool is taken into consideration when
assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment remains at high
levels, and weakness persists in the housing market. Moody's
notes an increasing potential for a double-dip recession, which
could cause a further 20% decline in home prices (versus its
baseline assumption of roughly 5% further decline). Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in early 2011, accompanied by continued stress in
national employment levels through that timeframe.
TIERS SYNTHETIC: S&P Downgrades Rating on 2008-1 Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the notes
issued by Tiers Synthetic CDO-Linked Variable Coupon Trust Series
2008-1 to 'D (sf)' from 'CCC- (sf)'.
S&P lowered its rating following an interest payment shortfall to
the rated tranche.
Rating Lowered
Tiers Synthetic CDO-Linked Variable Coupon Trust Series 2008-1
Rating
------
Class To From
----- -- ----
Certs D (sf) CCC- (sf)
TRIBUNE LTD: S&P Downgrades Rating on Series 48 Notes to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the
credit-linked note from Tribune Ltd.'s series 48, a synthetic
collateralized debt obligation transaction, to 'D (sf)' from 'CC
(sf)' rating.
The rating on the CLN is directly linked to the rating on the
super-senior swap from ABCDS 2006-1 Ltd., a CDO backed by subprime
residential mortgage-backed securities. ABCDS 2006-1 Ltd.
experienced an event of default and subsequently liquidated all
classes suffering a principal loss. S&P lowered its rating on the
super-senior swap to 'Dsrb (sf)' on Aug. 20, 2010, and S&P
therefore lowered its rating on the CLN to 'D (sf)'.
TW HOTEL: S&P Raises Ratings on Eight Classes of 2005-LUX Certs.
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes of commercial mortgage pass-through certificates from TW
Hotel Funding 2005 LLC's series 2005-LUX. In addition, S&P
affirmed six other ratings from the same transaction.
The upgrades reflect S&P's analysis of the transaction following
the issuance of the Aug. 16, 2010, trustee remittance report, in
which the trustee, Bank of America Merrill Lynch, recategorized a
$25 million principal paydown and applied the funds sequentially.
The trustee initially applied the principal paydown (which
occurred in conjunction with a recent loan modification) pro rata,
which was reflected in the June 2010 trustee remittance report.
The upgrades are due to increased credit enhancement at those
specified classes resulting from the recategorization.
Standard & Poor's recently affirmed its ratings on 14 classes from
the same transaction and removed 13 classes from CreditWatch with
developing implications following the loan modification in June
2010. During S&P's review, its analysis of the underlying
collateral resulted in a Standard & Poor's stressed loan-to-value
ratio of 116%.
As of the September 2010 trustee remittance report, the class N
experienced $4,590 in accumulated interest shortfalls. The
special servicer, Berkadia Commercial Mortgage LLC, is holding
funds from the borrower in a reserve account to pay all costs for
the modification. According to the special servicer, the reserve
funds will be used to repay the interest shortfalls to the trust,
which will be reflected in the October 2010 trustee remittance
report.
During its last review, S&P noted a $7,185 principal loss to the
class N certificates reported in the June 2010 trustee remittance
report. S&P did not take a rating action at the time because S&P
viewed the principal loss as de minimis and not warranting a
downgrade because it was S&P's understanding that the loss was
applied in error. The trustee corrected the aforementioned
principal loss in the August 2010 trustee remittance report.
Ratings Raised
TW Hotel Funding 2005 LLC
Commercial mortgage pass-through certificates series 2005-LUX
Class To From
----- -- ----
A-2 A+ (sf) A (sf)
B A- (sf) BBB+ (sf)
C BBB (sf) BBB- (sf)
D BBB- (sf) BB+ (sf)
E BB+ (sf) BB (sf)
F BB (sf) B (sf)
G BB- (sf) B- (sf)
H B (sf) CCC+ (sf)
Ratings Affirmed
TW Hotel Funding 2005 LLC
Commercial mortgage pass-through certificates series 2005-LUX
Class Rating
----- ------
A-1 AAA (sf)
J CCC (sf)
K CCC- (sf)
L CCC- (sf)
M CCC- (sf)
N CCC- (sf)
U-HAUL S: Moody's Confirms Rating on Series 2007-1 Notes
--------------------------------------------------------
Moody's Investors Service has confirmed the rating of the Series
2007-1 Box Truck Asset Backed Notes issued by U-Haul S Fleet and
certain co-issuers. The sponsor of the transaction is U-Haul
International.
The complete rating action is:
Issuer: U-Haul S Fleet, LLC
-- Series 2007-1 Box Truck Asset Backed Notes, confirmed rating
of Baa3 (sf). Previously, on April 16, 2009, notes
downgraded to Baa3 (sf) under review for possible downgrade.
Earlier, on June 19, 2008, notes downgraded to Aa3 (sf) from
Aaa (sf)
-- Financial Guarantor: Ambac Assurance Corp., Insurance
Financial Strength Rating of Caa2, on watch for possible
upgrade.
Rating Rationale
The steady improvement of DSCR to a level consistent with the
originally expected levels drives the confirmation of rating on
the Notes. On April 16, 2009, based on declining debt service
coverage ratios in the preceding months, the Notes put on review
for possible downgrade. The six month DSCR in March 2009 was
1.13. In the second half of 2009, the six month DSCR improved
steadily and has since shown stability at the higher levels
prevailing shortly after closing in June 2007. Moody's believe
this improvement in DSCR reflects improved economic conditions as
well as improvement by UHI in its fleet management practices with
respect to one of the truck types in the pool backing the Notes.
The Notes are supported by an insurance policy issued by Ambac
Assurance Corp. However, the current rating on the securities is
consistent with Moody's practice of rating insured securities at
the higher of (1) the guarantor's insurance financial strength
rating and (2) the underlying rating, which reflects the intrinsic
credit quality of the notes in the absence of note guaranty of the
guarantor (in this case, Ambac).
Principal Methodology
Important factors in Moody's credit assessment include: the cash
flows anticipated to be generated by a static pool of box trucks
owned by the co-issuers in service in the U Haul, System and
managed by UHI; liquidation values of the box truck collateral;
reserve account funded to cover 9 months of interest;
overcollateralization in the form of an advance rate against the
assumed asset value of each box truck; the size and competitive
position of the U-Haul system of do-it-yourself moving and storage
rental locations; and the expertise of UHI as Fleet Manager in
managing the box trucks.
The box truck collateral generates revenues and incurs expenses,
resulting in a net cash flow available to service debt. Revenues
and expenses, hence net cash flow, is subject to fluctuation based
on actual rental activity, expense levels, etc. As such the key
indicator of performance is the debt service coverage ratio for
the transaction. This is due to its value not only as an
indicator of the revenue earning potential of the trucks but by
extension as an indicator of their value as collateral as well as
of the financial health of UHI and the U-Haul system.
As such, analysis of the debt service coverage ratio was
supplemented with a quantitative technique utilizing Monte Carlo
simulation of a U-Haul default and the magnitude of potential
losses, if a default and ensuing liquidation were to occur.
Moody's assess the probability of a U-Haul default for this
exercise. Liquidation proceeds vary based on a recession or no-
recession simulation of the economy. Due to the strength of the
System, a U-Haul default was modeled probabilistically as either a
Chapter 11 reorganization or a Chapter 7 liquidation; in a Chapter
11 default U-Haul can either reject or accept its role as Fleet
Manager. Occurrence of a Chapter 7 default or Chapter 11
rejection causes a liquidation of the collateral.
WACHOVIA BANK: Moody's Reviews Ratings on 17 2006-C24 Certs.
------------------------------------------------------------
Moody's Investors Service placed 17 classes of Wachovia Bank
Commercial Mortgage Trust, Commercial Pass-Through Certificates,
Series 2006-C24 on review for possible downgrade:
-- Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on April 5, 2006 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-J, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Aa3 (sf)
-- Cl. B, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A1 (sf)
-- Cl. C, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A2 (sf)
-- Cl. D, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to A3 (sf)
-- Cl. E, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa1 (sf)
-- Cl. F, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa2 (sf)
-- Cl. G, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Baa3 (sf)
-- Cl. H, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ba2 (sf)
-- Cl. J, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B1 (sf)
-- Cl. K, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to B3 (sf)
-- Cl. L, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa1 (sf)
-- Cl. M, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa1 (sf)
-- Cl. N, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa3 (sf)
-- Cl. O, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Caa3 (sf)
-- Cl. P, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ca (sf)
-- Cl. Q, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Feb. 10, 2009 Downgraded to Ca (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated November 19, 2007. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 20% to
$1.61 billion from $2.00 billion at securitization. The
Certificates are collateralized by 114 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 40% of the pool. Two loans, representing 0.4% of the
pool, have defeased and are collateralized with U.S. Government
securities. The pool includes one loan with an investment grade
underlying rating, representing 1% of the pool.
Thirty-one loans, representing 27% 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 CRE
Finance Council 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.
Three loans have been liquidated from the pool since
securitization, resulting in an aggregate $8.0 million loss (58%
loss severity on average). Currently 12 loans, representing 11%
of the pool, are in special servicing. The largest specially
serviced loan is the Grandeville on Saxon Loan ($27.5 million --
1.7% of the pool), which is secured by a 316-unit multifamily
property located in Orange City, Florida. The loan was
transferred to special servicing in August 2010 due to monetary
default and is currently 90+ days delinquent. The remaining 11
specially serviced loans are secured by a mix of property types.
The master servicer has recognized an aggregate $62.8 million
appraisal reduction for seven of the specially serviced loans.
Based on the most recent remittance statement, Classes K through
S have experienced cumulative interest shortfalls totaling
$4.2 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 and troubled loans and the performance of the overall
pool.
WACHOVIA BANK: Moody's Reviews Ratings on 2007-WHALE 8 Certs.
-------------------------------------------------------------
Moody's Investors Service placed two non-pooled, or rake, classes
of Wachovia Bank Commercial Mortgage Trust Commercial Mortgage
Pass-Through Certificates, Series 2007-WHALE 8 on review for
possible downgrade Moody's rating action is:
-- Cl. HH-1, Ba3 (sf) Placed Under Review for Possible
Downgrade; previously on March 4, 2009 Downgraded to Ba3 (sf)
-- Cl. MH-1, Ba3 (sf) Placed Under Review for Possible
Downgrade; previously on March 4, 2009 Downgraded to Ba3 (sf)
The two rake classes have been placed under review for downgrade
due to the deterioration in performance of two collateral assets
associated with these rakes and the refinancing risk of these
loans approaching maturity in an adverse environment. Both loans,
the Hudson Hotel loan and the Mondrian Los Angeles loan are in
special servicing.
* Moody's Places on Review Ratings on 11 Classes of Certs.
----------------------------------------------------------
Moody's Investors Service placed 11 classes on review for possible
downgrade:
-- Cl. A-J, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to A1 (sf)
-- Cl. B, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to A2 (sf)
-- Cl. C, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Baa2 (sf)
-- Cl. D, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Ba2 (sf)
-- Cl. E, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to B2 (sf)
-- Cl. F, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Caa1 (sf)
-- Cl. G, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Caa2 (sf)
-- Cl. H, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Nov. 19, 2009 Downgraded to Ca (sf)
-- Cl. A-4, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on July 15, 2005 Definitive Rating Assigned Aaa
(sf)
-- Cl. A-4B, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on July 15, 2005 Definitive Rating
Assigned Aaa (sf)
-- Cl. A-1A, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on July 15, 2005 Definitive Rating
Assigned Aaa (sf)
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from anticipated
losses from specially serviced and poorly performing watchlisted
loans and interest shortfalls.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated November 19, 2009. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal And Performance Summary
As of the September 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 11% to $3.54
billion from $4.00 billion at securitization. The Certificates
are collateralized by 176 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans representing 32%
of the pool. Seven loans, representing 7% of the pool, have
defeased and are collateralized with U.S. Government securities.
Defeasance at last review represented 8% of the pool.
Thirty-nine loans, representing 16% 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 CRE
Finance Council 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.
Three loans have been liquidated from the pool since
securitization, resulting in an aggregate $765,996 loss (1.0% loss
severity on average). Currently 24 loans, representing 17% of the
pool, are in special servicing. The largest specially serviced
loan is the Century Centre Office Loan ($95.5 million -- 2.7% of
the pool), which is secured by a 447,692 square foot suburban
office building located in Irvine, California. The loan was
transferred to special servicing in August 2010 due to potential
non-monetary default and discussions are proceeding with the
borrower. The remaining 23 specially serviced loans are secured
by a mix of property types. The master servicer has recognized an
aggregate $140.2 million appraisal reduction for 21 of the
specially serviced loans.
Based on the most recent remittance statement, Classes G through P
have experienced cumulative interest shortfalls totaling $6.5
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions and extraordinary
trust expenses.
Moody's review will focus on potential losses from specially
serviced and troubled loans and the performance of the overall
pool.
* S&P Cuts Ratings on 23 Classes of Certs. From Five CMBS Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 23
classes of certificates from five U.S. commercial mortgage-backed
securities transactions due to interest shortfalls. S&P lowered
its ratings on 14 of these classes to 'D (sf)' because S&P expects
these downgrades to continue.
The 14 downgraded classes that S&P set to 'D (sf)' have
experienced interest shortfalls for seven or more months. The
recurring interest shortfalls for the respective certificates are
primarily due to one or more of these factors:
* Appraisal subordinate entitlement reductions in effect for the
specially serviced loans;
* Lack of servicer advancing for loans wherenonrecoverable advance
declarations have been made; and
* Special servicing fees.
Standard & Poor's analysis primarily considered the ASERs based on
appraisal reduction amounts calculated using recent Member of the
Appraisal Institute appraisals. S&P also considered servicer
nonrecoverable advance declarations and special servicing fees
that are likely, in its view, to cause recurring interest
shortfalls.
Nine of the 23 classes experienced shortfalls for five months or
fewer and are at an increased risk of experiencing shortfalls in
the future. If these shortfalls continue, S&P will likely
downgrade these classes to 'D (sf)'.
ARAs and resulting ASERs are implemented in accordance with each
respective transaction's terms. Typically, these terms call for
the automatic implementation of an ARA equal to 25% of the stated
principal balance of a loan when a loan is 60 days past due and an
appraisal or other valuation is not available within a specified
timeframe. S&P primarily considered ASERs based on ARAs
calculated from MAI appraisals when deciding which classes from
the affected transactions to downgrade to 'D (sf)'. S&P used this
approach because ARAs based on a principal balance haircut are
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals.
Non-recoverable advance declaration can prompt shortfalls due to a
lack of debt servicing advancing, the recovery of previously made
advances made non-recoverable, or the failure to advance trust
expenses where non-recoverable declarations have been made. Trust
expenses may include, but are not limited to, property operating
expenses, property taxes, insurance payments, and legal expenses.
S&P details the 23 downgraded classes from the five CMBS
transactions below.
JPMorgan Chase Commercial Mortgage Securities Trust
2006-CIBC14
S&P lowered its rating on the class E, F, and G certificates from
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-CIBC14
due to recurring interest shortfalls resulting from ASERs related
to 13 of the 36 loans that are currently with the special
servicer, LNR, as well as special servicing fees. As of the Sept.
13, 2010, remittance report, ARAs totaling $136.7 million were in
effect for 30 loans. The total reported ASER amount was $502,957,
and the reported cumulative ASER amount was $5.2 million.
Standard & Poor's considered 13 ASERs ($435,228), all of which
were based on MAI appraisals, as well as current special servicing
fees and interest not advanced due to nonrecoverable advance
declarations, in determining its rating actions. The reported
interest shortfalls totaled $890,401 and have affected all of the
classes subordinate to and including class E. Class G has
experienced interest shortfalls for 11 months, and S&P expects
these shortfalls to recur in the foreseeable future.
Consequently, S&P downgraded this class to 'D (sf)'.
The collateral pool for the JPMCC 2006-CIBC14 transaction consists
of 197 loans with an aggregate trust balance of $2.66 billion. As
of the Sept. 13, 2010, remittance report, 36 loans ($480.2
million; 18.1%) in the pool were with the special servicer. The
payment status of these loans is: 28 ($296.1 million, 11.1%) are
more than 90 days delinquent, three ($26.3 million, 1.0%) are 60
days delinquent, two ($15.1 million, 1.0%) are 30 days delinquent,
two ($25.2 million, 1.0%) are in their grace period, and one
($117.5 million, 4.4%) is a non-performing matured balloon.
ML-CFC Commercial Mortgage Trust 2006-4
S&P lowered its ratings on the class J, K, L, M, and N
certificates from ML-CFC Commercial Mortgage Trust 2006-4 due to
recurring interest shortfalls primarily resulting from ASERs
related to 13 of the 33 loans that are currently with the special
servicer, LNR, as well as special servicing fees. As of the Sept.
13, 2010, remittance report, ARAs totaling $128.9 million were in
effect for 27 loans. The total reported ASER amount was $517,289,
and the reported cumulative ASER amount was $4.0 million.
Standard & Poor's considered 13 ASERs ($452,105), all of which
were based on MAI appraisals, as well as current special servicing
fees in determining its rating actions. The reported interest
shortfalls total $663,891 and have affected all of the classes
subordinate to and including class J. Classes K, L, M, and Q have
experienced interest shortfalls for seven, eight, and 11 months,
respectively, and S&P expects these shortfalls to recur in the
foreseeable future. Consequently, S&P downgraded these classes to
'D (sf)'.
The collateral pool for the ML-CFC 2006-4 transaction consists of
274 loans with an aggregate trust balance of $4.43 billion. As of
the Sept. 13, 2010, remittance report, 33 loans ($512.3 million;
11.6%) in the pool were with the special servicer. The payment
status of the delinquent loans is: seven ($64.4 million, 1.5%) are
real estate owned, 21 ($362.1 million, 8.2%) are more than 90 days
delinquent, one ($6.8 million, 0.2%) is 60 days delinquent, one
($5.9 million, 0.1%) is 30 days delinquent, one ($44.1 million,
1.0%) is less than 30 days delinquent, and two ($29.0 million,
1.0%) are in their grace period.
ML-CFC Commercial Mortgage Trust 2007-9
S&P lowered its ratings on the class F, G, H, J, K, L, M, N, P, Q,
and S certificates from ML-CFC Commercial Mortgage Trust 2007-9
due to recurring interest shortfalls primarily resulting from
ASERs related to four of the nine loans that are currently with
the special servicer, LNR, as well as special servicing fees.
As of the Sept. 14, 2010, remittance report, ARAs totaling
$91.6 million were in effect for nine loans. The total reported
ASER amount was $518,956, and the reported cumulative ASER amount
was $3.9 million. Standard & Poor's considered four ASERs
($436,072), all of which were based on MAI appraisals, as well as
current special servicing fees in determining its rating actions.
The reported interest shortfalls totaled $786,891 and have
affected all of the classes subordinate to and including class G.
Class K experienced interest shortfalls for nine months and
Classes L, M, N, P, and Q have all experienced interest shortfalls
for 10 months. Class S experienced interest shortfalls for 11
months. S&P expects these shortfalls to recur in the foreseeable
future, and consequently S&P downgraded these classes to 'D (sf)'.
The collateral pool for the ML-CFC 2007-9 transaction consists of
258 loans with an aggregate trust balance of $2.7 billion. As of
the Sept. 14, 2010, remittance report, 17 loans ($783.9 million;
28.7%) in the pool were with the special servicer, including the
largest and second-largest loans in the pool. The payment status
of the delinquent loans is: three loans ($150.0 million; 5.5%) are
in foreclosure, 10 loans ($116.7 million; 4.3%) are more than 90
days delinquent, one ($4.1million, 0.2%) is 60 days delinquent,
two ($13.1 million, 0.5%) are less than 30 days delinquent, and
one ($500.0 million, 18.3%) is current.
Credit Suisse First Boston Mortgage Securities Corp.'s
series 2002-CKS4
S&P lowered its ratings on the class N certificates from Credit
Suisse First Boston Mortgage Securities Corp.'s series 2002-CKS4
due to recurring interest shortfalls resulting from ASERs related
to four of the 15 loans that are currently with the special
servicer, LNR, as well as special servicing fees. As of the
Sept. 17, 2010, remittance report, ARAs totaling $36.9 million
were in effect for 11 loans. The total reported ASER amount was
($45,581), and the reported cumulative ASER amount was $835,077.
The recovery of ASERS for four loans that were worked out or
modified led to the negative ASER reported in September. S&P does
not expect such further adjustments on the October remittance
report. Standard & Poor's considered four ASERs with a total of
$56,952, all of which were based on MAI appraisals, as well as
current special servicing fees, in determining its rating actions.
Class N has experienced interest shortfalls for 12 months, and S&P
expects these shortfalls to recur for the foreseeable future.
Consequently, S&P downgraded this class to 'D (sf)'.
The collateral pool for the CSFB 2002-CKS4 transaction consists
of 133 loans with an aggregate trust balance of $986.9 million.
As of the Sept. 17, 2010, remittance report, 15 loans
($120.5 million; 12.2%) in the pool were with the special
servicer. The payment status of these loans is: three are REO
($47.3 million, 4.8%), four ($24.7 million, 2.5%) are more than
90 days delinquent, one ($1.3 million, 0.1%) is 60 days
delinquent, one ($20.3 million, 2.1%) is 30 days delinquent, four
($17.5 million, 1.8%) are less than 30 days delinquent, and two
($9.4 million, 0.9%) are current.
LB-UBS Commercial Mortgage Trust 2005-C7
S&P lowered its rating on the classes K, L, and M certificates
from LB-UBS Commercial Mortgage Trust 2005-C7 due to recurring
interest shortfalls resulting from ASERs related to five of the 14
loans that are currently with the special servicer, Midland Loan
Services Inc., as well as special servicing fees. As of the
Sept. 17, 2010, remittance report, ARAs totaling $36.2 million
were in effect for five loans. The total reported ASER amount was
$168,093, and the reported cumulative ASER amount was $561,283.
Standard & Poor's considered all five ASERs, all of which were
based on MAI appraisals, as well as current special servicing fees
and interest not advanced due to nonrecoverable advance
declarations, in determining its rating actions. Reported
interest shortfalls totaled $26,408 and have affected all of the
classes subordinate to and including class K. Class M has
experienced interest shortfalls for 19 months, and S&P expects
these shortfalls to recur in the foreseeable future.
Consequently, S&P downgraded this class to 'D (sf)'.
The collateral pool for the LB-UBS 2005-C7 transaction consists of
126 loans with an aggregate trust balance of $2.18 billion. As of
the Sept. 17, 2010, remittance report, 14 loans ($303.5 million;
13.9%) in the pool were with the special servicer. The payment
status of these loans is: two ($19.8 million, 0.9%) are in
foreclosure, three ($17.8 million, 0.8%) are more than 90 days
delinquent, one ($5.3 million, 0.2%) is 60 days delinquent, three
($70.7 million, 3.2%) are less than 30 days delinquent, one
($2.0 million, 0.1%) is current, one ($122.9 million, 5.6%) is a
performing matured balloon loans, and three ($64.9 million, 3.0%)
are non-performing matured balloon loans.
Ratings Lowered
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC14
Commercial mortgage pass-through certificates
Reported
Credit interest shortfalls ($)
Class Rating To Rating From enhancement (%) Current Accumulated
----- --------- ----------- --------------- ------- ------------
E CCC+ (sf) BB- (sf) 6.58 90,730 90,730
F CCC- (sf) B+ (sf) 5.29 163,608 374,654
G D (sf) B (sf) 4.26 130,884 1,007,242
ML-CFC Commercial Mortgage Trust 2006-4
Commercial mortgage pass-through certificates
Reported
Credit interest shortfalls ($)
Class Rating To Rating From enhancement (%) Current Accumulated
----- --------- ----------- --------------- ------- ------------
J CCC- (sf) B- (sf) 2.68 169,539 296,713
K D (sf) B- (sf) 2.29 69,583 298,787
L D (sf) B- (sf) 2.17 23,191 162,340
M D (sf) CCC+ (sf) 1.66 92,770 680,185
N D (sf) CCC+ (sf) 1.53 23,196 199,133
ML-CFC Commercial Mortgage Trust 2007-9
Commercial mortgage pass-through certificates
Reported
Credit interest shortfalls ($)
Class Rating To Rating From enhancement (%) Current Accumulated
----- --------- ----------- --------------- ------- ------------
F B- (sf) B+ (sf) 6.69 0 0
G CCC+ (sf) B (sf) 5.67 29,168 29,168
H CCC (sf) B (sf) 4.64 152,341 152,341
J CCC- (sf) B (sf) 3.74 133,299 215,277
K D (sf) B- (sf) 2.58 171,387 959,757
L D (sf) CCC+ (sf) 2.07 59,814 582,429
M D (sf) CCC+ (sf) 1.68 44,861 448,613
N D (sf) CCC (sf) 1.43 29,905 299,047
P D (sf) CCC- (sf) 0.91 59,818 598,179
Q D (sf) CCC- (sf) 0.79 14,952 149,523
S D (sf) CCC- (sf) 0.40 44,861 479,821
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKS4
Reported
Credit interest shortfalls ($)
Class Rating To Rating From enhancement (%) Current Accumulated
----- --------- ----------- --------------- ------- ------------
N D (sf) CCC- (sf) 0.62 26,185 173,073
LB-UBS Commercial Mortgage Trust 2005-C7
Commercial mortgage pass-through certificates
Reported
Credit interest shortfalls ($)
Class Rating To Rating From enhancement (%) Current Accumulated
----- --------- ----------- --------------- ------- ------------
K CCC (sf) B- (sf) 1.33 (108,183) 1,671
L CCC- (sf) B- (sf) 0.914 36,162 108,485
M D (sf) CCC- (sf) 0.358 48,214 187,508
* S&P Cuts Rating on Orange County, California's Bonds to 'BB'
--------------------------------------------------------------
The media release published earlier incorrectly stated the
issuer's ability to meet debt service payments. A corrected
version:
Standard & Poor's Ratings Services lowered its rating to 'BB' from
'AAA' on Orange County, California's apartment development revenue
bonds series 1998C, issued for the Orange Gardens Apartment
Project and removed it from CreditWatch based on S&P's view of the
project's reliance on short-term market rate investments.
The rating reflects S&P's view of these:
* Revenues from mortgage debt service payments and investment
earnings are insufficient to pay full and timely debt service on
the bonds plus fees until maturity;
* Asset-to-liability parity is projected to fall below 100% in
2018;
* The high credit quality of the assets, which consist of a Fannie
Mae pass-through certificate; and
* The holding of investments in a 'AAAm' rated US Treasury money
market fund from JP Morgan.
"Standard & Poor's has analyzed updated cash flow statements based
on its current stressed reinvestment rate assumptions for all
scenarios as set forth in the related criteria articles. S&P
believes the bonds are unable to meet all costs from transaction
cash until maturity, assuming these reinvestment earnings" noted
credit analyst Alexis Laing.
On May 12, 2010, S&P placed its ratings on certain housing issues,
including this rating, on CreditWatch with negative implications
due to revised criteria for certain federal government-enhanced
housing transactions. S&P's revised criteria affects government-
enhanced housing transactions in which funds are invested in money
market funds and other investments with no guaranteed rate of
return. According to its revised criteria, S&P cap ratings on
bonds issued in transactions that assume stressed reinvestment
rates at the 'A' level.
* S&P Downgrades Ratings on 22 Tranches From Four CDO CMBS Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 22
tranches from four U.S. collateralized debt obligation of
commercial mortgage-backed securities transactions. The
downgraded tranches have a total issuance amount of
$1.711 billion. At the same time, S&P removed the lowered ratings
from CreditWatch with negative implications. S&P also affirmed
its ratings on 12 tranches from three transactions and removed
five of them from CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on the underlying
securities. The affirmations reflect current credit support
levels that S&P believes are sufficient to maintain the current
ratings, in accordance with S&P's criteria.
Standard & Poor's will continue to monitor the CDO transactions it
rates and take rating actions, including CreditWatch placements,
when appropriate.
Rating And Creditwatch Actions
Rating
------
Transaction Class To From
----------- ----- -- ----
Acacia CRE CDO 1 Ltd A CCC- (sf) B+ (sf)/Watch Neg
Acacia CRE CDO 1 Ltd B CC (sf) CCC- (sf)/Watch Neg
Ajax Two Ltd. B A (sf) A (sf)/Watch Neg
Ajax Two Ltd. C CCC (sf) CCC (sf)/Watch Neg
Crest 2002-1 Ltd. A AAA (sf) AAA (sf)/Watch Neg
Crest 2002-1 Ltd. B-1 A+ (sf) A+ (sf)/Watch Neg
Crest 2002-1 Ltd. B-2 A+ (sf) A+ (sf)/Watch Neg
Crest 2002-1 Ltd. C BB+ (sf) BBB (sf)/Watch Neg
Crest 2002-1 Ltd. Pfd B (sf) BB- (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 A-SIVF B+ (sf) BBB+ (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 A1 CCC (sf) BB+ (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 A2 CCC- (sf) BB- (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 A3 CC (sf) B (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 A4 CC (sf) CCC+ (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 B1 CC (sf) CCC- (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 B2 CC (sf) CCC- (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 B3 CC (sf) CCC- (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 B4 CC (sf) CCC- (sf)/Watch Neg
Dillon Read CMBS
CDO 2006-1 Combo CC (sf) CCC- (sf)/Watch Neg
Newcastle CDO IV Ltd I BB+ (sf) A+ (sf)/Watch Neg
Newcastle CDO IV Ltd II-FL B+ (sf) BBB+ (sf)/Watch Neg
Newcastle CDO IV Ltd II-FX B+ (sf) BBB+ (sf)/Watch Neg
Newcastle CDO IV Ltd III-FL CCC+ (sf) BB+ (sf)/Watch Neg
Newcastle CDO IV Ltd III-FX CCC+ (sf) BB+ (sf)/Watch Neg
Newcastle CDO IV Ltd IV-FL CCC- (sf) B (sf)/Watch Neg
Newcastle CDO IV Ltd IV-FX CCC- (sf) B (sf)/Watch Neg
Newcastle CDO IV Ltd V CC (sf) CCC- (sf)/Watch Neg
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Acacia CRE CDO 1 Ltd C CC (sf)
Acacia CRE CDO 1 Ltd D CC (sf)
Acacia CRE CDO 1 Ltd E CC (sf)
Acacia CRE CDO 1 Ltd F CC (sf)
Ajax Two Ltd. A-2A AAA (sf)
Ajax Two Ltd. A-2B AAA (sf)
Ajax Two Ltd. Pref CC (sf)
* S&P Downgrades Ratings on Eight Notes From Three CDO Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of notes from three cash flow collateralized debt
obligation transactions and removed one of these ratings from
CreditWatch with negative implications. Additionally, S&P
affirmed its 'CC (sf)' ratings on eight classes of notes from two
of these transactions.
The rating actions reflect the implementation of S&P's criteria
for ratings on CDO transactions that have triggered an event of
default and may be subject to acceleration or liquidation.
For South Coast Funding VI Ltd., S&P has received a notice of
acceleration and liquidation from the trustee that a majority of
the controlling classholders has directed to sell and liquidate
the collateral. Earlier, S&P received a notice dated July 9,
2010, that the transaction had experienced an EOD due to the
failure of an overcollateralization-based EOD trigger.
The downgrade of classes A-2, A-3, and B from Commodore CDO V Ltd.
resulted from an EOD on Sept. 14, 2010, following a default in the
payment of interest due on these non-payment-in-kind notes.
S&P lowered its ratings on Pinnacle Point Funding Ltd. because S&P
received notice from the trustee stating that after the
liquidation of the portfolio assets, the available proceeds were
insufficient to pay the noteholders in full.
Ratings Lowered
Rating
------
Transaction Class To From
----------- ----- -- ----
Commodore CDO V Ltd. A2 D (sf) CC (sf)
Commodore CDO V Ltd. A3 D (sf) CC (sf)
Commodore CDO V Ltd. B D (sf) CC (sf)
Pinnacle Point Funding Ltd. ABCP D (sf) CCC- (sf)/Watch Neg
Pinnacle Point Funding Ltd. A-1 D (sf) CC (sf)
Pinnacle Point Funding Ltd. A-2 D (sf) CC (sf)
Pinnacle Point Funding Ltd. B D (sf) CC (sf)
South Coast Funding VI Ltd. A-1 CCC- (sf) BB+ (sf)
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Commodore CDO V Ltd. A1A CC (sf)
Commodore CDO V Ltd. A1B CC (sf)
Commodore CDO V Ltd. C CC (sf)
Commodore CDO V Ltd. D CC (sf)
Commodore CDO V Ltd. E CC (sf)
South Coast Funding VI Ltd. A-2 CC (sf)
South Coast Funding VI Ltd. B CC (sf)
South Coast Funding VI Ltd. C CC (sf)
* S&P Downgrades Ratings on 495 Certs. From 351 RMBS to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D' on
495 classes of mortgage pass-through certificates from 351 U.S.
residential mortgage-backed securities transactions issued between
2002 and 2008. In addition, S&P placed 10 additional ratings from
one of the affected transactions on CreditWatch with negative
implications.
Approximately 80.61% of the defaulted classes were from
transactions backed by Alternative-A or subprime mortgage loan
collateral. The 495 defaulted classes consisted of these:
* 322 classes from Alt-A transactions (64.99% of all defaults);
* 77 from subprime transactions (15.49%);
* 68 from prime jumbo transactions (13.68%);
* Nine from reperforming transactions;
* Six from resecuritized real estate mortgage investment conduit
(re-REMIC) transactions;
* Three from outside-the-guidelines transactions;
* Three from risk-transfer transactions;
* Two from RMBS seasoned-loan transactions;
* Two from closed end second-lien transactions;
* Two from first-lien, high loan-to-value (LTV) transactions; and
* One from a second-lien, high LTV transaction.
The 495 downgrades to 'D' reflect S&P's assessment of principal
write-downs on the affected classes during recent remittance
periods. Ten of the downgrades affected classes that are bond-
insured. Ambac Assurance Corp. (currently rated 'R') insured all
of the bond-insured classes.
The CreditWatch placements are on classes that are within a loan
group that includes a class that defaulted from a 'B-' rating or
higher. All of the ratings were speculative-grade before the
downgrades, and S&P lowered approximately 99.80% of the ratings
from the 'CCC' or 'CC' rating categories.
S&P expects to resolve the CreditWatch placements after S&P
completes its review of the underlying credit enhancement.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and S&P will
adjust the ratings in accordance with its criteria.
* S&P Downgrades Ratings on Two Certificates From Two RMBS Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of mortgage pass-through certificates from two U.S.
residential mortgage-backed securities transactions issued in 1991
and 2004. S&P affirmed its ratings on four classes from two
additional transactions issued in 2004 and 2005 and removed them
from CreditWatch with negative implications. In addition, S&P
placed its ratings on four classes from three other deals on
CreditWatch with negative implications.
The downgrades reflect S&P's assessment of interest shortfalls on
the affected classes during recent remittance periods. S&P's
ratings reflect its view of the magnitude of the interest payment
deficiencies that have affected each class to date compared with
the remaining principal balance owed and the likelihood that
certificateholders will be reimbursed for these deficiencies. S&P
also considered the balance of current delinquencies of the
affected transactions.
The CreditWatch placements reflect S&P's view of the greater
potential for the affected certificates to be reimbursed for their
interest shortfalls compared with the certificates S&P downgraded.
Standard & Poor's will continue to monitor its ratings on
securities that experience interest shortfalls, and S&P will
adjust the ratings as S&P determine appropriate.
The downgraded classes are issued by prime jumbo transactions and
were rated either 'CC (sf)' or 'BBB- (sf)' before the downgrades.
The affirmations reflect S&P's assessment of reimbursement of any
interest shortfalls on the affected classes during recent
remittance periods.
Rating Actions
Bear Stearns ALT-A Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A 07386HCE9 AAA/Watch Neg (sf) AAA (sf)
Bear Stearns ARM Trust 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-1-A-1 07384MF80 A (sf) A (sf)/Watch Neg
I-1-A-2 07384MF98 A (sf) A (sf)/Watch Neg
I-1-A-3 07384MG22 A (sf) A (sf)/Watch Neg
JPMorgan Mortgage Trust 2004-A2
Series 2004-A2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-5 466247CT8 D (sf) CC (sf)
Morgan Stanley Mortgage Loan Trust 2005-6AR
Series 2005-6AR
Rating
------
Class CUSIP To From
----- ----- -- ----
6-A-1 61748HMU2 BB- (sf) BB- (sf)/Watch Neg
Ryland Mortgage Securities Corp.
Series 1991-15
Rating
------
Class CUSIP To From
----- ----- -- ----
B 783766GV4 BB (sf) BBB- (sf)
Saxon Mortgage Securities Corp.
Series 1992-1
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 805570AC2 BBB-/Watch Neg (sf) BBB- (sf)
Structured Asset Securities Corp.
Series 2003-34A
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 86359A4U4 AAA/Watch Neg (sf) AAA (sf)
B1-I 86359A5W9 BBB-/Watch Neg (sf) BBB- (sf)
* S&P Downgrades Ratings on Six Tranches From Three CDO Deals
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
tranches from three U.S. cash flow and hybrid collateralized debt
obligation transactions and removed three of them from CreditWatch
with negative implications. S&P affirmed its ratings on six other
tranches from three transactions and removed two of the ratings
from CreditWatch negative.
The CDO downgrades reflect a number of factors, including credit
deterioration and S&P's negative rating actions on the underlying
U.S. subprime residential mortgage-backed securities.
The six downgraded U.S. cash flow and hybrid tranches have a total
issuance amount of $656.5 million. All three 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 affirmations reflect the 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
----------- ----- -- ----
Pacific Shores CDO Ltd. A AA- (sf) AA- (sf)/Watch Neg
Pacific Shores CDO Ltd. B-1 CCC- (sf) CCC (sf)/Watch Neg
Pacific Shores CDO Ltd. B-2 CCC- (sf) CCC (sf)/Watch Neg
Pasadena CDO Ltd. A BB+ (sf) BBB (sf)/Watch Neg
Pasadena CDO Ltd. B CC (sf) CCC- (sf)
Saturn Ventures 2005-1 A-1 BB+ (sf) BB+ (sf)/Watch Neg
Saturn Ventures 2005-1 A-2 D (sf) CC (sf)
Saturn Ventures 2005-1 A-3 D (sf) CC (sf)
Ratings Affirmed
Transaction Class Rating
----------- ----- ------
Pacific Shores CDO Ltd. C CC (sf)
Pasadena CDO Ltd. C CC (sf)
Saturn Ventures 2005-1 B CC (sf)
Saturn Ventures 2005-1 C CC (sf)
* S&P Puts Ratings on 117 Tranches on CreditWatch Positive
----------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 117
tranches from 78 corporate-backed synthetic collateralized debt
obligation transactions on CreditWatch positive. At the same
time, S&P placed its ratings on three tranches from two corporate-
backed synthetic CDO transactions, one tranche from one synthetic
CDO transaction backed by residential mortgage securities, and
nine tranches from six synthetic CDO transactions backed by
commercial mortgage-backed securities on CreditWatch negative. In
addition, S&P affirmed its rating on one tranche from one
corporate-backed synthetic CDO transaction and removed it from
CreditWatch negative. The CreditWatch placements and affirmations
followed S&P's monthly review of U.S. synthetic CDO transactions.
The CreditWatch positive placements reflect seasoning of the
transactions, rating stability of the obligors in the underlying
reference portfolios over the past few months, and synthetic rated
overcollateralization ratios that had risen above 100% at the next
highest rating level. The CreditWatch negative placements reflect
negative rating migration in the respective portfolios and SROC
ratios that had fallen below 100% as of the August month-end run.
The affirmation reflects improvements in the respective portfolio
and a SROC ratio that moved above 100% at the tranche's current
rating level.
* S&P Takes Rating Actions on 31 Classes From 15 Housing Deals
--------------------------------------------------------------
Standard & Poor's Ratings Services took various rating actions on
31 classes from 15 GreenPoint manufactured housing asset-backed
securities transactions. Overall, S&P raised its ratings on four
classes, lowered its ratings on three classes, and affirmed its
ratings on 24 classes.
All 15 transactions are experiencing higher cumulative net losses
than S&P originally anticipated when the transactions were issued.
The increase in losses can be attributed to increased default
frequencies and loss severities.
The upgrades on the four classes from Lehman ABS Manufactured
Housing Contract Trust 2002-A reflect S&P's assessment of its
revised remaining cumulative net loss expectation compared with
the growth in the transaction's credit enhancement. This
transaction has benefited from an existing turbo provision which,
to the extent there is excess spread available, will make
additional pro rata payments each month. This turbo provision has
increased the current overcollateralization level. As is the case
with the excess spread, this transaction's normal principal
distribution is pro rata. While most of the classes receive a
share based on their initial percentage of the total initial
liability balance, the class B-1 is receiving the class B
percentage (which includes the sum of the class B-1 and the
unrated class B-2 certificate balances) of principal payments.
Consequently, its principal balance is being reduced more quickly
than classes M-1 and M-2, which are senior to the class B-1
certificates. Based on the class B-1's current balance and the
level of principal payments this certificate is currently
receiving, it may be paid in full before the classes it is
subordinate to. Thus, S&P's 'A-' rating on the class B-1
certificate reflects both its expectation of the remaining
lifespan of the class B-1 as well as its subordinated position in
the transaction's capital structure.
The downgrade of the class IA from Manufactured Housing Contract
Trust Pass-Through Certificates Series 2000-3 reflects negative
collateral performance trends and dissipating credit support
available to cover its revised remaining expected losses. The
class IM-1 certificates, which provides the primary source of
available credit enhancement (in the form of subordination) to the
IA certificates, has been experiencing monthly write-downs that
have caused the credit enhancement to the IA class to erode.
The downgrades of the class IA-2 and IIA-2 certificates issued by
Manufactured Housing Contract Trust Pass-Through Certificates
Series 2001-1 reflect Standard & Poor's underlying ratings (SPURs;
'B- (sf)') on the certificates. The certificates also benefit
from a bond insurance policy issued by Radian Insurance Inc.
(Radian; not rated). According to S&P's criteria, the issue
credit rating on a fully credit-enhanced issue is the higher of
(i) the rating on the credit enhancer; and (ii) the SPUR on the
securities.
The affirmations reflect S&P's view that the existing credit
enhancement (including support provided by bond insurers where
appropriate) compared with S&P's revised remaining cumulative net
loss expectations is sufficient to support the current ratings.
Table 1
Collateral Performance (%)
As of the September 2010 Determination date
Pool Current 90+ day Lifetime
Series Mo. factor CNL delinq.(i) CNL exp.(ii)
------ --- ------ ------- ---------- ------------
1998-1 142 24.05 21.95 0.52 27.00-28.00
1999-1 139 25.45 27.63 1.04 34.00-35.00
1999-2 138 21.29 24.63 0.96 29.00-30.00
1999-3 136 25.03 31.40 0.89 40.00-41.00
1999-4 132 21.18 28.36 1.49 35.00-36.00
1999-6 129 22.89 29.37 1.32 37.00-38.00
2000-2 126 23.16 30.87 0.96 39.00-40.00
2000-3 I 124 21.92 27.49 1.97 34.00-35.00
2000-3 II 124 27.75 27.36 0.97 36.00-37.00
2000-4 120 24.80 22.96 1.92 30.00-31.00
2000-5 120 28.08 21.66 0.63 30.00-31.00
2000-6 117 25.89 18.00 2.35 25.00-26.00
2000-7 117 28.34 17.75 1.10 25.00-26.00
2001-1 I 114 19.51 16.70 1.89 21.00-22.00
2001-1 II 114 27.26 14.26 1.22 20.00-21.00
Lehman 02A 97 27.76 10.17 1.68 15.00-16.00
Madison 02A*101 31.96 23.10 0.97 33.00-34.00
(i) Aggregate 90-plus day delinquencies as a percent of pool
balance.
(ii) Lifetime CNL expectations based on current performance data.
CNL -- cumulative net loss.
* As of August 2010 distribution date.
In addition to the support that bond insurance provides to many of
these transactions, initial credit enhancement for the rated
classes in these transactions was provided through any combination
of overcollateralization, subordination, letter of credit
accounts, and excess spread. However, in many cases, the high
loss levels have eroded credit enhancement, particularly excess
spread and subordination levels (which have been reduced by
varying degrees through principal write-downs on the subordinate
and, in some cases, mezzanine classes).
Standard & Poor's will continue to monitor the performance of
these transactions to assess whether, based on S&P's criteria,
available credit enhancement remains adequate to support its
ratings on each class under various stress scenarios.
Ratings Raised
Lehman ABS Manufactured Housing Contract Trust 2002-A
Rating
------
Class To From
----- -- ----
A AA+ (sf) AA (sf)
M-1 AA- (sf) A+ (sf)
M-2 A- (sf) BBB+ (sf)
B-1 A- (sf) BB+ (sf)
Ratings Lowered
Manufactured Housing Contract Trust Pass-Thru Certs
Rating
------
Series Class To From
------ ----- -- ----
2000-3 IA CCC- (sf) CCC (sf)
2001-1 IM-2 B- (sf) B+ (sf)
2001-1 IIM-2 B- (sf) B+ (sf)
Ratings Affirmed
GreenPoint Credit Manufactured Housing Contract Trust
Series Class Rating
------ ----- ------
1998-1 IA BB+ (sf)
1998-1 IIA BB+ (sf)
1999-1 A-5 BB+ (sf)
1999-2 A-2 BB+ (sf)
1999-3 IA-6 BB+ (sf)
1999-3 IA-7 BB+ (sf)
1999-3 IIA-2 BB+ (sf)
1999-4 A-2 BB+ (sf)
2000-2 A-2 BB+ (sf)
Manufactured Housing Contract Trust Pass-Through Certs
Series Class Rating
------ ----- ------
1999-6 A-2 BB+ (sf)
Manufactured Housing Contract Trust Pass-Thru Certs
Series Class Rating
------ ----- ------
2000-3 IIA-2 BB+ (sf)
2000-4 A-3 AAA (sf)
2000-5 A-3 BB+ (sf)
2000-6 A-3 AAA (sf)
2000-7 A-2 BB+ (sf)
2001-1 IA AAA (sf)
2001-1 IM-1 AA- (sf)
2001-1 IIA AAA (sf)
2001-1 IIM-1 AA (sf)
Madison Avenue Manufactured Housing Contract Trust 2002-A
Class Rating
----- ------
A-1 AA (sf)
M-1 A+ (sf)
M-2 BBB+ (sf)
B-1 B- (sf)
B-2 CCC- (sf)
* S&P Withdraws 'BB' Rating on Bell, California's GO Bonds
----------------------------------------------------------
Standard & Poor's Ratings Services has withdrawn its 'BB' long-
term rating on Bell, California's general obligation and GO
pension obligation bonds, its 'BB-' underlying rating on Bell
Community Housing Authority's series 2005 lease revenue bonds, and
its 'BBB+' SPUR on Bell Community Redevelopment Agency's tax
allocation bonds, due to the lack of timely information made
available to Standard & Poor's by the city.
* S&P Withdraws Ratings on 35 Classes From Nine CMBS Deals
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 35
classes from nine U.S. commercial mortgage-backed securities
transactions.
S&P withdrew its ratings on 35 classes from nine CMBS transactions
following the downgrade of all outstanding ratings from each
transaction to 'D (sf)'. S&P had previously lowered the majority
of the ratings to 'D (sf)' due to recurring or accumulated
interest shortfalls. S&P had previously lowered a smaller number
of ratings to 'D (sf)' following principal losses to the classes.
The recurring and accumulated interest shortfalls primarily
occurred due to one or more of these factors:
* Appraisal subordinate entitlement reductions in effect for the
specially serviced assets;
* Trust expenses that may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses; and
* Special servicing fees.
Details regarding each of the nine transactions are below.
Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-FL2
S&P lowered its ratings to 'D (sf)' on classes J, K, and L from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2001-FL2 on Feb. 14, 2008, due to accumulated interest shortfalls.
S&P lowered its ratings to 'D (sf)' on classes M and N from the
same transaction on Feb. 27, 2006, due to recurring interest
shortfalls related to the nonrecoverability determination made on
the largest asset in the trust at the time. According to the
September 2010 trustee report, accumulated interest shortfalls
totaling $6.7 million are outstanding on class J, K, L, M, and N.
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-CND1
S&P lowered its ratings to 'D (sf)' on classes A-2, B, C, D, and E
from Credit Suisse First Boston Mortgage Securities Corp.'s series
2005-CND1 on April 1, 2009, due to recurring interest shortfalls
related to a nonrecoverability determination on one asset, as well
as an appraisal reduction amount on a second asset at that time.
According to the September 2010 trustee report, the transaction
has sustained a principal loss of $59.7 million, which affected
class A-2 and all of its subordinate classes.
DLJ Mortgage Acceptance Corp. Series 1997-CF1
S&P lowered its ratings to 'D (sf)' on classes B-3 and B-4 from
DLJ Mortgage Acceptance Corp.'s series 1997-CF1 on April 18, 2002,
and Oct. 9, 2001, to reflect accumulated interest shortfalls.
According to the September 2010 trustee report, cumulative
realized losses total $37.6 million, which affected class B-3 and
all of the classes subordinate to it.
Hometown Commercial Trust 2007-1
S&P lowered its ratings to 'D (sf)' on classes A, B, and C from
Hometown Commercial Trust 2007-1 on April 23, 2010, and May 14,
2010, following principal losses sustained by the classes. S&P
lowered its ratings to 'D (sf)' on classes D, E, F, G, H, J, K, L,
and M from the same transaction on March 3, 2009, due to recurring
interest shortfalls as a result of ARAs. According to the
September 2010 trustee report, cumulative realized losses total
$26.5 million and have affected every principal paying class from
the transaction.
LB Commercial Conduit Mortgage Trust Series 1995-C2
S&P lowered its ratings to 'D (sf)' on classes F from LB
Commercial Conduit Mortgage Trust's series 1995-C2 on Aug. 10,
2005, due to a principal loss sustained by the class following the
liquidation of two real estate owned lodging assets in Ft. Worth,
Texas. According to the September 2010 trustee report, the
transaction has incurred $10.3 million in realized losses, which
have affected class F and its subordinate class.
Merrill Lynch Mortgage Investors Inc. Series 1996-C1
S&P lowered its rating to 'D (sf)' on class F from Merrill Lynch
Mortgage Investors Inc.'s series 1996-C1 on April 9, 2002, due to
accumulated interest shortfalls. While there are no remaining
accumulated interest shortfalls affecting class F according to the
September 2010 trustee report, interest shortfalls affected the
class each month between November 2003 and May 2006, as well as
for several months intermittently in 2002 and 2003.
Merrill Lynch Mortgage Investors Inc. Series 1997-C1
S&P lowered its rating to 'D (sf)' on class H from Merrill Lynch
Mortgage Investors Inc.'s series 1997-C1 on April 23, 2002, due to
accumulated interest shortfalls. According to the September 2010
trustee report, cumulative realized losses total $25.7 million,
which affected class H and its subordinate class.
Mezz Cap Commercial Mortgage Trust 2006-C4
S&P lowered its ratings to 'D (sf)' on classes A, B, C, D, E, and
F from Mezz Cap Commercial Mortgage Trust 2006-C4 on Aug. 28,
2009, and May 13, 2009, due to accumulated interest shortfalls.
According to the September 2010 trustee report, the accumulated
interest shortfalls total $3.3 million and have affected the class
B certificates and all of its subordinate classes. While the
interest shortfalls affecting class A were repaid as noted in the
September 2010 trustee report, interest shortfalls affected the
class each month between June 2009 and August 2010.
Prudential Securities Secured Financing Corp. Series 1995-MCF-2
S&P lowered its ratings to 'D (sf)' on classes G and H from
Prudential Securities Secured Financing Corp.'s series 1995-MCF-2
on June 10, 2002, due to accumulated interest shortfalls related
to ARAs, nonrecoverable determinations, and property protection
advances. According to the September 2010 trustee report, the
transaction has incurred $9.6 million in realized losses, which
affected the class H certificates and its subordinate class.
Prior to the repayment in full of the class G certificates'
principal balance as noted in the June 2006 trustee report,
interest shortfalls affected the class each month between May 2002
and September 2003.
Ratings Withdrawn
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-FL2
Rating
------
Class To From
----- -- ----
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
N NR D (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-CND1
Rating
------
Class To From
----- -- ----
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
DLJ Mortgage Acceptance Corp.
Commercial mortgage pass-through certificates series 1997-CF1
Rating
------
Class To From
----- -- ----
B-3 NR D (sf)
B-4 NR D (sf)
Hometown Commercial Trust 2007-1
Commercial mortgage pass-through notes
Rating
------
Class To From
----- -- ----
A NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
G NR D (sf)
H NR D (sf)
J NR D (sf)
K NR D (sf)
L NR D (sf)
M NR D (sf)
LB Commercial Conduit Mortgage Trust
Multi-class pass-through certificates series 1995-C2
Rating
------
Class To From
----- -- ----
F NR D (sf)
Merrill Lynch Mortgage Investors Inc.
Commercial mortgage pass-through certificates series 1996-C1
Rating
------
Class To From
----- -- ----
F NR D (sf)
Merrill Lynch Mortgage Investors Inc.
Commercial mortgage pass-through certificates series 1997-C1
Rating
------
Class To From
----- -- ----
H NR D (sf)
Mezz Cap Commercial Mortgage Trust 2006-C4
Commercial mortgage pass-through certificates
Rating
------
Class To From
----- -- ----
A NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
F NR D (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series 1995-MCF-2
Rating
------
Class To From
----- -- ----
G NR D (sf)
H NR D (sf)
*********
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
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Each Tuesday edition of the TCR contains a list of companies with
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then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
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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.
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