/raid1/www/Hosts/bankrupt/TCR_Public/110306.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, March 6, 2011, Vol. 15, No. 64
Headlines
ABACUS 2006-NS2: S&P Downgrades Ratings on Two Classes to 'D'
ACCESS GROUP: Moody's Upgrades Ratings on Seven Classes of Notes
BELLA VISTA: Moody's Downgrades Ratings on Five Tranches
CBRE REALTY: S&P Downgrades Ratings on Six Classes of Notes
CD2007-CD4 COMMERCIAL: Moody's Downgrades Ratings on Eight Notes
CLAREGOLD TRUST: Moody's Affirms Ratings on 13 Classes of Notes
COBALT CMBS: Fitch Downgrades Ratings on 11 2006-C1 Certificates
COMM 2006-FL12: S&P Downgrades Ratings on Various Classes of Notes
CREDIT SUISSE: Fitch Downgrades Ratings on 17 2006-C4 Certs.
CREDIT SUISSE: Moody's Affirms Ratings on Nine 2003-CK2 Certs.
CREDIT SUISSE: Moody's Affirms Ratings on 22 2007-C4 Certs.
CRYSTAL RIVER: Fitch Takes Rating Actions on Various Classes
DBUBS 2011-LC1: Fitch Gives Ratings on Various Classes of Notes
DBUBS 2011-LC1: Moody's Assigns Ratings to 11 2011-LC1 Certs.
DIVERSIFIED ASSET: Fitch Affirms Ratings on Four Classes of Notes
DSLA MORTGAGE: Moody's Downgrades Ratings on 27 Tranches
EATON VANCE: S&P Downgrades Rating on Class A Notes to 'CC'
FALCON AUTO: Moody's Downgrades Ratings on Six Classes of Certs.
FIRST CHICAGO: Fitch Affirms Ratings on Class G 1997-CHL1 Notes
FRASER SULLIVAN: Moody's Upgrades Ratings on Five Classes
GREENWICH CAPITAL: Moody's Downgrades Ratings on 2003-C1 Certs.
HEALTH EDUCATIONAL: Fitch Affirms Ratings on Various Series
IXION PLC: S&P Downgrades Ratings on Various Classes to 'D'
JP MORGAN: Moody's Downgrades Ratings on Series 2006-LDP8 Certs.
JP MORGAN: Moody's Confirms Ratings on Two 2005-CIBC11 Certs.
LB COMMERCIAL: Moody's Downgrades Ratings on Two 2007-C3 Certs.
LB-UBS COMMERCIAL: Moody's Upgrades Rating on 2001-C1 Certs.
LNR CDO: Fitch Takes Rating Actions on Various Classes of Notes
LOUISIANA HOUSING: S&P Reinstates 'B' Rating on Housing Bonds
MASTR ALTERNATIVE: Moody's Downgrades Ratings on 105 Tranches
MASTR ADJUSTABLE: Moody's Downgrades Ratings on 196 Tranches
MERRILL LYNCH: Moody's Affirms Ratings on 17 Classes of Notes
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 13 Certificates
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 19 2007-8 Certs.
MORGAN STANLEY: Fitch Assigns Ratings on Various 2011-C1 Certs.
MORGAN STANLEY: Moody's Takes Rating Actions on Various Classes
MORGAN STANLEY: S&P Raises Rating on Class A-13 Notes to 'BB-'
MOUNTAIN CAPITAL: Moody's Upgrades Ratings on Two Classes of Notes
MOUNTAIN CAPITAL: Moody's Upgrades Ratings on Various Classes
NOMURA ASSET: Moody's Downgrades Ratings on 46 Tranches
NORTEL NETWORKS: Moody's Affirms 'C' Rating on 2001-1 Certs.
NORTHEAST HOUSING: Moody's Reviews Ratings on $335 Mil. Bonds
PACIFICA CDO: Moody's Upgrades Ratings on Five Classes of Notes
PREFERREDPLUS TRUST: Moody's Lifts Rating on CTR-1 Certs. to 'B2'
REAL ESTATE: Moody's Affirms Ratings on 19 Classes of Certificates
REVE SPC: S&P Downgrades Ratings on Two Series of Notes
RFMSI SERIES: S&P Downgrades Rating on Class II-A-1 Notes
ROCK 2001-C1: Moody's Downgrades Ratings on Various Classes
SCHOONER TRUST: Moody's Upgrades Ratings on 2004-CCF1 Notes
SCHOONER TRUST: Moody's Affirms Ratings on 15 2007-8 Certificates
SCIENS CFO: Fitch Withdraws Ratings on Various Classes of Notes
SCORE SPC: S&P Downgrades Rating on Class M Notes to 'D'
SEQUOIA MORTGAGE: Fitch Assigns Ratings on Various Classes
SOLAR TRUST: Moody's Upgrades Ratings on Two Classes of Certs.
SPGS SPC: S&P Downgrades Ratings on Three Notes to 'D'
STACK LTD: S&P Downgrades Ratings on All Classes of 2005-1 Notes
STRUCTURED ASSET: Moody's Downgrades Rating on Various Classes
TRIAD AUTOMOBILE: Moody's Assigns Ratings on Various Classes
* Fitch Affirms Ratings on Two of Orlando, Florida Bonds
* Fitch Downgrades Ratings on 361 Bonds From 205 US RMBS Deals
* Moody's Affirms 'Ba1' Rating on Town of East Greenbush's Bonds
* S&P Downgrades Ratings on 500 Certs. From 324 RMBS Deals to 'D'
* S&P Downgrades Ratings on Five Certs. From Five RMBS Deals
* S&P Puts Rating on 20 Tranches From 20 Corporate-Backed CDOs
* S&P Puts Ratings on 133 Tranches From 36 CDO Transactions
* Moody's Reviews 'Ba2' Rating on The City of Salem's Bonds
* S&P Downgrades Ratings on 69 Classes of Certs. From Nine CMBS
*********
ABACUS 2006-NS2: S&P Downgrades Ratings on Two Classes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class P and Q notes from ABACUS 2006-NS2 Ltd., a synthetic
collateralized debt obligation, to 'D (sf)' from 'CCC- (sf)'.
The downgrades follow a number of write-downs in the transaction's
underlying reference portfolio, which have caused the class P
notes to incur partial principal losses and the class Q notes to
incur a complete principal loss.
Ratings Lowered
ABACUS 2006-NS2 Ltd.
Rating
------
Series To From
------ -- ----
P D (sf) CCC- (sf)
Q D (sf) CCC- (sf)
ACCESS GROUP: Moody's Upgrades Ratings on Seven Classes of Notes
----------------------------------------------------------------
Moody's Investors Service upgraded seven classes of subordinated
notes from six Access Group Inc. securitizations backed by private
student loans extended mainly to graduate students. Moody's has
also placed on review for possible downgrade Class B notes from
the 2003A transaction. Access Group is the administrator and
servicer of the trusts.
Ratings Rationale
The upgrades result from a correction of Moody's analysis
regarding available credit enhancement. Previous rating actions
inadvertently failed to include credit enhancement from the cash
in the collection, principal and interest accounts. The analysis
has been updated to include this additional enhancement, and the
rating actions reflect this correction.
Although Moody's expected defaults for each transaction have
increased to 9.5 to 12% from 8.8 to 11%, available credit
enhancement, including overcollateralization, capitalized interest
account, excess spread, cash in other trust accounts and
subordination for senior notes, more than offsets the slightly
negative trends. Loans which are more than thirty days delinquent
as a percent of loans in active repayment, i.e. borrowers are not
in school, grace, deferment and forbearance, have increased since
the second half of 2009 and remained elevated, ranging from 4 to
6%. Cumulative defaults to date are 10% or higher for the private
portion of the 2001 deal, approximately 8% for the 2002A and 2003A
deals, and between 4-6% for the remaining deals. Most borrowers
have exhausted the forbearance allowable under Access' forbearance
policy, which will contribute to higher future defaults. Moody's
are increasing Moody's expected lifetime default levels to a range
of 10 to 14% for all the private student loan transactions.
Significant structural features include subordinate note interest
triggers, capitalized interest account floors, and the change in
cash flow allocations among the senior classes under the
occurrence of certain events. In particular, senior notes benefit
from the subordinate note interest and principal triggers, which
both redirect cash flow allocations on the subordinate notes to
the senior notes.
Our expected lifetime net losses as a percentage of the adjusted
original pool balance plus any loans added and cumulative
capitalized interest subsequently are approximately 9.6%,
8.8%,8.8%,8.8%, 8.8%, 7.6% and 9.6% respectively for the 2001
Group II , 2002-A, 2003A, 2004A, 2005A, 2005-B and 2007A trusts.
The ratings of the most junior Class A tranches could be upgraded
in the future if the lifetime expected net losses are 10% lower,
or downgraded if the lifetime expected net losses are 10% higher
than the levels indicated above.
During the review period, Moody's will continue to refine its
assessment of losses relative to the available credit enhancement.
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 uncertainty with
regard to expected losses are the weak economic environment and
the high unemployment rate, which adversely impacts the income-
generating ability of the borrowers. Overall, Moody's central
global scenario remains "Hook-shaped" for 2010 and 2011; Moody's
expect overall a sluggish recovery in most of the world largest
economies, returning to trend growth rate with elevated fiscal
deficits and persistent unemployment levels.
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.
Ratings
Issuer: Access Group, Inc., Federal Student Loan Asset-Backed
Notes, Series 2001
-- Cl. B, Upgraded to A3; previously on Sept. 30, 2009
Downgraded to Baa2
Issuer: Access Group, Inc. Series 2002-A
-- Subordinate 2002-A Cl. B, Upgraded to A2; previously on
Sept. 30, 2009 Downgraded to Ba1
Issuer: Access Group, Inc., Series 2003-A
-- Senior Ser. 2003-A Cl. B, A2 Placed Under Review for
Possible Downgrade; previously on May 9, 2003 Assigned A2
Issuer: Access Group, Inc., Private Student Loan Asset-Backed
Notes, Series 2004-A
-- B-1, Upgraded to A3; previously on Sept. 30, 2009 Downgraded
to Baa1
-- B-2, Upgraded to A3; previously on Sept. 30, 2009 Downgraded
to Baa1
Issuer: Access Group, Inc., Private Student Loan Asset-Backed
Floating Rate Notes, Series 2005-A
-- 2005-A-B-1, Upgraded to Ba1; previously on June 30, 2009
Downgraded to B1
Issuer: Access Group Inc. Private Student Loan asset-Backed
Floating Rate Notes, Series 2005-B
-- 2005-B Cl. B-2, Upgraded to A3; previously on Jan. 4, 2010
Assigned Baa3
Issuer: Access Group, Inc. Private Student Loan Asset-Backed
Floating Rate Notes, Series 2007-A
-- 2007-A-B, Upgraded to A3; previously on June 30, 2009
Downgraded to Baa1
BELLA VISTA: Moody's Downgrades Ratings on Five Tranches
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 5 tranches
from Bella Vista Mortgage Trust 2004-2. The collateral backing
the deal primarily consists of first-lien, adjustable rate,
negative amortization residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of Option
ARM pools securitized before 2005. Although most of these pools
have paid down significantly, the remaining loans are affected by
the housing and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Alt-A
pools issued from prior 2005. The principal methodology used in
these ratings was "Pre-2005 US RMBS Surveillance Methodology"
published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project
losses on pools with fewer than 100 loans, Moody's first estimates
a "baseline" average rate of new delinquencies for the pool that
is dependent on the vintage of loan origination (10%, 5% and 3%
for the 2004, 2003 and 2002 and prior vintage respectively). The
baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages. Once
the baseline rate is set, further adjustments are made based on 1)
the number of loans remaining in the pool and 2) the level of
current delinquencies in the pool. The fewer the number of loans
remaining in the pool, the higher the volatility in performance.
Once the loan count in a pool falls below 75, the rate of
delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 10.10%. in addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.5 to 2.0 for current delinquencies ranging from less than
2.5% to greater than 30% respectively. Delinquencies for
subsequent years and ultimate expected losses are projected using
the approach described in the methodology publication.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 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: Bella Vista Mortgage Trust 2004-2
-- Cl. A-1, Downgraded to Caa3 (sf); previously on April 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa2 (sf); previously on April 12,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C (sf); previously on April 12, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to C (sf); previously on April 12, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Ca (sf); previously on April 12, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
CBRE REALTY: S&P Downgrades Ratings on Six Classes of Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes from CBRE Realty Finance CDO 2007-1 Ltd., also known as
RFC CDO 2007-1, a commercial real estate collateralized debt
obligation transaction. At the same time, S&P affirmed its 'CCC-
(sf)' ratings on eight other classes from the same transaction.
The downgrades and affirmations follow S&P's analysis of the
transaction due primarily to its view of the deterioration in the
transaction's collateralization ratio, which fell to 84.8% as of
the Jan. 31, 2011 trustee report, from 94.2% as of the June, 29,
2010 trustee report. The downgrades also reflect S&P's view of
the transaction's exposure to underlying commercial mortgage-
backed securities and resecuritized real estate mortgage
investment conduit collateral that has experienced negative rating
actions. The downgraded underlying collateral come from 15
transactions and total $90.9 million (11.9% of the total asset
balance).
According to the Jan. 31, 2011 trustee report, the transaction's
collateral totaled $763.3 million, while the transaction's
liability totaled $900.1 million, resulting in a collateralization
ratio of 84.8%. The transaction's current asset pool included
these:
* Sixteen whole loans and senior interest loans ($373.7 million,
49% of the collateral pool);
* Twelve subordinate-interest loans ($174.1 million, 22.8%);
* Forty-one CBMS and re-REMIC tranches ($196.3 million, 25.7%);
One CRE CDO tranche ($5 million, 0.7%); and
* Cash ($14.2 million, 1.9%).
S&P's analysis of CBRE 2007-1 also reflected its view of the
transaction's exposure to these CMBS certificates that Standard &
Poor's has downgraded:
* GS Mortgage Securities Trust 2006-GG6 (classes H and J; $18.4
million, 2.4%);
* LB-UBS Commercial Mortgage Trust 2006-C4 (class K; $10 million,
1.3%); and
* JPMorgan Chase Commercial Mortgage Securities Corp series 2005-
LDP2 (classes K and L; $9 million, 1.2%).
The trustee report noted eight defaulted loans in the pool
($142.3 million, 18.7%), as well as 24 defaulted securities
($133.1 million, 17.4%). Standard & Poor's estimated asset
specific recovery rates for the loan assets reported as defaulted,
which ranged from 0.0% to 54%. S&P based the recovery rates on
its assessment of information from the collateral manager, special
servicer, and third-party data providers. The defaulted loan
assets are:
* The Country Club Apartments first mortgage loan ($30.6 million,
4.0%);
* The Greenbriar Apartments first mortgage loan ($27.3 million,
3.6%);
* The Riverton Apartments subordinate interest loan
($25.0 million, 3.3%);
* The Primera Court I&II and University Court first mortgage loan
($15.8 million, 2.1%);
* The Resorts International subordinate interest loan
($13.4 million, 1.8%);
* The Argent Hotel subordinate interest loan ($11 million, 1.4%);
* The Motown USA first mortgage loan ($10.5 million, 1.4%); and
* The Sterling Woods first mortgage loan ($8.7 million, 1.1%).
According to the trustee report, the deal is failing all interest
coverage tests and par value tests.
Standard & Poor's analyzed the transaction and its underlying
collateral assets according to S&P's current criteria. S&P's
analysis is consistent with the lowered and affirmed ratings.
Ratings Lowered
CBRE Realty Finance CDO 2007-1
Collateralized debt obligations
Rating
------
Class To From
----- -- ----
A-1 B- (sf) BB+ (sf)
A-1R B- (sf) BB+ (sf)
A-2 CCC- (sf) BB- (sf)
A-2R CCC- (sf) BB- (sf)
B CCC- (sf) B (sf)
C CCC- (sf) CCC (sf)
Ratings Affirmed
CBRE Realty Finance CDO 2007-1
Collateralized debt obligations
Class Rating
----- ------
D CCC- (sf)
E CCC- (sf)
F CCC- (sf)
G CCC- (sf)
H CCC- (sf)
J CCC- (sf)
K CCC- (sf)
L CCC- (sf)
CD2007-CD4 COMMERCIAL: Moody's Downgrades Ratings on Eight Notes
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes,
confirmed two classes and affirmed 17 classes of CD2007-CD4
Commercial Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2007-CD4:
-- Cl. A-2A, Afffirmed at Aaa (sf); previously on April 10, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2B, Afffirmed at Aaa (sf); previously on April 10, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Afffirmed at Aaa (sf); previously on April 10, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-SB, Afffirmed at Aaa (sf); previously on April 10, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XC, Afffirmed at Aaa (sf); previously on April 10, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XP, Afffirmed at Aaa (sf); previously on April 10, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XW, Afffirmed at Aaa (sf); previously on April 10, 2007
Assigned Aaa (sf)
-- Cl. A-4, Confirmed at Aaa (sf); previously on Feb. 3, 2011
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-1A, Confirmed at Aaa (sf); previously on Feb. 3, 2011
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-MFX, Downgraded to A1 (sf); previously on Feb. 3, 2011
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-MFL, Downgraded to A1 (sf); previously on Feb. 3, 2011
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-J, Downgraded to B1 (sf); previously on Feb. 3, 2011
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to B3 (sf); previously on Feb. 3, 2011 Ba2
(sf) Placed Under Review for Possible Downgrade
-- Cl. C, Downgraded to Caa2 (sf); previously on Feb. 3, 2011 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to Ca (sf); previously on Feb. 3, 2011 Caa1
(sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to C (sf); previously on Feb. 3, 2011 Caa3
(sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to C (sf); previously on Feb. 3, 2011 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. H, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. J, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. G, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. K, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. L, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. M, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. N, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. O, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. P, Afffirmed at C (sf); previously on March 4, 2010
Downgraded to C (sf)
-- Cl. Q, Afffirmed at C (sf); previously on March 4, 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 their
current ratings.
On February 3, 2011 Moody's placed 10 classes on review for
possible downgrade. This action concludes Moody's review.
Moody's rating action reflects a cumulative base expected loss of
11.3% of the current balance. At last review, Moody's cumulative
base expected loss was 9.3%. Moody's stressed scenario loss is
25% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates 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 credit estimates 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 March 4th, 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 six months.
Deal Performance
As of the January 31st, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $6.4 billion
from $6.6 billion at securitization. The Certificates are
collateralized by 375 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans representing 34%
of the pool. The pool contains two loans with investment grade
credit estimates, representing 12% of the pool.
One-hundred-two 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 Moody's last
review, resulting in an aggregate realized loss of $3.3 million
(63% loss severity overall). Forty loans, representing 19% of the
pool, are currently in special servicing. At last review 13% of
the pool was in special servicing. Moody's has estimated an
aggregate $568 million loss (45% expected loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for 14 poorly
performing loans representing 5% of the pool and has estimated a
$43 million aggregate loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 77%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 108% compared to 124% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10% 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 1.38X and 0.94X, respectively, compared to
1.32X and 0.91X 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 48, essentially the same at last review.
The largest loan with a credit estimate is the 9 West 57th Street
Loan ($400 million -- 6.2%), which is secured by a 1.6 million
square foot Class A office building located in the Plaza District
office submarket of Manhattan. The property is 50% leased,
compared to 53% at last review and 81% at securitization. The
decline in occupancy is largely attributed to Bank of America
vacating 37% of the net rentable area at the expiration of its
lease in October 2008. Despite the recent occupancy decline,
Moody's has a positive outlook for this property due to the strong
market and the quality of the asset. The loan sponsor is Sheldon
H. Solow and the loan is interest only for its entire five-year
term. Moody's current credit estimate and stressed DSCR are Baa3
and 1.17X, respectively, compared to Baa3 and 1.24X at last
review.
The second loan with a credit estimate is the Ala Moana Portfolio
($355 million -- 5.5%), which represents a pari passu interest in
a $1.4 billion loan. The loan is secured by a 2 million square
foot mixed use retail and office property located in Honolulu,
Hawaii. The loan sponsor is General Growth Properties. The
property had been included in GGP's bankruptcy filing. The
bankruptcy plan resulted in a loan modification which included a
loan extension to June 2018 from September 2011 and amortization
based on a 25 year-year schedule commencing February 1, 2010. In
addition GGP was required to make a $150 million prepayment.
Performance has been stable and in line with last review. Moody's
current credit estimate and stressed DSCR are A3 and 1.31X,
respectively, compared to A3 and 1.1X at last review.
The top three performing conduit loans represent 12% of the pool
balance. The largest loan is the Mall of America Loan ($306
million -- 5%), which is secured by the borrower's interest in a
2.8 million square feet regional mall/entertainment center located
in Bloomington, Minnesota. The mall is anchored by Macy's,
Bloomingdales, Nordstrom and Sears, as well as a variety of
entertainment venues. The property was 92% leased as of September
2010, which is in line with last review. Performance has improved
since securitization. Moody's LTV and stressed DSCR are 89% and
0.94X, respectively, compared to 97% and 0.89X at last review.
The second largest loan is the One World Financial center Loan
($257 million -- 4%), which represents the pooled portion of a
$297.5 million first mortgage loan. The junior portion of the
loan is held within the trust and secures the non-pooled, or rake,
Classes WFC-1, WFC-2, WFC-3 and WFC-X. The loan is secured by a
1.6 million square foot office building located in the Battery
Park office submarket of Manhattan. The property was 100% leased
as of September, 2010, similar to last review. The property's
largest tenant is Cadwalder, Wickersham & Taft, which leases 35%
of the NRA through January 2025. Although the property's
performance has been stable since securitization, it has not
achieved the higher rent levels projected at securitization. The
loan sponsor is Brookfield Financial Properties, LP. The loan is
interest only for its entire ten-year term. Moody's LTV and
stressed DSCR are 101% and 0.88X, respectively, compared to 87%
and 1.09X at last review.
The third largest loan is the CGM AmeriCold Portfolio
($180 million -- 3%), which represents a pari passu interest in a
$325 million loan. The loan is secured by 15 cross-collateralized
and cross-defaulted cold storage properties located in ten
different states. The portfolio's performance has improved since
last review. Moody's LTV and stressed DSCR are 113% and 0.99X,
respectively, compared to 130% and 0.9X at last review.
CLAREGOLD TRUST: Moody's Affirms Ratings on 13 Classes of Notes
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes of
ClareGold Trust Commercial Mortgage Pass-Through Certificates,
Series 2007-2:
-- Cl. A-1, Affirmed at Aaa (sf); previously on July 26, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on July 26, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on July 26, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa2 (sf); previously on July 26, 2007
Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Affirmed at A2 (sf); previously on July 26, 2007
Definitive Rating Assigned A2 (sf)
-- Cl. D, Affirmed at Baa2 (sf); previously on July 26, 2007
Definitive Rating Assigned Baa2 (sf)
-- Cl. E, Affirmed at Baa3 (sf); previously on July 26, 2007
Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Affirmed at Ba3 (sf); previously on Aug. 27, 2009
Downgraded to Ba3 (sf)
-- Cl. G, Affirmed at B2 (sf); previously on Aug. 27, 2009
Downgraded to B2 (sf)
-- Cl. H, Affirmed at B3 (sf); previously on Aug. 27, 2009
Downgraded to B3 (sf)
-- Cl. J, Affirmed at Caa2 (sf); previously on Aug. 27, 2009
Downgraded to Caa2 (sf)
-- Cl. K, Affirmed at Caa2 (sf); previously on Aug. 27, 2009
Downgraded to Caa2 (sf)
-- Cl. L, Affirmed at Caa3 (sf); previously on Aug. 27, 2009
Downgraded to Caa3 (sf)
Ratings Rationale
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 their
current ratings.
Moody's rating action reflects a cumulative base expected loss of
1.1% of the current balance. At last review, Moody's cumulative
base expected loss was 2.8%. Moody's stressed scenario loss is
12.2% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates 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 credit estimates 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 August 27, 2009.
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.
Deal Performance
As of the January 31, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 7% to $439 million
from $475 million at securitization. The Certificates are
collateralized by 62 mortgage loans ranging in size from less than
1% to 16% of the pool, with the top ten loans representing 56% of
the pool. The pool contains three loans with investment grade
credit estimates that represent 15% of the pool. One loan,
representing 0.3% of the pool, has defeased and is collateralized
with Canadian Government securities.
Ten loans, representing 9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the 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.
There are no loans in special servicing and there have been no
realized losses to the pool to date. Moody's has assumed a high
default probability for one poorly performing loan representing
0.3% of the pool and has estimated a $1 million aggregate loss
(15% expected loss based on a 50% probability default) from this
troubled loan.
Moody's was provided with full year 2009 operating results for 72%
of the pool. Excluding the troubled loan, Moody's weighted
average LTV is 94% compared to 99% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 12%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9%.
Excluding the troubled loan, Moody's actual and stressed DSCRs are
1.39X and 1.11X, respectively, compared to 1.34X and 1.07X at last
review. Moody's actual DSCR is based on Moody's net cash flow and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, essentially the same at last review.
The largest loan with a credit estimate is the Grosvenor Building
Loan ($30 million -- 7%), which is secured by a 21 story class A
office building located in downtown Vancouver. The property was
93% leased as of December 2009, essentially the same as last
review. Performance has been stable. Moody's current credit
estimate and stressed DSCR are Baa3 and 1.27X, respectively,
compared to Baa3 and 1.39X at last review.
The second largest loan with credit estimate is the Wonderland
Centre loan ($20 million -- 5%) which is secured by 287,000 square
feet of retail space in London, Ontario. The property was 100%
leased as of February 2009, the same as last review. Moody's
current credit estimate and stressed DSCR are Baa2 and 1.47X,
respectively, compared to Baa3 and 1.27X at last review.
The third largest loan with credit estimate is the Victoria Place
Shopping Centre loan ($18 million -- 4%) which is secured by a
community shopping center located in a busy retail area in London,
Ontario. Currently the property is 100% leased which is the same
as last review and securitization, and all tenants have long term
leases. Moody's current credit estimate and stressed DSCR are
Baa2 and 1.47X, respectively, compared to Baa3 and 1.27X at last
review.
The top three performing conduit loans represent 29% of the pool
balance. The largest loan is the Holiday Portfolio Loan
($72 million -- 16.0%), which is secured by four cross-
collateralized independent living properties located in various
provinces. Occupancy is approximately 89%, which is in line with
last review, compared to 93% at securitization. Moody's LTV and
stressed DSCR are 117% and 0.83X, respectively, compared to 131%
and .074X at last review.
The second largest loan is the Complexe University Loan
($40 million - 9.0%), which is secured by two adjacent Class B
office buildings located in downtown Montreal. The properties are
99% leased, essentially the same at last review. Moody's LTV and
stressed DSCR are 66% and 1.53X, respectively, compared to 85% and
1.18X at last review.
The third largest loan is the Madison Centre Loan ($15.5 million -
- 3.5%), which is secured by a grocery anchored retail shopping
center located in Burnaby, British Columbia. The property was 99%
leased as of April 2009, essentially the same as last review and
securitization. Moody's LTV and stressed DSCR are 109% and 0.87X,
respectively, compared to 119% and 0.8X at last review.
COBALT CMBS: Fitch Downgrades Ratings on 11 2006-C1 Certificates
----------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 11 classes of commercial mortgage pass-through
certificates from Cobalt CMBS Commercial Mortgage Trust series
2006-C1 due to an increase in expected losses on the specially
serviced loans and further deterioration of collateral
performance. In addition, Fitch has assigned Rating Outlooks and
Recovery Ratings, as applicable.
The downgrades reflect an increase in Fitch modeled losses across
the pool, which includes assumed losses on loans in special
servicing and on performing loans with declines in performance
indicative of a higher probability of default. Fitch modeled
losses of 9.86% of the current pool balance based on expected
losses on the specially serviced loans and loans that could not
refinance at maturity; expected losses of the original pool are
10.4%.
As of the February 2011 distribution date, the pool's aggregate
principal balance (including rakes) has decreased 9% to
$2.35 billion from $2.56 billion at issuance. Fitch has
designated 34 loans (24.97%) as Fitch Loans of Concern which
includes 17 specially serviced loans (16.92%). Fitch expects
classes F thru N may be fully depleted from losses associated with
the specially serviced assets and class E will also be affected.
As of February 2011, there are cumulative interest shortfalls in
the amount of $7.14 million, affecting classes E through P.
The largest contributor to expected losses in the pool was The
Continental Towers loan (5.4% of the pool), which is currently in
special servicing. The loan is secured by three 12-story office
buildings totaling approximately 932,854 square feet located in
Rolling Meadows, IL. The property transferred to special
servicing on Jan. 19, 2010 due to imminent default as a result of
a significant decline in occupancy. A deed-in-lieu of foreclosure
occurred in June 2010 and the special servicer is working to
lease-up the properties. As of December 2010, overall occupancy
was 55% compared to 90.2% at issuance. Per CBRE, occupancy and
asking rents for Class A space in the NW Chicago Suburban
submarket were 23.2% and $24.02 per sf in the fourth quarter of
2010, respectively.
The second largest contributor to losses was the DHL Perimeter
Building located in Scottsdale, AZ. This property was formerly
fully occupied by DHL and is now vacant. DHL paid a lease
termination fee upon leaving the building. The borrower is
pursuing leasing opportunities. Per CBRE, market fundamentals for
office properties in Phoenix and the Scottsdale submarket continue
to be weak with a 27.2% vacancy rate and rents per sf of $22.40
per sf. According to the loan documents, the borrower was
required to post a $3 million letter of credit nine months prior
to lease expiration if DHL did not renew.
The third largest contributor to losses was the North Bay Village,
which is secured by a three-building, 114,399 sf retail/office
project plus a 5,750 sf unleased pad site in Bonita Springs, FL.
The loan transferred to special servicing on Aug. 5, 2009 due to a
monetary default. The primary tenant is a home furnishings
retailer, leasing a 60,000 sf single-story building. While the
property was 80% occupied at the time of transfer, the borrower
reported rental income collection issues. The developer of the
project is also a tenant (8,400 sf). Foreclosure proceedings to
date have been delayed by personal bankruptcy filings of one of
the sponsors.
Fitch has downgraded, removed from Rating Watch Negative, and
assigned Loss Severity Ratings, Rating Outlooks or Recovery
Ratings to these classes as indicated:
-- $208.8 million class AJ to 'BB/LS4' from 'BBB/LS3'; Outlook
Stable;
-- $50.6 million class B to 'B/LS5' from 'BB/LS5'; Outlook
Stable;
-- $28.5 million class C to 'B-/LS5' from 'BB/LS5'; Outlook
Negative;
-- $34.8 million class D to 'CCC/RR1' from 'B/LS5';
-- $22.1 million class E to 'CCC/RR3' from 'B-/LS5';
-- $28.5 million class F to 'CC/RR6' from 'B-/LS5';
-- $25.3 million class G to 'CC/RR6' from 'B-/LS5';
-- $34.8 million class H to 'C/RR6' from 'B-/LS5';
-- $6.3 million class J to 'C/RR6' from 'B-/LS5';
-- $9.5 million class K to 'C/RR6' from 'B-/LS5';
-- $9.5 million class L to 'C/RR6' from 'CCC/RR6'.
Fitch has affirmed, removed from Rating Watch Negative, and
assigned Rating Outlooks and Loss Severity Ratings to this class
as indicated:
-- $253.1 million class A-M at 'AAA/LS4'; Outlook Stable.
In addition, Fitch has affirmed these classes and assigned Loss
Severity Ratings, Rating Outlooks or Recovery Ratings to these
classes as indicated:
-- $264.1 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $138.9 million class A-AB at 'AAA/LS2'; Outlook Stable;
-- $102.3 million class A-3 at 'AAA/LS2'; Outlook Stable;
-- $723.7 million class A-4 at 'AAA/LS2'; Outlook Stable;
-- $374.1 million class A-1A at 'AAA/LS2'; Outlook Stable;
-- $18 million class AMP-E1 at 'BB'; Outlook Stable;
-- $7 million class AMP-E2 at 'BB'; Outlook Stable.
-- $3.2 million class M at 'C/RR6';
-- $6.3 million class N at 'C/RR6';
-- $6.3 million class O at 'D/RR6';
Fitch withdraws the rating on the interest-only class IO.
COMM 2006-FL12: S&P Downgrades Ratings on Various Classes of Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on the class J and HDC1 commercial mortgage pass-through
certificates from COMM 2006-FL12, a U.S. commercial mortgage-
backed securities transaction. Subsequently, S&P withdrew its
rating on the class HDC1 certificate.
The downgrades to 'D (sf)' on classes J and HDC1 follow principal
losses resulting from the liquidation of the specially serviced
Hotel Del Coronado loan, as reported in the Feb. 18, 2011 trustee
remittance report. The realized losses were attributable to the
1% liquidation fee paid to the special servicer and other related
expenses. The remittance report noted that the class J
certificate sustained a principal loss of $2.6 million (5.9% of
its $43.3 million original certificate balance). In addition, the
class HDC1 certificate reported a loss of $202,740 (4.1% loss of
its $5.0 million original balance).
The rating withdrawal of the class HDC1 certificate reflects
the repayment of this class' principal balance following the
payoff of the Hotel Del Coronado loan with the exception of
the aforementioned principal loss. The $5.0 million nonpooled
component provided 100% of the cash flow to the class HDC1
certificate.
According to the Feb. 18, 2011 trustee remittance report,
the liquidation of the specially serviced Hotel Del Coronado
loan resulted in a principal loss totaling $2.8 million. The
Hotel Del Coronado loan had a trust and whole-loan balance of
$260.0 million, which consists of a $255.0 million senior
component that was pooled in the trust, and a $5.0 million
nonpooled component that provided 100% of the cash flow to the
class HDC1 certificate. The mortgage loan was secured by the
fee interest in a 679-room, full-service resort hotel located
on the shoreline of Coronado Island in Coronado, Calif. The
loan was transferred to the special servicer, LNR Partners LLC,
on Nov. 5, 2010, due to imminent maturity default. LNR commented,
as reflected in the Jan. 18, 2011, trustee remittance report
(restated Feb. 14, 2011), that "the borrower is unwilling or
unable to repay the entire debt stack by the third extended
maturity date." Although the loan was with the special servicer,
the borrower paid off the loan prior to the Feb. 9, 2011 maturity
date. The trustee, Bank of America Merrill Lynch, has stated that
based on the special servicer's assessment that the loan was not
in technical default, it applied the net liquidation proceeds
(after the 1% liquidation fee and other related expenses) on a pro
rata basis, which resulted in a $2.6 million principal loss to
class J and a $202,740 principal loss to class HDC1.
Ratings Lowered
COMM 2006-FL12
Commercial mortgage pass-through certificates
Rating
------
Class To From
----- -- ----
J D (sf) B- (sf)
HDC1 D (sf) BB- (sf)
Rating Withdrawn
COMM 2006-FL12
Commercial mortgage pass-through certificates
Rating
------
Class To From
----- -- ----
HDC1 NR D (sf)
NR - Not rated.
CREDIT SUISSE: Fitch Downgrades Ratings on 17 2006-C4 Certs.
------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 17 classes of Credit Suisse Commercial Mortgage Trust,
series 2006-C4. The downgrades are due to further deterioration
of performance, most of which involves expected losses on loans in
special servicing.
The downgrades reflect an increase in Fitch expected losses across
the pool. Fitch modeled losses of 13% for the remaining pool;
expected losses of the original pool are at 13.7%, including
losses already incurred to date. Approximately 36.5% of the loans
in the pool are considered Fitch Loans of Concern, including 56
specially serviced loans (21.6%). At Fitch's last review, there
were 43 loans (15.4%) in special servicing. Fitch expects classes
G through S may be fully depleted from losses associated with the
specially serviced loans.
As of the February 2011 distribution date, the pool's aggregate
principal balance has been reduced by approximately 3% to
$4.1 billion from $4.3 billion at issuance. Interest shortfalls
are affecting classes G through S.
The largest specially serviced loan, Babcock & Brown FX3 (4.7%),
which is the third largest loan in the pool, is secured by a
portfolio of 14 multifamily properties totaling 3,720 units. The
properties are located in Nevada, Texas, Maryland, Florida and
South Carolina. The loan transferred to special servicing in
February 2009 due to imminent default resulting from deteriorating
market conditions. In addition, the servicer indicated that
property inspections have revealed deferred maintenance at some of
the locations. The special servicer is currently negotiating a
possible loan modification with the sponsors.
The next specially serviced loan, Carlton Hotel on Madison (2.4%),
is collateralized by a 220-room boutique hotel located midtown
Manhattan, NY. The loan transferred to special servicing in April
2009 due to imminent default, and remains delinquent. The special
servicer and the borrower continue to discuss workout options.
The next specially serviced loan, The Dream Hotel (2.4%), consists
of a 316-room full-service luxury hotel located in Midtown
Manhattan. The property, which underwent a $71 million renovation
in 2005, was underwritten to a stabilized cash flow in
anticipation that the major renovations would yield performance
improvements. The recession severely affected income growth, and
the property had been operating with negative cash flow since
2008, before transferring to the special servicer in December
2010. The servicer is in negotiations with the borrower.
Fitch has downgraded and removed these classes from Rating Watch
Negative, assigning Rating Outlooks, Loss Severity ratings and
Recovery Ratings where applicable:
-- $427.3 million class A-M to 'AAsf/LS4' from 'AAA/LS3';
Outlook Stable;
-- $341.8 million class A-J to 'B-sf/LS4' from 'BBB-/LS4';
Outlook Negative;
-- $26.7 million class B to 'B-sf/LS5' from 'BB/LS5'; Outlook
Negative;
-- $64.1 million class C to 'B-sf/LS5' from 'BB/LS5'; Outlook
Negative;
-- $37.4 million class D to 'CCCsf/RR1' from 'B/LS5';
-- $21.4 million class E to 'CCCsf/RR1' from 'B/LS5';
-- $48.1 million class F to 'CCCsf/RR1' from 'B-/LS5';
-- $42.7 million class G to 'CCsf/RR6' from 'B-/LS5';
-- $48.1 million class H to 'CCsf/RR6' from 'CCC/RR6';
-- $48.1 million class J to 'Csf/RR6' from 'CC/RR6';
-- $53.4 million class K to 'Csf/RR6' from 'CC/RR6';
-- $10.7 million class L to 'Csf/RR6' from 'CC/RR6';
-- $16 million class M to 'Csf/RR6' from 'CC/RR6';
-- $16 million class N to 'Csf/RR6' from 'CC/RR6';
-- $5.3 million class O to 'Csf/RR6' from 'CC/RR6';
-- $10.7 million class P to 'Csf/RR6' from 'CC/RR6';
-- $10.7 million class Q to 'Csf/RR6' from 'CC/RR6'.
Fitch has also affirmed these super senior classes and
corresponding Rating Outlooks as indicated:
-- $91.2 million class A-2 at 'AAA/LS2'; Outlook Stable;
-- $156 million class A-AB at 'AAA/LS2'; Outlook Stable;
-- $1.8 billion class A-3 at 'AAA/LS2'; Outlook Stable;
-- $150 million class A-4FL at 'AAA/LS2'; Outlook Stable;
-- $692.1 million class A-1-A at 'AAA/LS2'; Outlook Stable.
Class A-1 has been paid in full. Fitch has withdrawn the rating
on the interest-only classes A-X, A-SP, and A-Y.
CREDIT SUISSE: Moody's Affirms Ratings on Nine 2003-CK2 Certs.
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes
Credit Suisse First Boston Mortgage Securities Corp., Commercial
Mortgage Pass-Through Certificates, Series 2003-CK2:
-- Cl. F, Affirmed at Aa2 (sf); previously on Feb. 25, 2010
Confirmed at Aa2 (sf)
-- Cl. G, Affirmed at A2 (sf); previously on Feb. 25, 2010
Confirmed at A2 (sf)
-- Cl. H, Affirmed at Baa3 (sf); previously on Feb. 25, 2010
Downgraded to Baa3 (sf)
-- Cl. J, Affirmed at B1 (sf); previously on Feb. 25, 2010
Downgraded to B1 (sf)
-- Cl. K, Affirmed at Caa3 (sf); previously on Feb. 25, 2010
Downgraded to Caa3 (sf)
-- Cl. L, Affirmed at Ca (sf); previously on Feb. 25, 2010
Downgraded to Ca (sf)
-- Cl. N, Affirmed at C (sf); previously on Feb. 25, 2010
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Feb. 25, 2010
Downgraded to C (sf)
-- Cl. GLC, Affirmed at Ba3 (sf); previously on Feb. 25, 2010
Downgraded to Ba3 (sf)
Ratings Rationale
Moody's rating action did not address the ratings of Classes A-3,
A-4, B, C, D, E and A-X, which are all currently rated Aaa, on
review for possible downgrade. These classes were placed on
review on January 19, 2011. KeyCorp Real Estate Capital Markets,
Inc. is the master servicer on this transaction and deposits
collection, escrow and other accounts in KeyBank, National
Association. KeyBank no longer meets Moody's rating criteria for
an eligible depository account institution for Aaa and Aa1 rated
securities. Moody's is reviewing arrangements that KeyBank has
proposed, and that it may propose, to mitigate the incremental
risk indicated by the lower rating of the depository account
institution, so as possibly to allow the classes on review to
maintain their current ratings.
The affirmations are due to key rating parameters, including
Moody's LTV 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 their current ratings.
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 7.1%. Moody's stressed scenario loss is
8.8% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates is melded with the conduit
model credit enhancement into an overall model result. Fusion
loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for
loans with similar credit estimates in the same transaction.
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 20 compared to 21 at Moody's prior review.
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 25, 2010.
Deal Performance
As of the February 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 36% to
$637.9 million from $1.0 billion at securitization. The
Certificates are collateralized by 79 mortgage loans ranging in
size from less than 1% to 12% of the pool, with the top ten loans
representing 51% of the pool. Twelve loans, representing 21% of
the pool, have defeased and are collateralized with U.S.
Government securities.
Ten loans, representing 6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the 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.
Six loans have been liquidated from the pool, resulting in an
aggregate $10.5 million realized loss (47% loss severity on
average). Three loans, representing 9% of the pool, are currently
in special servicing. The largest specially serviced loan is the
2300 Imperial Building Loan ($25.6 million -- 4.0% of the pool),
which is secured by a 157,225 square foot office building located
in El Segundo, California. The loan was transferred to special
servicing in November 2009 due to payment default. The property
was 48% leased as of December 2009. The property has become REO.
The most recent appraisal (January 2010) valued the property at
$23.9 million.
The second largest specially serviced loan is the Michigan
Commercial Portfolio Loan ($25.0 million - 3.9% of the pool),
which is secured by a portfolio of 16 Class B office buildings and
one retail building, all located in and around Lansing, Michigan.
The loan was transferred to special servicing in May 2008 due to
imminent monetary default and has become REO. The property was
68% leased as of October 2010, compared to 77% at last review.
The most recent appraisal (March 2010) valued the property at
$15.7 million.
The remaining specially serviced loan is secured by a multifamily
property located in Melbourne, Florida. The master servicer has
recognized appraisal reductions totaling $19.6 million for the
specially serviced loans. Moody's has estimated an aggregate
$25.3 million loss (44% expected loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 3% of the pool and has estimated a
$4.0 million loss (25% expected loss based on a 50% probability
default).
Moody's was provided with full year 2009 and partial year 2010
operating results for 97% and 86% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 81% compared to 85% 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 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.48X and 1.33X, respectively, compared to
1.44X and 1.25X at last review. Moody's actual DSCR is based on
Moody's net cash flow and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
The top three performing conduit loans represent 24% of the
pool balance. The largest loan is the Great Lakes Crossing Loan
($76.3 million -- 12.0% of the pool), which represents a 60%
participation interest in a $127.2 million first mortgage loan.
The loan is secured by the borrower's interest in a 1.1 million
square foot value oriented shopping center located approximately
30 miles north of Detroit in Auburn Hills, Michigan. The center
is anchored by Bass Pro Shops and AMC Theatre, which are not part
of collateral. The largest collateral tenants are Burlington Coat
Factory, Sports Authority and Bed Bath & Beyond. The center is
also encumbered by a B-note which is the security for the non-
pooled Class GLC. As of June 2010, the center was 76% leased
compared to 82% at last review and 91% at securitization.
Performance has declined since last review due to higher vacancy
and increased expenses. The decline in performance has been
partially offset by amortization. The loan has amortized by 3%
since last review. Moody's LTV and stressed DSCR for the A-note
are 83% and 1.2X, respectively, compared to 82% and 1.23X at last
review.
The second largest loan is the Museum Square Loan ($50.2 million -
7.9% of the pool), which is secured by a 522,362 square foot
office building located in Los Angeles, California. The property
was 91% leased as of September 2010 compared to 89% at last
review. Performance has improved since last review due to
increased revenues, stable expenses and amortization. The loan
has amortized by 2% since last review. Moody's LTV and stressed
DSCR are 66% and 1.64X, respectively, compared to 74% and 1.47X at
last review.
The third largest loan is the BAE Systems Building Loan
($23.3 million -- 3.7% of the pool), which is secured by a 133,806
square foot office building located in Reston, Virginia. The
building is 100% leased to BAE Systems through October 2012. The
loan also matures in October 2012. Although property performance
has been stable, Moody's valuation incorporates a stressed cash
flow to reflect the decline in the market conditions. Moody's LTV
and stressed DSCR are 115% and 0.89X, respectively, compared to
118% and 0.87X at last review.
CREDIT SUISSE: Moody's Affirms Ratings on 22 2007-C4 Certs.
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 22 classes of
Credit Suisse Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2007-C4:
-- Cl. A-4, Affirmed at Aa2 (sf); previously on Nov. 19, 2009
Downgraded to Aa2 (sf)
-- Cl. A-1-A, Affirmed at Aa2 (sf); previously on Nov. 19, 2009
Downgraded to Aa2 (sf)
-- Cl. A-M, Affirmed at A3 (sf); previously on Nov. 19, 2009
Downgraded to A3 (sf)
-- Cl. A-1-AM, Affirmed at A3 (sf); previously on Nov. 19, 2009
Downgraded to A3 (sf)
-- Cl. A-J, Affirmed at Ba2 (sf); previously on Nov. 19, 2009
Downgraded to Ba2 (sf)
-- Cl. A-1-AJ, Affirmed at Ba2 (sf); previously on Nov. 19, 2009
Downgraded to Ba2 (sf)
-- Cl. B, Affirmed at B2 (sf); previously on Nov. 19, 2009
Downgraded to B2 (sf)
-- Cl. C, Affirmed at Caa2 (sf); previously on Nov. 19, 2009
Downgraded to Caa2 (sf)
-- Cl. D, Affirmed at Ca (sf); previously on Nov. 19, 2009
Downgraded to Ca (sf)
-- Cl. E, Affirmed at Ca (sf); previously on Nov. 19, 2009
Downgraded to Ca (sf)
-- Cl. F, Affirmed at Ca (sf); previously on Nov. 19, 2009
Downgraded to Ca (sf)
-- Cl. G, Affirmed at Ca (sf); previously on Nov. 19, 2009
Downgraded to Ca (sf)
-- Cl. H, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
-- Cl. Q, Affirmed at C (sf); previously on Nov. 19, 2009
Downgraded to C (sf)
Ratings Rationale
Moody's rating action did not address the ratings of Classes A-2,
A-3, A-AB and A-X, which are all currently rated Aaa, on review
for possible downgrade. These classes were placed on review on
January 19, 2011. KeyCorp Real Estate Capital Markets, Inc. is
the master servicer on this transaction and deposits collection,
escrow and other accounts in KeyBank, National Association.
KeyBank no longer meets Moody's rating criteria for an eligible
depository account institution for Aaa and Aa1 rated securities.
Moody's is reviewing arrangements that KeyBank has proposed, and
that it may propose, to mitigate the incremental risk indicated by
the lower rating of the depository account institution, so as
possibly to allow the classes on review to maintain their current
ratings.
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
existing ratings.
Moody's rating action reflects a cumulative base expected loss of
11.0% of the current balance. At last review, Moody's cumulative
base expected loss was 16.4%. Moody's stressed scenario loss is
45.5% 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
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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011. The
hotel and multifamily sectors are continuing to show signs of
recovery, while recovery in the office and retail sectors will be
tied to recovery of the broader economy. The availability of debt
capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 pay down 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 credit estimate 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 credit estimates in
the same transaction.
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 24 compared to 46 at Moody's prior review.
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.
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.
Deal Performance
As of the February 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to
$2.025 billion from $2.081 billion at securitization. The
Certificates are collateralized by 204 mortgage loans ranging in
size from less than 1% to 15% of the pool, with the top ten loans
representing 45% of the pool. There are no defeased loans or
loans that support investment grade credit estimates.
Sixty-two 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.
Eleven loans have been liquidated from the pool since
securitization, resulting in an aggregate $21.8 million loss
(61% loss severity on average). At last review the pool had
experienced less than $2,000 of losses. Twenty-one loans,
representing 19% of the pool, are currently in special servicing.
The largest specially serviced loan is the City Tower Loan
($115.0 million -- 5.7% of the pool), which is secured by a
411,000 square foot (SF) office building located in Orange County,
California. In addition to the first mortgage loan, there is a
$25.0 million mezzanine loan held outside the trust. The loan
sponsor is Maguire. The loan transferred to special servicing in
October 2010 due to monetary default. The loan is cash managed
and all property revenues are being deposited into an account
controlled by the lender. The borrower has indicated they are not
interested in a modification of the loan and foreclosure is being
pursued.
The second largest specially serviced loan is the 2600 Michelson
Loan ($95.0 million -- 4.7% of the pool), which is secured by a
Class A office property located in Irvine, California with 307,000
square feet. In addition to the first mortgage loan, there is a
$15.0 million mezzanine loan held outside the trust. The loan
sponsor is Maguire Properties. The loan was transferred to
special servicing in August 2009 for imminent default. A receiver
has been appointed to the property and the property is currently
being marketed for sale. The loan is currently 90+ days
delinquent. In December 2010, the master servicer recognized an
appraisal reduction of $48.9 million for the loan.
The third largest specially serviced loan is the Meyberry House
Loan ($90.0 million -- 4.4% of the pool), which is secured by a
179-unit apartment building located on the Upper East Side of
Manhattan in New York City. In addition to the first mortgage
loan, there is a $34.0 million mezzanine loan held outside the
trust. The loan has been in special servicing several times since
securitization and was most recently transferred to special
servicing in September 2009 due to imminent default. The borrower
has recently brought the loan current and it is expected to be
returned to the master servicer shortly. At this time Moody's is
not expecting a loss on this loan but has stressed the loan in the
conduit model.
The remaining 18 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$113.7 million appraisal reduction for 14 of the specially
serviced loans. Moody's has estimated an aggregate $154.2 million
loss (51% expected loss on average) for 20 of the specially
serviced loans.
Moody's has assumed a high default probability for ten poorly
performing loans representing 4% of the pool and has estimated an
aggregate $17.6 million loss (25% expected loss based on a 50%
probability default) from these troubled loans. Moody's rating
action recognizes potential uncertainty around the timing and
magnitude of loss from these troubled loans.
Moody's was provided with full year 2009 operating results for 94%
of the pool and partial year 2010 financials for 91% of the pool.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 134% compared to 133% at last review. Moody's net
cash flow reflects a weighted average haircut of 9.1% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.23%
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.17X and 0.81X, respectively, compared to
1.02X and 0.72X 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.
The top three performing conduit loans represent 25% of the pool
balance. The largest loan is the Shutters on The Beach & Casa Del
Mar Portfolio Loan ($310.0 million -- 15.3% of the pool), which is
secured by two luxury hotel properties located in Santa Monica,
California. Shutters on the Beach is a 198-room full service
hotel and Casa Del Mar is a 129-room bed and breakfast inn. In
addition to the first mortgage loan, there is a $72.0 million
mezzanine loan held outside the trust. Both properties are
performing better than anticipated at last review; however, they
are performing below Moody's original projections because of
declines in tourist and business travel due to the economic
recession. The loan is on the servicer's watchlist due to a
decline in DSCR. Moody's LTV and stressed DSCR are 188% and
0.58X, respectively, compared to 258% and 0.42X at last review.
The second largest loan is 245 Fifth Avenue Loan ($131.5 million -
- 6.9% of the pool), which is secured by a 303,000 SF office
building located in midtown Manhattan. In addition to the first
mortgage loan, there is a $53.0 million mezzanine loan held
outside the trust. The property was 94% leased as of June 2010,
essentially the same as at last review. The largest tenants
include Citibank (9% of the Net Rentable Area; lease expiration
December 2012) Data Monitor LTD (5% of the NRA; lease expiration
July 2012) and Beth Israel Medical Center (5% of the NRA; lease
expiration November 2021). The loan is currently on the watchlist
due to a decline in DSCR and matures in May 2012. Moody's LTV and
stressed DSCR are 148% and 0.66X, respectively, compared to 179%
and 0.58X at last review.
The third largest loan is the Hamburg Trust Portfolio Loan
($54.0 million -- 2.7% of the pool), which is secured by five
cross collateralized and cross defaulted multifamily properties.
The properties total 1,209 units and are located in Amarillo,
Texas. The property was 94% leased as of September 2010.
Property performance has improved since last review. Moody's LTV
and stressed DSCR are 99% and 0.92X respectively, compared to 109%
and 0.63X at last review.
CRYSTAL RIVER: Fitch Takes Rating Actions on Various Classes
------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed eight classes of
notes issued by Crystal River 2005-1, Ltd. due to continued credit
deterioration in the underlying portfolio. The rating actions
are:
-- $11,419,819 class A notes downgraded to 'CCCsf' from 'B/LS5',
Negative Outlook removed;
-- $44,750,000 class B notes affirmed at 'Csf';
-- $20,500,000 class C notes affirmed at 'Csf';
-- $42,500,000 class D-1 notes affirmed at 'Dsf';
-- $10,000,000 class D-2 notes affirmed at 'Dsf';
-- $25,162,739 class E notes affirmed at 'Csf';
-- $28,071,262 class F notes affirmed at 'Csf';
-- $12,324,060 class G notes affirmed at 'Csf';
-- $5,445,515 class H notes affirmed at 'Csf'.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. For the class A
notes, Structured Finance Portfolio Credit Model was used to
project portfolio losses for the underlying portfolio and these
loss levels were then compared to the credit enhancement level of
the notes. For the remaining classes, Fitch compared the
respective CE levels to the amount of losses expected from the
distressed and defaulted assets in the portfolio (rated 'CCsf' and
lower). This transaction has not been analyzed within a cash flow
model framework, as the impact of the structural features and
excess spread, or conversely, principal leakage to service the
collateralized debt obligation liabilities and hedge payments, was
determined to be minimal in the context of the CDO ratings.
As of the January 2011 trustee report, the current balance of the
portfolio is $160.5 million of which $154 million is considered
defaulted, as defined in the transaction's governing documents.
Since February 2010, the credit quality of the collateral has
further declined with approximately 48.5% of the portfolio
downgraded a weighted average of 4.0 notches. This resulted in
100% of the portfolio with a Fitch derived rating below investment
grade and 96% with a rating in the 'CCC' rating category or lower,
compared to 96.8% and 89%, respectively, at last review.
Additionally, the transaction continues to divert a portion of the
principal to pay interest rate hedge payments and current interest
due to classes A, B, and C notes, thereby reducing the amount of
principal proceeds available to pay down the notes. This trend is
expected to continue at least until the interest rate swap expires
in December 2013.
The downgrade to the class A notes is due to the extent of credit
deterioration in the underlying portfolio. While the notes have
received over $3.1 million in principal repayments since February
2010, the CE level has increased only marginally due to writedowns
in the portfolio, and is generally comparable with the SF PCM
rating loss rates for the 'CCC' rating category. Based on the
credit quality of the remaining portfolio, Fitch believes that
there is a possibility that the class A notes may not receive its
full principal. To date, approximately 89.6% of the class A
notes' original principal balance has amortized down. The class A
notes represent 4% of the current capital structure.
The class B and C notes are affirmed at 'Csf', as default
continues to appear inevitable at or prior to maturity for each
class. Both classes continue to receive timely interest payments
from principal proceeds, and will continue to do so as long as
principal collections are sufficient to cover the interest
shortfall.
The class D notes have been in default since September 2009.
Although this class is rated to timely receipt of interest, the
class D notes have been permanently cut off due to a structural
feature that prohibits using principal proceeds to pay class D
notes' interest if a more senior class of notes is outstanding.
Fitch does not expect the notes to receive future interest
payments. Therefore, this class will remain at 'Dsf'.
The class E, F, G, and H notes are rated to the ultimate receipt
of principal and interest. These classes continue to pay in kind,
whereby the principal balances of the notes are written up by the
amount of interest owed due to the coverage test failures. Fitch
does not expect these classes to receive any future payments
before or at maturity
Crystal River 2005-1 is a cash flow CDO, which closed on Nov. 30,
2005. The portfolio is monitored by Hyperion Crystal River
Capital Advisors, LLC and is composed of commercial mortgage-
backed securities (CMBS; 69.87%) and residential mortgage-backed
securities (RMBS; 30.13%) from 2003 through 2006 vintage
transactions.
DBUBS 2011-LC1: Fitch Gives Ratings on Various Classes of Notes
---------------------------------------------------------------
Fitch rates the DBUBS 2011-LC1 Commercial Mortgage Pass-Through
Certificates:
-- $1,110,000,000 Class A-1 'AAAsf/LS1'; Outlook Stable;
-- $182,000,000 Class A-2 'AAAsf/LS1'; Outlook Stable;
-- $459,753,000 Class A-3 'AAAsf/LS1'; Outlook Stable;
-- $1,751,753,000* Class X-A 'AAAsf'; Outlook Stable;
-- $70,723,000 Class B 'AAsf/LS4'; Outlook Stable;
-- $81,604,000 Class C 'Asf/LS4'; Outlook Stable
-- $48,962,000 Class D 'BBB+sf/LS4'; Outlook Stable;
-- $89,764,000 Class E 'BBB-sf'LS4'; Outlook Stable;
-- $24,481,000 Class F 'BBsf/LS5'; Outlook Stable;
-- $40,802,000 Class G 'Bsf/LS5'; Outlook Stable.
* Notional amount and interest only.
Fitch does not rate the $424,338,872 interest only class X-B or
the $68,002,872 class H.
Since publication of the presale, one loan has been affected by
the Borders Group bankruptcy. The 16th largest loan, Centro
Portfolio D, is secured by three retail properties. Borders Books
has announced it will be closing numerous stores including one
within the portfolio. The Borders space makes up approximately 5%
of the total net rentable area of the portfolio. The decline in
cash flow at the property did not result in any adjustment to
Fitch's enhancement levels.
DBUBS 2011-LC1: Moody's Assigns Ratings to 11 2011-LC1 Certs.
-------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 11
classes of CMBS securities, issued by DBUBS 2011-LC1, Commercial
Mortgage Pass-Through Certificates Series 2011-LC1.
-- Cl. A-1, Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Definitive Rating Assigned Aaa (sf)
-- Cl. X-A, Definitive Rating Assigned Aaa (sf)
-- Cl. X-B, Definitive Rating Assigned Aaa (sf)
-- Cl. B, Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Definitive Rating Assigned A2 (sf)
-- Cl. D, Definitive Rating Assigned Baa1 (sf)
-- Cl. E, Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Definitive Rating Assigned Ba2 (sf)
-- Cl. G, Definitive Rating Assigned B2 (sf)
Ratings Rationale
The Certificates are collateralized by 47 fixed rate loans secured
by 83 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio. The Moody's Actual DSCR of 1.43X is
higher than the 2007 conduit/fusion transaction average of 1.31X.
The Moody's Stressed DSCR of 1.07X is higher than the 2007
conduit/fusion transaction average of 0.92X. Moody's Trust LTV
ratio of 94.0% is lower than the 2007 conduit/fusion transaction
average of 110.6%. Moody's Total LTV ratio (inclusive of
subordinated debt) of 97.7% is also considered when analyzing
various stress scenarios for the rated debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect
to loan level diversity, the pool's loan level Herfindahl score is
18. With respect to property level diversity, the pool's property
level Herfindahl score is 19. The transaction is concentrated
relative to previously rated conduit and fusion transactions but
more diverse than previously rated large loan transactions. As a
result, Moody's approach to rating the deal incorporated a blend
of both Moody's conduit and large loan rating methodologies.
Properties located in major markets represent approximately 91.2%
of the pool balance. Additionally, Moody's Red-Yellow-GreenTM
analysis covers properties representing 83.3% of the pool balance.
The tertiary market share of 8.8% is amongst the lowest exposures
Moody's has observed in its rated conduit and fusion universe.
Properties situated in major markets tend to exhibit more cash
flow and cap rate stability over time compared to assets located
in tertiary markets.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age,
quality of construction, location, market, and tenancy. The
pool's weighted average property quality grade is 1.8, which is
lower than the average of recently rated conduit deals. The low
weighted average grade is indicative of the strong market
composition of the pool and the stability of the cash flows
underlying the assets.
The transaction benefits from two loans, representing
approximately 11.3% of the pool balance in aggregate, assigned an
investment grade credit estimate. Loans assigned investment grade
credit estimates are not expected to contribute any loss to a
transaction in low stress scenarios, but are expected to
contribute minimal amounts of loss in high stress scenarios.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 15%, or 23%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa3, and A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not
aged. Parameter Sensitivities only reflect the ratings impact of
each scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
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.
DIVERSIFIED ASSET: Fitch Affirms Ratings on Four Classes of Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed the ratings on four classes of notes
issued by Diversified Asset Securitization Holdings II, L.P./Corp.
The affirmations are:
-- $16,221,219 class A-1 notes at 'BBsf/LS3'; Outlook Negative;
-- $102,734,387 class A-1L notes at 'BBsf/LS3'; Outlook
Negative;
-- $50,000,000 class A-2L notes at 'CCsf';
-- $37,000,000 class B-1 notes at 'Csf'.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model for projecting
future default levels for the underlying portfolio. These default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under various default timing
and interest rate stress scenarios, as described in the report
'Global Criteria for Cash Flow Analysis in CDOs', for the class A-
1 and class A-1L notes. Fitch also considered additional
qualitative factors into its analysis, as described below, to
conclude the rating affirmations for the rated notes.
Since the last rating action in February 2010, the credit quality
of the collateral has declined with approximately 10% of the
portfolio downgraded a weighted average of 2.9 notches.
Approximately 51.4% of the portfolio has a Fitch derived rating
below investment grade and 42.1% has a rating in the 'CCC' rating
category or lower, compared to 45.3% and 35.5% respectively, at
last review.
The affirmations of the notes is due to principal repayment of the
class A-1 and A-1L notes offsetting the effects of deterioration
in the portfolio. In addition to downgrades in the portfolio,
approximately $10.5 million of collateral was written down since
the last review. With the help of excess spread due to the class
B overcollateralization ratio failing its covenant, approximately
16.9%, or $24.2 million, of the senior notes' balance has
amortized, increasing their credit enhancement levels.
Fitch maintains a Negative Outlook on the class A-1 and A-1L notes
due to the potential for ratings volatility in the underlying
portfolio. Additionally, the classes show sensitivity to rising
interest rate stresses. Fitch does not maintain outlooks for
tranches rated 'CCC' and below.
The Loss Severity rating of 'LS3' for the class A-1 and A-1L notes
indicates the tranches' potential loss severity given default, as
evidenced by the ratio of tranche size to the base-case loss
expectation for the collateral, as explained in Fitch's 'Criteria
for Structured Finance Loss Severity Ratings'. The LS rating
should always be considered in conjunction with the notes' long-
term credit rating. Fitch does not assign LS ratings to tranches
rated 'CCC' and below.
Breakeven levels for the class A-2L and class B-1 notes were below
SF PCM's 'CCC' default level, the lowest level of defaults
projected by SF PCM. For these classes, Fitch compared the
class's respective credit enhancement levels to expected losses
from the distressed and defaulted assets in the portfolio (rated
'CCsf' or lower). The CE level of the class A-2L notes is
comparable to the expected loss percentage of the portfolio when
taking into account the benefit of excess spread in the
transaction, therefore the class is affirmed at 'CCsf', indicating
default is probable at or prior to maturity. The expected loss
significantly exceeds the class B-1 CE level, and therefore the
class is affirmed at 'Csf', indicating default appears inevitable.
The class A-2L notes are rated to the timely receipt of interest
and continue to receive their accrued interest each payment
period. The class B-1 notes are rated to the ultimate receipt of
interest and are also currently receiving accrued interest
distributions. The class A OC ratio is reported as 110.7% in the
Feb. 2, 2011 trustee report, which is approaching its covenant of
110%. If the class A OC ratio declines below 110%, the class B-1
notes will be cut off from payments and proceeds will be diverted
to redeem class A-1 and A-1L instead.
DASH II is a cash flow structured finance collateralized debt
obligation that closed on Sept. 13, 2000. The portfolio is
currently monitored by Western Asset Management Co., who became
the substitute asset manager for Asset Allocation & Management,
LLC in November 2002 and actively managed the portfolio until DASH
II exited its reinvestment period in 2005. The portfolio is
comprised of 46.7% residential mortgage-backed securities, 31.4%
commercial and consumer asset-backed securities, and 21.9%
commercial mortgage-backed securities from 1995 through 2005
vintage transactions.
DSLA MORTGAGE: Moody's Downgrades Ratings on 27 Tranches
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 27
tranches and confirmed the rating of 1 tranche from 4 Option ARM
deals issued by DSLA. The collateral backing these deals
primarily consists of first-lien, adjustable rate negative
amortization residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of Option
ARM pools securitized before 2005. Although most of these pools
have paid down significantly, the remaining loans are affected by
the housing and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Alt-A
pools issued from prior 2005. The principal methodology used in
these ratings was "Pre-2005 US RMBS Surveillance Methodology"
published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project
losses on pools with fewer than 100 loans, Moody's first estimates
a "baseline" average rate of new delinquencies for the pool that
is dependent on the vintage of loan origination (10%, 5% and 3%
for the 2004, 2003 and 2002 and prior vintage respectively). The
baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages. .
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans from the 2004 vintage,
the adjusted rate of new delinquency would be 10.10%. in
addition, if current delinquency levels in a small pool is low,
future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.5 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 30% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier. RMBS securities
wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 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: DSLA Mortgage Loan Trust 2004-AR1
-- Cl. A-1A, Downgraded to B2 (sf); previously on April 12, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Caa2 (sf); previously on April 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2A, Downgraded to Ba1 (sf); previously on April 12,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to B3 (sf); previously on April 12, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Underlying Rating: Downgraded to B3 (sf); previously on
April 12, 2010 Ba1 (sf) Placed Under Review for Possible
Downgrade
-- Cl. X-2, Downgraded to Caa1 (sf); previously on April 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on April 12, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: DSLA Mortgage Loan Trust 2004-AR2
-- Cl. A-1A, Downgraded to Caa1 (sf); previously on April 12,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-1B, Downgraded to Ca (sf); previously on April 12, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Underlying Rating: Downgraded to Ca (sf); previously on
April 12, 2010 Ba3 (sf) Placed Under Review for Possible
Downgrade
-- Cl. A-2A, Downgraded to B3 (sf); previously on April 12, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2B, Downgraded to Ca (sf); previously on April 12, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Underlying Rating: Downgraded to Ca (sf); previously on
April 12, 2010 Ba3 (sf) Placed Under Review for Possible
Downgrade
-- Cl. X-2, Downgraded to C (sf); previously on April 12, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on April 12, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: DSLA Mortgage Loan Trust 2004-AR3
-- Cl. 1-A1A, Confirmed at Aa2 (sf); previously on April 12,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A1B, Downgraded to A3 (sf); previously on April 12,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A1, Downgraded to A3 (sf); previously on April 12, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A2A, Downgraded to Aa3 (sf); previously on April 12,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A2B, Downgraded to A3 (sf); previously on April 12,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to Baa1 (sf); previously on April 12, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ba3 (sf); previously on April 12, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on April 12, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 12, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: DSLA Mortgage Loan Trust 2004-AR4
-- Cl. 1-A1A, Downgraded to Caa2 (sf); previously on April 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A1A, Downgraded to Caa2 (sf); previously on April 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A1B, Downgraded to Ca (sf); previously on April 12,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A2A, Downgraded to Caa2 (sf); previously on April 12,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A2B, Downgraded to Ca (sf); previously on April 12,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. X-2, Downgraded to Caa3 (sf); previously on April 12,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on April 12, 2010
Ca (sf) Placed Under Review for Possible Downgrade
EATON VANCE: S&P Downgrades Rating on Class A Notes to 'CC'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A notes issued by Eaton Vance CDO II Ltd., a collateralized bond
obligation transaction managed by Eaton Vance Management, to 'CC
(sf)' from 'CCC- (sf)'.
The downgrade reflects deterioration S&P has observed in the
transaction's underlying asset portfolio since September 2007,
when S&P lowered the rating on the class A notes to 'CCC- (sf)'.
To date, the Eaton Vance CDO II Ltd. transaction has paid down the
class A notes to approximately 1.14% of its original outstanding
balance. However, according to the Jan. 2, 2011, trustee report,
the transaction is holding approximately $11.85 million in
defaulted obligations that have a recovery value of zero, leaving
the transaction backed by a single performing obligation with a
par amount of $2.71 million. The downgrade of the class A notes
reflects limited benefit from excess spread given the near-term
maturity of the single performing asset, inadequate collateral
coverage, and diminished recovery prospects on the defaulted
obligations held in the portfolio.
Standard & Poor's will continue to review whether, in S&P's view,
the rating currently assigned to the class A notes remains
consistent with the credit enhancement available to support them
and take rating actions as S&P deem necessary.
Rating Action
Eaton Vance CDO II Ltd.
Rating
------
Class To From
----- -- ----
A notes CC (sf) CCC- (sf)
FALCON AUTO: Moody's Downgrades Ratings on Six Classes of Certs.
----------------------------------------------------------------
Moody's Investors Service has downgraded six classes of
certificates originated by Falcon Auto Dealership, LLC. The
certificates are backed by franchise loans made to automobile
dealearships. Credit enhancement for the certificates consists
solely of subordination. The rating actions are prompted by
deteriorating performance of the collateral properties as well as
potentially insufficient levels of credit enhancement available to
protect subordinate noteholders from future losses. The complete
rating action is:
Issuer: Falcon Auto Dealership LLC, Series 2003-1
-- Class A-1, Downgraded to B1 (sf); previously on Nov. 11, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Class A-2, Downgraded to B2 (sf); previously on Nov. 11, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Class IO, Downgraded to B1 (sf); previously on Nov. 11, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Class B, Downgraded to Caa3 (sf); previously on Nov. 11, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Class C, Downgraded to C (sf); previously on Nov. 11, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Class D, Downgraded to C (sf); previously on Nov. 11, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale:
As of the February 7th payment date, subordinated certificates
provide credit enhancement of 42% for the Class A certificates,
30% for the Class B certificate, 23% for the Class C certificate,
and 14% for the Class D certificate. The transaction is
undercollateralized by approximately $2.3 million which represents
3.2% of the current pool balance. As of February 7th payment
date, 56% of the outstanding pool is in special servicing.
Moody's expect future cash flows from the underlying pool to
remain weak, as many borrowers continue to face suppressed
revenues caused by weak demand for automobiles, and minimal
alternatives to finance new customers.
The primary source of uncertainty for the transactions is the
current macroeconomic environment and its impact on the automobile
manufacturing industry. The prolonged recovery may lead to future
defaults as borrowers continue to suffer from cash flow
constraints.
In order to estimate losses on the collateral pool, Moody's
calculates the expected loss given default of the obligors that
have become nonperforming, and also estimates future losses on the
performing portion of the pool, all as a percentage of the
outstanding pool balance. In evaluating the nonperforming loans,
key factors include collateral valuations and expected recovery
rates, volatility around those recovery rates, historical obligor
performance, time until recovery or liquidation on defaulted
obligors, concessions due to restructuring which may negatively
impact the overall cash flow of the trust and/or the collateral,
and future industry expectations. In evaluating the performing
portion of the pool, Moody's estimate default rates based on
industry outlook and credit quality of underlying concepts and/or
borrowers, with additional stress applied for highly concentrated
pools, such as the Falcon Franchise pool related to this action.
Moody's then apply a stressed loss severity that accounts for
historical loss experience as well as possible future
deterioration of the underlying collateral. Moody's total losses
are then evaluated against the available credit enhancement
provided by overcollateralization, subordination, and excess
spread if available. Sufficiency of coverage is considered in
light of remaining borrower concentrations and concepts, remaining
bond maturities, and economic outlook.
Moody's Investor 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.
FIRST CHICAGO: Fitch Affirms Ratings on Class G 1997-CHL1 Notes
---------------------------------------------------------------
Fitch Ratings has affirmed the $17.8 million class G notes issued
by First Chicago/Lennar Trust I, Series 1997-CHL1 at 'Csf' as a
result of Fitch's loss expectation on the remaining five assets in
the portfolio.
Since the last rating action in April 2010, there have been
$10.1 million in pay downs, resulting in the full repayment of the
class F notes. Approximately 69.5% of the portfolio has a Fitch
derived rating of 'BBB' or 'BB+'. The balance of 30.5%, however,
has a Fitch derived rating in the 'CCC' category and below.
Expected losses on this collateral would impact class G; however,
Fitch estimates a significant recovery.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs'. The
ratings are not based on the Portfolio Credit Model given the high
obligor concentration and seasoning of the portfolio. Instead,
the projected recovery estimate on the distressed collateral was
applied in accordance with the principal waterfall. Additionally,
an asset by asset analysis was performed for the remaining assets
to determine the collateral coverage for the class G notes.
FC/Lennar 97 is a commercial mortgage backed security re-
securitization which closed April 30, 1997. The portfolio
consists of five CMBS bonds from four obligors of the 1995 and
1996 vintages.
Fitch has taken these actions:
-- $0 Class F notes marked 'PIF';
-- $17,761,587 Class G notes affirmed at 'Csf'.
FRASER SULLIVAN: Moody's Upgrades Ratings on Five Classes
---------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Fraser Sullivan CLO II Ltd:
-- US$51,600,000 Class A-2 Senior Secured Floating Rate Notes,
Due 2020, Upgraded to Aa2 (sf); previously on August 19, 2009
Downgraded to A1 (sf);
-- US$33,000,000 Class B Senior Secured Floating Rate Notes,
Due 2020, Upgraded to A2 (sf); previously on October 7, 2010
Upgraded to A3 (sf);
-- US$32,000,000 Class C Senior Secured Deferrable Floating
Rate Notes, Due 2020, Upgraded to Baa2 (sf); previously on
October 7, 2010 Upgraded to Ba1 (sf);
-- US$33,000,000 Class D Senior Secured Deferrable Floating
Rate Notes, Due 2020, Upgraded to B1 (sf); previously on
October 7, 2010 Upgraded to B3 (sf);
-- US$17,000,000 Class E Senior Secured Deferrable Floating
Rate Notes, Due 2020, Upgraded to Caa3 (sf); previously on
November 23, 2010 Ca (sf) Placed Under Review for Possible
Upgrade.
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the credit quality of the underlying
portfolio since the rating action in October 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 January 1, 2011, the
weighted average rating factor is currently 2491 compared to 2556
in the September 2010 report, and securities rated Caa1/CCC+ or
lower make up approximately 2.77% of the underlying portfolio
versus 4.01% in September 2010.
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 balance of $478 million, defaulted par of $10 million, a
weighted average default probability of 28.49% (implying a WARF of
3604), a weighted average recovery rate upon default of 42.62%,
and a diversity score of 46. 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.
Fraser Sullivan CLO II Ltd., issued in December 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
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.
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, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. 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 loss), assuming
that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2883)
-- Class A-1a: 0
-- Class A-1b: 0
-- Class A-2: +2
-- Class B: +3
-- Class C: +2
-- Class D: +2
-- Class E: +3
Moody's Adjusted WARF + 20% (4325)
-- Class A-1a: -1
-- Class A-1b: -1
-- Class A-2: -2
-- Class B: -1
-- Class C: -2
-- Class D: -2
-- Class E: -1
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 manager's
investment strategy and behaviour and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) 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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell 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.
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. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) The deal is allowed to reinvest and the manager has the ability
to deteriorate the collateral quality metrics' existing
cushions against the covenant levels. Moody's analyzed the
impact of assuming lower of reported and covenanted values for
weighted average rating factor, weighted average spread,
weighted average coupon, and diversity score. However, as part
of the base case, Moody's considered spread levels higher than
the covenant levels due to the large difference between the
reported and covenant levels.
GREENWICH CAPITAL: Moody's Downgrades Ratings on 2003-C1 Certs.
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
and affirmed 14 classes of Greenwich Capital Commercial Funding
Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-
C1:
-- Cl. A-3, Affirmed at Aaa (sf); previously on July 24, 2003
Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on July 24, 2003
Assigned Aaa (sf)
-- Cl. XC, Affirmed at Aaa (sf); previously on July 24, 2003
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Nov. 10, 2006
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Nov. 10, 2006
Upgraded to Aaa (sf)
-- Cl. D, Affirmed at Aaa (sf); previously on Nov. 10, 2006
Upgraded to Aaa (sf)
-- Cl. E, Affirmed at Aaa (sf); previously on March 18, 2010
Upgraded to Aaa (sf)
-- Cl. F, Affirmed at Aa1 (sf); previously on March 18, 2010
Upgraded to Aa1 (sf)
-- Cl. G, Affirmed at A1 (sf); previously on Sept. 25, 2008
Upgraded to A1 (sf)
-- Cl. H, Affirmed at Baa1 (sf); previously on Nov. 10, 2006
Upgraded to Baa1 (sf)
-- Cl. J, Affirmed at Baa3 (sf); previously on July 24, 2003
Definitive Rating Assigned Baa3 (sf)
-- Cl. K, Affirmed at Ba1 (sf); previously on July 24, 2003
Definitive Rating Assigned Ba1 (sf)
-- Cl. L, Affirmed at Ba2 (sf); previously on July 24, 2003
Definitive Rating Assigned Ba2 (sf)
-- Cl. M, Affirmed at B1 (sf); previously on March 18, 2010
Downgraded to B1 (sf)
-- Cl. N, Downgraded to Caa1 (sf); previously on March 18, 2010
Downgraded to B3 (sf)
-- Cl. O, Downgraded to Ca (sf); previously on March 18, 2010
Downgraded to Caa2 (sf)
-- Cl. P, Downgraded to C (sf); previously on March 18, 2010
Downgraded to Caa3 (sf)
Ratings Rationale
The downgrades are due to higher expected losses resulting
from realized and anticipated losses from specially serviced
and troubled loans. The pool has experienced an aggregate
$24.8 million loss since last review.
The affirmations are due to key parameters, including Moody's LTV
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 their current
ratings.
Moody's rating action reflects a cumulative base expected loss of
2.8% of the current balance. At last review, Moody's cumulative
base expected loss was 4.3%. Moody's stressed scenario loss is
7.8% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates is melded with the conduit
model credit enhancement into an overall model result. Fusion
loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for
loans with similar credit estimates in the same transaction.
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 25 compared to 27 at Moody's prior review.
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 18, 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 six months.
Deal Performance
As of the February 7, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $757.7
million from $1.2 billion at securitization. The Certificates are
collateralized by 59 mortgage loans ranging in size from less than
1% to 7% of the pool, with the top ten loans representing 36% of
the pool.
Sixteen 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.
Three loans have been liquidated from the pool, resulting in a
realized loss of $24.8 million (57% loss severity). These losses
have resulted in a 100% principal loss to Class Q and an 8%
principal loss to Class P. Four loans, representing 8% of the
pool, are currently in special servicing. The largest specially
serviced loan is the Windsor Capital Portfolio Loan ($42.5 million
-- 6.3% of the pool), which represents a 50% pari passu interest
in a $95.1 million A Note. The loan is secured by a portfolio of
six full-service Embassy Suite hotels totaling 1,394 rooms located
in California. The loan transferred to the special servicer due
to maturity default. The special servicer and borrower recently
executed a modification to the loan agreement extending the loan
through September 2012 to provide the borrower sufficient time to
secure takeout financing. The loan is expected to return back to
the master servicer shortly. Moody's is not estimating a loss
from this loan.
The remaining three specially serviced loans are secured by a mix
of multifamily, office, and retail property types. Moody's
estimates an aggregate $6.8 million loss for these specially
serviced loans (overall 47% loss severity).
Moody's has assumed a high default probability for two poorly
performing loans representing 2% of the pool and has estimated an
aggregate $2.2 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 92%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 84% compared to 89% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 12.1% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.42X and 1.31X, respectively, compared to
1.34X and 1.22X 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.
The top three performing conduit loans represent 16% of the
pool balance. The largest loan is the Oxmoor Center Mall Loan
($55.3 million -- 7.3% of the pool) which is secured by the
borrower's interest in a 929,000 square foot regional mall
(517,000 square feet of collateral) located in Louisville,
Kentucky. The loan sponsor is an affiliate of General Growth
Properties, Inc. (GGP). The loan was transferred to special
servicing in April 2009 due to GGP's Chapter 11 bankruptcy filing
but was modified and transferred back to the master servicer upon
the resolution of the bankruptcy proceedings. The center is
anchored by Sears, Macy's and Von Maur. As of December 2010, the
mall and in-line space were 97% and 89% leased, respectively,
compared to 96% and 89% at last review. Performance has improved
since the last review due to rent steps from the existing tenant
base. Moody's LTV and stressed DSCR for this loan are 68% and
1.47X, respectively, compared to 77% and 1.30X at last review.
The second largest loan is the Tide Point Office Loan
($36.1 million -- 4.8% of the pool), which is secured by a 397,000
square foot office building located in Baltimore, Maryland. As of
November 2010, the property was 82% leased, compared to 99% at the
last review. An additional 14% of the net rentable area (NRA) is
expected to expire in 2011. Given the drop in occupancy since the
last review and Moody's concerned about the property's significant
near-term lease expirations, Moody's analysis reflects a downward
cash flow adjustment to reflect a potential decline in rental
income. Moody's LTV and stressed DSCR are 98% and 1.05X,
respectively, compared to 92% and 1.11X at last review.
The third largest loan is the Frontier Building Office Loan
($30.6 million -- 4.0% of the pool), which is secured by a 280,000
square foot office building located in Anchorage, Alaska. As of
May 2010, the property was 100% leased compared to 92% at last
review. Performance has improved since last review. Moody's LTV
and stressed DSCR are 60% and 1.72X, respectively, compared to 74%
and 1.39X at last review.
HEALTH EDUCATIONAL: Fitch Affirms Ratings on Various Series
-----------------------------------------------------------
Fitch Ratings has affirmed these series of bonds issued by the
Health, Educational and Housing Facility Board of the City of
Chattanooga on behalf of CDFI Phase I, LLC (as the project):
-- $64.9 million revenue refunding bonds, senior series 2005A
(CDFI Phase I, LLC project) at 'BBB-';
-- $20.6 million revenue refunding bonds, subordinate series
2005B (CDFI Phase I, LLC project) at 'BB+'.
The Rating Outlook is Stable.
Rating Rationale:
-- The University of Tennessee at Chattanooga benefits from
stable demand and steady enrollment growth, resulting in
continued demand for campus housing, for which CDFI provides
just over half of all beds available to residential students.
-- Counterbalancing credit factors include the dependence on
student rental payments, the project's sole revenue source,
and CDFI's limited resources, in the absence of foundation
support, to handle any significant decline in occupancy
levels or increases in operating expenses.
-- The University of Chattanooga Foundation (the foundation),
while not legally obligated to do so, has demonstrated a
willingness and ability to provide financial support to the
project if needed to meet debt service obligations, although
improved operations have recently reduced the need for
foundation support.
Key Rating Drivers:
-- Maintenance of stable enrollment at UTC and continued demand
for campus housing.
-- Ongoing commitment from the foundation to provide assistance
if needed to meet debt service.
-- Sustained improvement in the project's finances in order for
it to become self-supported.
Security:
The bonds are a general obligation of the project, secured by and
payable from the revenues of CDFI's phase I, II, and III housing
facilities. The subordinate series 2005B bonds are additionally
secured by a security fund that represents specified amounts to be
transferred annually from a fund provided by the foundation
through fiscal 2013. Additional security provisions include a
cash funded debt service reserve equal to total maximum annual
debt service for all bonds. The bonds are non-recourse to the
foundation or the University of Tennessee.
Credit Summary:
While CDFI's operating margin remains negative, it demonstrated
noticeable improvement in fiscal 2010, improving to negative 2.5%
from negative 23.2% in fiscal 2009. To date, fiscal 2011 (fiscal
year ending June 30) has demonstrated further operational
improvement and CDFI forecasts an operating surplus. The gains in
operating performance stem largely from UT's assumption of
management responsibility over the project from the former private
management company in 2009. This resulted in improved collection
of student rental payments and subsequent reduction of bad debts.
By consolidating management of the project with UT's own housing
system, the university is able to achieve economies of scale and
reduce various operating costs at CDFI's housing facilities. As a
stand-alone student housing project, revenue diversity is fairly
limited, with rental income typically representing 80% or more of
total operating revenues. The reliance on rental income
underscores the importance of sustaining demand and occupancy for
the project over time. The project consists of 1,642 beds, which
are currently about 96% occupied.
CDFI continues to generate satisfactory debt service coverage.
For the project's fiscal year end 2010 (July 31) revenues
available for debt service totaled $7.4 million, up from $7
million in fiscal 2009, resulting in 1.22 times maximum annual
debt service coverage. Revenues available for debt service
include an annual amount transferred under the security agreement
($690,000 in fiscal 2010), which is pledged to the subordinate
series 2005B bonds through fiscal 2013, and additional annual
financial support from the foundation. The additional annual
support is not legally pledged to the bonds, though the foundation
continues to demonstrate a willingness to subsidize the project as
needed. The foundation contributed $800,000 to the project in
2009 over and above the transfer made pursuant to the security
agreement, with no contribution needed in 2010. Based on the
current forecast for an operating surplus in 2011, the project
does not anticipate needing a contribution from the foundation to
meet the required 1.10x total debt service coverage covenant.
CDFI's ability to sustain recent operating improvement and meet
its debt service coverage covenant in the absence of foundation
support may yield positive rating pressure over the intermediate
term.
Balance sheet resources have remained fairly stable, although are
down somewhat since fiscal 2006. A majority of CDFI's cash and
investments ($11.5 million in fiscal 2010) are reserved for debt
service payments and other reserve and security funds required
under the bond indenture. Unrestricted cash and investments total
just $1.4 million, providing a very thin financial cushion.
Furthermore, all or a portion of any operating surpluses generated
by CDFI are expected to be transferred back to the foundation.
CDFI's balance sheet resources will therefore likely remain
intentionally stable and not grow significantly going forward.
The foundation maintains a solid level of balance sheet resources,
with gross cash and investments of $98 million and available funds
of $60 million as of June 30, 2010 (including CDFI assets). As
discussed above, the foundation's funds have been utilized in the
past to provide important financial assistance to CDFI during
periods of occupancy and or revenue weakness.
CDFI is a subsidiary of Campus Development Foundation Inc., which
was formed by the foundation to acquire real estate and to
construct, manage, and operate housing for UTC students. CDFI
constructed three phases of housing units consisting of 1,642
beds, with the final phase having opened in 2004. While the
project remains non-recourse to the university, UT's management of
the project brings it under the same management as all housing at
the Chattanooga campus, a factor viewed favorably by Fitch. UTC
has a total of 2,949 beds (including CDFI) which are nearly fully
occupied. UTC's fall 2010 headcount enrollment of 10,781 has
grown 21% from fall 2006. Full-time equivalent enrollment was
9,331, of which approximately 31% reside in campus housing.
IXION PLC: S&P Downgrades Ratings on Various Classes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 13 notes issued by seven Ixion PLC transactions, which are all
collateralized debt obligation of asset-backed securities
transactions. At the same time, S&P withdrew the rating on the
Ixion PLC series 33 notes.
The downgrades follow a number of credit events within the
transactions' underlying portfolios that have caused the notes to
incur principal losses. The rating withdrawal follows the
complete redemption and subsequent termination of the notes.
Ratings Lowered
Ixion PLC
Rating
------
Series To From
------ -- ----
4 D (sf) CC (sf)
Ixion PLC
Rating
------
Series To From
------ -- ----
5 D (sf) CC (sf)
Ixion PLC
Rating
------
Series To From
------ -- ----
6 D (sf) CC (sf)
Ixion PLC
Rating
------
Series To From
------ -- ----
7 D (sf) CC (sf)
Ixion PLC
Rating
------
Series To From
------ -- ----
9 D (sf) CC (sf)
Ixion PLC
Rating
------
Series To From
------ -- ----
11 D (sf) CC (sf)
Ixion PLC
HELD 2006-1
Rating
------
Series To From
------ -- ----
1 D (sf) CC (sf)
2 D (sf) CC (sf)
3 D (sf) CC (sf)
Ixion PLC
SYRAH 2006-11
Rating
------
Series To From
------ -- ----
16 D (sf) CC (sf)
17 D (sf) CC (sf)
18 D (sf) CC (sf)
Ixion PLC
SYRAH 2007-2
Rating
------
Series To From
------ -- ----
19 D (sf) CC (sf)
Rating Withdrawn
Ixion PLC
Rating
------
Series To From
------ -- ----
33 NR CCC+ (sf)
NR - Not rated.
JP MORGAN: Moody's Downgrades Ratings on Series 2006-LDP8 Certs.
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of five classes
and affirmed 18 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2006-LDP8:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3FL, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3A, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3B, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-SB, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-M, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on Oct. 2, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Affirmed at A3 (sf); previously on Nov. 12, 2009
Downgraded to A3 (sf)
-- Cl. B, Affirmed at Baa2 (sf); previously on Nov. 12, 2009
Downgraded to Baa2 (sf)
-- Cl. C, Affirmed at Baa3 (sf); previously on Nov. 12, 2009
Downgraded to Baa3 (sf)
-- Cl. D, Affirmed at Ba2 (sf); previously on Nov. 12, 2009
Downgraded to Ba2 (sf)
-- Cl. E, Affirmed at Ba3 (sf); previously on Nov. 12, 2009
Downgraded to Ba3 (sf)
-- Cl. F, Affirmed at B2 (sf); previously on Nov. 12, 2009
Downgraded to B2 (sf)
-- Cl. G, Affirmed at Caa1 (sf); previously on Nov. 12, 2009
Downgraded to Caa1 (sf)
-- Cl. H, Affirmed at Caa2 (sf); previously on Nov. 12, 2009
Downgraded to Caa2 (sf)
-- Cl. J, Affirmed at Caa3 (sf); previously on Nov. 12, 2009
Downgraded to Caa3 (sf)
-- Cl. K, Downgraded to Ca (sf); previously on Nov. 12, 2009
Downgraded to Caa3 (sf)
-- Cl. L, Downgraded to C (sf); previously on Nov. 12, 2009
Downgraded to Ca (sf)
-- Cl. M, Downgraded to C (sf); previously on Nov. 12, 2009
Downgraded to Ca (sf)
-- Cl. N, Downgraded to C (sf); previously on Nov. 12, 2009
Downgraded to Ca (sf)
-- Cl. P, Downgraded to C (sf); previously on Nov. 12, 2009
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 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.
Moody's rating action reflects a cumulative base expected loss of
4.8% of the current balance. At last review, Moody's cumulative
base expected loss was 4.8%. Moody's stressed scenario loss is
23.1% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates 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 credit estimates 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 12, 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 six months.
Deal Performance
As of the February 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $2.98 billion
from $3.07 billion at securitization. The Certificates are
collateralized by 152 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans representing
64% 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.
The trust has experienced an aggregate $28.4 million loss since
last review. Two loans have been liquidated from the trust,
resulting in a $8.3 million loss (43% loss severity on average).
The remaining $20.1 million aggregate loss is from principal
reductions due to loan modifications. The trust had not
experienced any losses at last review.
Currently 19 loans, representing 5% of the pool, are in special
servicing. The master servicer has recognized an aggregate $53.8
million appraisal reduction on 10 of the specially serviced loans.
Moody's has estimated an aggregate $50.6 million loss (56%
expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for six poorly
performing loans representing 1% of the pool. Moody's has
estimated a $6.3 million loss (16% expected loss based on a 50%
probability default) from the troubled loans.
Moody's was provided with full year 2009 operating results for 96%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV for the conduit component is 108% ,
the same as at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 12% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 8.8%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.41X and 0.99X, respectively, the same as
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 19 compared to 20 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. 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.
The top three performing conduit loans represent 31% of the pool.
The largest loan is the Park La Brea Apartments Loan ($387.5
million -- 13.0% of the pool), which represents a pari passu
interest in a $775.0 million first mortgage loan. The loan is
secured by a 4,238-unit multifamily property located in Hollywood,
California. The property was 98% leased as of September 2010.
The loan is interest-only for the entire term. Moody's LTV and
stressed DSCR are 99% and 0.82X, respectively, compared to 101%
and 0.80X, at last review.
The second largest loan is the 53 State Street Loan ($280.0
million -- 9.4% of the pool), which is secured by a 1.1 million
square foot Class A office building located in the financial
office submarket in Boston, Massachusetts. The property was 90%
leased as of June 2010. Performance has been stable. The loan is
interest-only for the entire term. Moody's LTV and stressed DSCR
104% and 0.89X, respectively, compared to 111% and 0.83X at last
review.
The third largest loan is the RREEF Silicon Valley Office
Portfolio Loan ($250.0 million -- 8.4% of the pool), which
represents a pari passu interest in a $700.0 million first
mortgage loan. The loan is secured by 18 office/R&D properties
located in the Silicon Valley area of California. The loan is
interest-only for the entire term. Moody's LTV and stressed DSCR
112% and 0.82X, respectively, compared to 121% and 0.85X at last
review.
JP MORGAN: Moody's Confirms Ratings on Two 2005-CIBC11 Certs.
-------------------------------------------------------------
Moody's Investors Service confirmed the ratings of two classes,
affirmed nine classes and downgraded 11 classes of J.P. Morgan
Chase Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2005-CIBC11:
-- Cl. A-2, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-SB, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. X-2, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-JFL, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Confirmed at Aa2 (sf); previously on Feb. 16, 2011 Aa2
(sf) Placed Under Review for Possible Downgrade
-- Cl. C, Confirmed at Aa3 (sf); previously on Feb. 16, 2011 Aa3
(sf) Placed Under Review for Possible Downgrade
-- Cl. D, Downgraded to A3 (sf); previously on Feb. 16, 2011 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. E, Downgraded to Baa1 (sf); previously on Feb. 16, 2011
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. F, Downgraded to Ba1 (sf); previously on Feb. 16, 2011
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to Ba2 (sf); previously on Feb. 16, 2011
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to B3 (sf); previously on Feb. 16, 2011 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. J, Downgraded to Caa1 (sf); previously on Feb. 16, 2011
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. K, Downgraded to Caa2 (sf); previously on Feb. 16, 2011
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. L, Downgraded to Caa3 (sf); previously on Feb. 16, 2011
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to Ca (sf); previously on Feb. 16, 2011
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. N, Downgraded to C (sf); previously on Feb. 16, 2011 Caa3
(sf) Placed Under Review for Possible Downgrade
-- Cl. P, Downgraded to C (sf); previously on Feb. 16, 2011 Caa3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced loans and troubled loans and interest shortfalls.
The affirmations are due to key parameters, including Moody's loan
to value ratio, and Moody's stressed debt service coverage ratio
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 rating action reflects a cumulative base expected loss of
4.9% of the current balance. At last review, Moody's cumulative
base expected loss was 3.0%. Moody's stressed scenario loss is
12.0% 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. Due to the high level of credit subordination
and defeasance, it is unlikely that investment grade classes would
be downgraded even if losses are higher than Moody's expected
base.
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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011. The
hotel and multifamily sectors are continuing to show signs of
recovery, while recovery in the office and retail sectors will be
tied to recovery of the broader economy. The availability of debt
capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 and the CMBS Large Loan Model v 8.0. 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 pay down 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 credit estimate 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 credit
estimates in the same transaction.
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 33 compared to 29 at Moody's prior review.
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 17, 2009.
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.
Deal Performance
As of the February 14, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to
$1.49 billion from $1.8 billion at securitization. The
Certificates are collateralized by 135 mortgage loans ranging in
size from less than 1% to 8% of the pool, with the top ten loans
representing 44% of the pool. Seven loans, representing 4% of the
pool, have defeased and are collateralized with U.S. Government
securities.
Thirty-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.
Nine loans have been liquidated from the pool since
securitization, resulting in an aggregate $15.5 million loss (43%
loss severity on average). At last review, the pool had only
realized a $1.1 million loss. Currently, there are 15 loans,
representing 8% of the pool, in special servicing. The master
servicer has recognized appraisal reductions, totaling $16.2
million, for nine of the specially serviced loans. Moody's has
estimated an aggregate $20.1 million loss for the specially
serviced loans (36% overall expected loss).
Moody's has also assumed a high default probability for five
poorly performing loans representing 9.3% of the pool and has
estimated an aggregate $27.4 million loss (20% expected loss based
on a 95% probability default) for the troubled loans.
Based on the most recent remittance statement, Classes K
through NR have experienced cumulative interest shortfalls
totaling $1.96 million. Moody's anticipates that the pool will
continue to experience interest shortfalls due to the pool's high
exposure to specially serviced loans.
Moody's was provided with full year 2009 and partial 2010
operating results for 82% and 76%, respectively, for the non-
defeased pool. Excluding special serviced and troubled loans,
Moody's weighted average LTV is 93% compared to 98% at last
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 specialized serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.40X and 1.11X, respectively, compared to
1.40X and 1.03X 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.
The top three non-defeased conduit loans represent 22% of the
pool. The largest conduit loan is the Southridge Mall Loan
($124.0 million -- 8.3% of the pool), which is secured by the
borrower's interest in a 1.2 million square foot (617,000 square
feet is collateral) regional shopping mall located in Greendale,
Wisconsin. As of September 2010, the collateral's in-line space
was 75% leased compared to 78% at last review. The decline in
occupancy is largely attributed to the closing of Steve & Barry's
and Linen 'N Things, which occurred in 2009. Financial
performance has declined due to the center's increased vacancy.
Actual 2009 net operating income is 16% lower than at last review.
On February 18, 2011, the loan was transferred to special
servicing from the master servicer's watch list after the Borrower
requested a loan modification to extend the maturity date. The
loan is due to mature in April 2012. The transfer to special
servicing will be reflected in next month's remittance statement.
Based on recent performance, Moody's has assumed a $25.2 million
loss for this loan (20% expected loss).
The second largest loan is the Airport Industrial Park Loan
($104.0 million -- 7.0% of the pool), which is secured by a
826,000 square foot multi-level warehouse and office complex
located in Honolulu, Hawaii. The largest tenants are Hawaii
Airlines (14.5% of the net rentable area (NRA); lease expiration
in 2016) and Duty Free Shopper (14% of the NRA; lease expiration
in 2015). As of December 2010, the property was 95% leased
compared to 97% at last review. Moody's LTV and stressed DSCR are
84% and 1.10X, respectively, compared to 87% and 1.09X at last
review.
The third largest loan is the Palm Spring Mile Loan ($98.7 million
-- 6.6% of the pool), which is secured by a 1.17 million square
foot anchored retail center located in Hialeah, Florida. The
multi-building complex is arranged in a strip-style format and was
constructed in four phases. Phase I is commonly known as Mall on
the Mile; Phase II is commonly known as Palms Springs Village,
Phases III and IV are commonly known as Philips Plaza and Shoppes
at 49th, respectively. The largest tenants are Burlington Coat
Factory (11% of the NRA; lease expiration in 2012), Kohl's (9% of
the NRA; lease expiration in 2029) and Winn-Dixie Stores (5% of
the NRA; lease expiration in 2021). As of September 2010, the
property was 94% leased compared to 96% at last review. Moody's
LTV and stressed DSCR are 76% and 1.28X, compared to 80% and 1.24X
at last review.
LB COMMERCIAL: Moody's Downgrades Ratings on Two 2007-C3 Certs.
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed 18 classes of LB Commercial Mortgage Trust 2007-C3
Commercial Mortgage Pass-Through Certificates, Series 2007-C3:
-- Cl. A-M, Affirmed at Aa3 (sf); previously on Oct. 22, 2009
Downgraded to Aa3 (sf)
-- Cl. A-MB, Affirmed at Aa3 (sf); previously on Oct. 22, 2009
Downgraded to Aa3 (sf)
-- Cl. A-MFL, Affirmed at Aa3 (sf); previously on Oct. 22, 2009
Downgraded to Aa3 (sf)
-- Cl. A-J, Downgraded to B1 (sf); previously on Oct. 22, 2009
Downgraded to Ba1 (sf)
-- Cl. A-JFL, Downgraded to B1 (sf); previously on Oct. 22, 2009
Downgraded to Ba1 (sf)
-- Cl. B, Affirmed at B2 (sf); previously on Oct. 22, 2009
Downgraded to B2 (sf)
-- Cl. C, Affirmed at B3 (sf); previously on Oct. 22, 2009
Downgraded to B3 (sf)
-- Cl. D, Affirmed at Caa1 (sf); previously on Oct. 22, 2009
Downgraded to Caa1 (sf)
-- Cl. E, Affirmed at Caa2 (sf); previously on Oct. 22, 2009
Downgraded to Caa2 (sf)
-- Cl. F, Affirmed at Ca (sf); previously on Oct. 22, 2009
Downgraded to Ca (sf)
-- Cl. G, Affirmed at Ca (sf); previously on Oct. 22, 2009
Downgraded to Ca (sf)
-- Cl. H, Affirmed at Ca (sf); previously on Oct. 22, 2009
Downgraded to Ca (sf)
-- Cl. J, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. Q, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
-- Cl. S, Affirmed at C (sf); previously on Oct. 22, 2009
Downgraded to C (sf)
Ratings Rationale
Moody's rating action did not address the ratings of Classes A-1,
A-2, A-2FL, A-3, A-AB, A-4, A-4B, A-4FL, A-1A and X, which are all
currently rated Aaa, on review for possible downgrade. These
classes were placed on review on January 19, 2011. KeyCorp Real
Estate Capital Markets, Inc. is the master servicer on this
transaction and deposits collection, escrow and other accounts in
KeyBank, National Association. KeyBank no longer meets Moody's
rating criteria for an eligible depository account institution for
Aaa and Aa1 rated securities. Moody's is reviewing arrangements
that KeyBank has proposed, and that it may propose, to mitigate
the incremental risk indicated by the lower rating of the
depository account institution, so as possibly to allow the
classes on review to maintain their current ratings.
The downgrades of Classes A-J and A-JFL are due to concerncs that
interest shortfalls will hit these classes. 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.
Moody's rating action reflects a cumulative base expected loss of
10.7% of the current balance. At last review, Moody's cumulative
base expected loss was 13.8%. Moody's stressed scenario loss is
27.3% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates 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 credit estimates 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 October 22, 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 six months.
Deal Performance
As of the February 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 4% to $3.1 billion
from $3.2 billion at securitization. The Certificates are
collateralized by 117 mortgage loans ranging in size from less
than 1% to 14% of the pool, with the top ten loans representing
54% of the pool. The pool includes two loans with investment
grade credit estimates, representing 2% of the pool.
Fifteen 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 trust has experienced an aggregate $20.4 million loss since
last review. One loan has been liquidated from the trust,
resulting in a $7.4 million loss (29% loss severity on average).
The remaining $12.9 million in losses is from principal reductions
due to loan modifications. The trust had not experienced any
losses at last review.
Forty-seven loans, representing 34% of the pool, are currently in
special servicing. The largest specially serviced loan is the 237
Park Avenue Loan ($419.6 million -- 13.5% of the pool), which is
secured by a 1.1 million square foot (SF) office building located
in the Grand Central office submarket of New York City. At
securitization the loan was also encumbered by a $225.4 million B
Note and $225.0 million in Mezzanine debt. The loan transferred
to special servicing on January 15, 2010 due to imminent default
and is now current. The loan was modified to allow full monthly
payment on the A Note debt service, building expenses and partial
payment of the B Note debt service to the extent cash is
available. The building was 89% leased as of September 2010,
compared to 98% occupied at last review. The largest tenants are
JW Thompson (23% of the net rentable area; lease expiration
December 2016), Credit Suisse (23% of the NRA; lease expiration
October 2014) and Bear Stearns Companies, Inc. (22% of the NRA;
lease expiration August 2020). Moody's NCF at securitization
incorporated significant revenue growth based on the strength of
New York's office market and the expectation that the property's
cash flow would increase as leases rolled. The current analysis
reflects a much lower level of revenue growth due to decline in
market conditions. Moody's does not currently estimate any losses
from this loan.
The second largest specially serviced loan is the Larken Portfolio
Loan ($172.0 million -- 5.5% of the pool), which is secured by 19
office, retail and industrial properties located in New Jersey.
The loan was transferred to special servicing on May 19, 2009 due
to imminent default. The portfolio was 79% leased as of June 2009
compared to 99% at securitization. The master servicer recognized
an $84.2 million appraisal reduction for this loan in February
2011.
The third largest specially serviced loan is the Bethany Phoenix
Portfolio I Loan ($151.9 million -- 4.9% of the pool), which is
secured by seven multifamily properties located in Phoenix,
Arizona. The loan was transferred to special servicing on January
21, 2009 when the master servicer became aware of mechanics liens
against six of the properties. A receiver was subsequently
appointed and sold the properties to Standard Portfolios in
September 2010. As part of the sale and loan assumption
agreement, the properties were purchased for $133.1 million and
the principal was then paid down to $123.0 million. The remaining
$28.9 million principal reduction was captured in a separate loan.
All future legal advances will be applied to this deficiency loan.
The master servicer recognized a $36.4 million appraisal reduction
for this loan in February 2011.
The remaining 44 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$98.5 million appraisal reduction for 15 of the remaining
specially serviced loans. Moody's has estimated an aggregate
$282.3 million loss (45% expected loss on average) for 46 of the
specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 1% of the pool. Moody's has
estimated a $5.8 million loss (25% expected loss based on a 50%
probability default) from the troubled loans.
Based on the most recent remittance statement, Classes B through T
have experienced cumulative interest shortfalls totaling $14.6
million. Interest shortfalls increased from Class G to Class B in
February 2011 due to loan modifications and appraisal entitlement
reductions on several loans based on recent appraisal reductions.
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, ASERs,
loan modifications and extraordinary trust expenses.
Moody's was provided with full year 2009 operating results for 94%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV for the conduit component is 108%
compared to 114% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 6% 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 for the conduit component are 1.44X and 0.96X,
respectively, compared to 1.36X and 0.92X 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 20 compared to 22 at Moody's prior review.
Two loans currently have investment grade credit estimates. The
315 Hudson Street Loan ($35.0 million -- 1.1%) is secured by an
office/retail property located in New York City. Moody's credit
estimate and stressed DSCR are Aaa and 2.32, respectively,
compared to Aa3 and 1.87 at last review. The 133 East 58th Street
Loan ($25.0 million -- 0.8%) is also secured by an office/retail
property located in New York City. Moody's credit estimate and
stressed DSCR are A2 and 1.74, respectively, compared to A3 and
1.63 at last review.
The top three performing conduit loans represent 20% of the pool.
The largest loan is the Rosslyn Portfolio Loan ($310.0 million --
9.9% of the pool), which is secured by two office properties
located in Arlington, Virginia. At securitization the loan was
also encumbered by a $257.7 million B Note. The two properties
were 93% leased as of September 2010 compared to 98% at last
review. Loan performance has improved due to increased rent.
Moody's LTV and stressed DSCR are 70% and 1.35X, respectively,
compared to 79% and 1.20X, at last review.
The second largest loan is the 110 William Street Loan
($156.6 million -- 5.0% of the pool), which is secured by an
858,000 SF office building located in the Insurance submarket in
New York City. The building was 93% leased as of October 2010
compared to 85% at last review. The loan is currently on the
master servicer's watchlist due to low occupancy. The largest
tenant is the NYC Economic Development, which leases 30% of the
NRA through August 2019. The New York Liquidation Bureau recently
signed a lease to occupy 14% of the NRA through November 2025.
Moody's LTV and stressed DSCR are 130% and 0.77X, respectively,
compared to 129% and 0.77X at last review.
The third largest loan is the Bay Colony Corporate Center Loan
($143.9 million -- 4.6% of the pool), which is secured by a
970,000 SF office building located in Waltham, Massachusetts. At
securitization the loan was also encumbered by $124.9 million in
Mezzanine debt. The property was 76% leased as of September 2010
compared to 83% at last review. The loan is currently on the
master servicer's watchlist due to low occupancy. The largest
tenant is Private Healthcare Systems, Inc., which leases 21% of
the NRA through October 2015. The decrease in occupancy has
negatively impacted property performance. Moody's valuation
incorporates a stressed cash flow due to concerns about lease
rollover risk during the loan term. Moody's LTV and stressed DSCR
107% and 0.91X, respectively, compared to 88% and 1.11X at last
review.
LB-UBS COMMERCIAL: Moody's Upgrades Rating on 2001-C1 Certs.
------------------------------------------------------------
Moody's Investors Service upgraded the rating of three classes and
affirmed eight classes of LB-UBS, Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2001-C1:
-- Cl. X, Affirmed at Aaa (sf); previously on May 24, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on May 24, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Feb. 11, 2010
Confirmed at Aaa (sf)
-- Cl. C, Upgraded to Aaa (sf); previously on Feb. 11, 2010
Downgraded to Aa2 (sf)
-- Cl. D, Upgraded to Aa3 (sf); previously on Feb. 11, 2010
Downgraded to A2 (sf)
-- Cl. E, Upgraded to A3 (sf); previously on Feb. 11, 2010
Downgraded to Baa2 (sf)
-- Cl. F, Affirmed at B1 (sf); previously on Feb. 11, 2010
Downgraded to B1 (sf)
-- Cl. G, Affirmed at Caa1 (sf); previously on Feb. 11, 2010
Downgraded to Caa1 (sf)
-- Cl. H, Affirmed at Ca (sf); previously on Feb. 11, 2010
Downgraded to Ca (sf)
-- Cl. J, Affirmed at C (sf); previously on Feb. 11, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Feb. 11, 2010
Downgraded to C (sf)
Ratings Rationale
The upgrades of Classes C, D and E are due to a significant
increase in subordination levels due to loan payoffs and
amortization and overall stable pool performance. 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 their current
ratings.
Moody's rating action reflects a cumulative base expected loss of
6.6% of the current balance. At last review, Moody's cumulative
base loss was 6.3%. Moody's stressed scenario loss is 8.8% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011. The
hotel and multifamily sectors are continuing to show signs of
recovery, while recovery in the office and retail sectors will be
tied to recovery of the broader economy. The availability of debt
capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 pay down 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 credit estimates 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 credit estimates in the same transaction.
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 6 compared to 20 at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. 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 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 11, 2010.
Moody's Investors Service received and took into account one or
more third party due diligence report(s) on the underlying assets
or financial instruments in this transaction and the due diligence
report(s) had a neutral impact on the ratings.
Deal Performance
As of the February 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 80% to
$258.9 million from $1.3 billion at securitization. The
Certificates are collateralized by 29 mortgage loans ranging in
size from less than 1% to 26% of the pool, with the top ten loans
representing 48% of the pool. Five loans, representing 29% of the
pool, have defeased and are collateralized by U.S. Government
securities. There are no loans in the pool with an investment
grade credit estimate. At last review the New Park Mall Loan
($66.1 million -- 25.5% of the pool) had an investment grade
credit estimate. However, due to a decline in performance and
increased leverage this loan is now analyzed as part of the
conduit pool.
Ten 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.
Fifteen loans have been liquidated from the pool since
securitization, resulting in a $51.7 million loss (45% loss
severity on average). The pool has experienced an aggregate
$25.6 million loss at last review. Realized losses have resulted
in 100% principal loss for Classes L through Q and a 47% loss to
Class K. There are presently 12 loans, representing 26% of the
pool, in special servicing. The largest specially serviced loan
is the Courtyard at Miami Lakes Loan ($19.3 million -- 7.5% of the
pool), which is secured by a 448-unit apartment complex built in
1974 and renovated in 2000 located in Miami Lakes, Florida. The
loan was transferred to special servicing November 2010 due to
financial performance concerns and looming loan maturity. The
property was 83% leased as of June 2010 versus 93% at
securitization.
The second largest specially serviced loan is the Shadowood Office
Park Loan ($12.6 million -- 4.9% of the pool), which is secured by
a 197,452 square foot (SF) three-building office complex located
in Atlanta, Georgia. This loan was transferred to special
servicing in February 2010 due to imminent default and is now real
estate owned. The master servicer recognized a $3.2 million
appraisal reduction in October 2010. Property occupancy was 61%
as of March 2010 compared to 68% in December 2009 and 99% at
securitization.
The third largest specially serviced loan is the Metroplex Tech
Center I Loan ($9.5 million -- 3.7% of the pool), which is secured
by a 106,000 SF office building located in Carrollton, Texas. The
loan was transferred to special servicing on December 2009 due to
technical default. The property was 100% leased as of September
2010, same as last review and at securitization. The loan's
anticipated repayment date was February 15, 2011 and the loan will
begin to hyper-amortize on a go forward basis until refinanced.
The remaining nine specially serviced loans are secured by a mix
of office, retail and multi-family properties. Moody's estimates
an aggregate $14.3 million loss for nine of the specially serviced
loans (26% expected loss on average). The special servicer has
recognized appraisal reductions totaling $4.5 million for five
specially serviced loans.
Moody's was provided with full year 2009 and partial year 2010
operating results for 69% and 66%, respectively, of the pool's
non-defeased loans. Excluding specially serviced loans, Moody's
weighted average LTV is 73% compared to 81% at Moody's prior
review. Moody's net cash flow reflects a weighted average haircut
of 11.0% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.37%.
Excluding specially serviced loans, Moody's actual and stressed
DSCRs are 1.30X and 1.39X, respectively, compared to 1.29X and
1.36X 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.
The loan that formerly had a credit estimate is the NewPark Mall
Loan ($66.1 million -- 25.5% of the pool), which is secured by the
borrower's interest in a 1.2 million SF enclosed regional shopping
mall located in Newark, California. The loan sponsor is an
affiliate of General Growth Properties. The loan had been in
special servicing due to GGP's bankruptcy filing but was
transferred back to the master servicer in the fall of 2010 after
the maturity date was extended from June 2010 to August 2014 as
part of the bankruptcy court's reorganization plan. Anchor
tenants include Target, Macy's, Sears and JC Penney. Mall
occupancy was 96% as of September 2010 with inline mall tenant
occupancy at 61%. Financial performance has declined since last
review due to lower inline tenant occupancy and challenging
regional economic conditions. Moody's LTV and stressed DSCR are
71% and 1.38X, respectively, compared to 54% and 1.76X at last
review.
The top three performing conduit loans represent 14% of the
pool balance. The largest loan is the 215 Coles Street Loan
($21.2 million -- 8.2% of the pool), which is secured by a
713,852 SF industrial property located in Jersey City, New
Jersey. Financial performance has been stable since last review.
The property was 100% leased as of January 2009, the same as at
securitization. This loan has an anticipated repayment date of
March 11, 2011 and is on the master servicer's watchlist due to
refinancing uncertainty. The loan is current. Moody's LTV and
stressed DSCR are 74% and 1.22X, respectively, compared to 82%
and 1.33X at last review.
The second largest loan is the Super Stop and Shop Loan
($7.5 million -- 2.9% of the pool), which is secured by a 65,706
SF retail center located in New Bedford, Massachusetts. Financial
performance has declined since last review due to higher operating
expenses, primarily real estate taxes. The center was 100% net
leased as September 2010 to Stop and Shop on a long-term lease
expiring in December 2015. The loan has an ARD of March 11, 2011
and is on the master servicer's watchlist due to refinancing
uncertainty. The loan is current. Moody's LTV and stressed DSCR
are 84% and 1.23X, respectively, compared to 71% and 1.46X at last
review.
The third largest loan is the Latrobe 30 Plaza Loan ($6.7 million
-- 2.6% of the pool), which is secured by a 270,110 SF retail
center located in Latrobe, Pennsylvania. Financial performance
has declined since last review due to low occupancy. The property
was 72% leased as of March 2010 versus 68% at last review. Major
retail tenants include Supervalu, Tractor Supply Company and Rite
Aid. This loan has an ARD of March 11, 2011 and is on the master
servicer's watchlist due to refinancing uncertainty.The loan is
current. Moody's LTV and stressed DSCR are 68% and 1.5X,
respectively, compared to 67% and 1.54X at last review.
LNR CDO: Fitch Takes Rating Actions on Various Classes of Notes
---------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 10 classes issued by
LNR CDO IV series 2006-1, Ltd. as a result of an interest payment
default on the class A notes.
Since Fitch's last review in April 2010, approximately 43.6% of
the portfolio has been downgraded. Currently, 97.9% has a Fitch
derived rating below investment grade and 78.8% has a rating in
the 'CCC' rating category or lower, compared to 98.3% and 66.1% at
last review. As of the Jan. 25, 2011 trustee report, 80.2% of the
collateral is currently experiencing interest shortfalls, compared
to 56.9% at last review.
On April 2, 2010, the trustee declared an event of default due to
non-payment of full and timely accrued interest to the class B
notes. According to the Jan. 28, 2010 payment date, the class A
and B notes are not receiving their full and timely accrued
interest due to the significant hedge termination payment which is
senior in priority to the class A notes. All available proceeds
are being distributed to the interest rate hedge counterparty as
hedge termination payments. Fitch has therefore downgraded the
class A notes and affirmed the class B notes at 'Dsf'.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. However, given the
portfolio's distressed 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.
For classes C through G, Fitch compared the respective credit
enhancement levels to the amount of distressed assets ('CC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
classes C through G have been affirmed at 'Csf', indicating that
default is inevitable at maturity.
LNR CDO IV is collateralized by all or a portion of 131 classes in
35 separate underlying commercial mortgage-backed securities
transactions. Approximately 18.9% of the collateral currently is
not rated and represents the first loss position of the respective
underlying CMBS transaction. All underlying classes are thin,
junior tranches that are susceptible to losses in the near term.
Fitch has taken these actions as indicated:
-- $474,385,000 class A notes downgraded to 'Dsf' from 'Csf';
-- $204,174,000 class B-FL notes affirmed at 'Dsf';
-- $10,000,000 class B-FX notes affirmed at 'Dsf';
-- $73,154,000 class C-FL notes affirmed at 'Csf';
-- $54,950,000 class C-FX notes affirmed at 'Csf';
-- $10,000,000 class D-FL notes affirmed at 'Csf';
-- $54,052,000 class D-FX notes affirmed at 'Csf';
-- $72,058,000 class E notes affirmed at 'Csf';
-- $25,000,000 class F-FL notes affirmed at 'Csf';
-- $31,046,000 class F-FX notes affirmed at 'Csf';
-- $78,063,000 class G notes affirmed at 'Csf'.
LOUISIANA HOUSING: S&P Reinstates 'B' Rating on Housing Bonds
-------------------------------------------------------------
Standard & Poor's Ratings Services corrected by reinstating its
'B' rating on Louisiana Housing Finance Agency's (Ridgefield
Apartments) multifamily housing revenue bonds series 2007.
MASTR ALTERNATIVE: Moody's Downgrades Ratings on 105 Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 105
tranches and confirmed the ratings of 17 tranches from 11 Alt-A
deals issued by MASTR Alternative Loan Trust. The collateral
backing these deals primarily consists of first-lien, fixed rate
Alt-A residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of Alt-A
pools securitized before 2005. Although most of these pools have
paid down significantly, the remaining loans are affected by the
housing and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Alt-A
pools issued from prior 2005. The principal methodology used in
these ratings was "Pre-2005 US RMBS Surveillance Methodology"
published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project
losses on pools with fewer than 100 loans, Moody's first estimates
a "baseline" average rate of new delinquencies for the pool that
is dependent on the vintage of loan origination (10%, 5% and 3%
for the 2004, 2003 and 2002 and prior vintage respectively). The
baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans from the 2004 vintage,
the adjusted rate of new delinquency would be 10.10%. in
addition, if current delinquency levels in a small pool is low,
future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by
a factor ranging from 0.5 to 2.0 for current delinquencies
ranging from less than 2.5% to greater than 30% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 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: MASTR Alternative Loan Trust 2002-3
-- Cl. A-6, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Underlying Rating: Downgraded to Baa2 (sf); previously on
April 13, 2010 Aa2 (sf) Placed Under Review for Possible
Downgrade
-- Financial Guarantor: MBIA Insurance Corporation (Downgraded
to B3, Outlook Negative on June 25, 2009)
-- Cl. M-1, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2003-1
-- Cl. B-1, Downgraded to A1 (sf); previously on Feb. 18, 2003
Assigned Aa3 (sf)
-- Cl. B-2, Downgraded to Baa2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to B2 (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2003-2
-- Cl. 1-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-3, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-4, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-IO, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-PO, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-A-X, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-PO, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-A-X, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-PO, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to A2 (sf); previously on April 13, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ba2 (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to Ca (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2003-3
-- Cl. B-1, Confirmed at Aa3 (sf); previously on April 13, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Baa2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to Caa1 (sf); previously on April 13,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2003-5
-- Cl. 1-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- CL. 3-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-A-X, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-PO, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-A-X, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-PO, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-B-1, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-B-2, Downgraded to Caa1 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-B-3, Downgraded to C (sf); previously on April 13,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-B-4, Downgraded to C (sf); previously on April 13,
2010 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2004-3
-- Cl. 1-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Aa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Aa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Aa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Aa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-PO, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-A-X, Downgraded to Aa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-PO, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-AX-1, Downgraded to Aa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-AX-2, Downgraded to Aa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-I-1, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-I-2, Downgraded to B2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-I-3, Downgraded to C (sf); previously on April 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2004-4
-- Cl. 1-A-1, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 9-A-1, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 10-A-1, Downgraded to Baa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 10-A-2, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 11-A-1, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-PO, Downgraded to Baa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-AX-2, Downgraded to Baa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-PO, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-AX-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-AX-2, Downgraded to Baa2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-I-1, Downgraded to Caa2 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-I-2, Downgraded to C (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-I-3, Downgraded to C (sf); previously on April 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2004-5
-- Cl. 1-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-PO, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-PO, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-AX-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-AX-2, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa2 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2004-7
-- Cl. 1-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-2, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 9-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 10-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 15-PO, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 30-PO, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. AX-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. AX-2, Downgraded to Ba2 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. AX-3, Downgraded to Baa3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Alternative Loan Trust 2004-9
-- Cl. A-4, Confirmed at Aaa (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010
B3 (sf) Placed Under Review for Possible Downgrade
MASTR ADJUSTABLE: Moody's Downgrades Ratings on 196 Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 196
tranches and confirmed the ratings of five tranches from 18 Alt-A
deals issued by MASTR Adjustable Rate Mortgages Trust. The
collateral backing these deals primarily consists of first-lien,
adjustable rate Alt-A residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of Alt-A
pools securitized before 2005. Although most of these pools have
paid down significantly, the remaining loans are affected by the
housing and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Alt-A
pools issued from prior to 2005.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project
losses on pools with fewer than 100 loans, Moody's first estimates
a "baseline" average rate of new delinquencies for the pool that
is dependent on the vintage of loan origination (10%, 5% and 3%
for the 2004, 2003 and 2002 and prior vintage respectively). The
baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages. .
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans from the 2004 vintage,
the adjusted rate of new delinquency would be 10.10%. in
addition, if current delinquency levels in a small pool is low,
future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.5 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 30% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 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: MASTR Adjustable Rate Mortgages Trust 2003-2
-- Cl. 1-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-3
-- Cl. 1-A-1, Downgraded to A3 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to A3 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to A3 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to A3 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-X, Downgraded to A3 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A3 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-4
-- Cl. 1-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa2 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-5
-- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-3, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa3 (sf); previously on April 13,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-4, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-6
-- Cl. 1-A-1X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-2X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-2, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-2X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-3, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to B3 (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2003-7
-- Cl. 1-A-1, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ba1 (sf); previously on April 13, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Caa2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-1
-- Cl. 1-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to A3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-X, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-11
-- Cl. M-1, Confirmed at Aa1 (sf); previously on April 13, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1 (sf); previously on April 13, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-14
-- Cl. M-1, Confirmed at Aa1 (sf); previously on April 13, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa1 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to B2 (sf); previously on April 13, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-15
-- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba3 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-X, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 9-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-2
-- Cl. M-3, Confirmed at Baa2 (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ca (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-3
-- Cl. 1-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-2, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-3, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-4, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-2, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-2, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-3, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-4, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-X, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-4
-- Cl. 1-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 1-A-X, Downgraded to Ba1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Ba1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Ba1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Ba1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-X, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-X, Downgraded to Ba1 (sf); previously on April 13,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-X, Downgraded to Ba1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-5
-- Cl. 1-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 9-A-2, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 9-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to B2 (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-6
-- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-6, Downgraded to A3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-7, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-9, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to B3 (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-7
-- Cl. 1-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Ba2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-2, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Ba3 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-M-1, Confirmed at Aa2 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-M-2, Downgraded to Caa2 (sf); previously on April 13,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-B-1, Downgraded to C (sf); previously on April 13, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-B-2, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
B3 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-8
-- Cl. 1-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 3-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 4-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. 5-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 6-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 7-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. 8-A-X, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa2 (sf); previously on April 13,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2004-9
-- Cl. M-1, Confirmed at Aa2 (sf); previously on April 13, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B2 (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on April 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
MERRILL LYNCH: Moody's Affirms Ratings on 17 Classes of Notes
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 17 classes and
downgraded two classes of Merrill Lynch Financial Assets Inc.
Series 2007-Canada 23:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XP-1, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XP-2, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XC, Affirmed at Aaa (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa2 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Affirmed at A2 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned A2 (sf)
-- Cl. D-1, Affirmed at Baa2 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Baa2 (sf)
-- Cl. D-2, Affirmed at Baa2 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Baa2 (sf)
-- Cl. E-1, Affirmed at Baa3 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Baa3 (sf)
-- Cl. E-2, Affirmed at Baa3 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Affirmed at Ba1 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Ba1 (sf)
-- Cl. G, Affirmed at Ba2 (sf); previously on Oct. 2, 2007
Definitive Rating Assigned Ba2 (sf)
-- Cl. H, Affirmed at B1 (sf); previously on Sept. 23, 2009
Downgraded to B1 (sf)
-- Cl. J, Affirmed at B3 (sf); previously on Sept. 23, 2009
Downgraded to B3 (sf)
-- Cl. K, Downgraded to Caa1 (sf); previously on Sept. 23, 2009
Downgraded to B3 (sf)
-- Cl. L, Downgraded to Caa2 (sf); previously on Sept. 23, 2009
Downgraded to Caa1 (sf)
Ratings Rationale
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.
The downgrades are due to higher expected loss due to losses from
troubled loans.
Moody's rating action reflects a cumulative base expected loss of
2.5% of the current balance. At last full review, Moody's
cumulative base expected loss was 1.9%. Moody's stressed scenario
loss is 13.5% 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
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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates 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 credit estimates in the same transaction.
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 10 compared to 11 at Moody's prior full review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. 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 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 23, 2009.
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.
Deal Performance
As of the February 14, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $403 million
from $425 million at securitization. The Certificates are
collateralized by 50 mortgage loans ranging in size from less than
1% to 21% of the pool, with the top ten loans representing 57% of
the pool. One loan, representing 9% of the pool, has an
investment grade credit estimate. At last review, the Holloway
Hotel Portfolio Loan ($33.2 million -- 8.2% of the pool) also had
an investment grade credit estimate. Due to declined performance
and increased leverage the loan is now analyzed as part of the
conduit pool.
Thirteen 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.
The pool has not experienced any losses since securitization and
currently there are no loans in special servicing. Moody's has
assumed a high default probability for three poorly performing
loans representing 7% of the pool and has estimated a $4.3 million
loss (15% expected loss based on a 50% probability default) from
these troubled loans.
Moody's was provided with full year operating results for 77% of
the pool. Excluding troubled loans, Moody's weighted average LTV
is 96% compared to 97% at last full review. Moody's net cash flow
reflects a weighted average haircut of 10% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9%.
Excluding troubled loans, Moody's actual DSCR is 1.35X compared to
1.53X at last full 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.
The loan with a credit estimate is the Kennedy Commons Loan ($37.9
million -- 9.4% of the pool), which is secured by a 386,700 square
foot retail center located in Toronto, Ontario. The property is
anchored by A&P and AMC Theaters. The loan is 50% recourse to
RioCan REIT. The property is currently 100% leased. Performance
has been stable. The loan is amortizing on a 361-month schedule
maturing in August 2017. Moody's current credit estimate is Baa3,
the same as at last full review.
The top three performing conduit loans represent 37% of the pool
balance. The largest loan is the Holiday Retirement Portfolio
Loan ($85.6 million -- 21% of the pool), which is a 50%
participation interest in a $171.3 million loan. The loan is
secured by cross-collateralized and cross-defaulted loans
collateralized by ten independent living properties located in
five provinces. The loan has a 62-month interest-only period
maturing in May 2012. Property performance has been stable.
Moody's LTV and stressed DSCR are 97% and 0.95X, respectively,
compared to 95% and 1.2X at last full review.
The second largest loan is the Holloway Hotel Portfolio Loan
($33.2 million -- 8.2% of the pool), which is secured by five
Best Western and Super 9 Motels located in Alberta and British
Columbia. The loan has a non-pooled junior component of
$8.1 million. The loan is amortizing on a 266-month schedule
maturing in July 2017. Property performance has declined since
last review as the hotel has been impacted by the downturn in the
tourism industry. Part of the decline has been mitigated by 8%
amortization since last review. Three of the five loans are
currently on the master servicer's watchlist. Moody's LTV and
stressed DSCR are 79% and 1.49X, respectively, compared to 62% and
1.96X at last full review.
The third largest loan is the U-Haul Self-Storage Portfolio Loan
($33.23 million -- 8% of the pool), which is secured by cross--
collateralized and cross-defaulted loans collateralized by five
storage facilities located in British Columbia and Quebec.
Property performance has been stable. As of June 2010, the
portfolio was 94% leased compared to 90% at last full review. The
loan is amortizing on a 361-month schedule maturing in August
2017. The loan has paid down 3% since last full review. Moody's
LTV and stressed DSCR are 90% and 1.08X, respectively, compared to
95% and 1.02X at last review.
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 13 Certificates
--------------------------------------------------------------
Fitch Ratings has downgraded 13 classes of ML-CFC Commercial
Mortgage Trust, series 2006-3 commercial mortgage pass-through
certificates. In addition, Fitch has revised the Loss Severity
ratings and assigned Ratings Outlooks and Recovery Ratings as
applicable.
The downgrades reflect Fitch expected losses across the pool.
Fitch modeled losses of 7.9% of the remaining pool; expected
losses based on the original pool size are 8.81%, reflecting
losses already incurred to date. Fitch has designated 65 loans
(42.14%) as Fitch Loans of Concern, which include 20 specially
serviced loans (9.45%). Six of the Fitch Loans of Concern
(22.43%) are within the transaction's top 15 loans by unpaid
principal balance. Fitch considers the Loans of Concern to have a
high probability of defaulting during the term. Fitch expects
that classes H thru P may eventually be fully depleted from losses
associated with loans currently in special servicing.
As of the February 2011 distribution date, the pool's aggregate
principal balance has reduced by 5.9% (including 1.4% of realized
losses) to $2.28 billion from $2.43 billion at issuance. The
unrated class Q has been reduced to zero due to realized losses.
Interest shortfalls are affecting classes F through Q.
The largest contributor to Fitch-modeled losses is the Atrium
Hotel Portfolio loan (10.84%), the largest loan in the pool. The
loan is secured by a portfolio of six full-service hotels located
in six metropolitan areas across six different states. The
properties are well located in their respective markets with close
proximate to downtown areas, airports, universities, and
convention centers. Five of the six hotels are flagged by Hilton
Hotels as Embassy Suites. The servicer-reported debt service
coverage ratio at the properties for year to date September 2010
and year end December 2009 reported at 1.31 times and 1.32x,
respectively - a significant decline from the YE 2008 level of
1.67x. The reported occupancy, average daily rate, and revenue
per available room for trailing 12 month September 2010 were
72.4%, $122.32, and $90.10, respectively, which lagged the
underwritten levels of 79.1%, $135.20, and $107.77, respectively.
The properties, however, continue to perform well relative to
their competitive sets.
The second largest contributor to Fitch-modeled losses (0.67%) is
secured by a 486-unit multifamily property located in Tucson, AZ.
The loan transferred to special servicing in December 2008 due to
payment default. The special servicer has indicated that property
underperformance and general economic weakness has significantly
impacted the property operations. A receiver was appointed in
July 2009. The asset is currently being marketed for sale.
The third largest contributor to Fitch-modeled losses (0.85%) is
secured by a 142-unit multifamily property located in Tucson, AZ.
The loan transferred in December 2008 due to payment default. The
Borrower subsequently filed for Chapter 11 Bankruptcy in September
2009. The special servicer has appealed a ruling from the
Bankruptcy Court, which had forced the Lender to modify the loan.
A hearing is scheduled for April 2011.
Fitch downgrades and assigns Outlooks, Loss Severity ratings or
Recovery Ratings on these classes as indicated:
-- $191 million class AJ to 'BBBsf/LS4' from 'AAsf/LS3'; Outlook
Stable;
-- $48.5 million class B to 'BBsf/LS5' from 'AAsf/LS4'; Outlook
Stable;
-- $18.2 million class C to 'BBsf/LS5' from 'Asf/LS5'; Outlook
Negative;
-- $48.5 million class D to 'B-sf/LS5' from 'BBB-sf/LS4';
Outlook Negative;
-- $21.2 million class E to 'CCCsf/RR1' from 'BBB-sf/LS5';
-- $36.4 million class F to 'CCCsf/RR1' from 'BBsf/LS5';
-- $24.3 million class G to 'CCCsf/RR3' from 'Bsf/LS5';
-- $21.2 million class H to 'CCsf/RR6' from 'B-sf/LS5';
-- $12.1 million class J to 'CCsf/RR6' from 'B-sf/LS5';
-- $6.1 million class K to 'CCsf/RR6' from 'B-sf/LS5';
-- $9.1 million class L to 'Csf/RR6' from 'CCCsf/RR6';
-- $6.1 million class M to 'Csf/RR6' from 'CCCsf/RR6';
-- $6.1 million class N to 'Csf/RR6' from 'CCsf/RR6'.
Prior to the downgrades, all of the above classes were on Rating
Watch Negative.
Fitch affirms these classes and revises LS ratings as indicated:
-- $149.4 million class A-2 at 'AAAsf/LS2'; Outlook Stable;
-- $34 million class A-3 at 'AAAsf/LS2'; Outlook Stable;
-- $118 million class A-SB at 'AAAsf/LS2'; Outlook Stable;
-- $971.8 million class A-4 at 'AAAsf/LS2'; Outlook Stable;
-- $314.1 million class A-1A at 'AAAsf/LS2'; Outlook Stable;
-- $242.5 million class A-M at 'AAAsf/LS3'; Outlook Stable;
-- $3 million class P at 'Dsf/RR6'.
Class A-1 has repaid in full. Fitch does not rate class Q, which
has been reduced to zero due to realized losses. Prior to the
affirmation class A-M was on Rating Watch Negative.
Fitch does not rate the interest-only class XR. Fitch withdraws
the rating on the interest-only classes XP and XC.
ML-CFC COMMERCIAL: Fitch Downgrades Ratings on 19 2007-8 Certs.
---------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative 19 classes of ML-CFC Commercial Mortgage Trust's
commercial mortgage pass-through certificates, series 2007-8. The
downgrades are due to further deterioration of loan performance,
most of which involves increased losses on the specially serviced
loans.
The downgrades reflect an increase in Fitch-modeled losses across
the pool, which total 13.1% of the remaining pool (13% of the
original pool). Fitch expects losses associated with the
specially serviced loans to deplete classes G through T and a
portion of class F. As of February 2011, cumulative interest
shortfalls totaling $5.7 million are affecting classes H through
T.
As of the February 2011 distribution date, the pool's aggregate
principal balance has been reduced by 1.6% to $2.397 billion from
$2.435 billion at issuance.
Fitch has identified 47 loans (42.8%) as Fitch Loans of Concern,
including 25 specially serviced loans (34.7%). Of the 25 loans in
special servicing, four loans (1.3%) are real-estate owned, four
loans (1.4%) are in foreclosure, 12 loans (6.1%) are 90 days or
more delinquent, two loans (14%) are 60 days delinquent, one loan
(0.5%) is 30 days delinquent, and two loans (11.4%) remain
current. When Fitch placed the transaction on Rating Watch
Negative in September 2010, 8.8% of the portfolio was in special
servicing.
The largest contributors to modeled losses are three (19.4%) of
the top 15 loans in the transaction, two (15.3%) of which are
currently specially serviced.
The largest contributor to modeled losses is the Empirian
Portfolio Pool 2 loan (14%), which is secured by 73 multifamily
properties totaling 6,892 units located across eight states. As
of the February 2011 distribution date, the loan was 60 days
delinquent. The loan transferred to special servicing in November
2010 for imminent default. The borrower is in the process of
requesting for a loan modification and discussions between the
borrower and the special servicer remain ongoing. The servicer-
reported year-end 2010 net operating income debt-service coverage
ratio was 1.11 times, down from 1.48x at YE 2009. September 2010
occupancy was 88%, down from 93% in 2009.
The second largest contributor to modeled losses is the Executive
Hills Portfolio loan (4.2%). The loan is secured by a portfolio
of nine office properties; five of which are located in Overland
Park, KS and the other four in Kansas City, MO. Portfolio
performance has been on the decline. The servicer-reported YE
2010 NOI DSCR decreased to 0.98x from 1.17x and 1.50x at YE 2009
and YE 2008, respectively. YE 2010 occupancy has decreased to
61.5% from 67%, 69%, and 94% at YE 2009, YE 2008, and at issuance,
respectively. Four of the nine properties in the portfolio have a
DSCR below 1.0x on a stand alone basis. Additionally, according
to the December 2010 rent roll, approximately 23% of the in-place
leases could potentially roll in 2012.
The third largest contributor to modeled losses is the Gray
Apartment Portfolio loan (1.3%), which is secured by two adjacent
apartment properties located in Houston, TX. As of the February
2011 distribution date, the loan was more than 90 days delinquent.
The loan transferred to special servicing in February 2009 due to
monetary default. The properties suffered significant damages
from Hurricane Ike in 2008. A receiver was appointed by the
servicer in March 2009 and is currently operating and marketing
the properties. Renovation work has been completed and all units
are back online at one of the properties. However, for the other
property, renovation work will not be completed as the insurance
claim settlement was insufficient to complete the work needed to
be done. Losses are likely at liquidation given that the most
recent appraisal and broker of opinion values on the properties
are below the loan amount.
Fitch has downgraded and removed these classes from Rating Watch
Negative, assigning Rating Outlooks, Loss Severity ratings, and
Recovery Ratings where applicable:
-- $126.9 million class A-M to 'AAsf/LS4' from 'AAAsf/LS3';
Outlook Negative;
-- $116.6 million class AM-A to 'AAsf/LS4' from 'AAAsf/LS3';
Outlook Negative;
-- $109.4 million class A-J to 'B-sf/LS4' from 'Asf/LS3';
Outlook Negative;
-- $100.6 million class AJ-A to 'B-sf/LS4' from 'Asf/LS3';
Outlook Negative;
-- $12.2 million class B to 'B-sf/LS5' from 'Asf/LS5'; Outlook
Negative;
-- $39.6 million class C to 'CCCsf/RR1' from 'BBB-sf/LS5';
-- $27.4 million class D to 'CCCsf/RR1' from 'BBsf/LS5';
-- $9.1 million class E to 'CCCsf/RR1' from 'BBsf/LS5';
-- $18.3 million class F to 'CCsf/RR4' from 'BBsf/LS5';
-- $21.3 million class G to 'Csf/RR6' from 'BBsf/LS5';
-- $33.5 million class H to 'Csf/RR6' from 'Bsf/LS5';
-- $24.4 million class J to 'Csf/RR6' from 'B-sf/LS5';
-- $15.2 million class K to 'Csf/RR6' from 'B-sf/LS5';
-- $15.2 million class L to 'Csf/RR6' from 'B-sf/LS5';
-- $9.1 million class M to 'Csf/RR6' from 'B-sf/LS5';
-- $3 million class N to 'Csf/RR6' from 'B-sf/LS5';
-- $3 million class P to 'Csf/RR6' from 'B-sf/LS5';
-- $6.1 million class Q to 'Csf/RR6' from 'B-sf/LS5';
-- $3 million class S to 'Csf/RR6' from 'B-sf/LS5'.
In addition, Fitch has affirmed these super senior classes and
corresponding Rating Outlooks:
-- $15.5 million class A-1 at 'AAAsf/LS2'; Outlook Stable;
-- $122.5 million class A-2 at 'AAAsf/LS2'; Outlook Stable;
-- $72.7 billion class A-SB at 'AAAsf/LS2'; Outlook Stable;
-- $655.8 billion class A-3 at 'AAAsf/LS2'; Outlook Stable;
-- $801.3 million class A-1A at 'AAAsf/LS2'; Outlook Stable.
Fitch has also withdrawn the rating on the interest-only (IO)
class X.
MORGAN STANLEY: Fitch Assigns Ratings on Various 2011-C1 Certs.
---------------------------------------------------------------
Fitch Ratings has assigned these ratings on Morgan Stanley Capital
I Trust 2011-C1 Commercial Mortgage Pass-Through Certificates:
-- $87,863,000 class A-1 'AAAsf/LS1'; Outlook Stable;
-- $597,153,000 class A-2 'AAAsf/LS1'; Outlook Stable;
-- $105,120,000 class A-3 'AAAsf/LS1'; Outlook Stable;
-- $404,067,000 class A-4 'AAAsf/LS1'; Outlook Stable;
-- $1,194,203,000* class X-A 'AAAsf'; Outlook Stable;
-- $60,001,000 class B 'AAsf/LS3'; Outlook Stable;
-- $89,033,000 class C 'Asf/LS3'; Outlook Stable;
-- $85,162,000 class D 'BBBsf/LS3'; Outlook Stable;
-- $19,355,000 class E 'BBB-sf/LS5'; Outlook Stable;
-- $13,548,000 class F 'BB+sf/LS5'; Outlook Stable;
-- $15,484,000 class G 'BBsf/LS5'; Outlook Stable.
* Notional amount and interest only.
Fitch does not rate the $13.5 class H, the $15.5 million class
J, the $13.5 million class K, the $9.7 million class L, the
$19.4 million class M, or the interest-only class X-B.
MORGAN STANLEY: Moody's Takes Rating Actions on Various Classes
---------------------------------------------------------------
Moody's Investors Service announced this rating action on Morgan
Stanley Managed ACES SPC Series 2006-6 and 2006-9, collateralized
debt obligation transactions.
The CSOs, issued in 2006, reference a portfolio of corporate
synthetic senior unsecured bonds. The rating actions are
Issuer: Morgan Stanley Managed ACES SPC Series 2006-6
-- EUR13M EUR13,000,000 Class IIIB Secured Fixed Rate Notes due
2013 Notes, Downgraded to C; previously on Oct. 23, 2008
Downgraded to Ca
-- EUR3M EUR3,000,000 Class IIIC Secured Floating Rate Notes
due 2013 Notes, Downgraded to C; previously on Oct. 23, 2008
Downgraded to Ca
-- US$5M $5,000,000 Class IIID Secured Fixed Rate Notes due 2013
Notes, Downgraded to C; previously on Oct. 23, 2008
Downgraded to Ca
Issuer: Morgan Stanley Managed ACES SPC, Series 2006-9
-- US$42M $42,000,000 Class IIIA Secured Floating Rate Notes due
2013 Notes, Downgraded to C; previously on Oct. 23, 2008
Downgraded to Ca
Moody's rating actions are the result of total losses to these
tranches due to credit events occurred since the last rating
action.
The reference portfolio has experienced nine credit events,
equivalent to 5.77 percent based on the portfolio notional value
at closing. Since the last rating action in February 2009, the
portfolio has experienced three additional credit events from
Ambac Financial Group, Ambac Assurance Corporation and CIT Group.
In addition, the portfolio is exposed to iStar Financial Inc.,
Residential Capital, LLC, Clear Channel Communications and
Harrah's Operating
Company, none of which have experienced credit events to date, but
nonetheless are modeled at Ca. The CSO has a remaining life of a
little less than 3 years.
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 analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures 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
CSO liabilities, rating transitions in the reference pool may have
leveraged rating implications for the ratings of the 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 in
the corporate universe. Should macroeconomics conditions evolve
towards a more severe scenario, such as a double dip recession,
the CSO rating will likely be downgraded to an extent that depends
on the expected severity of the worsening conditions.
MORGAN STANLEY: S&P Raises Rating on Class A-13 Notes to 'BB-'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
A-13 notes from Morgan Stanley ACES SPC's series 2006-8 to 'BB-
(sf)' from 'B+ (sf)'.
The rating on the class A-13 notes is dependent on the lowest of
S&P's ratings on: Virgin Media Finance PLC's 8.75% bonds due April
15, 2014, the reference obligation ('BB-'); Morgan Stanley, the
guarantor under the swap and forward agreements ('A'); and BA
Master Credit Card Trust II's class A certificates series 2001-B
due 2013, the underlying security ('AAA (sf)').
The rating action follows the Feb. 23, 2011, raising of S&P's
rating on Virgin Media Finance PLC 8.75% bonds due April 15, 2014,
to 'BB-'from 'B+'. S&P may take subsequent rating action on the
class A-13 notes due to changes in its ratings on the reference
obligation, swap and forward agreements guarantor, or the
underlying security.
MOUNTAIN CAPITAL: Moody's Upgrades Ratings on Two Classes of Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Mountain Capital CLO VI Ltd.:
-- US$15,000,000 Class D Floating Rate Mezzanine Deferrable
Notes due April 2019, Upgraded to B2 (sf); previously on
August 10, 2009 Downgraded to B3 (sf);
-- US$11,000,000 Class E Floating Rate Junior Deferrable Notes
due April 2019, Upgraded to Caa3 (sf); previously on
November 23, 2010 Ca (sf) Placed Under Review for Possible
Upgrade.
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the credit quality of the underlying
portfolio since the rating action in August 2009.
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 January 17, 2011, the
weighted average rating factor is currently 2670 compared to 2917
in the July 2009 report, and securities rated Caa1 or lower make
up approximately 6.7% of the underlying portfolio versus 7.1% in
July 2009. Additionally, the deal experienced a decrease in
defaulted securities. There are no defaulted securities in the
underlying portfolio currently compared to $21.5 million in July
2009.
The overcollateralization ratios of the rated notes have been
stable since the rating action in August 2009. The Senior, Class
C, Class D, and Class E overcollateralization ratios are reported
at 116.57%, 110.46%, 105.84%, and 102.69%, respectively, versus
July 2009 levels of 115.46%, 109.41%, 104.83%, and 101.71%,
respectively, and all related overcollateralization tests are
currently in compliance.
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 balance,
including principal proceeds, of $377 million, defaulted par of
$3 million, weighted average default probability of 26.47%
(implying a WARF of 3550), a weighted average recovery rate upon
default of 43.95%, and a diversity score of 55. 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.
Mountain Capital CLO VI Ltd., issued in March 2007, 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 six 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 sensitivity analyses to test the impact on all
rated notes of various default probabilities. 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 loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2840)
-- Class A: +2
-- Class B: +3
-- Class C: +2
-- Class D: +2
-- Class E: +3
Moody's Adjusted WARF + 20% (4260)
-- Class A: -2
-- Class B: -2
-- Class C: -1
-- Class D: -3
-- Class E: -1
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 and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) 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. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
2) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the
covenant levels. Moody's analyzed the impact of assuming worse
of reported and covenanted values for weighted average rating
factor, weighted average spread, weighted average coupon, and
diversity score. However, as part of the base case, Moody's
considered a weighted average spread level higher than the
covenant level due to large differences between the reported
and covenant levels.
MOUNTAIN CAPITAL: Moody's Upgrades Ratings on Various Classes
-------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Mountain Capital CLO III Ltd.:
-- US$51,000,000 Class A-1LB Floating Rate Notes Due February
2016, Upgraded to Aaa (sf); previously on May 11, 2010
Upgraded to A1 (sf);
-- US$18,500,000 Class A-2L Floating Rate Notes Due February
2016, Upgraded to Aa3 (sf); previously on May 11, 2010
Upgraded to Baa2 (sf);
-- US$13,500,000 Class A-3L Floating Rate Notes Due February
2016, Upgraded to Baa2 (sf); previously on May 11, 2010
Upgraded to Ba3 (sf);
-- US$6,000,000 Class A-3F 5.744% Notes Due February 2016,
Upgraded to Baa2 (sf); previously on May 11, 2010 Upgraded to
Ba3 (sf);
-- US$15,000,000 Class B-1L Notes Due February 2016, Upgraded to
B2 (sf); previously on November 23, 2010 Ca (sf) Placed Under
Review for Possible Upgrade.
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A-1LA Notes, which have
been paid down by approximately 52.3% or $89.9 million since the
rating action in May 2010. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in May 2010. As of the latest trustee report dated
February 7, 2011, the Senior Class A, Class A and Class B-1L
overcollateralization ratios are reported at 126.0%, 113.7% and
104.6%, respectively, versus April 2010 levels of 119.2%, 110.3%
and 103.2%, respectively.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the rating action in
May 2010. Based on the February 2011 trustee report, the weighted
average rating factor is 2671 compared to 2629 in April 2010, and
securities rated Caa1/Caa+ and below make up approximately 10.9%
of the underlying portfolio versus 10.9% in April 2010. The deal
experienced a decrease in defaults. In particular, the dollar
amount of defaulted securities has decreased to about $8.6 million
from approximately $11.5 million in April 2010.
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 balance of $193.2 million, defaulted par of
$11.6 million, a weighted average default probability of 21.25%
(implying a WARF of 3500), a weighted average recovery rate upon
default of 42.9%, and a diversity score of 47. 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.
Mountain Capital CLO III Ltd., issued on May 26, 2004, is a
collateralized loan obligation, backed primarily by a portfolio of
senior secured loans. The transaction's amortization period began
in August 2009.
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.
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 sensitivity analyses to test the impact on all
rated notes of various default probabilities. 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% (2800)
-- Class A-1LA: 0
-- Class A-1LB: 0
-- Class A-2L: +2
-- Class A-3L: +2
-- Class A-3F: +2
-- Class B-1L: +2
Moody's Adjusted WARF + 20% (4200)
-- Class A-1LA: 0
-- Class A-1LB: -1
-- Class A-2L: -2
-- Class A-3L: -2
-- Class A-3F: -2
-- Class B-1L: -3
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 manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
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 deal's
overcollateralization levels. Further, the timing of
recoveries and the manager's decision to work out versus sell
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.
NOMURA ASSET: Moody's Downgrades Ratings on 46 Tranches
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 46
tranches and confirmed the rating of 21 tranches from 9 Alt-A
deals issued by Nomura. The collateral backing these deals
primarily consists of first-lien, fixed and adjustable rate Alt-A
residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of Alt-A
pools securitized before 2005. Although most of these pools have
paid down significantly, the remaining loans are affected by the
housing and macroeconomic conditions that remain under duress.
The actions reflect Moody's updated loss expectations on Alt-A
pools issued from prior 2005. The principal methodology used in
these ratings was "Pre-2005 US RMBS Surveillance Methodology"
published in January 2011.
Moody's final rating actions are based on current ratings, level
of credit enhancement, collateral performance and updated pool-
level loss expectations relative to current level of credit
enhancement. Moody's took into account credit enhancement
provided by seniority, cross-collateralization, excess spread,
time tranching, and other structural features within the senior
note waterfalls.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project
losses on pools with fewer than 100 loans, Moody's first estimates
a "baseline" average rate of new delinquencies for the pool that
is dependent on the vintage of loan origination (10%, 5% and 3%
for the 2004, 2003 and 2002 and prior vintage respectively). The
baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages. .
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans from the 2004 vintage,
the adjusted rate of new delinquency would be 10.10%. in
addition, if current delinquency levels in a small pool is low,
future delinquencies are expected to reflect this trend. To
account for that, the rate calculated above is multiplied by a
factor ranging from 0.5 to 2.0 for current delinquencies ranging
from less than 2.5% to greater than 30% respectively.
Delinquencies for subsequent years and ultimate expected losses
are projected using the approach described in the methodology
publication.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier. RMBS securities
wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization in late 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: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2003-A3
-- Cl. A-1, Downgraded to Aa3 (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa1 (sf); previously on April 13,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B1 (sf); previously on April 13, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AP1
-- Cl. A-4A, Confirmed at Aaa (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4B, Confirmed at Aaa (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Ba3 (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa2 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AP2
-- Cl. A-4, Confirmed at Aaa (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to B1 (sf); previously on April 13, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa3 (sf); previously on April 13,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AP3
-- Cl. A-5B, Downgraded to Ba2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to A3 (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Underlying Rating: Downgraded to A3 (sf); previously on
April 13, 2010 Aaa (sf) Placed Under Review for Possible
Downgrade
-- Cl. A-5A, Downgraded to Ba2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Ba1 (sf); previously on April 13, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- Underlying Rating: Downgraded to Ba1 (sf); previously on
April 13, 2010 A1 (sf) Placed Under Review for Possible
Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on April 13, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AR1
-- Cl. I-A, Downgraded to B2 (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A, Downgraded to B2 (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A, Downgraded to B2 (sf); previously on April 13,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. IV-A, Downgraded to B2 (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. IV-X, Downgraded to B2 (sf); previously on April 13, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. V-A-1, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. V-A-3, Downgraded to Baa1 (sf); previously on April 13,
2010 A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. V-M-1, Downgraded to C (sf); previously on Aug 26, 2010
Downgraded to Caa1 (sf) and Remained On Review for Possible
Downgrade
-- Cl. C-B-1, Downgraded to C (sf); previously on April 13, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. C-B-2, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AR2
-- Cl. M-1, Downgraded to B2 (sf); previously on April 13, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AR3
-- Cl. I-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A, Confirmed at Aaa (sf); previously on April 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-3, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-4, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-5, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2 (sf); previously on April 13,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2004-AR4
-- Cl. I-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-A-2, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-2, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-3, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-4, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-5, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-6, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-1, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A-2, Confirmed at Aaa (sf); previously on April 13,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2 (sf); previously on April 13,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on April 13, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on April 13, 2010
Ca (sf) Placed Under Review for Possible Downgrade
Issuer: Nomura Asset Acceptance Corporation, Aternative Loan
Trust, Series 2003-A2
-- Cl. B1, Downgraded to Baa2 (sf); previously on April 13, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B2, Downgraded to Caa2 (sf); previously on April 13, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B3, Downgraded to C (sf); previously on April 13, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B4, Downgraded to C (sf); previously on April 13, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B5, Downgraded to C (sf); previously on April 13, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B6, Downgraded to C (sf); previously on April 13, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
NORTEL NETWORKS: Moody's Affirms 'C' Rating on 2001-1 Certs.
------------------------------------------------------------
Moody's Investors Service affirmed the rating of Nortel Networks
Lease Pass-Through Trust, Pass-Through Trust Certificates, Series
2001-1 Lease Obligations:
-- Cusip 65656MAA9, $113,618,732, affirmed at C; previously
downgraded to C from Ca on 04/15/2010
Ratings Rationale
The ratings of the certificates are affirmed at C due to the
payment default on the Certificates resulting from Nortel Networks
Inc. rejecting the leases supporting the transaction. Nortel
filed Chapter 11 bankruptcy protection on January 14, 2009, and
rejected the leases on March 31, 2010.
This Credit Tenant Lease transaction is supported by a mortgage on
two office buildings situated in Raleigh, North Carolina which
were 100% leased to Nortel under two leases. Each lease had an
initial 15-year term expiring on July 31, 2016, subject to four
five-year renewal options.
The final distribution date of the Certificates is August 9, 2016.
Based on Nortel's scheduled lease payments during the initial
lease term, there is a $75 million balloon payment due at the
maturity of the Certificates. To mitigate this balloon risk, the
transaction was structured with a surety bond issued by ZC
Specialty Insurance Company. Due to a merger, that surety bond is
now an obligation of Centre Reinsurance (US) Limited (financial
strength rating A2, possible upgrade)
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.
The principal methodology used in this rating is credit-tenant
lease financing rating methodology. Under Moody's CTL approach,
the rating of a transaction's certificates is primarily based on
the senior unsecured debt rating (or the corporate family rating)
of the tenant, usually an investment grade rated company, leasing
the real estate collateral supporting the bonds. 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; the dark value must be sufficient, assuming a
bankruptcy of the tenant and rejection of the lease, to support
the expected loss consistent with the certificates' rating.
Moody's may make adjustments reflecting the possibility of lease
affirmations by the tenant and for the landlord's claim for lease
rejection damages in bankruptcy. Moody's also may give credit for
some amortization of the debt, depending upon the rating of the
credit tenant. In addition, Moody's considers the overall
structure and legal integrity of the transaction. The
certificates' rating may change as the senior unsecured debt
rating (or the corporate family rating) of the tenant changes.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
Moody's 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.
NORTHEAST HOUSING: Moody's Reviews Ratings on $335 Mil. Bonds
-------------------------------------------------------------
Moody's Investors Service has placed the underlying ratings
assigned to approximately $355 million outstanding Northeast
Housing, LLC's Taxable Military Housing Revenue Refunding Bonds,
Series 2007 on watch list for possible downgrade. The ratings on
the bonds are:
-- Ba1 on Series 2007 A-1 (Class I) in the amount of
$259 million;
-- Ba1 on Series 2007 A-2 (Class I) in the amount of
$25 million; and
-- Ba3 on Series 2007 B (Class II) in the amount $71 million.
This rating action is based on 2010's weak financial performance
of the project due to low occupancy. The project also faces
pressures due to decreases in its Basic Allowance for Housing and
rising debt service requirements as the bonds begin to amortize in
2011. The project also has a debt service reserve fund by way of
a surety bond provided by Ambac Assurance Corporation (rated
Caa2).
PACIFICA CDO: Moody's Upgrades Ratings on Five Classes of Notes
---------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of these notes issued by Pacifica CDO IV, Ltd.:
-- US$212,000,000 Class A-1L Floating Rate Notes Due February
2017 (current balance of $205,049,982), Upgraded to Aaa (sf);
previously on October 1, 2009 Downgraded to Aa1 (sf);
-- US$21,000,000 Class A-2L Floating Rate Notes Due February
2017, Upgraded to Aa3 (sf); previously on October 1, 2009
Downgraded to A2 (sf);
-- US$20,000,000 Class A-3L Floating Rate Notes Due February
2017, Upgraded to Baa1 (sf); previously on October 1, 2009
Confirmed at Baa3 (sf);
-- US$14,000,000 Class B-1L Floating Rate Notes Due February
2017, Upgraded to Ba2 (sf); previously on October 1, 2009
Downgraded to B1 (sf);
-- US$10,000,000 Class B-2L Floating Rate Notes Due February
2017, Upgraded to B2 (sf); previously on November 23, 2010 Ca
(sf) Placed Under Review for Possible Upgrade.
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from improvement in both the credit quality of the
underlying portfolio and the deal's overcollateralization coverage
ratios since the rating action in October 2009.
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 February 4, 2011, the
weighted average rating factor is currently 2517 compared to 2984
in the September 2009 report, and securities rated Caa1/CCC+ or
lower make up approximately 8.5% of the underlying portfolio
versus 18.1% in September 2009. Additionally, defaulted
securities total about $1.0 million of the underlying portfolio
compared to $11.0 million in September 2009.
The overcollateralization ratios of the rated notes have also
improved since the rating action in October 2009. The Senior
Class A, Class A, Class B-1L, and Class B-2L overcollateralization
ratios are reported at 125.66%, 115.44%, 109.23%, and 105.18%,
respectively, versus September 2009 levels of 118.87%, 109.31%,
103.49%, and 99.56%, respectively, and all related
overcollateralization tests are currently in compliance. Moody's
also notes that the Class B-2L Notes are no longer deferring
interest and that all previously deferred interest has been paid
in full.
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 balance of $282 million, defaulted par of $3.1 million, a
weighted average default probability of 23.0% (implying a WARF of
3436), a weighted average recovery rate upon default of 44.4%, and
a diversity score of 67. 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.
Pacifica CDO IV, Ltd., issued in December 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
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.
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 Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. 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% (2749)
-- Class A-1L: 0
-- Class A-2L: +2
-- Class A-3L: +3
-- Class B-1L: +2
-- Class B-2L: +2
Moody's Adjusted WARF +20% (4124)
-- Class A-1L: 0
-- Class A-2L: -2
-- Class A-3L: -2
-- Class B-1L: -1
-- Class B-2L: -1
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 manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell 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.
PREFERREDPLUS TRUST: Moody's Lifts Rating on CTR-1 Certs. to 'B2'
-----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
rating of these certificates issued by PREFERREDPLUS Trust Series
CTR-1:
-- 1,248,000 PREFERREDPLUS 8.00% Trust Series CTR-1
Certificates; Upgraded to B2; Previously on January 19, 2010
Upgraded to B3
Ratings Rationale
The transaction is a structured note whose rating is based on the
credit quality of the underlying securities and the legal
structure of the transaction. The rating action is a result of
the change of the rating of the underlying securities which are
the 8.00% Notes due 2019 issued by Cooper Tire & Rubber Company
whose rating was upgraded by Moody's to B2 on February 22, 2011.
REAL ESTATE: Moody's Affirms Ratings on 19 Classes of Certificates
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 19 classes of
Real Estate Asset Liquidity Trust Commercial Mortgage Pass-Through
Certificates, Series 2007-2:
-- Cl. A-1, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XP-1, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XC-1, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XP-2, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XC-2, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa2 (sf); previously on June 27, 2007
Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Affirmed at A2 (sf); previously on June 27, 2007
Definitive Rating Assigned A2 (sf)
-- Cl. D-1, Affirmed at Baa2 (sf); previously on June 27, 2007
Definitive Rating Assigned Baa2 (sf)
-- Cl. D-2, Affirmed at Baa2 (sf); previously on June 27, 2007
Definitive Rating Assigned Baa2 (sf)
-- Cl. E-1, Affirmed at Baa3 (sf); previously on June 27, 2007
Definitive Rating Assigned Baa3 (sf)
-- Cl. E-2, Affirmed at Baa3 (sf); previously on June 27, 2007
Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Affirmed at Ba1 (sf); previously on June 27, 2007
Definitive Rating Assigned Ba1 (sf)
-- Cl. G, Affirmed at Ba3 (sf); previously on Feb. 3, 2010
Downgraded to Ba3 (sf)
-- Cl. H, Affirmed at B2 (sf); previously on Feb. 3, 2010
Downgraded to B2 (sf)
-- Cl. J, Affirmed at B3 (sf); previously on Feb. 3, 2010
Downgraded to B3 (sf)
-- Cl. K, Affirmed at Caa1 (sf); previously on Feb. 3, 2010
Downgraded to Caa1 (sf)
-- Cl. L, Affirmed at Caa2 (sf); previously on Feb. 3, 2010
Downgraded to Caa2 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's LTV
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 their current
ratings.
Moody's rating action reflects a cumulative base expected loss of
1.9% of the current balance. At last review, Moody's cumulative
base expected loss was 1.7%. Moody's stressed scenario loss is
8.3% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates is melded with the conduit
model credit enhancement into an overall model result. Fusion
loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for
loans with similar credit estimates in the same transaction.
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 22 compared to 23 at Moody's prior review.
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 3, 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 six months.
Deal Performance
As of the February 14, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to
$355.4 million from $377.3 million at securitization. The
Certificates are collateralized by 45 mortgage loans ranging in
size from less than 1% to 11% of the pool, with the top ten loans
representing 58% of the pool. The pool includes one loan with an
investment-grade credit estimate, representing 11% of the pool.
The pool does not contain any defeased loans.
Two loans, representing 2% 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 since securitization.
There is currently one loan in special servicing. The 3007 56th
Avenue Loan ($2.6 million; 0.7% of the pool) was transferred to
special servicing in October 2009 due to monetary default. A
tenant that occupied 80% of the net rentable area vacated the
property in 2008 and the borrower has been unable to lease the
space. The special servicer has hired a broker to list the
property for sale. Moody's has estimated a $1.3 million loss (49%
expected loss) for the specially serviced loan. Moody's has not
currently estimated losses for any other loans in the pool.
Moody's was provided with full year 2009 operating results for 92%
of the pool. Excluding the specially serviced loan, Moody's
weighted average LTV is 94% compared to 99% at Moody's last
review. Moody's net cash flow reflects a weighted average haircut
of 11% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.2%.
Excluding the specially serviced loan, Moody's actual and stressed
DSCRs are 1.35X and 1.11X, respectively, compared to 1.30X and
1.05X 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.
The loan with a credit estimate is the Atrium Pooled Interest A-
Note ($38.7 million -- 8.1%), which is secured by a 1.1 million
square foot office/retail complex located in the central business
district of Toronto, Ontario. The loan represents a 33% pari
passu interest in a $116 million first mortgage. A $74 million B
note held outside the trust also encumbers the property. The
property was 98% leased as of September 2009. The largest tenant
is the Canadian Imperial Bank of Commerce (CIBC) which leases 35%
of the NRA. The loan is sponsored by Hines Real Estate
Investments. Property performance has improved since last review.
Moody's current credit estimate and stressed DSCR are A2 and
1.62X, respectively, compared to A3 and 1.44X at last review.
The top three performing conduit loans represent 18% of the pool
balance. The largest loan is the Sundance Pooled Interest Loan
($25.9 million -- 7.3% of the pool), which is secured by a 179,619
SF four story office building located in Calgary, Alberta. The
loan represents a 50% interest in a $151.9 million first mortgage
loan. Major tenants include Colt Engineering Company (73% of the
NRA) and Fluor Canada, Inc (23% of the NRA). The property is 100%
leased but tenant leases accounting for 47% of the NRA, including
a third of the space occupied by Colt Engineering Company, expire
within the next twelve months. Performance has improved since
last review due to increased rental revenue. Moody's analysis
incorporates a stressed cash flow due to concerns about potential
income volatility due to upcoming expiring leases. Moody's LTV
and stressed DSCR are 100% and 0.97X, respectively, compared to
111% and 0.86X at last review.
The second largest loan is the 55 St. Clair Pooled Interest Loan
($19.4 million -- 5.5% of the pool), which is secured by two
office buildings totaling 251,554 SF located in Toronto, Ontario.
The loan represents a 50% pari passu interest in a $38.9 million
first mortgage. Performance of the property has improved
significantly since last review. The property's net operating
income increased by 26% in 2009 compared to the prior year. As of
April 2010, the property was 98% leased. Moody's LTV and stressed
DSCR are 87% and 1.11X, respectively, compared to 115% and 0.85X
at last review.
The third largest loan is the Place Louis Riel Loan ($19.4 million
-- 5.4% of the pool), which is secured by a 302 room full service
extended stay hotel located in downtown Winnipeg, Manitoba. More
than $11 million has been spent on renovations to the property
since 2007. Moody's LTV and stressed DSCR are 96% and 1.19,
respectively, compared to 114% and 0.99X at last review.
REVE SPC: S&P Downgrades Ratings on Two Series of Notes
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
series 50 and 51 notes and withdrew its ratings on the series 5,
38, 39, and 53 notes from REVE SPC, a synthetic collateralized
debt obligation transaction.
The downgrades of the series 50 and 51 notes reflect a principal
loss incurred on the tranche. The rating withdrawals from series
5, 38, 39, and 53 reflect the full redemption and subsequent
termination of the notes.
Ratings Lowered
REVE SPC
Series 50, ING Managed Synthetic 2007-2
Rating
------
Class To From
----- -- ----
B D (sf) CCC- (sf)
REVE SPC
Series 51, ING Managed Synthetic 2007-2
Rating
------
Class To From
----- -- ----
B D (sf) CCC- (sf)
Ratings Withdrawn
REVE SPC
Dryden XVII Notes Series 2007-1
Rating
------
Class To From
----- -- ----
A Series 5 NR B+ (sf)
REVE SPC
Segregated Portfolio of Dryden XVII Notes
Rating
------
Class To From
----- -- ----
Series 38 NR CCC (sf)
Series 39 NR CCC- (sf)
REVE SPC
Series 53, ING Managed Synthetic 2007-2
Rating
------
Class To From
----- -- ----
JSS NR CCC- (sf)
NR - Not rated.
RFMSI SERIES: S&P Downgrades Rating on Class II-A-1 Notes
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on class
II-A-1 from RFMSI Series 2006-SA1 Trust, a U.S. residential
mortgage-backed securities transaction and removed it from
CreditWatch with negative implications. In addition, S&P placed
its ratings on 25 classes from the downgraded transaction and 17
additional transactions on CreditWatch with negative implications.
S&P also affirmed its ratings on 21 classes from 14 additional
transactions issued between 2002 and 2007 and removed them from
CreditWatch negative.
The collateral supporting the affected transactions consists of
fixed and adjustable-rate prime, subprime, Alternative-A, closed-
end second-lien, and reperforming mortgage loans.
The downgrade reflects S&P's assessment of the interest shortfalls
on the affected class during recent remittance periods. The
lowered rating also reflects S&P's view of the magnitude of the
interest payment deficiencies that have affected the class to
date, compared with the remaining principal balance owed, and the
likelihood that certificateholders will be reimbursed for these
deficiencies. S&P's view of the balance of current delinquencies
of the affected transaction was also considered in the rating
action.
The affirmations reflect S&P's view of actual reimbursements of
the interest shortfalls on the affected classes during recent
remittance periods.
The CreditWatch placements reflect S&P's assessment of potential
interest shortfalls on the affected classes in recent remittance
periods being reported by the trustee that would likely negatively
affect those ratings. Standard & Poor's will continue to monitor
its ratings on securities that experience interest shortfalls, and
upon confirmation of the reported data, will adjust the ratings as
S&P considers appropriate according to its criteria.
Rating And Creditwatch Actions
Adjustable Rate Mortgage Trust 2005-4
Series 2005-4
Rating
------
Class CUSIP To From
----- ----- -- ----
2-A-1 007036KC9 B+ (sf)/Watch Neg B+ (sf)
Alternative Loan Trust 2004-J11
Series 2004-J11
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-1 12667FXN0 A+ (sf)/Watch Neg A+ (sf)
Banc of America Funding 2005-H
Series 2005-H
Rating
------
Class CUSIP To From
----- ----- -- ----
4-A1 05946XH97 BB (sf)/Watch Neg BB (sf)
Bear Stearns ALT-A Trust 2003-3
Series 2003-3
Rating
------
Class CUSIP To From
----- ----- -- ----
VI-A 07386HCL3 AAA (sf) AAA (sf)/Watch Neg
B-1 07386HCM1 AAA (sf) AAA (sf)/Watch Neg
B-2 07386HCN9 BB (sf) BB (sf)/Watch Neg
Bear Stearns ALT-A Trust 2004-12
Series 2004-12
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-5 07386HPJ4 AAA (sf) AAA (sf)/Watch Neg
II-A-6 07386HPK1 AA+ (sf) AA+ (sf)/Watch Neg
Bear Stearns ALT-A Trust 2004-5
Series 2004-5
Rating
------
Class CUSIP To From
----- ----- -- ----
V-A-1 07386HJS1 AAA (sf)/Watch Neg AAA (sf)
Bear Stearns ALT-A Trust 2005-3
Series 2005-3
Rating
------
Class CUSIP To From
----- ----- -- ----
II-A-1 07386HRV5 B- (sf) B- (sf)/Watch Neg
Bear Stearns ALT-A Trust 2005-5
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
II-1A-1 07386HUG4 BB (sf) BB (sf)/Watch Neg
CHL Mortgage Pass-Through Trust 2005-HYB8
Series 2005-HYB8
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-1 126694QG6 BBB+ (sf)/Watch Neg BBB+ (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 22541Q6Y3 AAA (sf) AAA (sf)/Watch Neg
CSFB Mortgage Backed Trust Series 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
III-A-1 22541SAN8 AAA (sf) AAA (sf)/Watch Neg
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-5 Trust
Series 2005-5
Rating
------
Class CUSIP To From
----- ----- -- ----
D-B-2 225458UY2 BB (sf) BB (sf)/Watch Neg
CSFB Mortgage-Backed Trust Series 2005-6
Series 2005-6
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-3 225458XH6 BBB+ (sf)/Watch Neg BBB+ (sf)
I-A-4 225458XJ2 A (sf)/Watch Neg A (sf)
Financial Asset Securities Corp.
Series 2004-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-B-2 92922FYP7 A (sf)/Watch Neg A (sf)
GSMPS Mortgage Loan Trust 2005-RP1
Series 2005-RP1
Rating
------
Class CUSIP To From
----- ----- -- ----
B1 36242DXP3 AA (sf) AA (sf)/Watch Neg
B2 36242DXQ1 A (sf) A (sf)/Watch Neg
B3 36242DXR9 B (sf) B (sf)/Watch Neg
GSR Mortgage Loan Trust 2004-14
Series 2004-14
Rating
------
Class CUSIP To From
----- ----- -- ----
5A1 36242DPM9 A- (sf)/Watch Neg A- (sf)
5A2 36242DPN7 A- (sf)/Watch Neg A- (sf)
2B1 36242DPT4 B- (sf)/Watch Neg B- (sf)
GSR Mortgage Loan Trust 2005-AR2
Series 2005-AR2
Rating
------
Class CUSIP To From
----- ----- -- ----
5A1 36242DJ20 AA- (sf) AA- (sf)/Watch Neg
MASTR Reperforming Loan Trust 2006-1
Series 2006-1
Rating
------
Class CUSIP To From
----- ----- -- ----
2A1 57643QBS3 AAA (sf)/Watch Neg AAA (sf)
Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1
Series 2007-1
Rating
------
Class CUSIP To From
----- ----- -- ----
III-A 59023HAD3 AA+ (sf) AA+ (sf)/Watch Neg
Morgan Stanley Mortgage Loan Trust 2005-6AR
Series 2005-6AR
Rating
------
Class CUSIP To From
----- ----- -- ----
4-A-2 61748HMP3 AAA (sf) AAA (sf)/Watch Neg
Morgan Stanley Mortgage Loan Trust 2007-8XS
Series 2007-8XS
Rating
------
Class CUSIP To From
----- ----- -- ----
A-3-W 61754PAD6 B (sf)/Watch Neg B (sf)
Option One Mortgage Loan Trust 2007-FXD1
Series 2007-FDX1
Rating
------
Class CUSIP To From
----- ----- -- ----
III-A-2 68402VAD4 A (sf)/Watch Neg A (sf)
III-A-3 68402VAE2 B (sf)/Watch Neg B (sf)
RALI Series 2004-QA3 Trust
Series 2004-QA3
Rating
------
Class CUSIP To From
----- ----- -- ----
NB-I-1 76110HXP9 B- (sf)/Watch Neg B- (sf)
RePerforming Loan REMIC Trust Certificates Series 2003-R4
Series 2003-R4
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 12669FFU2 B (sf)/Watch Neg B (sf)
Residential Funding Mortgage Securities II Inc.
Series 2004-HS2
Rating
------
Class CUSIP To From
----- ----- -- ----
A-1-4 76110VQJ0 BBB (sf)/Watch Neg BBB (sf)
A-1-5 76110VQK7 BBB- (sf)/Watch Neg BBB- (sf)
A-1-6 76110VQL5 BBB- (sf)/Watch Neg BBB- (sf)
RFMSI Series 2006-SA1 Trust
Series 2006-SA1
Rating
------
Class CUSIP To From
----- ----- -- ----
I-A-1 76111XG72 B (sf)/Watch Neg B (sf)
II-A-1 76111XG98 CCC (sf) BB- (sf)/Watch Neg
Soundview Home Loan Trust 2008-1
Series 2008-1
Rating
------
Class CUSIP To From
----- ----- -- ----
A-M-1 83613GAE9 B- (sf)/Watch Neg B- (sf)
A-M-2 83613GAU3 B- (sf)/Watch Neg B- (sf)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1
Series 2004-1
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A 86359BFY2 AAA (sf) AAA (sf)/Watch Neg
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18
Series 2004-18
Rating
------
Class CUSIP To From
----- ----- -- ----
1-A1 863579FQ6 B+ (sf) B+ (sf)/Watch Neg
1-A2 863579FR4 BB+ (sf) BB+ (sf)/Watch Neg
1-A3 863579FS2 B+ (sf) B+ (sf)/Watch Neg
Structured Asset Mortgage Investments II Trust 2003-AR4
Series 2003-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 86359LAB5 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Securities Corp.
Series 2006-RF1
Rating
------
Class CUSIP To From
----- ----- -- ----
B1 86359DXS1 BB+ (sf)/Watch Neg BB+ (sf)
Thornburg Mortgage Securities Trust 2002-3
Series 2002-3
Rating
------
Class CUSIP To From
----- ----- -- ----
B-3 885220BW2 B- (sf) B- (sf)/Watch Neg
ROCK 2001-C1: Moody's Downgrades Ratings on Various Classes
-----------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes,
confirmed one class and affirmed six classes of ROCK 2001-C1,
Series 2001-C1 Commercial Mortgage Pass-Through Certificates:
-- Cl. A-2, Affirmed at Aaa (sf); previously on May 30, 2001
Assigned Aaa (sf)
-- Cl. X-2, Affirmed at Aaa (sf); previously on May 30, 2001
Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on May 26, 2005
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Dec. 8, 2006
Upgraded to Aaa (sf)
-- Cl. D, Affirmed at Aaa (sf); previously on Feb. 8, 2007
Upgraded to Aaa (sf)
-- Cl. E, Affirmed at Aaa (sf); previously on July 24, 2008
Upgraded to Aaa (sf)
-- Cl. F, Confirmed at Aaa (sf); previously on Dec. 10, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
-- Cl. G, Downgraded to Baa2 (sf); previously on Dec. 10, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. H, Downgraded to Ba2 (sf); previously on Dec. 10, 2010 A3
(sf) Placed Under Review for Possible Downgrade
-- Cl. J, Downgraded to Caa1 (sf); previously on Dec. 10, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. K, Downgraded to Caa2 (sf); previously on Dec. 10, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. L, Downgraded to Caa3 (sf); previously on Dec. 10, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to C (sf); previously on Dec. 10, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. N, Downgraded to C (sf); previously on Dec. 10, 2010 Caa2
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The downgrades are due to interest shortfalls (as of February
2011, interest shortfalls reached class H which is was rated A3)
and higher expected losses resulting from anticipated losses from
troubled loans and higher credit quality dispersion.
The confirmation and affirmations are due to key parameters,
including Moody's LTV 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 their current ratings.
Moody's rating action reflects a cumulative base expected loss of
12.2% of the current balance. At last review, Moody's cumulative
base expected loss was 1.9%. Moody's stressed scenario loss is
13.8% 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
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 credit estimates is melded with the conduit
model credit enhancement into an overall model result. Fusion
loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for
loans with similar credit estimates in the same transaction.
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 7 compared to 26 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. 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 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 24, 2008.
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.
Deal Performance
As of the February 10, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 71% to
$264.2 million from $908.2 million at securitization. The
Certificates are collateralized by 37 mortgage loans ranging in
size from less than 1% to 34% of the pool, with the top ten loans
representing 73% of the pool. The pool includes one loan with an
investment-grade credit estimate, representing 34% of the pool.
Thirteen loans, representing 53% 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, resulting in a
realized loss of $3.8 million (21% loss severity).
Eleven loans, representing 33% of the pool, are in special
servicing (six loans transferred in January 2011). The
largest specially serviced loan is the IDT Building (3) Loan
($25.2 million -- representing 9.5% of the pool), which is
secured by a 444,000 square foot Class B office building
located in downtown Newark, New Jersey. The building originally
served as headquarters for IDT Corp, a provider of wholesale and
telecommunications, but the company vacated in February 2009. The
borrower has been actively marketing the space but has been unable
to secure a long term lease. The loan transferred to special
servicing on January 27, 2011 due to borrower not remitting to the
trust funds received from an insurance policy for water damage at
the property. The borrower has not yet repaired the damage. The
loan is current. The borrower has identified a tenant who is
anticipated to lease a majority of the property. Moody's is not
currently recognizing a loss but has incorporated a loss factor in
Moody's analysis.
The second largest specially serviced loan is the Lexmark
Distribution Center Loan ($13.9 million -- representing 5.3% of
the pool), which is secured by a 750,000 SF build to suit
industrial distribution center located in Seymour, Indiana. The
property was originally 100% leased to Lexmark International.
Lexmark choose not to renew its lease at lease maturity in June
2010 and the property is currently vacant. The special servicer
filed a foreclosure complaint and motion for receiver and the
foreclosure was set for January 21, 2011.
The remaining nine specially serviced loans are secured by a
mix of property types. Moody's has estimated an aggregate
$25.1 million loss (54% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for one poorly
performing loan representing 1% of the pool and has estimated an
aggregate $426,000 loss (20% expected loss based on a 50%
probability default) from this troubled loan.
Moody's was provided with full year 2009 operating results for 79%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 91% compared to 85% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10.3% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.8%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.21X and 1.31X, respectively, compared to
1.25X and 1.35X 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.
The largest loan with an investment grade credit estimate is the
RREEF Portfolio Loan ($91.0 million -- 34.4%), which is secured by
nine properties totaling 3.7 million square feet. The properties
include industrial (5), retail (2), multifamily (1) and office (1)
and are located in six states. The portfolio was 100% leased as
of December 2009, compared to 91% at the prior review. The loan
is interest only for the full term. Moody's current underlying
rating and stressed DSCR are Aaa and 3.02X, respectively, the same
as at last review.
The top three performing conduit loans represent 12% of the pool
balance. The largest loan is the 500 South Front Street Loan
($17.2 million -- 6.5% of the pool), which is secured by a 150,000
SF Class A office building located in Columbus, Ohio. The loan
originally matured in October 2010 but was subsequently extended
through April 2011 with three additional extension options. The
property was 69% leased as of June 2010 compared to 98% at the
prior review. Moody's LTV and stressed DSCR are 112% and 0.94X,
respectively, compared to 83% and 1.27X at last review.
The second largest loan is the Dakota Bank Building Phase I & II
Loan ($7.1 million -- 2.7% of the pool), which is secured by
120,000 SF office building located in Fargo, North Dakota. The
property was 98% leased through October 2010 compared to 100% at
the prior review. A majority of the space is leased to U.S. Bank
and Merrill Lynch. Performance has significantly improved since
last review. Moody's LTV and stressed DSCR are 59% and 1.91X,
respectively, compared to 72% and 1.57X at last review.
The third largest loan is the Canyon Creek Apartments
($6.5 million -- 2.5% of the pool), which is secured by 242 unit
apartment complex located in Tucson, Arizona. The property was
96% leased as of December 2009 compared to 93% at the last review.
Moody's LTV and stressed DSCR are 76% and 1.36X, respectively,
compared to 73% and 1.41X at last review.
SCHOONER TRUST: Moody's Upgrades Ratings on 2004-CCF1 Notes
-----------------------------------------------------------
Moody's Investors Service upgraded the ratings of four and
affirmed ten classes of Schooner Trust, Series 2004-CCF1:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. IO-1, Affirmed at Aaa (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. IO-2, Affirmed at Aaa (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Apr 18, 2007
Upgraded to Aaa (sf)
-- Cl. C, Upgraded to Aa1 (sf); previously on Sep 3, 2009
Upgraded to Aa2 (sf)
-- Cl. D-1, Upgraded to A3 (sf); previously on Sep 3, 2009
Upgraded to Baa1 (sf)
-- Cl. D-2, Upgraded to A3 (sf); previously on Sep 3, 2009
Upgraded to Baa1 (sf)
-- Cl. E, Upgraded to Baa2 (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Affirmed at Ba1 (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Ba1 (sf)
-- Cl. G, Affirmed at Ba2 (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Ba2 (sf)
-- Cl. H, Affirmed at Ba3 (sf); previously on Jan. 23, 2004
Definitive Rating Assigned Ba3 (sf)
-- Cl. J, Affirmed at B2 (sf); previously on Jan. 23, 2004
Definitive Rating Assigned B2 (sf)
-- Cl. K, Affirmed at B3 (sf); previously on Jan. 23, 2004
Definitive Rating Assigned B3 (sf)
Ratings Rationale
The affirmations are due to increased credit subordination due to
amortization and loan payoffs and overall stable pool performance.
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 rating action reflects a cumulative base expected loss of
1.9% of the current balance. At last full review, Moody's
cumulative base expected loss was 2.0%. Moody's stressed scenario
loss is 6.5% 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
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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates 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 credit estimates in the same transaction.
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 22 compared to 27 at Moody's prior full review.
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 3, 2009.
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.
Deal Performance
As of the February 11, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 36% to
$303.52 million from $474 million at securitization. The
Certificates are collateralized by 54 mortgage loans ranging in
size from less than 1% to 7.5% of the pool, with the top ten loans
representing 41% of the pool. Five loans, representing 3% of the
pool, have defeased and are collateralized with Canadian
Government securities.
Eight loans, representing 11% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the 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 one loan, representing 3% of the pool, is in special
servicing. Moody's is not estimating a loss for this specially
serviced loan.
Moody's has assumed a high default probability for one poorly
performing loan representing 1% of the pool and has estimated a
$641,733 loss (20% expected loss based on a 50% probability
default) from this troubled loan.
Moody's was provided with full year 2009 operating results for 94%
of the performing pool. Excluding the troubled loan, Moody's
weighted average LTV is 65% compared to 74% at last full review.
Moody's net cash flow reflects a weighted average haircut of 11%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 10%.
Excluding the troubled loans, Moody's actual DSCR is 1.64X
compared to 1.52X at last full 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.
The top three performing conduit loans represent 26% of the pool
balance. The largest loan is the Merivale/Gateway Mall Portfolio
Loan ($32.7 million -- 10.8% of the pool), which is secured by a
225,000 square foot enclosed mall located in Ottawa and a 327,000
square foot enclosed mall located in Prince Albert. The loan is
amortizing on a 300-month schedule maturing in April 2013. The
loan has paid down 4% since last full review. Property
performance has improved since last review. Moody's LTV and
stressed DSCR are 67% and 1.54X, respectively, compared to 80% and
1.35X at last full review.
The second largest loan is the Fortis Portfolio Loan ($24.7
million -- 8.1% of the pool), which is secured by four full
service Holiday Inn hotels located in multiple cities in southern
Ontario. The loan is amortizing on a 300-month schedule maturing
in November 2013. The loan has paid down 5% since last full
review. Property performance has declined since last review as
the hotel has been impacted by the downturn in the tourism
industry. Two of the four loans in the portfolio are currently on
the master servicer's watchlist due to low occupancy and increased
operating expenses. Moody's LTV and stressed DSCR are 64% and
1.99X, respectively, compared to 61% and 1.98X at last full
review.
The third largest loan is the Cherry Lane Shopping Centre Loan
($22.7 million -- 7.5% of the pool), which is secured by a 236,000
SF anchored retail center located in Penticton, BC. The loan is
amortizing on a 300-month schedule maturing in November 2013. The
loan has paid down 4% since last full review. Property
performance has improved since last review. Moody's LTV and
stressed DSCR are 59% and 1.84X, respectively, compared to 72% and
1.5X at last review.
SCHOONER TRUST: Moody's Affirms Ratings on 15 2007-8 Certificates
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 15 classes of
Schooner Trust Commercial Mortgage Pass-Through Certificates,
Series 2007-8:
-- Cl. A-1, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-J, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XP, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. XC, Affirmed at Aaa (sf); previously on June 27, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa2 (sf); previously on June 27, 2007
Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Affirmed at A2 (sf); previously on June 27, 2007
Definitive Rating Assigned A2 (sf)
-- Cl. D, Affirmed at Baa2 (sf); previously on June 27, 2007
Definitive Rating Assigned Baa2 (sf)
-- Cl. E, Affirmed at Baa3 (sf); previously on June 27, 2007
Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Affirmed at Ba1 (sf); previously on June 27, 2007
Definitive Rating Assigned Ba1 (sf)
-- Cl. G, Affirmed at Ba2 (sf); previously on June 27, 2007
Definitive Rating Assigned Ba2 (sf)
-- Cl. H, Affirmed at Ba3 (sf); previously on June 27, 2007
Definitive Rating Assigned Ba3 (sf)
-- Cl. J, Affirmed at B1 (sf); previously on June 27, 2007
Definitive Rating Assigned B1 (sf)
-- Cl. K, Affirmed at B3 (sf); previously on Feb. 11, 2010
Downgraded to B3 (sf)
-- Cl. L, Affirmed at Caa1 (sf); previously on Feb. 11, 2010
Downgraded to Caa1 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's LTV
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 their current
ratings.
Moody's rating action reflects a cumulative base expected loss of
1.4% of the current balance. At last review, Moody's cumulative
base expected loss was 2.2%. Moody's stressed scenario loss is
8.7% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates is melded with the conduit
model credit enhancement into an overall model result. Fusion
loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for
loans with similar credit estimates in the same transaction.
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 26 compared to 27 at Moody's prior review.
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 11, 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 six months.
Deal Performance
As of the February 14, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 5.5% to
$489.6 million from $518.1 million at securitization. The
Certificates are collateralized by 67 mortgage loans ranging in
size from less than 1% to 10% of the pool, with the top ten loans
representing 52% of the pool. The pool includes two loans with
investment-grade credit estimates, representing 9.9% of the pool.
Three loans, representing 6% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the 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 since securitization.
There is currently one loan in special servicing. The Bonsor
Commercial Loan ($872,502; 0.2% of the pool) transferred to
special servicing in October 2009 due to monetary default.
Moody's has estimated a $383,316 loss (49% expected loss) for the
specially serviced loan. Moody's has not currently estimated
losses for any other loans in the pool.
Moody's was provided with full year 2009 operating results for 86%
of the pool. Excluding the specially serviced loan, Moody's
weighted average LTV is 90% compared to 95% at Moody's prior
review. Moody's net cash flow reflects a weighted average haircut
of 11.1% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.0%.
Excluding the specially serviced loan, Moody's actual and stressed
DSCRs are 1.42X and 1.11X, respectively, compared to 1.36X and
1.06X 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.
The largest loan with a credit estimate is the Atrium Pooled
Interest A-Note ($38.7 million -- 8.1%), which is secured by a
1.1 million square foot office/retail complex located in the
central business district of Toronto, Ontario. The loan
represents a 33% pari passu interest in a $116 million first
mortgage. A $74 million B note held outside the trust also
encumbers the property. The property was 98% leased as of
September 2009. The largest tenant is the Canadian Imperial Bank
of Commerce which leases 35% of the net rentable area. The loan
is sponsored by Hines Real Estate Investments. Property
performance has improved since last review. Moody's current
credit estimate and stressed DSCR are A2 and 1.62X, respectively,
compared to A3 and 1.44X at last review.
The second loan with a credit estimate is the 107 Woodlawn Road
West Loan ($9.8 million -- 2.0%), which is secured by a 618,400 SF
industrial property located in Guelph, Ontario. The property is
100% leased to Synnex Canada, a distributor technology products to
resellers, through February 2019. The loan is amortizing on a 15
year schedule and has paid down by 6% since last review. Moody's
current credit estimate and stressed DSCR are A3 and 1.76X,
respectively, compared to Baa2 and 1.61X at last review.
The top three performing conduit loans represent 20.9% of the
pool balance. The largest loan is the Londonderry Mall Loan
($49.5 million -- 10.1% of the pool), which is secured by a
777,032 SF regional shopping center located in Edmonton, Alberta.
The loan represents a 67% pari passu interest in a $73.8 million
first mortgage. As of December 2010, the property was 92% leased
compared to 97% at last review. Moody's LTV and stressed DSCR are
85% and 1.08X, respectively, compared to 88% and 1.04X at last
review.
The second largest loan is the Mega Centre Cote-Vertu Loan
($26.8 million -- 5.5% of the pool), which is secured by a 277,477
SF anchored retail center located in Montreal, Quebec. Property
performance has been stable since last review. However, Moody's
previous analysis reflected a stressed cash due to Moody's
concerns about potential volatility due to near term lease
expirations. Moody's LTV and stressed DSCR are 94% and 0.98X,
respectively, compared to 100% and 0.92X at last review.
The third largest loan is the Atrium II Loan ($26.3 million --
5.4% of the pool), which is secured by a 110,090 SF office
building located in Calgary, Alberta. Over half of the tenant
base is linked to energy exploration. The property is owned by
Dundee REIT. Performance improved since last review due to an
increase in base rent from new tenants. Moody's LTV and stressed
DSCR are 94% and 1.03X, respectively, compared to 124% and X at
last review.
SCIENS CFO: Fitch Withdraws Ratings on Various Classes of Notes
---------------------------------------------------------------
Fitch Ratings has withdrawn the ratings assigned to the notes
issued by Sciens CFO I Ltd., a collateralized fund obligation
comprised of interests in various hedge funds and managed by
Sciens Capital Management LLC. The ratings have been withdrawn
due to a lack of information on certain underlying hedge fund
investments.
Sciens is a collateralized hedge fund of funds transaction
structured with valuation triggers which closed on Dec. 15, 2006.
Sciens breached a minimum asset coverage test on Oct. 31, 2008,
due to a severe net asset value decline of its underlying hedge
fund investments. Sciens is currently in receivership and the
portfolio liquidation is being overseen by Ernst & Young on behalf
of the current controlling class of noteholders.
Due to a combination of asset price declines and mandatory
redemption of portfolio assets, Sciens' NAV has been reduced
to approximately EUR54 million from an original balance of
EUR233 million, as of the latest available trustee report
distributed on Nov. 30, 2010. The class A senior notes have
been receiving principal payments generated from portfolio
investment redemptions. The balance of the class A notes as of
the same date was approximately EUR28 million, representing
roughly EUR93 million in reduction from the EUR121.2 million issue
size. All other classes of notes have been deferring interest
since the test failure.
The current portfolio is highly concentrated, with two Sciens-
affiliated multi-manager funds representing over 60% of remaining
assets. These two investments, along with several other portfolio
investments, currently face redemption restrictions common to
hedge funds, including side-pockets and re-structuring. Given
limited transparency on the underlying holdings of these large
multi-manager fund investments, Fitch does not have sufficient
information to maintain the ratings on the transaction.
These ratings have been withdrawn:
-- EUR27,763,272 class A notes 'Bsf';
-- EUR22,336,694 class B notes 'CCsf';
-- EUR14,947,801 class C notes 'Csf';
-- EUR20,403,372 class D notes 'Csf';
-- EUR8,979,234 class E notes 'Csf'.
SCORE SPC: S&P Downgrades Rating on Class M Notes to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
M notes issued by SCORE SPC acting for the account of MSC 2006-
SRR1-BIG Segregated Portfolio, a synthetic collateralized debt
obligation transaction, to 'D (sf)' from 'CCC- (sf)'.
The downgrade follows a number of write-downs in the underlying
reference portfolio that have caused the class M notes to incur
partial principal losses.
SEQUOIA MORTGAGE: Fitch Assigns Ratings on Various Classes
----------------------------------------------------------
Fitch Ratings assigns this rating to Sequoia Mortgage Trust 2011-1
mortgage pass-through certificates, series 2011-1:
-- $273,280,000 class A-1 'AAAsf'; Outlook Stable;
-- $273,280,000 notional class A-IO 'AAAsf'; Outlook Stable;
-- $7,385,000 class B-1 'AAsf'; Outlook Stable;
-- $5,171,000 class B-2 'Asf'; Outlook Stable;
-- $3,693,000 class B-3 'BBBsf'; Outlook Stable;
-- $2,215,000 class B-4 'BBsf'; Outlook Stable.
The 'AAAsf' rating on the senior certificates reflects the 7.5%
subordination provided by the 2.5% class B-1, 1.75% class B-2,
1.25% class B-3, 0.75% non-offered class B-4 and 1.25% non-offered
class B-5. The class B-5 is not rated by Fitch.
Fitch's ratings reflect the high quality of the mortgage pool, the
strong historical performance of the two originators and
servicers, First Republic Bank and PHH Mortgage Corp., the clear
capital structure and the high percentage of loans reviewed by
third party underwriters. In addition, Wells Fargo Bank, N.A.
will act as the master servicer and Citibank, N.A. will act as the
Trustee, for the transaction.
SEMT 2011-1 will be Redwood Residential Acquisition Corporation's
first transaction of prime residential mortgages in 2011. The
certificates are supported by a pool of prime mortgage loans
comprised of 43% of adjustable-rate mortgage loans with an initial
fixed and interest only period of 10 years and 57% fully
amortizing fixed rate mortgage loans.
First Republic Bank originated 65% of the aggregate pool and PHH
Mortgage Corporation originated the remainder of the loans. As of
the cut-off date, the aggregate pool has 302 loans with a total
balance of $295,437,298, an average balance of $978,269, a
weighted average original combined loan-to-value ratio of 62.77%,
and a weighted average coupon of 5.049%. Rate/Term and cash out
refinances account for 57.59% and 6.85% of the loans,
respectively. The weighted average original FICO credit score of
the loans is 775. Owner-occupied properties comprise of 94.34%of
the loans. The states that represent the largest geographic
concentration are California (56.14%), New York (8.17%) and
Washington (5.99%). Additional detail on the transaction is
described in the presale report 'Sequoia Mortgage Trust 2011-1',
published Feb. 23, 2011.
For federal income tax purposes, elections will be made to treat
the trust as two real estate mortgage investment conduits.
SOLAR TRUST: Moody's Upgrades Ratings on Two Classes of Certs.
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed nine classes of Solar Trust Commercial Mortgage Pass-
Through Certificates, Series 2002-1:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Dec. 11, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Dec. 11, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. IO, Affirmed at Aaa (sf); previously on Dec. 11, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed med at Aaa (sf); previously on April 6, 2006
Upgraded to Aaa (sf)
-- Cl. C, Upgraded to Aa2 (sf); previously on April 6, 2006
Upgraded to A1 (sf)
-- Cl. D, Upgraded to A3 (sf); previously on April 6, 2006
Upgraded to Baa1 (sf)
-- Cl. E, Affirmed at Baa2 (sf); previously on April 6, 2006
Upgraded to Baa2 (sf)
-- Cl. F, Affirmed at Ba2 (sf); previously on Dec. 11, 2002
Definitive Rating Assigned Ba2 (sf)
-- Cl. G, Affirmed at B1 (sf); previously on Dec. 16, 2009
Downgraded to B1 (sf)
-- Cl. H, Affirmed at Caa1 (sf); previously on Dec. 16, 2009
Downgraded to Caa1 (sf)
-- Cl. J, Affirmed at Caa2 (sf); previously on Dec. 16, 2009
Downgraded to Caa2 (sf).
Ratings Rationale
The upgrades are due to overall improved pool performance and
increased credit subordination due to amortization.
The affirmations are due to key parameters, including Moody's LTV
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 their current
ratings.
Moody's rating action reflects a cumulative base expected loss of
1.9% of the current balance. At last review, Moody's cumulative
base expected loss was 3.0%. Moody's stressed scenario loss is
5.3% 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 sluggish
macroeconomic environment and varying performance in the
commercial real estate property markets. However, Moody's expects
to see increasing or stabilizing property values, higher
transaction volumes, a slowing in the pace of loan delinquencies
and greater liquidity for commercial real estate in 2011 The hotel
and multifamily sectors are continuing to show signs of recovery,
while recovery in the office and retail sectors will be tied to
recovery of the broader economy. The availability of debt capital
continues to improve with terms returning toward market norms.
Moody's central global macroeconomic scenario reflects an overall
sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
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 credit estimates is melded with the conduit
model credit enhancement into an overall model result. Fusion
loan credit enhancement is based on the credit estimate 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 credit estimate level, is incorporated for
loans with similar credit estimates in the same transaction.
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 18 compared to 19 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. 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 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 16, 2009.
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.
Deal Performance
As of the February 14, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $182.6
million from $266.6 million at securitization. The Certificates
are collateralized by 49 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 58%
of the pool. The pool includes one loan with an investment-grade
credit estimate, representing 8.3% of the pool.
Ten 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.
The pool has not experienced any losses since securitization.
There is currently one loan in special servicing comprising 0.3%
of the pool. Moody's is not currently estimating a loss for the
specially serviced loan.
Moody's has assumed a high default probability for two poorly
performing loans representing 2.4% of the pool and has estimated
an aggregate $3.7 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 85%
of the pool. Excluding troubled loans, Moody's weighted average
LTV is 65% compared to 83% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 12% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 10.1%.
Excluding troubled loans, Moody's actual and stressed DSCRs are
1.64X and 1.92X, respectively, compared to 1.83X and 2.00X 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.
The loan with a credit estimate is the Chateauguay Centre Loan
($15.1 million -- 8.3% of the pool), which is secured by a 211,666
square foot retail center located in Chateauguay, Quebec. The
center is anchored by Super C (23% of the net rentable area (NRA);
lease expiration September 2013), a grocery retailer. The loan is
50% recourse to the borrower and matures in March 2012.
Performance has been stable since last review. Moody's current
credit estimate and stressed DSCR are Aa3 and 2.07X, respectively,
compared to Aa3 and 2.14X at last review.
The top three performing conduit loans represent 24% of the
pool balance. The largest loan is the Hotel Novotel Loan
($16.0 million -- 8.8% of the pool), which is secured by a
262 unit full service hotel located in Toronto, Ontario. The
property also contains 25,000 SF of office/retail space. Property
performance improved significantly in 2010, with RevPAR and ADR
increasing to $106 and $132 by September, compared to $86 and $129
for calendar year 2009. Moody's LTV and stressed DSCR are 74% and
1.69X, respectively, compared to 100% and 1.25X at last review.
The second largest loan is the Langley Gate Shopping Centre Loan
($14.3 million -- 7.8% of the pool), which is secured by a 151,802
SF retail center located in Langley, British Columbia. Major
tenants include Sears (23% of the NRA; lease expiration March
2018), Home Sense (17% of the NRA; lease expiration January 2013)
and Chapters (16% of the NRA; lease expiration February 2013).
The property is 100% leased and there are no lease expirations
until November 2012. The loan matures in March 2012. Performance
has been stable. Moody's LTV and stressed DSCR are 52% and 1.94X,
respectively, compared to 57% and 1.78X at last review.
The third largest loan is the La Porte de Gatineau Loan
($12.5 million -- 6.8% of the pool), which is secured by a 154,977
SF retail property located in Gatineau, Quebec. The property was
94% leased as of August 2010, a slight decline from 97% at last
review. The loan is 100% recourse to the borrower and has a 25
year amortization schedule. Although performance has been stable,
Moody's analysis incorporates a stress cash flow to reflect
potential income volatility as leases for tenants leasing 70% of
the NRA expire within the next 18 months. The scheduled maturity
date is August 2012. Moody's LTV and stressed DSCR are 76% and
1.40X, respectively, compared to 69% and 1.53X at last review.
SPGS SPC: S&P Downgrades Ratings on Three Notes to 'D'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
from 'CCC- (sf)' on the class P, Q, and R notes from SPGS SPC's
series MSC 2007-SRR3, a synthetic collateralized debt obligation
transaction.
The downgrades follow a number of write-downs in the underlying
reference portfolio, which have caused the class P notes to incur
partial principal losses and the class Q and R notes to incur
complete principal losses.
STACK LTD: S&P Downgrades Ratings on All Classes of 2005-1 Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on all the
notes issued by STACK Ltd.'s series 2005-1, a synthetic
collateralized debt obligation transaction. Two of these ratings
remain on CreditWatch with negative implications.
The transaction's underlying reference entities have experienced a
number of credit events throughout the deal's life. Over the past
few months, the subordination available to the class A notes was
reduced significantly following the application of interim losses
calculated on the underlying reference entities. As a result, S&P
lowered its ratings on these notes to 'B- (sf)' and left them on
CreditWatch negative. S&P downgraded the class B notes to 'CC
(sf)' following partial principal losses, while S&P downgraded the
class C and D notes to 'D (sf)' following complete principal
losses.
Rating Actions
STACK Ltd.
Series 2005-1
Rating
------
Class To From
----- -- ----
A2-EUR B- (sf)/Watch Neg AA+ (sf)/Watch Neg
A2-USD B- (sf)/Watch Neg AA+ (sf)/Watch Neg
B-EUR CC (sf) B- (sf)
B-USD CC (sf) B- (sf)
C-USD D (sf) CCC- (sf)
C-JPY D (sf) CCC- (sf)
D-USD D (sf) CCC- (sf)
D-JPY D (sf) CCC- (sf)
STRUCTURED ASSET: Moody's Downgrades Rating on Various Classes
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of class AXP1
and has confirmed the rating of class AXPR issued by Structured
Asset Securities Corporation 2006-12. In addition, Moody's has
also downgraded the ratings of classes AXP and AX7N issued by
Structured Asset Securities Corporation Trust 2007-9.
Issuer: Structured Asset Securities Corporation 2006-12
-- Cl. AXP1, Downgraded to Caa3 (sf); previously on March 12,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. AXPR, Confirmed at Caa2 (sf); previously on March 12,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation Trust 2007-9
-- Cl. AXP, Downgraded to Caa3 (sf); previously on March 12,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. AX7N, Downgraded to Caa3 (sf); previously on March 12,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are as a result of the bonds not having sufficient
credit enhancement to maintain the current ratings compared to the
revised loss expectation on the pools of mortgages backing the
underlying certificates.
The Group 1 resecuritization bonds issued by SASCO 2006-12 are
backed by the Classes 1-AX and 2-AX issued by IndyMac INDX
Mortgage Loan Trust 2006-AR14. The Group 2 resecuritization
issued by SASCO 2006-12 is backed by Classes I-AX and II-AX issued
by RALI Series 2006-QO8 Trust. The underlying certificates of
both groups are backed primarily by Option ARM residential
mortgage loans.
The Class AXP1 and Class AXPR issued by SASCO 2006-12 are both
interest only classes that receive payments from the respective
underlying certificates.
The resecuritization bonds issued by SASCO 2007-9 are backed by
Class AX issued by Lehman XS Trust Series 2007-7N and class 2-AX
issued by Lehman XS Trust Series 2007-12N (as "Underlying
Certificates") . The underlying certificates are backed primarily
by Option ARM residential mortgage loans. The Classes AXP and
AX7N issued by SASCO 2007-9 are both interest only classes that
receive payments from the respective underlying certificates.
Moody's ratings on the resecuritization certificates are based on:
(i) The updated expected loss on the pools of loans backing the
underlying certificates and the updated ratings on the
underlying certificates.
(ii) The credit enhancement available to the underlying
certificates, and
(iii) The structure of the resecuritization transaction.
Moody's first updated its loss assumptions on the underlying pools
of mortgage loans (backing the underlying certificates) and then
arrived at updated ratings on the underlying certificates. The
ratings on the underlying certificates are based on expected
recoveries on the bonds under ninety-six different combinations 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 order to determine the ratings of the resecuritized bonds,
Moody's first determined the weighted average portfolio rating of
the underlying securities. This portfolio rating is then ascribed
to the resecuritization bonds according to the structure of the
transaction.
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.
As part of the sensitivity analysis, Moody's stressed the updated
expected losses on the pools of loans backing the underlying
certificates by an additional 10% and found that the implied
ratings on the resecuritization bonds do not change.
Moody's Investors Service received and took into account third
party due diligence reports on the underlying assets or financial
instruments in these transactions and the due diligence reports
had neutral impact on the ratings.
TRIAD AUTOMOBILE: Moody's Assigns Ratings on Various Classes
------------------------------------------------------------
Moody's Investors Service has assigned ratings on the underlying
credit risk of these notes that are guaranteed by the financial
guarantors identified below. The underlying rating reflects the
intrinsic credit quality of the notes in the absence of the
guarantee. The current ratings on the below notes are consistent
with Moody's practice of rating insured securities at the higher
of the guarantor's insurance financial strength rating and any
underlying rating.
These transactions are sponsored by Triad Financial Corporation.
Triad was acquired by Santander Consumer USA Inc. in October 2009,
and the transactions are currently serviced by Santander.
Complete rating actions are:
Issuer: Triad Automobile Receivables Trust 2006-C
-- Cl. A-4, Current Rating: Aaa (sf)
-- Financial Guarantor: Ambac Assurance Corporation (Confirmed
at Caa2, Outlook Developing on Nov 23, 2010)
-- Underlying Rating: Assigned Aaa (sf)
Issuer: Triad Automobile Receivables Trust 2007-A
-- Cl. A-4, Current Rating: Aa3 (sf)
-- Financial Guarantor: Assured Guaranty Municipal Corp
(Confirmed at Aa3, Outlook Negative on Nov. 12, 2009)
-- Underlying Rating: Assigned Aa3 (sf)
Issuer: Triad Automobile Receivables Trust 2007-B
-- Cl. A-3a, Current Rating: Aa3 (sf)
-- Financial Guarantor: Assured Guaranty Municipal Corp
(Confirmed at Aa3, Outlook Negative on Nov. 12, 2009)
-- Underlying Rating: Assigned A1 (sf)
-- Cl. A-3b, Current Rating: Aa3 (sf)
-- Financial Guarantor: Assured Guaranty Municipal Corp
(Confirmed at Aa3, Outlook Negative on Nov. 12, 2009)
-- Underlying Rating: Assigned A1 (sf)
-- Cl. A-4a, Current Rating: Aa3 (sf)
-- Financial Guarantor: Assured Guaranty Municipal Corp
(Confirmed at Aa3, Outlook Negative on Nov. 12, 2009)
-- Underlying Rating: Assigned A1(sf)
-- Cl. A-4b, Current Rating: Aa3 (sf)
-- Financial Guarantor: Assured Guaranty Municipal Corp
(Confirmed at Aa3, Outlook Negative on Nov. 12, 2009)
-- Underlying Rating: Assigned A1 (sf)
Ratings Rationale
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.
* Fitch Affirms Ratings on Two of Orlando, Florida Bonds
--------------------------------------------------------
In the course of routine surveillance, Fitch Ratings has affirmed
these city of Orlando, Florida bonds:
-- $187.8 million tourist development tax revenue bonds, series
2008A at 'BB+';
-- $33.4 million TDT revenue bonds, series 2008B at 'B'.
The Rating Outlook remains Stable for series 2008A. The Rating
Outlook is revised to Stable from Negative for series 2008B.
Rating Rationale:
-- The 'BB+' rating on the series 2008A bond reflects slim debt
service coverage. While current year pledged revenues are
expected to hover around 1 times (x) debt service coverage
over the next few years, continued growth is required to
maintain coverage levels once installment payments cease at
the end of fiscal 2018.
-- The 'B' rating on the series 2008B bonds incorporates Fitch's
expectation that liquidity reserve revenues, and potentially
debt service reserve revenues, will be needed to make debt
service payments.
-- The Outlook Revision to Stable from Negative on the series
2008B bonds is based on recent signs of stabilization and
growth in pledged revenues which, if continued, would
increase coverage and may prevent a payment default.
-- The ratings reflect the high leveraging of the revenue
stream; Fitch believes the long-term profile of Orange
County's tourism industry remains strong.
Key Rating Drivers:
-- Continued stabilization of TDT revenue in the near term and a
meaningful recovery over the next few years.
-- The exhaustion of the liquidity reserve for series 2008B
bonds would put downward pressure on the rating.
Security:
The bonds are limited obligations of the city secured by the
discrete trust estate, including pledged funds, for each
respective series of bonds. Pledged funds include revenues
provided from 50% of a one cent tourist development tax collected
countywide and remitted to the city according to an interlocal
agreement, levied county-wide on hotel stays, plus a fixed
installment equal to $2.8 million available through 2018. The one
cent TDT is a component of the total of the six cent TDT that is
levied county-wide for a variety of purposes. Pledged funds are
allocated to each trust estate of the three series of bonds (only
two of which are rated by Fitch) according to a flow of funds with
revenues distributed to each trust estate according to the
seniority of the series. Legal provisions include a dedicated
liquidity reserve and debt service reserve fund for each series
with each established at 50% of respective maximum annual debt
service.
Credit Summary:
Pledged revenues have fluctuated significantly in recent years due
to volatility in TDT collections, which declined 15.5% in fiscal
2009. Additional pledged revenues provided by fixed installment
payments, which accounted for 18.8% of total pledged revenues in
fiscal 2010, provided a small degree of stability. Signs of
stabilization are apparent in recent months with year over year
growth in the past 10 months. Annual TDT collections increased
3.4% in fiscal 2010 while pledged revenues increased 10.2% due to
fiscal 2009 including only 11 months of collections. Year to date
fiscal 2011 pledged revenues through the first three months of the
year are up 14.6% from the year prior.
Given the thin margins on debt service, Fitch reviews coverage of
each biannual debt service payment, in accordance with the flow of
funds and timing of receipts. Based on fiscal 2010 revenues,
pledged revenues are expected to provide well over 1x coverage for
the first annual debt service installment payment (May 1) over the
next few years while revenues would need to increase a moderate
2.2% in the second half of the year to cover 1x series 2008A debt
service on the second debt service installment payment (Nov. 1)
through fiscal 2013. In addition, series 2008A also has a
dedicated liquidity reserve and debt service reserve account cash
funded each equal to 50% MADS.
Annual second half growth ranging from 5.1% for fiscal 2011 to
16.3% for fiscal 2013 would be needed from fiscal 2010 levels to
meet 1x debt service coverage for fiscal 2008B. In accordance
with the flow of funds, the city would continue using the series
2008B liquidity reserve, currently cash funded at $0.9 million,
equal to 36% of MADS, followed by the 2008B debt service reserve
account, cash funded at 50% MADS.
Debt service is relatively level beginning in fiscal 2010 overall
and for fiscal 2008A while debt service is slightly ascending for
series 2008B until fiscal 2016. Additional pledged revenue growth
is necessary over the medium term to accommodate the loss of
installment payments beginning in fiscal 2019.
Legal provisions include a cross-default clause creating a
technical default for all series of bonds (series 2008A, series
2008B and series 2008C; series 2008C is not rated by Fitch) if any
of the three have an event of default. In an event of default,
the flow of funds allows for bond payments to continue, ensuring
senior bonds could still be paid even though an event of default
would be triggered.
Located in central Florida, Orange County's economy is broad and
diverse. Having expanded from its traditional base of tourism,
the economy now includes professional and business services,
education, health care, and biotech. Tourism does continue to
play a pivotal role in the area economy with Universal Studios,
Sea World and Disney World all located within the county and
continues to expand with Universal Studios' opening of the
'Wizarding World of Harry Potter' last spring. The 11.3%
unemployment rate for the county is moderately improved from its
11.7% level a year prior, remaining above the national average but
in line with that of the state. Wealth levels are average.
* Fitch Downgrades Ratings on 361 Bonds From 205 US RMBS Deals
--------------------------------------------------------------
Fitch Ratings has downgraded 361 bonds in 205 U.S. residential
mortgage backed security transactions to 'Dsf'. The downgrades
indicate that the bonds in question have incurred a principal
write-down. Of the bonds that Fitch is downgrading to 'Dsf', 98%
were previously rated 'Csf', indicating an expected default. The
remaining bonds were rated 'CCsf' and 'CCCsf'. The action is
limited to just the bonds with write-downs. The remaining bonds
in these transactions have not been analyzed and the Recovery
Ratings have not been updated as part of this review.
Of the 205 transactions affected by these downgrades, 78 are
Prime, 69 are Alt-A and 44 are Subprime. The remaining
transaction types are other sectors. The majority of the bonds
(53%) have a Recovery Rating of 'RR5' or 'RR6' indicating that
minimal recovery is expected. Some 46% of the bonds have Recovery
Ratings of either 'RR2' or 'RR3', which indicates anywhere from
50%-90% of the outstanding balance is expected to be recovered.
The downgrades are part of Fitch's ongoing surveillance process.
Fitch will continue to monitor these transactions for additional
defaults.
The spreadsheet also details Fitch's assignment of Recovery
Ratings to the transactions. The Recovery Rating scale is based
upon the expected relative recovery characteristics of an
obligation. For structured finance, Recovery Ratings are designed
to estimate recoveries on a forward-looking basis while taking
into account the time value of money.
* Moody's Affirms 'Ba1' Rating on Town of East Greenbush's Bonds
----------------------------------------------------------------
Moody's Investors Service has affirmed the Ba1 general obligation
rating for the Town of East Greenbush (NY) affecting $2.5 million
in outstanding debt. The bonds are secured by the town's general
obligation, unlimited tax pledge. Concurrently, Moody's has
revised the town's outlook to stable from negative.
Ratings Rationale
The Ba1 rating reflects the town's depleted financial position
after a multi-year trend of operating deficits resulting in a
fiscal 2009 General Fund balance equal to negative 22.7% of
General Fund revenues. The Ba1 rating balances the town's
depleted financial position against a moderately sized
$1.9 billion tax base and above average socio-demographic profile.
While the town benefits from the relatively stable capital region
economy given its location in Rensselaer County (general
obligation rated A1), economic growth is expected to remain
dampened given the ongoing economic downturn. The rating also
reflects the town's average direct debt burden which is expected
to remain low given rapid amortization of principal (92.3% repaid
within 10 years) and the absence of future borrowing. The
revision of the outlook to stable represents the 2010 fiscal year
end unaudited results showing an operating surplus and new
management's plan for eliminating the deficit.
Strengths:
* Town's proximity to the City of Albany (general obligation rated
A1) and the capital region.
* Above average wealth levels.
Weaknesses:
* Recurring operating losses drove the substantial deficit and
lack of liquidity.
* Plan to cure the deficit fund balance goes out seven years.
Detailed Credit Discussion
Recurring Operating Losses Drive Substantial Cumulative Deficit
And Depletion Of Liquidity
Management's failure to match recurring revenues with ongoing
expenses is evident in the town's seven year trend of operating
deficits. Despite the town's above average wealth levels and
unlimited taxing authority, increases in tax rates have been
minimal. Most recently, fiscal 2009 ended with a $112,000 General
Fund operating deficit, resulting in total General Fund Balance of
negative $1.7 million (an inadequate -22.7% of revenues), and a
minimal net cash position of 2.7% of revenues. Moody's analysis
of the town's finances factors two major operating funds (General
and Highway). On a combined basis, the accumulated deficit in
these funds at the end of 2009 reached negative $2.9 million (-
31.2% of combined revenues), reflecting the impact of a
substantial deficit in the Highway Fund (negative$1.8 million).
To fund operations, management has relied on transfers in from the
town's Sewer and Water funds, resulting in significant
deterioration of liquidity in these funds, given sizeable
receivables from the illiquid General Fund and Highway Fund
totaling $2.4 million at the end of fiscal 2010. Positively, the
town reports that the General Fund operated at a slight surplus of
$75,000 in fiscal 2010 following the elimination of several
positions and conservative budgeting on revenues which offset the
employee benefits coming in over budget. However, management
reports that the Highway Fund operated at a deficit of
approximately $142,000 reflecting the paving projects coming in
over budget. The town's water and sewer fund, according to
management, operated at a surplus of approximately $600,000.
The town's fiscal 2011 budget represents a decrease of 0.3% or
$43,000 from the previous year's actual revenues, including
conservative budgeting for sales tax (4.2% decline) and mortgage
tax (16.1% decline). Beginning in January 2010 the newly hired
town comptroller implemented a number of new policies and
procedures to control expenses and budget revenues. Reflective of
that is the increase in various user rates, the pay down of Bond
Anticipation Notes and the elimination of at least $175,000 of the
accumulated deficit. Moody's believes that while positive steps
have been taken, management must prove the ability to fully
implement the recovery plan. Positively, the town's major source
of revenue is derived from property taxes (52% of total revenues)
which are guaranteed in full annually by the County. However,
sales tax and mortgage tax, economically sensitive revenues, make
up 23.4% and 8.8% respectively. Given the magnitude of the
cumulative deficit, management plans to return to a positive fund
balance position within the next five to seven years. Further
deterioration in reserves or liquidity could result in negative
action on the town's rating.
Tax Base Benefits From Its Proximately To Local Employment Centers
Moody's believes the town will continue to benefit from its
location near the City of Albany and the capital region. Full
value growth has been strong, averaging 12.5% annually over the
previous five years to $1.9 billion in fiscal 2011. Management
has indicated that new growth has slowed significantly during the
national housing slowdown and this is reflected in the town's
declining assessed value over the previous two years of negative
2% and 2.3% respectively. Housing prices have remained relatively
stable with a slight decline in fiscal 2011 as full value declined
2.1%. Positively, Regeneron, a biotechnology firm, recently broke
ground on a $5 million expansion which is expected to add 50 new
jobs. The town also expects to see growth in residential,
commercial and possibly industrial sectors with the opening of
GlobalFoundaries in the nearby Town of Malta (G.O. rated Aa2) in
2012. Wealth levels are above state and national medians with per
capita income at $25,503 (109% of the state and 118.1% of the US)
and median family income of $62,917 (121.7% and 125.7%
respectively). The town's full value per capita of $113,395 is
well above the state median reflecting the wealthy nature of the
town's tax base.
Modest Debt Burden; Reliant On Market Access To Annually
Role Notes
Moody's believes the town's debt position (0.6% of fiscal 2011
full value) will remain manageable in the near term given the
absence of major debt plans and a rapid payout (92.3% of principal
retired in ten years). In addition to long term debt, the town
currently has $2.5 million in BAN's outstanding, which are rolled
annually. The town's ability to gain market access to refinance
the bond anticipation notes could be pressured due to the town's
narrow financial position and decreased credit quality.
Positively, all of the town's debt is fixed rate and the town is
not party to any derivative agreements.
What Could Make The Rating Go Up
* Implementing the plan to stabilize operations
* Demonstrated progress toward restoring satisfactory financial
flexibility
What Could Make The Rating Go Down
* Further deterioration of the town's reserves and negative cash
position.
* Inability to access the capital markets for the issuance of
BAN's resulting in a default or diminished liquidity.
Key Statistics:
-- 2000 Population: 16,891 (+8.6% since 2000)
-- 2011 Full Valuation: $1.9 billion
-- 2011 Full Value Per Capita: $113,395
-- 1999 Per Capita Income (as % of NY and US): $25,503 (109% and
118.1%)
-- 1999 Median Family Income (as % of NY and US): $62,917
(121.7% and 125.7%)
-- Direct Debt Burden: 0.6%
-- Overall Debt Burden: 2.8%
-- Payout of Principal (10 years): 92.3%
-- 2009 General Fund Balance: Negative $1.7 million (-22.7% of
General Fund revenue)
-- Total long-term Debt Outstanding: $5.9 million
-- Total rated G.O Debt outstanding: $2.5 million
* S&P Downgrades Ratings on 500 Certs. From 324 RMBS Deals to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 500 classes of mortgage pass-through certificates from 324 U.S.
residential mortgage-backed securities transactions issued between
2003 and 2009.
Approximately 78.8% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or subprime mortgage
loan collateral. The 500 defaulted classes consisted of these:
* 299 classes from Alt-A transactions (59.80% of all defaults);
* 95 from subprime transactions (19%);
* 78 from prime jumbo transactions (15.60%);
* Eight from risk-transfer transactions;
* Five from reperforming transactions;
* Five from resecuritized real estate mortgage investment conduit
(re-REMIC) transactions;
* Five from outside-the-guidelines transactions;
* Three from a RMBS first-lien high loan-to-value transaction;
* One from a home equity line of credit transaction; and
* One from an RMBS small balance commercial transaction.
The downgrades reflect S&P's assessment of principal write-downs
on the affected classes during recent remittance periods. Two of
the downgraded classes (classes A-1I and A-NA from Chevy Chase
Funding LLC Mortgage-Backed Certificates, Series 2006-4 Trust) are
bond-insured by Ambac Assurance Corp., which Standard & Poor's
does not currently rate.
Prior to the rating actions, all of S&P's ratings on the affected
classes were 'CC (sf)' or 'CCC (sf)'.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and S&P will
adjust the ratings as S&P considers appropriate in accordance with
its criteria.
* S&P Downgrades Ratings on Five Certs. From Five RMBS Deals
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of mortgage pass-through certificates from five U.S.
residential mortgage-backed securities transactions to 'D (sf)'.
These RMBS transactions were issued between 1994 and 2006.
The five downgrades reflect S&P's assessment of principal write-
downs on the affected classes during recent remittance periods.
Prior to the rating actions, all of the ratings on the lowered
classes were 'B (sf)', 'B- (sf)' and 'CCC (sf)'. S&P placed nine
additional ratings on CreditWatch because the classes are within a
loan group that includes a class that defaulted from a 'B-' rating
or higher.
The defaulted classes are backed by prime jumbo, Alternative-A,
closed-end second-lien, and first-lien high loan-to-value mortgage
loan collateral. Credit enhancement is provided by a combination
of subordination, excess spread, and overcollateralization.
S&P expects to resolve the CreditWatch placement after S&P
completes S&P's 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 its ratings as S&P considers appropriate in accordance with
its criteria.
Rating Actions
GreenPoint Mortgage Funding Trust, Series 2006-AR4
Series 2006-AR4
Rating
------
Class CUSIP To From
----- ----- -- ----
A1-A 39539FAA2 D (sf) B- (sf)
A6-A 39539FAK0 BBB+/Watch Neg (sf) BBB+ (sf)
Home Equity Mortgage Trust 2004-2
Series 2004-2
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 22541SET1 BBB+/Watch Neg (sf) BBB+ (sf)
B-2 22541SEU8 D (sf) B- (sf)
IndyMac INDX Mortgage Loan Trust 2005-AR23
Series 2005-AR23
Rating
------
Class CUSIP To From
----- ----- -- ----
3-A-1 45660LF53 D (sf) CCC (sf)
RAMP Series 2005-RZ4 Trust
Series 2005-RZ4
Rating
------
Class CUSIP To From
----- ----- -- ----
A-2 76112BM72 AAA/Watch Neg (sf) AAA (sf)
A-3 76112BM80 AAA/Watch Neg (sf) AAA (sf)
M-1 76112BM98 AA+/Watch Neg (sf) AA+ (sf)
M-2 76112BN22 BBB/Watch Neg (sf) BBB (sf)
M-3 76112BN30 BB/Watch Neg (sf) BB (sf)
M-4 76112BN48 B/Watch Neg (sf) B (sf)
M-5 76112BN55 D (sf) B- (sf)
Salomon Brothers Mortgage Securities VII Inc.
Series 1994- 5
Rating
------
Class CUSIP To From
----- ----- -- ----
B-1 79548KLA4 B/Watch Neg (sf) B (sf)
B-2 79548KLB2 D (sf) B (sf)
* S&P Puts Rating on 20 Tranches From 20 Corporate-Backed CDOs
--------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 20
tranches from 20 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 and eight tranches from six
synthetic CDO transactions backed by commercial mortgage-backed
securities on CreditWatch negative. In addition, S&P placed its
rating on one tranche from one synthetic CDO transaction backed by
residential mortgage-backed securities on CreditWatch negative.
Finally, S&P affirmed four ratings from four corporate-backed
synthetic CDO transactions and removed three of them from
CreditWatch negative. The CreditWatch placements and affirmations
followed its 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 January month-end
review. The affirmations reflect stability in the respective
portfolios and SROC ratio that stayed above 100% at the tranches'
current rating level.
Rating Actions
Aphex Capital NSCR 2006-2 Ltd.
Rating
------
Class To From
----- -- ----
B CCC+ (sf)/Watch Neg CCC+ (sf)
C CCC+ (sf)/Watch Neg CCC+ (sf)
D CCC+ (sf)/Watch Neg CCC+ (sf)
Athenee CDO PLC
JPY3.4 bil tranche B Hunter Valley CDO II floating-rate notes
due 30 June 2014 series 2007-6
Rating
------
Class To From
----- -- ----
Tranche B B+ (sf)/Watch Pos B+ (sf)
Athenee CDO PLC
EUR25 mil tranche B Hunter Valley CDO II floating rate notes due
June 30, 2014 series 2007-4
Rating
------
Class To From
----- -- ----
Tranche B B+ (sf)/Watch Pos B+ (sf)
Athenee CDO PLC
EUR40 mil tranche B Hunter Valley CDO II floating-rate notes due
30 June 2014 series 2007-14
Rating
------
Class To From
----- -- ----
Tranche B B+ (sf)/Watch Pos B+ (sf)
Calculus CMBS Resecuritization Trust Series 2006-8
Rating
------
Class To From
----- -- ----
TrustUnits B (sf)/Watch Neg B (sf)
Calculus CMBS Resecuritization Trust Series 2006-9
Rating
------
Class To From
----- -- ----
TrustUnits BB (sf)/Watch Neg BB (sf)
Corsair (Jersey) No. 4 Ltd.
Series 10
Rating
------
Class To From
----- -- ----
Notes CCC (sf)/Watch Pos CCC (sf)
Credit Default Swap
US$10 mil. Swap Risk Rating-Protection Buyer, CDS Reference
#CA1119131
Rating
------
Class To From
----- -- ----
Tranche Bsrb (sf)/Watch Pos Bsrb (sf)
Credit Default Swap
US$187.5 mil. Swap Risk Rating - Portfolio CDS Ref No.
PYR_8631051_82386545_Vizzavona
Rating
------
Class To From
----- -- ----
Swap BB-srp (sf)/Watch Pos BB-srp (sf)
Credit Default Swap
US$750 mil ZZRSS
971739CF
Rating
------
Class To From
----- -- ----
AAsrp (sf)/Watch Pos AAsrp (sf)
Credit Default Swap
US$950 mil Swap Risk Rating-Portfolio, CDS Reference # 06ML23332A
Rating
------
Class To From
----- -- ----
06ML23332A BBB+srp (sf)/Watch Neg BBB+srp (sf)
CypressTree Synthetic CDO Ltd.
2006-1
Rating
------
Class To From
----- -- ----
Notes BB+ (sf)/Watch Pos BB+ (sf)
Echo Funding Pty Ltd. Series 18
Rating
------
Class To From
----- -- ----
CCC- (sf)/Watch Pos CCC- (sf)
Infiniti SPC Ltd.
EUR8 mil, US$95 mil Aladdin Synthetic CDO 2006-1
Rating
------
Class To From
----- -- ----
A CCC- (sf) CCC- (sf)
Iridal Public Limited Co.
Series 2
Rating
------
Class To From
----- -- ----
Tranche B B (sf)/Watch Neg B (sf)
Jupiter Finance Ltd.
2007-002
Rating
------
Class To From
----- -- ----
Port CrLkd B+ (sf)/Watch Pos B+ (sf)
Morgan Stanley ACES SPC
2006-27
Rating
------
Class To From
----- -- ----
A B- (sf)/Watch Pos B- (sf)
Morgan Stanley ACES SPC
2006-33
Rating
------
Class To From
----- -- ----
E A- (sf)/Watch Pos A- (sf)
Morgan Stanley ACES SPC
2007-36
Rating
------
Class To From
----- -- ----
I BB+ (sf) BB+ (sf)/Watch Neg
Morgan Stanley ACES SPC
2008-6
Rating
------
Class To From
----- -- ----
A1 BB- (sf)/Watch Neg BB- (sf)
A2 BB- (sf)/Watch Neg BB- (sf)
Morgan Stanley ACES SPC
US$1 bil Morgan Stanley ACES SPC 2007-6
NF8BK
Rating
------
Class To From
----- -- ----
Notes BBB-srp (sf)/Watch Pos BBB-srp (sf)
Morgan Stanley ACES SPC
US$500 mil Morgan Stanley ACES SPC 2007-6
NF8T1
Rating
------
Class To From
----- -- ----
Notes BBB-srp (sf)/Watch Pos BBB-srp (sf)
Morgan Stanley ACES SPC
US$500 mil Morgan Stanley ACES SPC 2007-6
NF8BM
Rating
------
Class To From
----- -- ----
Notes BBB-srp (sf)/Watch Pos BBB-srp (sf)
Morgan Stanley ACES SPC
US$500 mil Morgan Stanley ACES SPC 2007-6
NF8T4
Rating
------
Class To From
----- -- ----
Notes BBB-srp (sf)/Watch Pos BBB-srp (sf)
Newport Waves CDO
Series 1
Rating
------
Class To From
----- -- ----
A3-$LMS CCC+ (sf) CCC+ (sf)/Watch Neg
Newport Waves CDO
Series 5
Rating
------
Class To From
----- -- ----
A3-$LMS B+ (sf) B+ (sf)/Watch Neg
North Street Referenced Linked Notes 2005-9 Ltd.
Rating
------
Class To From
----- -- ----
D BB+ (sf)/Watch Pos BB+ (sf)
North Street Referenced Linked Notes, 2003-5 Ltd.
Rating
------
Class To From
----- -- ----
B-2 AA+ (sf)/Watch Neg AA+ (sf)
REPACS Trust Series: Warwick
Rating
------
Class To From
----- -- ----
A Debt Uts BBB- (sf)/Watch Pos BBB- (sf)
Seawall SPC
US$50 mil Seawall SPC - Series 2006-2 (CMBS Synthetic Re-REMIC)
Rating
------
Class To From
----- -- ----
A BB- (sf)/Watch Neg BB- (sf)
SPGS SPC, acting for the account of MSC 2006-SRR2 Segregated
Portfolio
Rating
------
Class To From
----- -- ----
A-1 CCC (sf)/Watch Neg CCC (sf)
STARTS (Cayman) Ltd.
2007-9
Rating
------
Class To From
----- -- ----
Notes CCC (sf)/Watch Pos CCC (sf)
STEERS Credit Linked Trust, Bespoke Credit Tranche Series 2005-6
Rating
------
Class To From
----- -- ----
Trust Cert CCC- (sf)/Watch Pos CCC- (sf)
* S&P Puts Ratings on 133 Tranches From 36 CDO Transactions
-----------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 133
tranches from 36 U.S. collateralized debt obligation transactions
on CreditWatch with positive implications. At the same time, S&P
placed its ratings on 76 tranches from 25 U.S. CDO transactions on
CreditWatch with negative implications.
The ratings on all but one of the tranches being placed on
CreditWatch positive are on CDO transactions backed by securities
issued by corporate obligors. S&P placed its rating on one
mezzanine structured finance CDO on CreditWatch positive due to
the significant paydown of the notes since its last rating action.
The issuance amount of the tranches with ratings placed on
CreditWatch positive is $10.486 billion.
Most of the CreditWatch positive placements on the CLOs follow
continued improvement in the credit quality of the obligors whose
loans collateralize the rated notes. Some of the transactions
have also benefited from the continued paydown of the notes in the
capital structure.
As a result of these improvements, S&P believes that the tranches
S&P placed on CreditWatch with positive implications may be able
to support ratings higher than those currently assigned. S&P also
placed its ratings on 76 tranches from 25 deals on CreditWatch
with negative implications due to deterioration in the credit
quality of the portfolio. Of the 25 transactions S&P placed on
CreditWatch negative, 11 are CDOs backed by commercial mortgage-
backed securities, 11 are mezzanine structured finance CDOs of
asset-backed securities, which are collateralized in large part by
mezzanine tranches of U.S. RMBS and other SF securities, and three
are investment-grade SF CDOs of ABS, which were collateralized at
origination primarily by 'AAA' through 'A' rated tranches of U.S.
RMBS and other SF securities. S&P placed these ratings on
CreditWatch with negative implications to reflect the
deterioration in the credit quality of the securities that these
transactions are holding and in some instances the increase in the
level of defaulted assets. The issuance amount of the tranches
with ratings placed on CreditWatch negative is $8.769 billion
S&P will resolve the CreditWatch placements after S&P completes a
comprehensive cash flow analysis and committee review for each of
the affected transactions. S&P expects to resolve these
CreditWatch placements within 90 days. S&P will continue to
monitor the CDO transactions S&P rate and take rating actions,
including CreditWatch placements, as S&P deems appropriate.
Ratings Placed On Creditwatch Positive
Aberdeen Loan Funding Ltd.
Rating
------
Class To From
----- -- ----
A A+ (sf)/Watch Pos A+ (sf)
B A- (sf)/Watch Pos A- (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D B+ (sf)/Watch Pos B+ (sf)
AMMC CLO IV Ltd.
Rating
------
Class To From
----- -- ----
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
AMMC CLO V Ltd.
Rating
------
Class To From
----- -- ----
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
Ares VIII CLO Ltd.
Rating
------
Class To From
----- -- ----
A-1 A AA (sf)/Watch Pos AA (sf)
A-1 B AA (sf)/Watch Pos AA (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA (sf)/Watch Pos AA (sf)
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
Atrium V
Rating
------
Class To From
----- -- ----
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2b A+ (sf)/Watch Pos A+ (sf)
A-3a AA+ (sf)/Watch Pos AA+ (sf)
A-3b A+ (sf)/Watch Pos A+ (sf)
A-4 A- (sf)/Watch Pos A- (sf)
B BB+ (sf)/Watch Pos BB+ (sf)
C BB (sf)/Watch Pos BB (sf)
D B+ (sf)/Watch Pos B+ (sf)
Babson CLO Ltd. 2005-III
Rating
------
Class To From
----- -- ----
A AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Black Diamond International Funding Ltd.
Rating
------
Class To From
----- -- ----
2005-A MTN AA+ (sf)/Watch Pos AA+ (sf)
Sr VFN AA+ (sf)/Watch Pos AA+ (sf)
BlackRock Senior Income Series V Ltd.
Rating
------
Class To From
----- -- ----
A-1 A+ (sf)/Watch Pos A+ (sf)
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b A+ (sf)/Watch Pos A+ (sf)
A-3 A+ (sf)/Watch Pos A+ (sf)
B A- (sf)/Watch Pos A- (sf)
Centurion CDO III Ltd.
Rating
------
Class To From
----- -- ----
II AA (sf)/Watch Pos AA (sf)
Chatham Light II CLO Ltd.
Rating
------
Class To From
----- -- ----
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB (sf)/Watch Pos BB (sf)
CSAM Funding III
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
Dryden IX - Senior Loan Fund 2005 PLC
Rating
------
Class To From
----- -- ----
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
B-3 A- (sf)/Watch Pos A- (sf)
Eaton Vance CDO VIII Ltd.
Rating
------
Class To From
----- -- ----
A AA (sf)/Watch Pos AA (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
Emporia Preferred Funding II Ltd.
Rating
------
Class To From
----- -- ----
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Galaxy X CLO Ltd.
Rating
------
Class To From
----- -- ----
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
Gleneagles CLO Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B A (sf)/Watch Pos A (sf)
Grayson CDO Ltd.
Rating
------
Class To From
----- -- ----
A-1b A+ (sf)/Watch Pos A+ (sf)
A-2 A- (sf)/Watch Pos A- (sf)
B B+ (sf)/Watch Pos B+ (sf)
Greenbriar CLO Ltd.
Rating
------
Class To From
----- -- ----
A A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
GSC Partners CDO Fund V Ltd.
Rating
------
Class To From
----- -- ----
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
Halcyon Structured Asset Management Long Secured/Short Unsecured
CLO 2006-1 Ltd
Rating
------
Class To From
----- -- ----
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
Hamlet II Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
Jersey Street CLO Ltd.
Rating
------
Class To From
----- -- ----
C BBB (sf)/Watch Pos BBB (sf)
D BB- (sf)/Watch Pos BB- (sf)
Latitude CLO III Ltd.
Rating
------
Class To From
----- -- ----
A AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
Limerock CLO I
Rating
------
Class To From
----- -- ----
A-1 AA- (sf)/Watch Pos AA- (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
A-3a AA+ (sf)/Watch Pos AA+ (sf)
A-3b AA- (sf)/Watch Pos AA- (sf)
A-4 A (sf)/Watch Pos A (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
Marquette Park CLO Ltd.
Rating
------
Class To From
----- -- ----
A AA (sf)/Watch Pos AA (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
Marquette US/European CLO PLC
Rating
------
Class To From
----- -- ----
A-1B A+ (sf)/Watch Pos A+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D-1 B+ (sf)/Watch Pos B+ (sf)
D-2 B+ (sf)/Watch Pos B+ (sf)
Morgan Stanley Investment Management Croton Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B (Floating) AA- (sf)/Watch Pos AA- (sf)
B (Fixed) AA- (sf)/Watch Pos AA- (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D CCC- (sf)/Watch Pos CCC- (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Mountain View Funding CLO 2006-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA- (sf)/Watch Pos AA- (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B-1 A- (sf)/Watch Pos A- (sf)
B-2 A- (sf)/Watch Pos A- (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
E CCC- (sf)/Watch Pos CCC- (sf)
Navigare Funding I CLO Ltd.
Rating
------
Class To From
----- -- ----
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
Navigator CDO 2003 Ltd.
Rating
------
Class To From
----- -- ----
B AA- (sf)/Watch Pos AA- (sf)
C-1 B+ (sf)/Watch Pos B+ (sf)
C-2 B+ (sf)/Watch Pos B+ (sf)
Phoenix CDO II Ltd.
Rating
------
Class To From
----- -- ----
A AA (sf)/Watch Pos AA (sf)
Portola CLO Ltd.
Rating
------
Class To From
----- -- ----
A AA+ (sf)/Watch Pos AA+ (sf)
B-1 A+ (sf)/Watch Pos A+ (sf)
B-2 A+ (sf)/Watch Pos A+ (sf)
Rosedale CLO II Ltd.
Rating
------
Class To From
----- -- ----
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Sands Point Funding Ltd.
Rating
------
Class To From
----- -- ----
B A+ (sf)/Watch Pos A+ (sf)
C Deferrable BBB+ (sf)/Watch Pos BBB+ (sf)
Stone Tower CLO II Ltd.
Rating
------
Class To From
----- -- ----
B AA (sf)/Watch Pos AA (sf)
C BBB (sf)/Watch Pos BBB (sf)
D B+ (sf)/Watch Pos B+ (sf)
Westwood CDO II Ltd.
Rating
------
Class To From
----- -- ----
A-1 AA- (sf)/Watch Pos AA- (sf)
A-2 A- (sf)/Watch Pos A- (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C B+ (sf)/Watch Pos B+ (sf)
Ratings Placed On Creditwatch Negative
Acacia CDO 6 Ltd.
Rating
------
Class To From
----- -- ----
A-1 B- (sf)/Watch Neg B- (sf)
Anthracite CDO II Ltd.
Rating
------
Class To From
----- -- ----
F BB+ (sf)/Watch Neg BB+ (sf)
G BB (sf)/Watch Neg BB (sf)
Commodore CDO IV Ltd.
Rating
------
Class To From
----- -- ----
A-1(a)-F BB+ (sf)/Watch Neg BB+ (sf)
A-1(a)-U BB+ (sf)/Watch Neg BB+ (sf)
A-1(b) CCC (sf)/Watch Neg CCC (sf)
Crest 2002-1 Ltd.
Rating
------
Class To From
----- -- ----
B-1 A+ (sf)/Watch Neg A+ (sf)
B-2 A+ (sf)/Watch Neg A+ (sf)
C BB+ (sf)/Watch Neg BB+ (sf)
Preferred shares B (sf)/Watch Neg B (sf)
Crest Clarendon Street 2002-1 Ltd.
Rating
------
Class To From
----- -- ----
C BBB- (sf)/Watch Neg BBB- (sf)
D B+ (sf)/Watch Neg B+ (sf)
Crest G-Star 2001-1 L.P.
Rating
------
Class To From
----- -- ----
A AA+ (sf)/Watch Neg AA+ (sf)
B-1 B (sf)/Watch Neg B (sf)
B-2 B (sf)/Watch Neg B (sf)
Crystal River CDO 2005-1 Ltd.
Rating
------
Class To From
----- -- ----
B CCC (sf)/Watch Neg CCC (sf)
C CCC- (sf)/Watch Neg CCC- (sf)
Davis Square Funding II Ltd.
Rating
------
Class To From
----- -- ----
A-1LT-a CCC+ (sf)/Watch Neg CCC+ (sf)
A-1LT-b CCC+ (sf)/Watch Neg CCC+ (sf)
A-1LT-c CCC+ (sf)/Watch Neg CCC+ (sf)
A-1LT-d CCC+ (sf)/Watch Neg CCC+ (sf)
A-1LT-e CCC+ (sf)/Watch Neg CCC+ (sf)
A-1LT-f CCC+ (sf)/Watch Neg CCC+ (sf)
Dawn CDO I Ltd.
Rating
------
Class To From
----- -- ----
A CCC (sf)/Watch Neg CCC (sf)
Dillon Read CMBS CDO 2006-1 Ltd.
Rating
------
Class To From
----- -- ----
A1 CCC (sf)/Watch Neg CCC (sf)
A2 CCC- (sf)/Watch Neg CCC- (sf)
A-SIVF B+ (sf)/Watch Neg B+ (sf)
Diversified Asset Securitization Holdings II L.P.
Rating
------
Class To From
----- -- ----
A-1 A (sf)/Watch Neg A (sf)
A-1L A (sf)/Watch Neg A (sf)
Fairfield Street Solar 2004-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1 A (sf)/Watch Neg A (sf)
A-2b A (sf)/Watch Neg A (sf)
B-1 BBB (sf)/Watch Neg BBB (sf)
B-2 BBB (sf)/Watch Neg BBB (sf)
C-1 BBB- (sf)/Watch Neg BBB- (sf)
C-2 BBB- (sf)/Watch Neg BBB- (sf)
D-1 BB+ (sf)/Watch Neg BB+ (sf)
D-2 BB+ (sf)/Watch Neg BB+ (sf)
E-1 B+ (sf)/Watch Neg B+ (sf)
E-2 B+ (sf)/Watch Neg B+ (sf)
F CCC+ (sf)/Watch Neg CCC+ (sf)
Gemstone CDO II Ltd.
Rating
------
Class To From
----- -- ----
A-1 B- (sf)/Watch Neg B- (sf)
A-2 CCC (sf)/Watch Neg CCC (sf)
A-3 CCC (sf)/Watch Neg CCC (sf)
B CCC- (sf)/Watch Neg CCC- (sf)
Helios Series I Multi Asset CBO Ltd.
Rating
------
Class To From
----- -- ----
A BB+ (sf)/Watch Neg BB+ (sf)
B CCC+ (sf)/Watch Neg CCC+ (sf)
Lakeside CDO II Ltd.
Rating
------
Class To From
----- -- ----
A-1 BB+ (sf)/Watch Neg BB+ (sf)
Mercury CDO 2004-1 Ltd.
Rating
------
Class To From
----- -- ----
A-1NV BB- (sf)/Watch Neg BB- (sf)
A-1VA BB- (sf)/Watch Neg BB- (sf)
A-1VB BB- (sf)/Watch Neg BB- (sf)
Newcastle CDO V Ltd.
Rating
------
Class To From
----- -- ----
II-FL Def BBB (sf)/Watch Neg BBB (sf)
Newcastle CDO VI Ltd.
Rating
------
Class To From
----- -- ----
I-B BB+ (sf)/Watch Neg BB+ (sf)
IMMLT A- (sf)/Watch Neg A- (sf)
N-Star Real Estate CDO V Ltd.
Rating
------
Class To From
----- -- ----
A-1 A+ (sf)/Watch Neg A+ (sf)
A-2 A- (sf)/Watch Neg A- (sf)
B BBB (sf)/Watch Neg BBB (sf)
C BB+ (sf)/Watch Neg BB+ (sf)
D B+ (sf)/Watch Neg B+ (sf)
E B (sf)/Watch Neg B (sf)
F CCC+ (sf)/Watch Neg CCC+ (sf)
N-Star Real Estate CDO VII Ltd.
Rating
------
Class To From
----- -- ----
C BBB- (sf)/Watch Neg BBB- (sf)
D-FL BB- (sf)/Watch Neg BB- (sf)
D-FX BB- (sf)/Watch Neg BB- (sf)
E B- (sf)/Watch Neg B- (sf)
Palisades CDO Ltd.
Rating
------
Class To From
----- -- ----
A-1A BB (sf)/Watch Neg BB (sf)
A-1B BB (sf)/Watch Neg BB (sf)
A-2 CCC- (sf)/Watch Neg CCC- (sf)
Parkridge Lane Structured Finance Special Opportunities CDO I Ltd.
Rating
------
Class To From
----- -- ----
B CCC+ (sf)/Watch Neg CCC+ (sf)
C CCC- (sf)/Watch Neg CCC- (sf)
D CCC- (sf)/Watch Neg CCC- (sf)
E CCC- (sf)/Watch Neg CCC- (sf)
Sorin Real Estate CDO I Ltd.
Rating
------
Class To From
----- -- ----
A-1 BB (sf)/Watch Neg BB (sf)
A-2 B (sf)/Watch Neg B (sf)
B B- (sf)/Watch Neg B- (sf)
Straits Global ABS CDO I Ltd.
Rating
------
Class To From
----- -- ----
A-1 BB- (sf)/Watch Neg BB- (sf)
Sunrise CDO I Ltd.
Rating
------
Class To From
----- -- ----
A CCC+ (sf)/Watch Neg CCC+ (sf)
* Moody's Reviews 'Ba2' Rating on The City of Salem's Bonds
-----------------------------------------------------------
Moody's Investors Service has placed under review for possible
downgrade the Ba2 rating with negative outlook for The City of
Salem's (NJ) $772,000 of outstanding General Obligation bonds and
the $19.5 million outstanding of the Salem County Improvement
Authority's City-Guaranteed Revenue Bonds (Finlaw State Office
Building Project), Series 2007.
Ratings Rationale
The Watchlist action is prompted by a lack of sufficient current
financial and operating information coupled with a larger draw
than expected on the Debt Service Reserve Fund for the purpose of
paying a portion of the interest due on the Salem County
Improvement Authority's $19.5 million (City of Salem Guaranteed)
Finlaw State Office Building Project, Series 2007 Revenue Bonds.
If Moody's does not obtain sufficient information within the next
60 days, Moody's will take appropriate rating action which could
include the withdrawal or lowering of the rating.
This action responds to continued pressures put on the city by the
responsibility for the Finlaw State Office Building Project, on
which the city has guaranteed debt service payments. The
project's debt service reserve fund has been needed to pay five
debt service payments since the bonds were sold in 2007. As a
result of these pressures, Moody's downgraded the city's general
obligation rating to Ba2 from Ba1 in September 2010, and to Ba1
from Baa3 in August 2009. Given that the city is obligated to pay
debt service on the bonds once the debt service fund is exhausted,
the additional draws on the reserve fund and lack of plans to
replenish utilized amounts further increase the likelihood that
the city's guarantee will be called upon. Moody's believes, given
the city's already narrow financial position, strained liquidity
position and limited tax base, that if this as yet contingent
liability were to become a full or partial liability, the city's
finances would be stressed to meet this additional burden.
Additionally, the city's currently average debt burden would grow
to very high levels.
What Could Change the Rating UP (removal of negative outlook):
-- Rebuilding the debt service reserve fund to its original size
of $1.8 million
-- Ceasing debt service reserve draws
-- A signed lease agreement that provides for sufficient
revenues to cover debt service
What Could Change the Rating Down
-- A further decline in debt service reserves
-- A decline in lease revenues
-- Increased financial operation pressures
Key Statistics:
-- 2008 Population: 5,661 (-3.3% since 2000)
-- 2009 Equalized Valuation: $267 million
-- 2009 Equalized Value Per Capita: $47,266
-- 1999 Per Capita Income (as % of NJ and US): $13,559 (50.2%
and 62.8%)
-- 1999 Median Family Income (as % of NY and US): $29,699 (45.4%
and 59.3%)
-- Overall Debt Burden (including SCIA debt): 13.6%
-- Payout of Principal (10 years; including SCIA debt): 14.6%
-- 2007 Current Fund Balance: $541,000 (8.54% of Current Fund
revenue)
-- 2008 Current Fund Balance: $823,000 (11% of Current Fund
revenue)
-- 2008 Current Fund Balance, net of deferred charges and school
tax deferrals: -$359,000 (-4.8% of Current Fund revenue)
-- Long-term City G.O. Debt Outstanding: $772,000
-- Improvement Authority City-Guaranteed Debt Outstanding: $19.5
million
-- Current size of Debt Service Reserve Fund: $855,000
* S&P Downgrades Ratings on 69 Classes of Certs. From Nine CMBS
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 69
classes of commercial mortgage pass-through certificates from nine
U.S. commercial mortgage-backed securities transactions due to
interest shortfalls.
The downgrades reflect current and potential interest shortfalls.
S&P lowered its ratings on 47 of these classes to 'D (sf)' because
S&P expects the interest shortfalls will continue. Of the 47
classes that S&P downgraded to 'D (sf)', 35 have had accumulated
interest shortfalls outstanding for two or more months. The
recurring interest shortfalls for the respective certificates are
primarily due to one or more of these factors:
* Appraisal subordinate entitlement reduction amounts in effect
for specially serviced loans;
* The lack of servicer advancing for loans where the servicer has
made nonrecoverable advance declarations;
* Special servicing fees; and
* Interest rate reductions or deferrals resulting from loan
modifications.
Standard & Poor's analysis primarily considered the ASER amounts
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 S&P's view, to cause recurring interest
shortfalls.
The servicer implements ARAs and resulting ASER amounts according
to 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 ASER amounts based
on ARAs calculated from MAI appraisals when deciding which classes
from the affected transactions to downgrade to 'D (sf)' because
ARAs based on a principal balance haircut are highly subject to
change, or even reversal, once the special servicer obtains the
MAI appraisals.
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt service advancing, the recovery of
previously made advances deemed nonrecoverable, or the failure to
advance trust expenses when nonrecoverable declarations have been
determined. Trust expenses may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses.
S&P details the 69 downgraded classes from the nine CMBS
transactions below.
Banc of America Commercial Mortgage Inc. Series 2000-2
S&P downgraded to 'D (sf)' the class J, K, L, and M certificates
from Banc of America Commercial Mortgage Inc.'s series 2000-2 due
to interest shortfalls resulting from ASER amounts related to
eight ($89.4 million, 72.3% of the pooled trust balance) of the 10
loans ($102.4 million, 82.9%) that are currently with the special
servicer, LNR Partners LLC, as well as special servicing fees.
S&P also downgraded class H to 'BB- (sf)' because S&P believes
that the interest shortfalls have reduced liquidity support
available to this class. As of the Feb. 15, 2011 trustee
remittance report, ARAs totaling $42.8 million were in effect for
nine loans. The total reported ASER amount was $273,382, and the
reported cumulative ASER amount was $1.81 million. Standard &
Poor's considered five of the ASER amounts, all of which were
based on MAI appraisals, as well as current special servicing
fees, in determining its rating actions. The reported monthly
interest shortfalls totaled $295,420 and have affected all of the
classes subordinate to and including class J. Classes J, K, L,
and M have had accumulated interest shortfalls outstanding between
two and 10 months, and S&P expects these shortfalls to remain
outstanding for the foreseeable future.
Banc of America Commercial Mortgage Inc. Series 2004-3
S&P downgraded the class G, H, J, K, L, and M certificates from
Banc of America Commercial Mortgage Inc.'s series 2004-3 due to
interest shortfalls resulting from ASER amounts related to two
($31.4 million, 3.8% of the pooled trust balance) of the six loans
($140.1 million, 16.9%) that are currently with the special
servicer, Midland Loan Services Inc., as well as special servicing
fees and interest not advanced. S&P also downgraded classes D, E,
and F because S&P believes that the interest shortfalls have
reduced liquidity support available to these classes. As of
the Feb. 10, 2011 trustee remittance report, ARAs totaling
$40.5 million were in effect for three loans. The total reported
ASER amount was $66,965, and the reported cumulative ASER amount
was $1.73 million. Standard & Poor's considered one ASER amount,
which was based on a MAI appraisal, as well as current special
servicing fees and interest not advanced ($100,986), in
determining its rating actions. The reported monthly interest
shortfalls totaled $257,259 and have affected all of the classes
subordinate to and including class G. Classes J, K, L, and M have
had accumulated interest shortfalls outstanding between four and
11 months, and S&P expects these shortfalls to remain outstanding
for the foreseeable future. Consequently, S&P lowered the ratings
on these classes to 'D (sf)'.
Banc of America Commercial Mortgage Inc. Series 2004-6
S&P downgraded the class H, J, K, L, M, N, and O certificates from
Banc of America Commercial Mortgage Inc.'s series 2004-6 due to
interest shortfalls resulting from ASER amounts related to the
four loans ($65.8 million, 8.5% of the pooled trust balance) that
are currently with the special servicer, Midland, as well as
special servicing fees. S&P also downgraded the class F and G
certificates because S&P believes the interest shortfalls have
reduced liquidity support available to these classes. As of
the Feb. 10, 2011 trustee remittance report, ARAs totaling
$30.0 million were in effect for four loans. The total reported
ASER amount was $147,823, and the reported cumulative ASER amount
was $454,306. Standard & Poor's considered two ASER amounts, all
of which were based on MAI appraisals, as well as current special
servicing fees, in determining its rating actions. The reported
monthly interest shortfalls totaled $161,995 and affected all of
the classes subordinate to and including class H. Classes L, M,
N, and O have had accumulated interest shortfalls outstanding for
two months, and S&P expects these shortfalls to remain outstanding
for the foreseeable future. Consequently, S&P downgraded these
classes to 'D (sf)'.
Banc of America Commercial Mortgage Trust 2006-5
S&P downgraded the class D, E, F, and G certificates from Banc
of America Commercial Mortgage Trust 2006-5 due to interest
shortfalls resulting from ASER amounts related to 10
($280.8 million, 13.2% of the pooled trust balance) of the 15
loans ($363.7 million, 17.1%) that are currently with the special
servicer, LNR, as well as special servicing fees. S&P also
downgraded the class B and C certificates because S&P believes the
interest shortfalls have reduced liquidity support available to
these classes. As of the Feb. 10, 2011 trustee remittance report,
ARAs totaling $108.8 million were in effect for 10 loans. The
total reported ASER amount was $564,830, and the reported
cumulative ASER amount was $4.29 million. Standard & Poor's
considered eight ASER amounts, all of which were based on MAI
appraisals, as well as current special servicing fees, in
determining its rating actions. The reported monthly interest
shortfalls totaled $660,050 and affected all of the classes
subordinate to and including class D. Although classes F and G
had accumulated interest shortfalls outstanding for one month, S&P
expects these shortfalls to remain outstanding for the foreseeable
future. Consequently, S&P downgraded these classes to 'D (sf)'.
Banc of America Commercial Mortgage Trust 2006-6
S&P downgraded to 'D (sf)' the class C, D, E, F, G, H, J, K, L, M,
N, and O certificates from Banc of America Commercial Mortgage
Trust 2006-6 due to interest shortfalls resulting from ASER
amounts related to four ($353.4 million, 14.7% of the pooled trust
balance) of the seven loans ($527.1 million, 21.9%) that are
currently with the special servicer, CWCapital Asset Management
LLC, as well as special servicing fees. S&P also downgraded the
class B certificate to 'CCC+ (sf)' because S&P believes this class
is susceptible to future interest shortfalls. As of the Feb. 10,
2011, trustee remittance report, ARAs totaling $185.9 million were
in effect for five loans. The total reported ASER amount was
$906,194, and the reported cumulative ASER amount was $2.29
million. Standard & Poor's considered three ASER amounts, all of
which were based on MAI appraisals, as well as current special
servicing fees, in determining its rating actions. The reported
monthly interest shortfalls totaled $1.05 million and affected all
of the classes subordinate to and including class C. Classes
subordinate to and including class C have had accumulated interest
shortfalls outstanding between one and seven months, and S&P
expects these shortfalls to remain outstanding for the foreseeable
future.
Banc of America Commercial Mortgage Trust 2007-3
S&P downgraded to 'D (sf)' the class H, J, K, L, and M
certificates from Banc of America Commercial Mortgage Trust
2007-3 due to interest shortfalls resulting from ASER amounts
related to nine ($162.3 million, 4.6% of the pooled trust
balance) of the 13 loans ($377.0 million, 10.8%) that are
currently with the special servicers, LNR and HELIOS AMC LLC,
as well as special servicing fees and interest rate modifications
on four loans: the Rockwood Ross Multifamily loan ($175.0 million,
5.0%), the Second & Seneca loan ($170.0 million, 4.9%), the Philly
Self Storage Portfolio loan ($27.1 million, 0.8%), and the Old
Peachtree Commons loan ($6.7 million, 0.2%). S&P also downgraded
the class G certificate to 'CCC+ (sf)' because S&P believes the
interest shortfalls have reduced liquidity support available to
this class. As of the Feb. 10, 2011, trustee remittance report,
ARAs totaling $88.7 million were in effect for 10 loans. The
total reported ASER amount was $448,430, and the reported
cumulative ASER amount was $4.73 million. Standard & Poor's
considered eight ASER amounts, all of which were based on MAI
appraisals, as well as current special servicing fees and the
interest rate reduction ($496,800) from the modification of the
four aforementioned loans, in determining its rating actions. The
reported monthly interest shortfalls totaled $1.07 million and
affected all of the classes subordinate to and including class H.
Classes H, J, K, L, and M have had accumulated interest shortfalls
outstanding between two and seven months, and S&P expects these
shortfalls to remain outstanding for the foreseeable futu re.
Banc of America Commercial Mortgage Trust 2007-4
S&P downgraded to 'D (sf)' the class K, L, M, N, O, P, and Q
certificates from Banc of America Commercial Mortgage Trust 2007-4
due to interest shortfalls resulting from ASER amounts related to
11 ($119.7 million, 5.4% of the pooled trust balance) of the 15
loans ($175.4 million, 8.0%) that are currently with the special
servicers, LNR and Midland, as well as special servicing fees.
S&P also downgraded the class J certificate to 'CCC- (sf)' because
S&P believes this class is susceptible to future interest
shortfalls. As of the Feb. 10, 2011 trustee remittance report,
ARAs totaling $90.9 million were in effect for 14 loans. The
total reported ASER amount, excluding an ASER recovery of $151,061
for the Manzanita Gate asset, was $299,350, and the reported
cumulative ASER amount was $2.71 million. Standard & Poor's
considered 10 ASER amounts, all of which were based on MAI
appraisals, as well as current special servicing fees, in
determining its rating actions. The reported monthly interest
shortfalls, excluding the aforementioned ASER recovery, totaled
$341,828. Accumulated interest shortfalls are outstanding on all
classes subordinate to and including class K. Classes subordinate
to and including class K have had accumulated interest shortfalls
outstanding between four and seven months, and S&P expects these
shortfalls to remain outstanding for the foreseeable future.
Banc of America Commercial Mortgage Trust 2007-5
S&P downgraded to 'D (sf)' the class K, L, M, and N certificates
from Banc of America Commercial Mortgage Trust 2007-5 due to
interest shortfalls resulting from ASER amounts related to eight
($98.6 million, 5.4% of the pooled trust balance) of the 12 loans
($188.9 million, 10.4%) that are currently with the special
servicer, C-III Asset Management LLC, as well as special servicing
fees. S&P also downgraded the class J certificate to 'CCC+ (sf)'
because S&P believes this class is susceptible to future interest
shortfalls. As of the Feb. 10, 2011, trustee remittance report,
ARAs totaling $41.3 million were in effect for 10 loans. The
total reported ASER amount was $221,762, and the reported
cumulative ASER amount was $2.98 million. Standard & Poor's
considered five ASER amounts, all of which were based on MAI
appraisals, as well as current special servicing fees, in
determining its rating actions. The reported monthly interest
shortfalls totaled $247,064 and affected all of the classes
subordinate to and including class K. Classes K, L, M, and N have
had accumulated interest shortfalls outstanding between two and
eight months, and S&P expects these shortfalls to remain
outstanding for the foreseeable future.
Banc of America Commercial Mortgage Trust 2008-1
S&P downgraded to 'D (sf)' the class M, N, O, P, and Q
certificates from Banc of America Commercial Mortgage Trust 2008-1
due to interest shortfalls resulting from ASER amounts related to
five ($44.8 million, 3.6% of the pooled trust balance) of the 11
loans ($126.1 million, 10.1%) that are currently with the special
servicer, CWCapital, as well as special servicing fees and
interest rate modification on the Cameron Brook Apartments loan.
S&P also downgraded the class J, K, and L certificates because S&P
believes these classes are susceptible to future interest
shortfalls. As of the Feb. 10, 2011, trustee remittance report,
ARAs totaling $16.6 million were in effect for five loans. The
total reported ASER amount was $93,368, and the reported
cumulative ASER amount was $122,095. Standard & Poor's considered
four ASER amounts, all of which were based on MAI appraisals, as
well as current special servicing fees and the interest rate
reduction ($31,194) from the modification of the Cameron Brook
Apartments loan, in determining its rating actions. Furthermore,
S&P's rating actions also considered additional ASER amounts,
likely to be in effect as early as the March 2011 trustee
remittance report for two assets with the special servicer, as
indicated by the master servicer, Bank of America N.A. The
reported monthly interest shortfalls totaled $151,786 and affected
all of the classes subordinate to and including class M. Although
classes M, N, O, P, and Q have had accumulated interest shortfalls
outstanding for one or two months, S&P expects these shortfalls to
continue and remain outstanding for the foreseeable future.
Ratings Lowered
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2000-2
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
H BB- (sf) BBB- (sf) 51.52 0 0
J D (sf) B- (sf) 23.62 125,118 166,359
K D (sf) CCC+ (sf) 19.12 32,441 75,521
L D (sf) CCC (sf) 13.72 38,929 116,786
M D (sf) CCC- (sf) 11.92 12,976 83,126
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-3
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
D BBB+ (sf) A (sf) 11.56 0 0
E BB+ (sf) BBB+ (sf) 10.17 0 0
F B- (sf) BBB- (sf) 8.25 0 0
G CCC- (sf) BB (sf) 6.86 2,265 2,265
H CCC- (sf) B+ (sf) 4.94 72,370 72,370
J D (sf) B- (sf) 4.42 18,418 37,507
K D (sf) CCC+ (sf) 3.72 24,557 121,864
L D (sf) CCC- (sf) 3.03 24,557 184,975
M D (sf) CCC- (sf) 2.51 18,418 196,032
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-6
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
F BB+ (sf) BBB+ (sf) 8.32 0 0
G B+ (sf) BBB (sf) 7.08 0 0
H CCC (sf) BB+ (sf) 5.37 1,751 1,751
J CCC- (sf) BB (sf) 4.59 23,194 34,167
K CCC- (sf) BB- (sf) 3.97 18,554 37,108
L D (sf) B+ (sf) 3.35 18,554 37,108
M D (sf) B+ (sf) 2.88 13,915 27,829
N D (sf) B (sf) 2.42 13,915 27,829
O D (sf) B- (sf) 1.79 18,554 37,108
Banc of America Commercial Mortgage Trust 2006-5
Commercial mortgage pass-through certificates
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
B BB+ (sf) BBB- (sf) 8.53 0 0
C B+ (sf) BB+ (sf) 7.35 0 0
D CCC- (sf) BB (sf) 6.03 44,197 44,197
E CCC- (sf) CCC+ (sf) 4.98 106,837 106,837
F D (sf) CCC- (sf) 3.66 137,681 137,681
G D (sf) CCC- (sf) 2.74 96,188 96,188
Banc of America Commercial Mortgage Trust 2006-6
Commercial mortgage pass-through certificates
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
B CCC+ (sf) BB- (sf) 9.89 0 0
C D (sf) B+ (sf) 8.87 74,680 74,680
D D (sf) B (sf) 7.59 142,348 142,348
E D (sf) B (sf) 6.31 144,113 144,113
F D (sf) B- (sf) 5.15 132,868 132,868
G D (sf) B- (sf) 4.00 133,130 133,130
H D (sf) CCC+ (sf) 2.72 149,770 149,770
J D (sf) CCC (sf) 2.47 26,123 26,123
K D (sf) CCC (sf) 2.08 39,186 114,941
L D (sf) CCC (sf) 1.70 39,191 215,378
M D (sf) CCC (sf) 1.57 13,064 91,445
N D (sf) CCC- (sf) 1.18 39,186 274,305
O D (sf) CCC- (sf) 0.80 39,186 274,305
Banc of America Commercial Mortgage Trust 2007-3
Commercial mortgage pass-through certificates
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
G CCC+ (sf) B- (sf) 7.41 0 0
H D (sf) B- (sf) 6.03 92,263 165,991
J D (sf) B- (sf) 5.02 165,757 455,236
K D (sf) CCC+ (sf) 3.77 207,201 1,197,815
L D (sf) CCC (sf) 3.01 120,871 846,095
M D (sf) CCC- (sf) 2.89 20,147 141,032
Banc of America Commercial Mortgage Trust 2007-4
Commercial mortgage pass-through certificates
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
J CCC- (sf) CCC+ (sf) 4.33 (29,976) 0
K D (sf) CCC (sf) 3.44 (77,684) 153,432
L D (sf) CCC- (sf) 2.81 55,025 220,099
M D (sf) CCC- (sf) 2.55 22,010 113,842
N D (sf) CCC- (sf) 2.30 22,014 154,097
O D (sf) CCC- (sf) 2.04 22,010 154,069
P D (sf) CCC- (sf) 1.79 22,010 154,069
Q D (sf) CCC- (sf) 1.54 22,014 154,097
Banc of America Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
J CCC+ (sf) B- (sf) 4.38 0 0
K D (sf) B- (sf) 3.36 15,255 42,269
L D (sf) B- (sf) 2.72 44,054 88,107
M D (sf) CCC- (sf) 2.34 26,430 105,554
N D (sf) CCC- (sf) 2.08 17,620 137,641
Banc of America Commercial Mortgage Trust 2008-1
Commercial mortgage pass-through certificates
Reported
Rating Interest Shortfalls
------ -------------------
Class To From Credit enhancement Current Accumulated
----- -- ---- ------------------ ------- -----------
J CCC+ (sf) B (sf) 5.20 0 0
K CCC- (sf) B (sf) 4.06 0 0
L CCC- (sf) B- (sf) 3.17 0 0
M D (sf) B- (sf) 2.79 17,070 17,070
N D (sf) B- (sf) 2.28 24,509 24,509
O D (sf) B- (sf) 2.03 12,254 12,254
P D (sf) CCC+ (sf) 1.65 18,381 30,583
Q D (sf) CCC (sf) 1.39 12,254 63,705
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com by e-mail.
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases by individuals and business entities estimating
assets and debts or disclosing assets and liabilities at less than
$1,000,000. The list includes links to freely downloadable images
of the small-dollar business-related petitions in Acrobat PDF
format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Howard
C. Tolentino, Joseph Medel C. Martirez, Denise Marie Varquez,
Philline Reluya, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
Patalinghug, and Peter A. Chapman, Editors.
Copyright 2011. All rights reserved. ISSN: 1520-9474.
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