/raid1/www/Hosts/bankrupt/TCR_Public/110529.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, May 29, 2011, Vol. 15, No. 147
Headlines
AAA TRUST: Moody's Downgrades $1.1 Billion of Resecuritized RMBS
AAMES MORTGAGE: Moody's Downgrades Ratings of 85 Tranches
ABACUS 2006-17: S&P Lowers Ratings on 9 Classes to 'CC'
AIRPLANES PASS-THROUGH TRUST: Fitch Affirms 4 Classes
ALLIED IRISH BANKS: Fitch Downgrades Calculus CMBS 2007-3
ALTERNATIVE LOAN: S&P Lowers Ratings on 4 Classes to 'CCC'
ALTIUS III: S&P Retains 'CCC-' Rating on Class A-1b-1F
AMMC CLO: S&P Raises Rating on Class D Notes From 'CCC-' to 'B+'
ANTHRACITE CDO: S&P Lowers Ratings on 3 Classes of Notes to'CC'
ARCAP 2004-1: Moody's Downgrades Six CRE CDO Classes
ASSET BACKED: Moody's Cuts Down Ratings of Six Tranches
ASSET SECURITIZATION: Fitch Takes Various Rating Actions
AVISTA CAPITAL II: Fitch Affirms, Withdraws 'BB+' Rating
BABSON CLO: Moody's Upgrades Ratings of Notes
BEAR STEARNS: Moody's Acts on $13 million of Alt-A RMBS
BEAR STEARNS: Moody's Downgrades Ratings of 28 Tranches
BEAR STEARNS: Moody's Slashes Down Ratings of 65 Tranches
BEAR STEARNS: S&P Lowers Ratings on 2 Classes From 'CC' to 'D'
C-BASS CBO: S&P Affirms Ratings on 2 Classes of Notes at 'BB'
C-BASS MORTGAGE: Moody's Downgrades Ratings of Nine Tranches
CD 2005-CD1: S&P Lowers Ratings on 3 Classes of Certs. to 'D'
CD 2006-CD2: Moody's Affirms 27 CMBS Classes of Notes
CELERITY CLO: Moody's Upgrades Ratings of Four Classes of Notes
CHAMPLAIN CLO: Moody's upgrades Ratings of 7 Classes of Notes
CHARTWEL CBO: Moody's Upgrades Class B Notes Rating to 'Ba2'
CHL MORTGAGE: Moody's Downgrades Ratings of 41 Tranches
CITIGROUP MORTGAGE: Moody's Downgrades Ratings of Five Tranches
COMM'L MORTGAGE: Moody's Affirms 11 CMBS Classes of CMAT 1999-C1
COUNTRYWIDE HOME: Moody's Downgraded Ratings of 17 Tranches
CREDIT SUISSE: Moody's Downgrades $81 Mil. of Scratch & Dent RMBS
CREDIT SUISSE: S&P Cuts Rating on Class G Certs. to 'D' on Losses
CREDIT SUISSE: S&P Lowers Rating on Class VI-M-2 Notes to 'D'
CREST 2003-2: S&P Lowers Ratings on 2 Classes of Notes to 'CCC-'
CREST CLARENDON: S&P Lowers Rating on Class D Notes to 'CCC+'
CREST DARTMOUTH: Fitch Ratings Affirms Five Classes
CREST DARTMOUTH: S&P Affirms Rating on Class D Notes at 'CCC+'
CS FIRST: Moody's Reviews Two CMBS Classes of CSFB 2001-CF2
CS FIRST: Moody's Upgrades Three; Affirms Seven Classes of Notes
CSFB COMM'L: Moody's Affirms Ratings of 15 CMBS Classes
CSFB MORTGAGE: Moody's Affirms 23 CMBS Classes of CSFB 2003-C3
CSFB MORTGAGE: Moody's Downgrades Ratings of $63 Million RMBS
CSMC SERIES: S&P Lowers Rating on Class 5-A-3 Re-REMIC to 'CCC'
CSMC SERIES: S&P Lowers Rating on Class 5-A5 to 'CC'
DEUTSCHE MORTGAGE: S&P Lowers Ratings on 3 Classes to 'BB'
DIVERSIFIED ASSET: Moody's Ups Ratings on Classes From 'Ba1'
DIVERSIFIED ASSET: Moody's Upgrades Ratings of Two Note Classes
DT AUTO: S&P Assigns Ratings on 4 Classes of Notes
EASTMAN HILL: Fitch Ratings Maintains 3 Classes on RWE
EATON VANCE: S&P Affirms Rating on Class D Notes at 'BB'
EMPORIA PREFERRED: S&P Affirms Rating on Class E Notes at 'CCC+'
FIRST FRANKLIN: Moody's Downgrades $64.9 Million of Subprime RMBS
FMA CBO: S&P Lowers Rating on Class B Notes to 'D'
FORT DEARBORN: S&P Lowers Ratings on 3 Classes of Notes to 'D'
G-STAR 2002-1: S&P Affirms Rating on Class C Notes at 'CCC-'
GEM VIII: S&P Affirms Ratings on 2 Classes of Notes at 'BB'
GFCM LLC: Moody's Affirms Ratings of Ten CMBS Classes
GLACIER FUNDING: Moody's Upgrades Ratings of One Class Of Notes
GMAC COMM'L: Moody's Affirms 19 CMBS Classes of GMAC 2003-C1
GMAC COMMERCIAL: S&P Lowers Rating on Class L Certs. to 'D'
GMACM MORTGAGE: Moody's Downgrades Ratings of 83 Tranches
GREENBRIAR CLO: Moody's Upgrades Classes D and E Ratings
GS MORTGAGE: Moody's Affirms 8 CMBS Classes of GSMSC II 2010-C1
GS MORTGAGE: Moody's Downgrades One & Affirms 11 CRE CDO Classes
GSAMP TRUST: Moody's Acts on $199 Million of Scratch and Dent RMBS
GSRPM MORTGAGE: Moody's Downgrades Ratings of Four Tranches
GTP TOWERS: Fitch Affirms Global Tower Series 2010-1
GULF STREAM: Moody's Upgrades the Ratings of CLO Notes
HALCYON 2005-2: Fitch Affirms 3 Classes, Revises LS Rating
HOUT BAY: S&P Affirms Ratings on Six Classes of Notes at 'CC'
INCAPS FUNDING: S&P Lowers Ratings on 2 Classes of Notes to 'CCC-'
INDEPENDENCE II CDO: Fitch Ratings Affirms 2 Classes
ING IM: S&P Gives 'BB' Rating on Class D Floating-Rate Notes
JP MORGAN: Moody's Affirms 14 CMBS Classes of JPMC 2002-C1
JP MORGAN: Moody's Affirms 16 CMBS Classes of JPMCC 2003-CIBC7
JP MORGAN: Moody's Affirms Ratings on 24 CMBS Classes of Notes
JP MORGAN: Moody's Downgrades Four and Affirms 14 CMBS Classes
JPMORGAN CHASE: Fitch Upgrades 3, Affirms 11 Classes
KATONAH X CLO: Moody's Upgrades Ratings of Notes
LANDMARK III: Moody's Upgrades Ratings of CLO Notes
LB COMMERCIAL: Moody's Upgrades One & Affirms 7 CMBS Classes
LITTLEFIELD: Fitch Ratings Affirms COs Series 1997 at 'BB+'
MADISON PARK: S&P Rates Class E Floating-Rate Notes 'BB'
MASTR SPECIALIZED: Moody's Downgrades Ratings of Two Tranches
MERRILL LYNCH: Moody's Affirms 18 CMBS Classes of MLMT 2005-MCP1
MERRILL LYNCH: S&P Lowers Ratings on Four Classes of Certs. to 'D'
MIURA: Fitch Downgrades 2 Classes of Miura Trust 2004-1
ML-CFC COMMERCIAL: S&P Cuts Ratings on 6 Classes to 'D'
MONUMENT PARK: Moody's Upgrades Ratings of CLO Notes
MORGAN STANLEY: Fitch Downgrades Rating on 1 Class to 'Csf/RR2'
MORGAN STANLEY: Fitch Downgrades Ratings on MSDW 2001-Top3
MORGAN STANLEY: Moody's Affirms 28 CMBS Classes of MSCI 2007-IQ14
MORGAN STANLEY: S&P Cuts Ratings on 5 Classes of Certs. to 'CCC-'
MSC 2006-SRR: Moody's Affirms All CRE CDO Classes of MSC 2006-SRR1
N-STAR REAL: S&P Lowers Rating on Class D Notes to 'CCC+'
NELNET STUDENT: Fitch Maintains Class B 'BBsf/LS3' on RWN
NYLIM STRATFORD: Fitch Affirms 4 Classes, Revises LS Rating
OCWEN RESIDENTIAL: Moody's Downgrades Ratings of Twelve Tranches
PACIFIC BAY: S&P Keeps 'D' Ratings on 2 Classes of Notes
PEGASUS AVIATION: Fitch Takes Various Actions on Trusts
PNC MORTGAGE: Moody's Downgrades Two & Affirms 15 CMBS Classes
PPLUS TRUST: Moody's Downgrades Ratings of Certificates
PPLUS TRUST: S&P Lowers Ratings on 2 Classes of Certs. to 'BB+'
PPT ABS: Moody's Downgrades $45 Million of Scratch and Dent RMBS
RESIDENTIAL REINSURANCE: S&P Cuts Rating on Class 2009-1 to 'B+'
RESIDENTIAL REINSURANCE: S&P Ups Rating on Class 5 Notes to 'B+'
RFC CDO: S&P Lowers Ratings on 2 Classes of Notes to 'CC'
ROSEDALE CLO: S&P Raises Rating on Class E Notes to 'B+'
SACO I INC: Moody's Withdraws Ratings of $1.8 Million RMBS
SAGE COLLEGES: Moody's Affirms B2 Rating; Outlook Remains Negative
SALOMON BROTHERS: Moody's Affirms 16 CMBS Classes of SBM7 2001-C2
SALOMON BROTHERS: Moody's Downgrades Rating of One Tranche
SALOMON BROTHERS: Moody's Upgrades 11 & Affirms Four CMBS
SANTADER DRIVE: S&P Keeps 'BB' Rating on Class E Notes
SARGAS CLO II: Moody's Upgrades Ratings of Three Classes of Notes
SASCO 2007-BHC 1: Moody's Downgrades One CRE CDO Class
SASCO 2008-C2: Moody's Withdraws Rating of One CRE CDO Class
SATURN VENTURES: S&P Affirms Ratings on 2 Classes of ABS at 'CC'
SATURNS TRUST: S&P Raises Ratings on 2 Classes of Units From 'BB+'
SFA CABS II: Fitch Affirms 2 Classes; Revises LS Rating
SLM STUDENT LOAN: Fitch Affirms 'BBsf' Rating on Class B Notes
SLM STUDENT LOAN: Fitch Affirms Subordinate Notes at 'BBsf'
SOLAR TRUST: DBRS Confirms Class J at 'BB'
SPRING ASSET: Moody's Withdraws Ratings of Eleven CRE CDO Classes
STONY HILL: Moody's Downgrades Classes B-1 & B-2 Ratings
STRUCTURED ASSET: Moody's Downgrades Ratings of 12 Tranches
STRUCTED RECEIVABLES: S&P Lowers Rating on Certificates to 'D'
TERWIN MORTGAGE: Moody's Withdraws ratings of $1.7 Million RMBS
TIAA REAL: S&P Affirms Rating on Class IV Notes at 'BB+'
TIAA SEASONED COMMERCIAL: Fitch Downgrades 14 Classes
TRIBUNE LTD: S&P Withdraws 'BB' Rating on Palm 2005SS Notes
WACHOVIA BANK: Moody's Affirms 17 CMBS Classes of WBCMT 2003-C8
WAMU MORTGAGE: Moody's Downgrades $159.3 Mil. of Alt A RMBS
WASHINGTON MUTUAL: S&P Ups Ratings on 2 Classes of Certs. to 'CC'
WATERFRONT CLO: Moody's Upgrades Ratings of Three Notes
WILSHIRE FUNDING: Moody's Downgrades Ratings of 15 Tranches
* Fitch Places 25 Franchise Loan ABS Transactions on RWN
* S&P Cuts Ratings on 24 Classes to 'D' on Non-Payment of Interest
* S&P Lowers Ratings on 32 Classes to 'D' on Payment Defaults
* S&P Lowers Ratings on 585 Classes of Certs. to 'D' on Defaults
* S&P Takes Rating Actions on Classes on 55 RMBS Transactions
*********
AAA TRUST: Moody's Downgrades $1.1 Billion of Resecuritized RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 16
tranches issued by seven RMBS resecuritization transactions.
Ratings Rationale
The actions are a result of the bonds not having sufficient credit
enhancement to maintain the current ratings when compared to the
revised loss expectations on the pools of mortgages backing the
underlying certificates.
The principal methodology used in these ratings is described in
the "Surveillance Approach for Resecuritized transactions" section
in "Moody's Approach to Rating US Resecuritized Residential
Mortgage-Backed Securities" published in February 2011.
Moody's ratings on the resecuritization notes 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 principal methodology used in determining the underlying
ratings is described in the Monitoring and Performance Review
section in "Moody's Approach to Rating US Residential Mortgage-
Backed Securities" published in December 2008. For other
methodologies used for estimating losses on 2005-2008 vintage Alt-
A / Option Arm, Subprime, and Prime Jumbo pools, please refer to
the methodology publication " Alt-A RMBS Loss Projection Update:
February 2010", " Subprime RMBS Loss Projection Update: February
2010", and "Prime Jumbo RMBS Loss Projection Update: January
2010", available on Moodys.com . For other methodologies used for
estimating losses on pre-2005 vintage RMBS pools, please refer to
the methodology publication "Pre-2005 US RMBS Surveillance
Methodology" published in January 2011, available on Moodys.com.
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 a third
party due diligence report on the underlying assets or financial
instruments in this transaction and the due diligence report had a
neutral impact on the ratings.
Complete rating actions are:
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-5
-- Cl. A-1, Downgraded to Ca (sf); previously on Jan 29, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to C (sf); previously on Jan 29, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C (sf); previously on Jan 29, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Ca (sf); previously on Jan 29, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Structured Products Inc. Trust Notes, Series
2008-R2
-- Cl. I-A-1, Downgraded to Ca (sf); previously on Jan 29, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Residential Mortgage Securities Funding 2008-1, Ltd.
Notes, Downgraded to Caa3 (sf); previously on Jan 29, 2010 B3 (sf)
Placed Under Review for Possible Downgrade
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-4
-- Cl. A-1, Downgraded to Ba1 (sf); previously on Jan 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on Jan 13, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to C (sf); previously on Jan 13, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Ba1 (sf); previously on Jan 13, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: AAA Trust 2007-2
-- Cl. A-3, Downgraded to C (sf); previously on Mar 12, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. X, Downgraded to B2 (sf); previously on Jun 2, 2009
Downgraded to Ba3 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS1
-- Cl. A-1, Downgraded to Ca (sf); previously on Jan 29, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Ca (sf); previously on Jan 29, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS5
-- Cl. A-1, Downgraded to Caa2 (sf); previously on Jan 29, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-X, Downgraded to Caa2 (sf); previously on Jan 29, 2010
B2 (sf) Placed Under Review for Possible Downgrade
AAMES MORTGAGE: Moody's Downgrades Ratings of 85 Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 85
tranches, upgraded the rating of 1 tranche, and confirmed the
ratings of 3 tranches from 29 RMBS transactions. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable rate "scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: Aames Mortgage Investment Trust 2005-3
-- Cl. A1, Confirmed at Aaa (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A2, Downgraded to Aa2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A3, Downgraded to A1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M1, Downgraded to A3 (sf); previously on Aug 24, 2005
Assigned Aa2 (sf)
-- Cl. M2, Downgraded to Baa3 (sf); previously on Aug 24, 2005
Assigned A2 (sf)
-- Cl. M3, Downgraded to Ba1 (sf); previously on Aug 24, 2005
Assigned A3 (sf)
-- Cl. M4, Downgraded to Ba3 (sf); previously on Aug 24, 2005
Assigned Baa1 (sf)
-- Cl. M5, Downgraded to B1 (sf); previously on Aug 24, 2005
Assigned Baa2 (sf)
-- Cl. M6, Downgraded to B2 (sf); previously on Aug 24, 2005
Assigned Baa3 (sf)
Issuer: Aames Mortgage Trust 2002-2
-- Cl. A-1, Downgraded to A1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to A2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-
SD1
-- Cl. M-1, Downgraded to B3 (sf); previously on Mar 30, 2009
Downgraded to Ba3 (sf)
-- Cl. M-2, Downgraded to C (sf); previously on Mar 30, 2009
Downgraded to Ca (sf)
Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2002-X1
-- Cl. M-2, Downgraded to Caa3 (sf); previously on Mar 5, 2009
Downgraded to Caa1 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2003-X3
-- Cl. M3, Downgraded to B1 (sf); previously on Nov 17, 2003
Assigned Baa2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2003-X4
-- Cl. M-2, Downgraded to Caa3 (sf); previously on Nov 18, 2010
B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2004-X1
-- Cl. A, Downgraded to A1 (sf); previously on Apr 9, 2009
Upgraded to Aa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Underlying Rating: Downgraded to A1 (sf); previously on Apr 9,
2009 Upgraded to Aa2 (sf)
-- Cl. M-1, Downgraded to Ca (sf); previously on Mar 5, 2009
Downgraded to Caa2 (sf)
Issuer: Ameriquest Mortgage Securities Inc., Quest Trust 2004-X3
-- Cl. M-2, Downgraded to Baa1 (sf); previously on Nov 29, 2004
Assigned A2 (sf)
-- Cl. M-3, Downgraded to Ca (sf); previously on Mar 5, 2009
Downgraded to B1 (sf)
-- Cl. M-4, Downgraded to C (sf); previously on Mar 5, 2009
Downgraded to Ca (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2003-IA1
-- Cl. A-4, Confirmed at Aaa (sf); previously on Apr 8, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to Aa1 (sf); previously on Apr 8, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Confirmed at Aaa (sf); previously on Apr 8, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. MV-1, Downgraded to A1 (sf); previously on Apr 8, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. MF-1, Downgraded to A1 (sf); previously on Apr 8, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3 (sf); previously on Apr 8, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ba3 (sf); previously on Apr 8, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust 2006-SHL1
-- Cl. A, Downgraded to Baa1 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Mar 30, 2009
Downgraded to Ca (sf)
Issuer: EMC Mortgage Loan Trust 2003-B
-- Cl. A-1, Downgraded to A1 (sf); previously on Mar 30, 2009
Downgraded to Aa1 (sf)
Issuer: EMC Mortgage Loan Trust Pass-Through Certificates, Series
2001-A
-- Cl. A, Downgraded to Ba3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to C (sf); previously on Nov 18, 2010 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2003-SD1
-- Cl. A-1, Downgraded to Baa1 (sf); previously on Jul 30, 2003
Assigned Aaa (sf)
-- Cl. A-2, Downgraded to Baa1 (sf); previously on Jul 30, 2003
Assigned Aaa (sf)
-- Cl. M-1, Downgraded to Caa2 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca (sf); previously on Nov 18, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on Apr 24, 2009
Downgraded to Ca (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD1
-- Cl. A, Downgraded to A1 (sf); previously on Nov 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa1 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba2 (sf); previously on Nov 27, 2007
Downgraded to Baa1 (sf)
-- Cl. B, Downgraded to Ca (sf); previously on Nov 27, 2007
Downgraded to Caa1 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD2
-- Cl. A, Downgraded to Aa1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1 (sf); previously on Nov 27, 2007
Downgraded to Baa1 (sf)
-- Cl. B-1, Downgraded to Caa2 (sf); previously on Nov 27, 2007
Downgraded to B2 (sf)
-- Cl. B-2, Downgraded to Ca (sf); previously on Nov 27, 2007
Downgraded to Caa2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-SD3
-- Cl. A, Downgraded to Aa2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa3 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B3 (sf); previously on Nov 18, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on Nov 18, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on Nov 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Security National Mortgage Loan Trust 2002-2
-- Cl. M-1, Downgraded to Caa3 (sf); previously on May 7, 2009
Downgraded to B3 (sf)
Issuer: Security National Mortgage Loan Trust 2004-1
-- Cl. AF-3, Downgraded to B2 (sf); previously on Apr 8, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C (sf); previously on Apr 8, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Apr 8, 2010 Ca
(sf) Placed Under Review for Possible Downgrade
Issuer: Security National Mortgage Loan Trust 2004-2
-- Cl. AF-3, Downgraded to B2 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. AV, Downgraded to Ba3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on Nov 18, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Security National Mortgage Loan Trust 2005-1
-- Cl. AF-1, Downgraded to Aa2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. AF-2, Downgraded to A3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. AV, Downgraded to A3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba3 (sf); previously on Nov 18, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on Nov 18, 2010 B2
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on May 7, 2009
Downgraded to Ca (sf)
Issuer: Security National Mortgage Loan Trust 2005-2
-- Cl. A-3, Downgraded to B3 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Caa3 (sf); previously on May 7, 2009
Downgraded to Ba3 (sf)
-- Cl. M-1, Downgraded to C (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Security National Mortgage Loan Trust 2006-1
-- Cl. 1-A3, Downgraded to Caa3 (sf); previously on Nov 18,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A, Downgraded to Caa2 (sf); previously on Nov 18, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C (sf); previously on May 7, 2009
Downgraded to Ca (sf)
-- Cl. M-2, Downgraded to C (sf); previously on May 7, 2009
Downgraded to Ca (sf)
Issuer: Security National Mortgage Loan Trust 2006-2
-- Cl. M-1, Downgraded to C (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on May 7, 2009
Downgraded to Ca (sf)
Issuer: Security National Mortgage Loan Trust 2006-3
-- Cl. A-3, Downgraded to C (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Security National Mortgage Loan Trust 2007-1
-- Cl. 2-A, Downgraded to Caa2 (sf); previously on May 7, 2009
Downgraded to B3 (sf)
-- Cl. M-1, Downgraded to C (sf); previously on May 7, 2009
Downgraded to Ca (sf)
Issuer: Soundview Home Loan Trust 2003-1
-- Cl. M-3, Downgraded to Baa3 (sf); previously on Apr 8, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to B2 (sf); previously on Apr 8, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to Caa3 (sf); previously on Apr 8, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Truman Capital Mortgage Loan Trust 2002-1
-- Cl. M-1, Upgraded to A1 (sf); previously on Nov 22, 2005
Downgraded to A2 (sf)
-- Cl. M-2, Downgraded to Caa3 (sf); previously on Mar 10, 2006
Confirmed at Baa3 (sf)
Issuer: Truman Capital Mortgage Loan Trust 2002-2
-- Cl. M-2, Downgraded to Caa3 (sf); previously on Mar 30, 2009
Confirmed at B2 (sf)
Issuer: Yale Mortgage Loan Trust 2007-1
-- Cl. A, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
ABACUS 2006-17: S&P Lowers Ratings on 9 Classes to 'CC'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
tranches from one corporate-backed synthetic collateralized debt
obligation (CDO) transaction and nine ratings from one synthetic
CDO transaction backed by commercial mortgage-backed securities
(CMBS), and one rating from one synthetic retranching that is
directly linked to a CMBS tranche. "In addition, we placed our
ratings on 33 tranches from 27 corporate-backed synthetic CDO
transactions on CreditWatch positive. At the same time, we placed
our ratings on six tranches from three corporate-backed synthetic
CDO transactions and eight ratings on six synthetic CDO
transactions backed by CMBS on CreditWatch negative. In addition,
we affirmed our ratings on three tranches from three corporate-
backed synthetic CDOs. The rating actions followed our monthly
review of U.S. synthetic CDO transactions," S&P stated.
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 (SROC) ratios that had risen above 100% at
the next highest rating level. The CreditWatch negative placements
and downgrades reflect negative rating migration in the
respective portfolios and SROC ratios that had fallen below 100%
as of the March month-end run. The affirmations reflect stability
in the respective portfolios and SROC ratios that stayed above
100% at the tranches' current rating level.
Rating Actions
ABACUS 2006-17 Ltd
Rating
Class To From
H CC (sf) CCC- (sf)
J CC (sf) CCC- (sf)
K CC (sf) CCC- (sf)
L CC (sf) CCC- (sf)
M CC (sf) CCC- (sf)
N CC (sf) CCC- (sf)
O CC (sf) CCC- (sf)
P CC (sf) CCC- (sf)
Q CC (sf) CCC- (sf)
Alpha Financial Products Series 1
1
Rating
Class To From
Series 1 CCCp (sf)/Watch Pos CCCp (sf)
Aphex Capital NSCR 2007-5, Ltd.
2007-5
Rating
Class To From
A-2 CCC (sf)/Watch Neg CCC (sf)
Arch One Finance Ltd.
2005-5
Rating
Class To From
ABBA B (sf)/Watch Pos B (sf)
Calculus CMBS Resecuritization Trust Series 2007-1
2007-1
Rating
Class To From
Units CCC (sf)/Watch Neg CCC (sf)
Calculus CMBS Resecuritization Trust, Series 2007-2
2007-2
Rating
Class To From
V Units CCC (sf)/Watch Neg CCC (sf)
Castle Finance I Ltd
2
Rating
Class To From
Series 2 B+ (sf)/Watch Pos B+ (sf)
Credit and Repackaged Securities Limited
2006-4
Rating
Class To From
Notes B- (sf)/Watch Pos B- (sf)
Credit Default Swap
SDB506497004
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
SDB506546906
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
SDB506546943
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
SDB506546935
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
SDB506546950
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
SDB506546955
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
SDB506494104
Rating
Class To From
Notes BBsrp (sf)/Watch PosBBsrp (sf)
Credit Default Swap
J17558 (SEQUOIA)
Rating
Class To From
Tranche BBB+srp (sf)/Watch Pos BBB+srp (sf)
Credit Default Swap
N9QT8
Rating
Class To From
Tranche AAAsrp (sf) AAAsrp (sf)
HARBOR SPC
2006-1
Rating
Class To From
B CCC+ (sf)/Watch Neg CCC+ (sf)
D CCC (sf)/Watch Neg CCC (sf)
HARBOR SPC
2006-2
Rating
Class To From
C CCC (sf)/Watch Neg CCC (sf)
D CCC (sf)/Watch Neg CCC (sf)
Landgrove Synthetic CDO SPC
2007-2
Rating
Class To From
A B- (sf)/Watch Pos B- (sf)
Lorally CDO Limited Series 2006-2
2006-2
Rating
Class To From
2006-2 BBB- (sf)/Watch Pos BBB- (sf)
Lorally CDO Limited Series 2006-4
2006-4
Rating
Class To From
2006-4 BBB- (sf)/Watch Pos BBB- (sf)
Lorally CDO Limited Series 2007-3
2007-3
Rating
Class To From
2007-3 BBB (sf)/Watch Pos BBB (sf)
Marvel Finance 2007-1 LLC
2007-1
Rating
Class To From
IA BB+ (sf) BB+ (sf)
Morgan Stanley ACES SPC
2006-35
Rating
Class To From
I CCC- (sf)/Watch Pos CCC- (sf)
Morgan Stanley ACES SPC
2007-35
Rating
Class To From
C BBB- (sf)/Watch Pos BBB- (sf)
Morgan Stanley ACES SPC
2008-3
Rating
Class To From
Notes BB- (sf)/Watch Pos BB- (sf)
Morgan Stanley ACES SPC
2007-2
Rating
Class To From
AI D (sf) CCC- (sf)
AII D (sf) CCC- (sf)
IA D (sf) CCC- (sf)
IB D (sf) CCC- (sf)
IIA D (sf) CCC- (sf)
IIB D (sf) CCC- (sf)
IID D (sf) CCC- (sf)
Morgan Stanley ACES SPC
2007-6
Rating
Class To From
IIA BB- (sf)/Watch Neg BB- (sf)
Morgan Stanley Managed ACES SPC
2005-1
Rating
Class To From
I A BBB (sf)/Watch Pos BBB (sf)
II A BB- (sf)/Watch Pos BB- (sf)
II B BB- (sf)/Watch Pos BB- (sf)
Jr Sup Sr BBB+ (sf)/Watch Pos BBB+ (sf)
Morgan Stanley Managed ACES SPC
2006-4
Rating
Class To From
IA BBB (sf)/Watch Pos BBB (sf)
IB BBB- (sf)/Watch Pos BBB- (sf)
II BB- (sf)/Watch Pos BB- (sf)
Morgan Stanley Managed ACES SPC
2007-16
Rating
Class To From
IB B+ (sf)/Watch Pos B+ (sf)
Mt. Kailash, Ltd.
Rating
Class To From
Cr Link Ln BB- (sf)/Watch Pos BB- (sf)
North Street Referenced Linked Notes 2005-9 Limited
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
REVE SPC
34, 36, 37, 38, 39, & 40
Rating
Class To From
Series 34 B- (sf)/Watch Neg B- (sf)
Series 36 B+ (sf)/Watch Neg B+ (sf)
Series 37 B+ (sf)/Watch Neg B+ (sf)
Series 40 B+ (sf)/Watch Neg B+ (sf)
Rutland Rated Investments
DRYDEN06-1
Rating
Class To From
A1A-$LS B (sf)/Watch Pos B (sf)
A1B-$LCS B (sf)/Watch Pos B (sf)
Seawall SPC
2008 CMBS CDO-6
Rating
Class To From
Notes B (sf) B+ (sf)
STARTS (Cayman) Ltd.
2006-2
Rating
Class To From
A1-D1 CCC- (sf)/Watch Pos CCC- (sf)
STARTS (Ireland) PLC
2006-20
Rating
Class To From
A1-E1 CCC- (sf)/Watch Pos CCC- (sf)
STEERS Credit Linked Trust, Bespoke Credit Tranche Series 2005-9
2005-9
Rating
Class To From
Trust Cert BBB (sf)/Watch Neg BBB (sf)
STEERS High-Grade CMBS Resecuritization Trust
2006-1 2 3
Rating
Class To From
2006-1 BBB (sf)/Watch Neg BBB (sf)
Terra CDO SPC Ltd.
2008-1
Rating
Class To From
A-1 BB+ (sf) BB+ (sf)
AIRPLANES PASS-THROUGH TRUST: Fitch Affirms 4 Classes
------------------------------------------------------
Fitch Ratings has affirmed four classes and revised the Recovery
Rating (RR) on one class from Airplanes Pass-Through Trust
(Airplanes):
-- Class A-9 affirmed at 'CCCsf' RR revised to 'RR2' from
'RR3';
-- Classes B, C, and D affirmed at 'Csf/RR6'.
The affirmation of all notes in Airplanes reflects credit risk
that is consistent with their current ratings. Anticipated
recoveries for the class A-9 notes have improved marginally,
leading to their RR revision.
The analysis of Airplanes is consistent with 'Global Rating
Criteria for Aircraft Operating Lease ABS', dated April 25, 2011,
with these exceptions:
-- While the criteria states that Fitch will assume all
aircraft have a useful life of 25 years, this was adjusted
to 30 years based on the characteristics of the current
leases in place.
-- All recessionary value decline assumptions except for tier 1
'Bsf' were decreased by 5% from representative ranges in
order to reflect the currently depressed values of aviation
equipment and lease rates from the recent downturn.
ALLIED IRISH BANKS: Fitch Downgrades Calculus CMBS 2007-3
---------------------------------------------------------
Fitch Ratings has downgraded to 'Dsf' and withdrawn the ratings on
the notes issued by Allied Irish Banks (AIB) Unfunded, referred to
as Calculus CMBS 2007-3.
This rating action is a result of the termination of the credit
default swaps (CDS) between AIB and Merrill Lynch International
(MLI). Each CDS, which referenced the same pool of 30 CMBS bonds,
was terminated in whole on Nov. 22, 2010 by the parties. In
connection with the termination, AIB paid a termination fee for
each class of notes to MLI. After payment of the termination fee,
the recovery for each class is estimated to range from 37.3% to
35.5% of the original notional amount.
Fitch has taken these actions:
-- $16,000,000 original notional amount (07ML66764A) downgraded
to 'Dsf' from 'CCCsf' and subsequently withdrawn;
-- $4,000,000 original notional amount (07ML66763A) downgraded
to 'Dsf' from 'CCCsf' and subsequently withdrawn;
-- $2,000,000 original notional amount (07ML66762) downgraded
to 'Dsf' from 'CCCsf' and subsequently withdrawn;
-- $1,000,000 original notional amount (07ML66757A) downgraded
to 'Dsf' from 'CCCsf' and subsequently withdrawn;
-- $17,000,000 original notional amount (07ML66756A) downgraded
to 'Dsf' from 'CCCsf' and subsequently withdrawn.
ALTERNATIVE LOAN: S&P Lowers Ratings on 4 Classes to 'CCC'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
34 classes from three residential mortgage-backed securities
(RMBS) resecuritized real estate mortgage investment conduit
(re-REMIC) transactions issued in 2007-2010, and removed 33 of
them from CreditWatch with negative implications. Two groups from
two of the downgraded transactions had a pro rata interest payment
structure. "In addition, we affirmed our ratings on 180 classes
from six transactions and removed 91 of them from CreditWatch
negative. We also withdrew our ratings on three classes from two
transactions, of which one of them was on CreditWatch negative,"
S&P said.
"On Dec. 15, 2010, we placed our ratings on 125 classes from the
seven transactions within this review on CreditWatch negative,
along with ratings from a group of other RMBS re-REMIC securities.
Additionally, on April 1, 2011, we provided an update on the
CreditWatch placements and provided clarification regarding our
analysis of interest payment amounts within re-REMIC transactions
(see 'Standard & Poor's Provides An Update On Outstanding RMBS Re-
REMIC CreditWatch Placements And Outlines Their Resolution')," S&P
continued.
"Our ratings on the re-REMIC classes are intended to address the
timely payment of interest and ultimate payment of principal. We
reviewed the interest and principal amounts due on the underlying
securities, which are then passed through to the applicable re-
REMIC classes. When performing this analysis, we applied our loss
projections, incorporating, where applicable, our recently revised
loss assumptions to the underlying collateral to identify the
principal and interest amounts that could be passed through from
the underlying securities under our rating scenario stresses. We
stressed our loss projections at various rating categories to
assess whether the re-REMIC classes could withstand the stressed
losses associated with their ratings while receiving timely
payment of interest and principal consistent with our criteria,"
S&P stated.
"As noted, in applying our loss projections we incorporated, where
applicable, our recently revised loss assumptions into our review
(see 'Revised Lifetime Loss Projections For Prime, Subprime, And
Alt-A U.S. RMBS Issued In 2005-2007,' published on March 25,
2011). Such updates pertain to the 2005-2007 vintage prime,
subprime, and Alternative-A (Alt-A) transactions; some of which
are associated with the re-REMICs we reviewed (see tables 1 and
2 for the overall prior and revised vintage- and product-specific
lifetime loss projections as percentages of the original structure
balance)," S&P explained.
Table 1
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Table 2
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our ratings on certain
classes based on our assessment as to whether there were principal
and/or interest shortfalls from the underlying securities that
would impair the re-REMIC classes at the applicable rating
stresses. The affirmations reflect our assessment of the
likelihood that the re-REMIC classes will receive timely interest
and the ultimate payment of principal under the applicable
stressed assumptions," S&P said.
As noted, one of the seven transactions, CMO Holdings III Ltd.
Series 2007-R2, paid interest entirely on a sequential basis,
while each of the other six transactions contain a pro rata
interest payment structure in at least one of their collateral
groups.
"We lowered our ratings on Alternative Loan Trust Resecuritization
2007-HY5R, BCAP LLC 2008-RR2 Trust, and BCAP LLC 2010-RR1 Trust
based on our projections of principal loss amounts, as opposed to
interest shortfalls, allocated to the relevant re-REMIC classes
under the applicable ratings stress scenarios," S&P stated.
"We removed our ratings on classes 11-A1 and 11-A3 from RBSSP
Resecuritization Trust 2010-3 due to the termination of these
classes in July 2010, and removed our rating on class A-1 from CMO
Holdings III Ltd. 2007-R2 as the class has paid off," S&P added.
Rating Actions
Alternative Loan Trust Resecuritization 2007-HY5R
Series 2007-HY5R
Rating
Class CUSIP To From
2-A-1A 02150WAA1 CCC (sf) B (sf)/Watch Neg
2-A-1B 02150WAB9 CCC (sf) B- (sf)/Watch Neg
2-A-1C 02150WAC7 CCC (sf) B- (sf)/Watch Neg
2-A-1D 02150WAD5 CCC (sf) B- (sf)/Watch Neg
BCAP LLC 2008-RR2 Trust
Series 2008-RR2
Rating
Class CUSIP To From
A2 05531TAB9 CCC (sf) BBB- (sf)/Watch Neg
A4 05531TAD5 CCC (sf) BBB+ (sf)/Watch Neg
A6 05531TAF0 CCC (sf) A- (sf)/Watch Neg
A8 05531TAH6 CCC (sf) A (sf)/Watch Neg
A10 05531TAK9 CCC (sf) B- (sf)/Watch Neg
A11 05531TAL7 CCC (sf) B- (sf)/Watch Neg
A12 05531TAM5 CCC (sf) BB (sf)/Watch Neg
A13 05531TAN3 CCC (sf) B- (sf)/Watch Neg
A14 05531TAP8 CCC (sf) BBB (sf)/Watch Neg
A15 05531TAQ6 CCC (sf) BB- (sf)/Watch Neg
A16 05531TAR4 CCC (sf) BBB (sf)/Watch Neg
A17 05531TAS2 CCC (sf) BB- (sf)/Watch Neg
A18 05531TAT0 CCC (sf) BBB+ (sf)/Watch Neg
A19 05531TAU7 CCC (sf) BB (sf)/Watch Neg
A20 05531TAV5 CCC (sf) BBB+ (sf)/Watch Neg
A21 05531TAW3 CCC (sf) BB (sf)/Watch Neg
A22 05531TAX1 CCC (sf) A- (sf)/Watch Neg
A23 05531TAY9 CCC (sf) BB+ (sf)/Watch Neg
A24 05531TAZ6 CCC (sf) A (sf)/Watch Neg
A25 05531TBA0 CCC (sf) BB+ (sf)/Watch Neg
A26 05531TBB8 CCC (sf) A (sf)/Watch Neg
A27 05531TBC6 CCC (sf) BBB (sf)/Watch Neg
A28 05531TBD4 CCC (sf) A+ (sf)/Watch Neg
A29 05531TBE2 CCC (sf) BBB (sf)/Watch Neg
A30 05531TBG7 CCC (sf) BBB (sf)/Watch Neg
A32 05531TBJ1 CCC (sf) BBB (sf)/Watch Neg
A33 05531TBK8 CCC (sf) BB- (sf)/Watch Neg
A34 05531TBL6 CCC (sf) BBB (sf)/Watch Neg
A35 05531TBM4 CCC (sf) BB- (sf)/Watch Neg
BCAP LLC 2010-RR1 Trust
Series 2010-RR1
Rating
Class CUSIP To From
II-A7 05532TAL6 A (sf) A (sf)/Watch Neg
II-A6 05532TAK8 AA (sf) AA (sf)/Watch Neg
XII-A1 05532TFB3 A (sf) AAA (sf)
II-A3 05532TAG7 AA (sf) AA (sf)/Watch Neg
II-A1 05532TAE2 A (sf) A (sf)/Watch Neg
II-A4 05532TAH5 A (sf) A (sf)/Watch Neg
II-A5 05532TAJ1 AAA (sf) AAA (sf)/Watch Neg
BCAP LLC 2010-RR4-I Trust
Series 2010-RR4-I
Rating
Class CUSIP To From
V-A7 05532YAL5 BBB (sf) BBB (sf)/Watch Neg
V-A11 05532YAQ4 BBB (sf) BBB (sf)/Watch Neg
V-A10 05532YAP6 A (sf) A (sf)/Watch Neg
V-A3 05532YAG6 AA (sf) AA (sf)/Watch Neg
V-A5 05532YAJ0 A (sf) A (sf)/Watch Neg
V-A9 05532YAN1 AA (sf) AA (sf)/Watch Neg
V-A1 05532YAE1 AAA (sf) AAA (sf)/Watch Neg
V-A8 05532YAM3 BBB (sf) BBB (sf)/Watch Neg
BCAP LLC 2010-RR4-II Trust
Series 2010-RR4-II
Rating
Class CUSIP To From
III-2-A7 05532XDP5 BBB (sf) BBB (sf)/Watch Neg
VI-A1 05532XEM1 AAA (sf) AAA (sf)/Watch Neg
I-A1 05532XCQ4 A (sf) A (sf)/Watch Neg
VII-A10 05532XAW3 A (sf) A (sf)/Watch Neg
VIII-A5 05532XBD4 A (sf) A (sf)/Watch Neg
VI-A10 05532XAJ2 A (sf) A (sf)/Watch Neg
VIII-A8 05532XBF9 BBB (sf) BBB (sf)/Watch Neg
VII-A5 05532XAR4 A (sf) A (sf)/Watch Neg
VII-A1 05532XAM5 AAA (sf) AAA (sf)/Watch Neg
XII-A1 05532XEZ2 AAA (sf) AAA (sf)/Watch Neg
IX-A7 05532XBQ5 BBB (sf) BBB (sf)/Watch Neg
III-1-A3 05532XCV3 AA (sf) AA (sf)/Watch Neg
XII-A3 05532XFB4 AA (sf) AA (sf)/Watch Neg
X-A8 05532XCD3 BBB (sf) BBB (sf)/Watch Neg
VI-A3 05532XAB9 AA (sf) AA (sf)/Watch Neg
III-1-A9 05532XDB6 AA (sf) AA (sf)/Watch Neg
III-A5 05532XEB5 A (sf) A (sf)/Watch Neg
XII-A7 05532XFF5 BBB (sf) BBB (sf)/Watch Neg
IX-A10 05532XBT9 A (sf) A (sf)/Watch Neg
VI-A11 05532XAK9 BBB (sf) BBB (sf)/Watch Neg
III-2-A10 05532XDS9 A (sf) A (sf)/Watch Neg
III-A11 05532XEH2 BBB (sf) BBB (sf)/Watch Neg
VI-A8 05532XAG8 BBB (sf) BBB (sf)/Watch Neg
III-1-A11 05532XDD2 BBB (sf) BBB (sf)/Watch Neg
VIII-A11 05532XBJ1 BBB (sf) BBB (sf)/Watch Neg
X-A3 05532XBY8 AA (sf) AA (sf)/Watch Neg
X-A10 05532XCF8 A (sf) A (sf)/Watch Neg
X-A9 05532XCE1 AA (sf) AA (sf)/Watch Neg
III-A1 05532XDX8 AAA (sf) AAA (sf)/Watch Neg
III-1-A10 05532XDC4 A (sf) A (sf)/Watch Neg
IX-A11 05532XBU6 BBB (sf) BBB (sf)/Watch Neg
X-A5 05532XCA9 A (sf) A (sf)/Watch Neg
VIII-A7 05532XEN9 BBB (sf) BBB (sf)/Watch Neg
VII-A8 05532XAU7 BBB (sf) BBB (sf)/Watch Neg
III-A9 05532XEF6 AA (sf) AA (sf)/Watch Neg
IX-A9 05532XBS1 AA (sf) AA (sf)/Watch Neg
III-2-A3 05532XDK6 AA (sf) AA (sf)/Watch Neg
VII-A9 05532XAV5 AA (sf) AA (sf)/Watch Neg
VIII-A9 05532XBG7 AA (sf) AA (sf)/Watch Neg
VII-A7 05532XAT0 BBB (sf) BBB (sf)/Watch Neg
III-2-A11 05532XDT7 BBB (sf) BBB (sf)/Watch Neg
VIII-A3 05532XBB8 AA (sf) AA (sf)/Watch Neg
VI-A9 05532XAH6 AA (sf) AA (sf)/Watch Neg
III-2-A1 05532XDH3 AAA (sf) AAA (sf)/Watch Neg
III-A7 05532XED1 BBB (sf) BBB (sf)/Watch Neg
XII-A5 05532XFD0 A (sf) A (sf)/Watch Neg
III-1-A8 05532XDA8 BBB (sf) BBB (sf)/Watch Neg
II-A1 05532XCR2 A (sf) A (sf)/Watch Neg
VII-A11 05532XAX1 BBB (sf) BBB (sf)/Watch Neg
VII-A3 05532XAP8 AA (sf) AA (sf)/Watch Neg
IX-A3 05532XBL6 AA (sf) AA (sf)/Watch Neg
XII-A11 05532XFK4 BBB (sf) BBB (sf)/Watch Neg
XII-A9 05532XFH1 AA (sf) AA (sf)/Watch Neg
VI-A7 05532XAF0 BBB (sf) BBB (sf)/Watch Neg
VI-A5 05532XAD5 A (sf) A (sf)/Watch Neg
III-1-A1 05532XCT8 AAA (sf) AAA (sf)/Watch Neg
X-A1 05532XBW2 AAA (sf) AAA (sf)/Watch Neg
III-A3 05532XDZ3 AA (sf) AA (sf)/Watch Neg
III-1-A7 05532XCZ4 BBB (sf) BBB (sf)/Watch Neg
IX-A8 05532XBR3 BBB (sf) BBB (sf)/Watch Neg
III-1-A5 05532XCX9 A (sf) A (sf)/Watch Neg
III-2-A8 05532XDQ3 BBB (sf) BBB (sf)/Watch Neg
X-A7 05532XCC5 BBB (sf) BBB (sf)/Watch Neg
XII-A8 05532XFG3 BBB (sf) BBB (sf)/Watch Neg
XII-A10 05532XFJ7 A (sf) A (sf)/Watch Neg
X-A11 05532XCG6 BBB (sf) BBB (sf)/Watch Neg
III-A10 05532XEG4 A (sf) A (sf)/Watch Neg
III-2-A9 05532XDR1 AA (sf) AA (sf)/Watch Neg
VIII-A10 05532XBH5 A (sf) A (sf)/Watch Neg
III-A8 05532XEE9 BBB (sf) BBB (sf)/Watch Neg
III-2-A5 05532XDM2 A (sf) A (sf)/Watch Neg
IX-A1 05532XEQ2 AAA (sf) AAA (sf)/Watch Neg
IX-A5 05532XBN2 A (sf) A (sf)/Watch Neg
VIII-A1 05532XAZ6 AAA (sf) AAA (sf)/Watch Neg
CMO Holdings III Ltd.
Series 2007-R2
Rating
Class CUSIP To From
A-1 Notes 12587PBY5 NR BBB (sf)/Watch Neg
RBSSP Resecuritization Trust 2010-3
Series 2010-3
Rating
Class CUSIP To From
8-A1 74929FBG3 A (sf) A (sf)/Watch Neg
11-A3 74929FBU2 NR AA (sf)
7-A1 74929FBE8 BBB (sf) BBB (sf)/Watch Neg
11-A1 74929FBS7 NR AAA (sf)
3-A1 74929FAE9 BBB (sf) BBB (sf)/Watch Neg
Ratings Affirmed
BCAP LLC 2008-RR2 Trust
Series 2008-RR2
Class CUSIP Rating
A1 05531TAA1 CCC (sf)
A3 05531TAC7 CCC (sf)
A5 05531TAE3 CCC (sf)
A7 05531TAG8 CCC (sf)
A9 05531TAJ2 CCC (sf)
A31 05531TBH5 CCC (sf)
BCAP LLC 2010-RR1 Trust
Series 2010-RR1
Class CUSIP Rating
VII-A3 05532TCP5 AA (sf)
IX-A11 05532TDX7 BBB (sf)
V-A11 05532TBW1 BBB (sf)
VIII-A8 05532TDG4 BBB (sf)
IV-A9 05532TBG6 AA (sf)
IX-A5 05532TDR0 A (sf)
I-A1 05532TAA0 AA (sf)
VIII-A3 05532TDB5 AA (sf)
IX-A1 05532TDM1 AAA (sf)
VI-A10 05532TCJ9 A (sf)
XI-A3 05532TEP3 AA (sf)
V-A8 05532TBT8 BBB (sf)
VII-A9 05532TCV2 AA (sf)
VII-A7 05532TCT7 BBB (sf)
IV-A1 05532TAY8 AAA (sf)
V-A3 05532TBN1 AA (sf)
V-A1 05532TBL5 AAA (sf)
X-A7 05532TEF5 BBB (sf)
VI-A9 05532TCH3 AA (sf)
X-A11 05532TEK4 BBB (sf)
VII-A5 05532TCR1 A (sf)
X-A9 05532TEH1 AA (sf)
IV-A5 05532TBC5 A (sf)
VI-A3 05532TCA8 AA (sf)
VI-A11 05532TCK6 BBB (sf)
IV-A7 05532TBE1 BBB (sf)
IX-A10 05532TDW9 A (sf)
V-A7 05532TBS0 BBB (sf)
VII-A10 05532TCW0 A (sf)
IX-A3 05532TDP4 AA (sf)
IV-A11 05532TBJ0 BBB (sf)
X-A1 05532TDZ2 AAA (sf)
VIII-A5 05532TDD1 A (sf)
V-A5 05532TBQ4 A (sf)
IX-A9 05532TDV1 AA (sf)
XI-A5 05532TER9 A (sf)
VII-A8 05532TCU4 BBB (sf)
VIII-A11 05532TDK5 BBB (sf)
IV-A3 05532TBA9 AA (sf)
XI-A10 05532TEW8 A (sf)
VIII-A9 05532TDH2 AA (sf)
X-A3 05532TEB4 AA (sf)
VII-A11 05532TCX8 BBB (sf)
X-A8 05532TEG3 BBB (sf)
VI-A5 05532TCC4 A (sf)
XI-A7 05532TET5 BBB (sf)
VII-A1 05532TCM2 AAA (sf)
VIII-A7 05532TDF6 BBB (sf)
X-A5 05532TED0 A (sf)
XI-A8 05532TEU2 BBB (sf)
VIII-A10 05532TDJ8 A (sf)
XI-A1 05532TEM0 AAA (sf)
XI-A11 05532TEX6 BBB (sf)
VI-A7 05532TCE0 BBB (sf)
IV-A10 05532TBH4 A (sf)
X-A10 05532TEJ7 A (sf)
VIII-A1 05532TCZ3 AAA (sf)
V-A9 05532TBU5 AA (sf)
IX-A8 05532TDU3 BBB (sf)
IX-A7 05532TDT6 BBB (sf)
XI-A9 05532TEV0 AA (sf)
V-A10 05532TBV3 A (sf)
IV-A8 05532TBF8 BBB (sf)
VI-A8 05532TCF7 BBB (sf)
VI-A1 05532TBY7 AAA (sf)
CMO Holdings III Ltd.
Series 2007-R2
Class CUSIP Rating
A-2 Notes 12587PBZ2 CC (sf)
RBSSP Resecuritization Trust 2010-3
Series 2010-3
Class CUSIP Rating
4-A1 74929FAJ8 AAA (sf)
10-A3 74929FBN8 AA (sf)
12-A3 74929FCP2 AA (sf)
9-A1 74929FBJ7 AAA (sf)
5-A5 74929FAW9 A (sf)
5-A7 74929FAY5 BBB (sf)
6-A1 74929FBA6 AAA (sf)
12-A5 74929FCR8 AAA (sf)
10-A1 74929FBL2 AAA (sf)
4-A7 74929FAQ2 BBB (sf)
6-A2 74929FBB4 BBB (sf)
12-A1 74929FCM9 A (sf)
4-A5 74929FAN9 A (sf)
5-A3 74929FAU3 AA (sf)
5-A1 74929FAS8 AAA (sf)
4-A3 74929FAL3 AA (sf)
10-A5 74929FBQ1 A (sf)
ALTIUS III: S&P Retains 'CCC-' Rating on Class A-1b-1F
------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on
25 classes from 14 U.S. cash flow and hybrid collateralized
debt obligation (CDO) of structured finance transactions on
CreditWatch with negative implications. The affected classes
represent an aggregate original issuance amount of approximately
$6.751 billion.
"Standard & Poor's placed these CDO ratings on CreditWatch
negative following a review of CDO transactions that have exposure
to RMBS with ratings that we recently placed on CreditWatch
negative. We placed more than 7,000 RMBS ratings on CreditWatch on
May 11, 2011, following revised loss projections of these
securities (see '7,389 Ratings From 2005-2007 U.S. Prime,
Subprime, And Alt-A RMBS On Watch Neg,' published on RatingsDirect
on the Global Credit Portal at www.globalcreditportal.com)," S&P
noted
The 14 transactions with ratings placed on CreditWatch are:
* Five transactions are mezzanine structured finance CDOs,
which are typically collateralized at origination primarily
by 'A' and 'BBB' rated tranches of RMBS and other
structured finance assets; and
* Nine transactions are high-grade CDOs of ABS, typically
collateralized at origination primarily by 'AAA' through 'A'
rated tranches of RMBS and other structured finance
transactions.
Ratings Placed on CreditWatch Negative
Altius III Funding Ltd.
Rating
Class To From
A-1b-1F CCC- (sf)/Watch Neg CCC- (sf)
S B+ (sf)/Watch Neg B+ (sf)
Barrington II CDO Ltd.
Rating
Class To From
X A (sf)/Watch Neg A (sf)
CAMBER 3 PLC
Rating
Class To From
S A (sf)/Watch Neg A (sf)
Capella Funding Ltd.
Rating
Class To From
1 BB (sf)/Watch Neg BB (sf)
Coronado CDO Ltd.
Rating
Class To From
A-1 BB (sf)/Watch Neg BB (sf)
A-2 BB (sf)/Watch Neg BB (sf)
Type II CCC (sf)/Watch Neg CCC (sf)
Davis Square Funding IV Ltd.
Rating
Class To From
E BBB- (sf)/Watch Neg BBB- (sf)
Davis Square Funding V Ltd.
Rating
Class To From
S AA (sf)/Watch Neg AA (sf)
Davis Square Funding VII Ltd.
Rating
Class To From
S BBB (sf)/Watch Neg BBB (sf)
Laguna ABS CDO Ltd.
Rating
Class To From
A1SB-1 CCC- (sf)/Watch Neg CCC- (sf)
A1SB-2 CCC- (sf)/Watch Neg CCC- (sf)
A1ST CCC- (sf)/Watch Neg CCC- (sf)
Margate Funding I Ltd.
Rating
Class To From
A1S CCC- (sf)/Watch Neg CCC- (sf)
Putnam Structured Product Funding 2003-1 Ltd.
Rating
Class To From
A-1LT-a BB- (sf)/Watch Neg BB- (sf)
A-1LT-b BB- (sf)/Watch Neg BB- (sf)
A-1LT-c BB- (sf)/Watch Neg BB- (sf)
A-2 CCC (sf)/Watch Neg CCC (sf)
TIAA Structured Finance CDO II Ltd.
Rating
Class To From
A-1 BB+ (sf)/Watch Neg BB+ (sf)
A-2 CCC- (sf)/Watch Neg CCC- (sf)
Trainer Wortham First Republic CBO III Ltd.
Rating
Class To From
A-1 B (sf)/Watch Neg B (sf)
Triaxx Prime CDO 2006-2 Ltd.
Rating
Class To From
A-1A CCC- (sf)/Watch Neg CCC- (sf)
A-1B2 CCC- (sf)/Watch Neg CCC- (sf)
A-1BV CCC- (sf)/Watch Neg CCC- (sf)
AMMC CLO: S&P Raises Rating on Class D Notes From 'CCC-' to 'B+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and D notes from AMMC CLO IV Ltd., a collateralized loan
obligation (CLO) transaction managed by American Money Management
Corp. "At the same time, we removed our ratings on the B and C
notes from CreditWatch with positive implications. We also
affirmed our ratings on the class A-1, A-2, and A-3 notes," S&P
related.
"The upgrades reflect an improvement in the credit quality
available to support the notes since our November 2009 rating
actions. At that time, we lowered the ratings on the A-1, A-3, B,
C, and D notes following the application of our revised criteria
for rating corporate collateralized debt obligations (CDOs)," S&P
noted.
As of the April 2011 trustee report, the transaction held
$4.9 million of defaulted assets and $21.1 million in assets
from underlying obligors with ratings in the 'CCC' range. "This
was down from $23.5 million defaulted and $60.8 million 'CCC'
rated assets noted in the Oct. 5, 2009, trustee report, which we
referenced for our November, 2009, rating actions. Also, a number
of defaulted obligors held in the deal emerged from bankruptcy,
with some receiving proceeds that were higher than their carrying
value in the transaction's overcollateralization (O/C) ratio test
calculation. This, combined with a reduction in assets with
ratings in the 'CCC' range and paydowns to the A-1 and A-2
classes, benefited the transaction's O/C ratios. The senior O/C
ratio increased to 116.7% as of the April 2011 report from
113.6% as of the October 2009 report," S&P stated.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," according to S&P.
Rating and CreditWatch Actions
AMMC CLO IV Ltd.
Rating
Class To From
B AA- (sf) A (sf)/Watch Pos
C A (sf) BBB (sf)/Watch Pos
D B+ (sf) CCC- (sf)
Ratings Affirmed
AMMC CLO IV Ltd.
Rating
Class
A-1 AA+ (sf)
A-2 AAA (sf)
A-3 AA+ (sf)
ANTHRACITE CDO: S&P Lowers Ratings on 3 Classes of Notes to'CC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes of notes issued by Anthracite CDO III Ltd., a
collateralized debt obligation (CDO) collateralized by commercial
mortgage-backed securities (CMBS), and removed the rating on the
class A notes from CreditWatch with negative implications.
"We placed our rating on the class A notes on CreditWatch negative
on Jan. 18, 2011, in connection with the implementation of our
revised counterparty criteria (see "Ratings On 950 North America
Structured Finance Tranches On Watch Neg After Counterparty
Criteria Update," published Jan. 18, 2011)," S&P related.
"The downgrades mainly reflect a decline in the performance of the
collateral in the transaction's underlying asset portfolio, since
our Sept. 21, 2010, rating actions, when we downgraded some of the
notes. As of the April 2011 trustee report, the transaction had
$83.0 million of defaulted assets. This was up from $12.2 million
noted in the August 2010 trustee report, which we referenced for
our September 2010 rating actions," S&P noted.
The downgrades further reflect a decrease in the
overcollateralization (O/C) available to support the rated notes.
The trustee reported these O/C ratios in the April 2011 report:
* The class C O/C ratio was 134.2%, compared with a reported
ratio of 160.1% in August 2010;
* The class D O/C ratio was 120.6%, compared with a reported
ratio of 145.3% in August 2010;
* The class E O/C ratio was 104.1%, compared with a reported
ratio of 127.3% in August 2010; and
* The class F O/C ratio was 96.1%, compared with a reported
ratio of 118.2% in August 2010; and
* The class G O/C ratio was 93.6%, compared with a reported
ratio of 115.4% in August 2010.
Rating and CreditWatch Actions
Anthracite CDO III Ltd.
Rating
Class To From
A A+ (sf) AA+ (sf)/Watch Neg
BFX BBB+ (sf) A+ (sf)
BFL BBB+ (sf) A+ (sf)
CFX BB+ (sf) BBB (sf)
CFL BB+ (sf) BBB (sf)
DFX B+ (sf) BB+ (sf)
DFL B+ (sf) BB+ (sf)
EFX CCC- (sf) BB- (sf)
EFL CCC- (sf) BB- (sf)
F CC (sf) B-(sf)
G CC (sf) CCC+ (sf)
H CC (sf) CCC (sf)
ARCAP 2004-1: Moody's Downgrades Six CRE CDO Classes
----------------------------------------------------
Moody's has downgraded six classes of Notes issued by ARCap 2004-1
Resecuritzation Trust due to the deterioration in the credit
quality of the underlying portfolio as evidenced by an increase in
the weighted average rating factor (WARF) and decrease in weighted
average recovery rate (WARR). The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO) transactions.
Moody's rating action is:
-- Cl. A, Downgraded to Baa1 (sf); previously on May 27, 2010
Downgraded to A2 (sf)
-- Cl. B, Downgraded to Ba3 (sf); previously on May 27, 2010
Downgraded to Ba1 (sf)
-- Cl. C, Downgraded to Caa1 (sf); previously on May 27, 2010
Downgraded to Ba3 (sf)
-- Cl. D, Downgraded to Caa2 (sf); previously on May 27, 2010
Downgraded to B1 (sf)
-- Cl. E, Downgraded to Caa3 (sf); previously on May 27, 2010
Downgraded to B2 (sf)
-- Cl. F, Downgraded to Caa3 (sf); previously on May 27, 2010
Downgraded to Caa1 (sf)
Ratings Rationale
ARCap 2004-1 Resecuritization Trust is a static CRE CDO
transaction backed by a portfolio commercial mortgage
backed securities (CMBS) (100.0% of the pool balance). As
of the April 18, 2011 Trustee report, the aggregate Note
balance of the transaction has decreased to $332.0 million
from $340.9 million at issuance, with the paydown directed
to the Class A Notes. The paydown was due to amortization
of the collateral and Defaulted Securities Interest Proceeds
being classified as Principal Proceeds. The current collateral
par amount is $277.7 million, representing approximately
$63.2 million decrease, due mainly to $59.7 million of realized
losses to the collateral pool since securitization.
Twenty-two CMBS bonds with a par balance of $107.6 million
(38.7% of the pool balance) are classified as Defaulted
Securities compared to three CMBS bonds $20.6 million (6.6%
of the pool balance) at last review.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life (WAL), WARR, and Moody's asset correlation (MAC). These
parameters are typically modeled as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 6,278 compared to 4.369 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(2.7% compared to 0.0% al last review), A1-A3 (0.4% compared to
1.6% at last review), Baa1-Baa3 (0.0% compared to 1.1% at last
review), Ba1-Ba3 (14.6% compared to 33.6% at last review), B1-B3
(15.5% compared to 33.6% at last review), and Caa1-C (66.8%
compared to 36.0% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 5.1
years compared to 5.3 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Due to the speculative-grade
collateral, Moody's modeled a fixed 5.1% WARR, compared to 6.6% at
last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100.0% compared to 26.3% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
5.1% to 0.1% or up to 10.1% would result in average rating
movement on the rated tranches of 0 to 2 notches downward or 0 to
3 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current 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.
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in November 2010. The other
methodology used in these ratings was "CMBS: Moody's Approach to
Rating Static CDOs Backed by Commercial Real Estate Securities"
published in June 2004.
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.
Information sources used to prepare the credit rating are: parties
involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service's information, confidential and proprietary Moody's
Analytics' information.
Moody's considers the quality of information available on the
issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
However, the credit rating action was based on limited historical
data.
Moody's adopts all necessary measures so that the information it
uses in assigning a credit rating is of sufficient quality and
from sources Moody's considers to be reliable including, when
appropriate, independent third-party sources. However, Moody's is
not an auditor and cannot in every instance independently verify
or validate information received in the rating process.
The date on which some Credit Ratings were first released goes
back to a time before Moody's Investors Service's Credit Ratings
were fully digitized and accurate data may not be available.
Consequently, Moody's Investors Service provides a date that it
believes is the most reliable and accurate based on the
information that is available to it. Please see the ratings
disclosure page on Moody's website www.moodys.com for further
information.
ASSET BACKED: Moody's Cuts Down Ratings of Six Tranches
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings on 6 tranches
from two Subprime RMBS transactions issued by Asset Backed
Securities Corporation. The collateral backing this deal primarily
consists of first-lien adjustable-rate subprime residential
mortgages.
Ratings Rationale
The actions reflect Moody's updated loss expectations on subprime
pools issued from 2005 to 2007.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Subprime RMBS
Loss Projection Update:February 2010" published in February 2010,
which accounts for the deteriorating performance and outlook.
Moody's has updated pool loss estimates based on collateral
performance to date. Further, when calculating the rate of new
delinquencies, Moody's took into account loans that were
reclassified from delinquent to current due to modifications. The
modified loans that are classified as current were added to the
reported delinquency levels in the pool to calculate the true rate
of new delinquencies.
In addition to adjustments to reflect updated loss expectations,
Moody's rating action takes into account the uncertainty
surrounding principal allocations. In Asset Backed Securities
Corporation Home Equity Loan Trust 2006-HE2 and Asset Backed
Securities Corporation Home Equity Loan Trust 2006-HE4, principal
payments are being allocated sequentially between Class A1 bonds
and Class A1A bonds. However, the PSAs indicate pro-rata
allocation of principal payments, unless a sequential trigger
event has occurred, which is not the case according to the letter
of the documents.
To assess the rating implications of the updated loss levels on
subprime RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprising of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to small increments in losses on the underlying
mortgage pool is taken into consideration when assigning ratings.
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. Overall,
Moody's assumes a further 5% decline in home prices with
stabilization later in 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: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE2
-- Cl. A1, Downgraded to Caa1 (sf); previously on Jan 13, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A1A, Downgraded to C (sf); previously on Jan 13, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A3, Downgraded to Caa3 (sf); previously on Dec 3, 2010
Confirmed at Caa2 (sf)
-- Cl. A4, Downgraded to Ca (sf); previously on Dec 3, 2010
Confirmed at Caa3 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE4
-- Cl. A1, Downgraded to Ba1 (sf); previously on Jan 13, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A1A, Downgraded to B2 (sf); previously on Dec 3, 2010
Downgraded to Ba2 (sf)
ASSET SECURITIZATION: Fitch Takes Various Rating Actions
--------------------------------------------------------
Fitch Ratings has affirmed this class of Asset Securitization
Corp.'s commercial mortgage pass-through certificates, series
1995-MD IV:
-- $34.5 million class B-1 at 'A+'; Outlook Evolving;
In addition, Fitch has affirmed these classes:
-- $29.7 million class B-2 at 'D/RR3';
-- $769 class B-2H at 'D/RR3'.
Fitch has downgraded the interest-only class A-CS2 to 'A+';
Outlook Evolving and withdrawn the rating on the interest-only
class A-CS3.
Classes A-1, A-1P, A-2, A-3, A-4 and A-5 have paid in full.
The affirmation on class B-1 with an Evolving Outlook is due to
increased credit enhancement combined with continued principal
write-downs on classes B-2 and B-2H relative to the previous
review. The Evolving Outlook assignment reflects uncertainty
regarding the amount and timing of pending litigation costs
associated with the transaction.
One loan remains in the pool: Columbia Sussex, which has been
fully defeased and has an anticipated repayment date in 2015. As
of the April 2011 remittance date, the transaction's outstanding
principal balance has been reduced by 94.4% to $54.5 million, from
$967.2 million at issuance.
Fitch maintains the Evolving Outlook to class B-1 because of
potential future losses due to litigation costs which may occur
before the class is paid in full. Class B-1 is currently receiving
principal payments from the scheduled amortization of the Columbia
Sussex loan, but could be affected by litigation costs in the
future. If litigation costs interrupt the payment of principal,
Fitch expects to downgrade the bond to 'D'. If the litigation is
resolved without affecting class B-1, Fitch expects to upgrade the
bond.
Certain interest-only bondholders filed suit against the former
special servicer, Criimi Mae, based on the special servicer's
handling of the respective resolutions of the Hardage Hotel
Portfolio and Motels of America loans, both of which were resolved
in 2003. The Court granted the Defendant's Motion for Summary
Judgment dismissing the complaint on Feb. 8, 2011; subsequently
the Plaintiffs filed an appeal on March 9, 2011. The pending
appeal and resulting legal fees could cause principal losses to
class B-1 before it pays off if the fees exceed the balance of
class B-2 and B-2H. Because classes B-1, B-2 and B-2H are
principal only classes, legal fees or adverse judgments would
cause realized losses to B-2 first, followed by B-1. Fitch will
monitor the status of the appeal and any associated fees.
AVISTA CAPITAL II: Fitch Affirms, Withdraws 'BB+' Rating
--------------------------------------------------------
Fitch Ratings has affirmed and simultaneously withdrawn the
ratings for Avista Corporation and Avista Capital II. Fitch has
also affirmed and withdrawn the ratings for Plum Creek Timber
Company.
Ratings affected by these actions for Avista Corporation and
Avista Capital II are:
Avista Corporation
-- Long-term Issuer Default Rating (IDR) 'BBB-',
-- Senior secured debt 'BBB+',
-- Senior secured bank facility 'BBB+',
-- Senior unsecured debt 'BBB',
-- Short-term IDR 'F3'.
Avista Capital II
-- Preferred securities 'BB+.
Ratings affected by these actions for Plum Creek Timber Company
are:
-- Long-term Issuer Default Rating (IDR) 'BBB-';
-- Senior unsecured debt 'BBB-';
-- Bank revolver and term loans 'BBB-'.
Fitch has withdrawn the ratings for business reasons. The ratings
are no longer relevant to the agency's coverage.
BABSON CLO: Moody's Upgrades Ratings of Notes
---------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Babson CLO Ltd. 2004-I:
-- US$45,000,000 Class A-1 Senior Revolving Notes, Due 2016
Notes (current outstanding balance of $29,859,229), Upgraded
to Aaa (sf); previously on Sep 21, 2009 Downgraded to A1
(sf)
-- US$198,000,000 Class A-2A Senior Notes, Due 2016 Notes
(current outstanding balance of $131,380,609), Upgraded to
Aaa (sf); previously on Sep 21, 2009 Downgraded to A1 (sf)
-- US$99,900,000 Class A-2B Senior Notes, Due 2016 Notes
(current outstanding balance of $66,287,489), Upgraded to
Aaa (sf); previously on Sep 21, 2009 Downgraded to A1 (sf)
-- US$100,000 Class A-2Bv Senior Notes, Due 2016 Notes (current
outstanding balance of $66,354), Upgraded to Aaa (sf);
previously on Sep 21, 2009 Downgraded to A1 (sf)
-- US$17,000,000 Class B Senior Notes, Due 2016 Notes, Upgraded
to Aa1 (sf); previously on Sep 21, 2009 Downgraded to Baa1
(sf)
-- US$23,000,000 Class C-1 Deferrable Mezzanine Notes, Due 2016
Notes, Upgraded to A2 (sf); previously on Sep 21, 2009
Downgraded to Ba2 (sf)
-- US$4,000,000 Class C-2 Deferrable Mezzanine Notes, Due 2016
Notes, Upgraded to A2 (sf); previously on Sep 21, 2009
Downgraded to Ba2 (sf)
-- US$25,000,000 Class D Deferrable Mezzanine Notes, Due 2016
Notes, Upgraded to Ba1 (sf); previously on Sep 21, 2009
Downgraded to Caa3 (sf)
-- US$20,000,000 Class Z Combination Securities Notes, Upgraded
to Baa2 (sf); previously on Sep 21, 2009 Downgraded to B2
(sf)
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A-1, Class A-2A, Class
A-2B, and Class A-2Bv Notes, which have been paid down by
approximately 32% or $107.6 million since the rating action in
September 2009. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in September 2009. As of the latest trustee report dated
April 5, 2011, the Class A/B and Class D overcollateralization
ratios are reported at 133.42% and 110.03%, respectively, versus
September 2009 levels of 115.64% and 100.77%, respectively.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in September 2009. Based on the April 2011 trustee report,
the weighted average rating factor is 3069 compared to 3211 in
September 2009. The deal also experienced a decrease in defaults.
In particular, the dollar amount of defaulted securities has
decreased to about $2.9 million from approximately $27.6 million
in September 2009.
Moody's notes that there has been a significant increase in the
percentage of long-dated assets in the portfolio. Based on the
April 2011 trustee report, 10.24% of the portfolio will mature
after the Stated Maturity of the Notes versus 0.20% in September
2009. Moody's has considered this additional market value risk in
its analysis.
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 $329.1 million, defaulted par of $3.7 million,
a weighted average default probability of 26.34% (implying a WARF
of 4146, a weighted average recovery rate upon default of 43.15%,
and a diversity score of 58. 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.
Babson CLO Ltd. 2004-I, issued in June 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.
Another methodology used in this rating was "Using the Structured
Note Methodology to Rate CDO Combo-Notes" published in February
2004.
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% (3317)
-- Class A-1: 0
-- Class A-2A: 0
-- Class A-2B: 0
-- Class A-2Bv: 0
-- Class B: +1
-- Class C-1: +3
-- Class C-2: +3
-- Class D: +1
-- Class Z: +2
Moody's Adjusted WARF +20% (4975)
-- Class A-1: 0
-- Class A-2A: 0
-- Class A-2B: 0
-- Class A-2Bv: 0
-- Class B: -2
-- Class C-1: -2
-- Class C-2: -2
-- Class D: -2
-- Combo Z: -2
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.
3. Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal value
upon liquidation at maturity to be equal to the lower of an
assumed liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) and the asset's
current market value.
BEAR STEARNS: Moody's Acts on $13 million of Alt-A RMBS
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches and confirmed the ratings of two tranches issued by Bear
Stearns ARM Trust 2002-1 transaction. The collateral backing these
deals primarily consists of first-lien, adjustable rate Alt-A and
negatively amortizing residential mortgages.
Ratings Rationale
The downgrade actions are a result of deteriorating performance of
Alt-A and 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 ratings of the classes I-A and II-A were previously
incorrectly placed on watch on April 15, 2010. At that time,
Moody's did not take into account the fact that these classes were
guaranteed by Fannie Mae. Due to this guarantee, Moody's has
confirmed the ratings of these two certificates.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 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: Bear Stearns ARM Trust 2002-1
-- Cl. I-A, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. III-A, Downgraded to Baa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ba2 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to C (sf); previously on Apr 15, 2010 B3
(sf) Placed Under Review for Possible Downgrade
BEAR STEARNS: Moody's Downgrades Ratings of 28 Tranches
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 28
tranches and confirmed the rating of one tranche from Bear Stearns
ARM Trust 2004-2 and 2004-9. The collateral backing these deals
consists primarily of first-lien, adjustable rate prime jumbo
residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of prime
jumbo 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.
Moody's previous rating actions considered a loss allocation
limitation defined in the prospectus supplement which provides
protection to the senior certificates backed by stronger
performing groups. However, as per the pooling and servicing
agreement (PSA), the language does not indicate a loss allocation
limitation in these deals. Moody's has confirmed with the Trustee
that it is employing this interpretation. As such, all senior
certificates will be allocated losses from the related collateral
group without regard to any limits, and Moody's has adjusted the
ratings accordingly.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include fifty four different combinations
comprising of six loss levels, three loss timing curves and three
prepayment curves. For ratings implied Aa3 and above, an
additional prepayment curve is run to assess resilience to a high
prepayment scenario.
The 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 varies from 3%
to 5% on average. 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 with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. In addition, if current delinquency levels in a small
pool are low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
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: Bear Stearns ARM Trust 2004-2
-- Cl. I-1-A, Downgraded to B1 (sf); previously on Apr 15, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2-A-1, Downgraded to B1 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2-A-2, Downgraded to B1 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2-A-3, Downgraded to B1 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-3-A, Downgraded to B1 (sf); previously on Apr 15, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-4-A, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-4-A-M, Downgraded to B1 (sf); previously on Apr 15,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-1-A, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-2-A, Downgraded to B1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-3-A, Downgraded to B1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-4-A, Downgraded to B1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B-1, Downgraded to Ca (sf); previously on Apr 15, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B-2, Downgraded to C (sf); previously on Apr 15, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B-3, Downgraded to C (sf); previously on Apr 15, 2010
Ca (sf) Placed Under Review for Possible Downgrade
-- Cl. II-B-1, Downgraded to Ca (sf); previously on Apr 15,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-B-2, Downgraded to C (sf); previously on Apr 15, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-B-3, Downgraded to C (sf); previously on Apr 15, 2010
B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns ARM Trust 2004-9
-- Cl. I-1-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2-A-2, Downgraded to Ba3 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-2-A-3, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-3-A-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-1-A-1, Downgraded to A2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-2-A-1, Downgraded to A2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-3-A-1, Downgraded to A2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. II-4-A-1, Downgraded to A2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B-1, Downgraded to Caa2 (sf); previously on Apr 15,
2010 A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B-2, Downgraded to C (sf); previously on Apr 15, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B-3, Downgraded to C (sf); previously on Apr 15, 2010
Ca (sf) Placed Under Review for Possible Downgrade
BEAR STEARNS: Moody's Slashes Down Ratings of 65 Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 65
tranches and confirmed the ratings of 3 tranches from Bear
Stearns. The collateral backing these deals primarily consists of
first-lien, fixed and adjustable rate "scratch and dent"
residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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.
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: Bear Stearns Asset Backed Securities Trust 2004-SD3
-- Cl. A-3, Downgraded to Aa3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Aa3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa3 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD4
-- Cl. A-2, Downgraded to Aa1 (sf); previously on Dec 3, 2004
Assigned Aaa (sf)
-- Cl. M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ca (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2005-SD1
-- Cl. I-A-3, Downgraded to A1 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-2, Downgraded to Baa2 (sf); previously on Nov 18,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-3, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-4, Downgraded to Ba3 (sf); previously on Nov 18,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-5, Downgraded to B3 (sf); previously on Nov 18, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-6, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A, Downgraded to Aa2 (sf); previously on Feb 20, 2005
Assigned Aaa (sf)
-- Cl. II-M-1, Downgraded to Baa1 (sf); previously on Apr 24,
2009 Downgraded to Aa3 (sf)
-- Cl. II-M-2, Downgraded to B1 (sf); previously on Nov 18,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-M-3, Downgraded to Ca (sf); previously on Nov 18,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2007-SD2
-- Cl. II-A-1, Downgraded to Caa3 (sf); previously on Nov 18,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2007-SD3
-- Cl. A, Downgraded to Caa2 (sf); previously on Nov 18, 2010
B3 (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Caa2 (sf); previously on Nov 18,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-SD1
-- Cl. A, Downgraded to Aa1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to B3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset-Backed Securities Trust 2003-SD3
-- Cl. A, Downgraded to Aa1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A1 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to B3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset-Backed Securities Trust 2004-SD1
-- Cl. A-2, Downgraded to Aa2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A2 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Caa3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ca (sf); previously on Nov 18, 2010 B1
(sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-BO1
-- Cl. M-5, Downgraded to Baa3 (sf); previously on Apr 24, 2009
Downgraded to Baa2 (sf)
-- Cl. M-6, Downgraded to B1 (sf); previously on Apr 24, 2009
Downgraded to Ba1 (sf)
-- Cl. M-7, Downgraded to Ca (sf); previously on Apr 24, 2009
Downgraded to Ba3 (sf)
-- Cl. M-8, Downgraded to C (sf); previously on Apr 24, 2009
Downgraded to Caa1 (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-1
-- Cl. A, Downgraded to Aa1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ba2 (sf); previously on Nov 18, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B3 (sf); previously on Apr 24, 2009
Downgraded to B1 (sf)
-- Cl. M-3, Downgraded to C (sf); previously on Apr 24, 2009
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2006-2
-- Cl. A-2, Downgraded to Aa1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Aa1 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at A1 (sf); previously on Nov 18, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at A2 (sf); previously on Nov 18, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to B2 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Caa3 (sf); previously on Nov 18, 2010
B2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2006-3
-- Cl. A-1, Downgraded to A2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to A3 (sf); previously on Apr 24, 2009
Downgraded to A1 (sf)
-- Cl. A-3, Downgraded to A3 (sf); previously on Apr 24, 2009
Downgraded to A1 (sf)
-- Cl. M-1, Downgraded to Ca (sf); previously on Nov 18, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2006-4
-- Cl. A-1, Downgraded to B1 (sf); previously on Nov 18, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B2 (sf); previously on Nov 18, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B2 (sf); previously on Nov 18, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: Bear Stearns Asset Backed Securities Trust 2007-1
-- Cl. A-1, Downgraded to Baa3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to B2 (sf); previously on Nov 18, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Caa1 (sf); previously on Nov 18, 2010
B1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C (sf); previously on Apr 24, 2009
Downgraded to Ca (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2007-2
-- Cl. A-1, Confirmed at A1 (sf); previously on Nov 18, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Ba2 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to B2 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to C (sf); previously on Nov 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
BEAR STEARNS: S&P Lowers Ratings on 2 Classes From 'CC' to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes II-A-2 and III-A-2 from Bear Stearns Structured Products
Inc. Trust 2007-R8 by lowering them to 'D (sf)' from 'CC (sf)'.
"We previously lowered our ratings on these classes to 'D (sf)' on
April 19, 2011. However, on April 21, 2011, we incorrectly raised
our ratings on these classes," said S&P.
Ratings Corrected
Bear Stearns Structured Products Inc. Trust 2007-R8
Series 2007-R8
Rating
Class CUSIP Current 04/21/11 Pre-04/21/11
II-A-2 07402PAD5 D (sf) CC (sf) D (sf)
III-A-2 07402PAF0 D (sf) CC (sf) D (sf)
C-BASS CBO: S&P Affirms Ratings on 2 Classes of Notes at 'BB'
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class B, C, D-1, and D-2 notes issued by C-Bass CBO V Ltd., an
arbitrage collateralized bond obligation (CBO) transaction
collateralized primarily by mezzanine structured finance bonds.
"At the same time, we removed our ratings on the class B and C
notes from CreditWatch with negative implications," S&P said.
"We placed our ratings on the class B and C notes on CreditWatch
negative on Jan. 18 2011, in connection with the implementation of
our revised counterparty criteria (see "Ratings On 950 North
America Structured Finance Tranches On Watch Neg After
Counterparty Criteria Update," published Jan. 18, 2011)," S&P
noted.
S&P continued, "In our review, we generated cash flow analysis to
assess the credit support available to the class B and C notes
without giving benefit to the interest rate hedge agreements that
the transaction has entered into with a counterparty, stressing
the CBO under various interest rate scenarios in the absence of
the interest rate hedges. In our view, the cash flow analysis of
the transaction showed that the ratings assigned to the class B
and C notes were not affected under these stresses, and as a
result, we affirmed the current ratings assigned to the class B
and C notes and removed them from CreditWatch negative."
"We will perform similar analyses for other collateralized debt
obligation transactions with ratings we placed on CreditWatch
negative in connection with the implementation of our updated
counterparty criteria. Generally, if we find in our analysis that
the assumed absence of the hedge agreement would not affect the
current ratings assigned to the notes, we will affirm them and
remove them from CreditWatch negative. However, if there is an
impact, we will review the counterparty-related documents in the
transaction for compliance with our updated counterparty criteria
and take actions on the ratings as we deem appropriate," S&P
added.
The affirmations of the class D-1 and D-2 notes reflect the
availability of credit support at the current rating levels.
Rating and CreditWatch Actions
C-Bass CBO V Ltd.
Rating
Class To From
B AA (sf) AA (sf)/Watch Neg
C A+ (sf) A+ (sf)/Watch Neg
Ratings Affirmed
C-Bass CBO V Ltd.
Class Rating
D-1 BB (sf)
D-2 BB (sf)
C-BASS MORTGAGE: Moody's Downgrades Ratings of Nine Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 9
tranches and confirmed the ratings of 5 tranches from C-Bass.
The collateral backing these deals primarily consists of first-
lien, fixed and adjustable rate "scratch and dent" residential
mortgages. Scratch and Dent deals are classified outside of
Moody's primary categorizations (Prime Jumbo, Subprime, Option
ARMs and Alt-A) for a number of reasons. The pools may include
mortgages that have been originated outside an originator's
program guidelines in some way, or mortgages where borrowers
missed payments in the past. These pools may also include loans
with document defects at origination that were since rectified.
Due to the varied content of Scratch and Dent mortgage pools,
which can range from seasoned prime-like loans to non-prime loans
that were seriously delinquent at the time of securitization,
credit quality of these pools varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 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: C-BASS 2003-RP1 Trust
-- Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 18, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on Apr 24, 2009
Downgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2004-RP1
-- Cl. M-2, Downgraded to Baa2 (sf); previously on Jul 5, 2004
Assigned A1 (sf)
-- Cl. M-3, Downgraded to Caa3 (sf); previously on Jul 5, 2004
Assigned A2 (sf)
-- Cl. B-1, Downgraded to C (sf); previously on Nov 18, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to C (sf); previously on Nov 18, 2010 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2005-RP2
-- Cl. AF-3, Confirmed at Aaa (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. AV-2, Confirmed at Aaa (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-RP1
-- Cl. A-2, Confirmed at Aa3 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at A3 (sf); previously on Nov 18, 2010 A3
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at B3 (sf); previously on Nov 18, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on Apr 24, 2009
Downgraded to Ca (sf)
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2007-SP1
-- Cl. A-3, Downgraded to A1 (sf); previously on Apr 24, 2009
Downgraded to Aa2 (sf)
CD 2005-CD1: S&P Lowers Ratings on 3 Classes of Certs. to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 13
classes of commercial mortgage pass-through certificates from CD
2005-CD1 Commercial Mortgage Trust, a U.S. commercial mortgage-
backed securities (CMBS) transaction, three of which S&P lowered
to 'D (sf)'. "Concurrently, we affirmed our 'AAA (sf)' ratings on
seven other classes from the same transaction," S&P noted.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. Our
analysis included a review of the credit characteristics of all of
the remaining assets in the pool, the transaction structure, and
the liquidity available to the trust. The downgrades also reflect
the credit support erosion that we anticipate will occur upon the
eventual resolution of 16 ($264.0 million, 7.3%) of the 23
assets ($356.7 million, 9.9%) that are with the specially
servicer. In addition, current and potential interest shortfalls
primarily due to appraisal subordinate entitlement reduction
(ASER) amounts and special servicing fees prompted us to lower our
ratings on the class K, L, and M certificates to 'D (sf)'," S&P
continued.
"Using servicer-provided financial information, we calculated
an adjusted debt service coverage (DSC) of 1.45x and a loan-to-
value (LTV) ratio of 107.5%. We further stressed the assets'
cash flows under our 'AAA' scenario to yield a weighted average
DSC of 0.94x and an LTV ratio of 141.8%. The implied defaults and
loss severity under the 'AAA' scenario were 84.0% and 34.4%. The
DSC and LTV calculations we noted above exclude two defeased loans
($9.1 million, 0.3%) and 16 ($264.0 million, 7.3%) of the 23
assets ($356.7 million, 9.9%) that are with the special servicer.
We separately estimated losses for the 16 specially serviced
assets, which we included in our 'AAA' scenario-implied default
and loss severity figures," noted S&P.
As of the May 17, 2011 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $578,209. The
shortfalls were primarily related to ASER amounts totaling
$420,544 associated with 15 of the specially serviced assets, as
well as special servicing fees, interest paid to servicer, and
other interest shortfalls. These amounts were reduced during this
period by ASER recoveries on two loans. Classes K and L have
experienced interest shortfalls for nine months, and class M has
experienced interest shortfalls for 10 months. "We anticipate that
these shortfalls will continue for the foreseeable future. As a
result, we lowered our rating on these classes to 'D (sf)'," S&P
related.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels and liquidity that is
consistent with the outstanding ratings. S&P stated, "We affirmed
our rating on the class X interest-only (IO) certificate based on
our current criteria."
Credit Considerations
As of the May 17, 2011, remittance report, 23 assets
($356.7 million, 9.9%) in the pool were with the special
servicer, LNR Partners LLC (LNR). The payment status of
these assets is: four ($70.6 million, 2.0%) are real estate
owned (REO), two ($15.9 million, 0.4%) are in foreclosure,
six ($151.5 million, 4.2%) are matured balloon loans, seven
($81.3 million, 2.3%) are 90-plus-days delinquent, one
($12.8 million, 0.3%) is 60-days delinquent, two ($17.2 million,
0.5%) are in their grace periods, and one ($7.3 million, 0.2%)
is current. Eighteen ($282.4 million, 7.6%) of the 23 specially
serviced assets ($282.4 million, 7.9%) have appraisal reduction
amounts (ARA) in effect totaling $115.5 million. S&P discusses
details of the two largest specially serviced loan:
The Union Square Apartments loan, the largest asset with the
special servicer and the 10th-largest asset in the pool, is
secured by a 542-unit multifamily property in Palm Beach Gardens,
Fla. The loan has a total exposure of $60.1 million, which
consists of an outstanding principal balance of $58.0 million
(1.6%) and $2.1 million of advancing and interest thereon. The
loan matured on Nov. 1, 2010, and is currently a nonperforming
matured balloon loan. The reported DSC and occupancy as of
Dec. 31, 2009, were 0.79x and 90.0%. "LNR has indicated that
it is pursuing foreclosure. We expect a significant loss upon
the eventual resolution of this loan," S&P stated.
The One Financial Plaza loan ($42.6 million, 1.2%), the second-
largest asset with the special servicer, is secured by a 393,902-
sq.-ft. office property in Minneapolis. The underlying mortgage
was transferred to the special servicer on Feb. 24, 2010, due
to imminent default and was foreclosed on Dec. 3, 2010. As of
June 30, 2009, the reported a net cash flow was negative and
occupancy was 42%. LNR has retained a manager and leasing agent
for the property. "We expect a significant loss upon the eventual
resolution of this loan. The remaining 21 specially serviced
assets ($256.1 million, 7.1%) individually represent less than
1.0% of the pool balance. ARAs totaling $69.0 million were in
effect against 16 of these assets. We estimated losses for 14
of these assets ranging from 10.0% to 75.5% with a weighted
average loss severity of 45.7%. Of the remaining seven assets
($92.7 million, 2.6%) with the special servicer, one asset is
expected to be liquidated without a loss, another asset is in the
process of being repositioned, two assets are performing under a
forbearance agreement, the borrowers on two assets are requesting
debt relief and a workout strategy is still being developed, and
one asset is with the special servicer due to failure to implement
a lockbox," S&P elaborated.
Transaction Summary
As of the May 17, 2011, remittance report, the aggregate trust
balance was $3.60 billion, which is 92.1% of the balance at
issuance. The trust includes 214 loans and four REO assets, down
from 225 loans at issuance. The master servicer, Midland Loan
Services Inc., provided financial information for 97.0% of the
pool balance, all of which was either interim 2009, full-year
2009, interim 2010, or full-year 2010 information. Two loans
($9.1 million, 0.3%) have been defeased.
According to S&P, "We calculated a weighted average DSC of 1.48x
for the loans in the pool based on the reported figures. Our
adjusted DSC and LTV were 1.45x and 141.8%, respectively, which
exclude 16 ($264.0 million, 7.3%) of the transaction's 23
assets with the special servicer."
The trust has experienced a total of $20.5 million in principal
losses relating to seven loans. Forty-six loans ($507.3 million,
14.1%) are on the master servicer's watchlist. Fifty-five loans
($738.8 million, 20.5%) have a reported DSC below 1.10x, 44 of
which ($615.9 million, 17.1%) have a reported DSC of less than
1.00x.
Summary of Top 10 Loans
The top 10 assets have an aggregate outstanding trust balance
of $1.24 billion (35.1%). "Using servicer-reported financial
information, we calculated a weighted average DSC for the top 10
assets of 1.82x. Our adjusted DSC and LTV figures for the top 10
assets were 1.59x and 95.8%. Our adjusted figures exclude the
10th-largest asset in the pool, which we discussed in Credit
Considerations," S&P stated.
Standard & Poor's stressed the assets in the pool according to its
criteria and the analysis is consistent with its lowered and
affirmed ratings.
Ratings Lowered
CD 2005-CD1 Commercial Mortgage Trust
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M A+ (sf) AA- (sf) 21.15
A-J BBB- (sf) A- (sf) 12.59
B BB+ (sf) BBB+ (sf) 11.78
C BB (sf) BBB (sf) 10.56
D BB- (sf) BBB-(sf) 9.34
E B+ (sf) BB+ (sf) 7.71
F B (sf) BB (sf) 6.62
G B- (sf) BB- (sf) 5.40
H CCC+ (sf) B- (sf) 4.18
J CCC- (sf) CCC+ (sf) 2.82
K D (sf) CCC- (sf) 2.01
L D (sf) CCC- (sf) 1.73
M D (sf) CCC- (sf) 1.33
Ratings Affirmed
CD 2005-CD1 Commercial Mortgage Trust
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2FL AAA (sf) 32.00
A-2FX AAA (sf) 32.00
A-3 AAA (sf) 32.00
A-SB AAA (sf) 32.00
A-4 AAA (sf) 32.00
A-1A AAA (sf) 32.00
X AAA (sf) N/A
N/A -- Not applicable.
CD 2006-CD2: Moody's Affirms 27 CMBS Classes of Notes
-----------------------------------------------------
Moody's Investors Service affirmed the ratings of 27 classes of CD
2006-CD2 Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2006-CD2:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 22, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 22, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 22, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Oct 14, 2010
Confirmed at Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Oct 14, 2010
Confirmed at Aaa (sf)
-- Cl. A-1B, Affirmed at Aaa (sf); previously on Mar 22, 2006
Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on Mar 22, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-M, Affirmed at Aa3 (sf); previously on Oct 14, 2010
Downgraded to Aa3 (sf)
-- Cl. A-J, Affirmed at Baa2 (sf); previously on Oct 14, 2010
Downgraded to Baa2 (sf)
-- Cl. B, Affirmed at Baa3 (sf); previously on Oct 14, 2010
Downgraded to Baa3 (sf)
-- Cl. C, Affirmed at Ba2 (sf); previously on Oct 14, 2010
Downgraded to Ba2 (sf)
-- Cl. D, Affirmed at B2 (sf); previously on Oct 14, 2010
Downgraded to B2 (sf)
-- Cl. E, Affirmed at Caa2 (sf); previously on Oct 14, 2010
Downgraded to Caa2 (sf)
-- Cl. F, Affirmed at Caa3 (sf); previously on Oct 14, 2010
Downgraded to Caa3 (sf)
-- Cl. G, Affirmed at Ca (sf); previously on Oct 14, 2010
Downgraded to Ca (sf)
-- Cl. H, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Oct 14, 2010
Downgraded to C (sf)
-- Cl. VPM-1, Affirmed at Ba1 (sf); previously on Oct 14, 2010
Downgraded to Ba1 (sf)
-- Cl. VPM-2, Affirmed at Ba2 (sf); previously on Oct 14, 2010
Downgraded to Ba2 (sf)
-- Cl. VPM-3, Affirmed at Ba2 (sf); previously on Oct 14, 2010
Downgraded to Ba2 (sf)
-- Cl. VPM-4, Affirmed at Ba3 (sf); previously on Oct 14, 2010
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the Herfindahl Index (Herf), 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
9.9% of the current balance. At last review, Moody's cumulative
base expected loss was 10.3%. Moody's stressed scenario loss is
24.9% of the current balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current 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.
The primary methodology used in this rating was "CMBS: Moody's
Approach to Rating U.S. Conduit Transactions", published in
September 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 (CMBS) 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 14, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 10% to $2.8 billion
from $3.1 billion at securitization. The Certificates are
collateralized by 188 mortgage loans ranging in size from less
than 1% to 13% of the pool, with the top ten loans representing
32% of the pool. There are no loans with investment grade credit
estimates and none of the loans have defeased.
Thirty-eight 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 (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $41.4 million (42% loss severity
overall). Sixteen loans, representing 25% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Villas Parkmerced Loan ($291.4 million -- 12% of the
pool), which represents the senior interest in an interest-only
$340 million first mortgage loan. The junior interest is held
within the trust and secures non-pooled classes VPM-1, VPM-2, VPM-
3 and VPM-4. The property is also encumbered by a $200 million B-
note which is held outside the trust. The loan is secured by a
3,221-unit multi-family complex located in San Francisco,
California. The property was 93% leased as of September 2010
compared to 97% at securitization. The loan was transferred to
special servicing in May 2010 for imminent default after the
borrower indicated that it had insufficient funds to cover the
property's operating expenses. In October 2010, Fortress
Investment Group acquired ownership of the property. Fortress
negotiated a loan modification with the lender to extend the
maturity to February 2011. In February 2011, the loan was modified
a second time with a principal repayment of $10 million and
maturity extension to February 2016. The loan is interest only for
the first two years and amortizes on a 360-month schedule
thereafter. The loan is current and is pending return to the
master servicer. Moody's current LTV and stressed DSCR are 100%
and 0.92X, respectively, compared to 110% and 0.84X at last
review. Moody's is not currently estimating a loss for this loan.
The second largest specially serviced loan is the Valley View
Center Loan ($125.0 million -- 4.4% of the pool), which is secured
by a 733,000 SF retail mall (total mall is 1.5 million SF) located
in Dallas, Texas. The loan was transferred to special servicing in
May 2010 due to imminent default and is in the foreclosure
process. The property was 53% leased as of March 2010 compared to
96% at securitization. Dillards and Macy's (both not part of the
collateral) vacated in May 2010. The property was appraised for
$37.1 million as of November 2010.
The master servicer has recognized an aggregate $174.2 million
appraisal reduction for nine of the specially serviced loans.
Moody's has estimated an aggregate $187.5 million loss (50%
expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for 22 poorly
performing loans representing 9% of the pool and has estimated a
$37.3 million aggregate loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 and partial and full year
2010 operating results for 94% and 77% of the pool's loans,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 106% compared to 107% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 8% 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 1.28X and 0.94X, respectively, the same at
last review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 36 compared to 39 at Moody's prior review.
The top three performing loans represent 7% of the pool. The
largest loan is the SunTrust Center Loan ($77.0 million -- 2.7% of
the pool), which is secured by a 646,281 SF commercial complex
located in Orlando, Florida. The property consists of a 30-story
Class A office tower, a seven-story office building and an eight-
story atrium. As of November 2010, the property was 70% leased
compared to 86% at securitization. SunTrust Bank, the largest
tenant, vacated over half the net rentable area (NRA) it
originally occupied when its lease expired in 2008. Moody's LTV
and stressed DSCR are 119% and 0.86X, respectively, essentially
the same at last review.
The second largest loan is the Harrisburg Portfolio Loan ($59.8
million -- 2.1% of the pool), which is secured by four office
properties that consist of 16 buildings (671,800 SF). The
properties are in three office parks located in Harrisburg and
Mechanicsburg, Pennsylvania. As December 2009, the portfolio was
90% leased, essentially the same as at securitization. Moody's LTV
and stressed DSCR are 128% and 0.80X, respectively, essentially
the same at last review.
The third largest loan is the Sunset Media Tower Loan ($54.8
million -- 1.9% of the pool), which is secured by a 314,000 SF
Class A office building located in Hollywood, California. The loan
is on the watchlist for low occupancy. As of February 2011, the
property was 80% leased compared to 70% as of June 2010 and 94% at
securitization. Magical Elves (MEI Productions) recently signed a
lease for 10% of the NRA for seven and a half years upon
completion of tenant improvements. Magical Elves will pay half of
the base rent for two years and 36 months of the remaining 66
months and base rent will increase 3% annually. Moody's LTV and
stressed DSCR are 114% and 0.85X, respectively, compared to 106%
and 0.92X at last review.
CELERITY CLO: Moody's Upgrades Ratings of Four Classes of Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Celerity CLO Limited:
-- US$29,000,000 Class C Third Priority Deferrable Floating
Rate Notes Due 2016, Upgraded to Aa1 (sf); previously on
November 23, 2010 Upgraded to A1 (sf);
-- US$16,000,000 Class D Fourth Priority Deferrable Floating
Rate Notes Due 2016, Upgraded to Baa3 (sf); previously on
November 23, 2010 Upgraded to B1 (sf);
-- US$8,000,000 Class E Fifth Priority Deferrable Floating Rate
Notes Due 2016 (current balance of $7,641,347), Upgraded to
Caa1 (sf); previously on October 1, 2009 Downgraded to Caa3
(sf);
-- US$3,000,000 Class 1 Combination Securities (current rated
balance of $1,910,910), Upgraded to Aaa (sf); previously on
November 23, 2010 Upgraded to Aa3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from improvement in the overcollateralization of the
notes due to delevering of the Class A Notes, which have been paid
down by approximately 78% or $53 million since the last rating
action in November 2010. A substantial proportion of this paydown
is attributable to principal prepayments on the underlying loans.
As of the latest trustee report dated April 8, 2011, the Senior,
Class C, Class D, and Class E overcollateralization ratios are
reported at 257.41%, 144.18%, 116.03%, and 106.13%, respectively,
versus October 2010 levels of 164.13%, 124.1%, 109.38%, and
103.52%, respectively, and all related overcollateralization
ratios are currently in compliance. Moody's also notes that the
credit profile of the underlying portfolio has been relatively
stable since the last rating action. Based on the April 2011
trustee report, the weighted average rating factor is 2551
compared to 2527 in October 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 of $93.7 million, defaulted par of $3 million, weighted
average default probability of 18.9% (implying a WARF of 3135), a
weighted average recovery rate upon default of 44.3%, and a
diversity score of 29. 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.
Celerity CLO Limited. issued on March 17, 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in these ratings 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 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,
whereby a positive difference corresponds to lower expected
losses), assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2508)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +3
Class 1 Combination: 0
Moody's Adjusted WARF + 20% (3762)
Class A: 0
Class B: 0
Class C: -1
Class D: -1
Class E: -1
Class 1 Combination: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the 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 deals'
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus selling defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
CHAMPLAIN CLO: Moody's upgrades Ratings of 7 Classes of Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Champlain CLO, Ltd.:
-- US$335M Class A-1 Senior Secured Floating Rate Notes Notes
(current balance of $257,368,424), Upgraded to Aaa (sf);
previously on Jul 21, 2009 Downgraded to Aa3 (sf);
-- US$30M Class A-2 Revolving Senior Secured Floating Rate
Notes Notes (current balance of $23,047,919), Upgraded to
Aaa (sf); previously on Jul 21, 2009 Downgraded to Aa3 (sf);
-- US$10.7M Class B Senior Secured Deferrable Floating Rate
Notes Notes, Upgraded to Aa2 (sf); previously on Jul 21,
2009 Confirmed at Baa3 (sf);
-- US$24.4M Class C-1 Secured Floating Rate Notes Notes,
Upgraded to Baa2 (sf); previously on Jul 21, 2009 Downgraded
to Caa1 (sf);
-- US$10M Class C-2 Secured Fixed Rate Notes Notes, Upgraded to
Baa2 (sf); previously on Jul 21, 2009 Downgraded to Caa1
(sf);
-- US$25M Class C-1 Combination Notes (current rated balance of
$14,195,674), Upgraded to A3 (sf); previously on Jul 21,
2009 Downgraded to Caa1 (sf);
-- US$13M Class C-2 Combination Notes (current rated balance of
$9,311,498), Upgraded to Baa1 (sf); previously on Jul 21,
2009 Downgraded to B3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A Notes, which have
been paid down by approximately 23.2% or $84.6 million since the
rating action in July 2009. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in July 2009. Based on the latest trustee report from April
2011, the Class A overcollateralization ratio is reported at
132.0%, versus June 2009 levels of 114.8%.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating action.
Based on the April 2011 trustee report, the weighted average
rating factor is 2796 compared to 2653 in June 2009, and the
percentage of securities rated Caa1 and below has remained the
same at 11.5% since June 2009. The deal also experienced a
decrease in defaults. In particular, the dollar amount of
defaulted securities has decreased to about $2.9 million from
approximately $38.7 million in June 2009.
In addition to the delevering of the Class A Notes, the rating
actions taken on the Class C-1 Combination Notes and Class C-2
Combination Notes also reflect corrections to the modeling of the
Class C-1 Combination Notes' principal and the Class C-2
Combination Notes' Rated Balance.
The correction to the Class C-1 Combination Notes reflects the
impact of changes to the calculation of the current principal
amount and the modeling of principal reductions for these notes.
In previous rating actions , Moody's incorrectly calculated the
current principal amount of the Class C-1 Combination Notes and
incorrectly modeled future principal reductions as being reduced
solely by distributions from its Preferred Share component. In
fact, the current principal and future principal reductions of
these notes should incorporate distributions received from both
its Class C-1 Notes and Preferred Share underlying components, and
the rating action reflects this correction.
The correction to the Class C-2 Combination Notes reflects the
impact of a change in the calculation of the current Rated Balance
of these notes. In previous rating actions, Moody's incorrectly
calculated the current Class C-2 Combination Notes' Rated Balance
as reduced solely by distributions from its Preferred Share
component. In fact, the Rated Balance on these notes is reduced by
distributions received from its Class C-2 Notes and Preferred
Share underlying components above a 3.0% coupon, and the rating
action reflects this correction.
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 $323.1 million , defaulted par of $6.8
million, a net APEX Revolver amount of of $42.4M equal to the APEX
Revolver Limit less the APEX Revolver Balance, a weighted average
default probability of 23.8% (implying a WARF of 3655), a weighted
average recovery rate upon default of 43.2%, 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.
Champlain CLO, Ltd., issued in May 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.
Another methodology used was "Using the Structured Note
Methodology to Rate CDO Combo-Notes" published in February 2004.
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,
whereby a positive difference corresponds to lower expected
losses), assuming that all other factors are held equal:
Moody's Adj. WARF -20% (2924)
-- A1: 0
-- A2: 0
-- A3: 0
-- B: +2
-- C1: +2
-- C2: +2
-- C-1 Combo: +2
-- C-2 Combo: +3
Moody's Adj. WARF +20% (4386)
-- A1: -1
-- A2: -1
-- A3: -1
-- B: -2
-- C1: -2
-- C2: -2
-- C-1 Combo: -2
-- C-2 Combo: -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.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal value
upon liquidation at maturity to be equal to the lower of an
assumed liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) and the asset's
current market value.
CHARTWEL CBO: Moody's Upgrades Class B Notes Rating to 'Ba2'
------------------------------------------------------------
Moody's Investors Service has upgraded the rating of these notes
issued by Chartwell CBO I:
-- US$12,800,000 Class B Floating Rate Notes, Due 2012 (current
outstanding balance of $8,887,638.20), Upgraded to Ba2 (sf);
previously on April 29, 2010 Upgraded to Ca (sf).
Ratings Rationale
According to Moody's, the rating action taken on the notes results
primarily from the delevering of the Class B Notes, which have
been paid down by approximately 31% or $3.9 million since the
rating action in April 2010. On April 11, 2011 Payment Date, Class
A paid off in full and Class B received a principal payment of
approximately $3.9 million. According to the latest trustee
report, dated, April 4, 1011, prior to giving effect to the April
2011 distributions, the Class B overcollateralization ratio
increased from 104.45% in April 2010 to 115.11% in April 2011.
Moody's also notes that the deal has benefited from slight
improvement in the credit quality of the underlying portfolio
since the rating action in April 2010. Based on the April 2011
trustee report, the weighted average rating factor is 5973
compared to 6136 in April 2010, and securities rated Caa1 and
below make up approximately 22.5% of the underlying portfolio
versus 48.70% in April 2010. The deal also experienced a decrease
in defaults. In particular, the dollar amount of defaulted
securities has decreased to about $1.7 million from approximately
$6.8 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 $14.3 million, defaulted par of $3.1 million,
a weighted average default probability of 31.16% (implying a WARF
of 6910), a weighted average recovery rate upon default of 19.23%,
and a diversity score of 10. 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 CBO 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.
Chartwell CBO I, issued in September 2000, is a collateralized
bond obligation backed primarily by a portfolio of senior
unsecured bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
This publication incorporates rating criteria that apply to both
collateralized loan obligations and collateralized bond
obligations.
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, due to the low
diversity of the collateral pool, CDOROM 2.8 was used to simulate
a default distribution that was then applied as an input in the
cash flow model.
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% (5528)
-- Class B: +2
-- Class C: 0
-- Class D: 0
Moody's Adjusted WARF + 20% (8292)
-- Class B: -4
-- Class C: 0
-- Class D: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. The 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 bond 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.
3. Long-dated assets: The presence of assets that mature beyond
the CBO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal value
upon liquidation at maturity to be equal to the lower of an
assumed liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) and the asset's
current market value.
4. Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few
large obligors, especially when they experience jump to
default. Due to the deal's low diversity score and lack of
granularity, Moody's supplemented its typical Binomial
Expansion Technique analysis with a simulated default
distribution using Moody's CDOROMTM software and/or individual
scenario analysis.
CHL MORTGAGE: Moody's Downgrades Ratings of 41 Tranches
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 41
tranches, confirmed the ratings of 5 tranches and left the ratings
of 7 tranches on review direction uncertain from five prime jumbo
deals issued by CHL Mortgage Pass-Through Trust. The collateral
backing these deals consists primarily of first-lien, fixed and
adjustable rate prime jumbo residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of prime
jumbo 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 rating methodology has been updated to account for the
deteriorating performance and outlook.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
Moody's ratings for CHL 2003-18, 2003-28, 2003-39 and 2003-49 are
based on the loss allocation rules outlined in the prospectus
supplement since the issuer confirmed that the Pooling and
Servicing Agreements (PSA) will be amended to conform the PSA to
the prospectus. The bonds affected in these transactions will
remain on review direction uncertain pending the completion of the
amendments.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include fifty four different combinations
comprising of six loss levels, three loss timing curves and three
prepayment curves. For ratings implied Aa3 and above, an
additional prepayment curve is run to assess resilience to a high
prepayment scenario.
The 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 varies from 3%
to 5% on average. 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 with a base rate of new
delinquency of 3.00%, the adjusted rate of new delinquency would
be 3.03%. 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 0.75 to 2.5 for current
delinquencies ranging from less than 2.5% to greater than 10%
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: CHL Mortgage Pass-Through Trust 2003-18
-- Cl. A-10, Downgraded to A1 (sf); previously on Jun 16, 2003
Assigned Aaa (sf)
-- Cl. A-11, Downgraded to A1 (sf) and Placed Under Review
Direction Uncertain; previously on Jun 16, 2003 Assigned Aaa
(sf)
-- Cl. A-12, Downgraded to A2 (sf) and Placed Under Review
Direction Uncertain; previously on Jun 16, 2003 Assigned Aaa
(sf)
-- Cl. PO, Downgraded to A1 (sf); previously on Jun 16, 2003
Assigned Aaa (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-28
-- Cl. A-2, Downgraded to A1 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-3, Downgraded to A1 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-4, Downgraded to Baa3 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-8, Downgraded to Baa3 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-9, Downgraded to Baa3 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-11, Downgraded to A1 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-12, Downgraded to A1 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
-- Cl. A-13, Downgraded to Ba3 (sf) and Placed Under Review
Direction Uncertain; previously on Jul 18, 2003 Assigned Aa1
(sf)
-- Cl. PO, Downgraded to Baa3 (sf); previously on Jul 18, 2003
Assigned Aaa (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-39
-- Cl. A-2, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Aa1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to Baa2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
-- Cl. A-5, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to Baa2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-8, Downgraded to A3 (sf) and Placed Under Review
Direction Uncertain; previously on Apr 15, 2010 Aaa (sf)
Placed Under Review for Possible Downgrade
-- Cl. A-9, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-10, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-12, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-14, Downgraded to Baa1 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-15, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-16, Downgraded to Aa1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-17, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-18, Downgraded to A2 (sf) and Placed Under Review
Direction Uncertain; previously on Apr 15, 2010 Aaa (sf)
Placed Under Review for Possible Downgrade
-- Cl. A-19, Downgraded to A3 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-20, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. PO, Downgraded to Baa2 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2003-48
-- Cl. 1-A-1, Downgraded to Baa2 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-2, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-A-3, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. 2-X-1, Downgraded to Baa3 (sf); previously on Apr 15,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Caa2 (sf); previously on Apr 15, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Apr 15, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to B2 (sf); previously on Apr 15, 2010 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2003-49
-- Cl. A-5, Confirmed at Aaa (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-7, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-8-A, Downgraded to Aa2 (sf) and Placed Under Review
Direction Uncertain; previously on Apr 15, 2010 Aaa (sf)
Placed Under Review for Possible Downgrade
-- Cl. A-8-B, Downgraded to A3 (sf) and Placed Under Review
Direction Uncertain; previously on Apr 15, 2010 Aa1 (sf)
Placed Under Review for Possible DowngradeC
-- Cl. A-9, Downgraded to A1 (sf); previously on Apr 15, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M, Downgraded to Baa3 (sf); previously on Apr 15, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to B1 (sf); previously on Apr 15, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Caa3 (sf); previously on Apr 15, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
CITIGROUP MORTGAGE: Moody's Downgrades Ratings of Five Tranches
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 5 tranches
and confirmed the ratings of 2 tranches from 1 RMBS transaction.
The collateral backing the deal primarily consists of first-lien,
fixed and adjustable rate "scratch and dent" residential
mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: Citigroup Mortgage Loan Trust, Series 2003-HE4
-- Cl. A, Confirmed at Aaa (sf); previously on Apr 8, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Underlying Rating: Confirmed at Aaa (sf); previously on Apr 8,
2010 Aaa (sf) Placed Under Review for Possible Downgrade*
-- Cl. M-1, Confirmed at Aa3 (sf); previously on Apr 8, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba2 (sf); previously on Apr 8, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to B2 (sf); previously on Apr 8, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Ca (sf); previously on Apr 8, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-5, Downgraded to C (sf); previously on Apr 8, 2010 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-6, Downgraded to C (sf); previously on Apr 8, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
COMM'L MORTGAGE: Moody's Affirms 11 CMBS Classes of CMAT 1999-C1
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 11 classes of
Commercial Mortgage Asset Trust , Commercial Mortgage Pass-Through
Certificates, Series 1999-C1:
-- Cl. X, Affirmed at Aaa (sf); previously on Mar 25, 1999
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 25, 1999
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Jul 8, 2004
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Jul 20, 2006
Upgraded to Aaa (sf)
-- Cl. D, Affirmed at Aaa (sf); previously on Sep 25, 2008
Upgraded to Aaa (sf)
-- Cl. E, Affirmed at Aa2 (sf); previously on Sep 25, 2008
Upgraded to Aa2 (sf)
-- Cl. F, Affirmed at Baa2 (sf); previously on Nov 3, 2010
Downgraded to Baa2 (sf)
-- Cl. G, Affirmed at B3 (sf); previously on Nov 3, 2010
Downgraded to B3 (sf)
-- Cl. H, Affirmed at Caa3 (sf); previously on Nov 3, 2010
Downgraded to Caa3 (sf)
-- Cl. J, Affirmed at C (sf); previously on Nov 3, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Nov 3, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl
Index (Herf), 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
7.8% of the current balance. At last review, Moody's cumulative
base expected loss was 9.1%. Moody's stressed scenario loss is
11.5% of the current balance. Realized losses are currently 3.4%
of the original pool balance compared to 2.1% at the prior review.
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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current 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.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" published on April 19,
2005. A secondary methodology Moody's also considered was "CMBS:
Moody's Approach to Rating Credit Tenant Lease (CTL) Backed
Transactions published on October 2, 1998.
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
(Herf), 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 24 compared to 26 at Moody's prior review.
Moody's currently uses a Gaussian copula model to evaluate pools
of credit tenant loans (CTLs) within CMBS transactions. Moody's
public CDO rating model CDOROMv2.8-5 is used to generate a
portfolio loss distribution to assess the ratings. 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 to
determine a recovery rate upon a loan's default. Moody's also
considers the overall structure and legal integrity of the
transaction.
Moody's 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 (CMBS) 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 3, 2010. Please see
the ratings tab on the issuer/entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 55% to $1.07
billion from $2.37 billion at securitization. The Certificates are
collateralized by 133 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten non-defeased loans
representing 39% of the pool. Forty-three loans, representing 28%
of the pool, have defeased and are secured by U.S. Government
securities. The pool contains a CTL component, representing 6.2%
of the pool.
Twenty-eight loan, representing 15% of the pool, is on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) 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.
Twenty-six loans have been liquidated from the pool, resulting in
a realized loss of $80.2 million (45% loss severity). At last
review, the pool had experienced aggregate realized losses of
$48.7 million. Currently four loans, representing 19% of the pool,
are in special servicing. The largest specially serviced loan is
The Source Loan ($124.0 million -- 11.6%), which is secured by a
521,500 square foot mall owned by Simon Property Group located in
Westbury, New York. The center is shadow anchored by a Fortunoff
Backyard store. Two of the larger tenants in the mall were Circuit
City and Steve & Barry's, both of which declared bankruptcy and
vacated the mall several years ago. The loan was transferred to
special servicing in January 2009 due to tenant issues as well as
a pending maturity. The loan matured on March 11, 2009 and was
unable to refinance. The special servicer is discussing workout
options with the borrower at this time.
The remaining three specially serviced properties are secured by
office properties located Ohio, Michigan, and Texas. Moody's
estimates an aggregate $70.0 million loss for the specially
serviced loans (35% expected loss on average).
Moody's has assumed a high default probability for three poorly
performing loans representing 2% of the pool and has estimated a
$2.5 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 97%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 70% compared to 67% 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 9.2%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.67X and 2.00X, respectively, compared to
1.60X and 1.90X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest performing conduit loan is the Laurel Mall Loan
($45.8 million -- 4.3%), which is secured by the borrower's
interest in a 505,000 square foot regional mall owned by CBL &
Associates located in Livonia, Michigan, a western suburb of
Detroit. The mall is anchored by Von Maur and Parisian and is
98% leased as of September 2010, essentially the same as last
review. Although occupancy has been stable, performance has
dropped since the prior review since some of the national tenants
have renegotiated their leases to lower rent levels. Additionally,
several retailers, including Talbot's Kids, Williams Sonoma, Ann
Taylor, and American Eagle have moved out of the mall. Moody's LTV
and stressed DSCR are 76% and 1.39X, respectively, compared to 68%
and 1.54X at last review.
The second largest performing conduit loan is the Best of the West
Shopping Center Loan ($34.7 million - 3.2%), which is secured by a
475,000 square feet retail property located in Las Vegas, Nevada.
The property was 90% leased as of December 2010, essentially the
same as last review. Performance has been stable and there is
minimal near-term lease rollover. Moody's LTV and stressed DSCR
are 63% and 1.62X, respectively, compared to 64% and 1.59X at last
review.
The third largest performing conduit loan is the Hunter's Square
Loan ($34.3 million - 3.2%), which is secured by a 355,000 square
feet retail property located in Farmington Hills, Michican. The
property was 95% leased as of September 2010 compared to 97% at
the prior review. Major tenants include Border's (currently in
bankruptcy but expected to remain open), Bed, Bath, and Beyond,
and Marshall's. Performance has been stable. Moody's LTV and
stressed DSCR are 63% and 1.62X, respectively, compared to 64% and
1.59X at last review.
The CTL component includes ten loans secured by properties leased
under bondable leases. The largest CTL exposures are Accor SA
($34.5 million -- 53% of the CTL component) and R.R. Donnelley &
Sons Co. ($17.4 million -- 27% of the CTL component; Moody's
senior unsecured rating Baa3 - stable outlook).
COUNTRYWIDE HOME: Moody's Downgraded Ratings of 17 Tranches
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 17
tranches and confirmed the ratings of one tranche from seven deals
issued by Countrywide. The collateral backing these deals
primarily consists of first-lien, fixed and adjustable rate
"scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of our primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 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: Countrywide Home Loan Trust 2003-SD2
-- Cl. A-1, Downgraded to Aa3 (sf); previously on Jul 16, 2003
Assigned Aaa (sf)
-- Cl. A-2, Downgraded to A1 (sf); previously on Jul 16, 2003
Assigned Aaa (sf)
-- Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on Apr 24, 2009
Downgraded to Caa3 (sf)
Issuer: Countrywide Home Loan Trust 2003-SD3
-- Cl. M-2, Downgraded to Baa2 (sf); previously on Oct 20, 2003
Assigned A2 (sf)
-- Cl. B-1, Downgraded to Caa3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Countrywide Home Loan Trust 2004-SD1
-- Cl. A-1, Downgraded to A1 (sf); previously on Feb 12, 2004
Assigned Aaa (sf)
-- Cl. A-2, Downgraded to A2 (sf); previously on Feb 12, 2004
Assigned Aaa (sf)
-- Cl. M-1, Downgraded to B3 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ca (sf); previously on Nov 18, 2010
B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Countrywide Home Loan Trust 2004-SD2
-- Cl. M-1, Downgraded to Baa2 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa2 (sf); previously on Apr 24, 2009
Downgraded to Baa2 (sf)
-- Cl. B-1, Downgraded to Ca (sf); previously on Nov 18, 2010
B3 (sf) Placed Under Review for Possible DowngradeIssuer:
CWABS Asset-Backed Certificates Trust 2006-QH2
Issuer: CWABS Asset-Backed Certificates Trust 2006-QH2
-- Cl. A-1-A, Confirmed at Caa2 (sf); previously on Nov 18,
2010 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWABS Asset-Backed Certificates Trust 2007-QH1
-- Cl. A-1, Downgraded to B3 (sf); previously on Nov 18, 2010
B2 (sf) Placed Under Review for Possible Downgrade
Issuer: CWABS Asset-Backed Certificates Trust 2007-QX1
-- Cl. A-1, Downgraded to Caa3 (sf); previously on Nov 18, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
CREDIT SUISSE: Moody's Downgrades $81 Mil. of Scratch & Dent RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 9 from 2
RMBS transactions. The collateral backing these deals primarily
consists of first-lien, fixed and adjustable rate "scratch and
dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of
Scratch and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: Credit Suisse Mortgage Capital Trust 2006-CF1
-- Cl. M-1, Downgraded to A1 (sf); previously on Feb 20, 2006
Assigned Aa2 (sf)
-- Cl. M-2, Downgraded to B1 (sf); previously on Mar 30, 2009
Downgraded to Baa2 (sf)
-- Cl. B-1, Downgraded to Caa3 (sf); previously on Mar 30, 2009
Downgraded to Ba1 (sf)
-- Cl. B-2, Downgraded to C (sf); previously on Mar 30, 2009
Downgraded to Ba3 (sf)
-- Cl. B-3, Downgraded to C (sf); previously on Mar 30, 2009
Downgraded to Ca (sf)
Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-
CF3
-- Cl. A-1, Downgraded to Baa2 (sf); previously on Mar 30, 2009
Downgraded to A1 (sf)
-- Cl. M-1, Downgraded to Caa3 (sf); previously on Mar 30, 2009
Downgraded to Ba3 (sf)
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010 B3
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on Mar 30, 2009
Downgraded to Ca (sf)
CREDIT SUISSE: S&P Cuts Rating on Class G Certs. to 'D' on Losses
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2005-C3, a U.S. commercial mortgage-backed securities (CMBS)
transaction. "We lowered one of these ratings to 'D (sf)'," S&P
stated.
"We lowered our rating on the class G certificate to 'D (sf)'
because of principal losses resulting from the liquidation of
one asset that was with the special servicer, LNR Partners LLC.
According to the May 17, 2011 trustee remittance report, the trust
experienced $33.0 million in principal losses upon the recent
discounted pay-off of the Southland Center Mall loan, the
largest asset in the pool, which liquidated at a 31.8% loss
severity based on its $104.7 million beginning scheduled balance.
Class G experienced a loss of 50.7% of its $16.4 million original
balance. The remaining principal losses affected the class H, J,
and K certificates, for which Standard & Poor's had previously
lowered its ratings on these classes to 'D (sf)'. The Southland
Center Mall loan was secured by a 931,952-sq.-ft. regional mall in
Taylor, Mich. and was constructed in 1970 and renovated in 2000.
The loan was transferred to the special servicer on April 23,
2009, due to imminent default. The borrower, General Growth
Properties (GGP), filed for bankruptcy on April 16, 2009," S&P
said.
The downgrades of the four remaining classes -- C, D, E, and F --
reflect increased susceptibility to potential interest shortfalls
due to the reduced liquidity support available and the potential
for these classes to experience interest shortfalls in the future
relating to potential appraisal subordinate entitlement reduction
(ASER) adjustments on the specially serviced assets. As of the
May 17, 2011 trustee remittance report, appraisal reduction
amounts (ARAs) totaling $11.2 million were in effect for six
($33.8 million, 2.6%) of the transaction's nine ($48.9 million,
3.8%) specially serviced assets. Interest shortfalls primarily
resulting from ASER amounts and special servicing fees have
affected the trust. In the May 2011 trustee remittance report,
the current reported ASER amount was offset by the recovery of
accumulated interest shortfalls outstanding due to the liquidation
of the Southland Center Mall loan. The reported cumulative ASER
amount was $3.2 million. Standard & Poor's considered four ASER
amounts, which were based on Member of the Appraisal Institute
(MAI) appraisals, as well as current special servicing fees in
determining its rating actions. If these classes experience
increased interest shortfalls, we may take additional rating
actions.
As of the May 2011 trustee remittance report, the collateral pool
consisted of 176 loans and two real estate owned (REO) assets with
an aggregate trust balance of $1.28 billion, down from 198 loans
totaling $1.64 billion at issuance. To date, the trust has
experienced losses on 14 assets totaling $82.0 million. Based on
the May 2011 trustee remittance report data, the weighted-average
loss severity for these 14 assets was approximately 39.9%
(based on the asset balance at the time of disposition).
Ratings Lowered
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2005-C3
Credit Reported
Rating enhancement interest shortfalls($)
Class To From (%) Current Accumulated
C BB (sf) BBB- (sf) 4.64 0 0
D B+ (sf) BB+ (sf) 3.52 0 0
E CCC+ (sf) B+ (sf) 2.23 0 0
F CCC- (sf) CCC+ (sf) 0.63 0 0
G D (sf) CCC- (sf) 0.00 (121,195) 41,402
CREDIT SUISSE: S&P Lowers Rating on Class VI-M-2 Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on
class VI-M-2 from Credit Suisse First Boston Mortgage Securities
Corp.'s series 2004-AR2 (Credit Suisse 2004-AR2) to 'D (sf)' from
'BBB (sf)' and on class 2-A-2 from CSMC Mortgage Backed Trust
2006-7 (CSMC 2006-7) to 'D (sf)' from 'CC (sf)'. Both are U.S.
residential mortgage-backed securities (RMBS) transactions. "We
also placed our rating on class VI-M-1 from Credit Suisse 2004-AR2
on CreditWatch with negative implications," S&P said.
"The downgrades reflect our assessment of principal write-downs on
the affected classes during recent remittance periods. The
CreditWatch negative placement was a result of the class being
part of a loan group that includes a class that defaulted from a
'B-' or higher rating," S&P related.
The defaulted classes are backed by prime and Alternative-A
mortgage loan collateral. A combination of subordination, excess
spread, and overcollateralization provide credit enhancement.
S&P expects to resolve the CreditWatch placement after it
completes its review of the underlying credit enhancement.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and it will
adjust its ratings as it considers appropriate in accordance with
its criteria.
Rating and CreditWatch Actions
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR2
Rating
Class CUSIP To From
VI-M-1 22541Q7H9 AA+ (sf)/Watch Neg AA+ (sf)
VI-M-2 22541Q7J5 D (sf) BBB (sf)
CSMC Mortgage Backed Trust 2006-7
Series 2006-7
Rating
Class CUSIP To From
2-A-2 22942KAE0 D (sf) CC (sf)
CREST 2003-2: S&P Lowers Ratings on 2 Classes of Notes to 'CCC-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C-1, C-2, D-1, D-2, E-1, E-2, and preferred shares notes
issued by Crest 2003-2 Ltd., a static cash flow collateralized
debt obligation of commercial mortgage-backed securities (CDO
of CMBS) transaction. "We also affirmed our ratings on the class
A-1, A-2, A-3, B-1, and B-2 notes and removed the ratings from
CreditWatch negative," S&P said.
"The lowered ratings reflect, among other factors, an increase in
defaults and deterioration in the credit quality of the underlying
collateral in the portfolio from the time of our last rating
action in July 2010. Based on the March 31, 2011, monthly trustee
report, used for this analysis, approximately $66 million of the
total securities in the underlying collateral pool were defaulted
securities, up from $19 million as of May 2010. Additionally, as
of March 2011, approximately 7.0% of the portfolio consisted of
assets from obligors rated in the 'CCC' category, up from 1.4% in
May 2010," S&P noted.
In addition, the transaction failed its overcollateralization
(O/C) ratio tests. Based on the March 2011 trustee report, the A/B
O/C ratio was 142.09%, versus the required 151.50%. The failure of
the O/C ratio tests has prevented the class C, D, and E notes from
receiving current interest and prevented the preferred shares from
receiving distributions.
"We placed our rating on the class A-1, A-2, A-3, B-1, and B-2
notes on CreditWatch negative on Jan. 18, 2011, in connection with
the implementation of our revised counterparty criteria (see
'Ratings On 950 North America Structured Finance Tranches On Watch
Neg After Counterparty Criteria Update,' published Jan. 18, 2011).
The rating affirmations and removal of the ratings from
CreditWatch reflects our updated counterparty criteria," S&P
noted.
According to S&P, "In our review, we generated a cash flow
analysis to assess the credit support available to these notes
without giving benefit to the interest rate hedge agreement-which
the transaction has entered into with a counterparty-stressing
the CDO under various interest rate scenarios in the absence of an
interest rate hedge. In our view, the cash flow analysis of the
transaction showed no impact to the ratings assigned to these
notes under these stresses, leading to our decision to affirm the
current ratings assigned to the notes and to remove the ratings on
the notes from CreditWatch negative."
"We will perform similar analyses for other CDO transactions with
ratings on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P added.
Rating and CreditWatch Actions
Crest 2003-2 Ltd.
Rating
Class To From
A-1 AAA (sf) AAA (sf)/Watch Neg
A-2 AAA (sf) AAA (sf)/Watch Neg
A-3 AA+ (sf) AA+ (sf)/Watch Neg
B-1 AA- (sf) AA- (sf)/Watch Neg
B-2 AA- (sf) AA- (sf)/Watch Neg
C-1 BBB (sf) BBB+ (sf)
C-2 BBB (sf) BBB+ (sf)
D-1 B+ (sf) BBB- (sf)
D-2 B+ (sf) BBB- (sf)
E-1 CCC- (sf) BB- (sf)
E-2 CCC- (sf) BB- (sf)
Preferred shares CC (sf) B+ (sf)
CREST CLARENDON: S&P Lowers Rating on Class D Notes to 'CCC+'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class C and D notes from Crest Clarendon Street 2002-1 Ltd. and
removed them from CreditWatch with negative implications. Crest
Clarendon Street 2002-1 Ltd. is a cash flow collateralized
debt obligation of commercial mortgage-backed securities (CDO of
CMBS) transaction. "At the same time, we affirmed our 'AAA (sf)'
rating on the class A notes and removed it from CreditWatch with
negative implications. We also affirmed our 'A (sf)' ratings on
the class B-1 and B-2 notes," S&P stated.
"We placed our rating on the class A notes on CreditWatch negative
on Jan. 18, 2011, in connection with the implementation of our
revised counterparty criteria (see "Ratings On 950 North America
Structured Finance Tranches On Watch Neg After Counterparty
Criteria Update," published Jan. 18, 2011). The affirmation and
removal of the rating from CreditWatch reflects our updated
counterparty criteria," S&P noted.
According to S&P, "In our review, we generated cash flow analysis
to assess the credit support available to the class A notes
without giving benefit to the interest rate hedge agreement that
the transaction has entered into with a counterparty, stressing
the CDO under various interest rate scenarios in the absence of an
interest rate hedge. In our view, the cash flow analysis of the
transaction showed no impact to the rating assigned to the class A
notes under these stresses, leading to our decision to affirm the
current rating assigned to the class A notes."
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P related.
"We lowered our ratings on the class C and D notes on May 29,
2009. We placed the ratings on these two classes of notes on
CreditWatch with negative implications on March 1, 2011, due to
credit deterioration. The trustee reports $7 million par of
defaults in the April 2011 monthly report, up from $0 in May 2009,
while the percentage of collateral rated 'BB+ (sf)' and below
has increased to 12.31% from 8.49%. The downgrades reflect the
decrease in credit support available to the class C and D notes,'
S&P added.
Rating Actions
Crest Clarendon Street 2002-1 Ltd.
Rating
Class To From
C BB+ (sf) BBB- (sf)/Watch Neg
D CCC+ (sf) B+ (sf)/Watch Neg
A AAA (sf) AAA (sf)/Watch Neg
Ratings Affirmed
Crest Clarendon Street 2002-1 Ltd.
Class Rating
B-1 A (sf)
B-2 A (sf)
CREST DARTMOUTH: Fitch Ratings Affirms Five Classes
---------------------------------------------------
Fitch Ratings has affirmed five classes issued by Crest Dartmouth
Street 2003-1 Ltd./Corp (Crest Dartmouth Street 2003-1) as a
result of increased credit enhancement to the notes due to
significant principal repayment on the underlying collateral.
Since Fitch's last rating action in June 2010, there have been
$48.8 million in principal pay downs. The weighted average rating
factor has declined slightly to 'BBB/BBB-' from 'BBB+/BBB'.
Currently, 12.1% of the portfolio is rated below investment grade
and 3.1% has a rating in the 'CCC' rating category or lower,
compared to 9.9% and 0%, respectively, at last review.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. The default levels were then
compared to the breakeven levels generated by Fitch's cash flow
model of the CDO under the various default timing and interest
rate stress scenarios, as described in the report 'Global Criteria
for Cash Flow Analysis in Corporate CDOs'. Based on this analysis
the class A through D notes' breakeven rates are generally
consistent with the current ratings of the notes. The Stable
Outlook for all classes of notes reflects adequate cushion between
the current stress threshold and the breakeven levels to withstand
some further negative credit migration.
The Loss Severity (LS) rating indicates a tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral, as explained
in 'Criteria for Structured Finance Loss Severity Ratings'. The LS
rating should always be considered in conjunction with the
probability of default for tranches. Fitch does not assign LS
ratings or Outlooks to classes rated 'CCC' and below.
Crest Dartmouth Street 2003-1 is a cash flow commercial real
estate collateralized debt obligation (CRE CDO) which closed on
April 10, 2003. The collateral is composed of 54.7% real estate
investment trusts (REITs), 45% commercial mortgage backed
securities (CMBS) and 0.3% commercial real estate loans.
Fitch has taken these actions:
-- $92,645,462 class A Notes affirmed at 'AA+sf/LS1'; Outlook
Stable;
-- $13,125,000 class B-1 notes affirmed at 'Asf'; Outlook
Stable; to 'LS2 from 'LS1';
-- $21,000,000 class B-2 notes affirmed at 'Asf'; Outlook
Stable; to 'LS2 from 'LS1';
-- $14,875,000 class C notes affirmed at 'BBB-sf'; Outlook
Stable; to 'LS3' from 'LS2';
-- $12,268,622 class D notes affirmed at 'Bsf'; Outlook Stable;
to 'LS3' from 'LS2'.
CREST DARTMOUTH: S&P Affirms Rating on Class D Notes at 'CCC+'
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A, B-1, B-2, C, and D notes issued by Crest Dartmouth Street
2003-1 Ltd., a collateralized debt obligation (CDO) transaction
collateralized primarily by commercial mortgage-backed securities
(CMBS) and REIT bonds, and removed the rating on the class A notes
from CreditWatch negative.
"We placed our rating on the class A notes on CreditWatch negative
on Jan. 18, 2011, in connection with the implementation of our
revised counterparty criteria. The rating affirmations and removal
of the class A rating from CreditWatch takes into account the
updated counterparty criteria," S&P related.
S&P continued, "In our review, we generated a cash flow analysis
to assess the credit support available to the notes without giving
benefit to the interest rate hedge agreement that the transaction
has entered into with a counterparty, stressing the CDO under
various interest rate scenarios in the absence of an interest rate
hedge. In our view, the cash flow analysis of the transaction
showed that there was no impact to the ratings assigned to the
notes under these stresses, leading to our decision to affirm the
current ratings assigned to the notes and to remove the rating on
the class A notes from CreditWatch negative."
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P stated.
Rating Affirmed and Removed From CreditWatch
Crest Dartmouth Street 2003-1 Ltd.
Rating
Class To From
A AAA (sf) AAA (sf)/Watch Neg
Ratings Affirmed
Crest Dartmouth Street 2003-1 Ltd.
Rating
Class
B-1 A+ (sf)
B-2 A+ (sf)
C BBB (sf)
D CCC+ (sf)
CS FIRST: Moody's Reviews Two CMBS Classes of CSFB 2001-CF2
-----------------------------------------------------------
Moody's Investors Service placed two classes of Credit Suisse
First Boston Mortgage Securities, Commercial Mortgage Pass-Through
Certificates, Series 2001-CF2 on review for possible downgrade:
-- Cl. G, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 26, 2008 Upgraded to Baa2 (sf)
-- Cl. H, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 7, 2010 Downgraded to B1 (sf)
The classes were placed on review due to an increase in
interest shortfalls and a deterioration in the credit quality
of the remaining pool. Interest shortfalls have increased from
$3.6 million at last review to $5.3 million based on the most
recent remittance statement. Moody's anticipates that interest
shortfalls may increase because of the deal's large exposure to
specially serviced loans. Only 15% of the pool is not being
specially serviced or on the servicer's watchlist.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) 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 7, 2010. Please see
the ratings tab on the issuer/entity page on moodys.com for the
last rating action and the ratings history.
Deal And Performance Summary
As of the May 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $133 million
from $1.13 billion at securitization. The Certificates are
collateralized by 34 mortgage loans ranging in size from 1% to 21%
of the pool, with the top ten loans representing 72% of the pool.
Three loans, representing 24% 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 (CREFC) 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.
Twenty-one loans have been liquidated from the pool since
securitization, resulting in an aggregate $30 million loss (40%
loss severity on average). Nineteen loans, representing 61% of the
pool, are in special servicing. The servicer has recognized a
$13.5 million aggregate appraisal reduction for the specially
serviced loans.
Moody's review will focus on the interest shortfalls, potential
losses from specially serviced loans and the performance of the
overall pool.
The principal methodology used in monitoring this transaction is
"CMBS: Moody's Approach to Rating Conduit Transactions" published
in September 2000.
Another methodology considered is "CMBS: Moody's Approach to
Rating Large Loan/Single Borrower Transactions" published July
2000.
CS FIRST: Moody's Upgrades Three; Affirms Seven Classes of Notes
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of three classes
and affirmed seven classes of Credit Suisse First Boston Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2001-CK1:
-- Cl. A-CP, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. F, Upgraded to Aaa (sf); previously on Jan 16, 2008
Upgraded to Aa2 (sf)
-- Cl. G, Upgraded to Aa3 (sf); previously on Jan 16, 2008
Upgraded to A2 (sf)
-- Cl. H, Upgraded at Baa1 (sf); previously on Jan 16, 2008
Upgraded to Baa2 (sf)
-- Cl. J, Affirmed at Ca (sf); previously on Nov 4, 2010
Downgraded to Ca (sf)
-- Cl. K, Affirmed at C (sf); previously on Nov 4, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Nov 4, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Nov 4, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Nov 4, 2010
Downgraded to C (sf)
Ratings Rationale
The upgrades are due to increased subordination due to loan
payoffs and amortization. The transaction's aggregate certificate
balance has decreased by 69% since the last review in November
2010. The affirmations are due to key parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), 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
25.4% of the current balance compared to 12.9% at last review. As
measured on a percentage basis, the current cumulative base
expected loss is significantly higher than at last review due to
the decline in the deal's balance. However, the current cumulative
base expected loss is $21.6 million compared to $35.0 million at
last review. Moody's stressed scenario loss is 28.7% 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.
The primary methodology used in this rating was "CMBS: Moody's
Approach to Rating U.S. Conduit Transactions" published in
September 2000. Moody's also considered another methodolgy,
"Moody's Approach to Rating Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
Moody's 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 4 which is the same as 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 (CMBS) 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 4, 2010. Please see
the ratings tab on the issuer/entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the ratings.
DEAL PERFORMANCE
As of the May 18, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $84.9
million from $997.1 million at securitization. The Certificates
are collateralized by 15 mortgage loans ranging in size from less
than 1% to 20% of the pool, with the top ten loans representing
80% of the pool. One loan, representing 13% of the pool, has
defeased and is collateralized with U.S. Government securities.
Defeasance at last review represented 29% of the pool. There are
no loans with investment grade credit estimates. The pool faces
significant near-term refinance risk as loans representing 75% of
the pool have either matured or mature within the next six months.
Three loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) 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.
Twenty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $26.4 million (33% loss severity
overall). Eight loans, representing 59% of the pool, are currently
in special servicing. The largest specially serviced loan is the
One Renaissance Center Loan ($16.9 million -- 20.0% of the pool),
which is secured by a 160,509 square foot (SF) office building
located in Raleigh, North Carolina. The loan was transferred to
special servicing in January 2011 due to a maturity default. The
property was 75% leased as of February 2011. The master servicer
recognized a $2.1 million appraisal reduction for this loan in May
2011.
The second largest specially serviced loan is the College Park
Medical Office Building Loan ($11.6 million -- 13.7% of the pool),
which is secured by a 173,787 SF office building located in
Detroit, Michigan. This loan was previously crossed with an
adjacent retail property that was liquidated in November 2010. The
loan was transferred to special servicing in March 2008 due to
imminent default and is currently real estate owned (REO). The
master servicer recognized a $7.3 million appraisal reduction for
this loan in May 2011.
The third largest specially serviced loan is the Alameda West
Shopping Center Loan ($7.0 million -- 8.3% of the pool), which is
secured by a 126,627 SF retail center located in Albuquerque, New
Mexico. The loan was transferred to special servicing in March
2010 due to imminent monetary default and is currently REO.
The remaining specially serviced loans are secured by multifamily
properties. The master servicer has recognized appraisal
reductions totaling $13.4 million for three of the specially
serviced loans. Moody's has estimated an aggregate $19.9 million
loss (40% expected loss on average) for the specially serviced
loans.
Moody's has assumed a high default probability for one poorly
performing loan representing 3% of the pool and has estimated a
$312,786 loss (12.5% expected loss based on a 25% probability
default) from this troubled loan.
Moody's was provided with full-year 2009 and partial year 2010
operating results for 100% and 83% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 89% compared to 55% 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 9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.56X and 1.31X, respectively, compared to
1.91X and 1.97X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 21% of the
pool balance. The largest loan is the Siemens Facility Loan
($17.2 million -- 6.3% of the pool), which is secured by a 146,811
SF office and warehouse facility located in Lafayette, Indiana.
The property was 64% leased as of December 2010 compared to 100%
at last review. The loan is currently on the master servicer's
watchlist due to low occupancy and DSCR. Performance has declined
due to a decrease in rent and increase in expenses. The loan
matures in October 2011. Moody's LTV and stressed DSCR are 120%
and 0.88X, respectively, compared to 74% and 1.43X at last review.
The second largest loan is the Sunrise Pointe Apartments Loan
($5.7 million -- 6.5% of the pool), which is secured by a 360-unit
multifamily complex located in Birmingham, Alabama. The property
was 85% leased as of March 2011, the same as at last review. The
loan was modified in December 2010, extending its maturity by 24
months and lowering the interest rate from 9.07% to 4.25%. Moody's
LTV and stressed DSCR are 76% and 1.35X, respectively, compared to
87% and 1.18X at last review.
The third largest loan is the 572 Main Street Loan ($3.8 million -
- 4.4% of the pool), which is secured by a 77,236 SF office
property located in New Rochelle, New York. The property was 92%
leased as of December 2010, the same as at last review.
Performance has declined due to a decrease in rent and increase in
expenses. The loan matures in December 2011. Moody's LTV and
stressed DSCR are 50% and 2.14X, respectively, compared to 43% and
2.51X at last review.
CSFB COMM'L: Moody's Affirms Ratings of 15 CMBS Classes
-------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 15
classes of Credit Suisse First Boston Mortgage Securities,
Commercial Mortgage Pass-Through Certificates, Series 2002-CP3:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Jul 29, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Jul 29, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. A-X, Affirmed at Aaa (sf); previously on Jul 29, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Mar 16, 2006
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Aug 13, 2007
Upgraded to Aaa (sf)
-- Cl. D, Affirmed at Aaa (sf); previously on Aug 13, 2007
Upgraded to Aaa (sf)
-- Cl. E, Affirmed at Aaa (sf); previously on Aug 13, 2007
Upgraded to Aaa (sf)
-- Cl. F, Affirmed at Aa2 (sf); previously on Aug 13, 2007
Upgraded to Aa2 (sf)
-- Cl. G, Affirmed at A3 (sf); previously on Aug 13, 2007
Upgraded to A3 (sf)
-- Cl. H, Affirmed at Baa3 (sf); previously on Oct 27, 2010
Downgraded to Baa3 (sf)
-- Cl. J, Affirmed at B2 (sf); previously on Oct 27, 2010
Downgraded to B2 (sf)
-- Cl. K, Affirmed at Caa3 (sf); previously on Oct 27, 2010
Downgraded to Caa3 (sf)
-- Cl. L, Affirmed at Ca (sf); previously on Oct 27, 2010
Downgraded to Ca (sf)
-- Cl. M, Affirmed at C (sf); previously on Oct 27, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Oct 27, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
3.5% of the current balance compared to 4.9% at last review.
Moody's stressed scenario loss is 7.1% of the current balance,
which is the same as at last review. 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.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Another methodology considered was "CMBS: Moody's Approach to
Rating Large Loan/Single Borrower Transactions" published in July
2000.
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
(Herf), 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 17 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 (CMBS) 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 27, 2010.
Deal Performance
As of the May 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 20%
to $720 million from $896 million at securitization. The
Certificates are collateralized by 88 mortgage loans ranging in
size from less than 1% to 10% of the pool, with the top ten loans
representing 42% of the pool. Twenty-five loans, representing 33%
of the pool, have defeased and are secured by U.S. Government
securities. The pool's largest loan, representing 9.6% of the
pool, has an investment grade credit estimate.
Twenty loans, representing 18% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council's (CREFC) 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
$3 million of realized losses (28% average severity). Three
loans, representing 5% of the pool, are currently in special
servicing. The largest specially serviced loan is the Bristol
Place Apartments Loan ($20 million -- 2.7% of the pool), which is
secured by a 390 unit, garden style apartment complex located in
Houston, Texas. Although the loan is 90+ days delinquent, recent
appraisals and broker's opinion of value (BOV) have valued the
property at more than the outstanding loan amount. The servicer
has not recognized an appraisal reduction for this loan and
Moody's does not currently project a loss for this loan. The
remaining two specially serviced loans are secured by a 92,000 SF
office building and 257 unit apartment complex. The servicer has
recognized a $13 million aggregate appraisal reduction for two of
the three specially serviced loans. Moody's has estimated a $12
million loss (68% expected loss based on a 100% probability of
default) for two of the specially serviced loans.
All but three of the loans in the pool have matured or have an
anticipated repayment date (ARD) within the next 14 months.
Moody's expects most of these loans will be able to refinance at
or prior to loan maturity. However, Moody's has assumed a high
default probability for seven poorly performing loans representing
5% of the pool and has estimated an aggregate $7 million loss (20%
expected loss based on a 50% probability default) from these
troubled loans.
Moody's was provided with full year 2009 and full or partial year
2010 operating results for 98% and 68% of the pool's non-defeased
loans, respectively. Excluding specially serviced, troubled,
defeased loans and the loan with a credit estimate, Moody's
weighted average LTV is 80% compared to 78% at Moody's last
review. Moody's net cash flow reflects a weighted average haircut
of 13% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.4%.
Excluding specially serviced, troubled, defeased loans and the
loan with a credit estimate, Moody's actual and stressed DSCR are
1.27X and 1.32X, respectively, compared to 1.27 and 1.36X at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance. Moody's stressed DSCR is higher than the actual DSCR for
this deal because most loans are near maturity, so the current
debt constant is greater than Moody's 9.25% stressed rate.
The loan with a credit estimate is the Westfarms Mall Loan ($69
million - 9.6% of the pool), which represents a pari passu
interest in a $138 million first mortgage secured by a 600,000 SF
portion of a 1.3 million SF super regional mall located in
Farmington, Connecticut. The property is anchored by Macy's, J.C.
Penney, Lord & Taylor and Nordstrom. As of February 2011, the
collateral was over 99% leased, the same as last review. The rent
roll indicates a well laddered lease maturity schedule with only
10% of the leases expiring in 2011 and 8% in 2012. Tenant sales
for year to date through June 2010 have increased 6.6% from 2009.
The property also benefits from an experienced sponsor in Taubman
Centers, Inc. The loan matures in July 2012. Moody's current
credit estimate and stressed DSCR are Aaa and 2.43X, respectively,
compared to Aaa and 2.33X at last review.
The top three performing conduit loans represent 17% of the pool
balance. The largest loan is the Northwoods Mall Loan ($53 million
- 7.3% of the pool), which is secured by a 427,000 SF portion of a
1.05 million SF regional mall located in North Charleston, South
Carolina. The property is anchored by JC Penny, Sears, Dillard's
and Belk. As of December 2010, the center was 99% leased compared
to 97% at last review. Twenty-five percent of the leases expire in
2011-12. This loan also matures in July 2012. Moody's LTV and
stressed DSCR are 69% and 1.41 X, respectively, compared to 68%
and 1.45X at last review.
The second largest loan is the Gannon West Pointe Apartments Loan
($39 million - 5.4% of the pool), which is secured by a 1,047-unit
multifamily property located in Maryland Heights, Missouri. The
property was 89% leased as of December 2010 compared to 90% at
last review. The loan matures in March 2012 and is currently on
the servicer's watchlist. Moody's LTV and stressed DSCR are 100%
and 0.97X, respectively, compared to 92% and 1.05X at last review.
The third largest loan is The Mall at Mill Creek Loan ($31 million
- 4.3% of the pool), which is secured by a 289,000 SF retail
property located in Secaucus, New Jersey. In 2008 the loan's
sponsor, Hartz Mountain Industries, redeveloped the property from
a 50+ tenant community shopping center into a power center. The
power center is 100% leased to Kohl's, Bob's Discount Furniture,
Toys R' Us, TJ Maxx and Sports Authority. The loan matures in May
2012. Moody's LTV and stressed DSCR are 89% and 1.18X,
respectively, compared to 81% and 1.31X at last review.
CSFB MORTGAGE: Moody's Affirms 23 CMBS Classes of CSFB 2003-C3
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 23 classes of
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-
C3:
-- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. A-5, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. A-Y, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. D, Affirmed at Aa2 (sf); previously on Jul 30, 2007
Upgraded to Aa2 (sf)
-- Cl. E, Affirmed at A1 (sf); previously on Jul 30, 2007
Upgraded to A1 (sf)
-- Cl. F, Affirmed at A3 (sf); previously on Sep 16, 2010
Confirmed at A3 (sf)
-- Cl. G, Affirmed at Baa2 (sf); previously on Sep 16, 2010
Downgraded to Baa2 (sf)
-- Cl. H, Affirmed at Ba3 (sf); previously on Sep 16, 2010
Downgraded to Ba3 (sf)
-- Cl. J, Affirmed at Caa2 (sf); previously on Sep 16, 2010
Downgraded to Caa2 (sf)
-- Cl. K, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. 622-A, Affirmed at A2 (sf); previously on Jul 30, 2007
Upgraded to A2 (sf)
-- Cl. 622-B, Affirmed at A3 (sf); previously on Jul 30, 2007
Upgraded to A3 (sf)
-- Cl. 622-C, Affirmed at Baa1 (sf); previously on Jul 30, 2007
Upgraded to Baa1 (sf)
-- Cl. 622-D, Affirmed at Baa2 (sf); previously on Jul 30, 2007
Upgraded to Baa2 (sf)
-- Cl. 622-E, Affirmed at Baa3 (sf); previously on Jul 30, 2007
Upgraded to Baa3 (sf)
-- Cl. 622-F, Affirmed at Ba1 (sf); previously on Jul 30, 2007
Upgraded to Ba1 (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
4.0% of the current balance, the same as at last review. Moody's
stressed scenario loss is 8.9% of the current balance. Depending
on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current
levels. If future performance materially declines, the expected
level of credit enhancement and the priority in the cash flow
waterfall may be insufficient for the current ratings of these
classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current 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.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions", published in April, 2005.
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
(Herf), 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 (CMBS) 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 16, 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 May 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to
$1.17 billion from $1.7 billion at securitization. The
Certificates are collateralized by 223 mortgage loans ranging
in size from less than 1% to 17% of the pool, with the top ten
loans representing 56% of the pool. The pool contains two loans
with investment grade credit estimates that represent 21% of
the pool. Seventy-four loans, representing 13% of the pool, are
secured by residential cooperative properties which all have an
Aaa credit estimate. Twenty-seven loans, representing 17% of the
pool, have defeased and are collateralized with U.S. Government
securities.
Thirty-two loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) 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, resulting in an
aggregate realized loss of $14.9 million (61% loss severity
overall). Six loans, representing 4% of the pool, are currently in
special servicing. The master servicer has recognized an aggregate
$14.6 million appraisal reduction for five of the specially
serviced loans. Moody's has estimated an aggregate $18.5 million
loss (43% expected loss on average) for the specially serviced
loans.
Moody's has assumed a high default probability for six poorly
performing loans representing 4% of the pool and has estimated a
$7.7 million aggregate loss (18% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 and partial or full year
2010 operating results for 98% and 62% of the pool's non-defeased
loans, respectively. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 85% compared to 82% 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 9.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.41X and 1.31X, respectively, compared to
1.45X and 1.33X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 58 compared to 68 at Moody's prior review.
The largest loan with a credit estimate rating is the 622 Third
Avenue Loan ($188.6 million -- 17% of the pool), which is secured
by a 1.0 million square foot (SF) Class A office building located
in Midtown Manhattan. The property also secures a junior loan
component ($37.2 million), which is held within the trust and
serves as security for non-pooled Classes 622-A, 622-B, 622-C,
622-D, 622-E and 622-F. Additionally, the property is encumbered
by a mezzanine loan of approximately $39 million. The property was
92% leased as of January 2011 compared to 90% as of April 2010.
The largest tenants are the Interpublic Group (45% of the net
rentable area (NRA); lease expiration in September 2021), CIBC
(13% of the NRA; lease expiration in September 2013) and Mark
Paneth & Shron (8% of the NRA; lease expiration in February 2013).
Performance is stable. Moody's underlying rating and stressed DSCR
are A2 and 1.65X, respectively, the same at last review.
The second loan with a credit estimate rating is The Crossings
Loan ($50.4 million -- 4% of the pool), which is secured by a
391,000 SF factory outlet retail center located in the Pocono
Mountains in Tannersville, Pennsylvania. The property was 99%
leased as of December 2010, essentially the same as of June 2009.
The largest tenants are Liz Claiborne (4% of the NRA; lease
expiration in September 2015), The Gap (3% of the NRA; lease
expiration in November 2012) and Nike Factory Store (3% of the
NRA; lease expiration in October 2011). Moody's underlying rating
and stressed DSCR are Aa2 and 2.36X, respectively, compared to Aa3
and 2.24X at last review.
The top three performing conduit loans represent 9% of the pool
balance. The largest conduit loan is the Great Lakes Crossing Loan
($52.1 million -- 5% of the pool), which represents a 41% pari
passu interest in a $131.3 million first mortgage loan. The loan
is secured by a 1.1 million SF value-oriented shopping center
located approximately 30 miles north of Detroit in Auburn Hills,
Michigan. The center is anchored by Burlington Coat Factory (7% of
the NRA; lease expiration in January 2014), the Sports Authority
(5% of the NRA; lease expiration in January 2019) and Bed Bath &
Beyond (4% of the NRA; lease expiration in January 2013). The
center is also encumbered by a $3.1 million B-note which is held
outside the trust. The center was 87% leased as of December 2010
compared to 82% as of December 2009. Moody's LTV and stressed DSCR
are 78% and 1.32X, respectively, compared to 79% and 1.26X at last
review.
The second largest conduit loan is the Orchards Corporate Center
Loan ($26.5 million -- 2.3% of the pool), which is secured by
216,416 SF office building complex located in Farmington Hills,
Michigan. The Detroit area office market has suffered from a
decline in rent levels and increased vacancy over the past several
years. The property was 60% leased as of December 2010 compared to
63% as of December 2009. The loan is currently on the master
servicer's watchlist. Moody's has assumed a high default
probability for this loan due to the declining performance and
market conditions and has included it as one of the deal's
troubled loans. Moody's LTV and stressed DSCR are 167% and 0.65X,
respectively, compared to 175% and 0.62X at last review.
The third largest loan is the Gateway Station Loan ($19 million --
1.7% of the pool), which is secured by a 280,000 SF retail center
located 10 miles south of Fort Worth, Texas. The property was 100%
leased as of December 2010 compared to 90% as of December 2009.
The largest tenants are Kohl's (31% of the NRA; lease expiration
in January 2023), Ross Stores (11% of the NRA; lease expiration in
January 2013) and T.J. Maxx (10% of the NRA; lease expiration in
May 2020). Moody's LTV and stressed DSCR are 101% and 1.02X,
respectively, compared to 103% and 0.98X at last review.
CSFB MORTGAGE: Moody's Downgrades Ratings of $63 Million RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches from three deals issued by CSFB. The collateral backing
these deals primarily consists of first-lien, fixed and adjustable
rate "scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of our primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 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: CSFB Mortgage Pass-Through Certificates, Series 2003-CF14
-- Cl. M-2, Downgraded to Caa2 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to C (sf); previously on Mar 30, 2009
Downgraded to Ca (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF1
-- Cl. M-1, Downgraded to Ba1 (sf); previously on Mar 30, 2004
Assigned Aa2 (sf)
-- Cl. M-2, Downgraded to Ca (sf); previously on Mar 30, 2009
Downgraded to Baa1 (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2004-CF2
-- Cl. I-M-1, Downgraded to Baa2 (sf); previously on Nov 18,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-M-2, Downgraded to Caa2 (sf); previously on Nov 18,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. I-B, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-A-1, Downgraded to Aa2 (sf); previously on Nov 23,
2004 Assigned Aaa (sf)
-- Cl. II-A-2, Downgraded to Aa2 (sf); previously on Nov 23,
2004 Assigned Aaa (sf)
-- Cl. II-A-3, Downgraded to Aa2 (sf); previously on Nov 23,
2004 Assigned Aaa (sf)
-- Cl. II-M-1, Downgraded to Caa1 (sf); previously on Nov 23,
2004 Assigned Aa2 (sf)
-- Cl. II-M-2, Downgraded to Caa3 (sf); previously on Nov 18,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. II-B, Downgraded to Ca (sf); previously on Nov 18, 2010
B2 (sf) Placed Under Review for Possible Downgrade
CSMC SERIES: S&P Lowers Rating on Class 5-A-3 Re-REMIC to 'CCC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 16
classes from four residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions issued between 2007 and 2010, and removed 15 of them
from CreditWatch with negative implications. "In addition, we
affirmed our ratings on 54 classes from four transactions, and
removed 28 of them from CreditWatch negative. Three of these
transactions have a pro rata interest payment structure in at
least one of their groups and one transaction pays interest
entirely on a sequential basis," S&P related.
S&P noted, "On Dec. 15, 2010, we placed our ratings on 43 classes
from the four transactions within this review on CreditWatch
negative, along with ratings from other RMBS re-REMIC securities.
Additionally, on April 1, 2011, we provided an update on these
CreditWatch placements and provided clarification regarding our
analysis of interest payment amounts within re-REMIC
transactions."
"Our ratings on the re-REMIC classes are intended to address the
timely payment of interest and principal. We reviewed the interest
and principal amounts due on the underlying securities, which will
then be passed through to the applicable re-REMIC classes. As part
of our analysis, we applied our loss projections, incorporating,
where applicable, our recently revised loss assumptions for the
underlying collateral, to identify the principal and interest
amounts that could be passed through from the underlying
securities under our rating scenario stresses. We stressed our
loss projections at various rating categories to assess whether
the re-REMIC classes could withstand the stressed losses
associated with their ratings while receiving timely interest and
principal payments consistent with our criteria," S&P continued.
"As noted, in applying our loss projections we incorporated, where
applicable, our recently revised loss assumptions into our review.
Such updates pertain to the 2005-2007 vintage prime, subprime, and
Alternative-A (Alt-A) RMBS transactions; some of which are
associated with the re-REMICs we reviewed," S&P stated.
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our ratings on certain
classes based on our assessment as to whether there were principal
and/or interest shortfalls from the underlying securities that
would impair the re-REMIC classes at the applicable rating
stresses. The affirmations reflect our assessment of the
likelihood that the re-REMIC classes will receive timely interest
and principal payments under the applicable stressed assumptions,"
S&P elaborated.
As noted, one of the four transactions (RBSSP Resecuritization
Trust 2010-1) included in this review contains a sequential
interest payment structure for all of its groups. "For each of the
downgraded transactions, we based our downgrades on our
projections of principal loss amounts allocated to the relevant
re-REMIC classes under the applicable ratings stress scenarios,"
S&P added.
Rating Actions
AAA Trust 2007-2
Series 2007-2
Rating
Class CUSIP To From
A-1 000292AA0 AA+ (sf) AAA (sf)/Watch Neg
A-2 000292AB8 AA+ (sf) AAA (sf)/Watch Neg
Citigroup Mortgage Loan Trust 2010-7
Series 2010-7
Rating
Class CUSIP To From
4A2 17317EAM3 AA+ (sf) AAA (sf)
12A1 17317ECK5 AAA (sf) AAA (sf)/Watch Neg
CSMC Series 2010-18R
Series 2010-18R
Rating
Class CUSIP To From
1-A-8 22944JAQ4 AAA (sf) AAA (sf)/Watch Neg
1-A-11 22944JAW1 A (sf) A (sf)/Watch Neg
5-A-2 22944JDU2 CCC (sf) AA (sf)/Watch Neg
1-A-6 22944JAL5 BBB (sf) BBB (sf)/Watch Neg
5-A-1 22944JDS7 B (sf) AAA (sf)/Watch Neg
1-A-9 22944JAS0 AAA (sf) AAA (sf)/Watch Neg
5-A-3 22944JDW8 CCC (sf) A (sf)/Watch Neg
1-A-2 22944JAC5 AAA (sf) AAA (sf)/Watch Neg
1-A-3 22944JAE1 AAA (sf) AAA (sf)/Watch Neg
5-A-6 22944JEC1 CCC (sf) A (sf)/Watch Neg
1-A-12 22944JAY7 BBB (sf) BBB (sf)/Watch Neg
5-A-4 22944JDY4 CCC (sf) BBB (sf)/Watch Neg
1-A-10 22944JAU5 AA (sf) AA (sf)/Watch Neg
1-A-1 22944JAA9 AAA (sf) AAA (sf)/Watch Neg
1-A-5 22944JAJ0 A (sf) A (sf)/Watch Neg
1-A-4 22944JAG6 AA (sf) AA (sf)/Watch Neg
5-A-5 22944JEA5 CCC (sf) AA (sf)/Watch Neg
RBSSP Resecuritization Trust 2010-1
Series 2010-1
Rating
Class CUSIP To From
3-A4 74928YAK5 AAA (sf) AAA (sf)/Watch Neg
7-A4 74928YBH1 B- (sf) B (sf)/Watch Neg
3-A3 74928YAJ8 AAA (sf) AAA (sf)/Watch Neg
2-A3 74928YAE9 AAA (sf) AAA (sf)/Watch Neg
2-A2 74928YAD1 BB (sf) BB (sf)/Watch Neg
5-A5 74928YAW9 A (sf) A (sf)/Watch Neg
2-A1 74928YAC3 AAA (sf) AAA (sf)/Watch Neg
6-A1 74928YAY5 AAA (sf) AAA (sf)/Watch Neg
6-A5 74928YBC2 A (sf) A (sf)/Watch Neg
2-A4 74928YAF6 AAA (sf) AAA (sf)/Watch Neg
7-A5 74928YBJ7 A (sf) A (sf)/Watch Neg
7-A2 74928YBF5 B- (sf) B (sf)/Watch Neg
7-A3 74928YBG3 AA (sf) AA (sf)/Watch Neg
6-A3 74928YBA6 AA (sf) AA (sf)/Watch Neg
6-A2 74928YAZ2 B- (sf) B (sf)/Watch Neg
5-A3 74928YAU3 AA (sf) AA (sf)/Watch Neg
7-A1 74928YBE8 AAA (sf) AAA (sf)/Watch Neg
3-A1 74928YAG4 AAA (sf) AAA (sf)/Watch Neg
6-A4 74928YBB4 B- (sf) B (sf)/Watch Neg
6-A6 74928YBD0 B- (sf) B (sf)/Watch Neg
5-A1 74928YAS8 AAA (sf) AAA (sf)/Watch Neg
3-A2 74928YAH2 BB- (sf) BBB (sf)/Watch Neg
7-A6 74928YBK4 B- (sf) B (sf)/Watch Neg
Ratings Affirmed
Citigroup Mortgage Loan Trust 2010-7
Series 2010-7
Class CUSIP Rating
11A9 17317ECF6 AAA (sf)
11A4 17317ECA7 AAA (sf)
7A1 17317EBE0 BBB (sf)
11A10 17317ECG4 AAA (sf)
13A1 17317ECS8 A (sf)
11A12 17317ECJ8 AAA (sf)
2A1 17317EAD3 AAA (sf)
4A1 17317EAL5 AAA (sf)
3A4 17317EAJ0 A (sf)
11A6 17317ECC3 AAA (sf)
3A1 17317EAF8 AAA (sf)
11A2 17317EBY6 BB (sf)
11A3 17317EBZ3 AAA (sf)
13A4 17317ECV1 A (sf)
2A2 17317EAE1 A (sf)
13A6 17317ECX7 A (sf)
3A2 17317EAG6 AAA (sf)
11A7 17317ECD1 AAA (sf)
10A1 17317EBV2 AAA (sf)
13A3 17317ECU3 AA (sf)
11A11 17317ECH2 AAA (sf)
11A1 17317EBX8 AAA (sf)
11A5 17317ECB5 AAA (sf)
13A5 17317ECW9 AAA (sf)
4AX 17317EAN1 AAA (sf)
11A8 17317ECE9 AAA (sf)
CSMC SERIES: S&P Lowers Rating on Class 5-A5 to 'CC'
----------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 47
classes from three residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions issued in 2009-2010. Each of the groups reviewed
within these transactions paid interest entirely on a pro rata
basis. "At the same time, we removed 16 of these ratings from
CreditWatch with negative implications. In addition, we affirmed
our ratings on 104 classes from both of the transactions with
lowered ratings and one other transaction. At the same time, we
removed 39 of the affirmed ratings from CreditWatch negative," S&P
stated.
"On Dec. 15, 2010, we placed our ratings on 55 classes from the
three transactions within this review on CreditWatch negative,
along with ratings from a group of other RMBS re-REMIC securities.
Additionally, on April 1, 2011, we provided an update
on these CreditWatch placements and provided clarification
regarding our analysis of interest payment amounts within re-REMIC
transactions (see 'Standard & Poor's Provides An Update On
Outstanding RMBS Re-REMIC CreditWatch Placements And Outlines
Their Resolution')," S&P continued.
"Our ratings on the re-REMIC classes are intended to address the
timely payment of interest and principal. We reviewed the interest
and principal amounts due on the underlying securities, which are
then passed through to the applicable re-REMIC classes. As part of
our analysis, we applied our loss projections, incorporating,
where applicable, our recently revised loss assumptions to the
underlying collateral, to identify the principal and interest
amounts that could be passed through from the underlying
securities under our rating scenario stresses. We stressed our
loss projections at various rating categories to assess whether
the re-REMIC classes could withstand the stressed losses
associated with their ratings while receiving timely interest and
principal payments consistent with our criteria," S&P related.
"As noted, in applying our loss projections we incorporated, where
applicable, our recently revised loss assumptions into our review
(see 'Revised Lifetime Loss Projections For Prime, Subprime, And
Alt-A U.S. RMBS Issued In 2005-2007," published on March 25,
2011). Such updates pertain to the 2005-2007 vintage prime,
subprime, and Alternative-A (Alt-A) transactions; some of which
are associated with the re-REMICs we reviewed (see tables 1 and
2 for the overall prior and revised vintage- and product-specific
lifetime loss projections as percentages of the original structure
balance)," S&P pointed out.
Table 1
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Table 2
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our ratings on certain
classes based on our assessment as to whether there were principal
and/or interest shortfalls from the underlying securities that
would impair the re-REMIC classes at the applicable rating
stresses. The affirmations reflect our assessment of the
likelihood that the re-REMIC classes will receive timely interest
and principal under the applicable stressed assumptions," S&P
explained.
As notede, each of the transactions included in this review
contain a pro rata interest payment structure in all of their
groups which were reviewed. "For all groups except for group 14
within CSMC Series 2009-7R, we lowered our ratings based on our
projections of principal loss amounts, as opposed to interest
shortfalls, allocated to the relevant re-REMIC classes under the
applicable ratings stress scenarios. We lowered our ratings
associated with group 14 of CSMC Series 2009-7R based on projected
interest shortfalls," S&P noted.
Rating Actions
CSMC Series 2009-7R
Series 2009-7R
Rating
Class CUSIP To From
5-A5 12641QAS1 CC (sf) B- (sf)
5-A8 12641QAV4 AA (sf) AAA (sf)
5-A4 12641QAR3 CCC (sf) BB (sf)
4-A7 12641QAL6 BBB- (sf) AA+ (sf)
6-A2 12641QAX0 B (sf) A (sf)
5-A3 12641QAQ5 BB- (sf) BBB (sf)
14-A9 12641QDL3 BB+ (sf) AAA (sf)/Watch Neg
9-A4 12641QBX9 B (sf) BB (sf)
6-A3 12641QAY8 CC (sf) B- (sf)
15-A5 12641QDR0 CC (sf) CCC (sf)
1-A4 12641QEY4 CCC (sf) BB (sf)
15-A7 12641QDT6 AAA (sf) AAA (sf)/Watch Neg
14-A3 12641QDE9 CCC (sf) BBB (sf)/Watch Neg
12-A5 12641QCS9 CC (sf) CCC (sf)
3-A3 12641QAA0 CCC (sf) B- (sf)/Watch Neg
15-A2 12641QDN9 CCC (sf) B- (sf)
15-A1 12641QDM1 CCC (sf) BB- (sf)/Watch Neg
4-A1 12641QAE2 B- (sf) AA (sf)
4-A6 12641QAK8 AA (sf) AA+ (sf)
8-A5 12641QBP6 B (sf) B (sf)/Watch Neg
5-A1 12641QAN2 AA (sf) AAA (sf)
13-A2 12641QCX8 BB (sf) BBB+ (sf)
4-A3 12641QAG7 CCC (sf) B- (sf)
4-A2 12641QAF9 CCC (sf) BB- (sf)
16-A2 12641QDW9 CC (sf) BB- (sf)/Watch Neg
13-A7 12641QDB5 A (sf) AA+ (sf)
14-A5 12641QDG4 CCC (sf) B (sf)/Watch Neg
6-A1 12641QAW2 BBB- (sf) AAA (sf)
16-A1 12641QDV1 B- (sf) AA+ (sf)/Watch Neg
14-A1 12641QDC3 CCC (sf) AAA (sf)
5-A2 12641QAP7 BBB (sf) A (sf)
4-A8 12641QAM4 B- (sf) AA (sf)
14-A4 12641QDF6 CCC (sf) BB (sf)/Watch Neg
10-A3 12641QCD2 CC (sf) B+ (sf)
14-A2 12641QDD1 CCC (sf) A (sf)/Watch Neg
6-A6 12641QBB7 BBB- (sf) AAA (sf)
2-A3 12641QFE7 B- (sf) BB- (sf)
15-A8 12641QDU3 CCC (sf) BB- (sf)/Watch Neg
11-A2 12641QCJ9 BB- (sf) AA (sf)
16-A5 12641QDZ2 B- (sf) AA+ (sf)/Watch Neg
3-A2 12641QFK3 BBB+ (sf) A (sf)
13-A3 12641QCY6 B (sf) BB+ (sf)
13-A1 12641QCW0 A (sf) AA+ (sf)
13-A4 12641QCZ3 CC (sf) CCC (sf)
CSMC Series 2009-8R
Series 2009-8R
Rating
Class CUSIP To From
3-A-11 12641RFG0 CC (sf) B+ (sf)/Watch Neg
3-A-13 12641RFL9 CC (sf) B+ (sf)/Watch Neg
3-A-12 12641RFJ4 CC (sf) B+ (sf)/Watch Neg
3-A-14 12641RFN5 CC (sf) B+ (sf)/Watch Neg
3-A-2 12641RAS9 CC (sf) B+ (sf)/Watch Neg
CSMC Series 2010-15R
Series 2010-15R
Rating
Class CUSIP To From
2-A-5 12639MDK8 AA (sf) AA (sf)/Watch Neg
7-A-8 12639MFJ9 BBB (sf) BBB (sf)/Watch Neg
3-A-3 12639MBB0 A (sf) A (sf)/Watch Neg
2-A-3 12639MAQ8 A (sf) A (sf)/Watch Neg
1-A-1 12639MAA3 AAA (sf) AAA (sf)/Watch Neg
5-A-3 12639MBZ7 A (sf) A (sf)/Watch Neg
1-A-2 12639MAC9 AA (sf) AA (sf)/Watch Neg
5-A-14 12639MDZ5 BBB (sf) BBB (sf)/Watch Neg
2-A-1 12639MAM7 AAA (sf) AAA (sf)/Watch Neg
2-A-2 12639MAN5 AA (sf) AA (sf)/Watch Neg
6-A-2 12639MED3 AA (sf) AA (sf)/Watch Neg
4-A-5 12639MDT9 AA (sf) AA (sf)/Watch Neg
1-A-6 12639MDH5 A (sf) A (sf)/Watch Neg
3-A-5 12639MDP7 AA (sf) AA (sf)/Watch Neg
5-A-4 12639MCB9 BBB (sf) BBB (sf)/Watch Neg
5-A-1 12639MBW4 AAA (sf) AAA (sf)/Watch Neg
3-A-1 12639MAX3 AAA (sf) AAA (sf)/Watch Neg
4-A-6 12639MDV4 A (sf) A (sf)/Watch Neg
5-A-8 12639MCK9 BBB (sf) BBB (sf)/Watch Neg
1-A-3 12639MAE5 A (sf) A (sf)/Watch Neg
4-A-3 12639MBP9 A (sf) A (sf)/Watch Neg
6-A-3 12639MEF8 A (sf) A (sf)/Watch Neg
6-A-5 12639MEK7 AA (sf) AA (sf)/Watch Neg
5-A-7 12639MCH6 A (sf) A (sf)/Watch Neg
2-A-6 12639MDM4 A (sf) A (sf)/Watch Neg
5-A-13 12639MDX0 BBB (sf) BBB (sf)/Watch Neg
5-A-2 12639MCY9 AA (sf) AA (sf)/Watch Neg
3-A-6 12639MDR3 A (sf) A (sf)/Watch Neg
6-A-1 12639MEB7 AAA (sf) AAA (sf)/Watch Neg
4-A-1 12639MBK0 AAA (sf) AAA (sf)/Watch Neg
3-A-2 12639MAZ8 AA (sf) AA (sf)/Watch Neg
1-A-5 12639MDF9 AA (sf) AA (sf)/Watch Neg
7-A-2 12639MEW1 BBB (sf) BBB (sf)/Watch Neg
4-A-2 12639MBM6 AA (sf) AA (sf)/Watch Neg
6-A-6 12639MEM3 A (sf) A (sf)/Watch Neg
5-A-6 12639MCF0 AA (sf) AA (sf)/Watch Neg
7-A-1 12639MEU5 A (sf) A (sf)/Watch Neg
Ratings Affirmed
CSMC Series 2009-7R
Series 2009-7R
Class CUSIP Rating
7-A4 12641QBF8 CCC (sf)
12-A2 12641QCP5 A (sf)
2-A4 12641QFF4 AAA (sf)
10-A6 12641QCG5 AAA (sf)
4-A5 12641QAJ1 CC (sf)
15-A6 12641QDS8 AAA (sf)
12-A6 12641QCT7 AAA (sf)
2-A1 12641QFC1 AAA (sf)
7-A2 12641QBD3 A (sf)
16-A3 12641QDX7 AAA (sf)
9-A1 12641QBU5 AAA (sf)
12-A4 12641QCR1 BB (sf)
7-A7 12641QBJ0 AAA (sf)
2-A6 12641QFH0 AAA (sf)
12-A8 12641QCV2 AAA (sf)
7-A6 12641QBH4 AAA (sf)
7-A1 12641QBC5 AAA (sf)
10-A1 12641QCB6 AAA (sf)
16-A4 12641QDY5 AAA (sf)
10-A2 12641QCC4 A (sf)
9-A3 12641QBW1 BBB (sf)
2-A5 12641QFG2 AAA (sf)
12-A3 12641QCQ3 BBB (sf)
1-A6 12641QFA5 AAA (sf)
6-A4 12641QAZ5 AAA (sf)
2-A2 12641QFD9 A (sf)
12-A7 12641QCU4 AAA (sf)
15-A3 12641QDP4 CCC (sf)
11-A1 12641QCH3 AAA (sf)
7-A5 12641QBG6 AAA (sf)
1-A7 12641QFB3 AAA (sf)
1-A5 12641QEZ1 AAA (sf)
1-A3 12641QEX6 BBB (sf)
1-A1 12641QEV0 AAA (sf)
9-A7 12641QCA8 AAA (sf)
7-A3 12641QBE1 BBB (sf)
5-A7 12641QAU6 AAA (sf)
3-A1 12641QFJ6 AAA (sf)
3-A5 12641QAC6 AAA (sf)
4-A4 12641QAH5 CCC (sf)
12-A1 12641QCN0 AAA (sf)
3-A6 12641QAD4 AAA (sf)
9-A6 12641QBZ4 AAA (sf)
1-A2 12641QEW8 A (sf)
3-A4 12641QAB8 AAA (sf)
6-A5 12641QBA9 AAA (sf)
11-A4 12641QCL4 AAA (sf)
9-A2 12641QBV3 A (sf)
11-A5 12641QCM2 AAA (sf)
13-A5 12641QDA7 AAA (sf)
13-A6 12641QFL1 AAA (sf)
9-A5 12641QBY7 AAA (sf)
10-A5 12641QCF7 AAA (sf)
5-A6 12641QAT9 AAA (sf)
11-A3 12641QCK6 AAA (sf)
15-A4 12641QDQ2 CCC (sf)
CSMC Series 2009-8R
Series 2009-8R
Class CUSIP Rating
3-A-1 12641RAQ3 AAA (sf)
3-A-8 12641RFA3 AAA (sf)
3-A-6 12641RBA7 AAA (sf)
3-A-9 12641RFC9 AAA (sf)
3-A-5 12641RAY6 AAA (sf)
3-A-10 12641RFE5 AAA (sf)
3-A-3 12641RAU4 AAA (sf)
3-A-4 12641RAW0 AAA (sf)
3-A-7 12641RBC3 AAA (sf)
DEUTSCHE MORTGAGE: S&P Lowers Ratings on 3 Classes to 'BB'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes from three residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions issued in 2003, 2005, and 2010, and removed all of
them from CreditWatch with negative implications. "In addition, we
affirmed our ratings on 29 classes from two of the transactions
with lowered ratings and two additional transactions, and removed
22 of them from CreditWatch negative. We also withdrew our ratings
on four classes from two of the transactions due to payoff," S&P
said.
"On Dec. 15, 2010, we placed our ratings on 34 classes from the
five transactions within this review on CreditWatch negative,
along with ratings from a group of other RMBS re-REMIC securities.
Additionally, on April 1, 2011, we provided an update on these
CreditWatch placements and provided clarification regarding our
analysis of interest payment amounts within re-REMIC
transactions," S&P related.
"Our ratings on the re-REMIC classes are intended to address the
timely payment of interest and principal. We reviewed the interest
and principal amounts due on the underlying securities, which are
then passed through to the applicable re-REMIC classes. As part of
our analysis, we applied our loss projections, incorporating,
where applicable, our recently revised loss assumptions to the
underlying collateral, to identify the principal and interest
amounts that could be passed through from the underlying
securities under our rating scenario stresses. We stressed our
loss projections at various rating categories to assess whether
the re-REMIC classes could withstand the stressed losses
associated with their ratings while receiving timely interest and
principal payments consistent with our criteria," S&P continued.
"As noted, in applying our loss projections we incorporated, where
applicable, our recently revised loss assumptions into our review.
Such updates pertain to the 2005-2007 vintage prime, subprime, and
Alternative-A (Alt-A) transactions; some of which are associated
with the re-REMICs we reviewed (see tables 1 and 2 for the
overall prior and revised vintage- and product-specific lifetime
loss projections as percentages of the original structure
balance)," S&P noted.
Table 1
Lifetime Loss Projections For Prime And Subprime RMBS
(Percent of original balance)
Prime RMBS Subprime RMBS
Aggregate Aggregate
Vintage Updated Prior Updated Prior
2005 5.5 4.00 18.25 15.40
2006 9.25 6.60 38.25 35.00
2007 11.75 9.75 48.50 43.20
Table 2
Lifetime Loss Projections For Alternative-A RMBS
(Percent of original balance)
Fixed/
Aggregate long-reset
Vintage Updated Prior Updated Prior
2005 13.75 11.25 12.75 9.60
2006 29.50 26.25 25.25 25.00
2007 36.00 31.25 31.75 26.25
Short-reset
hybrid Option ARM
Vintage Updated Prior Updated Prior
2005 13.25 14.75 15.50 13.25
2006 30.00 30.50 34.75 26.75
2007 41.00 40.75 43.50 37.50
"As a result of this review, we lowered our ratings on certain
classes based on our assessment as to whether there were principal
and/or interest shortfalls from the underlying securities that
would impair the re-REMIC classes at the applicable rating
stresses. The affirmations reflect our assessment of the
likelihood that the re-REMIC classes will receive timely interest
and ultimate principal under the applicable stressed assumptions,"
according to S&P.
As noted, four of the transactions included in this review contain
a pro rata interest payment structure in each of its groups. The
fifth transaction, RBSSP Resecuritization Trust 2010-4, pays
interest sequentially within each group. "We lowered our ratings
on certain J.P. Morgan Resecuritization Trust Series 2010-5
classes based on our projections of interest shortfalls allocated
to the relevant re-REMIC classes under the applicable ratings
stress scenarios. For the remaining two transactions with lowered
ratings, Deutsche Mortgage Securities Inc. Series 2005-WF1 and
Financial Asset Securities Corp. AAA Trust 2003-1, we lowered our
ratings based on our projections of principal loss amounts, as
opposed to interest shortfalls, allocated to the relevant
re-REMIC classes under the applicable ratings stress scenarios,"
S&P added.
Rating Actions
Deutsche Mortgage Securities Inc.
Series 2005-WF1
Rating
Class CUSIP To From
I-A-1 25157FAG9 NR AAA (sf)
I-A-2 25157FAH7 BB (sf) AAA (sf)/Watch Neg
I-A-3 25157FAJ3 BB (sf) AAA (sf)/Watch Neg
I-A-4 25157FAK0 AAA (sf) AAA (sf)/Watch Neg
I-A-5 25157FAL8 BB (sf) AAA (sf)/Watch Neg
I-A-X 25157FAM6 AAA (sf) AAA (sf)/Watch Neg
II-A-1 25157FAN4 BB+ (sf) AAA (sf)/Watch Neg
Financial Asset Securities Corp. AAA Trust 2003-1
Series 2003-1
Rating
Class CUSIP To From
A-5 31738PAM0 AA- (sf) AAA (sf)/Watch Neg
A-6 31738PAN8 AA (sf) AAA (sf)/Watch Neg
X 31738PAP3 AA (sf) AAA (sf)/Watch Neg
Financial Asset Securities Corp. AAA Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
I-A3A 31738PAU2 AAA (sf) AAA (sf)/Watch Neg
I-A3B 31738PAV0 AAA (sf) AAA (sf)/Watch Neg
II-A2 31738PAY4 AAA (sf) AAA (sf)/Watch Neg
II-X 31738PAZ1 AAA (sf) AAA (sf)/Watch Neg
J.P. Morgan Resecuritization Trust Series 2010-5
Series 2010-5
Rating
Class CUSIP To From
2-A-1 46634RAN7 AA- (sf) AAA (sf)/Watch Neg
2-A-2 46634RAP2 A- (sf) AA (sf)/Watch Neg
2-A-3 46634RAQ0 BB+ (sf) A (sf)/Watch Neg
2-A-5 46634RAS6 A- (sf) AA (sf)/Watch Neg
2-A-6 46634RAT4 BB+ (sf) A (sf)/Watch Neg
RBSSP Resecuritization Trust 2010-4
Series 2010-4
Rating
Class CUSIP To From
1-A1 74927DAA4 A (sf) A (sf)/Watch Neg
2-A1 74927DAC0 A (sf) A (sf)/Watch Neg
3-A1 74927DAE6 BBB (sf) BBB (sf)/Watch Neg
4-A1 74927DAG1 BBB (sf) BBB (sf)/Watch Neg
5-A1 74927DAJ5 A (sf) A (sf)/Watch Neg
6-A1 74927DAL0 AAA (sf) AAA (sf)/Watch Neg
9-A1 74927DAW6 AAA (sf) AAA (sf)/Watch Neg
9-A3 74927DAY2 AAA (sf) AAA (sf)/Watch Neg
9-A4 74927DAZ9 AAA (sf) AAA (sf)/Watch Neg
9-A5 74927DBA3 AA (sf) AA (sf)/Watch Neg
9-A7 74927DBD7 AA (sf) AA (sf)/Watch Neg
9-A8 74927DBE5 AA (sf) AA (sf)/Watch Neg
9-A9 74927DBF2 A (sf) A (sf)/Watch Neg
9-A11 74927DBJ4 A (sf) A (sf)/Watch Neg
9-A12 74927DBK1 A (sf) A (sf)/Watch Neg
9-A13 74927DBL9 A (sf) A (sf)/Watch Neg
10-A1 74927DBM7 NR AAA (sf)
10-A3 74927DBP0 NR AA (sf)
10-A5 74927DBR6 NR A (sf)
Ratings Affirmed
Financial Asset Securities Corp. AAA Trust 2005-1
Series 2005-1
Class CUSIP Rating
I-X 31738PAW8 AAA (sf)
R 31738PBA5 AAA (sf)
J.P. Morgan Resecuritization Trust Series 2010-5
Series 2010-5
Class CUSIP Rating
3-A-1 46634RBA4 AAA (sf)
3-A-2 46634RBB2 AA (sf)
3-A-3 46634RBC0 A (sf)
3-A-5 46634RBE6 AA (sf)
3-A-6 46634RBF3 A (sf)
DIVERSIFIED ASSET: Moody's Ups Ratings on Classes From 'Ba1'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes
of notes issued by Diversified Asset Securitization Holdings III,
L.P. The classes of notes affected by the rating actions are:
-- Class A-1L Floating Rate Notes Due July 2036 (current
balance: $23,969,877), Upgraded to Baa1 (sf); previously on
March 27, 2009, Downgraded to Ba1 (sf);
-- Class A-2 7.4202% Notes Due July 2036 (current balance:
$7,804,146), Upgraded to Baa1 (sf); previously on March 27,
2009, Downgraded to Ba1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the de-levering of the Class A-1L and A- 2 Notes.
On the most recent payment date in April 2011 the Class A-1L Notes
received a principal payment of $1.016mm and the Class A-2 Notes
received a principal payment of $330,945. Since the last review in
March 2009 the Class A-1L Notes and the Class A-2 Notes have paid
down by approximately $41mm and $13mm, respectively. As a result
of the delevering, the par coverage of the Class A-1L and A-2
Notes exceeds 150%. Over 65% of the names in the portfolio have an
investment grade Moody's rating. Additionally, the interest rate
swap is due to mature in July 2011 which will provide the
transaction with additional interest proceeds to be used for the
payment of the Notes.
Moody's also notes that since the last review, the number of
defaults has remained stable, the WARF has improved, and the Class
A/B OC has slightly deteriorated. Based on the April 2011 trustee
report, the weighted average rating factor is 317 compared to 500
in February 2009. The Class A OC ratio was reported as 78.98% in
April 2011 compared to 88.76% in the February 2009 report.
However, the de-levering of the Class A-1L and A-2 Notes has
outweighed the negative effects of the Class A OC deterioration.
Diversified Asset Securitization Holdings III, L.P. is a
collateralized debt obligation issuance backed by a portfolio of
primarily Residential Mortgage-Backed Securities (RMBS) and
Commercial Mortgage-Backed Securities (CMBS).
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.6 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account: collateral cash
flows, the transaction covenants, the priority of payments
(waterfall) for interest and principal proceeds received from
portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
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 rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are 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 Caa1 bucket notched down to Caa3:
-- Class A-1L: 0
-- Class A-2: 0
-- Class A-3L: 0
-- Class B-1L: 0
Moody's Caa1 bucket notched up to B2:
-- Class A-1L: 0
-- Class A-2: 0
-- Class A-3L: 0
-- Class B-1L: 0
DIVERSIFIED ASSET: Moody's Upgrades Ratings of Two Note Classes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes
of notes issued by Diversified Asset Securitization Holdings I,
LP. The classes of notes affected by the rating action are:
-- US$218,000,000 Class A-1 Floating Rate Senior Secured Term
Notes Due 2034 (current balance of $53,534,281), Upgraded to
Baa1 (sf); previously on April 22, 2009, Downgraded to Ba2
(sf);
-- US$45,000,000 Class A-2 Fixed Rate Senior Secured Term Notes
Due 2034 (current balance of $11,050,654), Upgraded to Baa1
(sf); previously on April 22, 2009, Downgraded to Ba2 (sf).
Ratings Rationale
According to Moody's, the rating action results primarily from the
significant delevering of the Class A-1 and Class A-2 Notes.
The Class A-1 and Class A-2 Notes have been paid down by
approximately $16.6 million and $3.4 million, respectively, since
the last rating action in April 2009. As a result of the
delevering, the overcollateralization for Class A has increased
from 101.2% to 108.8%. As of the latest trustee report dated April
30, 2011, there are $71.7 million of investment grade rated assets
in the portfolio, providing sufficient credit support to the
approximately $64.6 million of outstanding Class A-1 and Class A-2
Notes. The deal also benefits from the diversion of excess
interest to amortize the Class A-1 Notes.
Diversified Asset Securitization Holdings I, LP, issued on
December 28, 1999, is a collateralized debt obligation currently
backed by a diversified portfolio which includes residential
mortgage-backed securities (RMBS) and commercial mortgage-backed
securities (CMBS), the majority of which were originated between
1997 and 2000.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.6 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account: collateral cash
flows, the transaction covenants, the priority of payments
(waterfall) for interest and principal proceeds received from
portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
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 rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are 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 Non-investment grade bucket notched down by two notches:
-- Class A-1: 0
-- Class A-2: -1
-- Class B: 0
-- Class C: 0
Moody's Non-investment grade bucket notched up by two notches:
-- Class A-1: +1
-- Class A-2: 0
-- Class B: 0
-- Class C: 0
DT AUTO: S&P Assigns Ratings on 4 Classes of Notes
--------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to DT Auto Owner Trust 2011-2's $246.88 million
automobile receivables-backed notes.
The transaction is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of May 24,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
* The availability of approximately 55.1%, 49.7%, 40.3%, and
33.0% credit support for the class A, B, C, and D notes
based on stressed cash flow scenarios (including excess
spread). "These credit support levels provide approximately
2.35x, 2.10x, 1.70x, and 1.35x coverage of our expected net
loss range of 22%-23.5% for the class A, B, C, and D notes,"
S&P stated;
* "The timely interest and principal payments by our assumed
legal final maturity dates made under stressed cash flow
modeling scenarios that are appropriate to the assigned
preliminary ratings," noted S&P;
* "Our expectation that under a moderate, or 'BBB', stress
scenario, the ratings on the class A, B, and C notes would
remain within one rating category of our preliminary 'AAA
(sf)', 'AA (sf)', and 'A (sf)' ratings, and the ratings on
the class D notes would remain within two rating categories
of our preliminary 'BBB (sf)' rating during the first year,"
S&P added.
"These potential rating movements are consistent with our
credit stability criteria, which outlines the outer bound of
credit deterioration equal to one-category downgrade within
the first year for 'AAA (sf)' and 'AA (sf)' rated securities
and a two-category downgrade within the first year for 'A
(sf)' through 'BB (sf)' rated securities under moderate
stress conditions (see "Methodology: Credit Stability
Criteria," published May 3, 2010)," S&P explained;
* "The collateral characteristics of the subprime pool being
securitized, including 10 months of seasoning and the
obligors' higher payment frequency (more than once a month),
which we expect will result in a rapid paydown on the pool,"
S&P noted;
* DriveTime Automotive Group Inc.'s more than 19-year history
of originating, underwriting, and servicing subprime auto
loans, and 16-year history of securitizing subprime auto
loans; and
* The transaction's payment and legal structures.
Preliminary Ratings Assigned
DT Auto Owner Trust 2011-2
Class Rating Type Interest Amount
rate (mil. $)(i)
A AAA (sf) Senior Fixed 148.788
B AA (sf) Subordinate Fixed 24.298
C A (sf) Subordinate Fixed 19.498
D BBB (sf) Subordinate Fixed 54.296
(i) The actual size of these tranches will be determined on the
pricing date.
EASTMAN HILL: Fitch Ratings Maintains 3 Classes on RWE
------------------------------------------------------
Fitch Ratings has maintained the Rating Watch Evolving on three
classes and affirmed three classes of notes issued by Eastman Hill
Funding I, Ltd./Inc. (Eastman Hill) due to continuing litigation
surrounding the transaction. The actions are:
-- $42,934,402 class A-1-FL notes 'Bsf', remains on Rating
Watch Evolving;
-- $838,563 class A-1-FX notes 'Bsf', remains on Rating Watch
Evolving;
-- $43,772,964 class A-2 notes 'Bsf', remains on Rating Watch
Evolving;
-- $10,000,000 class A-3 notes affirmed at 'CCCsf';
-- $38,390,227 class B-1 notes affirmed at 'Csf';
-- $25,000,000 combination notes affirmed at 'Csf'.
The nature of the dispute which led to Fitch's assignment of
Rating Watch Evolving is described in Fitch's press releases dated
March 5, 2009 and April 6, 2010. Since the Oct. 15, 2010 rating
watch update, the court has not ordered any additional funds be
placed in escrow; all funds from the December 2010 and March 2011
payment dates were distributed under the transaction's regular
priority of payments. There have been no additional releases of
funds previously placed in escrow.
The overall credit quality of the portfolio has improved since the
last review, with the percentage of the portfolio with a Fitch-
derived rating below investment grade decreasing to 9.7%, compared
25.5% at last review. The transaction no longer had to rely on
principal proceeds to cover interest shortfalls for the March 2011
distribution date, as interest collections were sufficient to pay
a portion of class B-1 accrued interest. Additionally, the class
A-1-FL and A-1-FX (together, class A-1) notes have amortized an
additional 50.8% of their October 2010 balance.
The 'Bsf' rating of the class A-1 and A-2 notes reflects the
continuing uncertainty of future timely distributions and non-
payment of full interest on several prior payment dates when funds
were escrowed. Default continues to appear probable for the class
A-3 notes despite improved credit enhancement levels because of
increased concentration in the underlying portfolio. Fitch's
ratings for the class A-1 and A-3 notes address their ability to
receive timely interest and ultimate principal payment at or prior
to the notes' legal maturity. The rating of the class A-2 notes
addresses only the ability to receive timely interest
distributions based on the notional of the class A-1 notes.
Loss Severity (LS) ratings are not being assigned to the class A-1
and A-2 notes at this time in view of the ongoing litigation.
Fitch does not assign LS ratings or Rating Outlooks to classes
rated 'CCCsf' or lower.
While the class B-1 notes did receive a portion of their accrued
interest on the March 30, 2011 distribution date, there is still a
substantial amount of deferred interest that remains unpaid and
the class is undercollateralized. Therefore, default continues to
appear inevitable.
Based on the credit quality of the underlying portfolio and the
position of the classes that comprise the combination notes in the
capital structure, default continues to appear inevitable for the
combination notes.
Eastman Hill is a cash flow collateralized debt obligation (CDO)
that closed on July 2, 2001. The reinvestment period ended in June
2006 and the transaction is monitored by TCW Asset Management
Company. The portfolio is composed of residential mortgage-backed
securities (73.3%) from 1998 through 2004 vintage transactions and
corporate bonds (26.7%).
EATON VANCE: S&P Affirms Rating on Class D Notes at 'BB'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
class A, B, and C notes from Eaton Vance CDO VIII Ltd., a
collateralized loan obligation (CLO) transaction managed by
Eaton Vance Management. "Concurrently, we removed our ratings
on the class A and B notes from CreditWatch, where we placed
them with positive implications on March 1, 2011. At the same
time, we affirmed our rating on the class D notes," S&P said.
"The upgrades mainly reflect an improvement in the performance
of the transaction's underlying asset portfolio since our
Oct. 23, 2009, downgrades of the class A and B notes following
the application of our September 2009 corporate collateralized
debt obligation (CDO) criteria. As of the May 2011 trustee
report, the transaction had $2.38 million of defaulted assets.
This was down from $35.90 million noted in the September 2009
trustee report, which we referenced for our October 2009 rating
actions. Furthermore, assets from obligors rated in the 'CCC'
category were reported at $36.01 million in May 2011, compared
with $107.41 million in September 2009," S&P explained.
The transaction has further benefited from an increase in the
overcollateralization (O/C) available to support the rated notes.
The trustee reported these O/C ratios in the May 4, 2011 monthly
report:
* The class A O/C ratio was 126.9%, compared with a reported
ratio of 122.8% in September 2009;
* The class B O/C ratio was 116.7%, compared with a reported
ratio of 113.0% in September 2009;
* The class C O/C ratio was 112.4%, compared with a reported
ratio of 108.8% in September 2009; and
* The class D O/C ratio was 106.6%, compared with a reported
ratio of 103.3% in September 2009.
The affirmation of the class D notes reflects the availability of
credit support at the current rating level.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rating and CreditWatch Actions
Eaton Vance CDO VIII Ltd.
Rating
Class To From
A AA+ (sf) AA (sf)/Watch Pos
B A (sf) BBB+ (sf)/Watch Pos
C BBB+ (sf) BBB (sf)
Rating Affirmed
Eaton Vance CDO VIII Ltd.
Class Rating
D BB (sf)
Transaction Information
Issuer: Eaton Vance CDO VIII Ltd.
Collateral manager: Eaton Vance Management
Underwriter: Banc of America Securities LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
EMPORIA PREFERRED: S&P Affirms Rating on Class E Notes at 'CCC+'
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2, A-3, B, C, D, and E notes from Emporia Preferred
Funding II Ltd., a collateralized loan obligation (CLO)
transaction managed by A.C. Corp. "At the same time, we removed
our ratings on the class B, C, and D notes from CreditWatch, where
we placed them with positive implications on March 1, 2011," S&P
related.
S&P continued, "The affirmation of our ratings on the class A-1,
A-2, A-3, B, C, D, and E notes reflects the availability of credit
support at the current rating levels. We previously downgraded all
of the rated notes on Nov. 17, 2009, following the application of
our September 2009 corporate CDO criteria. As of the May 2011
trustee report, the transaction had $13.38 million of defaulted
assets. This was down from $20.28 million noted in the October
2009 trustee report, which we referenced for our November 2009
rating actions."
The trustee reported these overcollateralization (O/C) ratios in
the May 2, 2011, monthly report:
* The class A/B O/C ratio was 127.32%, compared with a
reported ratio of 121.20% in October 2009;
* The class C O/C ratio was 117.49%, compared with a reported
ratio of 112.10% in October 2009;
* The class D O/C ratio was 109.07%, compared with a reported
ratio of 104.27% in October 2009; and
* The class E O/C ratio was 104.15%, compared with a reported
ratio of 99.69% in October 2009.
While the transaction's credit quality and O/C ratios have
improved some, in our opinion the ratings assigned to the notes
remain consistent with the credit enhancement available to support
the notes. "We will continue to take rating actions as we deem
necessary," S&P added.
Rating and CreditWatch Actions
Emporia Preferred Funding II Ltd.
Rating
Class To From
B A+ (sf) A+ (sf)/Watch Pos
C BBB+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
Ratings Affirmed
Emporia Preferred Funding II Ltd.
Class Rating
A-1 AA+ (sf)
A-2 AA+ (sf)
A-3 AA+ (sf)
E CCC+ (sf)
FIRST FRANKLIN: Moody's Downgrades $64.9 Million of Subprime RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 3 tranches
issued by First Franklin Mortgage Loan Trust 2004-FF1. The
collateral backing this deal primarily consists of first-lien
adjustable rate Subprime residential mortgages.
Ratings Rationale
The actions are a result of deteriorating performance of Subprime
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 Subprime
pools securitized before 2005.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Pre-2005 US RMBS
Surveillance Methodology" published in January 2011, which
accounts for the deteriorating performance and outlook.
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 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 of 11% for pools originated and
securitized before 2005 ). The baseline rate is generally higher
than the average rate of new delinquencies for larger pools. 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 11.11%. In addition, if
the current delinquency level 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 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% 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 ratings.
Complete rating actions are:
Issuer: First Franklin Mortgage Loan Trust 2004-FF1
-- Cl. M-1, Downgraded to A2 (sf); previously on Apr 8, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Caa3 (sf); previously on Apr 8, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on Apr 8, 2010 B3
(sf) Placed Under Review for Possible Downgrade
FMA CBO: S&P Lowers Rating on Class B Notes to 'D'
--------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on the
class B notes issued by FMA CBO Funding II L.P., by reinstating it
and simultaneously lowering it to 'D (sf)'. "We lowered our rating
due to the nonpayment of the full principal balance due to the
class B notes on March 25, 2011, the transaction's legal final
maturity and final payment date. Prior to the March payment date,
the class B notes had an outstanding balance of $11.75 million. On
the March 25 payment date, the notes were paid down $6.55 million,
leaving an outstanding principal balance of $5.20 million," S&P
stated.
S&P continued, "We withdrew our 'CC (sf)' rating on the class B
notes on March 25, 2011, before lowering it to 'D (sf)' in light
of the principal shortfall on the notes' legal final maturity
date. The rating action corrects this," S&P noted.
FMA CBO Funding II L.P. is a collateralized bond obligation (CBO)
issued in 1999 managed by Financial Management Advisors Inc.
Rating Corrected
FMA CBO Funding II L.P.
Rating
Class To From
B D (sf) NR
FORT DEARBORN: S&P Lowers Ratings on 3 Classes of Notes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1LA Inv, A-3L, and B-1L notes from Fort Dearborn CDO I
Ltd., a hybrid collateralized debt obligation (CDO), to 'D
(sf)' from 'CC (sf)'.
"We previously downgraded the three nondeferrable notes (classes
X, A-1LB, A-2L) to 'D (sf)' on Nov. 4, 2009, due to missed
interest payments. The downgrades reflect the fact that the
proceeds from the liquidation of the assets in the transaction's
portfolio were insufficient to pay any of the rated notes in
full," S&P said.
Ratings Lowered
Fort Dearborn CDO I Ltd.
Rating
Class To From
A-1LA Inv D (sf) CC (sf)
A-3L D (sf) CC (sf)
B-1L D (sf) CC (sf)
Other Ratings Outstanding
Fort Dearborn CDO I Ltd.
Class Rating
X D (sf)
A-1LB D (sf)
A-2L D (sf)
G-STAR 2002-1: S&P Affirms Rating on Class C Notes at 'CCC-'
------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1MM, A-2, BFL, BFX, and C notes issued by G-Star 2002-1
Ltd., a collateralized debt obligation (CDO) transaction
collateralized by commercial mortgage-backed securities (CMBS) and
real estate investment trust (REIT) bonds. "At the same time, we
removed our ratings on the class A-1MM and A-2 notes from
CreditWatch negative. We also withdrew our short-term rating on
the class A-1MM notes," S&P said.
"We placed our ratings on the class A-1MM and A-2 notes on
CreditWatch negative on Jan. 18, 2011, in connection with the
implementation of our revised counterparty criteria (see "Ratings
On 950 North America Structured Finance Tranches On Watch Neg
After Counterparty Criteria Update," published Jan. 18, 2011). The
affirmations and removal of the class A-1MM and A-2 ratings from
CreditWatch reflect the updated counterparty criteria," S&P
continued.
"In our review, we generated a cash flow analysis to assess the
credit support available to the notes without giving benefit to
the interest rate hedge agreement that the transaction has entered
into with a counterparty, stressing the CDO under various interest
rate scenarios in the absence of an interest rate hedge. In our
view, the cash flow analysis of the transaction showed that
the ratings assigned to the notes were not affected under these
stresses, leading to our decision to affirm the current ratings
assigned to the notes and to remove the ratings on the class A-1MM
and A-2 notes from CreditWatch negative," S&P noted.
"We withdrew our short-term rating on the class A-1MM notes
because the remarketing agreement associated with the short-term
rating has been terminated according to the trustee," according to
S&P.
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," said S&P.
Ratings Affirmed and Removed From CreditWatch
G-Star 2002-1 Ltd.
Rating
Class To From
A-1MM AAA (sf)/NR AAA (sf)/Watch Neg/A-1 (sf)
A-2 AA+ (sf) AA+ (sf)/Watch Neg
Ratings Affirmed
G-Star 2002-1 Ltd.
Class Rating
BFL CCC+ (sf)
BFX CCC+ (sf)
C CCC- (sf)
NR -- Not rated.
GEM VIII: S&P Affirms Ratings on 2 Classes of Notes at 'BB'
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1A, A-1B, A-2, A-3, B, C, D-1, and D-2 notes issued by GEM
VIII Ltd., an emerging market collateralized debt obligation (CDO)
transaction. "We also removed the ratings on class A-1A, A-1B,
A-2, and A-3 from CreditWatch with negative implications," S&P
related.
"We placed our ratings on the class A-1A, A-1B, A-2, and A-3 notes
on CreditWatch negative on Jan. 18, 2011, in connection with the
implementation of our revised counterparty criteria. The
affirmations and removal of class A-1A, A-1B, A-2, and A-3 ratings
from CreditWatch takes into account the updated counterparty
criteria," S&P said.
"In our review, we generated cash flow analysis to assess the
credit support available to the notes without giving benefit to
the interest rate hedge agreement that the transaction has entered
into with a counterparty, stressing the CDO under various interest
rate scenarios in the absence of an interest rate hedge. In our
view, the cash flow analysis of the transaction showed that
there was no impact to the rating assigned to the notes under
these stresses, which led to our affirmation of the ratings and
their removal from CreditWatch negative," noted S&P.
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P continued.
Ratings Affirmed and Removed From CreditWatch
GEM VIII Ltd.
Rating
Class To From
A-1A AAA (sf) AAA (sf)/Watch Neg
A-1B AAA (sf) AAA (sf)/Watch Neg
A-2 AAA (sf) AAA (sf)/Watch Neg
A-3 AA (sf) AA (sf)/Watch Neg
Ratings Affirmed
GEM VIII Ltd.
Rating
Class
B A- (sf)
C BBB (sf)
D-1 BB (sf)
D-2 BB (sf)
GFCM LLC: Moody's Affirms Ratings of Ten CMBS Classes
-----------------------------------------------------
Moody's Investors Service affirmed the ratings of ten classes of
GFCM LLC, Commercial Mortgage Pass-Through Certificates, Series
2003-1:
-- Cl. A-4, Affirmed at Aaa (sf); previously on Oct 17, 2003
Definitive Rating Assigned Aaa (sf)
-- Cl. A-5, Affirmed at Aaa (sf); previously on Oct 17, 2003
Definitive Rating Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on Oct 17, 2003
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Nov 28, 2007
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aa3 (sf); previously on Nov 28, 2007
Upgraded to Aa3 (sf)
-- Cl. D, Affirmed firmed at Baa1 (sf); previously on Nov 28,
2007 Upgraded to Baa1 (sf)
-- Cl. E, Affirmed at Baa3 (sf); previously on Oct 17, 2003
Definitive Rating Assigned Baa3 (sf)
-- Cl. F, Affirmed at B1 (sf); previously on Jun 30, 2010
Downgraded to B1 (sf)
-- Cl. G, Affirmed at Caa2 (sf); previously on Jun 30, 2010
Downgraded to Caa2 (sf)
-- Cl. H, Affirmed at C (sf); previously on Jun 30, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key rating parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), 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
2.4% of the current balance. At last review, Moody's cumulative
base expected loss was 1.9%. Moody's stressed scenario loss is
6.6% 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.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Conduit Transactions" published in September
2000.
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
(Herf), 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 48 compared to 52 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 (CMBS) 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 30, 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 May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 56% to
$363.9 million from $822.6 million at securitization. The
Certificates are collateralized by 122 mortgage loans ranging
in size from less than 1% to 7% of the pool, with the top ten
loans representing 33% of the pool. No loans have defeased and
there are no loans with investment grade credit estimates.
Thirty six 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 (CREFC) 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 an
aggregate $2.3 million realized loss (10% loss severity on
average), compared to $2.1 million at last review. One loan,
representing less than 1% of the pool is currently in special
servicing. Moody's has estimated a $380,00 loss (11% expected
loss) for the specially serviced loan.
Moody's has assumed a high default probability for three poorly
performing loans representing 2% of the pool and has estimated a
$997,000 loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010
operating results for 88% and 11% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 55%, the same as at last review. Moody's net cash
flow reflects a weighted average haircut of 13% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.8%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.49X and 2.29X, respectively, compared to
1.52X and 2.19X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 17% of the pool
balance. The largest conduit loan is the Maryland Industrial
Office Portfolio Loan ($25.8 million -- 7.1% of the pool), which
is secured by nine industrial properties and one office building
located in Baltimore, Maryland. The portfolio totals 1.3 million
square feet and was 90% leased as of December 2010 compared to 97%
at last review. The loan matures in February 2018 and fully
amortizes on a 180-month schedule. The loan has benefited from 7%
of amortization since last review. Moody's LTV and stressed DSCR
are 44% and 2.61X, respectively, compared to 51% and 2.22X at last
review.
The second largest loan is the Gateway Plaza I & II Loan ($25.3
million -- 6.9% of the pool), which is secured by two cross-
collateralized and cross-defaulted loans on a 339,200 square foot
power center in Patchogue (Suffolk County), New York. The loan
matures in April 2023 and amortizes on a 300-month schedule. The
retail center is anchored by Bob's, Best Buy, Marshall's and Home
Goods. The property was 97% leased as of December 2010, the same
as at last review. Moody's LTV and stressed DSCR are 72% and 1.4X,
respectively, compared to 71% and 1.34X at last review.
The third largest loan is Eastover Ridge Apartment & Brunswick
Office Loan ($12.7 million -- 3.5% of the pool), which consists of
two cross-collateralized and cross-defaulted loans secured by a
208-unit apartment complex (Eastover Ridge Apartment) and a 16,000
square feet medical office building (Brunswick Office) located in
Charlotte, North Carolina. The loan matures in September 2027 and
fully amortizes on a 300-month schedule. The loan is currently on
the watchlist due to declining DSCR, the result of rental
concessions. Moody's LTV and stressed DSCR are 121% and 0.86X,
respectively, compared to 90% and 1.15X at last review.
GLACIER FUNDING: Moody's Upgrades Ratings of One Class Of Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one class of
notes issued by Glacier Funding CDO I Limited. The class of notes
affected by the rating actions is:
-- US$190,000,000 Class A-1 First Priority Senior Floating Rate
Notes Due 2039 (current balance of $21,662,925), Upgraded to
A2 (sf); previously on August 21, 2009, Downgraded to Ba1
(sf).
Ratings Rationale
According to Moody's, the rating action results primarily from
delevering of the Class A-1 Notes and improving interest coverage.
The Class A-1 Notes have been paid down by approximately
$22.6 million since the last rating action in August 2009. As a
result of the delevering, the overcollateralization for Class A-1
has increased since that time from 279% to 360%. As of the latest
trustee report dated April 30, 2011, there are $40.0 million of
investment grade rated assets in the portfolio, providing
sufficient credit support to the approximately $21.6 million of
outstanding class A-1 Notes. The deal also benefits from the
diversion of excess interest to amortize the Class A-1 Notes,
which totaled $775k on the March 2011 payment date.
Glacier Funding CDO I Limited, issued on March 10, 2004, is a
collateralized debt obligation currently backed by a diversified
portfolio which includes residential mortgage-backed securities
(RMBS) and commercial mortgage-backed securities(CMBS), the
majority of which were originated in 2003 and 2004.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.6 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account: collateral cash
flows, the transaction covenants, the priority of payments
(waterfall) for interest and principal proceeds received from
portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
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 rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are 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 Caa2/Caa3 bucket notched down to Ca, Caa1 notched down to
Caa3:
-- Class A-1: 0
-- Class A-2: 0
-- Class B: 0
-- Class C: 0
Moody's Caa bucket notched up by 2 notches:
-- Class A-1: 0
-- Class A-2: 0
-- Class B: 0
-- Class C: 0
GMAC COMM'L: Moody's Affirms 19 CMBS Classes of GMAC 2003-C1
------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 19 classes of
GMAC Commercial Mortgage Securities, Inc., Mortgage Pass-Through
Certificates, Series 2003-C1:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
-- Cl. D, Affirmed at Aa1 (sf); previously on Mar 9, 2011
Confirmed at Aa1 (sf)
-- Cl. E, Affirmed at Aa3 (sf); previously on Nov 1, 2007
Upgraded to Aa3 (sf)
-- Cl. F, Affirmed at A2 (sf); previously on Nov 1, 2007
Upgraded to A2 (sf)
-- Cl. G, Affirmed at A3 (sf); previously on Nov 1, 2007
Upgraded to A3 (sf)
-- Cl. H, Affirmed at Baa2 (sf); previously on Nov 1, 2007
Upgraded to Baa2 (sf)
-- Cl. J, Affirmed at Ba3 (sf); previously on Oct 7, 2010
Downgraded to Ba3 (sf)
-- Cl. K, Affirmed at B3 (sf); previously on Oct 7, 2010
Downgraded to B3 (sf)
-- Cl. L, Affirmed at Caa3 (sf); previously on Oct 7, 2010
Downgraded to Caa3 (sf)
-- Cl. M, Affirmed at Ca (sf); previously on Oct 7, 2010
Downgraded to Ca (sf)
-- Cl. N-1, Affirmed at Ca (sf); previously on Oct 7, 2010
Downgraded to Ca (sf)
-- Cl. N-2, Affirmed at C (sf); previously on Oct 7, 2010
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Oct 7, 2010
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Oct 7, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations of the pooled classes are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed DSCR
and the Herfindahl Index (Herf), 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
4.3% of the current balance, compared to 4.7% at last review.
Moody's stressed scenario loss is 8.1% 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.
The primary methodology used in this rating was: "Moody's Approach
to Rating Fusion U.S. CMBS Transactions" published in April 2005.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 29, the same as 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 (CMBS) 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 07, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 10, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 23% to
$806.7 million from $1.05 billion at securitization. The
Certificates are collateralized by 91 mortgage loans ranging
in size from less than 1% to 6% of the pool, with the top ten
loans representing 36% of the pool. The pool includes two loans
with investment grade credit estimates, representing 12% of the
pool, the same as at last review. Nineteen loans, representing
33% of the pool, have defeased and are collateralized with U.S.
Government securities. The pool faces significant near-term
refinance risk as loans representing 66% of the pool matures
within the next 24 moths.
Seventeen 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 (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Two loans have been liquidated from the pool, resulting in
a $9.8 million loss (64% loss severity on average). Currently
five loans, representing 7% of the pool, are in special
servicing. The largest specially serviced loan is the Town
Plaza South Gate Loan ($32.7 million -- 4.1%), which is secured
by a 300,000 square foot (SF) retail center located in Los
Angeles, California. The loan was transferred to special servicing
in March 2011 due to a material default. The borrower has not
repaid the master servicer's advances for supplemental property
taxes but is currently negotiating a repayment plan. The loan is
current through April 2011 and Moody's is not estimating a loss
from this loan. The remaining four specially serviced loans are
secured by retail, office, and multifamily properties. The master
servicer has recognized an aggregate $7.2 million appraisal
reduction for two of the specially serviced loans. Moody's has
estimated an aggregate loss of $9.8 million (35% expected loss on
average) for the specially serviced loans.
Moody's has assumed a high default probability for five poorly
performing loans representing 8% of the pool and has estimated a
$16.1 million loss (27% expected loss based on a 59% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010
operating results for 93% and 84%, respectively, of the non-
defeased performing pool. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 85%, the same as
at last 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 9.4%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.43X and 1.32X, respectively, compared to
1.44X and 1.29X at last full review. Moody's actual DSCR is based
on Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the Oakbrook Center
Loan ($51.0 million -- 6.3% of the pool), which represents a
participation interest in a $204.1 million mortgage loan. The loan
is secured by the borrower's interest in a mixed-use property
located in Oak Brook, Illinois that consists of an open-air
regional mall, three office buildings and a ground lease
underlying a hotel and theater. Oakbrook Center totals
approximately 2.4 million SF. The mall is anchored by Lord &
Taylor, Macy's, Neiman Marcus, Nordstrom and Sears. Performance is
stable. Moody's current credit estimate and stressed DSCR are Aa3
and 1.77X, respectively, compared to Aa3 and 1.74X at last review.
The second loan with a credit estimate is the Chandler Fashion
Center Loan ($48.4 million -- 6.0%), which represents a
participation interest in a $94.8 million mortgage loan. The loan
is secured by the borrower's interest in a 1.3 million SF regional
mall located in Chandler, Arizona. The center is anchored by
Dillard's, Macy's, Nordstrom and Sears. None of the anchors are
owned by the borrower. Performance has been stable and the loan
has amortized 14% since securitization. Moody's current credit
estimate and stressed DSCR are Aaa and 2.48X, respectively,
compared to Aa1 and 2.31X at last review.
The top three conduit loans represent 11% of the pool balance. The
largest loan is the Renaissance at Columbia Gateway Loan ($35.0
million -- 4.3%), which is secured by a 625,000 SF mixed use
property consisting of office (51%) and warehouse/distribution
(49%) space located in Columbia, Maryland. The loan is on the
watchlist due to decreased DSCR and occupancy. A major tenant,
which previously leased 39% of the net rentable area (NRA) vacated
in December 2009. As of the December 2010 rent roll, the property
was 51% leased compared to 60% at last review. Moody's analysis is
based on a stabilized value for the property. Moody's LTV and
stressed DSCR are 111% and 0.95X, respectively, compared to 98%
and 1.07X at last review.
The second largest loan is the Norwest Woods Loan ($29.3 million -
3.6%), which is secured by a 322-unit apartment complex located in
Norwood, Massachusetts. The property was 92% leased as of March
2010. The loan is on the master servicer's watchlist due low DSCR.
The loan matures in January 2013. Moody's is concerned about near
term refinancing risk due to the property's poor performance and
has classified this loan as a troubled loan. Moody's LTV and
stressed DSCR are 125% and 0.76X, respectively, compared to 127%
and 0.75X at last review.
The third largest loan is the Village Park Apartments Loan
($22.1 million -- 2.7%), which is secured by a 544-unit apartment
complex located in Troy, Michigan. The loan is on the master
servicer's watchlist due low DSCR and occupancy. As of December
2010, the property was 74% leased. The loan matures in February
2013. Performance has significantly deteriorated due to weak
Detroit economic conditions. Moody's is concerned about near term
refinancing risk due to the property's poor performance and has
classified this loan as a troubled loan. Moody's LTV and stressed
DSCR are 203% and 0.51X, respectively, compared to 213% and 0.48X
at last review.
GMAC COMMERCIAL: S&P Lowers Rating on Class L Certs. to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of U.S. commercial mortgage-backed securities (CMBS) from
GMAC Commercial Mortgage Securities Inc.'s series 2003-C3. "In
addition, we raised our ratings on three other classes and
affirmed our ratings on 10 other classes from the same trust," S&P
related.
"Our rating actions follow our analysis of the transaction using
our U.S. conduit/fusion CMBS criteria. Our analysis included a
review of the credit characteristics of all of the assets in the
trust. Using servicer-provided financial information, we
calculated an adjusted debt service coverage (DSC) of 1.50x and a
loan-to-value (LTV) ratio of 78.2%. We further stressed the
loans' cash flows under our 'AAA' scenario to yield a weighted
average DSC of 1.21x and an LTV ratio of 99.6%. The implied
defaults and loss severity under the 'AAA' scenario were 35.8% and
23.5%. The DSC and LTV calculations we noted above exclude eight
defeased loans ($111.2 million; 13.1% of the trust balance) and
three assets ($44.9 million; 5.3%) with the special servicer. We
separately estimated losses for the three specially serviced
assets, which we included in our 'AAA' scenario-implied default
and loss severity figures," S&P stated.
"The lowered ratings also reflect credit support erosion that we
anticipate will occur upon the resolution of the three assets with
the special servicer, as well as available liquidity support. As
of the May 10, 2011, remittance report, the trust experienced
$140,590 in interest shortfalls, primarily due to appraisal
subordinate entitlement reductions (ASERs) that are generating
monthly shortfalls of $60,552, as well as $68,353 of interest not
advanced. The monthly interest shortfalls affected class K and all
of the classes subordinate to it. We expect shortfalls affecting
class L, which has experienced shortfalls for the past four
consecutive months, to continue for the foreseeable future. As a
result, we lowered our rating on class L to 'D (sf)'," S&P
continued.
According to S&P, "The affirmations of our ratings on the eight
pooled principal and interest certificates reflect subordination
and liquidity support levels that are consistent with the
outstanding ratings. We affirmed our rating on the class
X-1 interest only (IO) certificate based on our current criteria."
"The rating actions on the S-AFR nonpooled (raked) certificates
follow our analysis of the AFR Portfolio loan, the largest loan in
the trust ($151.3 million; 17.8%), of which $36.9 million (4.3%)
has been defeased. The 'S-AFR1,' S-AFR2, S-AFR3, and S-AFR4 raked
certificates derive 100% of their cash flows from the nonpooled
portion of this loan. Our rating actions reflect the revaluation
and deleveraging of the AFR Portfolio loan," S&P said..
Specially Serviced Assets
As of the May 10, 2011, remittance report, three assets
($44.9 million; 5.3%) in the trust were with the special servicer,
CWCapital Asset Management LLC (CWCapital). All three assets were
reported as being real estate owned (REO). Each asset has an
appraisal reduction amount (ARA) in effect, with an aggregate
amount of $23.7 million for the three assets. Details of the
specially serviced assets are:
The Rainbow Corporate Center asset ($19.7 million; 2.3) is the
10th-largest asset in the transaction and the largest asset with
CWCapital. The total exposure outstanding is $22.0 million. The
asset is secured by a 151,672-sq.-ft. office building in Las
Vegas. The asset was transferred to CWCapital on Jan. 16, 2009,
for imminent monetary default. A $10.4 million ARA is in effect
against this asset. Standard & Poor's expects a significant loss
upon the resolution of this asset.
The REDI Industrial Building asset ($15.2 million; 1.8%) is the
second-largest asset with CWCapital. The total exposure
outstanding is $15.2 million. The asset is secured by a 518,840-
sq.-ft. industrial building in Plymouth, Mich. The asset was
transferred to CWCapital on Feb. 25, 2010, for imminent monetary
default. An $11.7 million ARA is in effect against this asset.
Standard & Poor's expects a significant loss upon the resolution
of this asset.
The Balboa Medical Plaza asset ($10.0 million; 1.2%) is the third-
largest asset with CWCapital. The total exposure outstanding is
$10.6 million. The asset is secured by a 66,050-sq.-ft. office
building in Granada Hills, Calif. The asset was transferred to
CWCapital on Sept. 3, 2010, for monetary default. A $1.6 million
ARA is in effect against this asset. Standard & Poor's expects
a significant loss upon the resolution of this asset.
Transaction Summary
As of the May 10, 2011, remittance report, the aggregate trust
balance was $851.7 million, which is 59.4% of the balance at
issuance. The trust includes 54 loans and three REO assets, down
from 81 loans at issuance. The master servicer, Berkadia
Commercial Mortgage, provided recent financial information
for 96.8% of the trust balance, all of which was full-year 2009 or
full-year 2010 information. Eight loans ($111.2 million; 13.1%)
are defeased (including the partially defeased balance associated
with the AFR Portfolio loan). "We calculated a weighted-average
DSC of 1.60x for the loans in the trust based on the reported
figures. Our adjusted DSC and LTV were 1.50x and 78.2%, which
exclude the three assets with the special servicer. The trust has
experienced a total of $20.5 million in principal losses to date.
Eleven loans ($53.9 million; 6.3%) are on the master servicer's
watchlist. Ten loans ($69.0 million, 8.1%) have reported DSC below
1.10x, eight of which ($54.9 million, 6.4%) have reported DSC
below 1.00x," according to S&P.
Summary of Top 10 Assets
The top 10 assets have an aggregate outstanding trust balance of
$479.9 million (56.3%). This excludes the partially defeased
balance associated with the AFR Portfolio loan, which is discussed
in detail. "Using recent servicer-reported financial information,
we calculated a weighted-average DSC of 1.73x. Our adjusted DSC
and LTV figures for the top 10 assets were 1.54x and 75.7%,
respectively. Our adjusted figures exclude the 10th-largest loan
in the trust ($19.7 million; 2.3%), which is specially serviced
and for which we separately estimated losses," S&P said.
The largest exposure in the trust, the AFR Portfolio loan, has a
whole-loan balance of $332.7 million. The whole-loan balance
consists of a $257.0 million pari passu senior note, $75.6 million
of which is pooled within this transaction, and a $75.7 million
junior note, which provides 100% of the cash flows for the
transaction's S-AFR non-pooled rake certificates. The whole-loan
balance has also been partially defeased, and the subject trust
contains $36.9 million of the defeased balance, which is split
approximately evenly between the pooled and nonpooled balance
within the transaction. The remaining collateral consists of 115
office properties totaling 5.6 million-sq.-ft. throughout the
country, with the majority in Florida, California, and Illinois.
"Our adjusted valuation yielded a stressed LTV of 74.7% (based on
the nondefeased whole-loan balance) due primarily to the
deleveraging of the loan. The loan is scheduled to mature in
December 2013," S&P stated.
Standard & Poor's stressed the loans in the trust according to our
its conduit/fusion criteria. The resultant credit enhancement
levels are consistent with its rating actions.
Ratings Lowered (Pooled Certificates)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C3
Rating
Class To From Credit enhancement (%)
G BBB- (sf) BBB (sf) 8.53
H BB- (sf) BBB- (sf) 6.38
J CCC+ (sf) BB+ (sf) 4.66
K CCC- (sf) B (sf) 3.59
L D (sf) CCC- (sf) 2.73
Ratings Raised (Nonpooled Certificates)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C3
Rating
Class To From
S-AFR1 A (sf) A- (sf)
S-AFR2 A- (sf) BBB+ (sf)
S-AFR3 BBB+ (sf) BBB (sf)
Ratings Affirmed (Pooled Certificates)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C3
Rating
Class Rating Credit enhancement (%)
A-3 AAA (sf) 27.44
A-4 AAA (sf) 27.44
A-1A AAA (sf) 27.44
B AAA (sf) 22.07
C AA+ (sf) 19.92
D AA (sf) 16.05
E A (sf) 13.26
F BBB+ (sf) 10.25
X-1 AAA (sf) N/A
Rating Affirmed (Nonpooled Certificate)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C3
Class Rating
S-AFR4 BBB- (sf)
N/A -- Not applicable.
GMACM MORTGAGE: Moody's Downgrades Ratings of 83 Tranches
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 83
tranches, upgraded the ratings of two tranches, and confirmed the
ratings of 35 tranches from 25 deals issued by GMAC-RFC. The
collateral backing these deals primarily consists of first-lien,
fixed and adjustable rate "scratch and dent" residential
mortgages.
Scratch and Dent deals are classified outside of our primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% respectively. Delinquencies for subsequent years
and ultimate expected losses are projected using the approach
described in the methodology publication.
Certain tranches in transactions serviced by GMAC Mortgage, LLC's
(GMACM), were placed on review for possible downgrade in 2010 due
to two concerns regarding the servicer's practices. Firstly, GMACM
used shared custodial bank accounts for multiple RMBS transactions
and secondly, GMACM had to suspend foreclosures in 25 states due
to irregularities in its foreclosure processes. As GMACM is a
subsidiary of C rated Residential Capital, LLC (RFC), in case of a
default, losses could have been absorbed by the trusts.
Since the tranches were placed on review, GMACM has eliminated the
use of a common bank account across RMBS deals and set up
individual accounts for each transaction. Also, GMACM has reviewed
and revamped its foreclosure process, and has lifted its
suspension of foreclosure sales and evictions on a case by case
basis.
The ratings actions are based on recent pool performance and the
available credit enhancement. Moody's is not keeping these bond
under further review due to the two issues highlighted above as
they have been resolved.
However, the state attorneys general are engaged in ongoing
discussions with several servicers regarding loan modifications
and foreclosure procedures. The ultimate settlement of those
discussions may entail fines, loan forgiveness, cash payments to
borrowers or other features that could reduce future cash flows to
RMBS investors. Moody's will continue to monitor the outcome and
assess future credit implications on the ratings as the situation
evolves.
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: GMACM Mortgage Loan Trust 2003-GH1
-- Cl. A-5, Downgraded to A1 (sf); previously on Sep 27, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
-- Cl. M-1, Downgraded to Baa1 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B1 (sf); previously on Sep 27, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Caa1 (sf); previously on Sep 27, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: GMACM Mortgage Loan Trust 2003-GH2
-- Cl. A-4, Downgraded to A1 (sf); previously on Sep 27, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa1 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba1 (sf); previously on Sep 27, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Caa1 (sf); previously on Sep 27, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: GMACM Mortgage Loan Trust 2004-GH1
-- Cl. A-3, Confirmed at A1 (sf); previously on Sep 27, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-4, Downgraded to A2 (sf); previously on Sep 27, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-5, Downgraded to A2 (sf); previously on Sep 27, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-6, Downgraded to A2 (sf); previously on Sep 27, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Baa3 (sf); previously on Sep 27, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to B3 (sf); previously on Sep 27, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC 2006-SP2 Trust
-- Cl. A-2, Confirmed at Ba1 (sf); previously on Sep 27, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at B1 (sf); previously on Sep 27, 2010 B1
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2004-SP1 Trust
-- Cl. A-I-3, Downgraded to Baa3 (sf); previously on Mar 3,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to Baa2 (sf); previously on Mar 3,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to Baa3 (sf); previously on Mar 3, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2 (sf); previously on Mar 3, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ca (sf); previously on Mar 3, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to Ca (sf); previously on Nov 18, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2004-SP3 Trust
-- Cl. A-I-3, Downgraded to A3 (sf); previously on Mar 3, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to Baa1 (sf); previously on Mar 3,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-5, Downgraded to A3 (sf); previously on Mar 3, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to A3 (sf); previously on Mar 3, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-1, Downgraded to B1 (sf); previously on Mar 3, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-2, Downgraded to Ca (sf); previously on Mar 3, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-3, Downgraded to C (sf); previously on Mar 3, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-II-1, Downgraded to Baa3 (sf); previously on Mar 3,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-II-2, Downgraded to Caa3 (sf); previously on Mar 3,
2010 A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-II-3, Downgraded to C (sf); previously on Mar 3, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-II-4, Downgraded to C (sf); previously on Mar 3, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2005-RP1 Trust
-- Cl. M-1, Confirmed at Aa2 (sf); previously on Mar 3, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Confirmed at Ba3 (sf); previously on Sep 27, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2005-RP2 Trust
-- Cl. A, Confirmed at Aaa (sf); previously on Mar 3, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at Aa2 (sf); previously on Mar 3, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Ba2 (sf); previously on Mar 3, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2005-RP3 Trust
-- Cl. A-2, Confirmed at Aa1 (sf); previously on Sep 27, 2010
Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2 (sf); previously on Sep 27, 2010
Ba3 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2005-SP2 Trust
-- Cl. A-I-3, Confirmed at Aaa (sf); previously on Sep 27, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II, Confirmed at B3 (sf); previously on Sep 27, 2010
B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-IO-A, Confirmed at B3 (sf); previously on Sep 27,
2010 B3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-1, Confirmed at A2 (sf); previously on Sep 27, 2010
A2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2005-SP3 Trust
-- Cl. A-2, Confirmed at A1 (sf); previously on Sep 27, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at A2 (sf); previously on Sep 27, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2006-RP1 Trust
-- Cl. A-2, Confirmed at A1 (sf); previously on Sep 27, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at A1 (sf); previously on Sep 27, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to B2 (sf); previously on Sep 27, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2006-RP2 Trust
-- Cl. A, Confirmed at B2 (sf); previously on Sep 27, 2010 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2006-RP4 Trust
-- Cl. A, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2006-SP1 Trust
-- Cl. A-2, Confirmed at A2 (sf); previously on Sep 27, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at Baa1 (sf); previously on Sep 27, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2006-SP3 Trust
-- Cl. A-2, Confirmed at Ba1 (sf); previously on Sep 27, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Confirmed at B1 (sf); previously on Sep 27, 2010 B1
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2007-SP1 Trust
-- Cl. A-1, Confirmed at B3 (sf); previously on Sep 27, 2010 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2007-SP3 Trust
-- Cl. A-1, Upgraded to Ba3 (sf); previously on May 4, 2009
Downgraded to Caa1 (sf)
Issuer: RAMP Series 2004-SL1 Trust
-- Cl. A-I-2, Confirmed at Aaa (sf); previously on Mar 3, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-1, Confirmed at Aa2 (sf); previously on Mar 3, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-2, Confirmed at A1 (sf); previously on Mar 3, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-3, Confirmed at A2 (sf); previously on Mar 3, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-4, Confirmed at A3 (sf); previously on Mar 3, 2010
A3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-5, Confirmed at Baa1 (sf); previously on Mar 3, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-6, Confirmed at Baa2 (sf); previously on Mar 3, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-I-7, Confirmed at Ba2 (sf); previously on Sep 27, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
Issuer: RFSC Series 2003-RP1 Trust
-- M-1, Upgraded to Aaa (sf); previously on Mar 3, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: RFSC Series 2003-RP2 Trust
-- A-1, Confirmed at Aa1 (sf); previously on Mar 3, 2010 Aa1
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
-- M-1, Confirmed at Aa2 (sf); previously on Mar 3, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade
-- M-2, Downgraded to B3 (sf); previously on Mar 3, 2010 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: RFSC Series 2004-RP1 Trust
-- M-1, Confirmed at Aa2 (sf); previously on Mar 3, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: RAAC Series 2004-SP2 Trust
-- Cl. A-I, Downgraded to Ba3 (sf); previously on Mar 3, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-1, Downgraded to B2 (sf); previously on Mar 3, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-2, Downgraded to B3 (sf); previously on Mar 3, 2010
Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-IO, Downgraded to B2 (sf); previously on Mar 3,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-PO, Downgraded to B2 (sf); previously on Mar 3,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Ca (sf); previously on May 4, 2009
Downgraded to Ba3 (sf)
-- Cl. M-2, Downgraded to C (sf); previously on May 4, 2009
Downgraded to Ca (sf)
Issuer: RAAC Series 2005-SP1 Trust
-- Cl. A-I-1, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-2, Downgraded to Ba2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-4, Downgraded to Aa1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-5, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-6, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-8, Downgraded to Baa2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-9, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-IO, Downgraded to Aa1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-PO, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-1, Downgraded to A3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-2, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-3, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-7, Downgraded to Aa1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-8, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-9, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-11, Downgraded to Baa2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-12, Downgraded to Baa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II-PO, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-1, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-3, Downgraded to Aa2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-4, Downgraded to Aa2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-6, Downgraded to Aa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-7, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-9, Downgraded to Ba2 (sf); previously on Nov 18,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-IO, Downgraded to Aa2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III-PO, Downgraded to Ba2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-IV-1, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-IV-2, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-IV-IO, Downgraded to Ba1 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. A-IV-PO, Downgraded to Ba2 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to Caa2 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010 A2
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2004-SL2 Trust
-- Cl. A-I, Downgraded to A1 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-II, Downgraded to A2 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-III, Downgraded to A3 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-IV, Downgraded to A3 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-IO, Downgraded to A1 (sf); previously on Sep 27,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-I-PO, Downgraded to A1 (sf); previously on Sep 27,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-IO, Downgraded to A2 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-PO, Downgraded to A3 (sf); previously on Sep 27, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
GREENBRIAR CLO: Moody's Upgrades Classes D and E Ratings
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Greenbriar CLO, Ltd.
-- US$40,000,000 Class D Floating Rate Senior Secured
Deferrable Interest Extendable Notes Due 2021, Upgraded to
B3 (sf); previously on June 8, 2009 Downgraded to Caa1 (sf).
-- US$40,000,000 Class E Floating Rate Senior Secured
Deferrable Interest Extendable Notes Due 2021 (current
outstanding balance of 36,402,083.70), Upgraded to Caa3
(sf); previously on June 8, 2009 Downgraded to C (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily due to an increase in the transaction's
overcollateralization ratios and improvement in the credit quality
of the underlying portfolio since the rating action in June 2009.
The overcollateralization ratios of the rated notes have improved
since the rating action in June 2009. As per the April 2011
trustee report, the Class A/B, Class C, Class D, and Class E
overcollateralization ratios are reported at 119.9%, 112.4%,
107.1% and 102.6% respectively, versus April 2009 levels of
111.7%, 105.1%, 100.3% and 96.0% respectively. Additionally, the
Class C Notes, Class D Notes, and Class E Notes are no longer
deferring interest and the deferred interest had been repaid.
Since the rating action in June 2009, the Class A Notes have
amortized by approximately $33.3 mm or 4.6% and the Class E Notes
have amortized by $8.5 mm or 21.8% due to overcollateralization
test failures.
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. Based on the
April 2011 trustee report, the weighted average rating factor is
2792 compared to 3269 in April 2009, and securities rated Caa1 and
below make up approximately 8.9% of the underlying portfolio
versus 17.5% in April 2009. However, the deal has experienced an
increase in defaulted securities. The dollar amount of defaulted
securities has increased from $45.6 million in April 2009 to
$55.3 million in April 2011.
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 $889 million, defaulted par of $55.3 million,
weighted average default probability of 33.8% (implying a WARF of
4315), a weighted average recovery rate upon default of 42.0%, and
a diversity score of 58. 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.
Greenbriar CLO, Ltd., issued on December 20, 2007, 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.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
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.
For securities whose default probabilities are assessed through
credit estimates ("CEs"), Moody's applied additional default
probability stresses by assuming an equivalent of Caa3 for CEs
that were not updated within the last 15 months. In addition,
Moody's applied a 1.5 notch-equivalent assumed downgrade for CEs
last updated between 12-15 months ago and a 0.5 notch-equivalent
assumed downgrade for CEs last updated between 6-12 months ago.
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,
whereby a positive difference corresponds to lower expected
losses), assuming that all other factors are held equal:
Moody's Adjusted WARF -20% (3452)
-- Class A: +2
-- Class B: +2
-- Class C: +2
-- Class D: +3
-- Class E: +2
Moody's Adjusted WARF +20% (5178)
-- Class A: -2
-- Class B: -2
-- Class C: -2
-- Class D: -4
-- Class E: -2
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 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) 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) 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 selling defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
3) 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 lower
of reported and covenanted values for weighted average rating
factor, weighted average spread, weighted average coupon, and
diversity score.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit
estimates in a timely fashion, the transaction may be impacted
by any default probability stresses Moody's may assume in lieu
of updated credit estimates.
GS MORTGAGE: Moody's Affirms 8 CMBS Classes of GSMSC II 2010-C1
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of eight classes of
GS Mortgage Securities Corporation II Commercial Mortgage Pass-
Through Certificates 2010-C1. Moody's rating action is:
-- Cl. A-1, Affirmed at Aaa (sf); previously on Aug 17, 2010
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2, Affirmed at Aaa (sf); previously on Aug 17, 2010
Definitive Rating Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on Aug 17, 2010
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa2 (sf); previously on Aug 17, 2010
Definitive Rating Assigned Aa2 (sf)
-- Cl. C, Affirmed at A2 (sf); previously on Aug 17, 2010
Definitive Rating Assigned A2 (sf)
-- Cl. D, Affirmed at Baa3 (sf); previously on Aug 17, 2010
Definitive Rating Assigned Baa3 (sf)
-- Cl. E, Affirmed at Ba2 (sf); previously on Aug 17, 2010
Definitive Rating Assigned Ba2 (sf)
-- Cl. F, Affirmed at B2 (sf); previously on Aug 17, 2010
Definitive Rating Assigned B2 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio and Moody's stressed debt service coverage
ratio (DSCR), remaining within acceptable ranges.
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
previous 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.
The principal methodology used in this rating was "Moody's
Approach to Rating Large Loan/Single Borrower Transactions"
published on July 2000.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.0. 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 (CMBS) 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 issued a Presale
Report on July 30, 2010 and definitive ratings were assigned on
August 17, 2010. Please see the ratings tab on the issuer / entity
page on moodys.com for the last rating action and the ratings
history.
Deal Performance
As of the May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 1%
to $779.1 million from $788.5 million at securitization due to
amortization. The Certificates are collateralized by 23 mortgage
loans. The top five loans represent 50% of the pooled balance. All
loans are fixed rate loans. The trust has not experienced losses
or interest shortfalls since securitization.
Moody's weighted average LTV for the pooled trust mortgage balance
is 70.2% compared to 70.8% at securitization. Moody's stressed
debt service coverage ratio (DSCR) for the pooled trust mortgage
balance is 1.47X compared to 1.45X at securitization.
The largest loan in the pool is collateralized by 660 Madison
Avenue ($99 million, 13% of the pool), a 264,000 square foot
retail property 100% leased to Barneys NY in Manhattan's Plaza
District submarket. The property is located on Madison Avenue
between East 60th Street and East 61st Street, a premier shopping
destination notable for high end retailers. The property serves as
Barneys flagship store with the tenant on a lease until 2019.
Moody's current pooled LTV is 67% and stressed DSCR is 1.35X.
Moody's current credit estimate is Baa2, the same as at
securitization.
The Burnsville Center loan ($82 million, 10.5%) is the second
largest loan in the pool. Located in Burnsville, Minnesota, the
center was built in 1977 and comprises 1.1 million square foot
regional mall, 523,692 square feet of which is collateral for the
loan. Mall anchors include Macy's, Sears, JC Penney, Dicks
Sporting Goods and Gordmans. The improvements for Macy's, Sears,
and JC Penney are not part of the collateral. The mall is managed
by CBL & Associates and is not the dominant mall in the area.
Sales for the trailing twelve month period ending March 2010 were
$337 per square foot. Moody's current pooled LTV is 69% and
stressed DSCR is 1.41X. Moody's current credit estimate is Baa3,
the same as at securitization.
The third largest loan in the pool is the Mall at Partridge Creek
loan ($82 million, 10.5%) secured by a lifestyle center in
Clinton, Michigan. The mall is 600,000 square feet and located 33
miles north of downtown Detroit. Anchor tenants, Nordstrom and
Parisian, are not part of the loan collateral. The center is
managed by Taubman Centers. Sales for the trailing twelve month
period ending May 2010 were $383 per square foot. Moody's current
pooled LTV is 80% and stressed DSCR is 1.29X. Moody's current
credit estimate is B1, the same as at securitization.
GS MORTGAGE: Moody's Downgrades One & Affirms 11 CRE CDO Classes
----------------------------------------------------------------
Moody's has downgraded one and affirmed eleven classes of
Certificates issued by GS Mortgage Securities Corporation II,
Series 2006-CC1 due to the deterioration in the credit quality of
the underlying portfolio as evidenced by an increase in the
weighted average rating factor (WARF), and decrease in weighted
average recovery rate (WARR). The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO) transactions.
Moody's rating action is:
-- Cl. A, Downgraded to Caa2 (sf); previously on Jun 17, 2010
Downgraded to Ba3 (sf)
-- Cl. B, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. C, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. D, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. E, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. F, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. G, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. H, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Jun 17, 2010
Downgraded to C (sf)
Ratings Rationale
GS Mortgage Securities Corporation II, Series 2006-CC1 is a static
cash CRE CDO transaction backed by a portfolio of commercial
mortgage backed securities (CMBS) (100% of the pool balance). As
of the April 21, 2011 Trustee report, the aggregate Certificate
balance of the transaction has decreased to $383.1 million from
$406.2 million at issuance, with the paydown directed to the Class
A Certificates as a result of amortization of the underlying
collateral. Class M has experienced partial realized losses.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life (WAL), (WARR), and Moody's asset correlation (MAC). These
parameters are typically modeled as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 5,111 compared to 2,348 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(2.9% compared to 3.6% at last review), A1-A3 (3.4% compared to
5.8% at last review), Baa1-Baa3 (11.6% compared to 37.6% at last
review), Ba1-Ba3 (18.3% compared to 22.1% at last review), B1-B3
(13.7% compared to 14.2% at last review), and Caa1-C (50.1%
compared to 16.8% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 4.4 years compared
to 5.1 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
9.5% compared to 15.7% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 13.4% compared to 17.5% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
9.5% to 4.5% or up to 14.5% would result in average rating
movement on the rated tranches of 0 to 1 notches downward and 0 to
1 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current 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.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Another methodology used was "CMBS: Moody's Approach to Rating
Static CDOs Backed by Commercial Real Estate Securities" published
in June 2004.
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.
GSAMP TRUST: Moody's Acts on $199 Million of Scratch and Dent RMBS
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 18
tranches and confirmed the ratings of one tranche from five deals
issued by Goldman Sachs. The collateral backing these deals
primarily consists of first-lien, fixed and adjustable rate
"scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of our primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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.
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: GSAMP Trust 2003-SEA2
-- Cl. A-1, Downgraded to Aa3 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Underlying Rating: Downgraded to Aa3 (sf); previously on Nov 18,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
A1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to Ba1 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to Ca (sf); previously on Nov 18, 2010
Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: GSAMP Trust 2005-SEA2
-- Cl. A-1, Confirmed at Aa3 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to A1 (sf); previously on Nov 18, 2010
Aa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-1, Downgraded to A3 (sf); previously on Nov 18, 2010
A2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to Baa3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to B1 (sf); previously on Nov 18, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-2, Downgraded to B2 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-3, Downgraded to Ca (sf); previously on Nov 18, 2010
B1 (sf) Placed Under Review for Possible Downgrade
Issuer: GSAMP Trust 2006-SD2
-- Cl. A-1, Downgraded to Baa3 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-2, Downgraded to Caa3 (sf); previously on May 4, 2009
Downgraded to Caa1 (sf)
-- Cl. A-3, Downgraded to Ca (sf); previously on May 4, 2009
Downgraded to Caa2 (sf)
Issuer: GSRPM Mortgage Loan Trust 2003-1
-- Cl. B-1, Downgraded to Ba1 (sf); previously on Mar 17, 2003
Assigned Baa1 (sf)
-- Cl. B-2, Downgraded to Caa1 (sf); previously on Mar 17, 2003
Assigned Baa2 (sf)
-- Cl. B-3, Downgraded to Ca (sf); previously on Nov 18, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
Issuer: GSRPM Mortgage Loan Trust 2003-2
-- Cl. M-1, Downgraded to A3 (sf); previously on May 4, 2009
Downgraded to A2 (sf)
-- Cl. M-2, Downgraded to Caa3 (sf); previously on May 4, 2009
Downgraded to B3 (sf)
GSRPM MORTGAGE: Moody's Downgrades Ratings of Four Tranches
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from GSRPM Mortgage Loan Trust 2006-1. The collateral
backing the deal primarily consists of first-lien, fixed and
adjustable rate "scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of
Scratch and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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.
In addition to adjustments to reflect updated loss expectations,
Moody's has also adjusted the rating of tranche Class A-1 to
address the resolution of previous credit enhancement
miscalculation. Moody's previous rating action mistakenly
reflected additional credit enhancement to Class A-1 from Class A-
3. In fact the Pooling and Servicing Agreement and Prospectus
allocate losses to Class A-1 and the pack of Class A-2 and Class
A-3 on a pro-rata basis, and the Class A-2 and Class A-3 allocate
their pro rata share of losses in reverse sequence, with losses
first allocated to Class A-3. The rating of Class A-1 has been
adjusted accordingly.
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: GSRPM Mortgage Loan Trust 2006-1
-- Cl. A-1, Downgraded to Baa1 (sf); previously on Nov 18, 2010
Aa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. A-3, Downgraded to Baa2 (sf); previously on May 4, 2009
Downgraded to Baa1 (sf)
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Downgraded to C (sf); previously on May 4, 2009
Downgraded to Ca (sf)
GTP TOWERS: Fitch Affirms Global Tower Series 2010-1
----------------------------------------------------
Fitch Ratings has affirmed the GTP commercial mortgage pass-
through certificates, series 2010-1:
-- $200,000,000 class C at 'A-sf'; Outlook Stable;
-- $50,000,000 class F at 'BB-sf'; Outlook Stable.
The affirmations are due to the stable performance of the
collateral since issuance.
The certificates represent beneficial ownership interest in the
trust, primary assets of which are 1,351 wireless communication
sites securing one fixed-rate loan. As of the May 2010
distribution date, the aggregate principal balance of the notes
remains unchanged at $250 million since issuance. The notes are
interest only for the entire five year period.
As part of its review, Fitch analyzed the financial and site
information provided by the master servicer, Midland Loan
Services. As of March 31, 2011, aggregate annualized run rate
revenue increased 13.3% from issuance to $36.86 million. The Fitch
stressed DSCR increased from 1.25 times (x) at issuance to 1.34x
as a result of the increase in net cash flow.
Fitch also made assumptions on the potential churn related to the
AT&T and T-Mobile merger. A stress was applied to sites which
include both AT&T and T-Mobile leases and an additional stress to
the remaining T-Mobile sites. The stress included cashflow
declines based on assumptions that certain T-Mobile leases would
not renew; however, Fitch maintains a Stable Outlook due to the
increase in cashflow which offsets any of the potential declines.
The tenant type concentration is stable. As of March 31, 2011,
total revenue contributed by telephony tenants was 92.3% compared
to 91.4% at issuance.
GULF STREAM: Moody's Upgrades the Ratings of CLO Notes
------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Gulf Stream-Compass CLO 2003-I, Ltd.:
-- US$232,500,000 Class A Floating Rate Senior Notes Due 2015
(current outstanding balance of $91,161,978.31), Upgraded to
Aaa (sf); previously on August 11, 2010 Upgraded to Aa2
(sf);
-- US$12,700,000 Class B Floating Rate Senior Notes Due 2015,
Upgraded to Aa2 (sf); previously on August 11, 2010 Upgraded
to A3 (sf);
-- US$10,950,000 Class C Floating Rate Deferrable Senior
Subordinated Notes Due 2015, Upgraded to A3 (sf); previously
on August 11, 2010 Upgraded to Ba1 (sf);
-- US$11,850,000 Class D Floating Rate Senior Subordinated
Notes Due 2015, Upgraded to Ba2 (sf); previously on June 3,
2009 Confirmed at B3 (sf);
-- US$8,000,000 Class E Floating Rate Senior Subordinated Notes
Due 2015, Upgraded to Caa3 (sf); previously on June 3, 2009
Downgraded to C (sf);
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the delevering of the Class A Notes, which have
been paid down by approximately 34% or $46.5 million since the
rating action in August 2010. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in August 2011. As of the latest trustee report dated April
15, 2011, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 134.41%, 121.59%,
110.22% and 103.67%, respectively, versus July 2010 levels of
119.54%, 111.43%, 103.50% and 98.29%, respectively and all related
overcollateralization tests are currently in compliance. Moody's
also notes that the Class D and Class E Notes are no longer
deferring interest and that all previously deferred interest has
been paid in full.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in August 2010. Based on the April 2011 trustee report, the
weighted average rating factor is 2585 compared to 2802 in July
2010 and is currently in compliance with the trigger of 2700, and
securities rated Caa1 and below make up approximately 8% of the
underlying portfolio versus 15.5% in July 2010. The deal also
experienced a decrease in defaults. In particular, the dollar
amount of defaulted securities has decreased to about $1 million
from approximately $8 million in July 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 $140.1 million, defaulted par of $1.3 million,
a weighted average default probability of 20.39% (implying a WARF
of 3423), a weighted average recovery rate upon default of 43.05%,
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.
Gulf Stream-Compass CLO 2003-I, Ltd., issued in August 2003, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was the "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
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% (2738)
Class A: 0
Class B: 0
Class C: +2
Class D: +1
Class E: +2
Moody's Adjusted WARF + 20% (4108)
Class A: -1
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 behavior, 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 [bond/loan] market and/or
collateral sales by the manager, which may have significant
impact on the notes' ratings.
2. The deal is allowed to reinvest certain proceeds after the end
of reinvestment period and therefore not all principal proceeds
available on each payment date will be used to amortize the
notes.
HALCYON 2005-2: Fitch Affirms 3 Classes, Revises LS Rating
----------------------------------------------------------
Fitch Ratings has affirmed three classes and revised the Loss
Severity (LS) rating on two classes issued by Halcyon 2005-2, Ltd.
(Halcyon 2005-2):
-- EUR38,400,000 class A notes affirmed at 'Bsf/LS3', Outlook
Negative;
-- EUR25,800,000 class B notes affirmed at 'Bsf', to 'LS4' from
'LS3', Outlook Negative;
-- $15,750,000 class C notes affirmed at 'Bsf', to 'LS5' from
'LS3', Outlook Negative.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the reference portfolio. The degree of correlated
default risk of the reference collateral is high given the single
sector and vintage concentration. Based on this analysis and given
the credit enhancement available to classes A through C, the
credit characteristics of the bonds are consistent with the 'B'
category. Since Fitch's last rating action in June 2010,
approximately 33.3% of the portfolio has been downgraded.
Currently, 10% of the reference portfolio is rated below
investment grade with the lowest rated asset in the portfolio
carrying a Fitch derived rating of 'B+'.
The Negative Outlook on the notes reflects Fitch's expectation
that underlying CMBS loans from the 2005 and 2006 vintage will
continue to face refinance risk and maturity defaults. Fitch also
revised the LS ratings to the notes. The LS ratings indicate each
tranche's potential loss severity given default, as evidenced by
the ratio of tranche size to the expected loss for the collateral
under the 'B' stress. The LS rating should always be considered in
conjunction with probability of default indicated by a class'
long-term credit rating.
Halcyon 2005-2 is a synthetic collateralized debt obligation (CDO)
and closed on Oct. 7, 2005. The note proceeds collateralize a
credit default swap that references a $1.5 billion portfolio of 30
CMBS A-J bonds with DEPFA Bank plc. (DEPFA), the swap
counterparty. DEPFA (rated 'BBB+/F2', Outlook Negative by Fitch)
bought protection from the issuer on $96 million of realized
losses in the portfolio; the U.S. dollar losses are converted into
Euros at a fixed exchange rate of $1.25 to EUR1 to the extent such
losses are applied to the euro-denominated class A and class B
notes. DEPFA has also entered into a credit support annex to
provide additional collateral to mitigate market value risk of
liquidation on the Euro and U.S dollar denominated securities due
to an early redemption of the notes in an event of default by the
swap counterparty. Currently, the proceeds of the notes are
invested in U.S. dollar and Euro denominated, short-term eligible
securities rated 'F1+'.
HOUT BAY: S&P Affirms Ratings on Six Classes of Notes at 'CC'
-------------------------------------------------------------
Standard & Poor's Ratings Services stated that its 'AAA (sf)'
rating on the class S notes issued by Hout Bay 2006-1 Ltd., an
arbitrage cash flow collateralized debt obligation (CDO) of high-
grade structured finance securities transaction, remains on
CreditWatch with negative implications. "At the same time, we
affirmed our 'CC (sf)' ratings on the other rated notes from this
transaction," S&P stated.
"We placed our rating on the class S notes on CreditWatch negative
on Jan. 18, 2011, in connection with the implementation of our
revised counterparty criteria (see 'Ratings On 950 North America
Structured Finance Tranches On Watch Neg After Counterparty
Criteria Update')," S&P said.
"In our review, we generated cash flow analysis to assess the
credit support available to the class S notes without giving
benefit to the interest rate hedge agreement that the transaction
has entered into with a counterparty, stressing the CDO under
various interest rate scenarios in the absence of an interest rate
hedge. In our view, the cash flow analysis of the transaction
showed that there was no impact to the rating assigned to the
class S notes under these stresses," S&P continued.
S&P noted, "Despite the outcome of our review following the
implementation of our revised counterparty criteria, the rating on
the class S notes remains on CreditWatch with negative
implications due to an increase in defaults and a decline in the
credit quality of the collateral since we affirmed the rating on
the notes in June 2010. According to the May 2011 trustee reports,
the transaction holds $550.7 million in defaulted assets, up from
$510.8 million in June 2010. In addition, our ratings on more than
25% of the assets in the collateral pool are currently on
CreditWatch negative."
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P related.
"Our affirmations of the 'CC (sf)' ratings on the other notes
reflect both the credit support available to the notes and the
notes' ability to defer making their interest payments," S&P
stated.
"We will continue to review the transaction and we will resolve
the CreditWatch placement after we resolve the CreditWatch
placements affecting the ratings on the underlying collateral,"
S&P added.
Ratings Affirmed
Hout Bay 2006-1 Ltd.
Class Rating
A-1 CC
A-2 CC
B CC
C CC
D CC
E CC
Rating Remaining on CreditWatch Negative
Hout Bay 2006-1 Ltd.
Class Rating
S AAA (sf)/Watch Neg
INCAPS FUNDING: S&P Lowers Ratings on 2 Classes of Notes to 'CCC-'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1, A-2, B-1, and B-2 notes issued by InCapS Funding
II Ltd., a static cash flow collateralized debt obligation
(CDO) backed primarily by trust-preferred securities issued by
subsidiaries of insurance companies securities. "We also removed
our rating on class A-1 from CreditWatch negative. Simultaneously,
we affirmed our rating on the class C notes," S&P stated.
"We placed our rating on the class A-1 notes on CreditWatch
negative on Jan. 18, 2011, in connection with the implementation
of our revised counterparty criteria (see "Ratings On 950 North
America Structured Finance Tranches On Watch Neg After
Counterparty Criteria Update," published Jan. 18, 2011)," S&P
noted.
According to S&P, "In our review, we generated cash flow analysis
to assess the credit support available to the class A-1 notes
without giving benefit to the interest rate hedge agreement that
the transaction has entered into with a counterparty, stressing
the CDO under various interest rate scenarios in the absence of an
interest rate hedge. In our view, the cash flow analysis of the
transaction showed that there was no impact to the rating assigned
to the class A-1 notes under these stresses."
"However, the credit support available to the A-1 notes has
deteriorated since our July 2010 rating actions, when we lowered
the ratings. Since then, the transaction has experienced an
increase in defaults," S&P said.
According to the transaction's quarterly report for the January-
March 2011 period, the trustee reported a total of $21 million in
defaulted assets, up from $8 million in the April 2010 report. The
asset balance, including defaults, during the same period remained
relatively unchanged; it was $256.02 million in April 2011,
compared with $256.19 million in April 2010.
As a result, the coverage (overcollateralization) tests, as
calculated by the trustee, declined:
* The senior coverage test, measured at the class A-2 level,
was 202.29% in April 2011, down from 213.07% in April 2010;
* The senior subordinate coverage test, measured at the class
B-2 level, was 111.64% versus 117.67%; and
* The junior subordinate coverage test, measured at the class
C level, was 103.77% versus 109.38%.
The transaction is currently failing its senior subordinate and
junior subordinate coverage tests. According to the terms of the
transaction, the cash available--after payment of the class B
interest--is diverted to pay down the class A-1 until the
transaction is no longer failing the test. As a result, the class
C notes are currently deferring their interest, and the class A-1
notes balance was paid down to $65.03 million (54.88% of their
original balance) after the April 2011 payment period, compared
with $66.06 million (55.75% of original balance) in April 2010.
"We lowered our ratings on the class A-1, A-2, B-1, B-2, and C
notes due to a decrease in the credit support available at the
prior rating levels. We also removed the rating on the class A-1
notes from CreditWatch negative. The affirmation of our rating on
the class C notes reflects our view that the available credit
support is consistent with the current rating level," S&P related.
"The rating actions take both the updated counterparty criteria
and our criteria for rating corporate CDO transactions into
account (see 'Update To Global Methodologies And Assumptions For
Corporate Cash Flow And Synthetic CDOs,' published Sept. 17,
2009)," S&P added.
Rating and CreditWatch Actions
InCapS Funding II Ltd.
Rating
Class To From
A-1 BBB+ (sf) A+ (sf)/Watch Neg
A-2 B+ (sf) BB (sf)
B-1 CCC- (sf) CCC (sf)
B-2 CCC- (sf) CCC (sf)
Rating Affirmed
InCapS Funding II Ltd.
Class Rating
C CCC- (sf)
INDEPENDENCE II CDO: Fitch Ratings Affirms 2 Classes
----------------------------------------------------
Fitch Ratings has affirmed two classes of notes issued by
Independence II CDO, Ltd. (Independence II). The rating actions
are:
-- $63,231,496 class A notes affirmed at 'BBBsf'; LS revised to
'LS4' from 'LS3'; Outlook revised to Stable from Negative;
-- $78,000,000 class B notes affirmed at 'CCsf'.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model (SF PCM) for
projecting future default levels for the underlying portfolio.
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 and class B notes. Fitch also considered additional
qualitative factors into its analysis to conclude the rating
affirmation for the notes.
Since the previous rating action in May 2010, there has been a
moderate deterioration in the credit quality of the collateral
with approximately 23% of the portfolio downgraded a weighted
average of 4.9 notches and 2.6% of the portfolio upgraded a
weighted average of 1 notch. Approximately 57.3% of the portfolio
has a Fitch derived rating below investment grade and 34.3% has a
rating in the 'CCC' rating category or lower, compared to 46.4%
and 30.4% respectively, at last review.
The affirmation of ratings on both classes of notes is due to
principal repayment of the senior notes offsetting the effects of
deterioration in the portfolio. The class A notes have de-levered
from both principal receipts and excess spread, which has been
diverted as a result of acceleration of the transaction's
maturity. In total, $26.7 million, or 9.2% of the class A notes'
original balance has amortized in the past year, increasing credit
enhancement levels for the capital structure. Fitch expects the
class to continue to benefit from the excess spread in the near-
term future.
Fitch revised the Outlook on the class A notes to Stable from
Negative, to reflect its view that the notes have sufficient
enhancement levels to offset potential further deterioration of
the underlying portfolio over the next one to two years. Fitch
does not assign outlooks to tranches rated 'CCC' or below.
Additionally, the Loss Severity (LS) rating has been revised for
the class A notes to 'LS4'. The LS rating 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.
Independence II is a cash flow structured finance (SF)
collateralized debt obligation (CDO) that closed on July 26, 2001
and is managed by Declaration Management & Research LLC. As of the
May 4, 2011 trustee report. The portfolio is comprised of
commercial mortgage-backed securities (37.7%), residential
mortgage-backed securities (34.9%), SF CDOs (13.4%), commercial
and consumer asset-backed securities (11%), SF CDOs (13.4%), and
corporate CDOs (2.8%), from 1999 through 2004 vintage
transactions.
ING IM: S&P Gives 'BB' Rating on Class D Floating-Rate Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to ING IM CLO 2011-1 Ltd./ING IM CLO 2011-1 LLC
$368.50 million floating-rate notes.
The transaction is a cash flow collateralized loan obligation
securitization of a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of May 19,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
* The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
* The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed in our assumptions
and methods outlined in its corporate collateralized debt
obligation (CDO) criteria.
* The transaction's legal structure, which is expected to be
bankruptcy remote.
* The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
* The asset manager's experienced management team.
* "Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2700%-11.3629%," S&P related.
* The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
* The transaction's interest reinvestment test, a failure of
which during the reinvestment period will lead to the
reclassification of excess interest proceeds that are
available prior to paying uncapped trustee, collateral
manager, and administrative expenses and fees; hedge
payments; asset manager incentive fees; and subordinate note
payments to principal proceeds for the purchase of
collateral assets; or, at the asset manager's discretion, to
reduce the balance of the rated notes outstanding
sequentially.
Preliminary Ratings Assigned
ING IM CLO 2011-1 Ltd./ING IM CLO 2011-1 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 260
A-2 AA (sf) 38
B (deferrable) A (sf) 34
C (deferrable) BBB (sf) 20
D (deferrable) BB (sf) 16.5
Subordinated notes NR 41
NR -- Not rated.
JP MORGAN: Moody's Affirms 14 CMBS Classes of JPMC 2002-C1
----------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 14
classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.
Commercial Mortgage Pass-Through Certificates, Series 2002-C1:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Aug 14, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Aug 14, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Aug 14, 2002
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Mar 3, 2006
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aa1 (sf); previously on Jul 9, 2007
Upgraded to Aa1 (sf)
-- Cl. D, Affirmed at Aa2 (sf); previously on Sep 6, 2007
Upgraded to Aa2 (sf)
-- Cl. E, Affirmed at A2 (sf); previously on Sep 6, 2007
Upgraded to A2 (sf)
-- Cl. F, Affirmed at Baa1 (sf); previously on Sep 6, 2007
Upgraded to Baa1 (sf)
-- Cl. G, Affirmed at Ba1 (sf); previously on Aug 14, 2002
Definitive Rating Assigned Ba1 (sf)
-- Cl. H, Affirmed at B1 (sf); previously on Sep 2, 2010
Downgraded to B1 (sf)
-- Cl. J, Affirmed at Caa1 (sf); previously on Sep 2, 2010
Downgraded to Caa1 (sf)
-- Cl. K, Affirmed at Caa3 (sf); previously on Sep 2, 2010
Downgraded to Caa3 (sf)
-- Cl. L, Affirmed at Ca (sf); previously on Sep 2, 2010
Downgraded to Ca (sf)
-- Cl. M, Affirmed at C (sf); previously on Sep 2, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the Herfindahl Index (Herf), 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 3.5% of the current balance. At last full review, Moody's
cumulative base expected loss was 4.8%. Moody's stressed scenario
loss is 6.0% of the current balance. Depending on the timing of
loan payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current 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.
The primary methodology used in this rating was "CMBS: Moody's
Approach to Rating U.S. Conduit Transactions" published in
September 2000.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 30 compared to 33 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 (CMBS) 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 2, 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 May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 29% to
$582.93 million from $816.65 million at securitization. The
Certificates are collateralized by 103 mortgage loans ranging in
size from less than 1% to 7% of the pool, with the top ten loans
representing 33% of the pool. Fifteen loans, representing 23% of
the pool, have defeased and are collateralized with U.S.
Government securities, compared to 19.1% at last review.
Thirty-nine loans, representing 33% 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 (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Eight loans have been liquidated from the pool since
securitization, resulting in an aggregate $13.8 million loss (41%
loss severity on average). Currently two loans, representing 1% of
the pool, are in special servicing. The master servicer has
recognized an aggregate $3.6 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate loss
of $3.6 million (52% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans representing 12% of the pool and has estimated a
$10.5 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010
operating results for 98% and 66% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 74% compared to 75% 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
9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.45X and 1.44X, respectively, compared to
1.52X and 1.48X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing loans represent 15% of the pool balance.
The largest loan is the Aramark Tower Loan ($42.2 million --
7.2%), which is secured by a 32-story, 634,000 square foot Class A
office building located in Center City Philadelphia, Pennsylvania.
The property serves as the world headquarters for Aramark
Services, Inc. which leases 60% of the net rentable are (NRA)
through September 2018. As of September 2010, the property was 94%
leased, the same as at last review. Although occupancy has been
stable since last review, performance has declined due to lower
rental revenues. Moody's LTV and stressed DSCR are 65% and 1.65X,
respectively, compared to 57% and 1.91X at last full review.
The second largest loan is the 4th & Battery Office Loan
($22.7 million - 3.9%), which is secured by a 201,000 square foot
office building located in downtown Seattle, Washington. As of
September 2010, the property was 97% leased, the same as at last
review. Although occupancy has been stable since last review,
performance has declined due to lower rental revenues and
increased expenses. Moody's LTV and stressed DSCR are 90% and
1.20X, respectively, compared to 84% and 1.29X at last full
review.
The third largest loan is the 300 West Vine Loan ($21.3 million -
3.7%), which is secured by a 23-story Class A 388,000 square foot
office building located in Lexington, Kentucky. As of November
2010 the property was 88% leased compared to 93% at last review.
Property performance has improved since last review. Moody's LTV
and stressed DSCR are 74% and 1.46X, respectively, compared to 86%
and 1.26X at last review.
JP MORGAN: Moody's Affirms 16 CMBS Classes of JPMCC 2003-CIBC7
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 16 classes of
J.P. Morgan Commercial Mortgage Finance Corp. Series 2003-CIBC7:
-- Cl. A-3, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Jul 23, 2007
Upgraded to Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Jul 23, 2007
Upgraded to Aaa (sf)
-- Cl. D, Affirmed at Aa3 (sf); previously on Sep 2, 2010
Confirmed at Aa3 (sf)
-- Cl. E, Affirmed at A3 (sf); previously on Sep 2, 2010
Downgraded to A3 (sf)
-- Cl. F, Affirmed at Ba1 (sf); previously on Sep 2, 2010
Downgraded to Ba1 (sf)
-- Cl. G, Affirmed at Ba3 (sf); previously on Sep 2, 2010
Downgraded to Ba3 (sf)
-- Cl. H, Affirmed at Caa3 (sf); previously on Sep 2, 2010
Downgraded to Caa3 (sf)
-- Cl. J, Affirmed at Ca (sf); previously on Sep 2, 2010
Downgraded to Ca (sf)
-- Cl. K, Affirmed at C (sf); previously on Sep 2, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Sep 2, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Sep 2, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sep 2, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
4.4% of the current balance. At last review, Moody's cumulative
base expected loss was 4.6%. Moody's stressed scenario loss is
11.1% 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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current 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.
The primary methodology used in this rating was: "CMBS: Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 39 compared to 38 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 (CMBS) 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 2, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 45% to
$816.3 million from $1.47 billion at securitization. The
Certificates are collateralized by 149 mortgage loans ranging
in size from less than 1% to 7% of the pool, with the top ten
non-defeased loans representing 31% of the pool. Twenty loans,
representing 17% of the pool, have defeased and are secured by
U.S. Government securities. The pool contains two loans with
investment grade credit estimates, representing 10% of the pool.
Thirty 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 (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Seven loans have been liquidated from the pool, resulting in a
realized loss of $25.6 million (54% loss severity overall). An
additional loss is expected to be realized in the near term from
the recently liquidated University Gardens Loan ($11.7 million --
1.4% of the pool). The property securing the loan was sold out of
foreclosure for $2.8 million in early May. Currently six loans,
representing 3% of the pool, are in special servicing. Moody's
estimates an aggregate $18.2 million loss for the specially
serviced loans (56% expected loss on average).
Moody's has assumed a high default probability for three poorly
performing loans representing 1% of the pool and has estimated an
aggregate $1.5 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 and full year 2010
operating results for 78% and 49%, respectively, of the pool's
non-defeased loans. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 84% compared to 76% at
Moody's prior review. Moody's net cash flow reflects a weighted
average haircut of 7% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.4%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.46X and 1.42X, respectively, compared to
1.88X and 1.55X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the One Post Office
Square Loan ($55.3 million -- 6.8% of the pool), which is secured
by a 766,462 SF Class A office building located in Boston's
financial district. The loan represents a 50% pari passu interest
in a $110.6 million A note. The property is also encumbered by a
$50.7 million non-pooled B note. The largest tenants include
Putnam Investments (32% of the net rentable area (NRA); lease
expiration March 2019) and Sullivan & Worcester (18% of the NRA;
lease expiration December 2021). As of July 2010, the property was
94% leased, compared to 100% at the prior review. Tenant lease
expiration over the next two years is minimal. Performance has
been stable. Moody's credit estimate and stressed DSCR are Aa1 and
2.18X, respectively, compared to Aa1 and 2.22X at last review.
The second loan with a credit estimate is the Brown Noltemeyer
Apartments Portfolio ($27.8 million -- 3.4%), which encompasses
five cross-collateralized and cross-defaulted loans secured by
eight multifamily properties located in Louisville, Kentucky. The
loans are amortizing on a 17 year schedule and have paid down 6%
since last review and 33% since securitization. Performance
improved since last review as occupancy increased above already
strong historical levels. Moody's credit estimate and stressed
DSCR are Aa1 and 2.25X, respectively, compared to Aa2 and 2.01X at
last review.
The top three conduit loans represent 14% of the pool. The
largest conduit loan is the Hometown America Portfolio III Loan
($57.3 million -- 7.0% of the pool), which is secured by five
manufactured housing properties located in Colorado, Michigan,
Florida and Arizona. As of December 2010, the portfolio was 79%
leased compared to 84% a year earlier. Performance has been
stable. Moody's LTV and stressed DSCR are 87% and 1.15X,
respectively, compared to 92% and 1.09X at last review.
The second largest conduit loan is the Potomac Run Loan
($42.0 million -- 5.1% of the pool), which is secured by a
361,375 SF community shopping center located 25 miles from
Washington, D.C. in Sterling, Virginia. The property contains 12
retail tenants with 12,000 SF or more and is shadow anchored by
Target. As of December 2010, the property was 98% leased, the same
as at last review and securitization. Leases for 46% of the NRA
expire over the next year, however, the property has demonstrated
the ability to maintain and attract new tenants. The electronics
retailer HH Greg signed a lease in March 2010 for the 33,000 SF of
space vacated by Circuit City. Performance declined since last
review due to a $1 million increase in general and administrative
expenses in the most recent financial statements. It was unclear
whether or not the increase in expenses will be recurring. Moody's
LTV and stressed DSCR are 116% and 0.86X, respectively, compared
to 110% and 0.91X at last review.
The third largest conduit loan is the Danka Portfolio Loan
($18.6 million -- 2.3% of the pool), which is secured by three
single tenant office and industrial buildings located in St.
Petersburg, Florida. The single tenant is Danka Office Imaging
Company, a subsidiary of business solutions provider Konica
Minolta. Due to concerns about exposure to a single, non-credit
tenant, Moody's analysis included a "dark" scenario, which
accounts for single-tenant risk by incorporating the expected
value of the property if the tenant vacates. Moody's LTV and
stressed DSCR are 73% and 1.65X, respectively, compared to 65%
and 1.87X at last review.
JP MORGAN: Moody's Affirms Ratings on 24 CMBS Classes of Notes
--------------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 24
classes of J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2008-C2:
-- Cl. A-2, Affirmed at Aaa (sf); previously on May 29, 2008
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on May 29, 2008
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at A1 (sf); previously on Aug 12, 2010
Downgraded to A1 (sf)
-- Cl. A-4FL, Affirmed at A1 (sf); previously on Aug 12, 2010
Downgraded to A1 (sf)
-- Cl. A-SB, Affirmed at Aaa (sf); previously on May 29, 2008
Definitive Rating Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on May 29, 2008
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at A1 (sf); previously on Aug 12, 2010
Downgraded to A1 (sf)
-- Cl. A-M, Affirmed at B1 (sf); previously on Aug 12, 2010
Downgraded to B1 (sf)
-- Cl. A-J, Affirmed at Caa3 (sf); previously on Aug 12, 2010
Downgraded to Caa3 (sf)
-- Cl. B, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. C, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. D, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. E, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. F, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. G, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. H, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. Q, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
-- Cl. T, Affirmed at C (sf); previously on Jul 31, 2009
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
18.3% of the current balance. At last review, Moody's cumulative
base expected loss was 16.9%. Moody's stressed scenario loss is
28.8% of the current balance. Moody's provides a current list of
base and stress scenario losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current 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.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions", published in April 2005.
The other methodology that Moody's considered in this rating was
"CMBS: Moody's Approach to Rating Large Loan/Single Borrower
Transactions", published in July 2000.
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
(Herf), 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 18, compared to 20 at Moody's prior review.
In cases where the Herf falls below 20, Moody's employs also the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.0. 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 (CMBS) 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 12, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $1.1 billion
from $1.2 billion at securitization. The Certificates are
collateralized by 78 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans representing 54% of
the pool. The pool contains two loans with investment grade credit
estimates that represent 5% of the pool.
Twenty-seven 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 (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
One loan has been liquidated from the pool, resulting in a
realized loss of $11.1 million (45% loss severity). Seven loans,
representing 23% of the pool, are currently in special servicing.
The largest specially serviced loan is the Promenade Shops at Dos
Lagos Loan ($125.0 million -- 11.1% of the pool), which is secured
by a 351,000 square foot (SF) retail center located in Corona,
California. The loan was transferred to special servicing in
November 2008 due to imminent default. Foreclosure was completed
in December 2009 and the property is currently Real Estate Owned
(REO). The property was 87% leased as of November 2010. The
property was recently appraised for $36.2 million.
The second largest specially serviced loan is the Westin Portfolio
loan ($103.6 million -- 9.2% of the pool), which represents a pari
passu interest in a $208.3 million first mortgage loan. The loan
is secured by the Westin La Paloma located in Tucson, Arizona (487
keys) and the Westin Hilton Head located in Hilton Head, South
Carolina (412 keys). Additionally, the property is encumbered by a
$31.5 million mezzanine loan. The loan was transferred to special
servicing in October 2008 due to imminent default. In November
2010, the sponsor filed for Chapter 11 bankruptcy. The special
servicer is in the process of working with the sponsor through the
bankruptcy. The master servicer has recognized an aggregate
$159.6 million appraisal reduction for five of the specially
serviced loans. Moody's has estimated an aggregate $186.9 million
loss (73% expected loss on average) for the specially serviced
loans.
Moody's has assumed a high default probability for 11 poorly
performing loans representing 12% of the pool and has estimated a
$20.5 million aggregate loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 and partial or full year
2010 operating results for 95% and 68% of the pool's loans,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 113% compared to 117% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 13% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.5%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.14X and 0.93X, respectively, compared to
1.12X and 0.93X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate rating is the Two
Democracy Plaza Loan ($31.0 million - 2.8%), which is secured by a
273,000 SF office building located in Bethesda, Maryland. The
largest tenant is the National Institute of Health, which leases
83% of the net rentable area (NRA) through November 2011 and
December 2013. The property was 99% leased as of February 2011,
the same at last review. Moody's current credit estimate and
stressed DSCR are A2 and 1.79X, respectively, the same as at last
review.
The second loan with a credit estimate rating is the Lofts at New
Roc Loan ($4.8 million - 0.4%), which is secured by a 98-unit
residential cooperative located in New Rochelle, New York. Moody's
current credit estimate and stressed DSCR are Aaa and 2.64X,
respectively, compared to Aaa and 2.56X at last review.
The top three performing conduit loans represent 17.4% of the
pool. The largest loan is the Block at Orange Loan ($109.9 million
- 9.8%), which represents a pari passu interest in a $219.8
million first mortgage loan. The loan is secured by 700,000 SF
retail entertainment center located in Orange, California. The
property is anchored by an AMC Entertainment movie theater, Dave &
Buster's, and Vans Skate Park. The property was 89% leased as of
December 2010 compared to 86% as of December 2009. Property
performance has improved due to the increase in occupancy and
rental income. Moody's LTV and stressed DSCR are 120% and 0.79X,
respectively, compared to 137% and 0.69X at last review.
The second largest performing conduit loan is the Tupper Building
Loan ($43.9 million - 3.9%), which is secured by a 97,000 SF
medical office property located in Boston, Massachusetts. The
property is 100% leased to New England Medical Center Hospitals
through September 2017. The loan is interest-only for its entire
five year term and matures in October 2012. Performance is stable.
Moody's LTV and stressed DSCR are 134% and 0.81X, respectively,
compared to 136% and 0.80X at last review.
The third largest conduit loan is the Station Casinos Headquarters
Loan ($42.3 million - 3.8%), which is secured by a 138,000 SF
office building located in Las Vegas, Nevada. The building is 100%
leased to Station Casinos under a 20-year lease through October
2027 and serves at its corporate headquarters. Upon emerging from
bankruptcy in August 2010, the lender and tenant agreed to lower
the base rent. Moody's analysis reflects a significant haircut to
the annualized 2010 net operating income to reflect the rent
reduction. Moody's prior analysis reflected a similar adjustment.
Moody's LTV and stressed DSCR are 151% and 0.82X, respectively,
the same at last review.
JP MORGAN: Moody's Downgrades Four and Affirms 14 CMBS Classes
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed the ratings of 14 classes of J.P. Morgan Commercial
Mortgage Finance Corp. Series 2006-LDP6:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3B, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3FL, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-SB, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. X-2, Affirmed at Aaa (sf); previously on Apr 5, 2006
Definitive Rating Assigned Aaa (sf)
-- Cl. A-M, Affirmed at Aa2 (sf); previously on Oct 21, 2010
Downgraded to Aa2 (sf)
-- Cl. A-J, Affirmed at Baa1 (sf); previously on Oct 21, 2010
Downgraded to Baa1 (sf)
-- Cl. B, Affirmed at Baa3 (sf); previously on Oct 21, 2010
Downgraded to Baa3 (sf)
-- Cl. C, Downgraded to Ba3 (sf); previously on Oct 21, 2010
Downgraded to Ba2 (sf)
-- Cl. D, Downgraded to Caa2 (sf); previously on Oct 21, 2010
Downgraded to B3 (sf)
-- Cl. E, Downgraded to C (sf); previously on Oct 21, 2010
Downgraded to Caa3 (sf)
-- Cl. F, Downgraded to C (sf); previously on Oct 21, 2010
Downgraded to Ca (sf)
-- Cl. G, Affirmed at C (sf); previously on Oct 21, 2010
Downgraded to C (sf)
-- Cl. H, Affirmed at C (sf); previously on Oct 21, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Oct 21, 2010
Downgraded to C (sf)
Ratings Rationale
The downgrades are due to and increased realized losses from
specially serviced loans and increased interest shortfalls.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
7.7% of the current balance. At last review, Moody's cumulative
base expected loss was 7.8%. Moody's stressed scenario loss is
16.7% 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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current 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.
The primary methodology used in this rating was: "CMBS: Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 24, the same as at last 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 (CMBS) 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 21, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 13% to
$1.86 billion from $2.00 billion at securitization. The
Certificates are collateralized by 145 mortgage loans ranging
in size from less than 1% to 13% of the pool, with the top ten
loans representing 48% of the pool. One loan, representing 0.2%
of the pool, has defeased and is secured by U.S. Government
securities. The pool contains three loans with investment grade
credit estimates, representing 12% of the pool.
Thirty-one loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) 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, resulting in a
realized loss of $63.0 million (49% loss severity overall). At
last review the pool had experienced aggregate realized losses
totaling $41.7 million. Currently 20 loans, representing 10% of
the pool, are in special servicing. None of the specially serviced
loans account for more than 1% of the pool. Moody's estimates an
aggregate $72.2 million loss (39% loss on average) for the
specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans representing 6% of the pool and has estimated an
aggregate $20.6 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Based on the most recent remittance statement, Classes E through J
have experienced cumulative interest shortfalls totaling $1.8
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal subordinate entitlement reductions (ASERs),
extraordinary trust expenses and non-advancing by the master
servicer based on a determination of non-recoverability.
Moody's was provided with full year 2009 and full year 2010
operating results for 89% and 53%, respectively, of the pool.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 102%, the same as at last 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 9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.34X and 0.99X, respectively, compared to
1.29X and 0.98X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the Smith Haven Mall
Loan ($180.0 million -- 9.7% of the pool), which is secured by a
558,990 square foot (SF) portion of a 1.1 million SF regional mall
located in Lake Grove (Long Island), New York. The interest-only
loan is sponsored by a joint-venture betweeen Simon Property and
RREEF. Shadow anchors Macy's and Sears occupy 538,127 SF of the
total mall space. As of June 2010, the mall was 99.7% leased.
Performance has been stable. Moody's credit estimate and stressed
DSCR are Aa1 and 1.65X, respectively, the same as at last review.
The second loan with a credit estimate is the 215 Park Avenue
South Loan ($38 million -- 2.0% of the pool), which is secured by
the borrower's interest in a 20 story 324,000 SF Class B office
building located in the Union Square neighborhood of New York
City. The property has a diverse tenant base, with no tenant
leasing over 10% of the NRA. As of June 2010, the property was 99%
occupied, the same as at last review and an increase from 71% at
securitization. Leases accounting for 9% of the base rent expire
in the next two years. Property performance has improved due to
increased base rent amid stable occupancy. Moody's credit estimate
and stressed DSCR are A3 and 1.98X, respectively, compared to Baa2
and 1.81X at last review.
The third loan with a credit estimate is the 10 Stanton Street
Loan ($10.5 million -- 0.6% of the pool), which is secured by a
146 unit multifamily building located in the Lower Eastside
neighborhood of New York City. As of December 2010, the building
was 100% leased, the same as at last review and securitization.
Performance has been stable since last review. Moody's credit
estimate and stressed DSCR are Aaa and 3.12X, respectively, the
same as at last review.
The top three conduit loans represent 23% of the pool. The largest
conduit loan is the Centro Portfolio Loan ($233.0 million -- 12.5%
of the pool), which is secured by 12 retail properties located
across five states in the Mid-Atlantic. The loan was modified and
the maturity date was extended as part of the January 2009
restructuring of Centro Properties' U.S. portfolio. In March 2011,
The Blackstone Group acquired all of Centro's U.S. assets.
Performance has improved slightly since last review as occupancy
has remained stable at 93% amid a small increase in base revenue.
Moody's LTV and stressed DSCR are 91% and 1.03X, respectively,
compared to 100% and 0.92X at last review.
The second largest conduit loan is The Gap Building Loan
($107.5 million -- 5.8% of the pool), which is secured by a
282,773 SF built-to-suit single-tenant office building located
in San Francisco's Mission Bay neighborhood. The building was
completed in 2002 and is 100% leased to The Gap (senior unsecured
rating of Baa3, stable outlook) until 2017. The loan matures in
2012. Moody's analysis included a "dark" scenario, which accounts
for single-tenant risk by incorporating the expected value of the
property if the tenant vacates. Moody's LTV and stressed DSCR are
84% and 1.15X, respectively, compared to 98% and 0.99X at last
review.
The third largest conduit loan is the Valley Mall Loan ($86.2
million -- 4.6% of the pool), which is secured by a 659,310 SF
single story dominant mall located 75 miles northwest of Baltimore
in Hagerstown, Maryland. The property has a strong occupancy
history and was 97% leased in December 2010, the same as at last
review and securitization. Major tenants include JC Penney (24% of
the NRA; lease expiration 10/31/2014) and Bon-Ton (19% of the NRA;
lease expiration 1/31/2014). Macy's and Sears shadow anchor the
property. In-line tenants with leases accounting for 36% of the
NRA expire over the next two years and recent leasing trends at
the property indicate a decline in PSF lease rates. Moody's LTV
and stressed DSCR are 123% and 0.77X, respectively, compared to
112% and 0.84X at last review.
JPMORGAN CHASE: Fitch Upgrades 3, Affirms 11 Classes
-----------------------------------------------------
Fitch Ratings has taken various rating actions on J. P. Morgan
Chase Commercial Mortgage Securities Corp.'s (JPMCC) commercial
mortgage pass-through certificates, series 2003-ML1.
Fitch has upgraded, revised Outlooks and LS ratings on these
classes:
-- $23.2 million class F to 'AAA/LS-4' from 'AA+/LS-3'; Outlook
Stable;
-- $9.3 million class G to 'AA/LS-5' from 'AA-/LS-4'; Outlook
Stable;
-- $16.3 million class H to 'A/LS-4' from 'A-/LS-4'; Outlook
Stable.
Fitch has affirmed, revised Outlooks and LS ratings on these
classes:
-- $83.9 million class A-1 at 'AAA/LS-1'; Outlook Stable;
-- $387.1 million class A-2 at 'AAA/LS-1'; Outlook Stable;
-- $26.7 million class B at 'AAA/LS-3'; Outlook Stable;
-- $10.5 million class C at 'AAA/LS-5'; Outlook Stable;
-- $22.1 million class D at 'AAA/LS-4'; Outlook Stable;
-- $12.8 million class E at 'AAA/LS-4'; Outlook Stable;
-- $10.5 million class J at 'BBB/LS-5'; Outlook Stable;
-- $5.8 million class K at 'BB/LS-5'; Outlook Stable;
-- $5.8 million class L at 'B+/LS-5'; Outlook Stable from
Outlook Negative;
-- $7.0 million class M at 'B/LS-5'; Outlook Stable from
Outlook Negative;
-- $4.6 million class N at 'B-/LS-5'; Outlook Negative.
Fitch does not rate the $10.3 million class NR.
Fitch has withdrawn the rating on the interest-only class X-1.
(For additional information on the withdrawal of the rating on the
interest-only class, see 'Fitch Revises Practice for Rating IO &
Pre-Payment Related Structured Finance Securities', dated June 23,
2010.)
As of the April 2011 distribution date, the pool's certificate
balance has paid down 31.6% to $635.9 million from $929.8 million
at issuance. Of the remaining 108 loans, 19 (26.3%) have defeased.
Fitch expects losses of approximately 2.3%, or approximately
$14.6m.
There are four specially serviced loans in the pool (3.4%). One
loan is current, two are delinquent 60 days and one is in REO.
The largest specially serviced asset (1.1%) is a 93,677 square
feet (sf) anchored retail complex built in 1989 and located in
Naugatuck, CT. The loan transferred to special servicing in
December 2010 due to the bankruptcy of a major tenant representing
56% of the total rentable space. The loan is current.
The second largest specially serviced asset (0.9%) is a
108,244 sf retail shopping center located in Brunswick, GA. The
loan transferred in September 2008 and is currently 60 days
delinquent. The property is anchored by a Winn-Dixie. The borrower
is making partial payments. Recent valuations indicate the
property value is higher than the outstanding loan amount.
The third largest specially serviced asset is (0.9%) is secured by
a 122,253 sf office complex built in 1974 located in Sacramento,
CA. The loan transferred to special servicing in April 2011 and is
currently 60 days delinquent. The special servicer is determining
a resolution strategy.
KATONAH X CLO: Moody's Upgrades Ratings of Notes
------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Katonah X CLO Ltd.:
-- US$25,000,000 Class C Deferrable Floating Rate Notes Due
2020, Upgraded to Baa3 (sf); previously on August 27, 2009
Confirmed at Ba1 (sf);
-- US$20,000,000 Class E Deferrable Floating Rate Notes Due
2020, Upgraded to Caa1 (sf); previously on August 27, 2009
Confirmed at Caa2 (sf).
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 and an increase in the overcollateralization ratios of
the notes since the last rating action in August 2009.
Moody's notes that the credit quality of the underlying
portfolio has improved since the rating action in August 2009.
In particular, as of the latest trustee report dated April 15,
2011, the weighted average rating factor (before the application
of the Recovery Rate Modifier) is currently 2476 compared to 2870
in the July 2009 report, and securities rated Caa1/CCC+ or lower
make up approximately 7.8% of the underlying portfolio versus
15.3% in July 2009. Additionally, defaulted securities total about
$3 million of the underlying portfolio compared to $24 million in
July 2009.
The overcollateralization ratios of the rated notes have
increased since the rating action in August 2009 and are
currently all in compliance. The Class A/B, Class C, Class D
and Class E overcollateralization ratios are reported at 122.3%,
115.1%, 109.2%, and 104.5%, respectively, versus July 2009 levels
of 119.4%, 112.3%, 106.6%, and 102.0%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs,"
key model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par and principal
proceeds of $482.5 million, defaulted par of $3.6 million,
weighted average default probability of 26.66% (implying a WARF of
3300), a weighted average recovery rate upon default of 41.75%,
and a diversity score of 65. 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.
Katonah X CLO Ltd., issued in May 2007, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodologies used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
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% (2640)
-- Class A-1a: 0
-- Class A-1b: +2
-- Class A-2a: 0
-- Class A-2b: 0
-- Class B: +2
-- Class C: +2
-- Class D: +2
-- Class E: +3
Moody's Adjusted WARF + 20% (3960)
-- Class A-1a: -2
-- Class A-1b: -2
-- Class A-2a: -2
-- Class A-2b: -2
-- Class B: -2
-- Class C: -2
-- Class D: -2
-- Class E: -2
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 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior, 2) divergence in legal
interpretation of CLO 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 deals'
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus selling defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
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. 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 lower
of reported and covenanted values for weighted average rating
factor, weighted average spread, weighted average coupon, and
diversity score.
LANDMARK III: Moody's Upgrades Ratings of CLO Notes
---------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Landmark III CDO LTD:
-- US$82,000,000 Class A-1L Floating Rate Notes Due January
2016 (current balance of $40,112,860), Upgraded to Aaa (sf);
previously on July 17, 2009 Downgraded to Aa2 (sf)
-- US$31,000,000 Class A-1LB Floating Rate Notes Due January
2016, Upgraded to Aaa (sf); previously on July 17, 2009
Downgraded to Aa3 (sf)
-- US$16,500,000 Class A-2L Floating Rate Notes Due January
2016, Upgraded to Aa3 (sf); previously on July 17, 2009
Downgraded to Baa1 (sf)
-- US$19,700,000 Class A-3L Floating Rate Notes Due January
2016, Upgraded to Baa3 (sf); previously on July 17, 2009
Downgraded to Ba2 (sf)
-- US$14,150,000 Class B-1L Floating Rate Notes Due January
2016 (current balance of $14,453,636), Upgraded to Caa1
(sf); previously on July 17, 2009 Downgraded to Caa2 (sf)
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from delevering of the transaction. The Class A-1L and
A-1LA notes have been paid down approximately $36 million and
$68 million, respectively, since the rating action in July 2009.
As a result of the delevering, the overcollateralization ratios of
the rated notes have improved. The Senior Class A, Class A, Class
B-1L, and Class B-2L overcollateralization ratios are reported at
128.59%, 114.07%, 105.34%, and 97.89%, respectively, versus July
2009 levels of 117.07%, 108.41%, 102.83%, and 97.22%,
respectively. The Class B-2L overcollateralization test is
currently failing, and excess interest is being diverted to pay
the Class A-1L and Class A-1LA notes.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating action.
In particular, as of the latest trustee report dated April 2011,
the weighted average rating factor is currently 3154 compared to
2959 in the July 2009 report, and securities rated Caa1 or lower
make up approximately 17.5% of the underlying portfolio versus
15.9% in July 2009. Additionally, defaulted securities total
about $14.3 million of the underlying portfolio compared to
$29.3 million in July 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $168 million, defaulted par of
$19.4 million, a weighted average default probability of 24.8%
(implying a WARF of 4146), a weighted average recovery rate upon
default of 43.3%, and a diversity score of 58. 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.
Landmark III CDO LTD, issued in December 2003, 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 described above, Moody's
also performed a number of 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% (3317)
-- Class A-1L: 0
-- Class A-1LA: 0
-- Class A-1LB: 0
-- Class A-2L: +2
-- Class A-3L: +2
-- Class B-1L: +3
-- Class B-2L: 0
Moody's Adjusted WARF + 20% (4976)
-- Class A-1L: 0
-- Class A-1LA: 0
-- Class A-1LB: 0
-- Class A-2L: -2
-- Class A-3L: -2
-- Class B-1L: -2
-- Class B-2L: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance.CDO
notes' performance may also be impacted by 1) the managers'
investment strategies and behavior 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 selling defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
3. Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal value
upon liquidation at maturity to be equal to the lower of an
assumed liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) and the asset's
current market value.
4. Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit
estimates in a timely fashion, the transaction may be impacted
by any default probability stresses Moody's may assume in lieu
of updated credit estimates.
LB COMMERCIAL: Moody's Upgrades One & Affirms 7 CMBS Classes
------------------------------------------------------------
Moody's Investors Service (Moody's) upgraded the rating of one
class and affirmed the ratings of 7 classes of LB Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 1999-C1:
-- Cl. X, Affirmed at Aaa (sf); previously on Jun 10, 1999
Definitive Rating Assigned Aaa (sf)
-- Cl. D, Affirmed at Aaa (sf); previously on May 28, 2009
Upgraded to Aaa (sf)
-- Cl. E, Affirmed at Aaa (sf); previously on Oct 28, 2010
Upgraded to Aaa (sf)
-- Cl. F, Upgraded to A2 (sf); previously on Oct 28, 2010
Upgraded to Baa1 (sf)
-- Cl. G, Affirmed at Ba2 (sf); previously on Jun 10, 1999
Definitive Rating Assigned Ba2 (sf)
-- Cl. H, Affirmed at Caa2 (sf); previously on Oct 28, 2010
Downgraded to Caa2 (sf)
-- Cl. J, Affirmed at C (sf); previously on Oct 28, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Oct 28, 2010
Downgraded to C (sf)
Ratings Rationale
The upgrade is due to overall improved pool performance and
increased subordination due to loan payoffs and amortization.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
17.3% of the current balance. At last review, Moody's cumulative
base expected loss was 17.9%. Moody's stressed scenario loss is
18.8% 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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current 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.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" published on April 19,
2005.
Moody's also considered the mythodology "CMBS: Moody's Approach to
Rating Large Loan/Single Borrower Transactions" published in July
2000 and "CMBS: Moody's Approach to Rating Credit Tenant Lease
(CTL) Backed Transactions published on October 2, 1998 in rating
this transaction.
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
(Herf), 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 6 compared to 8 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 currently uses a Gaussian copula model to evaluate pools
of credit tenant loans (CTLs) within CMBS transactions. Moody's
public CDO rating model CDOROMv2.8-5 is used to generate a
portfolio loss distribution to assess the ratings. 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 to
determine a recovery rate upon a loan's default. Moody's also
considers the overall structure and legal integrity of the
transaction.
Moody's 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 (CMBS) 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 28, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
DEAL PERFORMANCE
As of the May 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $145.9
million from $1.58 billion at securitization. The Certificates are
collateralized by 34 mortgage loans ranging in size from less than
1% to 26% of the pool, with the top ten non-defeased loans
representing 63% of the pool. Four loans, representing 18% of the
pool, have defeased and are secured by U.S. Government securities.
The pool contains one loan with an investment grade credit
estimate, representing 26% of the pool. The pool also contains a
CTL component, representing 14% of the pool.
One loan, representing 1% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Thirty-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $17.7 million (16% loss severity
overall). Currently nine loans, representing 33% of the pool, are
in special servicing. The largest specially serviced loan is the
Wal-Mart Portfolio Loan ($17.3 million -- 11.9% of the pool),
which is secured by 13 multi-tenant retail centers located in
seven Midwestern states. The loan was transferred to special
servicing in April 2009 for imminent default. Negotiations for a
loan modification are currently underway.
The remaining eight specially serviced properties are secured
by a mix of property types. Moody's estimates an aggregate
$21.9 million loss for the specially serviced loans (45%
expected loss on average).
Based on the most recent remittance statement, Classes K and J
have cumulative interest shortfalls totaling $1.8 million. Moody's
anticipates that the pool will continue to experience interest
shortfalls because of the high exposure to specially serviced
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate
entitlement reductions (ASERs) and extraordinary trust expenses.
Moody's was provided with full year 2009 operating results for
100% of the pool and full year 2010 operating results for 67% of
the pool. Excluding specially serviced loans, Moody's weighted
average LTV is 70% compared to 76% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 15%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.6%.
Excluding special serviced loans, Moody's actual and stressed
DSCRs are 1.67X and 2.11X, respectively, compared to 1.06X and
1.45X at last review. Moody's actual DSCR is based on Moody's net
cash flow (NCF) and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
The loan with a credit estimate is the Crossroads Mall Loan ($38.2
million -- 26.2%), which is secured by the borrower's interest in
a 765,000 square foot regional mall located in Portage, Michigan.
The center is anchored by Macy's, Sears, J.C. Penney, and
Burlington Coat Factory. The collateral was 99% leased as of
December 2010, essentially the same as the last review. Although
occupancy has been stable since last review, rental revenue has
decreased as some of the mall's national tenants have renegotiated
base rental rates (some tenants are paying percentage rent only
based on sales). The property is owned by an affiliate of GGP and
was included in GGP's April 16, 2009 bankruptcy filing. The loan
was subsequently transferred to special servicing but has since
been transferred back to the master servicer. The maturity date
has been extended to January 2014. Moody's credit estimate and
stressed DSCR are Aa2 and 2.25X, respectively, compared to Aa2 and
2.46X at last review.
The largest performing conduit loan is the Kohl's Shopping Center
Loan ($5.2 million -- 3.5%), which is secured by a 100,000 square
foot retail center located in suburban Knoxville, Tennessee. The
property was 89% leased as of December 2010 compared to 100% at
the prior review. The decline in occupancy is due to a barbershop
tenant breaking its lease and vacating in 2010. Kohl's Department
Store leases 86% of the net rentable area (NRA) through February
2019. Moody's LTV and stressed DSCR are 83% and 1.24X,
respectively, compared to 78% and 1.32X at last review.
The CTL component includes 14 loans secured by properties leased
under bondable leases. Moody's provides public ratings for 86% of
the CTL component and an internal credit estimate on the remainder
of the CTL component. The largest exposures include Rite Aid Corp.
(48% of the CTL component, Moody's Long Term Corporate Family
Rating Caa2 -- stable outlook) and CVS/Caremark (25%; Moody's
senior unsecured rating Baa2 -- stable outlook)
LITTLEFIELD: Fitch Ratings Affirms COs Series 1997 at 'BB+'
-----------------------------------------------------------
Fitch Ratings has taken this action on Littlefield, Texas'
combination tax and revenue certificates of obligation (COs)
during the course of routine surveillance:
-- $1 million combination tax and revenue COs, series 1997
affirmed at 'BB+'.
The Rating Outlook is Negative.
Rating Rationale:
-- The 'BB+' rating and Negative Outlook reflect the ongoing
financial pressures resulting from Littlefield's challenges
in servicing outstanding debt issued for a now vacant
detention center. The city tapped reserve funds to help make
the August 2010 debt service payments on the series 2000 and
2001 COs (not rated by Fitch); $268,825 was used from the
combined reserves -- that money has since been repaid and
the reserves are fully funded. No reserve funds were used to
make February 2011 payments.
-- Despite ongoing efforts to find a new tenant/operator, the
city's detention center remains empty. The city council
recently entered into a contract with an auction company to
auction off the facility within 120 days.
-- Financial resources to make debt service payments have been
aided by the adoption in fall 2010 of a debt service
property tax and transfers from the city's two economic
development corporations' sales tax revenues; transfers from
the city's water and wastewater utility fund, which are
secondary pledged revenues for the Series 1997 COs, remain
the main source of debt service support.
-- General fund finances remain weak, with limited reserves.
What Could Trigger a Downgrade
A failed auction would maintain financial pressure on the city,
forcing it to continue with the current practice of cobbling
together debt service payment amounts from various sources;
utility system cash levels could decline and additional reserve
fund draws could occur.
Security:
The series 1997 COs are payable from and secured by a limited ad
valorem tax pledge against all taxable property in the city, plus
surplus revenues of the city's waterworks and sanitary sewer
system.
Credit Summary:
The city has been unable to locate a new tenant and/or permanent
operator of its detention facility since the State of Idaho
removed its prisoners in January 2009 and the GEO Group terminated
its operating agreement at the same time. With no facility
revenues to service the debt associated with the facility, the
city in subsequent months patched together payments from various
city sources, primarily available revenues of the water and
wastewater utility system. The city was current on its payments
until August 2010, when legal questions surrounding the city's
ability to use sales tax revenues from its 4A economic development
corporation delayed use of those funds. The city used nearly
$269,000 from the debt service reserves associated with the series
2000 and 2001 COs issued for the detention center to make the
August 2010 payment on these COs.
Since then, the legal question regarding use of economic
development corporation sales tax revenues has been resolved
favorably for the city and the debt service reserves were fully
replenished. Also, last fall the city council established a debt
service property tax for the first time, which is expected to
generate roughly $115,000 annually to help meet debt service
requirements. Finally, Littlefield voters last fall approved the
creation of a second 4B economic development corporation (also
with sales tax collection authority), and that corporation's sales
tax receipts will supplement the revenue stream. The combination
of sales tax revenues and property tax revenues, a utility system
transfer and a loan of other city funds enabled the city to make
the February 2011 principal and interest payment on the detention
center COs without tapping the reserve funds.
Acknowledging the difficulty in securing new prisoners for the
facility, the city recently executed a contract with a national
auction house which will put into motion the process of auctioning
off the detention facility within 120 days. Management reports
that a $5 million reserve (minimum bid) will be included in the
bid specifications. While a sale at this price will not retire the
$9.5 million outstanding in related CO debt, it would enable the
city to call a significant portion of the COs, reduce the annual
debt requirement correspondingly, and relieve the current
financial pressure measurably. Conversely, a failed auction will
mean the city continues with its current practice of piecing
together city revenues from various sources to meet debt payments
- a challenging prospect that will keep pressure very high.
Financial flexibility remains limited. The general fund balance is
modest, with the city recording a $17,000 fund balance at fiscal
2010 year-end, or less than 1% of expenditures and transfers out.
While the water and sewer fund maintains healthy liquidity and has
historically provided significant general fund and detention
center fund support, available surplus funds are expected to
decline going forward as excess revenues are used to continue
support of the general fund. The new debt service property tax and
additional sales tax revenues help, but do not eliminate the need
for utility system support. Utility debt service support was
budgeted at more than $390,000 for fiscal 2011, or 50% of the
$781,000 annual CO debt requirement. If the auction fails,
reliance on utility system transfers until the COs are retired
does not appear feasible; an alternative permanent solution would
need to be devised.
Littlefield, with a population of nearly 6,400, is located
approximately 35 miles northwest of Lubbock and serves as the
county seat for Lamb County. The area is primarily rural in
nature, with agriculture services, government, manufacturing, and
trade as key components of the county's economy. County
unemployment rates have risen, with a 7.6% posted for February
2011; however, the rate remains below the statewide average of
8.2%. While there is moderate taxpayer concentration among the top
10 taxpayers, there is generally a good mix of industries within
the list.
MADISON PARK: S&P Rates Class E Floating-Rate Notes 'BB'
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Madison Park Funding VII Ltd./Madison Park Funding VII LLC's
$368.5 million floating-rate notes.
"Subsequent to the issuance of our preliminary ratings, the
transaction's capital structure was modified such that there is
only a single, floating-rate, class C note, and the class E note
was reduced by $1.5 million. Standard & Poor's ratings reflect the
finalized capital structure," S&P related.
The ratings reflect S&P's assessment of
* The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes;
* The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria;
* The transaction's legal structure, which is expected to be
bankruptcy remote;
* The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans;
* The portfolio manager's experienced management team;
* "Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed
using our cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.30%-12.35%," S&P
noted;
* The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding; and
* The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying
uncapped administrative expenses and fees; subordinated
hedge and synthetic security termination payments; portfolio
manager incentive fees; and subordinated note payments, to
principal proceeds for the purchase of additional collateral
assets during the reinvestment period.
Ratings Assigned
Madison Park Funding VII Ltd./Madison Park Funding VII LLC
Class Rating Amount (mil. $)
A AAA (sf) 255.0
B AA (sf) 37.5
C (deferrable) A (sf) 36.0
D (deferrable) BBB (sf) 22.0
E (deferrable) BB (sf) 18.0
Subordinated NR 41.5
NR -- Not rated.
MASTR SPECIALIZED: Moody's Downgrades Ratings of Two Tranches
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 2 tranches
and confirmed the rating of 1 tranche from 2 RMBS transactions.
The collateral backing these deals primarily consists of first-
lien, fixed and adjustable rate "scratch and dent" residential
mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 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 Specialized Loan Trust 2004-02
-- Cl. M-4, Confirmed at Baa3 (sf); previously on Nov 18, 2010
Baa3 (sf) Placed Under Review for Possible Downgrade
-- Cl. B, Downgraded to Ba3 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Specialized Loan Trust 2006-03
-- Cl. A, Downgraded to Caa2 (sf); previously on Nov 18, 2010
B3 (sf) Placed Under Review for Possible Downgrade
MERRILL LYNCH: Moody's Affirms 18 CMBS Classes of MLMT 2005-MCP1
----------------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 18
classes of Merrill Lynch Mortgage Trust 2005-MCP1, Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 2005-MCP1:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-SB, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. XP, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. XC, Affirmed at Aaa (sf); previously on Jul 27, 2005
Definitive Rating Assigned Aaa (sf)
-- Cl. AM, Affirmed at Aaa (sf); previously on Oct 21, 2010
Confirmed at Aaa (sf)
-- Cl. AJ, Affirmed at A2 (sf); previously on Oct 21, 2010
Downgraded to A2 (sf)
-- Cl. B, Affirmed at Baa1 (sf); previously on Oct 21, 2010
Downgraded to Baa1 (sf)
-- Cl. C, Affirmed at Baa3 (sf); previously on Oct 21, 2010
Downgraded to Baa3 (sf)
-- Cl. D, Affirmed at Ba3 (sf); previously on Oct 21, 2010
Downgraded to Ba3 (sf)
-- Cl. E, Affirmed at B3 (sf); previously on Oct 21, 2010
Downgraded to B3 (sf)
-- Cl. F, Affirmed at Caa1 (sf); previously on Oct 21, 2010
Downgraded to Caa1 (sf)
-- Cl. G, Affirmed at Caa3 (sf); previously on Oct 21, 2010
Downgraded to Caa3 (sf)
-- Cl. H, Affirmed at C (sf); previously on Oct 21, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Oct 21, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Oct 21, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key rating parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), 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
5.5% of the current balance. At last review, Moody's cumulative
base expected loss was 6.4%. Moody's stressed scenario loss is
15.7% 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.
The principal methodology used in this rating was: "CMBS: Moody's
Approach to Rating Fusion Transactions " published on April 19,
2005.
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
(Herf), 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 32, compared to 34 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 (CMBS) 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 21, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
Deal Performance
As of the May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 24% to $1.33
billion from $1.74 billion at securitization. The Certificates are
collateralized by 107 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 43%
of the pool. The pool includes one loan with an investment grade
credit estimate, representing 2% of the pool. Four loans,
representing 5% of the pool, have defeased and are collateralized
with U.S. Government securities.
Thirty-one 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 (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Seven loans have been liquidated from the pool since
securitization, resulting in an aggregate $46.5 million realized
loss (55% loss severity on average). Currently, there are nine
loans, representing 7% of the pool, in special servicing. The
largest specially serviced loan is the Prium Office Portfolio
($36.7 million - 2.8% of the pool), which is secured by a
portfolio of 11 office buildings, totaling 342,000 square feet,
located throughout Seattle and Olympia, Washington. The loan was
transferred to special servicing in September 2010 after the
borrower filed for personal bankruptcy. The master servicer has
recognized an aggregate $12.8 million appraisal reduction for
eight of the specially serviced loans. Moody's has estimated an
aggregate $22.5 million loss (25% expected loss on average) for
the specially serviced loans.
Moody's has assumed a high default probability for six poorly
performing loans representing 5% of the pool and has estimated an
aggregate $10.4 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 and full or partial year
2010 operating results for 93% and 78% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 103% compared to 100% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 13%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.35X and 1.02X, respectively, compared to
1.39X and 1.02X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The loan with a credit estimate is the Tharaldson Hotel Pool B
Loan ($28.0 million - 2.1% of the pool), which is secured by ten
limited service hotels totaling 853 rooms. The properties are
located in five states with concentrations in Texas (47%),
Illinois (17%) and Missouri (16%). In addition to the secured
debt, there is also a $17.1 million mezzanine loan secured by the
borrower's pledge of equity. The portfolio's performance has been
stable since last review. Moody's current credit estimate and
stressed DSCR are Baa3 and 1.95X, respectively, compared to Baa3
and 1.91X at last review.
The top three performing conduit loans represent 22% of the pool.
The largest conduit loan is the 711 Third Avenue Loan ($120.0
million -- 9.0% of the pool), which is secured by a 551,000 square
foot Class B office building located in New York City. The
property was 86% leased as of December 2010 compared to 88% at
last review. Performance has been stable. The building's largest
tenants are Ketchum, Inc. (18% of the net rentable area (NRA);
lease expiration November 2015), Crain Communication (18% of the
NRA; lease expiration February 2014) and Parade Publications (15%
of the NRA; lease expiration August 2020). Moody's LTV and
stressed DSCR are 108% and 0.90X, respectively, compared to 112%
and 0.87X, at last review.
The second largest conduit loan is the Queen Ka'ahumanu Center
Loan ($90.5 million - 6.8% of the pool), which is secured by the
borrower's interest in a 556,000 square foot regional mall located
in Kahulia, Hawaii. The collateral also includes a 16,500 square
foot office building adjacent to the mall. The mall is anchored by
two Macy's stores and Sears. As of December 2010, the in-line mall
space was 72% leased compared to 75% at securitization. The whole
property was 85% leased compared to 93% at last review and 87% at
securitization. Performance has declined since last review due to
lower revenues; however it is in line with securitization. The
loan's original maturity date was in June 2010 but the loan has
been extended to June 2013. Moody's LTV and stressed DSCR are 110%
and 0.83X, respectively, compared to 96% and 0.95X at last review.
The third largest conduit loan is the ACP Woodland Park I Loan
($87.5 million - 6.6%), which is secured by three office buildings
located in Herndon, Virginia. The complex totals 479,000 square
feet and was 83% leased as of December 2010 compared to 98% at
last review and 81% at securitization. Performance has declined
since last review but remains stable compared to securitization.
Moody's LTV and stressed DSCR are 100% and 1.0X, respectively,
compared to 94% and 1.06X at last review.
MERRILL LYNCH: S&P Lowers Ratings on Four Classes of Certs. to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage pass-through certificates from
Merrill Lynch Mortgage Trust 2004-BPC1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "We lowered our
ratings on four of these classes to 'D (sf)' because we expect
interest shortfalls to continue and the accumulated interest
shortfalls to remain outstanding for the foreseeable future. The
lowered ratings on the remaining two classes (E and F) reflect
current interest shortfalls and the susceptibility of these two
classes to experience future interest shortfalls. If the class E
and F certificates continue to experience ongoing interest
shortfalls, it is likely that Standard & Poor's may take further
ratings actions on these classes, as well as those classes above
due to the potential reduced liquidity available to the trust,"
S&P stated.
The lowered ratings primarily reflect accumulated interest
shortfalls resulting from appraisal subordinate entitlement
reduction (ASER) amounts related to four ($78.4 million, 7.8% of
the pooled trust balance) of the six loans ($96.4 million, 9.5%)
that are currently with the special servicer, J.E. Robert Co. Inc.
(JER), as well as the recovery of prior advances by the master
servicer, Midland Loan Services Inc. (Midland). The trust has
experienced an increase in interest shortfalls due to the
liquidation of the Carlyle Crossing Apartments asset, a 138-unit
multifamily apartment complex in Forth Worth, Texas. The asset was
liquidated with a loss greater than 100%, causing the master
servicer to recover their outstanding advances monthly since March
2011. "It is our understanding from the master servicer that
approximately $405,000 of the $995,390 in total outstanding
advances for this asset has been collected as of the May 2011
trustee remittance report. Midland has indicated to us that it
plans to collect the remaining outstanding advance balance over
the next several months prompting continued interest shortfalls to
classes subordinated to and including the class E certificate. The
current interest shortfalls also reflect an interest rate
modification ($83,674) on one loan and special servicing fees
($19,864)," S&P noted.
As of the May 12, 2011 trustee remittance report, appraisal
reduction amounts (ARAs) totaling $23.0 million were in effect for
four loans ($78.4 million, 7.8%) with the special servicer. The
total reported ASER amount was $107,643 and the reported
cumulative ASER amount was $352,846. Standard & Poor's considered
the four ASER amounts, which are based on Member of the Appraisal
Institute (MAI) appraisals, as well as current special servicing
fees and aforementioned interest rate modication, in determining
its rating actions.
Ratings Lowered
Merrill Lynch Mortgage Trust 2004-BPC1
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement Interest Shortfalls ($)
Class To From (%) Current Accumulated
E B+ (sf) BBB+ (sf) 7.96 40,130 80,261
F B- (sf) BBB (sf) 6.43 66,813 136,098
G D (sf) BB (sf) 5.35 47,666 97,062
H D (sf) B- (sf) 3.81 72,133 218,941
J D (sf) CCC+ (sf) 3.19 23,770 71,310
K D (sf) CCC- (sf) 2.73 17,828 53,485
MIURA: Fitch Downgrades 2 Classes of Miura Trust 2004-1
-------------------------------------------------------
Fitch Ratings has downgraded and subsequently withdrawn two
classes of notes issued by Miura Trust 2004-1 (Miura 2004-1):
-- $37,000,000 Miura 2004-1A downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $43,000,000 Miura 2004-1B downgraded to 'Dsf' from 'Csf' and
withdrawn.
The rating actions on Miura 2004-1A and Miura 2004-1B are due to
$208.2 million of losses that was realized on the May 13, 2011
cash settlement date. Miura 2004-1A and Miura 2004-1B were
completely written down as their respective subordination levels
were insufficient to absorb the losses.
MIURA 2004-1 was a collateralized debt obligation (CDO) that
closed on Sept. 28, 2004. The transaction was a partially funded,
static synthetic CDO that allowed investors to achieve leveraged
exposure to a diversified portfolio of CDOs and residential
mortgage-backed securities.
ML-CFC COMMERCIAL: S&P Cuts Ratings on 6 Classes to 'D'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of U.S. commercial mortgage-backed securities (CMBS) from
ML-CFC Commercial Mortgage Trust 2007-5 and removed the rating on
class A-2FL from CreditWatch with negative implications. "In
addition, we affirmed our ratings on 10 other classes from the
same transaction," S&P said.
S&P continued, "We downgraded class A-2FL to 'A+ (sf)' based on
our current counterparty criteria. The downgrades of classes A-J
and A-JFL to 'B- (sf)'reflect credit support erosion that we
anticipate will occur upon the eventual resolution of 27
($1.22 billion, 28.6%) of the 29 specially serviced assets
($1.27 billion, 29.9%). In addition, downgraded classes B, C, D,
E, F, and G to 'D (sf)' due to recurring interest shortfalls that
we expect to continue, and we believe the accumulated interest
shortfalls will remain outstanding for the foreseeable future."
"Our rating actions follow our analysis of the transaction
primarily using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all of
the loans in the pool, the transaction structure, and the
liquidity available to the trust. As of the May 13, 2011 trustee
remittance report, the trust experienced monthly interest
shortfalls totaling $1.86 million primarily related to appraisal
subordinate entitlement reduction (ASER) amounts of $1.26 million,
special servicing and workout fees of $252,636, reimbursement for
interest on advances of $121,894, and interest not advanced due to
nonrecoverability determination of $96,344. The interest
shortfalls have affected all classes subordinate to and including
class B. Classes B through G experienced cumulative interest
shortfalls between two and seven months. We expect these classes
to experience recurring interest shortfalls in the near term.
Consequently, we downgraded these classes to 'D (sf)'," S&P
related.
"The downgrade of the class A-2FL certificate to 'A+ (sf)'
reflects our application of our updated counterparty criteria for
structured finance transactions. Floating-rate interest payments
to the class are partially dependent upon the performance of the
interest rate swap counterparty, confirmed by the trustee, Wells
Fargo Bank N.A., to be Bank of America, N.A. (A+/Negative/A-1)
subsequent to its purchase of Merrill Lynch. We lowered the rating
on class A-2FL to 'A+ (sf)', which is one notch above our rating
on the counterparty based primarily on our understanding that the
derivative obligation contains a counterparty replacement
framework," S&P noted.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels and liquidity that is
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' rating on the class X interest-only (IO) certificate based
on our current criteria," S&P stated.
"Our analysis included a review of the credit characteristics of
all of the loans in the pool. Using servicer-provided financial
information, we calculated an adjusted debt service coverage (DSC)
of 1.35x and loan-to-value (LTV) ratio of 118.3%. We further
stressed the loans' cash flows under our 'AAA' scenario to yield a
weighted average DSC of 0.82x and LTV ratio of 172.1%. The implied
defaults and loss severity under the 'AAA' scenario were 93.4% and
39.5%. The DSC and LTV calculations we noted above exclude 27
($1.22 billion; 28.6%) of the transaction's 29 specially serviced
assets ($1.27 billion; 29.9%) and one loan we determined to be
credit-impaired ($15.1 million, 0.4%). We separately estimated
losses for these assets, which we included in our 'AAA' scenario
implied default and loss severity figures," S&P added.
Credit Considerations
As of the May 13, 2011 trustee remittance report, 29 assets ($1.27
billion; 29.9%) in the pool were with the special
servicer, CWCapital Asset Management LLC (CWCapital). The
reported payment status of these assets is: 12 are real
estate owned (REO) ($120.4 million; 2.8%), five are in
foreclosure ($825.9 million; 19.5%), four are 90-plus-days
delinquent ($90.8 million; 2.2%), three are 60 days delinquent
($22.0 million; 0.5%), one is 30 days delinquent ($9.7 million;
0.2%), two are less than 30 days ($69.1 million, 1.6%), and
two are current ($132.0 million, 3.1%). The special servicer
indicated that one of the specially serviced loan ($4.1 million,
0.1%) reported in the May 2011 trustee remittance report was
subsequently liquidated on May 11, 2011. "In addition, one loan
($15.1 million, 0.4%), which we determined to be credit-impaired,
was subsequently transferred to the special servicer on May 17,
2011. Nineteen assets ($985.7 million, 23.2%) have appraisal
reduction amounts (ARAs) in effect totaling $270.4 million. Three
of the top 10 loans are with the special servicer," S&P noted.
The Peter Cooper Village and Stuyvesant Town loan is the largest
loan in the pool and the largest asset with the special servicer.
The $3.0 billion participated whole loan is split into five pari
passu notes, $800.0 million of which comprise 18.8% of the pool
trust balance ($842.8 million total exposure). The other pari
passu notes are included in WBCMT 2007-C30 ($1.5 billion), WBCMT
2007-C31 ($247.7 million), CWCI 2007-C2 ($250.0 million), and
ML-CFC 2007-6 ($202.3 million). In addition to the $3.0 billion
senior loan, there is $1.4 billion of mezzanine debt secured by
the borrower's equity interest in the whole loan. The loan is
secured by a 110-building multifamily apartment complex consisting
of 11,227 market-rent and rent-stabilized units on the east side
of Manhattan. The loan was transferred to special servicing
on Nov. 6, 2009, due to imminent monetary default. The property is
in foreclosure, and a $187.6 million ARA is in effect against the
loan. The reported overall DSC for year-end 2009 was 0.53x and the
reported overall occupancy was 95.0% as of April 2011. Standard &
Poor's expects a moderate loss upon the eventual resolution of the
loan.
The Resurgens Plaza loan ($82.0 million balance; 1.9%) is the
fifth-largest loan in the pool and the second-largest specially
serviced asset. The loan is secured by a 27-story, 393,107-sq. ft.
suburban office building in Atlanta, Ga. The loan was transferred
to special servicing on April 26, 2011, due to imminent monetary
default. CWCapital indicated that the borrower submitted a
hardship letter on April 15, 2011, noting a drop in occupancy to
76.0% with further tenant expirations over the next 12 months. The
special servicer is currently evaluating various workout
strategies for this loan. Standard & Poor's expects a moderate
loss upon the eventual resolution of the asset.
The HSA Memphis Industrial Portfolio loan ($67.0 million; 1.6%) is
the sixth-largest loan in the pool and the third-largest specially
serviced asset. The loan is secured by 15 industrial/flex/office
buildings in Memphis, Tenn. The loan was transferred to special
servicing on Sept. 14, 2010, due to imminent monetary default. The
special servicer stated that it is dual tracking foreclosure and a
note sale. The reported overall occupancy is currently at 63.0%
and reported overall DSC was 0.86x for year-end 2009.
Standard & Poor's expects a significant loss upon the eventual
resolution of the asset.
The remaining 26 assets with the special servicer ($320.9 million;
7.6%) individually represent less than 1.2% of the total pool
balance. "We estimated losses for 24 of these assets ($268.8
million, 6.3%) to arrive at a weighted-average loss severity of
44.1%," added S&P.
"In addition to the specially serviced assets, we determined one
loan ($15.1 million, 0.4%) to be credit-impaired. The loan is
secured by a 128,098-sq.-ft. retail center in Colorado Springs,
Colo. The loan has a reported DSC of 1.07x for year-end 2010 and
reported occupancy of 86.5% as of March 2011. We viewed this loan
to be at an increased risk of default and loss because it has been
transferred to the special servicer due to imminent default," S&P
continued.
Transacion Summary
As of the May 13, 2011 trustee remittance report, the transaction
had an aggregate trust balance of $4.25 billion (304 loans and 12
REO assets), compared with $4.42 billion (333 loans) at issuance.
Keybank Real Estate Capital and Wells Fargo Bank N.A., the master
servicers, provided financial information for 98.3% of the pool
(by balance), which was primarily full-year 2009 and full-year
2010 information. There are no defeased loans in the pool. "We
calculated a weighted-average DSC of 1.16x for the loans in the
pool based on the reported figures. Our adjusted DSC and LTV were
1.35x and 118.3%, which exclude 27 ($1.22 billion; 28.6%) of the
transaction's 29 specially serviced assets ($1.27 billion; 29.9%)
and one loan we determined to be credit-impaired ($15.1 million,
0.4%). If we include the 27 specially serviced assets and one loan
we determined to be credit-impaired, the adjusted weighted-average
DSC for the pool would be 1.16x. The trust has experienced 13
principal losses to date totaling $47.7 million. Fifty loans
($482.7 million; 11.4%) are on the master servicers' combined
watchlist, including one of the top 10 loans. Thirty loans
($234.6 million, 5.5%) have reported DSCs between 1.00x and 1.10x,
and 61 loans ($1.54 billion, 36.3%) have reported DSCs of less
than 1.00x," S&P noted.
Summary of Top 10 Loans
The top 10 loans have an aggregate outstanding trust balance of
$1.56 billion (36.7%). "Using servicer-reported information, we
calculated a weighted-average DSC of 0.93x. Our adjusted DSC and
LTV figures for the top 10 loans were 1.33x and 120.4%. The
adjusted figures exclude three of the top 10 loans that are with
the special servicer, which we discussed above. If we include the
three specially serviced loans, the adjusted weighted average DSC
for the top 10 loans would be 0.90x," S&P said.
The Hotel Gansevoort loan ($121.6 million; 2.9%), the third-
largest loan in the pool, is secured by a 187-room full-service
boutique hotel in the Meat Packing District of Manhattan. The loan
is on the master servicers' combined watchlist due to a low
reported DSC. For year-end 2009, the reported DSC and
occupancy were 0.93x and 86.0%.
Standard & Poor's stressed the loans in the pool according to its
U.S. CMBS conduit/fusion criteria. "The resultant credit
enhancement levels are consistent with our lowered and affirmed
ratings," S&P added.
Rating Lowered and Removed From CreditWatch Negative
ML-CFC Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-2FL A+ (sf) AAA (sf)/Watch Neg 30.05
Ratings Lowered
ML-CFC Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
AJ B- (sf) B+ (sf) 10.57
AJ-FL B- (sf) B+ (sf) 10.57
B D (sf) B (sf) 8.75
C D (sf) B- (sf) 7.97
D D (sf) CCC+ (sf) 6.15
E D (sf) CCC (sf) 5.24
F D (sf) CCC- (sf) 3.94
G D (sf) CCC- (sf) 2.77
Ratings Affirmed
ML-CFC Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.05
A-2FX AAA (sf) 30.05
A-3 AAA (sf) 30.05
A-SB AAA (sf) 30.05
A-1A A (sf) 30.05
A-4 A(sf) 30.05
A-4FL A(sf) 30.05
AM BBB-(sf) 19.66
AM-FL BBB-(sf) 19.66
X AAA (sf) N/A
N/A -- Not applicable.
MONUMENT PARK: Moody's Upgrades Ratings of CLO Notes
----------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Monument Park CDO Ltd.:
-- US$847,000,000 Class A-1 Floating Rate Senior Delayed
Funding Notes Due 2016 (current balance $352,512,697),
Upgraded to Aa2 (sf); previously on Aug 27, 2009 Downgraded
to A3 (sf);
-- US$60,000,000 Class A-2 Floating Rate Senior Revolving Notes
Due 2016, Upgraded to Aa2 (sf); previously on Aug 27, 2009
Downgraded to A3 (sf);
-- US$50,000,000 Class B Floating Rate Subordinated Delayed
Funding Deferrable Notes Due 2016, Upgraded to Ba1 (sf);
previously on Aug 27, 2009 Downgraded to Ba2 (sf);
-- US$10,000,000 Combination Securities Due 2016 (current rated
balance $7,088,112), Upgraded to Ba1 (sf); previously on Aug
27, 2009 Downgraded to B1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from delevering of the transaction. The Class A-1 Notes
have been paid down approximately $494 million or 58% since the
last rating action in August 2009. As a result of the delevering,
the overcollateralization ratios of the rated notes have improved.
The Class A and Class B overcollateralization ratios are reported
at 124.50% and 111.38%, respectively, versus July 2009 levels of
113.34% and 107.02%, respectively, and all related
overcollateralization tests are currently in compliance.
Moody's also notes that the credit profile of the underlying
portfolio has been relatively stable since the last rating action.
In particular, as of the latest trustee report dated April 2011,
the weighted average rating factor is currently 2748 compared to
2672 in the July 2009 report, and securities rated Caa1 or lower
make up approximately 9.69% of the underlying portfolio versus
7.37% in July 2009. Additionally, defaulted securities total about
$8.3 million of the underlying portfolio compared to $30.8 million
in July 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $462 million, defaulted par of
$8.3 million, a weighted average default probability of 22.4%
(implying a WARF of 3704), a weighted average recovery rate upon
default of 43.7%, and a diversity score of 52. 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. In analyzing
the Class A-2 Notes, Moody's observes that they can be drawn at
the manager's discretion to cover principal losses via the
exercise of liquidity put options. Throughout the life of the
transaction, no such options have been used, and Moody's base
modeling scenario assumes that the notes remain undrawn until the
expiration of the liquidity put options in January 2012.
Monument Park CDO Ltd., issued in January 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 described above, Moody's
also performed a number of 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% (2963)
Class A-1: +2
Class A-2: +2
Class B: +2
Combo: +2
Moody's Adjusted WARF + 20% (4445)
Class A-1: -2
Class A-2: -2
Class B: -1
Combo: -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. 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 selling defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
3. Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal value
upon liquidation at maturity to be equal to the lower of an
assumed liquidation value (depending on the extent to which the
asset's maturity lags that of the liabilities) and the asset's
current market value.
MORGAN STANLEY: Fitch Downgrades Rating on 1 Class to 'Csf/RR2'
---------------------------------------------------------------
Fitch Ratings downgrades one and affirms two classes of Morgan
Stanley Capital I Inc., commercial mortgage pass-through
certificates, series 1999-FNV1:
-- $6.9 million class H affirmed at 'BBBsf/LS3'; Outlook to
Stable from Positive;
-- $9.5 million class J affirmed at 'BB-sf/LS3'; Outlook
Stable;
-- $7.9 million class K downgraded to 'Csf/RR2' from 'CCC/RR1'.
In addition Fitch withdraws the 'AAA' rating of the interest only
Class X.
Classes L, M, and, N remain at 'D/RR6' due to losses incurred.
As of the April 2011 distribution date, the pool's collateral
balance has paid down 96% to $25.3 million from $632.1 million at
issuance. Of the five remaining loans in the transaction, one loan
is defeased (11.27%). Expected losses for the pool are 4.5% of the
original pool, including losses already incurred to date. In
addition, there are $4.1 million in outstanding unpaid interest
shortfalls to classes K through O, which Fitch believes are not
likely to be recoverable.
The remaining four non-defeased loans are performing and with the
special servicer. The largest of these is a Fitch Loan of Concern,
a multifamily property in Tampa, FL (71% of the pool).
MORGAN STANLEY: Fitch Downgrades Ratings on MSDW 2001-Top3
----------------------------------------------------------
Fitch Ratings has downgraded six classes of Morgan Stanley Dean
Witter Capital I Trust's commercial mortgage pass-through
certificates, series 2001-Top3.
The downgrades reflect an increase in Fitch expected losses across
the pool. Fitch modeled losses of 11.29% of the remaining pool;
expected losses of the original pool are at 3.3%, including losses
already incurred to date. Fitch has designated 20 loans (29.3%) as
Fitch Loans of Concern, which includes 11 specially serviced loans
(20.6%). Fitch expects classes M through H may be fully depleted
from losses associated with the specially serviced assets. Adverse
selection among the remaining loans, including loans secured by
single tenant properties, and upcoming loan maturities did not
warrant of the senior classes upgrades.
As of the April 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 66.8% to
$340.9 million from $1 billion at issuance. Eight loans (9%) have
defeased since issuance. Interest shortfalls are affecting classes
F through N.
The largest contributor to loss (3.89% of pool balance) is a
365,430 square foot (sf) industrial building located in Sterling
Heights, MI. The special servicer foreclosed on the property in
April 2011 and the borrower has a redemption right until October
2011. A Phase 1 environmental assessment indicated environmental
concerns and recommended a Phase 2 assessment. Fitch's loss
estimates are partially based on a recent appraisal of the
property that is significantly below the debt.
The next largest contributor to losses (2%) is a vacant single
tenant 221,374 sf industrial building located in Duluth, GA. The
loan transferred to the special servicer in January 2010 due to
monetary default. The special servicer has foreclosed on the
property and is exploring the best alternatives to liquidate the
asset. A recent appraisal and market valuations are significantly
below the debt.
The third largest contributor to losses (1.9) is a vacant 183,717
sf office/industrial property located in Auburn Hills, MI. The
property is real estate owned (REO) and the special servicer is
marketing the property for sale.
Fitch downgrades these classes and revises Loss Severity (LS)
ratings and Recovery Ratings (RRs):
-- $11.6 million class F to 'CCC/RR1' from 'B-/LS4';
-- $11.6 million class G to 'CCC/RR2' from 'B-/LS4'
-- $10.3 million class H to 'CC/RR6' from 'CCC/RR3';
-- $9 million class J to 'C/RR6' from 'CC/RR6';
-- $3.9 million class K to 'C/RR6' from 'CC/RR6';
-- $5.1 million class L to 'C/RR6' from 'CC/RR6'.
Fitch also affirms these classes and revises the Outlooks and LS
ratings:
-- $198.8 million class A-4 at 'AAA/LS2'; Outlook Stable;
-- $30.8 million class B at 'AAA/LS4'; Outlook Stable;
-- $28.3 million class C at 'AA/LS4'; Outlook Stable from
Negative;
-- $12.8 million class D at 'A/LS5'; Outlook Stable from
Negative;
-- $18 million class E at 'BB/LS5'; Outlook Stable from
Negative.
Fitch does not rate class N. Classes A-1, A-2, A-3 and X-2 have
paid in full. Class M remains at 'D/RR6' due to realized losses.
Fitch withdraws the rating on the interest-only class X-1.
MORGAN STANLEY: Moody's Affirms 28 CMBS Classes of MSCI 2007-IQ14
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 28 classes of
Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through
Certificates, Series 2007-IQ14:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Jun 26, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-2FL, Affirmed at Aaa (sf); previously on Jun 26, 2007
Assigned Aaa (sf)
-- Cl. A-2FX, Affirmed at Aaa (sf); previously on Sep 17, 2010
Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Jun 26, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-AB, Affirmed at Aaa (sf); previously on Aug 12, 2010
Confirmed at Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on Jun 26, 2007
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aa2 (sf); previously on Aug 12, 2010
Downgraded to Aa2 (sf)
-- Cl. A-5FL, Affirmed at Aa2 (sf); previously on Aug 12, 2010
Downgraded to Aa2 (sf)
-- Cl. A-1A, Affirmed at Aa2 (sf); previously on Aug 12, 2010
Downgraded to Aa2 (sf)
-- Cl. A-M, Affirmed at Baa1 (sf); previously on Aug 12, 2010
Downgraded to Baa1 (sf)
-- Cl. A-MFL, Affirmed at Baa1 (sf); previously on Aug 12, 2010
Downgraded to Baa1 (sf)
-- Cl. A-J, Affirmed at Caa2 (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
-- Cl. A-JFL, Affirmed at Caa2 (sf); previously on Aug 12, 2010
Downgraded to Caa2 (sf)
-- Cl. B, Affirmed at Ca (sf); previously on Aug 12, 2010
Downgraded to Ca (sf)
-- Cl. C, Affirmed at Ca (sf); previously on Aug 12, 2010
Downgraded to Ca (sf)
-- Cl. D, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. E, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. F, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. G, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. H, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on Aug 12, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Sep 3, 2009
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Sep 3, 2009
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sep 3, 2009
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Sep 3, 2009
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Sep 3, 2009
Downgraded to C (sf)
-- Cl. Q, Affirmed at C (sf); previously on Sep 3, 2009
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
12.5% of the current balance. At last review, Moody's cumulative
base expected loss was 14.4%. Moody's stressed scenario loss is
24.7% of the current balance. The pool has realized $53 million or
1.1% of the original balance in losses from liquidated loans
compared to $6.3 million or 0.1% at the last review. 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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may, if
warranted, change these expectations. Performance that falls
outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when
the related securities ratings were issued. Even so, a deviation
from the expected range will not necessarily result in a rating
action nor does performance within expectations preclude such
actions. The decision to take (or not take) a rating action is
dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Primary sources of assumption uncertainty are the current 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.
The prmary methodology used in this rating was: "CMBS: Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 32 compared to 26 at Moody's prior review.
Deleveraging of the Beacon Seattle & DC Portfolio Loan has caused
the increase in Herf since the 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 (CMBS) 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 12, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past six months.
DEAL PERFORMANCE
As of the May 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $4.59 billion
from $4.90 billion at securitization. The Certificates are
collateralized by 404 mortgage loans ranging in size from less
than 1% to 14% of the pool, with the top ten non-defeased loans
representing 40% of the pool. One loan, representing less than 1%
of the pool, has defeased and is secured by a U.S. Government
security.
One hundred and nineteen 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 (CREFC) 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.
Eighteen loans have been liquidated from the pool, resulting in a
realized loss of $42.3 million (51% loss severity). Currently 38
loans, representing 32% of the pool, are in special servicing. The
largest specially serviced loan is the Beacon D.C. & Seattle Pool
($630.4 million -- 13.7%), which is currently secured by 18
(originally 20 properties at securitization) office properties
located in Washington, Virginia, and Washington, DC. The portfolio
totals 10.0 million square feet (SF). The loan was transferred to
special servicing in April 2010 for imminent default. The loan has
been recently modified and is current. The modification includes a
five-year extension and a coupon reduction along with an unpaid
interest accrual feature, and a waiver of the yield maintenance
period in order to permit property sales. Market Square and 1300
North 17th St, office buildings both located in Washington, D.C.,
were sold between March and May 2011, while the sale of one other
property (Key Center located in Seattle, Washington) is pending
and expected to close in early June. The borrower is actively
marketing other properties in the portfolio but no contracts have
been finalized at this time. The special servicer expects the loan
to be transferred back to the master servicer by May 2012.
The second largest specially serviced loan is the PDG Portfolio
Loan ($212 million -- 4.6%), which is secured by eleven anchored
retail properties located in Arizona. The portfolio totals
1.5 million SF. The loan was transferred to special servicer
in October 2010 due to imminent payment default as the borrower
was unwilling to make debt service payments due to the high
vacancy at the portfolio. Currently, the mezzanine lender and
borrower are negotiating transfer of ownership which has been
approved by the lender. Once the new ownership structure is
finalized, the special servicer and new ownership will discuss
a long term workout/resolution plan. Moody's will continue to
monitor this loan.
The third largest specially serviced loan is the New York City
Apartment Portfolio ($195.0 million -- 4.2%), which is secured by
37 multifamily properties (1,299 units) located in East Harlem,
New York. The loan was transferred to special servicing in
September 2008 due to the Voluntary Administrative Receivership
filing of the loan's U.K.-based guarantors, Insureprofit Limited
and Starlight Investments Limited. Performance has been below
original expectations as the conversion of rent regulated units to
market rents is proceeding at a slower pace than originally
projected. The $5.0 million interest reserve that was established
at securitization was depleted in June 2009 and the loan is now in
monetary default. In addition to the first mortgage loan, there is
a $20.0 million mezzanine loan secured by a pledge of equity
interests in the borrower which is also currently in payment
default. The loan is in foreclosure.
The remaining thirty-five specially serviced properties are
secured by a mix of property types. Moody's estimates an aggregate
$419 million loss for the specially serviced loans (31% expected
loss on average).
Moody's has assumed a high default probability for 40 poorly
performing loans representing 7% of the pool and has estimated an
aggregate $64.6 million loss (19% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 96%
of the performing pool. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 110% compared to 115% 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 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.32X and 0.94X, respectively, compared to
1.29X and 0.94X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 11% of the pool. The
largest conduit loan is the Tabor Center and U.S. Bank Tower Loan
($300.0 million -- 6.1%), which is secured by two Class A office
properties totaling 1.2 million SF located in downtown Denver,
Colorado. The loan matures in April 2012. The two properties were
85% leased as of December 2010 compared to 80% at last review.
Tabor Center increased occupancy by 6% to 89% while US Bank
increased occupancy by 3% to 79%. Moody's LTV and stressed DSCR
are 137% and 0.71X, respectively, compared to 179% and 0.56X at
last review.
The second largest loan is the Layton Hills Mall Loan
($101.2 million -- 2.2% of the pool), which is secured by a
727,600 SF regional mall located in Layton, Utah. The property is
anchored by Macy's and JC Penney and was 88% leased as of December
2010. The property was 86% leased at the prior review. Performance
has been stable. Moody's LTV and stressed DSCR are 107% and 0.86X,
respectively, essentially the same as at last review.
The third largest conduit loan is the NewCrow Industrial Portfolio
Loan ($100.0 million -- 2.2% of the pool), which is secured by
nine industrial properties totaling 2.1 million SF located in
Commerce, California. The loan is sponsored by Lion Industrial
Properties. The portfolio was 91% leased as of December 2009,
essentially the same as the prior review. Moody's LTV and stressed
DSCR are 107% and 0.89X, respectively, compared to 124% and 0.78X
at last review.
MORGAN STANLEY: S&P Cuts Ratings on 5 Classes of Certs. to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2005-TOP19, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "Concurrently, we
affirmed our 'AAA (sf)' ratings on six other classes from the same
transaction," S&P stated.
"Our rating actions follow our analysis of the transaction using
our U.S. conduit and fusion CMBS criteria. The downgrades reflect
the transaction's structure, credit support erosion that we
anticipate will occur upon the resolution of the six specially
serviced assets ($21.3 million, 2.0%), our concerns with two
additional loans ($27.7 million, 2.6%) that we determined to
be credit-impaired, and the deterioration in the operating
performance of the collateral securing the largest loan in the
pool, the One Buckhead loan ($85.0 million, 8.1%)," S&P continued.
"Our analysis included a review of the credit characteristics of
all the remaining loans in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.63x and a loan-to-value (LTV) ratio of 98.0%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 1.05x and an LTV ratio of
143.9%. The implied defaults and loss severity under the 'AAA'
scenario were 56.5% and 36.2%, respectively. The DSC and LTV
calculations noted above exclude the transaction's six specially
serviced assets ($21.3 million, 2.0%), two loans that we
determined to be credit-impaired ($27.7 million, 2.6%), and seven
defeased loans ($65.6 million, 6.3%). We separately estimated
losses for the specially serviced assets and credit-impaired loans
and included them in our 'AAA' scenario implied default and loss
severity figures," S&P related.
"The rating affirmations on the principal and interest
certificates reflect subordination and liquidity support levels
that we consider to be consistent with our outstanding ratings on
these classes. We affirmed our ratings on the two interest-only
(IO) certificate classes based on our current criteria," according
to S&P.
Credit Considerations
Six assets ($21.3 million, 2.0%) in the pool were with the special
servicer, C-III Asset Management LLC (C-III). This includes two
loans ($9.2 million, 0.9%) that were transferred to C-III within
the last reporting period. The reported payment status of the
specially serviced assets is: one is real estate owned (REO)
($1.2 million, 0.1%); one is in foreclosure ($2.1 million, 0.2%);
one is 90-plus-days delinquent ($4.3 million, 0.4%); one is 60
days delinquent ($4.5 million, 0.4%); and two are late, but less
than 30 days delinquent ($9.2 million, 0.9%). Appraisal reduction
amounts (ARAs) totaling $2.3 million were in effect against four
of the specially serviced assets ($12.1 million, 1.2%).
The Comfort Inn Palm Beach Lakes loan ($5.8 million, 0.6%) is the
largest specially serviced asset. The loan transferred to special
servicing on April 27, 2011, due to payment default. The loan,
which is reported to be late, but less than 30 days delinquent, is
secured by a 162-room limited service hotel in West Palm Beach,
Fla. C-III indicated that it is currently evaluating various
workout strategies. Reported DSC was negative as of December 2010.
Standard & Poor's anticipates a significant loss upon the eventual
resolution of this asset.
The remaining five specially serviced assets have individual
balances representing less than 0.5% of the pool balance. ARAs
totaling $2.3 million were in effect against four of the specially
serviced assets ($12.1 million, 1.2%). "We estimated losses for
all of these assets, resulting in a weighted average loss severity
of 26.9%," S&P noted.
"In addition to the specially serviced assets, we determined two
other loans in the pool to be credit-impaired. The larger of these
is the Hilton Del Mar loan, which is the sixth-largest real estate
loan in the deal. The loan is secured by a 257-room full service
Hilton hotel located 23 miles north of San Diego in Del Mar,
Calif. The loan has a balance of $25.3 million representing
2.4% of the pool balance. The loan is the largest loan on the
master servicer's watchlist where it appears for low reported DSC.
As of December 2010, reported DSC and occupancy were 0.86x and
66.0%. Given the poor reported performance, we consider this loan
to be at an increased risk of default and loss," S&P said.
The Tower Market loan ($2.4 million, 0.2%) is secured by a 23,000-
sq.-ft. retail property in Eatontown, N.J. The loan appears on the
master servicer's watchlist for low reported DSC. As of December
2010, reported DSC and occupancy were 0.23x and 47.0%. "Given the
poor reported performance, we consider this loan to be at an
increased risk of default and loss," added S&P.
Transaction Summary
As of the May 12, 2011 trustee remittance report, the collateral
pool balance was $1.05 billion, which is 85.4% of the balance at
issuance. The pool includes 141 loans and one REO asset, down from
156 loans at issuance. Seven loans ($65.6 million, 6.3%) are
defeased. The master servicer, Wells Fargo Bank N.A. (Wells
Fargo), provided financial information for 99.4% of the loan
balance secured by real estate, 80.5% of which was interim- or
full-year 2010 data, with the remainder reflecting full-year 2009
data.
"We calculated a weighted average DSC of 1.62x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.63x and 98.0%, respectively. Our adjusted DSC
and LTV figures excluded the transaction's six specially serviced
assets, two loans that we determined to be credit-impaired, and
seven defeased loans. We separately estimated losses for the
specially serviced assets and credit-impaired loans and included
them in our 'AAA' scenario implied default and loss severity
figures. Current financial data was available for seven of these
assets, which indicated a weighted-average reported DSC of 0.68x.
The transaction has experienced $2.2 million in principal losses
to date. Thirty loans ($201.1 million, 19.2%) in the pool are on
the master servicer's watchlist, including three of the top 10
loans secured by real estate. Twenty-one loans ($144.8 million,
13.8%) have reported DSC of less than 1.10x, 16 of which
($112.8 million, 10.8%) have reported DSC below 1.00x," S&P
added.
Summary of the Top 10 Loans Secured by Real Estate
The top 10 loans secured by real estate have an aggregate
outstanding balance of $317.1 million (30.2%). "Using servicer-
reported numbers, we calculated a weighted average DSC of 1.67x
for the top 10 loans. Our adjusted DSC and LTV ratio for the top
10 loans were 1.64x and 133.8%. Three of the top 10 loans ($66.3
million, 6.3%) are on the servicer's watchlist. We detail the
largest loan in the pool and two top 10 loans on the master
servicer's watchlist," noted S&P.
The One Buckhead loan, the largest loan in the pool, is secured by
a 466,229-sq.-ft. class A office tower in the Buckhead section of
Atlanta, Ga. The loan has a trust balance of $85.0 million (8.1%).
Wells Fargo has reported that occupancy has dropped to 72.7% as of
year-end 2010, from 88.6% at year-end 2009, and that DSC declined
to 1.22x in 2010 from 1.52x in 2009. The largest tenant,
Fitzgerald & Co. (30.0% of the net rentable area {NRA}), moved
out in 2010. In addition, leases accounting for 52,233-sq.-ft. of
office space at the property are scheduled to expire in 2011.
The Lewis Portfolio loan ($20.8 million, 2.0%), the eighth-largest
real estate loan in the pool, consists of two cross-
collateralized/cross-defaulted loans secured by two self-storage
facilities (one in Boca Raton, Florida and the other in Deerfield
Beach, Florida) totaling 288,752 sq. ft. The loan is the second-
largest loan on the master servicer's watchlist, where it appears
for low reported DSC. The reported consolidated DSC was 0.98x as
of December 2010, and reported consolidated occupancy was 70.0% as
of September 2010.
The Fairfield Center loan ($20.2 million, 1.9%) is the ninth-
largest real estate loan in the pool. The loan is secured by an
84,430-sq.-ft. retail property in Fairfield, Conn. The loan is the
third-largest loan on the master servicer's watchlist, where it
appears for other default risk. According to the master servicer's
watchlist comments, one of the tenants, Borders Group Inc., which
occupies 32.0% of the property's NRA, will close its store at the
property in May 2011.
Standard & Poor's stressed the loans in the pool according to its
current criteria. The resultant credit enhancement levels are
consistent with its rating actions.
Ratings Lowered
Morgan Stanley Capital I Trust 2005-TOP19
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J A+ (sf) AA (sf) 11.36
B A- (sf) AA- (sf) 9.16
C BBB+ (sf) A+ (sf) 7.99
D BBB- (sf) A (sf) 6.53
E BB- (sf) A- (sf) 5.36
F B (sf) BBB+ (sf) 4.48
G B- (sf) BBB (sf) 3.60
H CCC+ (sf) BBB- (sf) 2.58
J CCC (sf) BB+ (sf) 2.28
K CCC- (sf) BB (sf) 1.99
L CCC- (sf) BB- (sf) 1.40
M CCC- (sf) B+ (sf) 1.26
N CCC- (sf) B (sf) 0.97
O CCC- (sf) B- (sf) 0.67
Ratings Affirmed
Morgan Stanley Capital I Trust 2005-TOP19
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3 AAA (sf) 19.71
A-AB AAA (sf) 19.71
A-4A AAA (sf) 29.38
A-4B AAA (sf) 19.71
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A -- Not applicable.
MSC 2006-SRR: Moody's Affirms All CRE CDO Classes of MSC 2006-SRR1
------------------------------------------------------------------
Moody's has affirmed all rated classes of Notes issued by MSC
2006-SRR1 due as the transaction's key parameters are all
performing within the current rating levels. The rating action is
the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO) transactions.
Moody's rating action is:
-- Cl. A2, Affirmed at Ca (sf); previously on May 27, 2010
Downgraded to Ca (sf)
-- Cl. A2-S, Affirmed at Ca (sf); previously on May 27, 2010
Downgraded to Ca (sf)
-- Cl. B, Affirmed at Ca (sf); previously on May 27, 2010
Downgraded to Ca (sf)
-- Cl. B-S, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. C, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. C-S, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. D, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. D-S, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. E, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. E-S, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. F, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. F-S, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. G, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. H, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. J, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. K, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on May 27, 2010
Downgraded to C (sf)
Ratings Rationale
MSC 2006-SRR1 is a synthetic CRE CDO transaction backed by a
portfolio of credit default swaps referencing $620 million par
amount of commercial mortgage backed securities (CMBS). As of the
April 22, 2011 Trustee report, the aggregate issued Note balance
is $583.7 million, down from $620.0 million at securitization,
with losses hitting up to Class M.
There are five assets with original par balance of $60.0 million
(9.7% of the original pool balance) that have experienced a Credit
Event as of the April 22, 2011 Trustee report. A Credit Event is a
writedown to a referenced CMBS bond. While there have been limited
realized losses ion to date, Moody's does expect significant
losses to occur once they are realized.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life (WAL), weighted average recovery rate (WARR), and Moody's
asset correlation (MAC). These parameters are typically modeled as
actual parameters for static deals and as covenants for managed
deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated reference obligations. The bottom-dollar WARF is a measure
of the default probability within a collateral pool. Moody's
modeled a bottom-dollar WARF of 8,824 compared to 4,870 at last
review. The distribution of current ratings and credit estimates
is: Baa1-Baa3 (0.0% compared to 3.2% at last review), Ba1-Ba3
(1.8% compared to 25.8% at last review), B1-B3 (7.1% compared to
21.0% at last review), and Caa1-C (50.0% compared to 91.4% at last
review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 3.8
years compared to 4.6 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
0.5% compared to 4.3% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 23.7% compared to 23.7% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in ratings. Holding all other key parameters static,
changing the ratings one notch upward would result in average
rating movement on the rated tranches of 0 to .5 notches upward.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current 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.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Other methodologies used in these ratings were "U.S. CMBS: Moody's
Approach to Rating Synthetic CMBS Resecuritizations" published in
December 2005."
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.
N-STAR REAL: S&P Lowers Rating on Class D Notes to 'CCC+'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of notes, issued by N-Star Real Estate CDO III Ltd., a
collateralized debt obligation (CDO) collateralized by commercial
mortgage backed securities (CMBS), and removed the class A-1 note
rating from CreditWatch negative.
"We placed our rating on the class A-1 notes on CreditWatch
negative on Jan. 18, 2011, in connection with the implementation
of our revised counterparty criteria (see 'Ratings On 950 North
America Structured Finance Tranches On Watch Neg After
Counterparty Criteria Update,' published Jan. 18, 2011)," S&P
stated.
"The downgrades mainly reflect a decline in the performance of the
transaction's underlying asset portfolio, since our Sept. 2, 2010,
review when we affirmed the ratings on all of the notes. As of the
April 2011 trustee report, the transaction had $44.1 million of
defaulted assets. This was up from $33.4 million noted in the July
2010 trustee report, which we referenced for our September 2010
rating affirmations. Additionally, the reported percentage of
portfolio assets that Standard & Poor's rated lower than 'BB-'
was 41.07% according to the April 2011 trustee report. This was
up from 24.74% noted in the July 2010 report," S&P noted.
The downgrades also reflect a decrease in the
overcollateralization (O/C) available to support the rated notes.
The trustee reported these O/C ratios in the April 5, 2011,
monthly report:
* The class A O/C ratio was 129.3%, compared with a reported
ratio of 132.9% in July 2010;
* The class B O/C ratio was 122.1%, compared with a reported
ratio of 126.1% in July 2010;
* The class C O/C ratio was 112.9%, compared with a reported
ratio of 117.1% in July 2010; and
* The class D O/C ratio was 107.6%, compared with a reported
ratio of 112.1% in July 2010.
Rating and CreditWatch Actions
N-Star Real Estate CDO III Ltd.
Rating
Class To From
A-1 A- (sf) AA (sf)/Watch Neg
A-2A BBB (sf) A+ (sf)
A-2B BBB (sf) A+ (sf)
B BB+ (sf) BBB (sf)
C-1A BB- (sf) BB+ (sf)
C-1B BB- (sf) BB+ (sf)
C-2A B (sf) BB (sf)
C-2B B (sf) BB (sf)
D CCC+ (sf) B- (sf)
NELNET STUDENT: Fitch Maintains Class B 'BBsf/LS3' on RWN
---------------------------------------------------------
Fitch Ratings maintains the subordinate note on Rating Watch
Negative and affirms the senior note at 'AAA' issued by Nelnet
Student Loan Trust, 2008-1.
The Rating Outlook for the senior note remains stable. Fitch used
its 'Global Structured Finance Rating Criteria' and 'FFELP Student
Loan ABS Rating Criteria', as well as the refined basis risk
criteria.
The rating on the senior note is affirmed based on the sufficient
level of credit enhancement consisting of subordination,
overcollateralization and the projected minimum excess spread to
cover the applicable basis factor stress.
The Rating Watch Negative is maintained on the subordinate note,
because Nelnet has not resolved the documentation discrepancy
resulting in a lower effective total parity. Nelnet is expected to
apply additional funds to pay down principal above the principal
distribution amount (PDA) on the next distribution date (May 2011)
to bring the parity to 100%.
Fitch will continue to monitor the performance of the trust and
resolve the Rating Watch Negative when corrective action has been
taken.
Fitch has taken these rating actions:
Nelnet Student Loan Trust, Series 2008-1:
-- Class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B 'BBsf/LS3' maintained on Rating Watch Negative.
NYLIM STRATFORD: Fitch Affirms 4 Classes, Revises LS Rating
-----------------------------------------------------------
Fitch Ratings has affirmed four classes and revised the Loss
Severity (LS) rating of one class of notes issued by NYLIM
Stratford CDO 2001-1 (NYLIM 2001-1). The rating actions are:
-- $18,796,465 class A notes affirmed at 'AAsf'; LS revised to
'LS4' from 'LS3'; Outlook Stable;
-- $40,000,000 class B notes affirmed at 'CCCsf';
-- $35,160,441 class C notes affirmed at 'Csf';
-- $16,000,000 preference shares affirmed 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 (SF PCM) 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 and class B notes.
The class C notes and preference shares are already
undercollateralized indicating that default in principal repayment
at or prior to maturity is inevitable for these classes. Therefore
the class C notes and preference shares are affirmed at 'Csf'.
The affirmation of the class A and class B notes is due to the
amortization of the class A notes offsetting the deterioration in
the portfolio. Principal collections and excess spread have been
used to redeem the class A notes due to the failing class C
overcollateralization test, increasing credit enhancement for
these two classes. Since the last review, the class A notes have
received $34.6 million, or 64.8% of the notes' balance at last
review.
Fitch maintains a Stable Outlook for the class A notes reflecting
its view that the notes have sufficient credit enhancement to
offset potential further deterioration in the underlying portfolio
over the next one to two years. Fitch does not assign Rating
Outlooks to classes rated 'CCC' or below.
The Loss Severity (LS) rating of 'LS4' for the class A notes
indicates the tranche's potential loss severity given default, as
evidenced by the ratio of tranche size to the base-case loss
expectation for the collateral, as explained in Fitch's 'Criteria
for Structured Finance Loss Severity Ratings'. The LS rating
should always be considered in conjunction with the notes' long-
term credit rating. Fitch does not assign LS ratings to tranches
rated 'CCC' or below.
Since Fitch's last rating action in May 2010, the credit quality
of the underlying collateral has declined further, with
approximately 10.4% of the portfolio downgraded a weighted average
of 2.3 notches. Approximately 33.4% of the current portfolio has a
Fitch derived rating below investment grade and 18.1% has a rating
in the 'CCC' rating category or lower, compared to 23.2% and 9.4%
respectively, at last review.
NYLIM 2001-1 is a SF CDO that closed on April 12, 2001 and is
monitored by New York Life Investment Management, LLC. The
portfolio is comprised of asset-backed securities (28%),
residential mortgage-backed securities (26.1%), senior unsecured
bonds (18.6%), real estate investment trusts (12.3%), commercial
mortgage-backed securities (9.6%), corporate CDOs (4.1%), and SF
CDOs (1.3%), from 1995 through 2004 vintage transactions.
OCWEN RESIDENTIAL: Moody's Downgrades Ratings of Twelve Tranches
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
tranches from 4 RMBS transactions. The collateral backing these
deals primarily consists of first-lien, fixed and adjustable rate
"scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
RATINGS RATIONALE
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: Ocwen Residential MBS Corporation Mortgage Pass-Through
Certificates, Series 1998-R3
-- A-1, Downgraded to B2 (sf); previously on Apr 8, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade
-- A-WAC, Downgraded to B3 (sf); previously on Apr 8, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
-- B-1, Downgraded to C (sf); previously on Apr 8, 2010 Ba3
(sf) Placed Under Review for Possible Downgrade
-- B-2, Downgraded to C (sf); previously on Apr 8, 2010 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Ocwen Residential MBS Corporation Series 1999-R1
-- B1-A, Downgraded to A1 (sf); previously on Jul 27, 2004
Upgraded to Aaa (sf)
-- B2-A, Downgraded to Caa3 (sf); previously on Jul 27, 2004
Confirmed at A2 (sf)
-- B3-A, Downgraded to Ca (sf); previously on Nov 18, 2010 Baa2
(sf) Placed Under Review for Possible Downgrade
-- B4-A, Downgraded to C (sf); previously on Apr 23, 2009
Downgraded to Ca (sf)
-- B3-F, Downgraded to Ca (sf); previously on Apr 23, 2009
Downgraded to Ba3 (sf)
-- B4-F, Downgraded to C (sf); previously on Apr 23, 2009
Downgraded to Ca (sf)
Issuer: Ocwen residential MBS Corporation, Series 1999-R2
-- AP, Downgraded to B2 (sf); previously on Apr 23, 2009
Downgraded to A1 (sf)
-- B1, Downgraded to C (sf); previously on Apr 23, 2009
Downgraded to Ba3 (sf)
PACIFIC BAY: S&P Keeps 'D' Ratings on 2 Classes of Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'AA (sf)' rating
on the class A-1 senior notes issued by Pacific Bay CDO Ltd. and
removed it from CreditWatch negative. "We also affirmed our
ratings on the class C and preference shares. Pacific Bay CDO Ltd.
is an arbitrage cash flow collateralized debt obligation of asset-
backed securities (CDO of ABS) transaction that is backed by
structured finance securities, primarily residential mortgage-
backed securities (RMBS)," S&P said.
"We placed our rating on the class A-1 notes on CreditWatch
negative on Jan. 18 2011, in connection with the implementation of
our revised counterparty criteria (see 'Ratings On 950 North
America Structured Finance Tranches On Watch Neg After
Counterparty Criteria Update,' published Jan. 18, 2011). The
affirmation and removal of the rating from CreditWatch takes into
account both the updated counterparty criteria and our criteria
for rating corporate CDO transactions (see 'Update To Global
Methodologies And Assumptions For Corporate Cash Flow And
Synthetic CDOs,' published Sept. 17, 2009)," S&P related.
"In our review, we generated a cash flow analysis to assess the
credit support available to the class A-1 notes without giving
benefit to the interest rate hedge agreement that the transaction
has entered into with a counterparty, stressing the CDO under
various interest rate scenarios in the absence of an interest rate
hedge. In our view, the cash flow analysis of the transaction
showed that there was no impact to the rating assigned to the
class A-1 notes under these stresses, leading to our decision to
affirm the current rating assigned to the class A-1 notes and
remove it from CreditWatch negative," S&P elaborated.
"The affirmations of our ratings on the remaining classes reflect
the availability of credit support of those notes at the current
rating levels," S&P continued.
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
our analysis shows that the assumed absence of the hedge agreement
would not affect the current ratings assigned to the notes, we
will affirm them and remove them from CreditWatch negative.
However, if there is an impact, we will review the counterparty-
related documents in the transaction for compliance with our
updated counterparty criteria and take rating actions as we deem
appropriate," added S&P.
Rating and CrediWatch Actions
Pacific Bay CDO Ltd.
Rating
Class To From
A-1 AA (sf) AA (sf)/Watch Neg
Ratings Affirmed
Pacific Bay CDO Ltd.
Class Rating
C CC (sf)
Pre Shares CC (sf)
Other Outstanding Ratings
Pacific Bay CDO Ltd.
Class Rating
A-2 D (sf)
B D (sf)
PEGASUS AVIATION: Fitch Takes Various Actions on Trusts
-------------------------------------------------------
Fitch Ratings has taken these rating actions on the three Pegasus
Aviation Lease Securitization Trusts:
Pegasus Aviation Lease Securitization (PALS I)
-- Class A-1 and A-2 notes downgraded to 'Csf/RR4' from
'CCsf/RR4';
-- Class B-1, C-1, and D-1 notes affirmed at 'Csf/RR6'.
Pegasus Aviation Lease Securitization II (PALS II)
-- Class A-1 notes downgraded to 'CCsf/RR4' from 'CCCsf/RR3';
-- Class A-2 notes downgraded to 'CCsf/RR4' from 'CCCsf/RR2';
-- Class B-1, C-1, and D-1 notes affirmed at 'Csf/RR6'.
Pegasus Aviation Lease Securitization III (PALS III)
-- Class A-1 and A-2 notes downgraded to 'CCsf/RR3' from
'CCCsf/RR3';
-- Class A-3 notes downgraded to 'CCsf/RR2' from 'CCCsf/RR2';
-- Class B-1, B-2, C-1, C-2, and D-1 notes affirmed at
'Csf/RR6'.
Additionally, Fitch withdraws its ratings for all classes within
the PALS I, PALS II and PALS III trusts.
The analysis of PALS is consistent with "Global Rating Criteria
for Aircraft Operating Lease ABS", dated April 25, 2011, with
these exceptions:
While the criteria states that Fitch will assume all aircraft have
a useful life of 25 years, this was adjusted to 30 years based on
the characteristics of the current leases in place.
All recessionary value decline assumptions except for tier 1 'Bsf'
were decreased by 5% from representative ranges in order to
reflect the currently depressed values of aviation equipment and
lease rates from the recent downturn.
The downgrades to the Class A-1 and A-2 notes in the PALS I trust
reflect Fitch's view that based on expected future performance and
cash flow available to the trust, default is inevitable.
The downgrades to the Class A-1 and A-2 notes in the PALS II trust
and the Class A-1, A-2 and A-3 in the PALS III trust reflect that
default is probable considering the current characteristics of
each transaction and Fitch's expectation of future cash flow.
The withdrawal of each Fitch rating assigned to the notes issued
by the PALS transactions reflects Fitch's view that the ratings
are no longer relevant to the agency's coverage, considering
Fitch's expectation that the default of each class of notes is
either probable or inevitable.
PNC MORTGAGE: Moody's Downgrades Two & Affirms 15 CMBS Classes
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed 15 classes of PNC Mortgage Acceptance Corp.
Commercial Mortgage Pass-Through Certificates, Series 2001-C1:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 30, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. X, Affirmed at Aaa (sf); previously on Mar 30, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Mar 30, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on May 19, 2005
Upgraded to Aaa (sf)
-- Cl. C-1, Affirmed at Aaa (sf); previously on Sep 25, 2008
Upgraded to Aaa (sf)
-- Cl. C-2, Affirmed at Aaa (sf); previously on Sep 25, 2008
Upgraded to Aaa (sf)
-- Cl. C-2X, Affirmed at Aaa (sf); previously on Sep 25, 2008
Upgraded to Aaa (sf)
-- Cl. D, Affirmed at Aa2 (sf); previously on Oct 23, 2006
Upgraded to Aa2 (sf)
-- Cl. E, Affirmed at A1 (sf); previously on Oct 23, 2006
Upgraded to A1 (sf)
-- Cl. F, Affirmed at A3 (sf); previously on Oct 23, 2006
Upgraded to A3 (sf)
-- Cl. G, Affirmed at Baa1 (sf); previously on Oct 23, 2006
Upgraded to Baa1 (sf)
-- Cl. H, Downgraded to B1 (sf); previously on Sep 16, 2010
Downgraded to Ba2 (sf)
-- Cl. J, Downgraded to Caa2 (sf); previously on Sep 16, 2010
Downgraded to B3 (sf)
-- Cl. K, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. L, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. M, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sep 16, 2010
Downgraded to C (sf)
Ratings Rationale
The downgrade is due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans and interest shortfalls.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
17.0% compared to 3.4% at last review. As measured on a percentage
basis, the current cumulative base expected loss is significantly
higher than at last review due to the decline in the deal's
balance. The current cumulative base loss is $27.3 million
compared to $21.2 million at last review. Moody's stressed
scenario loss is $33.0 million (representing 20.5% 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.
The primary methodology used in rating PNC 2001-C1 was "CMBS:
Moody's Approach to Rating U.S. Conduit Transactions" published in
September 2000. Moody's also considered "CMBS: Moody's Approach to
Rating Large Loan/Single Borrower Transactions" published in July
2000. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found
on Moody's website.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 12 compared to 34 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 (CMBS) 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 16, 2010. Please see
the ratings tab on the issuer / entity page on moodys.com for the
last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Deal Performance
As of the May 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 82% to
$160.77 million from $881.60 million at securitization. The
Certificates are collateralized by 23 mortgage loans ranging
in size from less than 1% to 16% of the pool, with the top ten
loans representing 76% of the pool. One loan, representing 2.8%
of the pool, has defeased and is collateralized with U.S.
Government securities, compared to 28% at last review. The pool
has significant near-term refinance risk as loans representing
80% of the pool have either matured or will mature within the
next six months.
Two loans, representing 5% 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 (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Eight loans have been liquidated from the pool since
securitization, resulting in an aggregate $20.0 million loss (59%
loss severity on average). At last review the pool had experienced
an aggregate realized loss of $16.7 million. Currently 15 loans,
representing 81% of the pool, are in special servicing. The master
servicer has recognized an aggregate $8.1 million appraisal
reduction for the specially serviced loans. Moody's has estimated
an aggregate loss of $25.3 million (34% expected loss on average)
for ten 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 a
$240,000 loss (15% expected loss based on a 50% probability
default) from this troubled loan.
Based on the most recent remittance statement, Classes J
through O have experienced cumulative interest shortfalls
totaling $2.47 million. Moody's anticipates that the pool
will continue to experience interest shortfalls because of
the high exposure to specially serviced loans. Interest
shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal subordinate
entitlement reductions (ASERs and extraordinary trust
expenses.
Moody's was provided with full year 2009 and partial year 2010
operating results for 92% and 88% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 87% compared to 84% at last full
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 1.11X and 1.26X, respectively, compared to
1.22X and 1.36X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing loans represent 9% of the pool balance
and are stable compared to last review. The three largest loans in
the pool are all specially serviced and represent 38% of the
current pool balance. The largest loan is the River Center Loan
($25.4 million -- 15.8% of the pool), which is secured by a
470,000 square foot office/industrial property located in
Milwaukee, Wisconsin. The property was 89% leased as of March
2011, the same as at last review. The loan transferred into
special servicing in March 2011 due to imminent maturity default.
The loan matured in April 2011. Property performance remains
stable. Moody's is not estimating a loss for this loan at this
time. Moody's LTV and stressed DSCR are 89% and 1.22X,
respectively, compared to 88% and 1.23X at last full review.
The second largest loan is the Deer Grove Shopping Center Loan
($18.3 million -- 11.4% of the pool), which is secured by a
214,000 square foot retail center located approximately 30 miles
northwest of Chicago in Palatine, Illinois. The property was 80%
leased as of December 2010 compared to 73% at last review. The
loan transferred into special servicing in January 2011 due to
maturity default. The borrower has requested a maturity extension
to lease up the property before selling. Moody's has assumed a
loss for this loan.
The third largest loan is the Overland Crossing Shopping Center
Loan ($16.9 million -- 10.5% of the pool), which is secured by a
172,000 square foot retail center located in Overland Park,
Kansas. As of February 2011, the property was 100% leased, the
same as at last review. Moody's is not estimating a loss for this
loan at this time. Moody's LTV and stressed DSCR are 99% and
1.04X, respectively, compared to 88% and 1.16X at last review.
PPLUS TRUST: Moody's Downgrades Ratings of Certificates
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
certificates issued by PPLUS Trust Series RRD-1:
-- $60,000,000 PPLUS 6.30% Class A Trust Certificates;
Downgraded to Ba1; Previously on May 10, 2011 Baa3, Placed
on Review for Downgrade
-- $60,000,000 Notional Principal PPLUS 0.325% Class B Trust
Certificates; Downgraded to Ba1; Previously on May 10, 2011
Baa3, Placed on Review for Downgrade
Ratings Rationale
The transaction is a structured note whose ratings are based on
the rating of the Underlying Securities and the legal structure of
the transaction. The rating actions are a result of the change of
the rating of 6.625% Senior Debentures due April 15, 2029 issued
by R.R. Donnelley & Sons Company which were downgraded by Moody's
on May 16, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
PPLUS TRUST: S&P Lowers Ratings on 2 Classes of Certs. to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on PPlus
Trust Series RRD-1's $60 million class A and B trust certificates
to 'BB+' from 'BBB-' and removed them from CreditWatch, where they
were placed with negative implications on May 10, 2011.
"Our ratings on the class A and B trust certificates are dependent
on our rating on the underlying security, R.R. Donnelley & Sons
Co.'s 6.625% debentures due April 15, 2029 ('BB+')," S&P stated.
According to S&P, "The rating actions follow our May 16, 2011,
lowering of our rating on the underlying security to 'BB+'
from 'BBB-' and its removal from CreditWatch with negative
implications. We may take subsequent rating actions on the
class A and the B trust certificates due to changes in our
rating assigned to the underlying security."
PPT ABS: Moody's Downgrades $45 Million of Scratch and Dent RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 1 tranche
from 1 RMBS transaction. The collateral backing the deal primarily
consists of first-lien, fixed and adjustable rate "scratch and
dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: PPT ABS LLC Asset-Backed Certificates, Series 2004-1
-- Cl. A, Downgraded to Ba1 (sf); previously on Apr 24, 2009
Downgraded to A2 (sf)
RESIDENTIAL REINSURANCE: S&P Cuts Rating on Class 2009-1 to 'B+'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the Class
2009-1 notes issued by Residential Reinsurance 2009 Ltd. to
'B+(sf)' from 'BB-(sf)'.
This rating action is related to the changes in AIR Worldwide
Corp.'s model since the notes were issued and the current annual
reset. At issuance, the risk modeling was based on AIR's model
CLASIC/2 Version 10.5. The model was escrowed for the length of
the transaction and is being used for the annual reset. Over the
intervening period, AIR has made certain changes to its model.
Using the latest scientific and engineering research, AIR has
updated the hazard and vulnerability modules of its hurricane
model (hurricane is the largest contributor to the probability of
a covered event), which in its opinion results in more robust
analysis. "When we compared the attachment point of the notes to
the probability of attachment as indicated by the most recent
AIR model, CLASIC/2 Version 12.5, and applied the stress test, the
adjusted probability of attachment resulted in a rating of
'B+(sf)' rather than 'BB-(sf)'," S&P stated.
As stated, the rating action is related to the probability of
attachment based on the results of as indicated from the updated
AIR model. The notes were reset pursuant to their terms as set
forth in the transaction documents. "Our criteria say that if a
modeling company issues an updated model and we believe there are
significant changes in our perception of the risk for such peril,
we may change the rating on any outstanding bonds, even if there
is no model-based reset in the terms of any of the bonds concerned
(see 'Methodology And Assumptions For Rating Natural Catastrophe
Bonds,' May 12, 2009). Although the changes between Versions 10.5
and 12.5 were not as significant as other model updates have been,
the changes were significant enough to cause a one-notch downgrade
to these notes," S&P related.
Ratings List
To From
Residential Reinsurance 2009 Ltd.
Class 2009-1 Notes B+(sf) BB-(sf)
RESIDENTIAL REINSURANCE: S&P Ups Rating on Class 5 Notes to 'B+'
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Standard & Poor's Ratings Services raised its preliminary rating
on the Class 5 notes to be issued by Residential Reinsurance 2011
Ltd. (Res Re 2011) to 'B+(sf)' from 'B(sf)'.
"When assigning a rating to natural peril catastrophe bonds, we
adjust the probability of the notes attaching based on the
strengths and weaknesses of the transaction. When we made this
adjustment for the Class 5 notes, it did not take into account the
full benefit of the reinsurance maintained by USAA. Our
reassessment of the transaction, which took into account the
effect of the reinsurance, prompted the one-notch upgrade to
'B+(sf)'," S&P explained.
Ratings List
Preliminary Rating Raised
To From
Residential Reinsurance 2011 Ltd.
Series 2011-I Class 5 B+(sf) B(sf)
RFC CDO: S&P Lowers Ratings on 2 Classes of Notes to 'CC'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered the ratings on the
class E and F notes from RFC CDO II Ltd., an arbitrage cash flow
CDO of ABS transaction collateralized by structured
finance securities, primarily residential mortgage-backed
securities (RMBS). "At the same time, we placed the ratings on the
class B-1, B-2, C, and D notes on CreditWatch negative. Our 'AA
(sf)' rating on the class A-1 notes remains on CreditWatch
negative," S&P stated.
"We placed our rating on the class A-1 notes on CreditWatch
negative on Jan. 18 2011, in connection with the implementation of
our revised counterparty criteria (see 'Ratings On 950 North
America Structured Finance Tranches On Watch Neg After
Counterparty Criteria Update,' published Jan. 18, 2011)," S&P
related.
"In our review, we generated a cash flow analysis to assess the
credit support available to the class A-1 notes without giving
benefit to the interest rate hedge agreement that the transaction
has entered into with a counterparty, stressing the CDO under
various interest rate scenarios in the absence of an interest rate
hedge. In our view, the cash flow analysis of the transaction
showed that there was no impact to the rating assigned to the
class A-1 notes under these stresses," S&P continued.
"However, our ratings on more than 13% of the underlying
collateral are currently on CreditWatch negative. As a result, the
rating on the class A-1 remains on CreditWatch with negative
implications. In addition, we placed our ratings on the class A-
2, B-1, B-2, C, and D notes on CreditWatch negative implications,"
S&P said.
"We lowered ratings on the class E and F due to an increase in
defaults that affected the amount of credit subordination
available to the notes. The March 2011 trustee reported $43
million in defaults, up from $28 million in March 2010 that was
used for the May 2010 rating actions," S&P noted.
"We will continue to review the transaction and resolve the
CreditWatch placements after we resolve the CreditWatch placements
affecting the underlying collateral," S&P added.
Rating and CreditWatch Actions
RFC CDO II Ltd.
Rating
Class To From
A-2 BBB+ (sf)/Watch Neg BBB+
B-1 B+ (sf)/Watch Neg B+
B-2 B+ (sf)/Watch Neg B+
C CCC (sf)/Watch Neg CCC
D CCC- (sf)/Watch Neg CCC-
E CC CCC-
F CC CCC-
Rating Remaining on CreditWatch Negative
RFC CDO II Ltd.
Class Rating
A-1 AA (sf)/Watch Neg
ROSEDALE CLO: S&P Raises Rating on Class E Notes to 'B+'
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Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E notes from Rosedale CLO II Ltd., a collateralized
loan obligation (CLO) transaction managed by JMP Credit Advisors
LLC. "At the same time, we affirmed our ratings on the class A
and X notes, and we removed our ratings on the class B, C, and D
notes from CreditWatch, where we placed them with positive
implications on March 1, 2011," S&P said.
"The upgrades reflect improved performance we have observed in
the deal's underlying asset portfolio from the time of our last
rating action when we lowered our ratings on most of the notes
on Dec. 29, 2009, following the application of our September 2009
corporate collateralized debt obligation (CDO) criteria. Based on
the March 31, 2011, trustee report, which we used for this review,
the transaction held $3.90 million in defaulted assets. This was
a decrease from the $15.08 million that it held in defaults
according to the Oct. 31, 2009, trustee report, which we based the
December 2009 rating action on," related S&P.
Standard & Poor's has also observed an increase in the
overcollateralization available to support the rated notes. The
trustee reported these principal coverage ratios in the March 31,
2011, monthly report:
* The class A/B principal coverage ratio test was 120.50%,
compared with a reported ratio of 113.86% in October 2009;
* The class C principal coverage ratio test was 113.40%,
compared with a reported ratio of 107.19% in October 2009;
* The class D principal coverage ratio test was 107.73%,
compared with a reported ratio of 101.79% in October 2009;
and
* The class E principal coverage ratio test was 102.93%,
compared with a reported ratio of 97.17% in October 2009.
"The affirmations of the ratings on the class A and X notes
reflect our opinion of the sufficient credit support available at
the current rating levels," S&P noted.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rating and CreditWatch Actions
Rosedale CLO II Ltd
Rating
Class To From
B AA- (sf) A+ (sf)/Watch Pos
C A- (sf) BBB+ (sf)/Watch Pos
D BBB- (sf) BB+ (sf)/Watch Pos
E B+ (sf) CCC- (sf)
Ratings Affirmed
Rosedale CLO II Ltd
Class Rating
A AA+ (sf)
X AAA (sf)
SACO I INC: Moody's Withdraws Ratings of $1.8 Million RMBS
----------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of three
tranches from SACO I Inc. Series 2000-3/ Group 2 Mortgage Loans.
These tranches are backed by pools of mortgage loans with a pool
factor less than 5% and containing fewer than 40 loans.
Issuer: SACO I Inc. Series 2000-3
-- Cl. 2-B-1, Withdrawn ; previously on Sep 1, 2000 Assigned
Aa2
-- Cl. 2-B-2, Withdrawn ; previously on Apr 8, 2010 Baa1 Placed
Under Review for Possible Downgrade
-- Cl. 2-B-3, Withdrawn ; previously on Apr 8, 2010 B3 Placed
Under Review for Possible Downgrade
Ratings Rationale
Moody's current RMBS surveillance methodologies apply to pools
with at least 40 loans and a pool factor of greater than 5%. As a
result, Moody's may withdraw its rating when the pool factor drops
below 5% and the number of loans in the pool declines to 40 loans
or lower unless specific structural features allow for a
monitoring of the transaction (such as a credit enhancement
floor).
Moody's Investors Service has withdrawn the credit rating pursuant
to published credit rating methodologies that allow for the
withdrawal of the credit rating if the size of the pool
outstanding at the time of the withdrawal has fallen below a
specified level.
Moody's adopts all necessary measures so that the information it
uses in assigning a credit rating is of sufficient quality and
from sources Moody's considers to be reliable including, when
appropriate, independent third-party sources. However, Moody's is
not an auditor and cannot in every instance independently verify
or validate information received in the rating process.
The date on which some Credit Ratings were first released goes
back to a time before Moody's Investors Service's Credit Ratings
were fully digitized and accurate data may not be available.
Consequently, Moody's Investors Service provides a date that it
believes is the most reliable and accurate based on the
information that is available to it. Please see the ratings
disclosure page on Moody's website www.moodys.com for further
information.
SAGE COLLEGES: Moody's Affirms B2 Rating; Outlook Remains Negative
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Moody's Investors Service has affirmed Sage Colleges' B2 long-term
debt rating on the Series 1999 fixed rate bonds and the B2
underlying rating on the Series 2002 variable rate demand bonds,
issued through the City of Albany I.D.A. and Rensselaer County
I.D.A., respectively. The outlook remains negative.
Summary Rating Rationale
The B2 rating and negative outlook for Sage Colleges is based on a
challenged market position, a trend of operating deficits and
insufficient debt service coverage, and extremely thin liquidity
to support operations and demand debt. The rating also considers
the recently positive momentum in gift revenue, significant signs
of market improvement and near term expectations for achieving
balanced operations.
Challenges
* Frail balance sheet with heavy reliance on lines of credit
for seasonal cash flow.
* Three consecutive years of considerable operating deficits
and slowed growth of net tuition per student. Balanced
operating results are expected for FY2011.
* Significant bank concentration with letter of credit and line
of credit provided by M&T Bank (A2/P1 on watch for
downgrade). Further the Colleges' endowment assets are held
at M&T and certain unrestricted investments collateralize
amounts drawn on the line of credit. Downgrade of the bank
could result in tendered bonds and requirement to repay the
debt at an accelerated pace.
Strengths
* Notable improvement in the market position of the college
with 14% growth in full-time equivalent enrollment over the
prior two years and management expectations for continued
growth in the fall of 2011. Management has demonstrated the
ability to achieve healthy growth of net tuition revenue
through enrollment growth and control of discounting.
* Improved donor support with $5.1 million of support in the 14
months ending June 30, 2010; up from the prior three -year
annual average of $3.5 million. Management expects continued
strength in donor support in the next few years during the
current comprehensive campaign.
Detailed Credit Discussion
Legal Security: general obligations of the college with a debt
service reserve fund for Series 1999 bonds
Debt Structure: The Series 2002 Bonds are variable rate demand
obligations supported by a letter of credit with M&T Bank (A2/P-1
on watch for downgrade) with a stated expiration in June of 2012.
The LOC Covenants include total investments to long-term debt
ratio of 1.1 times (at 1.25 times in FY2010) and a debt service
coverage ratio of 1.0 times (at 1.5 times in FY2010). The College
expects to be in full compliance with both covenants at the close
of the 2011 fiscal year If the Bonds are not remarketed, the Bank
has the option to demand repayment of the Bonds in full which
could result in more rapid deterioration of Sage's credit profile.
The Series 1999 Bonds are fixed rate. College also has a
$2.7 million variable rate term loan with First Niagara secured
by a property pledge.
Debt-Related Derivatives: Sage Colleges is party to a floating
to fixed rate swap with a notional amount of $6.5 million that
hedges the interest rates on its Series 2002 bonds. The
counterparty for the swap is M&T Bank (rated A2/P-1 on watch
for possible downgrade). Under the swap, Sage pays 3.65% and
receives BMA. There are no collateral posting requirements for
the swap and the outstanding mark-to-market value as of April 30,
2010, is negative $250,498.against the College.
Recent Developments
Market: The College has demonstrated consistent annual improvement
in their market position since an overhaul of senior leadership
beginning in the fall of 2008. New leadership has manifested in
swift strategic change over the past few years including large
reorganization of departmental management and academic focus,
enrollment and retention strategy as well as added staff in
essential departments such as marketing. As a result enrollment
has increased at a healthy pace, particularly at the graduate
level. Undergraduate enrollment of 1,480 full-time equivalents in
the fall of 2010 is up from a low of 1,388 in the fall of 2008.
Graduate enrollment, at 939 FTE students in the fall of 2010, is
up almost 28% from 736 in just two years. Notably, undergraduate
applications have almost doubled over this period with selectivity
and yield remaining relatively stable at approximately 68% and
32%, respectively. The College enrolled an entering class of 252
in the fall of 2010. In addition, the college enrolled almost 200
transfer students with selectivity of transfers at 63% and healthy
matriculation of accepted students at 56%. Management projects
moderate continued growth in the entering class for the upcoming
fall of 2011.
The College has the physical capacity to grow its enrollment
before extensive investment in plant is necessary. Management
expects this advantage could result in more swift revenue growth
with limited capital investment required if enrollment trends
remain positive.
Although Moody's believes that the new management team is working
quickly to re-energize the college with significant changes to the
strategic plan and has achieved notable growth of enrollment, the
College continues to operate in a highly competitive student
environment and, with two distinct campuses, has a challenging
student market position with each campus targeting different types
of students.
Operations: The College is not increasing its tuition sticker
price for the second year in a row for the entering 2011
undergraduate class. Management has made the strategic decision
to focus on enrollment growth and control of financial aid
discounting and strategic graduate pricing to grow net tuition
revenues and achieve operational balance. Following the steep
decline of net tuition revenues in the 2008 fiscal year (under
previous leadership), the College has made notable progress in
recovery of this revenue line item. In the fall of 2010, the
college reported $30.2 million in net tuition revenue (per the
audit); up from $25.7 million two years prior. Management projects
net tuition revenue growth of approximately 10% for the current
2011 fiscal year. Continued growth in tuition and fee revenue will
be critical to achieving operational balance going forward given
the College's reliance on student charges for about 80% of
operating revenues.
While notable progress has been made in revenue growth, the
College continues to struggle to contain expenses during a
time of essential strategic changes in faculty, curriculum and
capital. For the third year in a row, Sage ended the 2010 year
(14 months ending June 30, 2010) with a negative operating margin,
at -5.4%. Debt service coverage was again insufficient at 0.6
times coverage. Last year management projected that they would be
able to reach break-even operations by FY2011 and continues to
project a balanced fiscal year from a cash flow perspective. The
affirmation of the current rating gives significant weight to
management's expectation of positive operational cash flows in
FY2011 with sufficient coverage of debt service.
With no internal operating liquidity at the close of FY 2010, the
College continues to rely on a $6 million operating line of credit
from M&T Bank to get the College through periods of low cash flow
during the year. Management projects that they will continue to
utilize this line in the coming years with expectations to draw
down approximately $4 million during the 2012 fiscal year. Very
thin internal operating liquidity and continued reliance on lines
of credit is reflected in the continued negative outlook for the
College.
Balance Sheet: The College maintains a thin base of cash of
investments, with a large portion legally restricted. As of
March 31, 2011 the College had $21.3 million of total investments,
of which $17.2 million is donor restricted endowment. Of the
remaining $4.2 million of investments, $3.3 million is securing a
portion of the College's $6 million operating line of credit with
the other $2.7 million of the line being secured by a property
pledge. This leaves a very modest $0.9 million of unrestricted
funds available to bondholders.
At the close of 2010, expendable financial resources were
negative. Liquidity is extremely thin with less than $1 million of
legally available liquidity to cover demand debt of $6.5 million
(excluding amounts held as collateral at M&T).
The College has been able to garner the necessary donor support
to avoid financial turmoil. During the last months of 2010 and
into 2011, the college was able to reclassify approximately
$1.8 million of restricted assets to unrestricted with donor
agreements in order to maintain required collateral under the
operating lines of credit. In addition, the college received
over $3 million in support of endowment after $3 million of quasi-
endowment assets were used to repay an operating line in order to
maintain the needed amount of operating liquidity. The College
received a total of $5.1 million in gifts for the 14 months ending
FY2010 with expectations for continued health of gift revenues
reported in FY2011. Currently the College is in the midst of a
small capital campaign to support endowment growth with a $5
million lead gift secured.
Outlook
The negative outlook reflects Moody's expectation that the College
will continue to be challenged to reach balanced operations and
will continue to face severe liquidity stress over the medium
term. The outlook also reflects Moody's concern around the
potential downgrade of M&T Bank and the resulting impact on the
ability to remarket the Sage variable rate bonds and lack of a
clear term out period in the M&T letter of credit reimbursement
agreement.
What could change the rating -- Up
Sustained balanced operations in the near term; significant
improvement in liquidity position and non-reliance on external
liquidity for operations; extraordinary donor support
What could change the rating -- Down
Continued operating deficits and deterioration of unrestricted
assets; inability to access needed liquidity; downgrade of M&T
Bank and resulting acceleration of debt repayment by Sage
Key Indicators (FY 2010 financial data ending June 30 and fall
2010 enrollment data)
Total Full-Time Equivalent Students (FTE): 2,419 students
Freshman Acceptance Rate: 68.1%
Freshman Matriculation Rate: 32.3%
Total pro-forma Direct Debt: $18.5 million long-term with an
additional $6 million line of credit
Expendable Resources to Pro-Forma Direct Debt: 0.0 times
Expendable Resources to Operations: 0.0 times
Monthly Liquidity to Demand Debt: 0.13 times
Three-year Average Operating Margin: -6.1%
Operating Cash Flow Margin: 2.5%
Reliance on Student Charges: 80%
RATED DEBT
Series 1999 bonds: B2 rating
Series 2002 bonds: B2 underlying; A2/VMIG1 based on two-party pay
rating methodology (on watch for possible downgrade)
CONTACTS
College: Peter Hughes, Vice President of Finance and Treasurer,
518-244-2095
METHODOLOGY
The principal methodology used in this rating was Moody's Rating
Approach for Private Colleges and Universities published in
September 2002.
SALOMON BROTHERS: Moody's Affirms 16 CMBS Classes of SBM7 2001-C2
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Moody's Investors Service affirmed the ratings of 16 classes of
Salomon Brothers Commercial Mortgage Trust 2001-C2 Commercial
Mortgage Pass-Through Certificates, Series 2001-C2:
-- Cl. A-3, Affirmed at Aaa (sf); previously on Dec 27, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. X-1, Affirmed at Aaa (sf); previously on Dec 27, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aaa (sf); previously on Apr 6, 2006
Upgraded to Aaa (sf)
-- Cl. BR, Affirmed at Aaa (sf); previously on Apr 6, 2006
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 Aug 9, 2007
Upgraded to Aaa (sf)
-- Cl. E, Affirmed at Aa1 (sf); previously on Sep 25, 2008
Upgraded to Aa1 (sf)
-- Cl. F, Affirmed at Aa3 (sf); previously on Aug 9, 2007
Upgraded to Aa3 (sf)
-- Cl. G, Affirmed at A3 (sf); previously on Aug 9, 2007
Upgraded to A3 (sf)
-- Cl. H, Affirmed at Ba1 (sf); previously on Sep 9, 2010
Downgraded to Ba1 (sf)
-- Cl. J, Affirmed at B3 (sf); previously on Sep 9, 2010
Downgraded to B3 (sf)
-- Cl. K, Affirmed at Ca (sf); previously on Sep 9, 2010
Downgraded to Ca (sf)
-- Cl. L, Affirmed at Ca (sf); previously on Sep 9, 2010
Downgraded to Ca (sf)
-- Cl. M, Affirmed at C (sf); previously on Sep 9, 2010
Downgraded to C (sf)
-- Cl. N, Affirmed at C (sf); previously on Sep 9, 2010
Downgraded to C (sf)
-- Cl. P, Affirmed at C (sf); previously on Sep 9, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
8.3% of the current balance. At last full review, Moody's
cumulative base expected loss was 6.6%. Moody's stressed scenario
loss is 9.9% of the current balance. Depending on the timing of
loan payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the current 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.
The primary methodology used in rating SBM7 2001-C2 was "CMBS:
Moody's Approach to Rating U.S. Conduit Transactions" published in
September 2000. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found
on Moody's website.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 36 compared to 45 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 (CMBS) 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 9, 2010.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or
financial instruments related to the monitoring of this
transaction in the past 6 months.
Deal Performance
As of the May 13, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 47% to $464.91
million from $877.62 million at securitization. The Certificates
are collateralized by 80 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten non-defeased loans
representing 44% of the pool. Fourteen loans, representing 39% of
the pool, have defeased and are collateralized with U.S.
Government securities, compared to 41% at last review. The pool
faces significant near-term refinancing risk as loans representing
59% of the pool have matured or will mature within the next 12
months.
Twenty-nine loans, representing 25% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Seven loans have been liquidated from the pool since
securitization, resulting in an aggregate $17.3 million loss (54%
loss severity on average). Currently 12 loans, representing 17% of
the pool, are in special servicing. The largest specially serviced
loan is The Cannery Loan ($17.2 million -- 3.7% of the pool),
which is secured by two adjacent three-story buildings located in
the Fisherman's Wharf district of San Francisco, California. The
buildings contain a mix of retail, restaurant and office space.
The loan was transferred to special servicing in April 2010 due to
imminent payment default. The property was 33% leased as of April
2011 compared to 23% as of last review. The remaining eleven
specially serviced loans are secured by a mix of property types.
The master servicer has recognized an aggregate $26.2 million
appraisal reduction for the specially serviced loans. Moody's has
estimated an aggregate loss of $32.1 million (45% expected loss on
average) for the specially serviced loans.
Moody's has assumed a high default probability for eight poorly
performing loans representing 5% of the pool and has estimated a
$3.2 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010
operating results for 92% and 63% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 74% compared to 77% 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
10.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.43X and 1.41X, respectively, compared to
1.59X and 1.52X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 7% of the pool
balance. The largest loan is the Cumberland Crossing Loan ($14.1
million -- 3.0% of the pool), which is secured by a 241,000 square
foot retail center located in Millville, New Jersey. The center is
anchored by Wal-Mart and was 82% leased as of January 2011
compared to 86% at last review. Property performance has declined
since last review due to the decline in occupancy. Moody's LTV and
stressed DSCR are 94% and 1.15X, respectively, compared to 84% and
1.28X at last full review.
The second largest loan is the Marketplace at Palmdale Loan ($9.2
million -- 2.0% of the pool), which is secured by a power center
located in Palmdale, California. As of December 2010, the property
was 96% leased compared to 94% at last review. Property
performance has improved and the loan has benefitted from 10%
amortization since last review. Moody's LTV and stressed DSCR are
38% and 2.86X, respectively, compared to 60% and 1.81X at last
full review.
The third largest loan is the Muir Station Shopping Center Loan
($9.2 million -- 2.0% of the pool), which is secured by a shopping
center located in Martinez, California. As of June 2010, the
property was 93% leased compared to 98% at last review. Property
performance has been stable. Moody's LTV and stressed DSCR are 69%
and 1.56X, respectively, compared to 74% and 1.46X at last review.
SALOMON BROTHERS: Moody's Downgrades Rating of One Tranche
----------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
and confirmed the rating of one tranche from Salomon Brothers
Mortgage Trust 2001-2. The collateral backing these deals
primarily consists of first-lien, fixed and adjustable rate
"scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 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: Salomon Brothers Mortgage Trust 2001-2
-- Cl. M-3, Confirmed at Baa2 (sf); previously on Nov 18, 2010
Baa2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-4, Downgraded to Ca (sf); previously on Nov 18, 2010
B3 (sf) Placed Under Review for Possible Downgrade
SALOMON BROTHERS: Moody's Upgrades 11 & Affirms Four CMBS
---------------------------------------------------------
Moody's Investors Service (Moody's) upgraded the ratings of 11
classes and affirmed four classes of Salomon Brothers Commercial
Mortgage Trust 2001-MM, Commercial Mortgage Pass-Through
Certificates, Series 2001-MM:
-- Cl. X, Affirmed at Aaa (sf); previously on Jul 31, 2001
Definitive Rating Assigned Aaa (sf)
-- Cl. C, Affirmed at Aaa (sf); previously on Aug 12, 2010
Upgraded to Aaa (sf)
-- Cl. D, Upgraded to Aaa (sf); previously on Aug 12, 2010
Upgraded to Aa2 (sf)
-- Cl. E-3, Affirmed at Aaa (sf); previously on Aug 12, 2010
Upgraded to Aaa (sf)
-- Cl. E-4, Affirmed at Aaa (sf); previously on Aug 12, 2010
Upgraded to Aaa (sf)
-- Cl. E-5, Upgraded to A3 (sf); previously on Apr 20, 2005
Upgraded to Baa1 (sf)
-- Cl. E-8, Upgraded to Aa2 (sf); previously on Aug 12, 2010
Upgraded to A2 (sf)
-- Cl. F-3, Upgraded to Aaa (sf); previously on Aug 12, 2010
Upgraded to Aa2 (sf)
-- Cl. F-4, Upgraded to Aa2 (sf); previously on Aug 12, 2010
Upgraded to Aa3 (sf)
-- Cl. F-5, Upgraded to Baa3 (sf); previously on Apr 20, 2005
Upgraded to Ba1 (sf)
-- Cl. F-8, Upgraded to Baa3 (sf); previously on Nov 14, 2006
Upgraded to Ba1 (sf)
-- Cl. G-3, Upgraded to Aa3 (sf); previously on Aug 12, 2010
Upgraded to A2 (sf)
-- Cl. G-4, Upgraded to Aa3 (sf); previously on Aug 12, 2010
Upgraded to A2 (sf)
-- Cl. G-5, Upgraded to Ba1 (sf); previously on Aug 12, 2010
Upgraded to Ba3 (sf)
-- Cl. G-8, Upgraded to Ba3 (sf); previously on Jun 26, 2008
Upgraded to B1 (sf)
Ratings Rationale
The upgrades are due to overall improved pool performance and a
significant increase in subordination levels. The pool has paid
down $67 million or 37% since Moody's last review. The
affirmations are due to key parameters, including Moody's loan to
value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), 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
$2.6 million or 2.2% of the current balance. At last review,
Moody's cumulative base expected loss was $3.7 million or 2.0% of
the outstanding balance at last review. The actual dollar figure
of expected losses decreased since last review but since the
overall pool balance declined due to pay downs and amortization,
the overall base expected loss increased slightly on a percentage
basis. Moody's stressed scenario loss is 5.4% of the current
balance compared to 10% at last review. 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.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Moody's also considered another methodology "CMBS: Moody's
Approach to Rating Large Loan/Single Borrower Transactions"
published in July 2000 due to the low herf score.
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
(Herf), 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 5 compared to 9 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 (CMBS) 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 4, 2010. Please see the
ratings tab on the issuer / entity page on moodys.com for the last
rating action and the ratings history.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the ratings.
Deal Performance
As of the May 18, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to
$116.1 million from $674.4 million at securitization. The
Certificates are collateralized by six mortgage loans ranging
in size from 10% to 20% of the pool with the top three loans
representing 57% of the pool. No loans have defeased and no
loans have credit estimates.
Two loans, representing 37% 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 (CREFC) 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.
No loans have been liquidated from the pool since securitization
and there are no loans currently in special servicing.
Additionally, there are no interest shortfalls for the pool at
this time.
Moody's was provided with full year 2009 operating results for
100% of the pool's loans. Moody's weighted average LTV is 53%
versus 62% at last full review. Moody's net cash flow reflects a
weighted average haircut of 16.9% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 10.0%.
Moody's actual and stressed DSCRs are 2.54X and 2.15X,
respectively, compared to 1.47X and 2.03X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
This transaction has several unique features in terms of
certificate structure, loan grouping, payment priority and loss
allocation. The trust presently consists of three remaining senior
certificates (Classes X, C and D) and 12 remaining junior
certificates. The junior certificates are divided into seven
series corresponding to specific loan groups. Each loan group
supports three certificates (E, F and G). The aggregate principal
balance of each loan group is divided into a senior portion and a
junior portion. The senior portion of each series supports the
pooled classes. After the principal balance of the related senior
portion has been reduced to zero, principal payments are then
applied to the junior certificates on a senior/sequential basis
within each respective loan group. Based on the payment priority
and the certificate structure of this transaction, it is possible
that a junior certificate holder may receive principal payments
before the principal balance of a higher-rated certificate from a
different loan group is reduced to zero. At securitization there
were eight loan groups but four groups, corresponding to Classes
E-1, F-1, G-1; E-2, F-2, G-2; E-6, F-6, G-6 and E-7, F-7 and G-7,
have been repaid in full.
The four loans in Loan Group A have paid off in full.
The three loans in Loan Group B have paid off in full.
Loan Group C consists of two loans totaling $28.1 million and is
the collateral for Classes E-3, F-3 and G-3. Loan Group C's
certificate balance has declined by approximately 67% since
securitization due to amortization and the payoff of two loans.
The largest loan in Loan Group C is the Trails Village Center Loan
($14.5 million -- 12.5% of the pool), which is secured by 174,644
square foot (SF) retail center located in Las Vegas, Nevada. The
loan fully amortizes and matures in July 2023. Overall, the two
loans in this group have amortized 23% since securitization.
Moody's LTV for Loan Group C is 42% compared to 46% at last
review. Moody's affirmed the rating of E-3 and upgraded the
ratings of F-3 and G-3 due to improved performance.
Loan Group D consists of two loans totaling $32.9 million and is
the collateral for Classes E-4, F-4 and G-4. Loan Group D's
certificate balance has declined by approximately 59% since
securitization due to amortization and the payoff of two loans.
The largest loan in Loan Group D is the Richmond Square Loan
($21.6 million -- 18.6% of the pool), which is secured by a 360-
unit luxury high rise apartment building located in Arlington,
Virginia. Moody's LTV for Loan Group D is 42% compared to 46% at
last review. Moody's affirmed the rating of E-4 and upgraded the
ratings F-4 and G-4 due to improved performance.
Loan Group E consists of one $27.9 million loan and is the
collateral for Classes E-5, F-5 and G-5. Loan Group E's
certificate balance has declined by approximately 67% since
securitization due to loan payoffs and amortization. The remaining
loan in Group E is the Glenpointe Center East Loan ($27.9 million
-- 24.0% of the pool), which is secured by a 319,000 SF office
building located in Teaneck, New Jersey. The loan amortizes on a
25-year schedule and matures in November 2012. Moody's LTV for
Loan Group E is 62% compared to 70% at last review. Moody's
upgraded the ratings of E-5, F-5 and G-5 due to improved
performance.
The four loans in Loan Group F have paid off in full.
The four loans in Loan Group G have paid off in full.
Loan Group H consists of one $27.2 million loan and is the
collateral for Classes E-8, F-8 and G-8. Loan Group H's
certificate balance has declined by approximately 68% since
securitization due to amortization and the payoff of three loans.
The remaining loan in Loan Group H is the Stamford Square Loan
($27.2 million -- 23.4% of the pool), which is secured by a
275,000 SF Class A office building located in Stamford,
Connecticut. The property was 90% leased as of December 2009
compared to 100% at last review and securitization. The loan
amortizes on a 25-year schedule and matures in June 2020. Moody's
LTV for Loan Group H is 67% compared to 69% at last review.
Moody's upgraded the ratings of classes E-8, F-8 and G-8 due to
improved performance.
SANTADER DRIVE: S&P Keeps 'BB' Rating on Class E Notes
------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Santander Drive Auto Receivables Trust 2011-S2's $545.52 million
automobile receivables-backed notes series 2011-S2.
Santander Drive Auto Receivables Trust 2011-S2's note issuance
consists of an underlying certificate representing the equity
interest in Santander Drive Auto Receivables Trust 2010-A (SDART
2010-A, the underlying issuing entity) and the funds on deposit in
the Santander Drive Auto Receivables Trust 2010-A reserve account.
The SDART 2010-A transaction's principal assets are a pool of
subprime auto loan receivables, which consist of motor vehicle
retail installment loans secured by new and used automobiles,
light duty trucks, and vans.
The assigned ratings reflect S&P's assessment of:
* "The availability of approximately 46.5%, 38.3%, 31.3%, and
25.5% credit support (based on stressed cash flow
scenarios), including excess spread, for the class B, C, D,
and E notes, respectively. These credit support levels
provide coverage of more than 2.30x, 1.85x, 1.50x, and 1.25x
our expected net loss range of 18.50%-19.50% (of the
outstanding collateral balance) for the class B, C, D, and E
notes, and are commensurate with the assigned final
ratings," S&P said.
* The soft linking of the ratings to the rating on Santander
Consumer USA Inc. (SC USA; A/Stable/A-1) and capping the
rating on the class B notes at 'AA' while the SDART 2010-A
notes are outstanding. Upon an event of default in the
underlying transaction (SDART 2010-A), including breaches of
representations, warranties, and covenants, the underlying
pool can be sold with the approval of 100% of SDART 2010-A
noteholders. As a result, the SDART 2011-S2 noteholders have
no liquidation voting rights until the SDART 2010-A notes
are repaid. Accordingly, for this transaction, the notes
rely on the performance of SC USA under the transaction
documents as a mitigant to the sale of the portfolio for
less than par, after an event of default and acceleration,
rather than relying on the typical liquidation voting rights
granted to subordinated noteholders under transaction
documents. "Although we believe that the risk of breaching a
nonmonetary event of default is minimal given the 'A' rating
of the servicer and its performance track record to date, we
believe that capping the rating on the class B notes at 'AA'
while the SDART 2010-A notes are outstanding, and soft-
linking the final ratings on the 2011-S2 notes to the rating
on SC USA (A/Stable/A-1) in the event that SC USA is
downgraded, properly reflects the subordinated position of
the class B notes relative to the senior SDART 2010-A notes
and the lack of liquidation voting rights granted," S&P
noted.
* The credit enhancement in the form of subordination,
overcollateralization, excess spread, and a reserve fund in
the amount of $34.8 million or 2.81% of the initial pool
balance.
* The timely interest and principal payments made under
stressed cash flow modeling scenarios, which are consistent
with the assigned 'AA (sf)','A (sf)', 'BBB (sf)', and 'BB
(sf)' final ratings. The stressed cash flow scenarios
include a breach of the level I and/or II triggers in the
SDART 2010-A underlying transaction. In this scenario,
receivables collections that flow from SDART 2010-A to SDART
2011-S2 are temporarily disrupted. Nonetheless, timely
interest would continue to be paid to class B, C, D, and E
noteholders due to the dedicated liquidity reserve account,
which was sized to cover 24 months of fees and interest on
the subordinated notes.
* The rating on the class B notes remaining within one
category, and those on the class C, D, and E notes remaining
within two categories, of the assigned final ratings under a
moderate stress scenario of 1.5x our expected loss level.
This is within the outer boundaries for credit deterioration
during the first year as outlined in Standard & Poor's
rating stability criteria.
* The underlying receivables' high degree of seasoning (26
months comprising 18 months as of SDART 2010-A's closing
plus an additional eight months of securitization
performance).
* The transaction's legal structure.
* SC USA's 10-year history of originating, underwriting,
servicing, and securitizing subprime auto loans.
Ratings Assigned
Santander Drive Auto Receivables Trust 2011-S2
Class Rating Amount Bond coupon Legal final
(mil. $) (%) maturity
B AA (sf) 131.42 2.06 June 15, 2017
C A (sf) 128.94 2.86 June 15, 2017
D BBB (sf) 161.18 3.35 June 15, 2017
E BB (sf) 123.98 4.53 June 15, 2017
SARGAS CLO II: Moody's Upgrades Ratings of Three Classes of Notes
--------------------------------------------------------
Moody's Investors Service has upgraded ratings of these notes
issued by Sargas CLO II, Ltd.:
-- US$34,000,000 Class C Secured Deferrable Floating Rate Notes
Due 2018 (current outstanding balance of $29,141,485.96),
Upgraded to Aaa(sf); previously on August 27,2010 Upgraded
to A1(sf);
-- US$18,800,000 Class D Secured Deferrable Floating Rate Notes
Due 2018 (current outstanding balance of $16,113,528),
Upgraded to A1(sf); previously on August 27, 2010 Upgraded
to Baa2(sf);
-- US$22,400,000 Class E Secured Deferrable Floating Rate Notes
Due 2018 (current outstanding balance of $19,199,096.63),
Upgraded to Ba2(sf); previously on August 27, 2010 Upgraded
to B2(sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes result
primarily from the deleveraging of the Class A-1 Notes, which were
fully redeemed on October 20, 2010. As a result of the
deleveraging, the overcollateralization ratios have materially
increased since the rating action in August 2010. In the latest
trustee report dated April 29, 2011, the Class A and General
Overcollateralization Ratios are reported at 1119.17% and 123.32%,
respectively versus 197.94% and 108.31% in July 2010. Moody's
notes that while the Trustee weighted average rating factor has
increased since the last rating action, it was offset by the
improvement in coverage levels.
Key Rating Assumptions/Factors
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 $95.3million,
defaulted par of $10.8million, a weighted average default
probability of 36.9% (implying a WARF of 6500), a weighted average
recovery rate of 42.93%, and a diversity score of 13. 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.
Sargas CLO II, Ltd., issued in August 16, 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans of middle market issuers. The number of
obligors is less than 40 and the diversity score is 13.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
Other considerations incorporated in this rating were "Updated
Approach to the Usage of Credit Estimates in Rated Transactions"
published in October 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, due to the low
diversity of the collateral pool, CDOROM 2.8 was used to simulate
a default distribution that was then applied as an input in the
cash flow model.
For securities whose default probabilities are assessed through
credit estimates ("CEs"), Moody's applied additional default
probability stresses by assuming an equivalent of Caa3 for CEs
that were not updated within the last 15 months, which currently
account for approximately 15% of the collateral balance.
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% (5200)
Class A-2: 0
Class B: 0
Class C: 0
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (7800)
Class A-2: 0
Class B: 0
Class C: 0
Class D: -3
Class E: -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 divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Deleveraging: The amount and pace of deleveraging from
principal proceeds is uncertain. Deleveraging 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.
3) Lack of portfolio granularity: Due to the deal's low diversity
score and lack of granularity, Moody's supplemented its typical
Binomial Expansion Technique analysis with a simulated default
distribution using Moody's CDOROMTM software and/or individual
scenario analysis.
SASCO 2007-BHC 1: Moody's Downgrades One CRE CDO Class
------------------------------------------------------
Moody's has downgraded one class of Notes issued by SASCO 2007-
BHC1 Trust due to the deterioration in the credit quality of the
underlying portfolio as evidenced by an increase in the weighted
average rating factor (WARF) and decrease in weighted average
recovery rate (WARR). The rating action is the result of Moody's
on-going surveillance of commercial real estate collateralized
debt obligation (CRE CDO) transactions.
Moody's rating action is:
-- Cl. A-1, Downgraded to Caa3 (sf); previously on May 27, 2010
Downgraded to B3 (sf)
Ratings Rationale
SASCO 2007-BHC1 Trust is a static CRE CDO transaction backed by a
portfolio commercial mortgage backed securities (CMBS) (100.0% of
the pool balance). As of the April 20, 2011 Trustee report, the
aggregate Note balance of the transaction is $501.3 million, the
same as at issuance. In addition, over 50% of the pool has
experienced interest shortfalls, which results in interest
shortfalls to all classes, including class A-1.
Moody's has identified these parameters as key indicators of the
expected loss within CRE CDO transactions: WARF, weighted average
life (WAL), WARR, and Moody's asset correlation (MAC). These
parameters are typically modeled as actual parameters for static
deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 8,983 compared to 3,861 at last review. The
distribution of current ratings and credit estimates is: Baa1-Baa3
(0.0% compared to 6.9% at last review), Ba1-Ba3 (1.7% compared to
21.3% at last review), B1-B3 (2.5% compared to 41.7% at last
review), and Caa1-C (95.8% compared to 30.2% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 5.3
years compared to 6.2 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Due to the speculative-grade
collateral, Moody's modeled a fixed 0.3% WARR, compared to 4.7% at
last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 0.0% compared to 30.3% at last review.
The low MAC reflects the low credit quality concentrated in a
small number of collateral names.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011. The cash
flow model, CDOEdge(R) v3.2.1.0, was used to analyze the cash flow
waterfall and its effect on the capital structure of the deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
0.3% to 0% or up to 5.3% would not result in any rating movement
downward or upward.
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.
The principal methodology used in these ratings was "Moody's
Approach to Rating SF CDOs" published in November 2010.
The other methodology used in these ratings was "CMBS: Moody's
Approach to Rating Static CDOs Backed by Commercial Real Estate
Securities" published in June 2004.
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.
SASCO 2008-C2: Moody's Withdraws Rating of One CRE CDO Class
------------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of one class
of Note issued by SASCO 2008-C2, LLC.
Issuer: SASCO 2008-C2, LLC
-- SASCO 2008-C2, LLC SECURED FLOATING RATE TERM NOTES DUE
2038, Withdrawn (sf); previously on Apr 29, 2009 Downgraded
to Ca (sf)
Ratings Rationale
The credit rating has been withdrawn because Moody's Investors
Service believes it has insufficient or otherwise inadequate
information to support the maintenance of the credit rating.
Please refer to Moody's Investors Service Withdrawal Policy, which
can be found on Moody's website, www.moodys.com.
Moody's adopts all necessary measures so that the information it
uses in assigning a credit rating is of sufficient quality and
from sources Moody's considers to be reliable including, when
appropriate, independent third-party sources. However, Moody's is
not an auditor and cannot in every instance independently verify
or validate information received in the rating process.
The date on which some Credit Ratings were first released goes
back to a time before Moody's Investors Service's Credit Ratings
were fully digitized and accurate data may not be available.
Consequently, Moody's Investors Service provides a date that it
believes is the most reliable and accurate based on the
information that is available to it.
SATURN VENTURES: S&P Affirms Ratings on 2 Classes of ABS at 'CC'
----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2, A-3, and B notes issued by Saturn Ventures I Ltd.,
a static cash flow collateralized debt obligation of asset-backed
securities (CDO of ABS) transaction, and removed the rating on
the class A-1 notes from CreditWatch with negative implications.
"We placed our rating on the class A-1 notes on CreditWatch
negative on Jan. 18, 2011, in connection with the implementation
of our revised counterparty criteria (see 'Ratings On 950 North
America Structured Finance Tranches On Watch Neg After
Counterparty Criteria Update,' published Jan. 18, 2011). The
rating affirmations and removal of the class A-1 rating from
CreditWatch reflect the updated counterparty criteria." S&P
related.
"In our review, we generated a cash flow analysis to assess the
credit support available to the notes without giving benefit to
the interest rate hedge agreement that the transaction has entered
into with a counterparty, stressing the CDO under various interest
rate scenarios in the absence of an interest rate hedge. In our
view, the cash flow analysis of the transaction showed that
there was no impact to the ratings assigned to the notes under
these stresses, which led us to affirm the current ratings
assigned to the notes and to remove the rating on the class A-1
notes from CreditWatch negative," S&P continued.
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P noted.
"The affirmation of our ratings on the class A-2, A-3, and B notes
reflects the availability of credit support at the current rating
levels," added S&P.
Rating Affirmed and Removed From CreditWatch
Saturn Ventures I Ltd.
Rating
Class To From
A-1 AA (sf) AA (sf)/Watch Neg
Ratings Affirmed
Saturn Ventures I Ltd.
Rating
Class
A-2 BB- (sf)
A-3 CC (sf)
B CC (sf)
SATURNS TRUST: S&P Raises Ratings on 2 Classes of Units From 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on SATURNS
Trust No. 2003-7's $25 million class A and B units to 'BBB-' from
'BB+'.
"Our ratings on the class A and B units are dependent on our
rating on the underlying security, Macy's Retail Holdings Inc.'s
6.90% debentures due Jan. 15, 2032 ('BBB-')," S&P stated.
"The rating actions follow our May 18, 2011, raising of our rating
on the underlying security to 'BBB-' from 'BB+'. We may take
subsequent rating actions on the class A and B units due to
changes in our rating assigned to the underlying security," S&P
added.
SFA CABS II: Fitch Affirms 2 Classes; Revises LS Rating
-------------------------------------------------------
Fitch Ratings has affirmed two classes and revised the Loss
Severity (LS) rating of one class of notes issued by SFA CABS II,
Ltd. (SFA CABS II). The rating actions are:
-- $9,073,460 class A notes affirmed at 'Asf'; LS revised to
'LS5' from 'LS4'; Outlook Negative;
-- $50,000,000 class B notes affirmed 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 (SF PCM) 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 notes. Fitch also considered additional qualitative
factors into its analysis, as described below, to conclude the
affirmation of the notes.
Since Fitch's last review in May 2010, the credit quality of the
portfolio has remained relatively stable, with approximately 9% of
the portfolio downgraded a weighted average 3.7 notches and 9.8%
upgraded one notch. Approximately 65.7% of the portfolio has a
Fitch derived rating below investment grade and 54.1% has a rating
in the 'CCC' rating category or lower, compared to 56.9% and 42%,
respectively, at last review. These percentage increases are
mainly driven by the portfolio balance declining, rather than
rating migration.
The affirmation of the class A notes is due to amortization of the
class increasing its credit enhancement level sufficiently to
offset the increased concentration risk of the portfolio. The
class A notes have received approximately $7.6 million in
principal repayment, or 45.7% of the amount outstanding at last
review, from principal collections and excess interest proceeds
due to the failing class A/B overcollateralization test.
The Outlook for the class A notes remains Negative because the
concentration of fixed-rate assets and expiration of the interest
rate swap makes the class A notes susceptible to rising interest
rate scenarios. Additionally, there is risk of adverse selection
as the portfolio continues to amortize. Fitch does not maintain
outlooks on tranches rated 'CCC' and below.
The Loss Severity (LS) rating of 'LS5' for the class A notes
indicates the tranche's potential loss severity given default, as
evidenced by the ratio of tranche size to the base-case loss
expectation for the collateral, as explained in Fitch's 'Criteria
for Structured Finance Loss Severity Ratings'. The LS rating
should always be considered in conjunction with the notes' long-
term credit rating. Fitch does not assign LS ratings to tranches
rated 'CCC' and below.
Breakeven levels for the class B notes indicated ratings below SF
PCM's 'CCC' default level, the lowest level of defaults projected
by SF PCM. For this class, Fitch compared the class's credit
enhancement (CE) levels to expected losses from the distressed and
defaulted assets in the portfolio (rated 'CCsf' or lower). This
comparison indicates that, while the class B notes are still
receiving timely interest distributions, default continues to
appear inevitable for the class B notes at or prior to maturity.
SFA CABS II is a cash flow structured finance (SF) collateralized
debt obligation (CDO) that closed on May 24, 2001 and is monitored
by Structured Finance Advisors. The transaction entered an event
of default in February 2004 as a result of the total collateral
balance declining below the aggregate outstanding balance of
notes. To date, the controlling class has not elected to
accelerate the maturity of the transaction. The portfolio is
comprised of commercial asset-backed securities (35.6%),
residential mortgage-backed securities (34.3%), and commercial
mortgage-backed securities (30.1%) from 1997 through 2003 vintage
transactions.
SLM STUDENT LOAN: Fitch Affirms 'BBsf' Rating on Class B Notes
--------------------------------------------------------------
Fitch Ratings affirms the senior and subordinate student loan
notes issued by SLM Student Loan Trust series 2007-8 at 'AAAsf'
and 'BBsf.' The Rating Outlook remains Stable.
Fitch used its 'Global Structured Finance Rating Criteria' and
'U.S. FFELP Student Loan ABS Rating Criteria', as well as the
refined basis risk criteria to review the ratings.
Fitch affirms the ratings on the senior and subordinate notes
based on the sufficient level of credit enhancement to cover the
applicable risk factor stresses. Credit enhancement for the senior
and subordinate notes consists of overcollateralization and
projected minimum excess spread, while the senior notes also
benefit from subordination provided by the Class B notes.
Fitch has taken these rating actions:
SLM Student Loan Trust, Series 2007-8:
-- Class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT LOAN: Fitch Affirms Subordinate Notes at 'BBsf'
-----------------------------------------------------------
Fitch Ratings affirms the senior and subordinate student loan
notes issued by SLM Student Loan Trust series 2007-6 at 'AAAsf'
and 'BBsf.' The Rating Outlook remains Stable.
Fitch used its 'Global Structured Finance Rating Criteria' and
'U.S. FFELP Student Loan ABS Rating Criteria', as well as the
refined basis risk criteria outlined in Fitch's June 29, 2010
press release 'Fitch to Begin Review of U.S. FFELP SLABS Applying
Updated Criteria' to review the ratings.
Fitch affirms the ratings on the senior and subordinate notes
based on the sufficient level of credit enhancement to cover the
applicable risk factor stresses. Credit enhancement for the senior
and subordinate notes consists of overcollateralization and
projected minimum excess spread, while the senior notes also
benefit from subordination provided by the Class B notes.
Fitch has taken these rating actions:
SLM Student Loan Trust, Series 2007-6:
-- Class A-1 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SOLAR TRUST: DBRS Confirms Class J at 'BB'
------------------------------------------
DBRS has upgraded the ratings of four classes of Solar Trust
commercial mortgage pass-through certificates, Series 2003-CC1 as
follows:
-- Class D-1 to AA (sf) from A (high) (sf)
-- Class D-2 to AA (sf) from A (high) (sf)
-- Class E to A (high) (sf) from A (sf)
-- Class F to A (sf) from A (low) (sf)
DBRS has also confirmed these other classes in the transaction:
-- Class IO-1 at AAA (sf)
-- Class IO-2 at AAA (sf)
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AAA (sf)
-- Class G at BBB (sf)
-- Class H at BBB (low) (sf)
-- Class J at BB (low) (sf)
-- Class K at B (sf)
DBRS does not rate the $7 million first loss piece, Class L. All
trends are Stable.
The rating action reflects both a significant increase in credit
enhancement caused by collateral reduction (amortization and loan
maturities) and the defeasance of six loans (5.5% of the current
pool balance). Additionally, while there are five loans (3% of
the pool) on the servicer's watchlist, there are no loans on the
DBRS HotList. As of the April 2011 remittance report, there is
one loan in special servicing.
The DBRS analysis included an in-depth look at the top ten loans
in the transaction, the loans on the servicer's watchlist, the
loans maturing in 2011 and the specially serviced loan.
Cumulatively, these loans represent approximately 53.5% of the
current pool balance.
Prospectus ID#49, 511 Millway Avenue is secured by a 65,000 sf
industrial property located in Vaughan, Ontario and transferred
to the special servicer in January 2011 because it was reported
that there is an unapproved second mortgage registered against
the property. According to the special servicer, the borrower
remains current on all payments with respect to the trust loan.
Additionally, the value at issuance was $4 million and when
looking at the YE2009 reported net cash flow and using a
conservative cap rate, this would imply a value of just under
$4 million. Based on the trust loan balance of approximately
$2 million, the trust loan appears to be well protected.
In addition, the leverage point, on a per square foot basis,
is reasonable at approximately $30.
DBRS has run various cash flow stress scenarios where up to 25%
cash flows stresses were applied across the entire transaction.
As more loans report YE2010 financials, we see that these cash
flow stresses are not exactly reflective of the actual cash flows
the assets are generating, however, in running these stressed
scenarios and comparing the DBRS required credit enhancement
levels to the current increased credit enhancement levels, across
the transaction, the ratings upgrades are appropriate.
SPRING ASSET: Moody's Withdraws Ratings of Eleven CRE CDO Classes
-----------------------------------------------------------------
Moody's Investors Service has withdrawn the Credit Rating for its
own business reasons.
-- Cl. A, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Aaa (sf)
-- Cl. B, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Aa2 (sf)
-- Cl. C, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at A1 (sf)
-- Cl. D, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at A2 (sf)
-- Cl. E, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at A3 (sf)
-- Cl. F, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Baa1 (sf)
-- Cl. G, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Baa2 (sf)
-- Cl. H, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Baa3 (sf)
-- Cl. J, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Ba1 (sf)
-- Cl. K, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Ba2 (sf)
-- Cl. L, Withdrawn (sf); previously on Apr 21, 2009 Confirmed
at Ba3 (sf)
STONY HILL: Moody's Downgrades Classes B-1 & B-2 Ratings
--------------------------------------------------------
Moody's Investors Service has downgraded the ratings of these
notes issued by Stony Hill CDO II:
-- Class B-1 Floating Rate Senior Secured Notes Due 2012
(current deferred interest balance of $79,274), Downgraded
to C; previously on June 4, 2010, Upgraded to Ba1;
-- Class B-2 Fixed Rate Senior Secured Notes Due 2012 (current
deferred interest balance of $2,808,889), Downgraded to C;
previously on June 4, 2010, Upgraded to Ba1.
Ratings Rationale
According to Moody's, the rating actions taken on the Class B
notes results primarily from a change, by the trustee, in the
distribution of principal proceeds since the previous rating
action in June 2010. Following an investor inquiry, proceeds
previously distributed by the trustee to the Class B-1 and B-2
noteholders to reduce the Class B-1 and Class B-2 Deferred
Interest were recalled and redistributed to the Class C
noteholders. Based on the trustee's current interpretation of the
Indenture priority of payments, if the Class C Coverage Test is
failing (currently at a level of 74.16% versus a trigger of 100%),
Principal Proceeds that would otherwise be used to pay Class B-1
and Class B-2 Deferred Interest, will divert to redeem the Class C
Notes. Because Moody's does not expect the transaction to have
sufficient proceeds going forward to pass the Class C Coverage
Test nor do Moody's expects the Class B noteholders to receive any
further Principal Proceeds, Moody's has decided to downgrade the
ratings of both the Class B-1 and B-2 Notes to C.
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 $5.6 million.
Stony Hill CDO II, issued in November 1999, is a collateralized
bond obligation backed primarily by a portfolio of senior
unsecured bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
August 2009.
This publication incorporates rating criteria that apply to both
collateralized loan obligations and collateralized bond
obligations. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found
on Moody's website.
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 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, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
STRUCTURED ASSET: Moody's Downgrades Ratings of 12 Tranches
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 12
tranches, upgraded the ratings of 2 tranches, and confirmed the
rating of 1 tranche from 8 RMBS transactions. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable rate "scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of
Scratch and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: Structured Asset Securities Corp Trust 2004-GEL2
-- Cl. M2, Downgraded to Baa2 (sf); previously on Aug 9, 2004
Assigned A2 (sf)
-- Cl. M3, Downgraded to B2 (sf); previously on Aug 9, 2004
Assigned Baa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2007-TC1
-- Cl. A, Downgraded to Ba1 (sf); previously on Mar 5, 2009
Downgraded to Baa2 (sf)
-- Cl. A-IO, Downgraded to Ba1 (sf); previously on Mar 5, 2009
Downgraded to Baa2 (sf)
-- Cl. M-1, Downgraded to Caa1 (sf); previously on Nov 18, 2010
Ba2 (sf) Placed Under Review for Possible Downgrade
-- Cl. M-2, Downgraded to C (sf); previously on Nov 18, 2010 B1
(sf) Placed Under Review for Possible Downgrade
-- Cl. M-3, Downgraded to C (sf); previously on Nov 18, 2010
Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation 2005-GEL2
-- Cl. M2, Downgraded to Caa2 (sf); previously on Mar 5, 2009
Downgraded to B2 (sf)
Issuer: Structured Asset Securities Corporation 2005-GEL3
-- Cl. M3, Upgraded to Baa3 (sf); previously on Mar 5, 2009
Downgraded to Caa1 (sf)
-- Cl. M4, Upgraded to B1 (sf); previously on Mar 5, 2009
Downgraded to C (sf)
Issuer: Structured Asset Securities Corporation 2006-GEL3
-- Cl. A1, Confirmed at Aaa (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation 2006-GEL4
-- Cl. A1, Downgraded to Aa2 (sf); previously on Nov 18, 2010
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation 2007-GEL1
-- Cl. A1, Downgraded to Caa3 (sf); previously on Nov 18, 2010
Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation 2007-GEL2
-- Cl. A1, Downgraded to B3 (sf); previously on Nov 18, 2010
Ba1 (sf) Placed Under Review for Possible Downgrade
STRUCTED RECEIVABLES: S&P Lowers Rating on Certificates to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on the
certificates from Structured Asset Receivables Trust Series 2004-1
(START 2004-1) by reinstating it and simultaneously lowering it
to 'D (sf)'. "We lowered our rating because the full principal
balance due to the certificates was not paid by the transaction's
April 21, 2011, maturity and final payment date. On the April 21
payment date, the certificates were paid down $5.08 million,
leaving a $65,205.51 outstanding principal balance," S&P stated.
"We withdrew the 'CCC (sf)' rating on the certificates before
lowering it to 'D (sf)' in light of the principal shortfall on the
stated maturity date. The rating action corrects this," said S&P.
Structured Asset Receivables Trust Series 2004-1 was issued in
2004 and is collateralized by insurance settlement payments from
various American International Group Inc. (AIG) insurers.
Rating Corrected
Structured Asset Receivables Trust Series 2004-1
Rating
Class To From
Certificates D (sf) NR
NR -- Not rated.
TERWIN MORTGAGE: Moody's Withdraws ratings of $1.7 Million RMBS
---------------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of two
tranches issued by Terwin Mortgage Trust 2004-EQR1. The collateral
backing this deal primarily consists of first-lien, fixed and
adjustable-rate Subprime residential mortgages. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable rate "scratch and dent" residential mortgages.
Ratings Rationale
Moody's Investors Service has withdrawn the credit ratings
pursuant to published credit rating methodologies that allow for
the withdrawal of the credit rating if the size of the pool
outstanding at the time of the withdrawal has fallen below a
specified level. Please refer to Moody's Investors Service's
Withdrawal Policy, which can be found on Moody's website,
www.moodys.com.
Moody's current RMBS surveillance methodologies apply to pools
with at least 40 loans or a pool factor of greater than 5%. As a
result, Moody's may withdraw its rating when the pool factor drops
below 5% and the number of loans in the pool declines to 40 loans
or lower unless specific structural features allow for a
monitoring of the transaction (such as a credit enhancement
floor).
Complete rating actions are:
Issuer: Terwin Mortgage Trust 2004-EQR1
-- Cl. M-2, Withdrawn (sf); previously on Nov 18, 2010 Caa2
(sf) Placed Under Review for Possible Downgrade
-- Cl. B-1, Withdrawn (sf); previously on Nov 29, 2007
Downgraded to C (sf)
TIAA REAL: S&P Affirms Rating on Class IV Notes at 'BB+'
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'AAA (sf)' rating
on the class I notes issued by TIAA Real Estate CDO 2002-1 Ltd.,
arbitrage cash flow collateralized debt obligation of commercial
mortgage-backed securities (CDO of CMBS) backed by structured
finance securities, primarily CMBS, and removed the rating from
CreditWatch negative. "We also affirmed the ratings on the class
II-FL, II-FX, III, and IV notes," S&P stated.
"We placed our rating on the class I notes on CreditWatch negative
on Jan. 18 2011, in connection with the implementation of our
revised counterparty criteria (see 'Ratings On 950 North America
Structured Finance Tranches On Watch Neg After Counterparty
Criteria Update," published Jan. 18, 2011). The affirmation and
removal of the rating from CreditWatch takes into account both
the updated counterparty criteria and our criteria for rating
corporate CDO transactions (see 'Update To Global Methodologies
And Assumptions For Corporate Cash Flow And Synthetic CDOs,'
published Sept. 17, 2009)," S&P related.
According to S&P, "In our review, we generated cash flow analysis
to assess the credit support available to the class I notes
without giving benefit to the interest rate hedge agreement that
the transaction has entered into with a counterparty, stressing
the CDO under various interest rate scenarios in the absence of an
interest rate hedge. In our view, the cash flow analysis of the
transaction showed that there was no impact to the rating assigned
to the class I notes under these stresses, leading to our decision
to affirm the current rating assigned to the class I notes and
remove it from CreditWatch negative."
"We will perform similar analyses for other CDO transactions with
ratings placed on CreditWatch negative in connection with the
implementation of our updated counterparty criteria. Generally, if
we find in our analysis that the assumed absence of the hedge
agreement would not affect the current ratings assigned to the
notes, we will affirm them and remove them from CreditWatch
negative. However, if there is an impact, we will review the
counterparty-related documents in the transaction for compliance
with our updated counterparty criteria and take actions on the
ratings as we deem appropriate," S&P stated.
S&P continued, "The affirmations on the class II-FL, II-FX, III,
and IV notes reflect our opinion of the availability of sufficient
credit support at the current rating levels."
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rting and CreditWatch Actions
TIAA Real Estate CDO 2002-1 Ltd.
Rating
Class To From
I AAA (sf) AAA (sf)/Watch Neg
Ratings Affirmed
TIAA Real Estate CDO 2002-1 Ltd.
Class Rating
II-FL AA (sf)
II-FX AA (sf)
III BBB+ (sf)
IV BB+ (sf)
TIAA SEASONED COMMERCIAL: Fitch Downgrades 14 Classes
------------------------------------------------------
Fitch Ratings downgrades 14 classes of commercial mortgage pass-
through certificates from TIAA Seasoned Commercial Mortgage Trust,
series 2007-C4 due to further deterioration of performance.
The downgrades are the result of an increase in Fitch expected
losses across the pool. Fitch modeled losses of 5.23% of the
remaining pool; expected losses of the original pool are at 4.22%.
To date, the transaction has not incurred any losses.
Fitch has designated 20 loans (18.3%) as Fitch Loans of Concern,
which includes six specially serviced loans (4%). Fitch expects
classes Q and S may be fully depleted from losses associated with
the specially serviced assets and class P will also be impaired.
As of the April 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 19% to
$1.69 billion from $2.09 billion at issuance. Interest shortfalls
are affecting class T with cumulative unpaid interest totaling
0.4 million.
The largest contributors to modeled losses are Algonquin Commons
Portfolio (5.36%), 2200 Renaissance (1%) and 711 Westchester
Avenue (0.7%).
The Algonquin Commons Portfolio consists of two pari passu notes
that are collateralized by two phases of a shopping center in
Algonquin, IL. The loans are cross collateralized and cross
defaulted. They transferred to special servicing in August 2009
due to imminent default and returned to the master servicer on
Sept. 27, 2010, after the phase I note had been modified.
Servicer-reported 3Q'10 DSCR for Phase I was 0.66x with occupancy
at 83.9%, down from 97.1% at issuance; YE10 DSCR for Phase II was
0.44x with occupancy at 51.2%, down from 91.8% at issuance. The
borrower is negotiating a lease for the former Circuit City space
(23.4% of Phase II).
2200 Renaissance is a 184,991 square feet (SF) office property in
King of Prussia, PA. The loan transferred to special servicing in
Dec. 2010 due to imminent default. The loan subsequently defaulted
on the Jan. 2011 payment. The property is currently 48% occupied
resulting in insufficient cash flow to service the debt. The
special servicer is evaluating workout options with the borrower.
711 Westchester Avenue is a 117,936sf office property in White
Plains, NY. The loan was transferred to special servicing on June
29, 2009 due to imminent default. The loan remains current as the
borrower has been funding operating costs and debt service
shortfalls. Per the special sevicer, occupancy at the property has
been relatively steady at 55-60%. However, tenants have been
requesting rental concessions due to financial constraints.
Fitch has downgraded, removed from Rating Watch Negative and
assigned Rating Outlooks to these classes:
-- $227.5 million class A-J to 'AA/LS3' from 'AAA/LS1'; Outlook
Negative;
-- $10.5 million class B to 'A/LS5' from 'AA+/LS5'; Outlook
Stable;
-- $28.8 million class C to 'BBB/LS5' from 'AA/LS3'; Outlook
Stable;
-- $18.3 million class D to 'BBB-/LS5' from'AA-/LS3'; Outlook
Stable;
-- $5.2 million class E to 'BB/LS5' from 'A+/LS4'; Outlook
Stable;
-- $15.7 million class F 'BB/LS5' from 'A/LS2'; Outlook Stable;
-- $20.9 million class G to 'B/LS5' from 'A-/LS2'; Outlook
Stable;
-- $13.1 million class H to 'B-/LS5' from 'BBB+/LS3'; Outlook
Stable.
Fitch has downgraded, removed from Rating Watch Negative and
assigned Recovery Ratings (RR) to these classes:
-- $23.5 million class J to CCC/RR1' from 'BBB/LS3';
-- $7.8 million class K to CCC/RR1' from 'BBB-/LS5';
-- $7.8 million class L to CCC/RR1' from 'BB/LS5';
-- $7.9 million class M to CC/RR1' from 'B/LS5';
-- $2.6 million class N to CC/RR1' from 'B/LS5';
-- $7.9 million class P to CC/RR3' from 'B-/LS5';
-- $2.6 million class Q to C/RR6' from 'CCC/RR1';
-- $2.6 million class S to 'C/RR6' from 'CC/RR1'.
Fitch has affirmed these classes:
-- $163.3 million class A-1 at 'AAA/LS1'; Outlook Stable;
-- $324.7 million class A-2 at 'AAA/LS1'; Outlook Stable;
-- $686 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $109.5 million class A-1A at 'AAA/LS1'; Outlook Stable;
Fitch does not rate the $15.7 million class T. Fitch has withdrawn
the ratings on the Interest-only class X.
TRIBUNE LTD: S&P Withdraws 'BB' Rating on Palm 2005SS Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'BB (sf)'
rating on the Palm 2005SS notes from Tribune Ltd.'s series 25,
a synthetic collateralized debt obligation (CDO) step-up
transaction.
S&P withdrew its rating on the transaction after receiving the
repurchase notice for these notes from the arranger.
WACHOVIA BANK: Moody's Affirms 17 CMBS Classes of WBCMT 2003-C8
---------------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 17
classes of Wachovia Bank Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2003-C8:
-- Cl. A-2, Affirmed at Aaa (sf); previously on Mar 18, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-3, Affirmed at Aaa (sf); previously on Mar 18, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. A-4, Affirmed at Aaa (sf); previously on Mar 18, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. X-C, Affirmed at Aaa (sf); previously on Mar 18, 2004
Definitive Rating Assigned Aaa (sf)
-- Cl. B, Affirmed at Aa1 (sf); previously on Apr 11, 2008
Upgraded to Aa1 (sf)
-- Cl. C, Affirmed at Aa2 (sf); previously on Apr 11, 2008
Upgraded to Aa2 (sf)
-- Cl. D, Affirmed at A2 (sf); previously on Jun 2, 2010
Confirmed at A2 (sf)
-- Cl. E, Affirmed at A3 (sf); previously on Jun 2, 2010
Confirmed at A3 (sf)
-- Cl. F, Affirmed at Baa1 (sf); previously on Jun 2, 2010
Confirmed at Baa1 (sf)
-- Cl. G, Affirmed at Ba1 (sf); previously on Jun 2, 2010
Downgraded to Ba1 (sf)
-- Cl. H, Affirmed at B1 (sf); previously on Jun 2, 2010
Downgraded to B1 (sf)
-- Cl. J, Affirmed at B3 (sf); previously on Jun 2, 2010
Downgraded to B3 (sf)
-- Cl. K, Affirmed at Caa2 (sf); previously on Jun 2, 2010
Downgraded to Caa2 (sf)
-- Cl. L, Affirmed at Caa3 (sf); previously on Jun 2, 2010
Downgraded to Caa3 (sf)
-- Cl. M, Affirmed at Ca (sf); previously on Jun 2, 2010
Downgraded to Ca (sf)
-- Cl. N, Affirmed at C (sf); previously on Jun 2, 2010
Downgraded to C (sf)
-- Cl. O, Affirmed at C (sf); previously on Jun 2, 2010
Downgraded to C (sf)
Ratings Rationale
The affirmations are due to key rating parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), 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
4.4% of the current balance compared to 5.0% at last review.
Moody's stressed scenario loss is 12.5% 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.
The primary methodology used in this rating was: "CMBS: Moody's
Approach to Rating Fusion Transactions" published in April 2005.
Moody's also considered "CMBS: Moody's Approach to Rating Large
Loan/Single Borrower Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade 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 14 compared to 15 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 (CMBS) 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 2, 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 May 17, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 34% to
$647.4 million from $974.2 million at securitization. The
Certificates are collateralized by 44 mortgage loans ranging
in size from less than 1% to 17% of the pool, with the top
ten loans representing 74% of the pool. There are currently two
loans representing 26% of the pool with investment grade credit
estimates, compared to three loans at last review. At last review
The Parkdale Mall, which had a credit estimate, paid off after the
last review. The pool does not contain any defeased loans.
Eight 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 (CREFC) 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.
No loans have been liquidated from the pool. Four loans,
representing 8% of the pool are currently in special servicing.
The largest specially serviced loan is the FBI Headquarters loan
($16.3 million -- 2.5% of the pool), which is secured by a 96,600
square foot (SF) single tenant office building located in
Richmond, Virginia. The building is 100% leased to the FBI. The
initial term of the lease expired in January 2011 and was renewed
to January 2016. The loan was transferred to special servicing in
February 2010 due to the borrower's and indemnitor's bankruptcy
filing. The loan emerged from bankruptcy in September 2011. The
loan is current, however the borrower is in technical default for
failure to post a letter of credit related to FBI's renewal. The
loan has passed its November 2009 anticipated repayment date
(ARD). Moody's is not currently estimating a loss from this loan.
The remaining three specially serviced loans are secured by an
office, retail and mixed use property. Moody's has estimated a
$7.8 million loss (40% expected loss) for two of the specially
serviced loans.
Moody's has assumed a high default probability for one poorly
performing loan representing less than 1% of the pool and has
estimated a $380,000 loss (15% expected loss based on a 50%
probability default) from this troubled loan.
Moody's was provided with full year 2009 and partial year 2010
operating results for 100% and 80% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 76% compared to 84% at last review. Moody's net
cash flow reflects a weighted average haircut of 5% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.3%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.73X and 1.46X, respectively, compared to
1.55X and 1.27X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the Tucson Mall Loan
($110.8 million -- 17.1% of the pool), which is secured by the
borrower's interest in a 1.3 million SF (collateral for the loan
is 447,000 SF) regional mall located in downtown Tucson, Arizona.
The mall is anchored by Macy's, Dillard's, JC Penney and Sears,
none of which are part of the collateral. The loan sponsor is
General Growth Properties (GGP). As of June 2010, leasing of the
inline space and overall center were 73% and 91%, respectively,
compared to 94% and 98% at last review. Moody's current credit
estimate and stressed DSCR are A2 and 1.44X, respectively,
compared to A2 and 1.43X at last review.
The second largest loan with a credit estimate is the Park City
Center Loan ($55.1 million -- 8.5% of the pool), which represents
a 50% participation interest in a $110.2 million first mortgage
loan. The loan is secured by the borrower's interest in a 977,000
SF (collateral is 825,000 SF) regional mall located in Lancaster,
Pennsylvania. The mall is anchored by Boscov's, Sears, JC Penney,
The Bon Ton Stores, and Kohl's. The loan sponsor is GGP. As of
September 2010, the overall center was 84% leased compared to 92%
last review. The property is also encumbered by a $31 million B
note held outside the trust. The property has benefited from
stable occupancy and increased rental revenues. Moody's current
underlying rating and stressed DSCR are A3 and 1.77X,
respectively, compared to A3 and 1.65X at last review.
The top three performing conduit loans represent 27% of the pool
balance. The largest conduit loan is the Chelsea Market Loan
($78.5 million -- 12.1% of the pool), which represents a 50%
participation interest in a $156.9 million loan. The loan is
secured by a 1.2 million SF mixed-use retail/office building
located in the Chelsea submarket of New York City. The property
was 95% leased as of December 2010, the same as last review. The
property's net operating income has steadily increased since
securitization. Moody's LTV and stressed DSCR are 50% and 1.94X,
respectively, compared 65% and 1.50X at last review.
The second largest loan is Four Seasons Hotel Loan ($47.9 million
-- 7.4% of the pool), which is secured by a 343-room full-service
hotel located in Chicago, Illinois. At Moody's last review
performance had declined significantly as a result of a drop in
business and tourist travel caused by the economic recession.
Since then, the hotel's performance has shown a slight recovery.
Occupancy and revenue per participating room (RevPar) for the
trailing 12-month period ending December 2010 were 69% and $226,
respectively, compared to 59% and $204 for the same period in
2009. The loan is currently on the master servicer's watchlist due
low DSCR. Moody's analysis reflects the expectation of continued
performance improvement due to improved prospects for the
hospitality industry. Moody's LTV and stressed DSCR are 56% and
1.98X, respectively, compared 96% and 1.15X at last review.
The third largest loan is the Regency Square Mall loan
($44.3 million -- 6.8% of the pool), which represents a 50%
participation interest in an $88.7 million loan first mortgage
loan. The loan is collateralized by the borrower's interest in a
1.45 million SF (collateral is 938,031 SF) regional mall located
in Jacksonville, Florida. The mall is anchored by Belk, JC Penney,
Dillard's and Sears. The mall was 83% leased as June 2010 compared
to 93% at last review. Tenants for several in-line stores did not
renew leases which expired in 2010. The loan sponsor is GGP.
Moody's LTV and stressed DSCR are 117% and 0.84X, respectively,
compared 103% and 0.94X at last review.
WAMU MORTGAGE: Moody's Downgrades $159.3 Mil. of Alt A RMBS
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of Classes 3-
A-2A and 3-A-2B issued by WaMu Mortgage Pass-Through Certificates,
WMALT Series 2006-4 . The collateral backing the deal primarily
consists of first-lien, adjustable rate Alt-A residential
mortgages.
Ratings Rationale
The downgrade is a result of losses currently being allocated to
the Class 3-A-2A and the Class 3-A-2B pro-rata with the other
senior bonds in group 3. The transaction has structural features
whereby Classes 3-A-2A and 3-A-2B were entitled to receive more
than their pro-rata share of principal payments before
subordination depletion. After the credit support depletion
however, the principal payments and losses are shared pro-rata
with other senior bonds in group 3. Moody's current expected loss
on the pool is 45.43% of current balance.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "Moody's Approach
to Rating Structured Finance Securities in Default" published in
November 2009. For details regarding Moody's approach to
estimating losses on Alt-A pools originated in 2005, 2006, and
2007, please refer to the methodology publication "Alt-A RMBS Loss
Projection Update: February 2010" available on Moodys.com.
However, to project the rate of current loans becoming delinquent
in future, in projecting future delinquencies on the pool, Moody's
calculated the rate of new delinquencies on the pool over the past
year, instead of projecting delinquencies to a housing market
trough, and applied the annual delinquency burnout factors noted
in the publication above. These delinquencies were then translated
into defaults and losses by applying the lifetime default
frequencies ("roll rates") and loss severities, which are also
detailed into the publication above.
If expected losses on the pool were to increase by 10%, there will
be no change in the ratings listed below.
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: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-4 Trust
-- Cl. 3-A-2A, Downgraded to Ca (sf); previously on Sep 1, 2010
Downgraded to B1 (sf)
-- Cl. 3-A-2B, Downgraded to Ca (sf); previously on Sep 1, 2010
Downgraded to B1 (sf)
WASHINGTON MUTUAL: S&P Ups Ratings on 2 Classes of Certs. to 'CC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
classes I-A-1 and I-A-11 from Washington Mutual Mortgage Pass-
Through Certificates WMALT Series 2007-2 Trust by raising them
to 'CC (sf)' from 'D (sf)'. "We also lowered our ratings on 14
other classes from this transaction and affirmed our ratings on
three classes. We removed our rating on class 3-A-4 from
CreditWatch with negative implications," S&P stated.
"On Feb. 25, 2011, we incorrectly lowered our ratings on the I-A-1
and I-A-11 classes to 'D (sf)' from 'CCC (sf)' based on the
trustee's January 2011 remittance report, which indicated that the
classes had each experienced principal write-downs of $8.29
million. However, the trustee subsequently issued a revised
remittance report that did not include the losses previously
allocated to these classes," according to S&P.
"We raised our ratings on the corrected classes to 'CC (sf)',
which reflects our current analysis of the projected credit
support for these classes as of the April 2011 remittance report,"
noted S&P.
"The downgrades reflect recent principal write-downs and our
opinion that projected credit support for the affected classes is
insufficient to maintain the previous ratings, given our current
projected losses. To review the transactions, we applied our
Alternative-A (Alt-A) loss assumptions, which we discussed in
'Methodology And Assumptions: Revised Lifetime Loss Projections
For Prime, Subprime, And Alt-A U.S. RMBS Issued In 2005-2007,'
published March 25, 2011, on RatingsDirect on the Global Credit
Portal, and on Standard & Poor's Web site, at
www.standardandpoors.com," S&P explained.
"To assess the creditworthiness of each class, we reviewed the
delinquency and loss trend of the transaction and the ability to
withstand additional credit deterioration. In order to maintain a
'B' rating on a class, we assessed whether, in our view, a class
could absorb the base-case loss assumptions we used in our
analysis," S&P explained.
"The 'CC (sf)' affirmed ratings reflect our current analysis of
the projected credit support available for these classes relative
to projected base case losses," related S&P.
Ratings Corrected
Washington Mutual Mortgage Pass-Through Certificates WMALT Series
2007-2 Trust
Rating
Class CUSIP Current 02/25/11 Pre-02/25/11
I-A-1 93936HAA4 CC (sf) D (sf) CCC (sf)
I-A-11 93936HAL0 CC (sf) D (sf) CCC (sf)
Rating and CreditWatch Actions
Washington Mutual Mortgage Pass-Through Certificates WMALT Series
2007-2 Trust
Rating
Class CUSIP To From
I-A-2 93936HAB2 D (sf) CC (sf)
I-A-3 93936HAC0 D (sf) CC (sf)
I-A-4 93936HAD8 CC (sf) CCC (sf)
I-A-5 93936HAE6 D (sf) CC (sf)
I-A-6 93936HAF3 CC (sf) CCC (sf)
I-A-7 93936HAG1 D (sf) CC (sf)
I-A-13 93936HBH8 CC (sf) CCC (sf)
I-A-14 93936HBJ4 CC (sf) CCC (sf)
2-A-1 93936HAN6 CC (sf) CCC (sf)
2-A-3 93936HAQ9 CC (sf) CCC (sf)
2-A-4 93936HAR7 D (sf) CC (sf)
3-A-1 93936HAS5 CC (sf) CCC (sf)
3-A-3 93936HAU0 CC (sf) CCC (sf)
3-A-4 93936HAV8 CC (sf) B- (sf)/Watch Neg
Ratings Affirmed
Washington Mutual Mortgage Pass-Through Certificates WMALT Series
2007-2 Trust
Class CUSIP Rating
2-A-2 93936HAP1 CC (sf)
3-A-2 93936HAT3 CC (sf)
C-P 93936HAY2 CC (sf)
WATERFRONT CLO: Moody's Upgrades Ratings of Three Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Waterfront CLO 2007-1, Ltd.:
-- US$19,000,000 Class B Deferrable Floating Rate Notes Due
2020, Upgraded to Baa2 (sf); previously on September 15,
2009 Confirmed at Baa3 (sf);
-- US$11,500,000 Class C Deferrable Floating Rate Notes Due
2020, Upgraded to Ba2 (sf); previously on September 15, 2009
Downgraded to B1 (sf);
-- US$10,500,000 Class D Deferrable Floating Rate Notes Due
2020, Upgraded to B3 (sf); previously on September 15, 2009
Downgraded to Caa3 (sf).
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 and increase in the overcollateralization ratios of the
rated notes since the rating action in September 2009.
The deal has benefited from improvement in the credit quality of
the underlying portfolio since the rating action in September
2009. Based on the April 2011 trustee report, the weighted average
rating factor is 2413 compared to 2776 in August 2009, and
securities rated Caa1/CCC and below make up approximately 4.65% of
the underlying portfolio versus 12.66% in August 2009. The deal
also experienced a decrease in defaults. In particular, the dollar
amount of defaulted securities has decreased to $0.1 million from
approximately $13 million in August 2009.
Moody's also notes that the overcollateralization ratios of the
rated notes have improved due to higher than previously
anticipated recoveries realized on defaulted securities. As of the
latest trustee report dated April 2011, the Class A, Class B,
Class C and Class D overcollateralization ratios are reported at
123.58%, 114.33%, 109.37%, and 105.21%, respectively, versus
August 2009 levels of 117.89%, 109.07%, 104.34%, and 100.37%,
respectively, and all related overcollateralization ratios 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 and principal
proceeds balance of $290.5 million, defaulted par of $0.1 million,
a weighted average default probability of 26% (implying a WARF of
3287), a weighted average recovery rate upon default of 41.3%, and
a diversity score of 56. These default and recovery properties of
the collateral pool are incorporated in Moody's 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.
Waterfront CLO 2007-1, Ltd. issued on August 2, 2007, 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 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,
whereby a positive difference corresponds to lower expected
losses), assuming that all other factors are held equal:
Moody's Adjusted WARF - 20% (2630)
-- Class A-1: 0
-- Class A-2: +2
-- Class A-3: +3
-- Class B: +2
-- Class C: +2
-- Class D: +3
Moody's Adjusted WARF + 20% (3944)
-- Class A-1: -1
-- Class A-2: -2
-- Class A-3: -2
-- Class B: -2
-- Class C: -2
-- Class D: -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) 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 spread levels higher than the covenant levels due to
the large difference between the reported and covenant levels.
WILSHIRE FUNDING: Moody's Downgrades Ratings of 15 Tranches
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 15
tranches from four deals issued by Wilshire. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable rate "scratch and dent" residential mortgages.
Scratch and Dent deals are classified outside of Moody's primary
categorizations (Prime Jumbo, Subprime, Option ARMs and Alt-A) for
a number of reasons. The pools may include mortgages that have
been originated outside an originator's program guidelines in some
way, or mortgages where borrowers missed payments in the past.
These pools may also include loans with document defects at
origination that were since rectified. Due to the varied content
of Scratch and Dent mortgage pools, which can range from seasoned
prime-like loans to non-prime loans that were seriously delinquent
at the time of securitization, credit quality of these pools
varies considerably.
Ratings Rationale
The actions are a result of deteriorating performance of Scratch
and Dent pools under stressed housing and macroeconomic
conditions. The actions reflect Moody's updated loss expectations
on Scratch and Dent pools.
The principal methodology used in these ratings is described in
the Monitoring and Performance Review section in "Moody's Approach
to Rating US Residential Mortgage-Backed Securities" published in
December 2008. Other methodologies used include "US RMBS
Surveillance Methodology for Scratch and Dent" published in May
2011, which accounts for the deteriorating performance and
outlook.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. 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 approach "US RMBS Surveillance Methodology for Scratch and
Dent" 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 ranging from 3% for
prime-like loans to 11% for non-prime loans in Scratch and Dent
pools.. The baseline rate is generally higher than the average
rate of new delinquencies for larger pools. 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
near-prime Scratch and Dent pool with 74 loans , the adjusted rate
of new delinquency would be 3.03%. In addition, if the current
delinquency level 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 0.75 to
2.50 for current delinquencies ranging from less than 10% to
greater than 50% 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: Wilshire Mortgage Loan Trust 1997-02
-- A-6, Downgraded to Baa1 (sf); previously on Dec 23, 1997
Assigned Aaa (sf)
-- A-7, Downgraded to Baa1 (sf); previously on Dec 23, 1997
Assigned Aaa (sf)
-- M-1, Downgraded to Caa3 (sf); previously on Nov 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
-- M-2, Downgraded to C (sf); previously on Nov 18, 2010 Aa3
(sf) Placed Under Review for Possible Downgrade
-- M-3, Downgraded to C (sf); previously on Nov 18, 2010 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: Wilshire Funding Corporation Mortgage Backed Certificates,
Series 1996-3
-- M-2, Downgraded to Baa1 (sf); previously on Nov 14, 2002
Upgraded to Aaa (sf)
-- M-3, Downgraded to Caa2 (sf); previously on Nov 14, 2002
Upgraded to Aa1 (sf)
-- B-1, Downgraded to C (sf); previously on Nov 18, 2010 A1
(sf) Placed Under Review for Possible Downgrade
-- B-2, Downgraded to C (sf); previously on Nov 18, 2010 Baa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Wilshire Funding Corporation, Series 1997-WFC1
-- M-2, Downgraded to Aa1 (sf); previously on Nov 14, 2002
Upgraded to Aaa (sf)
-- M-3, Downgraded to Baa1 (sf); previously on Nov 14, 2002
Upgraded to Aa1 (sf)
Issuer: Wilshire Mortgage Funding Company VI, Inc., Series 1998-
WFC2
-- I-O, Downgraded to A1 (sf); previously on Jul 14, 1998
Assigned Aaa (sf)
-- M-1, Downgraded to A1 (sf); previously on Nov 14, 2002
Upgraded to Aaa (sf)
-- M-2, Downgraded to Ba1 (sf); previously on Nov 14, 2002
Upgraded to Aa2 (sf)
-- M-3, Downgraded to Caa2 (sf); previously on Nov 14, 2002
Upgraded to A2 (sf)
* Fitch Places 25 Franchise Loan ABS Transactions on RWN
--------------------------------------------------------
Fitch Ratings has placed various classes from 25 franchise loan
ABS transactions on Rating Watch Negative.
Fitch published its surveillance criteria for the franchise loan
sector titled 'Surveillance Criteria for Franchise Loan ABS.' All
Fitch-rated franchise loan bonds within these transactions rated
'Csf' or above are being placed on Rating Watch Negative and will
be reviewed in the coming months in accordance with the published
criteria.
Additionally, Fitch has affirmed all outstanding classes rated
'Dsf'.
Fitch has taken these rating actions:
ACLC Business Loan Receivables Trust 1998-2
-- Class B 'CCsf/RR2' placed on Rating Watch Negative;
-- Class C affirmed at 'Dsf/RR6'.
ACLC Franchise Loan Receivables Trust 1998-A
-- Class A-3 'Bsf' placed on Rating Watch Negative.
ACLC Business Loan Receivables Trust 1999-1
-- Class A-3 'CCsf/RR2' placed on Rating Watch Negative;
-- Class B affirmed at 'Dsf/RR5'
-- Class C affirmed at 'Dsf/RR6'.
ACLC Business Loan Receivables Trust 1999-2
-- Class D 'CCCsf/RR5' placed on Rating Watch Negative.
ACLC Business Loan Receivables Trust 2000-1
-- Class A-3f 'BBBsf' placed on Rating Watch Negative;
-- Class A-3a 'BBBsf' placed on Rating Watch Negative;
-- Class B affirmed at 'Dsf/RR2';
-- Class C affirmed at 'Dsf/RR6';
-- Class D affirmed at 'Dsf/RR6'.
Atherton Franchise Loan Funding 1997-A
-- Class B 'CCCsf/RR1 placed on Rating Watch Negative;
-- Class C affirmed at 'Dsf/RR3'.
Atherton Franchise Loan Funding 1998-A
-- Class D 'Bsf' placed on Rating Watch Negative;
-- Class E 'CCCsf/RR1' placed on Rating Watch Negative;
-- Class F affirmed at 'Dsf/RR2'.
Atherton Franchise Loan Funding 1999-A
-- Class A-2 'Asf' placed on Rating Watch Negative;
-- Class B 'BBBsf' placed on Rating Watch Negative;
-- Class C 'CCCsf/RR1' placed on Rating Watch Negative;
-- Class D affirmed at 'Dsf/RR4';
-- Class E affirmed at 'Dsf/RR6';
-- Class F affirmed at 'Dsf/RR6'.
Captec Loan Receivables Trust 1996-A
-- Class A 'CCsf/RR2' placed on Rating Watch Negative;
-- Class B 'Csf/RR5' placed on Rating Watch Negative.
Captec (Franchise Loan Trust) 1998-1
-- Class A-3 'BBsf' placed on Rating Watch Negative;
-- Class B 'CCCsf/RR3' placed on Rating Watch Negative;
-- Class C affirmed at 'Dsf/RR5'.
Captec Grantor Trust 2000-1
-- Class A-2 'BBBsf' placed on Rating Watch Negative;
-- Class B 'Bsf' placed on Rating Watch Negative;
-- Class C affirmed at 'Dsf/RR4';
-- Class D affirmed at 'Dsf/RR6';
-- Class E affirmed at 'Dsf/RR6';
-- Class F affirmed at 'Dsf/RR6'.
CNL Funding 1998-1
-- Class C-1 'Asf' placed on Rating Watch Negative;
-- Class C-2 'Asf' placed on Rating Watch Negative;
-- Class D-1 'BBsf' placed on Rating Watch Negative;
-- Class D-2 'BBsf' placed on Rating Watch Negative;
-- Class E-1 'CCsf/RR4' placed on Rating Watch Negative;
-- Class E-2 'CCCsf/RR4' placed on Rating Watch Negative;
-- Class F-1 affirmed at 'Dsf/RR6';
-- Class F-2 affirmed at 'Dsf/RR6';
-- Class G-1 affirmed at 'Dsf/RR6';
-- Class G-2 affirmed at 'Dsf/RR6'.
CNL Funding 1999-1
-- Class A-2 'AAAsf' placed on Rating Watch Negative;
-- Class B 'AAsf' placed on Rating Watch Negative;
-- Class C 'Asf' placed on Rating Watch Negative;
-- Class D 'A-sf' placed on Rating Watch Negative.
EMAC Owner Trust 1998-1
-- Class A-3 'CCsf/RR3' placed on Rating Watch Negative;
-- Class B affirmed at 'Dsf/RR6';
-- Class C affirmed at 'Dsf/RR6';
-- Class D affirmed at 'Dsf/RR6';
-- Class E affirmed at 'Dsf/RR6';
-- Class PI affirmed at 'Dsf/RR6'.
Falcon Franchise Loan Trust 2000-1
-- Class A-2 'AAAsf' placed on Rating Watch Negative;
-- Class B 'Asf' placed on Rating Watch Negative;
-- Class C 'BBBsf' placed on Rating Watch Negative;
-- Class D 'BBsf' placed on Rating Watch Negative;
-- Class E 'CCCsf/RR2' placed on Rating Watch Negative.
Falcon Auto Dealership Loan Trust 2001-1
-- Class A-2 'AA+sf' placed on Rating Watch Negative;
-- Class B 'Asf' placed on Rating Watch Negative;
-- Class C 'BBsf' placed on Rating Watch Negative;
-- Class D 'CCCsf/RR5' placed on Rating Watch Negative;
-- Class E affirmed at 'Dsf/RR6';
-- Class F affirmed at 'Dsf/RR6'.
Falcon Auto Dealership Loan Trust 2003-1
-- Class A-1 'BBsf' placed on Rating Watch Negative;
-- Class A-2 'BBsf' placed on Rating Watch Negative;
-- Class B 'CCsf/RR6' placed on Rating Watch Negative;
-- Class C 'Csf/RR6' placed on Rating Watch Negative;
-- Class D 'Csf/RR6' placed on Rating Watch Negative;
-- Class E 'Csf/RR6' placed on Rating Watch Negative;
-- Class F 'Csf/RR6' placed on Rating Watch Negative.
FFCA Secured Franchise Loan Trust 1999-1
-- Class C-1 'BBBsf' placed on Rating Watch Negative;
-- Class D-1 'BBB-sf' placed on Rating Watch Negative;
-- Class D-2 'BBB-sf' placed on Rating Watch Negative.
FFCA Secured Franchise Loan Trust 1999-2
-- Class B-1 'CCsf/RR1' placed on Rating Watch Negative;
-- Class B-2 affirmed at 'Dsf/RR5';
-- Class C-1 affirmed at 'Dsf/RR4';
-- Class C-2 affirmed at 'Dsf/RR6';
-- Class D-1 affirmed at 'Dsf/RR6';
-- Class D-2 affirmed at 'Dsf/RR6';
-- Class E-1 affirmed at 'Dsf/RR6';
-- Class E-2 affirmed at 'Dsf/RR6'.
FFCA Secured Franchise Loan Trust 2000-1
-- Class B 'Bsf' placed on Rating Watch Negative;
-- Class C 'CCCsf/RR1' placed on Rating Watch Negative;
-- Class D 'Csf/RR4' placed on Rating Watch Negative;
-- Class E 'Csf/RR5' placed on Rating Watch Negative.
FMAC Loan Receivables Trust 1997-A
-- Class C 'BBsf' placed on Rating Watch Negative;
-- Class D affirmed at 'Dsf/RR2';
-- Class E affirmed at 'Dsf/RR6';
-- Class F affirmed at 'Dsf/RR6'.
FMAC Loan Receivables Trust 1998-C
-- Class A-3 'BBsf' placed on Rating Watch Negative;
-- Class B 'CCCsf/RR1' placed on Rating Watch Negative;
-- Class C affirmed at 'Dsf/RR3';
-- Class D affirmed at 'Dsf/RR6';
-- Class E affirmed at 'Dsf/RR6';
-- Class F affirmed at 'Dsf/RR6'.
Global Franchise Trust 1998-1
-- Class A-2 'BB+sf' placed on Rating Watch Negative;
-- Class A-3 'CCCsf/RR2' placed on Rating Watch Negative;
-- Class B 'Csf/RR4' placed on Rating Watch Negative;
-- Class C 'Csf/RR6' placed on Rating Watch Negative;
-- Class D affirmed at 'Dsf/RR6';
-- Class E affirmed at 'Dsf/RR6'.
Morgan Stanley Dean Witter Mortgage Capital Owner Trust 2000-F1
-- Class B 'BBBsf' placed on Rating Watch Negative;
-- Class C 'BBsf' placed on Rating Watch Negative;
-- Class D 'Bsf' placed on Rating Watch Negative;
-- Class E 'Csf/RR1' placed on Rating Watch Negative;
-- Class F 'Csf/RR1' placed on Rating Watch Negative;
-- Class G 'Csf/RR3' placed on Rating Watch Negative.
Peachtree Franchise Loan Notes, Series 1999-A
-- Class A-2 'BBBsf' placed on Rating Watch Negative;
-- Class B 'Bsf' placed on Rating Watch Negative;
-- Class C affirmed at 'Dsf/RR4';
-- Class D affirmed at 'Dsf/RR6';
-- Class E affirmed at 'Dsf/RR6'.
* S&P Cuts Ratings on 24 Classes to 'D' on Non-Payment of Interest
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 24 classes from 14 collateralized debt obligation of asset-
backed securities (CDO of ABS) transactions, following the non-
payment of timely interest to these classes. "At the same time, we
lowered three ratings from one transaction to 'CC (sf)' following
the deterioration in the credit quality of the underlying
portfolio. We also withdrew our rating on Duke Funding IV Ltd.'s
A-1 tranche of following the complete paydown of the notes," S&P
stated
The downgraded classes had an initial issuance amount of
$5.151 billion.
Nine of the transactions are mezzanine structured finance (SF)
CDOs (backed substantially by residential mortgage-backed
securities [RMBS] initially rated 'A' or 'BBB'), three are high-
grade SF CDOs (backed substantially by RMBS initially rated 'AA'
or 'A'), two are CDOs of commercial mortgage-backed securities
(CMBS), and one is a CDO retranched from a CDO backed by mezzanine
SF securities.
"The rating actions reflect our criteria for ratings on CDO
transactions that have triggered an event of default (EOD) and
may be subject to acceleration or liquidation," S&P added.
Rating Actions
Belle Haven ABS CDO Ltd.
Rating
Class To From
A1SB-1 CC (sf) CCC- (sf)
A1SB-2 CC (sf) CCC- (sf)
A1ST CC (sf) CCC- (sf)
CBO Holdings XIV Ltd.
Rating
Class To From
A D (sf) CC (sf)
CWCapital COBALT III Synthetic CDO Ltd.
Rating
Class To From
B D (sf) CCC- (sf)
Duke Funding High Grade V
Rating
Class To From
A-1 D (sf) CC (sf)
A-2 D (sf) CC (sf)
Duke Funding IV Ltd.
Rating
Class To From
B D (sf) CC (sf)
Euler ABS CDO I Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
A-3 D (sf) CC (sf)
Fourth Street Funding Ltd.
Rating
Class To From
A-1 D (sf) CC (sf)
G-Star 2004-4 Ltd.
Rating
Class To From
A-2-A D (sf) CC (sf)
A-2-B D (sf) CC (sf)
Ischus Synthetic ABS CDO 2006-2 Ltd.
Rating
Class To From
A-1LA Dsrp (sf) CCsrp (sf)
Laguna Seca Funding I Ltd.
Rating
Class To From
A-1 D (sf) CC (sf)
Neptune CDO III Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
A-3 D (sf) CC (sf)
Orion 2006-1 Ltd.
Rating
Class To From
A D (sf) CC (sf)
Pyxis ABS CDO 2006-1 Ltd.
Rating
Class To From
UnfunSuper D (sf) CC (sf)
Robeco High Grade CDO I Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
Sorin Real Estate CDO II Ltd.
Rating
Class To From
C D (sf) CC (sf)
D D (sf) CC (sf)
E D (sf) CC (sf)
F D (sf) CC (sf)
G D (sf) CC (sf)
H D (sf) CC (sf)
J D (sf) CC (sf)
Rating Withdrawn
Duke Funding IV Ltd.
Rating
Class To From
A-1 NR CC (sf)
NR -- Not Rated.
* S&P Lowers Ratings on 32 Classes to 'D' on Payment Defaults
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D
(sf)' on 32 classes from eight U.S. residential mortgage-backed
securities (RMBS) Securitized Asset Backed Receivables LLC Trust
transactions issued in 2006-2007 and backed by subprime mortgage
loans. "We removed our ratings on nine of these classes from
CreditWatch with negative implications," S&P related.
The ratings lowered to 'D (sf)' reflect a payment default
following the servicing transfer of these transactions to Ocwen
Loan Servicing LLC from Barclays HomeEq. This transfer disrupted
cash flows to these classes, including timely interest payments.
Because the cash flows were disrupted, the classes did not receive
any monthly interest payments during at least one recent
remittance period.
Subordination, overcollateralization (prior to its depletion),
and excess spread provide credit support for the reviewed
transactions. The underlying collateral for these deals consists
of fixed- and adjustable-rate U.S. subprime mortgage loans secured
by first-lien and second-lien mortgages on one- to four-family
residential properties.
Rating Actions
Securitized Asset Backed Receivables LLC Trust 2006-FR4
Series 2006-FR4
Rating
Class CUSIP To From
A-1 81377GAM1 D (sf) CCC (sf)
A-2A 81377GAA7 D (sf) CCC (sf)
A-2B 81377GAB5 D (sf) CCC (sf)
A-2C 81377GAC3 D (sf) CCC (sf)
Securitized Asset Backed Receivables LLC Trust 2006-WM3
Series 2006-WM3
Rating
Class CUSIP To From
A-1 81377EAA2 D (sf) CCC (sf)
A-2 81377EAB0 D (sf) CCC (sf)
A-3 81377EAC8 D (sf) CCC (sf)
Securitized Asset Backed Receivables LLC Trust 2006-WM4
Series 2006-WM4
Rating
Class CUSIP To From
A-1 81377XAA0 D (sf) CCC (sf)
A-2A 81377XAB8 D (sf) CCC (sf)
A-2B 81377XAC6 D (sf) CCC (sf)
A-2C 81377XAD4 D (sf) CCC (sf)
A-2D 81377XAE2 D (sf) CCC (sf)
Securitized Asset Backed Receivables LLC Trust 2007-BR2
Series 2007-BR2
Rating
Class CUSIP To From
A-1 81378PAA6 D (sf) CCC (sf)
A-2 81378PAB4 D (sf) CCC (sf)
Securitized Asset Backed Receivables LLC Trust 2007-BR3
Series 2007-BR3
Rating
Class CUSIP To From
A-1 81377NAN4 D (sf) CCC (sf)
A-2A 81377NAA2 D (sf) B- (sf)/Watch Neg
A-2B 81377NAB0 D (sf) CCC (sf)
A-2C 81377NAC8 D (sf) CCC (sf)
Securitized Asset Backed Receivables LLC Trust 2007-BR4
Series 2007-BR4
Rating
Class CUSIP To From
A-1 81378EAN3 D (sf) B- (sf)/Watch Neg
A-2A 81378EAA1 D (sf) B- (sf)/Watch Neg
A-2B 81378EAB9 D (sf) B- (sf)/Watch Neg
A-2C 81378EAC7 D (sf) B- (sf)/Watch Neg
Securitized Asset Backed Receivables LLC Trust 2007-BR5
Series 2007-BR5
Rating
Class CUSIP To From
A-1 81379RAA1 D (sf) B- (sf)/Watch Neg
A-2A 81379EAA0 D (sf) B (sf)/Watch Neg
A-2B 81379EAB8 D (sf) B- (sf)/Watch Neg
A-2C 81379EAC6 D (sf) B- (sf)/Watch Neg
M-1 81379EAD4 D (sf) CCC (sf)
Securitized Asset Backed Receivables LLC Trust 2007-HE1
Series 2007-HE1
Rating
Class CUSIP To From
A-1 81377JAA1 D (sf) CCC (sf)
A-2A 81377JAB9 D (sf) CCC (sf)
A-2B 81377JAC7 D (sf) CCC (sf)
A-2C 81377JAD5 D (sf) CCC (sf)
A-2D 81377JAE3 D (sf) CCC (sf)
* S&P Lowers Ratings on 585 Classes of Certs. to 'D' on Defaults
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 585 classes of mortgage pass-through certificates from 348 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2008.
Approximately 69.05% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or subprime mortgage
loan collateral. The 585 defaulted classes consisted of the:
* 313 classes from Alt-A transactions (53.50% of all
defaults);
* 105 from prime jumbo transactions (17.95%);
* 91 from subprime transactions (15.56%);
* 63 from resecuritized real estate mortgage investment
conduit (re-REMIC) transactions;
* Three from reperforming transactions;
* Two from a seasoned loans transaction;
* Two from a risk-transfer transaction;
* Two from document deficient transactions;
* Two from outside-the-guidelines transactions;
* One from a closed ended second lien transaction; and
* One from an RMBS small balance commercial transaction.
"The 585 downgrades to 'D (sf)' reflect our assessment of
principal write-downs on the affected classes during recent
remittance periods. Three of the downgraded classes are bond-
insured by Ambac Assurance Corp. (Ambac) (currently rated 'NR'),"
S&P disclosed.
All of the ratings were rated 'CC (sf)' or 'CCC (sf)' before the
downgrades.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and will adjust
the ratings as it considers appropriate in accordance with its
criteria.
A list of the U.S. RMBS classes affected by the May 19, 2011
rating actions is available for free at:
http://bankrupt.com/misc/S&P_RMBS_Classes_5_19_11.pdf
* S&P Takes Rating Actions on Classes on 55 RMBS Transactions
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 169
classes from 53 U.S. residential mortgage-backed securities (RMBS)
transactions backed by prime jumbo mortgage loans issued in 2002-
2004. "In addition, we affirmed our ratings on 589 classes from 52
transactions with downgraded classes and two additional
transactions. We also withdrew our ratings on 12 interest-only
classes," S&P stated.
"The downgrades reflect our opinion that projected credit support
for the affected classes is insufficient to maintain the previous
ratings, given our current projected losses, due to increased
delinquencies," S&P related.
The rating affirmations reflect S&P's belief that the amount of
credit enhancement available for these classes is sufficient to
cover projected losses associated with these rating levels.
"We withdrew our ratings on 12 interest-only classes based on our
criteria whereby a rating on an interest-only class is withdrawn
as a result of the rating on the referenced class being lowered
below the applicable rating threshold (for more information, see
"Global Methodology For Rating Interest-Only Securities,"
published April 15, 2010)," S&P stated.
"To assess the creditworthiness of each class, we review the
respective transaction's ability to withstand additional credit
deterioration and the effect that projected losses will have on
each class. In order to maintain a 'B' rating on a class, we
assess whether the class can withstand the additional base-case
loss assumptions we use in our analysis. To maintain an 'AAA'
rating, we assess whether the class can withstand approximately
235% of our additional base-case loss assumptions, subject to
individual caps and qualitative factors applied to specific
transactions. To maintain a rating in categories between 'B' (the
base case) and 'AAA', we assess whether the class can withstand
losses exceeding the additional base-case assumption at a
percentage specific to each rating category, up to 235% for a
'AAA' rating. For example, we would assess whether one class could
withstand approximately 130% of our base-case loss assumptions to
maintain a 'BB' rating, while we would assess whether a different
class could withstand approximately 155% of our base-case loss
assumptions to maintain a 'BBB' rating," according to S&P.
Subordination provides credit support for the affected
transactions. The underlying collateral for these deals consists
of fixed- and adjustable-rate U.S. prime jumbo mortgage loans
secured by first liens on one- to four-family residential
properties.
Rating Actions
ABN AMRO Mortgage Corp.
Series 2003-8
Rating
Class CUSIP To From
M 000780KH8 A+ (sf) AA (sf)
B-1 000780KJ4 B- (sf) A- (sf)
B-2 000780KK1 CCC (sf) B+ (sf)
Banc of America Funding 2004-A Trust
Series 2004-A
Rating
Class CUSIP To From
B-1 06051GBF5 BB- (sf) BBB (sf)
B-2 06051GBG3 CCC (sf) B- (sf)
B-3 06051GBH1 CC (sf) CCC (sf)
Banc of America Mortgage 2003-7 Trust
Series 2003-7
Rating
Class CUSIP To From
B-3 05948XSY8 BB+ (sf) BBB (sf)
B-4 05948XSZ5 CCC (sf) B+ (sf)
Bear Stearns ARM Trust 2003-8
Series 2003-8
Rating
Class CUSIP To From
II-A-2 07384MZT2 AA+ (sf) AAA (sf)
IV-A-2 07384MZW5 AA+ (sf) AAA (sf)
B-1 07384MA28 B+ (sf) BB+ (sf)
B-2 07384MA36 CCC (sf) B- (sf)
Chase Mortgage Finance Trust, Series 2003-S5
Series 2003-S5
Rating
Class CUSIP To From
A-2 16162T5H5 NR (sf) AAA (sf)
B-2 16162T5V4 B+ (sf) BBB (sf)
B-3 16162T5W2 CCC (sf) BB (sf)
B-4 16162T5X0 CC (sf) B (sf)
CHL Mortgage Pass-Through Trust 2003-35
Series 2003-35
Rating
Class CUSIP To From
1-A-1 12669EYF7 AA- (sf) AAA (sf)
1-A-2 12669EYG5 AA- (sf) AAA (sf)
1-A-3 12669EYH3 AA- (sf) AAA (sf)
2-A-1 12669EYJ9 AA- (sf) AAA (sf)
PO 12669EYK6 AA- (sf) AAA (sf)
M 12669EYP5 B- (sf) AA (sf)
B-1 12669EYM2 CCC (sf) BBB+ (sf)
B-2 12669EYN0 CC (sf) B- (sf)
CHL Mortgage Pass-Through Trust 2003-40
Series 2003-40
Rating
Class CUSIP To From
M 12669EK96 BB (sf) BBB (sf)
B-1 12669EL20 CCC (sf) BB- (sf)
CHL Mortgage Pass-Through Trust 2003-48
Series 2003-48
Rating
Class CUSIP To From
1-A-1 12669EU79 A+ (sf) AAA (sf)
2-A-2 12669EU95 A+ (sf) AAA (sf)
2-A-3 12669EV29 A+ (sf) AAA (sf)
2-X-1 12669EV37 NR (sf) AAA (sf)
M 12669EV52 BB (sf) AA- (sf)
B-1 12669EV60 CCC (sf) BB (sf)
B-2 12669EV78 CC (sf) CCC (sf)
CHL Mortgage Pass-Through Trust 2003-50
Series 2003-50
Rating
Class CUSIP To From
A-1 12669E5B8 BBB+ (sf) AAA (sf)
PO 12669E5C6 BBB+ (sf) AAA (sf)
CHL Mortgage Pass-Through Trust 2003-J10
Series 2003-J10
Rating
Class CUSIP To From
M 12669FEB5 BBB+ (sf) AA (sf)
B-1 12669FEC3 B (sf) A (sf)
B-2 12669FED1 CC (sf) BB+ (sf)
B-3 12669FAG8 CC (sf) CCC (sf)
CHL Mortgage Pass-Through Trust 2003-J6
Series 2003-J6
Rating
Class CUSIP To From
1-A-1 12669EQS8 AA+ (sf) AAA (sf)
PO 12669EQY5 AA+ (sf) AAA (sf)
M 12669ERA6 A (sf) AA+ (sf)
B-1 12669ERB4 B+ (sf) A+ (sf)
B-2 12669ERC2 CCC (sf) BB- (sf)
CHL Mortgage Pass-Through Trust 2003-J7
Series 2003-J7
Rating
Class CUSIP To From
M 12669EYC4 AA- (sf) AA+ (sf)
B-1 12669EYD2 BB- (sf) AA (sf)
B-2 12669EYE0 CCC (sf) BBB+ (sf)
B-3 12669ED37 CC (sf) B+ (sf)
B-4 12669ED45 CC (sf) CCC (sf)
CHL Mortgage Pass-Through Trust 2003-J8
Series 2003-J8
Rating
Class CUSIP To From
1-A-2 12669EW44 AA (sf) AAA (sf)
1-A-3 12669EW51 BB- (sf) AA- (sf)
1-A-4 12669EW69 BB- (sf) AA (sf)
1-X 12669EW77 AA (sf) AAA (sf)
2-A-1 12669EW85 BBB- (sf) AAA (sf)
2-X 12669EW93 NR (sf) AAA (sf)
PO 12669EX27 BB- (sf) AA- (sf)
M 12669EX43 CCC (sf) BB- (sf)
CHL Mortgage Pass-Through Trust 2003-J9
Series 2003-J9
Rating
Class CUSIP To From
M 12669E3X2 BB- (sf) AA (sf)
B-1 12669E3Y0 CCC (sf) A (sf)
B-2 12669E3Z7 CC (sf) BB+ (sf)
B-3 12669E5H5 CC (sf) B (sf)
CHL Mortgage Pass-Through Trust 2004-6
Series 2004-6
Rating
Class CUSIP To From
1-A-1 12669FVD2 BB (sf) A- (sf)
1-A-2 12669FVE0 BB (sf) A- (sf)
1-A-3 12669FVF7 BB (sf) A- (sf)
2-A-1 12669FVH3 BB (sf) A (sf)
M 12669FVK6 CC (sf) CCC (sf)
Citicorp Mortgage Securities Inc.
Series 2003-6
Rating
Class CUSIP To From
B-3 172973QQ5 CCC (sf) B (sf)
B-4 172973QR3 CC (sf) CCC (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-19
Rating
Class CUSIP To From
C-B-1 22541QNB4 A- (sf) AA (sf)
C-B-2 22541QNC2 B (sf) A- (sf)
C-B-3 22541QND0 CC (sf) B- (sf)
CSFB Mortgage-Backed Trust Series 2003-25
Series 2003-25
Rating
Class CUSIP To From
I-A-2 22541QYF3 NR (sf) AAA (sf)
C-B-2 22541QYY2 BBB (sf) A (sf)
C-B-3 22541QYZ9 CCC (sf) BBB- (sf)
C-B-4 22541QZG0 CC (sf) B- (sf)
GSR Mortgage Loan Trust 2003-7F
Series 2003-7F
Rating
Class CUSIP To From
B3 36228FVC7 A- (sf) A+ (sf)
B4 36228FVE3 B+ (sf) BBB+ (sf)
B5 36228FVF0 CC (sf) BB- (sf)
MASTR Adjustable Rate Mortgages Trust 2003-2
Series 2003-2
Rating
Class CUSIP To From
B-1 576433DR4 BBB+ (sf) AA (sf)
B-2 576433DS2 B- (sf) BB (sf)
MASTR Adjustable Rate Mortgages Trust 2003-4
Series 2003-4
Rating
Class CUSIP To From
1-A-1 576433EQ5 AA+ (sf) AAA (sf)
2-A-1 576433ER3 AA+ (sf) AAA (sf)
3-A-1 576433ES1 AA+ (sf) AAA (sf)
B-1 576433EU6 B (sf) BB (sf)
B-2 576433EV4 CC (sf) CCC (sf)
MASTR Adjustable Rate Mortgages Trust 2003-5
Series 2003-5
Rating
Class CUSIP To From
B-1 576433FP6 BB (sf) A- (sf)
B-2 576433FQ4 CCC (sf) B+ (sf)
B-3 576433FR2 CC (sf) CCC (sf)
MASTR Asset Securitization Trust 2003-10
Series 2003-10
Rating
Class CUSIP To From
B-1 55265KV30 B- (sf) AA (sf)
B-2 55265KV48 CCC (sf) BB (sf)
B-3 55265KV55 CC (sf) B- (sf)
MASTR Asset Securitization Trust 2003-11
Series 2003-11
Rating
Class CUSIP To From
2-A-12 55265KX87 NR (sf) AAA (sf)
6-A-13 55265K2A6 NR (sf) AAA (sf)
B-2 55265K3F4 BB+ (sf) BBB- (sf)
B-3 55265K3G2 CCC (sf) B- (sf)
MASTR Asset Securitization Trust 2003-5
Series 2003-5
Rating
Class CUSIP To From
B-2 55265KYC7 A (sf) A+ (sf)
B-3 55265KYD5 B+ (sf) BBB (sf)
B-4 55265KXE4 CCC (sf) B- (sf)
MASTR Asset Securitization Trust 2003-8
Series 2003-8
Rating
Class CUSIP To From
B-1 55265KN54 BB (sf) BBB- (sf)
B-2 55265KN62 B (sf) B+ (sf)
MASTR Asset Securitization Trust 2004-10
Series 2004-10
Rating
Class CUSIP To From
B-1 57643MHT4 B+ (sf) BB+ (sf)
B-3 57643MHV9 CC (sf) CCC (sf)
MASTR Asset Securitization Trust 2004-P2
Series 2004-P2
Rating
Class CUSIP To From
A-I-IO 55265K4R7 NR (sf) AAA (sf)
B-3 55265K4X4 BBB- (sf) BBB (sf)
B-4 55265K4Y2 CCC (sf) BB (sf)
B-5 55265K4Z9 CC (sf) B (sf)
Merrill Lynch Mortgage Investors Inc.
Series 2003-A4
Rating
Class CUSIP To From
M-3 589929X45 BB- (sf) BBB+ (sf)
B-1 589929X86 CC (sf) B- (sf)
Sequoia Mortgage Trust 2004-4
Series 2004-4
Rating
Class CUSIP To From
X-B 81744FBJ5 NR (sf) AA (sf)
B-1 81744FBK2 A (sf) AA (sf)
B-2 81744FBL0 CCC (sf) B (sf)
Thornburg Mortgage Securities Trust 2003-5
Series 2003-5
Rating
Class CUSIP To From
B-2 885220EJ8 BBB- (sf) A (sf)
B-3 885220EK5 CCC (sf) B+ (sf)
B-4 885220EL3 CC (sf) CCC (sf)
Thornburg Mortgage Securities Trust 2004-2
Series 2004-2
Rating
Class CUSIP To From
B-3 885220FN8 CCC (sf) B (sf)
B-4 885220FP3 CC (sf) CCC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust
Series 2003-AR11
Rating
Class CUSIP To From
B-1 92922FJJ8 A (sf) AA (sf)
B-2 92922FJK5 B- (sf) BB (sf)
B-3 92922FJL3 CC (sf) CCC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust
Series 2003-AR7
Rating
Class CUSIP To From
B-1 9292276N1 A (sf) AA+ (sf)
B-2 9292276P6 B- (sf) A (sf)
B-3 9292276Q4 CC (sf) B (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-S11 Trust
Series 2003-S11
Rating
Class CUSIP To From
B-1 92922FHD3 BBB+ (sf) AA (sf)
B-2 92922FHE1 B (sf) A (sf)
B-3 92922FHF8 CCC (sf) BB (sf)
B-4 92922FHH4 CC (sf) CCC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-S4 Trust
Series 2003-S4
Rating
Class CUSIP To From
II-A-6 9292274Y9 NR (sf) AAA (sf)
C-B-3 9292275S1 BB+ (sf) BBB+ (sf)
C-B-4 9292275U6 CCC (sf) BB- (sf)
C-B-5 9292275V4 CC (sf) CCC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-S6 Trust
Series 2003-S6
Rating
Class CUSIP To From
C-B-2 9292277N0 BBB- (sf) A (sf)
C-B-3 9292277P5 CCC (sf) B (sf)
WaMu Mortgage Pass-Through Certificates, Series 2003-AR8 Trust
Series 2003-AR8
Rating
Class CUSIP To From
B2 92922FAV0 B+ (sf) A (sf)
B3 92922FAW8 CCC (sf) BBB- (sf)
B4 92922FAY4 CC (sf) B (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates Series
2003-AR3
Trust
Series 2003-AR3
Rating
Class CUSIP To From
B-1 939336H30 AA- (sf) AA+ (sf)
B-2 939336H48 BB- (sf) A- (sf)
B-3 939336H55 CC (sf) B (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates Series
2003-MS2
Trust
Series 2003-MS2
Rating
Class CUSIP To From
C-B-3 939336RQ8 BB+ (sf) A (sf)
C-B-4 939336RS4 CCC (sf) B (sf)
C-B-5 939336RT2 CC (sf) CCC (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates, Series
2002-MS9
Trust
Series 2002-MS9
Rating
Class CUSIP To From
C-B-2 939336HV8 A (sf) AAA (sf)
C-B-3 939336HW6 B (sf) AA+ (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates, Series
2003-AR2
Trust
Series 2003-AR2
Rating
Class CUSIP To From
II-X-1 939336E66 NR (sf) AAA (sf)
II-X-2 939336E74 NR (sf) AAA (sf)
II-X-3 939336E82 NR (sf) AAA (sf)
M 939336E90 AA- (sf) AAA (sf)
B-1 939336F24 B+ (sf) BBB (sf)
B-2 939336F32 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2003-10 Trust
Series 2003-10
Rating
Class CUSIP To From
B-1 949762AG3 BBB+ (sf) AA- (sf)
B-2 949762AH1 BB- (sf) BBB- (sf)
B-3 949762AJ7 CCC (sf) B- (sf)
Wells Fargo Mortgage Backed Securities 2003-11 Trust
Series 2003-11
Rating
Class CUSIP To From
B-3 949761AW0 BB (sf) BBB (sf)
B-4 949761AX8 CCC (sf) B- (sf)
Wells Fargo Mortgage Backed Securities 2003-8 Trust
Series 2003-8
Rating
Class CUSIP To From
B-1 94979RAN0 A- (sf) AA (sf)
B-2 94979RAP5 BB (sf) A (sf)
B-3 94979RAQ3 CCC (sf) BBB (sf)
B-4 94979RAR1 CC (sf) BB (sf)
B-5 94979RAS9 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2003-G Trust
Series 2003-G
Rating
Class CUSIP To From
B-3 94979WAG4 B+ (sf) BBB (sf)
B-4 94979WAH2 CCC (sf) BB (sf)
B-5 94979WAJ8 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2003-K Trust
Series 2003-K
Rating
Class CUSIP To From
B-3 949768AW5 BB- (sf) BBB (sf)
B-4 949913AA5 CCC (sf) BB (sf)
Wells Fargo Mortgage Backed Securities 2003-L Trust
Series 2003-L
Rating
Class CUSIP To From
B-2 949769AK9 BB+ (sf) A (sf)
B-3 949769AL7 CCC (sf) BB (sf)
B-4 949769AM5 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2004-B Trust
Series 2004-B
Rating
Class CUSIP To From
B-3 94981KAE1 BB- (sf) BBB (sf)
B-4 94981KAF8 CCC (sf) BB (sf)
B-5 94981KAG6 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2004-F Trust
Series 2004-F
Rating
Class CUSIP To From
B-2 949770AP6 BBB (sf) A (sf)
B-3 949770AQ4 B- (sf) BB (sf)
B-4 949770AR2 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2004-I Trust
Series 2004-I
Rating
Class CUSIP To From
B-3 949812AG6 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2004-O Trust
Series 2004-O
Rating
Class CUSIP To From
B-1 949758AF3 AA- (sf) AA (sf)
B-2 949758AG1 BB- (sf) A (sf)
B-3 949758AH9 CCC (sf) BB- (sf)
B-4 949758AA4 CC (sf) CCC (sf)
Wells Fargo Mortgage Backed Securities 2004-R Trust
Series 2004-R
Rating
Class CUSIP To From
I-A-1 94981GAD2 AA (sf) AAA (sf)
I-A-2 94981GAE0 AA (sf) AAA (sf)
B-2 94981GAK6 CC (sf) CCC (sf)
Ratings Affirmed
ABN AMRO Mortgage Corp.
Series 2003-8
Class CUSIP Rating
A-1 000780HU3 AAA (sf)
A-2 000780HV1 AAA (sf)
A-3 000780HW9 AAA (sf)
A-4 000780HX7 AAA (sf)
A-8 000780JB3 AAA (sf)
A-12 000780JF4 AAA (sf)
A-13 000780JG2 AAA (sf)
A-18 000780JM9 AAA (sf)
A-19 000780JN7 AAA (sf)
A-20 000780JP2 AAA (sf)
A-21 000780JQ0 AAA (sf)
A-23 000780JS6 AAA (sf)
A-24 000780JT4 AAA (sf)
A-25 000780JU1 AAA (sf)
A-26 000780JV9 AAA (sf)
A-29 000780JY3 AAA (sf)
A-30 000780JZ0 AAA (sf)
A-P 000780KF2 AAA (sf)
A-X 000780KG0 AAA (sf)
Banc of America Funding 2004-A Trust
Series 2004-A
Class CUSIP Rating
1-A-1 06051GAV1 AAA (sf)
1-A-2 06051GAW9 AAA (sf)
1-A-3 06051GAX7 AAA (sf)
1-A-4 06051GAY5 AAA (sf)
2-A-1 06051GBB4 AAA (sf)
3-A-1 06051GBC2 AAA (sf)
4-A-1 06051GBD0 AAA (sf)
5-A-1 06051GBE8 AAA (sf)
B-4 06051GBJ7 CC (sf)
Banc of America Mortgage 2003-7 Trust
Series 2003-7
Class CUSIP Rating
A-1 05948XSQ5 AAA (sf)
A-2 05948XSR3 AAA (sf)
A-3 05948XSS1 AAA (sf)
A-WIO 05948XSU6 AAA (sf)
A-PO 05948XSV4 AAA (sf)
B-1 05948XSW2 AA (sf)
B-2 05948XSX0 A (sf)
B-5 05948XTA9 CC (sf)
Bear Stearns ARM Trust 2003-8
Series 2003-8
Class CUSIP Rating
I-A-1 07384MZQ8 AAA (sf)
I-A-2 07384MZR6 AAA (sf)
II-A-1 07384MZS4 AAA (sf)
III-A 07384MZU9 AAA (sf)
IV-A-1 07384MZV7 AAA (sf)
V-A 07384MZX3 AAA (sf)
B-3 07384MA44 CC (sf)
B-4 07384MA51 CC (sf)
B-5 07384MA69 CC (sf)
Chase Mortgage Finance Trust, Series 2003-S5
Series 2003-S5
Class CUSIP Rating
A-7 16162T5N2 AAA (sf)
A-8 16162T5P7 AAA (sf)
A-9 16162T5Q5 AAA (sf)
A-X 16162T5R3 AAA (sf)
A-P 16162T5S1 AAA (sf)
B-1 16162T5U6 AA- (sf)
CHL Mortgage Pass-Through Trust 2002-18
Series 2002-18
Class CUSIP Rating
A-1 12669C7L8 AAA (sf)
A-8 12669C7T1 AAA (sf)
A-9 12669C7U8 AAA (sf)
PO 12669C7X2 AAA (sf)
M 12669C7Z7 AA (sf)
B-1 12669C8A1 CCC (sf)
B-2 12669C8B9 CCC (sf)
CHL Mortgage Pass-Through Trust 2003-35
Series 2003-35
Class CUSIP Rating
B-3 12669EYY6 CC (sf)
B-4 12669EYZ3 CC (sf)
CHL Mortgage Pass-Through Trust 2003-40
Series 2003-40
Class CUSIP Rating
A-1 12669EK21 AAA (sf)
A-2 12669EK39 AAA (sf)
A-3 12669EK47 AAA (sf)
A-5 12669EK62 AAA (sf)
PO 12669EK70 AAA (sf)
B-2 12669EL38 CC (sf)
B-3 12669EM45 CC (sf)
B-4 12669EM52 CC (sf)
CHL Mortgage Pass-Through Trust 2003-48
Series 2003-48
Class CUSIP Rating
B-3 12669EV86 CC (sf)
B-4 12669EV94 CC (sf)
CHL Mortgage Pass-Through Trust 2003-J10
Series 2003-J10
Class CUSIP Rating
1-A-1 12669FDJ9 AAA (sf)
1-A-2 12669FDK6 AAA (sf)
1-A-5 12669FDN0 AAA (sf)
1-A-6 12669FDP5 AAA (sf)
1-A-7 12669FDQ3 AAA (sf)
1-A-8 12669FDR1 AAA (sf)
1-A-9 12669FDS9 AAA (sf)
1-A-10 12669FDT7 AAA (sf)
1-X 12669FDU4 AAA (sf)
2-A-1 12669FDV2 AAA (sf)
2-X 12669FDW0 AAA (sf)
3-A-1 12669FDX8 AAA (sf)
3-X 12669FDY6 AAA (sf)
PO 12669FDZ3 AAA (sf)
B-4 12669FAH6 CC (sf)
CHL Mortgage Pass-Through Trust 2003-J6
Series 2003-J6
Class CUSIP Rating
2-A-1 12669EQT6 AAA (sf)
2-A-2 12669EQU3 AAA (sf)
2-A-3 12669EQV1 AAA (sf)
2-X 12669EQW9 AAA (sf)
3-A-1 12669EQX7 AAA (sf)
B-3 12669EVN3 CC (sf)
B-4 12669EVP8 CC (sf)
CHL Mortgage Pass-Through Trust 2003-J7
Series 2003-J7
Class CUSIP Rating
1-A-2 12669EXC5 AAA (sf)
1-A-3 12669EXD3 AAA (sf)
1-X 12669EXE1 AAA (sf)
2-A-5 12669EXK7 AAA (sf)
2-A-6 12669EXL5 AAA (sf)
2-A-7 12669EXM3 AAA (sf)
2-A-8 12669EXN1 AAA (sf)
2-A-9 12669EXP6 AAA (sf)
2-A-10 12669EXQ4 AAA (sf)
2-A-11 12669EXR2 AAA (sf)
2-A-12 12669EXS0 AAA (sf)
2-A-13 12669EA48 AAA (sf)
2-A-14 12669EA55 AAA (sf)
2-X 12669EXT8 AAA (sf)
3-A-1 12669EXU5 AAA (sf)
3-A-2 12669EA63 AAA (sf)
3-A-3 12669EA71 AAA (sf)
3-X 12669EXV3 AAA (sf)
4-A-1 12669EXW1 AAA (sf)
4-A-2 12669EXX9 AAA (sf)
4-A-3 12669EXY7 AAA (sf)
4-X 12669EXZ4 AAA (sf)
PO 12669EYA8 AAA (sf)
CHL Mortgage Pass-Through Trust 2003-J8
Series 2003-J8
Class CUSIP Rating
B-1 12669EX50 CC (sf)
B-2 12669EX68 CC (sf)
B-3 12669E2J4 CC (sf)
CHL Mortgage Pass-Through Trust 2003-J9
Series 2003-J9
Class CUSIP Rating
1-A-4 12669E3M6 AAA (sf)
1-A-5 12669E3N4 AAA (sf)
1-A-6 12669E3P9 AAA (sf)
1-A-7 12669E5P7 AAA (sf)
1-X 12669E3Q7 AAA (sf)
2-A-1 12669E3R5 AAA (sf)
2-X 12669E3S3 AAA (sf)
3-A-1 12669E3T1 AAA (sf)
3-A-2 12669E5Q5 AAA (sf)
3-X 12669E3U8 AAA (sf)
PO 12669E3V6 AAA (sf)
B-4 12669E5J1 CC (sf)
CHL Mortgage Pass-Through Trust 2004-6
Series 2004-6
Class CUSIP Rating
B-1 12669FVL4 CC (sf)
B-2 12669FVM2 CC (sf)
Citicorp Mortgage Securities Inc.
Series 2003-6
Class CUSIP Rating
IA-1 172973QE2 AAA (sf)
IA-2 172973QF9 AAA (sf)
IA-3 172973QG7 AAA (sf)
IA-4 172973QH5 AAA (sf)
IA-PO 172973QJ1 AAA (sf)
IIA-1 172973QK8 AAA (sf)
IIA-2 172973QL6 AAA (sf)
IIA-3 172973QM4 AAA (sf)
IA-IO 1729739A8 AAA (sf)
IIA-IO 1729739B7 AAA (sf)
B-1 172973QN2 AA (sf)
B-2 172973QP7 A- (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-19
Class CUSIP Rating
I-A-1 22541QLX8 AAA (sf)
I-A-2 22541QLY6 AAA (sf)
I-A-4 22541QMA7 AAA (sf)
I-A-14 22541QML3 AAA (sf)
I-A-15 22541QMM1 AAA (sf)
I-A-19 22541QMR0 AAA (sf)
I-A-23 22541QMV1 AAA (sf)
I-X 22541QMX7 AAA (sf)
I-P 22541QMZ2 AAA (sf)
II-A-1 22541QMW9 AAA (sf)
II-X 22541QMY5 AAA (sf)
II-P 22541QNA6 AAA (sf)
C-B-4 22541QLU4 CC (sf)
C-B-5 22541QLV2 CC (sf)
CSFB Mortgage-Backed Trust Series 2003-25
Series 2003-25
Class CUSIP Rating
I-A-4 22541QYG1 AAA (sf)
I-A-5 22541QYH9 AAA (sf)
I-A-7 22541QYK2 AAA (sf)
I-A-8 22541QYL0 AAA (sf)
I-A-9 22541QZN5 AAA (sf)
I-A-10 22541QYM8 AAA (sf)
I-A-11 22541QF56 AAA (sf)
I-X 22541QYS5 AAA (sf)
II-X 22541QYT3 AAA (sf)
I-P 22541QYW6 AAA (sf)
II-P 22541QYV8 AAA (sf)
C-B-1 22541QYX4 AA (sf)
C-B-5 22541QZH8 CC (sf)
II-A-1 22541QYN6 AAA (sf)
GSR Mortgage Loan Trust 2003-7F
Series 2003-7F
Class CUSIP Rating
IA-1 36228FTT3 AAA (sf)
IA-2 36228FTU0 AAA (sf)
IA-3 36228FTV8 AAA (sf)
IA-4 36228FTW6 AAA (sf)
IA-5 36228FTX4 AAA (sf)
IIA-4 36228FUB0 AAA (sf)
IIA-5 36228FUC8 AAA (sf)
IIIA-1 36228FUD6 AAA (sf)
IIIA-2 36228FUE4 AAA (sf)
IIIA-3 36228FUF1 AAA (sf)
IVA-1 36228FUJ3 AAA (sf)
IVA-2 36228FUK0 AAA (sf)
VA-1 36228FUN4 AAA (sf)
VA-2 36228FUP9 AAA (sf)
VA-3 36228FUQ7 AAA (sf)
VA-5 36228FUS3 AAA (sf)
VIA-1 36228FUT1 AAA (sf)
A-P 36228FUU8 AAA (sf)
A-1X 36228FUV6 AAA (sf)
A-X3 36228FUW4 AAA (sf)
A-X4 36228FUX2 AAA (sf)
A-X5 36228FUY0 AAA (sf)
A-X6 36228FUZ7 AAA (sf)
B1 36228FVA1 AAA (sf)
B2 36228FVB9 AA+ (sf)
MASTR Adjustable Rate Mortgages Trust 2003-2
Series 2003-2
Class CUSIP Rating
1-A-1 576433DE3 AAA (sf)
2-A-1 576433DF0 AAA (sf)
3-A-1 576433DG8 AAA (sf)
3-A-X 576433DH6 AAA (sf)
4-A-1 576433DJ2 AAA (sf)
4-A-2 576433DK9 AAA (sf)
4-A-X 576433DL7 AAA (sf)
5-A-1 576433DM5 AAA (sf)
5-A-2 576433DX1 AAA (sf)
6-A-1 576433DN3 AAA (sf)
6-A-X 576433DP8 AAA (sf)
B-3 576433DT0 CC (sf)
MASTR Adjustable Rate Mortgages Trust 2003-4
Series 2003-4
Class CUSIP Rating
B-3 576433EW2 CC (sf)
MASTR Adjustable Rate Mortgages Trust 2003-5
Series 2003-5
Class CUSIP Rating
1-A-1 576433FA9 AAA (sf)
1-A-2 576433FB7 AAA (sf)
1-A-X 576433FC5 AAA (sf)
2-A-1 576433FD3 AAA (sf)
2-A-X 576433FE1 AAA (sf)
3-A-1 576433FF8 AAA (sf)
4-A-1 576433FG6 AAA (sf)
4-A-2 576433FH4 AAA (sf)
4-A-3 576433FJ0 AAA (sf)
4-A-X 576433FK7 AAA (sf)
5-A-1 576433FL5 AAA (sf)
6-A-1 576433FM3 AAA (sf)
B-4 576433FV3 CC (sf)
MASTR Asset Securitization Trust 2003-10
Series 2003-10
Class CUSIP Rating
1-A-1 55265KS91 AAA (sf)
1-A-2 55265KT25 AAA (sf)
2-A-1 55265KT33 AAA (sf)
3-A-1 55265KT41 AAA (sf)
3-A-2 55265KT58 AAA (sf)
3-A-3 55265KT66 AAA (sf)
3-A-4 55265KT74 AAA (sf)
3-A-5 55265KT82 AAA (sf)
3-A-6 55265KT90 AAA (sf)
3-A-7 55265KU23 AAA (sf)
4-A-1 55265KU31 AAA (sf)
5-A-1 55265KU49 AAA (sf)
6-A-1 55265KU56 AAA (sf)
15-PO 55265KU64 AAA (sf)
30-PO 55265KU72 AAA (sf)
15-A-X 55265KU80 AAA (sf)
30-A-X 55265KU98 AAA (sf)
B-4 55265KV63 CC (sf)
B-5 55265KV71 CC (sf)
MASTR Asset Securitization Trust 2003-11
Series 2003-11
Class CUSIP Rating
1-A-1 55265KW47 AAA (sf)
2-A-1 55265KW54 AAA (sf)
2-A-7 55265KX38 AAA (sf)
2-A-8 55265KX46 AAA (sf)
2-A-9 55265KX53 AAA (sf)
2-A-10 55265KX61 AAA (sf)
2-A-11 55265KX79 AAA (sf)
3-A-1 55265KX95 AAA (sf)
3-A-2 55265KY29 AAA (sf)
3-A-3 55265KY37 AAA (sf)
4-A-1 55265KY45 AAA (sf)
5-A-1 55265KY52 AAA (sf)
5-A-2 55265K3H0 AAA (sf)
6-A-3 55265KY86 AAA (sf)
6-A-4 55265KY94 AAA (sf)
6-A-6 55265KZ36 AAA (sf)
6-A-7 55265KZ44 AAA (sf)
6-A-8 55265KZ51 AAA (sf)
6-A-9 55265KZ69 AAA (sf)
6-A-10 55265KZ77 AAA (sf)
6-A-11 55265KZ85 AAA (sf)
6-A-14 55265K2B4 AAA (sf)
6-A-15 55265K2C2 AAA (sf)
6-A-16 55265K2D0 AAA (sf)
6-A-17 55265K2E8 AAA (sf)
7-A-1 55265K2F5 AAA (sf)
7-A-2 55265K2G3 AAA (sf)
7-A-3 55265K2H1 AAA (sf)
7-A-4 55265K2J7 AAA (sf)
7-A-5 55265K2K4 AAA (sf)
7-A-6 55265K2L2 AAA (sf)
7-A-7 55265K2M0 AAA (sf)
8-A-1 55265K2N8 AAA (sf)
9-A-1 55265K2P3 AAA (sf)
9-A-2 55265K2Q1 AAA (sf)
9-A-3 55265K2R9 AAA (sf)
9-A-4 55265K2S7 AAA (sf)
9-A-5 55265K2T5 AAA (sf)
9-A-6 55265K2U2 AAA (sf)
9-A-7 55265K2V0 AAA (sf)
9-A-8 55265K2W8 AAA (sf)
10-A-1 55265K2X6 AAA (sf)
30-PO 55265K2Z1 AAA (sf)
15-A-X 55265K3A5 AAA (sf)
30-A-X 55265K3B3 AAA (sf)
B-1 55265K3E7 AA (sf)
B-4 55265KV97 CC (sf)
B-5 55265KW21 CC (sf)
15-P0 55265K2Y4 AAA (sf)
MASTR Asset Securitization Trust 2003-5
Series 2003-5
Class CUSIP Rating
1-A-1 55265KXH7 AAA (sf)
2-A-1 55265KXJ3 AAA (sf)
2-A-5 55265KXN4 AAA (sf)
3-A-1 55265KXP9 AAA (sf)
4-A-1 55265KXQ7 AAA (sf)
4-A-2 55265KXR5 AAA (sf)
4-A-3 55265KXS3 AAA (sf)
4-A-4 55265KXT1 AAA (sf)
4-A-5 55265KXU8 AAA (sf)
5-A-1 55265KXV6 AAA (sf)
15-PO 55265KXW4 AAA (sf)
30-PO 55265KXX2 AAA (sf)
15-AX 55265KXY0 AAA (sf)
30-AX 55265KXZ7 AAA (sf)
B-1 55265KYB9 AA+ (sf)
B-5 55265KXF1 CC (sf)
MASTR Asset Securitization Trust 2003-8
Series 2003-8
Class CUSIP Rating
1-A-1 55265KJ91 AAA (sf)
2-A-1 55265KK24 AAA (sf)
3-A-1 55265KK32 AAA (sf)
3-A-2 55265KK40 AAA (sf)
3-A-3 55265KK57 AAA (sf)
3-A-4 55265KK65 AAA (sf)
3-A-5 55265KK73 AAA (sf)
3-A-6 55265KK81 AAA (sf)
3-A-7 55265KK99 AAA (sf)
3-A-11 55265KL56 AAA (sf)
3-A-12 55265KL64 AAA (sf)
3-A-13 55265KL72 AAA (sf)
4-A-1 55265KL80 AAA (sf)
4-A-2 55265KL98 AAA (sf)
5-A-1 55265KM22 AAA (sf)
5-A-2 55265KM30 AAA (sf)
6-A-1 55265KM48 AAA (sf)
7-A-1 55265KM55 AAA (sf)
8-A-1 55265KM63 AAA (sf)
15-PO 55265KM71 AAA (sf)
30-PO 55265KM89 AAA (sf)
PP-A-X 55265KM97 AAA (sf)
15-A-X 55265KN21 AAA (sf)
30-A-X 55265KN39 AAA (sf)
B-3 55265KN70 CCC (sf)
B-4 55265KN88 CC (sf)
B-5 55265KN96 CC (sf)
MASTR Asset Securitization Trust 2004-10
Series 2004-10
Class CUSIP Rating
1-A-1 57643MGV0 AAA (sf)
2-A-1 57643MGW8 AAA (sf)
2-A-2 57643MGX6 AAA (sf)
2-A-3 57643MGY4 AAA (sf)
3-A-1 57643MGZ1 AAA (sf)
4-A-1 57643MHA5 AAA (sf)
4-A-2 57643MHB3 AAA (sf)
4-A-3 57643MHC1 AAA (sf)
4-A-4 57643MHD9 AAA (sf)
5-A-1 57643MHE7 AAA (sf)
5-A-2 57643MHF4 AAA (sf)
5-A-3 57643MHG2 AAA (sf)
5-A-4 57643MHH0 AAA (sf)
5-A-5 57643MHJ6 AAA (sf)
5-A-6 57643MHK3 AAA (sf)
6-A-1 57643MHL1 AAA (sf)
15-PO 57643MHM9 AAA (sf)
30-PO 57643MHN7 AAA (sf)
15-A-X 57643MHP2 AAA (sf)
30-A-X 57643MHQ0 AAA (sf)
B-2 57643MHU1 CCC (sf)
B-4 57643MHW7 CC (sf)
B-5 57643MHX5 CC (sf)
MASTR Asset Securitization Trust 2004-P2
Series 2004-P2
Class CUSIP Rating
A-2 55265K4S5 AAA (sf)
B-1 55265K4V8 AA (sf)
B-2 55265K4W6 A (sf)
Merrill Lynch Mortgage Investors Inc.
Series 2003-A4
Class CUSIP Rating
I-A 589929W53 AAA (sf)
II-A 589929W61 AAA (sf)
III-A 589929W87 AAA (sf)
IV-4 589929W95 AAA (sf)
II-A-IO 589929W79 AAA (sf)
M-1 589929X29 AAA (sf)
M-2 589929X37 AAA (sf)
Sequoia Mortgage Trust 2004-11
Series 2004-11
Class CUSIP Rating
A-1 81744FFJ1 AAA (sf)
A-2 81744FFK8 AAA (sf)
A-3 81744FFL6 AAA (sf)
X-A1 81744FFM4 AAA (sf)
X-A2 81744FFN2 AAA (sf)
X-B 81744FFP7 AA+ (sf)
B-1 81744FFR3 AA+ (sf)
B-2 81744FFS1 BB (sf)
B-3 81744FFT9 CC (sf)
Sequoia Mortgage Trust 2004-4
Series 2004-4
Class CUSIP Rating
A 81744FBF3 AAA (sf)
X-2 81744FBH9 AAA (sf)
B-3 81744FBM8 CC (sf)
Thornburg Mortgage Securities Trust 2003-5
Series 2003-5
Class CUSIP Rating
I-A 885220EB5 AAA (sf)
II-A 885220EC3 AAA (sf)
III-A 885220ED1 AAA (sf)
IV-A 885220EE9 AAA (sf)
B-1 885220EH2 AA (sf)
B-5 885220EM1 CC (sf)
Thornburg Mortgage Securities Trust 2004-2
Series 2004-2
Class CUSIP Rating
A-1 885220FE8 AAA (sf)
A-4 885220FH1 AAA (sf)
A-X 885220FJ7 AAA (sf)
B-1 885220FL2 AA (sf)
B-2 885220FM0 BBB- (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust
Series 2003-AR11
Class CUSIP Rating
A-6 92922FJF6 AAA (sf)
B-4 92922FJN9 CC (sf)
B-5 92922FJP4 CC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust
Series 2003-AR7
Class CUSIP Rating
A-6 9292276J0 AAA (sf)
A-7 9292276K7 AAA (sf)
A-8 9292276L5 AAA (sf)
B-4 9292276A9 CC (sf)
B-5 9292276B7 CC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-S11 Trust
Series 2003-S11
Class CUSIP Rating
1-A 92922FGN2 AAA (sf)
2-A-1 92922FGP7 AAA (sf)
2-A-2 92922FGQ5 AAA (sf)
2-A-3 92922FGR3 AAA (sf)
2-A-4 92922FGS1 AAA (sf)
2-A-5 92922FGT9 AAA (sf)
2-A-6 92922FGU6 AAA (sf)
2-A-7 92922FGV4 AAA (sf)
3-A-1 92922FGW2 AAA (sf)
3-A-2 92922FGX0 AAA (sf)
3-A-3 92922FGY8 AAA (sf)
3-A-4 92922FGZ5 AAA (sf)
3-A-5 92922FHA9 AAA (sf)
X 92922FHB7 AAA (sf)
P 92922FHC5 AAA (sf)
B-5 92922FHJ0 CC (sf)
WaMu Mortgage Pass-Through Certificates Series 2003-S4 Trust
Series 2003-S4
Class CUSIP Rating
I-A-1 9292274Q6 AAA (sf)
I-A-2 9292274R4 AAA (sf)
I-A-3 9292274S2 AAA (sf)
II-A-1 9292274T0 AAA (sf)
II-A-2 9292274U7 AAA (sf)
II-A-7 9292274Z6 AAA (sf)
II-A-8 9292275A0 AAA (sf)
II-A-9 9292275B8 AAA (sf)
II-A-10 9292275C6 AAA (sf)
II-A-11 9292275D4 AAA (sf)
II-A-12 9292275E2 AAA (sf)
III-A 9292275F9 AAA (sf)
IV-A-1 9292275G7 AAA (sf)
IV-A-2 9292275H5 AAA (sf)
I-X 9292275L6 AAA (sf)
II-X 9292275X0 AAA (sf)
III-X 9292275Y8 AAA (sf)
IV-X 9292275Z5 AAA (sf)
I-P 9292275N2 AAA (sf)
A-P 9292275P7 AAA (sf)
C-B-1 9292275Q5 AA+ (sf)
C-B-2 9292275R3 A+ (sf)
Wamu Mortgage Pass-Through Certificates Series 2003-S6 Trust
Series 2003-S6
Class CUSIP Rating
I-A 9292276V3 AAA (sf)
II-A-1 9292276W1 AAA (sf)
II-A-2 9292276X9 AAA (sf)
II-A-3 9292276Y7 AAA (sf)
II-A-4 9292276Z4 AAA (sf)
II-A-5 9292277A8 AAA (sf)
II-A-6 9292277B6 AAA (sf)
II-A-7 9292277C4 AAA (sf)
II-A-8 9292277D2 AAA (sf)
II-A-9 9292277E0 AAA (sf)
II-A-10 9292277F7 AAA (sf)
II-A-11 9292277G5 AAA (sf)
I-X 9292277H3 AAA (sf)
II-X 9292277J9 AAA (sf)
II-P 9292277L4 AAA (sf)
C-B-1 9292277M2 AA (sf)
C-B-4 9292276S0 CC (sf)
C-B-5 9292276T8 CC (sf)
WaMu Mortgage Pass-Through Certificates, Series 2003-AR8 Trust
Series 2003-AR8
Class CUSIP Rating
A1 92922FAS7 AAA (sf)
B1 92922FAU2 AA (sf)
B5 92922FAZ1 CC (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates Series
2003-AR3
Trust
Series 2003-AR3
Class CUSIP Rating
I-A-1 939336G23 AAA (sf)
II-A-1 939336G31 AAA (sf)
II-A-2 939336G49 AAA (sf)
III-A 939336G56 AAA (sf)
IV-A 939336G64 AAA (sf)
V-A 939336G72 AAA (sf)
M 939336H22 AAA (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates Series
2003-MS2
Trust
Series 2003-MS2
Class CUSIP Rating
I-A-1 939336QL0 AAA (sf)
I-A-2 939336QM8 AAA (sf)
II-A-1 939336QN6 AAA (sf)
III-A-1 939336QP1 AAA (sf)
III-A-2 939336QQ9 AAA (sf)
III-A-3 939336QR7 AAA (sf)
III-A-5 939336QT3 AAA (sf)
III-A-6 939336QU0 AAA (sf)
IV-A-4 939336QY2 AAA (sf)
IV-A-5 939336QZ9 AAA (sf)
IV-A-6 939336RA3 AAA (sf)
V-A-1 939336RD7 AAA (sf)
A-X 939336RE5 AAA (sf)
II-X 939336RF2 AAA (sf)
III-X 939336RG0 AAA (sf)
V-X 939336RH8 AAA (sf)
A-P 939336RJ4 AAA (sf)
II-P 939336RK1 AAA (sf)
III-P 939336RL9 AAA (sf)
V-P 939336RM7 AAA (sf)
C-B-1 939336RN5 AAA (sf)
C-B-2 939336RP0 AA+ (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates, Series
2002-MS9
Trust
Series 2002-MS9
Class CUSIP Rating
1-A-4 939336GV9 AAA (sf)
I-A-6 939336GX5 AAA (sf)
I-A-7 939336GY3 AAA (sf)
II-A-1 939336HJ5 AAA (sf)
II-A-2 939336HK2 AAA (sf)
II-A-4 939336HM8 AAA (sf)
I-X 939336HQ9 AAA (sf)
II-X 939336HR7 AAA (sf)
I-P 939336HS5 AAA (sf)
II-P 939336HT3 AAA (sf)
C-B-1 939336HU0 AAA (sf)
Washington Mutual MSC Mortgage Pass-Through Certificates, Series
2003-AR2
Trust
Series 2003-AR2
Class CUSIP Rating
I-A-1 939336D42 AAA (sf)
I-A-2 939336D59 AAA (sf)
II-A-1 939336D67 AAA (sf)
II-A-2 939336D75 AAA (sf)
II-A-3 939336D83 AAA (sf)
II-A-4 939336D91 AAA (sf)
III-A 939336E25 AAA (sf)
IV-A 939336E33 AAA (sf)
I-X 939336E41 AAA (sf)
B-3 939336F40 CC (sf)
Wells Fargo Mortgage Backed Securities 2003-10 Trust
Series 2003-10
Class CUSIP Rating
A-1 949762AA6 AAA (sf)
A-3 949762AC2 AAA (sf)
A-4 949762AD0 AAA (sf)
A-PO 949762AE8 AAA (sf)
B-4 949762AK4 CC (sf)
B-5 949762AL2 CC (sf)
Wells Fargo Mortgage Backed Securities 2003-11 Trust
Series 2003-11
Class CUSIP Rating
I-A-4 949761AD2 AAA (sf)
I-A-5 949761AE0 AAA (sf)
I-A-6 949761AF7 AAA (sf)
I-A-8 949761AH3 AAA (sf)
I-A-9 949761AJ9 AAA (sf)
I-A-10 949761AK6 AAA (sf)
I-A-11 949761AL4 AAA (sf)
I-A-12 949761AM2 AAA (sf)
I-A-13 949761AN0 AAA (sf)
I-A-PO 949761AP5 AAA (sf)
II-A-1 949761AS9 AAA (sf)
II-A-PO 949761AT7 AAA (sf)
B-1 949761AU4 AA (sf)
B-2 949761AV2 A (sf)
B-5 949761AY6 CC (sf)
Wells Fargo Mortgage Backed Securities 2003-8 Trust
Series 2003-8
Class CUSIP Rating
A-1 94979RAA8 AAA (sf)
A-2 94979RAB6 AAA (sf)
A-4 94979RAD2 AAA (sf)
A-5 94979RAE0 AAA (sf)
A-6 94979RAF7 AAA (sf)
A-7 94979RAG5 AAA (sf)
A-9 94979RAJ9 AAA (sf)
A-PO 94979RAK6 AAA (sf)
Wells Fargo Mortgage Backed Securities 2003-G Trust
Series 2003-G
Class CUSIP Rating
A-1 94979WAA7 AAA (sf)
A-IO 94979WAB5 AAA (sf)
B-1 94979WAE9 AA (sf)
B-2 94979WAF6 A (sf)
Wells Fargo Mortgage Backed Securities 2003-K Trust
Series 2003-K
Class CUSIP Rating
I-A-1 949768AA3 AAA (sf)
I-A-2 949768AB1 AAA (sf)
I-A-3 949768AC9 AAA (sf)
I-A-4 949768AD7 AAA (sf)
I-A-5 949768AE5 AAA (sf)
II-A-4 949768AK1 AAA (sf)
II-A-5 949768AL9 AAA (sf)
II-A-6 949768AM7 AAA (sf)
II-A-7 949768AN5 AAA (sf)
III-A-1 949768AP0 AAA (sf)
III-A-2 949768AQ8 AAA (sf)
III-A-3 949768AR6 AAA (sf)
III-A-4 949768AS4 AAA (sf)
IV-A-1 949768AT2 AAA (sf)
B-1 949768AU9 AA (sf)
B-2 949768AV7 A (sf)
B-5 949913AB3 CC (sf)
Wells Fargo Mortgage Backed Securities 2003-L Trust
Series 2003-L
Class CUSIP Rating
I-A-1 949769AA1 AAA (sf)
I-A-2 949769AB9 AAA (sf)
I-A-3 949769AC7 AAA (sf)
I-A-4 949769AD5 AAA (sf)
I-A-5 949769AE3 AAA (sf)
II-A-1 949769AH6 AAA (sf)
B-1 949769AJ2 AA (sf)
B-5 949769AN3 CC (sf)
Wells Fargo Mortgage Backed Securities 2004-B Trust
Series 2004-B
Class CUSIP Rating
A-1 94981KAA9 AAA (sf)
B-1 94981KAC5 AA (sf)
B-2 94981KAD3 A (sf)
Wells Fargo Mortgage Backed Securities 2004-F Trust
Series 2004-F
Class CUSIP Rating
A-1 949770AA9 AAA (sf)
A-3 949770AC5 AAA (sf)
A-4 949770AD3 AAA (sf)
A-5 949770AE1 AAA (sf)
A-6 949770AF8 AAA (sf)
A-7 949770AG6 AAA (sf)
A-9 949770AJ0 AAA (sf)
A-10 949770AK7 AAA (sf)
A-11 949770AL5 AAA (sf)
B-1 949770AN1 AA (sf)
B-5 949770AS0 CC (sf)
Wells Fargo Mortgage Backed Securities 2004-I Trust
Series 2004-I
Class CUSIP Rating
I-A-1 949812AA9 AAA (sf)
I-A-2 949812AL5 AAA (sf)
II-A-1 949812AB7 AAA (sf)
B-1 949812AE1 AA+ (sf)
B-2 949812AF8 BB (sf)
Wells Fargo Mortgage Backed Securities 2004-O Trust
Series 2004-O
Class CUSIP Rating
A-1 949758AD8 AAA (sf)
B-5 949758AB2 CC (sf)
Wells Fargo Mortgage Backed Securities 2004-R Trust
Series 2004-R
Class CUSIP Rating
II-A-1 94981GAF7 AAA (sf)
B-1 94981GAJ9 BBB- (sf)
B-3 94981GAL4 CC (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. 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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