/raid1/www/Hosts/bankrupt/TCR_Public/110731.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, July 31, 2011, Vol. 15, No. 210
Headlines
ACA CLO 2005-1: Moody's Upgrades Ratings of 5 Classes of Notes
AES EASTERN: Fitch Downgrades Trust Certificates to 'CC'
ALESCO PREFERRED: Moody's Downgrades Ratings of TRUP CDO Notes
AMERICAN TOWER: Moody's Concludes Review of Securitizations
ARES XI: Moody's Upgrades Ratings of 8 Classes of CLO Notes
ARES VIR: Moody's Upgrades Ratings of 5 Classes of CLO Notes
ASPEN FUNDING: S&P Lowers Ratings on 2 Classes of Notes to 'CC'
AVIS BUDGET: Moody's Upgrades 2 Classes of Asset Backed Notes
BABSON CLO: Moody's Upgrades Ratings of 10 Classes of CLO Notes
BABSON LOAN: S&P Raises Rating on Class E Notes to 'BB+'
BANC OF AMERICA: Fitch Affirms BALL 2004-BBA4
BANC OF AMERICA: Fitch Cuts Rating on Class K Loan to 'C/RR6'
BANC OF AMERICA: Fitch Downgrades 3 Classes of BACM 2002-2
BANC OF AMERICA: S&P Lowers Ratings on 2 Classes of Certs. to 'D'
BEAR STEARNS: Fitch Affirms BSCMS 2004-BBA5 Ratings
BEAR STEARNS: Moody's Downgrades Rating of $551 Mil. Prime RMBS
BRENTWOOD CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
C-BASS CBO: S&P Withdraws 'B+' Rating on Class F Notes
CANYON CAPITAL: Moody's Upgrades Ratings of 6 Classes of CLO Notes
CAPITAL LEASE: Fitch Affirms CLF Series 1997-CTL-1 Ratings
CARLYLE GLOBAL: S&P Gives 'B' Rating on Class F Notes
CASTLE GARDEN: Moody's Upgrades Ratings of 13 Classes of CLO Notes
CENTRAL PARK: S&P Gives 'B+' Rating on Class F Deferrable Notes
CITY CENTER TRUST: Fitch Provides Assessment of CMBS Deal
CLEARWATER FUNDING: S&P Withdraws 'BB-' Rating on Class A-3 Notes
CLOVERIE 2006-11: Moody's Downgrades Rating to 'Caa3' From 'Caa2'
CLYDESDALE CLO: Moody's Upgrades Ratings of 3 Classes of CLO Notes
COLUMBUSNOVA CLO: Moody's Upgrades Ratings of 4 Classes of Notes
COMM MORTGAGE: Fitch Junks Rating of Class J
COMMERCIAL MORTGAGE: S&P Cuts Ratings on 7 Cert. Classes to 'D'
CONCORD REAL: S&P Lowers Ratings on 3 Classes of Notes to 'CCC-'
CREDIT SUISSE: Fitch Downgrades Class I to 'Csf/RR6'
CREDIT SUISSE: Fitch Takes Various Actions on CSFB 2007-TFL2
CREDIT SUISSE: Moody's Lowers Rating of $375MM Second Lien RMBS
CREDIT SUISSE: S&P Lowers Rating on Class L Notes to 'D'
CW CAPITAL: Moody's Affirms Ratings of Nine CRE CDO Classes
CWMBS REPERFORMING: Moody's Reviews $3.5 Bil. of FHA/VA RMBS
DLJ COMMERCIAL: Fitch Affirms Class B-6 Rating at 'Csf'
DRYDEN VIII: Moody's Upgrades Ratings of Four Classes of CLO Notes
FIRST 2001-I: Moody's Upgrades Ratings of 2 Classes of CLO Notes
FRASER SULLIVAN: S&P Affirms 'CCC-' Ratings on 2 Classes of Notes
G-STAR 2005-5: S&P Lowers Rating on 2 Classes of Notes to 'D'
GENESIS CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
GLENEAGLES CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
GMAC COMMERCIAL: Fitch Keeps Class M Rating at 'Dsf/RR6'
GREENBRIAR CLO: Moody's Upgrades Ratings of Five Classes of Notes
GREYWOLF CLO: Moody's Upgrades Ratings of 5 Classes of CLO Notes
HELLER FINANCIAL: Fitch Affirms, Downgrades 1999-PH1 Certs.
HELLER FINANCIAL: Fitch Affirms HFCMAC 2000-PH1 Ratings
HUDSON CANYON: Moody's Upgrades Ratings of 4 Classes of CLO Notes
HUDSON STRAITS: Moody's Upgrades Ratings of 5 Classes of CLO Notes
INFU TRUST: S&P Withdraws 'BB' Ratings on 2 Series of Notes
ING INVESTMENT: Moody's Upgrades Ratings of Three Classes of Notes
KATONAH VII: S&P Raises Rating on Class D Notes to 'CCC+'
KATONAH X: Moody's Upgrades Ratings of Five Classes of Notes
KLEROS PREFERRED: S&P Cuts Ratings on 2 Classes of Notes to 'D'
KLEROS PREFERRED: S&P Lowers Rating on Class B Notes to 'D'
LANDGROVE SYNTHETIC: Moody's Downgrades Rating on Class B to Caa3
LANDMARK III: Moody's Upgrades Ratings of Three Classes of Notes
LIBERTY CLO: Moody's Upgrades Ratings of Five Classes of CLO Notes
LONGHORN CDO: Moody's Upgrades Ratings of 4 Classes of CLO Notes
LONGSHORE CDO: S&P Lowers Ratings on 5 Classes of Notes to 'D'
MADISON PARK: Moody's Upgrades Ratings of Six Classes of CLO Notes
MAGNETITE V CLO: Moody's Upgrades Ratings of Four Classes of Notes
MERRILL LYNCH: DBRS Confirms Class G Rating at 'BB'
MERRILL LYNCH: DBRS Confirms Rating on Two Loan Classes at 'B'
MERRILL LYNCH: Moody's Lowers Ratings of $89 Mil. Prime Jumbo RMBS
MORGAN STANLEY: Fitch Cuts Ratings on Three Loan Classes to D
N-STAR REAL ESTATE: Moody's Downgrades Five CRE CDO Classes
NATIONAL COLLEGIATE: S&P Lowers Rating on Class C Notes to 'D'
NEWBURY STREET: S&P Lowers Ratings on 5 Classes to 'D'
NOMURA CRE CDO: Moody's Downgrades Ratings of 3 CRE CDO Classes
NORTHWOODS CAPITAL: Moody's Assigns 'B1' Issuer Rating
NORTHWOODS CAPITAL: Moody's Upgrades Ratings of 6 Classes of Notes
NORTHWOODS CAPITAL: Moody's Upgrades Ratings of 7 Classes of Notes
OCTAGON INVESTMENT: Moody's Raises Rating on Class E Notes to B1
OCTAGON INVESTMENT: S&P Withdraws Class B-2L Notes 'CCC-' Rating
PACIFIC BAY: Moody's Upgrades Rating on Class A-1 Notes From Ba1
RESIX FINANCE: Moody's Downgrades $188.8 Thousands of Jumbo RMBS
RIDGEWAY COURT: S&P Lowers Ratings on 2 Classes of Notes to 'D'
RIVER NORTH: S&P Lowers Ratings on 2 Classes of Notes to 'D'
SALOMON BROTHERS: Fitch Ups Ratings on 5 Classes of Securities
SCHILLER PARK: Moody's Upgrades Ratings of Five Classes of Notes
SEQUILS-CENTURION: Fitch Takes Various Ratings Actions
SLM STUDENT: Fitch Affirms Ratings on Series 2002-7 Notes
SLM STUDENT: Fitch Affirms Ratings on Series 2003-1 Notes
SLM STUDENT: Fitch Affirms Series 2003-4 Ratings
SLM STUDENT: Fitch Affirms Series 2003-7 Ratings
SLM STUDENT: Fitch Affirms Series 2003-14 Ratings
SLM STUDENT: Fitch Affirms Ratings on 2006-7 Notes
SLM STUDENT: Fitch Affirms Ratings on 2007-4 Notes
SLM STUDENT: Fitch Affirms Ratings on 2007-5 Notes
STF FIRST MORTGAGE: Moody's Lowers Ratings of Two Classes of Notes
STRATFORD CLO: Moody's Upgrades Ratings of Six Classes of CLO
THREE CAPITAL: Fitch Takes Various Rating Actions
TRIMARAN CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
UNION SQUARE: Moody's Upgrades Ratings of 3 Classes of CLO Notes
VINACASA CLO: S&P Raises Rating on Class C Notes to 'BB'
WASHINGTON MUTUAL: Fitch Affirms WAMU 2003-C1 Ratings
WASI FINANCE: Fitch Withdraws Ratings on 10 Classes
WAVE SPC: S&P Affirms Ratings on 4 Classes at 'CCC-'
WG HORIZONS: Moody's Upgrades Ratings of Five Classes of Notes
WILBRAHAM CBO: Fitch Downgrades 2 Classes of Notes
WHITEHORSE I: Moody's Upgrades Ratings of 3 Classes of CLO Notes
WHITEHORSE II: Moody's Lifts Rating on Class B-1L Notes From Ba1
* Fitch Takes Various Rating Actions on 19 SF CDOs
* S&P Lowers Ratings on 424 Classes of Mortgage Certs. to 'D'
* S&P Lowers Ratings on 2,383 Classes from 233 RMBS Transactions
* S&P Puts 271 Ratings on Watch Neg Due to Interest Shortfalls
*********
ACA CLO 2005-1: Moody's Upgrades Ratings of 5 Classes of Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by ACA CLO 2005-1:
US$216,000,000 Class A-1L Floating Rate Notes Due October 2017
(current outstanding balance of $215,427,725), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;
US$18,000,000 Class A-2L Floating Rate Notes Due October 2017,
Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;
US$19,000,000 Class A-3L Floating Rate Notes Due October 2017,
Upgraded to A2 (sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$16,500,000 Class B-1L Floating Rate Notes Due October 2017,
Upgraded to Baa3 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$8,000,000 Class B-2L Floating Rate Notes Due October 2017,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade.
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios since the rating
action in September 2009. Based on the latest trustee report dated
July 5, 2011, the Senior Class A, Class A, Class B-1L, and Class
B-2L overcollateralization ratios are reported at 128.40%,
118.70%, 111.43%, and 108.21%, respectively, versus August 2009
levels of 125.00%, 115.50%, 108.46%, and 105.32%, respectively,
and all related overcollateralization tests are currently in
compliance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" and "Annual Sector Review (2009): Global CLOs," key
model inputs used by Moody's in its analysis, such as par,
weighted average rating factor, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance,
including principal proceeds, of $300 million, defaulted par of
$1.6 million, a weighted average default probability of 17.8%
(implying a WARF of 2774), a weighted average recovery rate upon
default of 49.4%, and a diversity score of 74. Moody's generally
analyzes deals in their reinvestment period by assuming the worse
of reported and covenanted values for all collateral quality
tests. However, in this case given the limited time remaining in
the deal's reinvestment period, Moody's analysis reflects the
benefit of assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to the covenant requirements, as seen in the actual
collateral quality measurements. 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.
ACA CLO 2005-1, issued in August 2005, 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
June 2011.
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 June 2011.
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
2016 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. 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.
2. 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.
3. 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.
AES EASTERN: Fitch Downgrades Trust Certificates to 'CC'
--------------------------------------------------------
Fitch Ratings has downgraded AES Eastern Energy LP's (AEE)
$282 million and $268 million pass-through trust certificates to
'CC' from 'CCC' due to the ongoing concern of default in light of
current market conditions and a depletion of liquidity at the
project level. The downgrade reflects the near-term possibility of
default beginning with the January 2012 payment and extending
through the step-down in rent payments in 2021. Fitch projects
coverage levels below 1.0 times (x) during this period.
Key Rating Drivers
-- Draw on $30 million facility in order to sustain 2011
operations;
-- Use of six-month debt service reserve for the July 2011
payment, leaving roughly $3 million in the reserve account
to meet any shortfall in the $32.8 million rental payment
due January 2012;
-- Lower than expected power prices and significantly eroded
operating margins expected to persist in the near term for
the Western New York power region where AEE is located;
-- Long-term mothballing of two project facilities and lower
capacity factors (55-70%) at the remaining two project
facilities due to the displacement of coal-fired plants in
favor of gas-fired plants in the dispatch stack;
-- Expected continuation of limited hedging ability at the
Project due to low dark spreads (the margin between
electricity and coal prices) and low natural gas prices that
make hedges uneconomic;
-- No expected sponsor support.
What Could Trigger a Rating Action?
-- Use of cash on hand during the course of 2011 operations,
further reducing liquidity;
-- Debt service reserve depletion for January 2012 payment;
-- Improvement in operations including increase capacity
factors and decreased operating expenses that may lead to
positive margin growth.
Security
The certificates are issued by two bankruptcy remote Pass-Through
Trusts, which hold the Secured Lessor Notes as their only
property. The Secured Lessor Notes are secured by: (i) First
priority security interest in the Somerset and Cayuga leases,
including the right to receive payments of periodic rent and other
payments; (ii) the related undivided interest in the in the
leases; (iii) the related Participation Agreements of the leases;
(iv) the related Facility Site Lease and Facility Site Sublease;
(v) any sublease; (vi) the related Facilities Support Agreements
of the leases; (vii) a portion of the Rent Reserve and Special
Rent Reserve Accounts of the leases; (viii) the Coal Hauling
Agreement with Somerset Railroad.
Credit Update
AEE began to trap cash in 2010 when certificate payment coverage
dropped to 1.46x according to Sponsor calculations. Historical
coverage has been above the 1.70x cash trap threshold since the
certificates were issued in 1999. Due to the activation of the
cash trap, AEE began deferring its $4-5 million annual equity-rent
payment on the certificates in January 2011, further conserving
cash. The deferral also precludes distributions to the sponsor
until these deferred equity-rent payments are fully paid.
Increased environmental costs have also lead to a decrease in
credit quality of the Project to the current level. AEE is located
in Western New York and therefore operates within a Regional
Greenhouse Gas Initiative (RGGI) state. RGGI has increased
environmental expenses at the Project since inception, though the
current carbon dioxide allowance prices at the floor of $1.86 have
helped to scale down these expenses for 2010.
AEE is a special purpose entity that is indirectly wholly owned by
AES Corporation. AEE leases and operates four coal-fired
electricity generating facilities (five units in total) with a
gross capacity of 1,169 MW. AEE sells its predominately base load
electricity into the spot market at prevailing New York
Independent System Operator wholesale market prices. In addition,
the Project has limited contracting for coal purchases, exposing
AEE to heightened market coal prices and deteriorating dark
spreads.
Fitch has downgraded AES Eastern Energy pass-through trust
certificates:
-- Series 1999-A to 'CC' from 'CCC';
-- Series 1999-B to 'CC' from 'CCC'.
ALESCO PREFERRED: Moody's Downgrades Ratings of TRUP CDO Notes
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on these nine
notes issued by Alesco Preferred Funding V, Ltd.
US$189,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due 2034 (current balance of $145,018,504), Downgraded
to Baa1 (sf); previously on March 27, 2009 Downgraded to A3 (sf);
US$42,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due 2034, Downgraded to Ba3 (sf); previously on March
27, 2009 Downgraded to Ba1 (sf);
US$10,000,000 Class B Deferrable Third Priority Secured Floating
Rate Notes Due 2034 (current balance of $10,341,410, including
interest shortfall), Downgraded to Caa3 (sf); previously on March
27, 2009 Downgraded to B1 (sf);
US$42,350,000 Class C-1 Deferrable Mezzanine Secured Floating Rate
Notes Due 2034 (current balance of $44,106,357, including interest
shortfall), Downgraded to C (sf); previously on March 27, 2009
Downgraded to Ca (sf);
US$37,700,000 Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2034 (current balance of
$39,573,750, including interest shortfall), Downgraded to C (sf);
previously on March 27, 2009 Downgraded to Ca (sf);
US$4,450,000 Class C-3 Deferrable Mezzanine Secured Fixed/Floating
Rate Notes Due 2034 (current balance of $5,043,992, including
interest shortfall), Downgraded to C (sf); previously on March 27,
2009 Downgraded to Ca (sf);
US$6,300,000 Class D Deferrable Subordinate Secured Floating Rate
Notes Due 2034 (current balance of $6,685,589, including interest
shortfall), Downgraded to C (sf); previously on March 27, 2009
Downgraded to Ca (sf);
US$4,150,000 Series II Combination Notes Due 2034 (current
Combination Note Rated Balance of $2,019,142), Downgraded to C
(sf); previously on April 9, 2009 Downgraded to Ca (sf);
US$4,000,000 Series III Combination Notes Due 2034 (current
Combination Note Rated Balance of $2,465,447), Downgraded to C
(sf); previously on April 9, 2009 Downgraded to Ca (sf).
In addition, Moody's upgraded the rating on the following
combination note.
US$5,000,000 Series I Combination Notes Due 2034 (current
Combination Note Rated Balance of $3,773,978), Upgraded to Ba3
(sf); previously on April 9, 2009 Downgraded to B3 (sf).
RATINGS RATIONALE
According to Moody's, the rating downgrade actions taken are
primarily the result of an increase in the assumed defaulted
amount in the underlying portfolio. The assumed defaulted amount
increased by $63.9 million since the last rating action in March
2009. Cumulative assumed defaults now total $117.9 million, out of
which $32.5 million of defaulted securities were removed from the
portfolio in Januray and February of 2011. Assumed defaults
currently held in the portfolio total $85 million (29.6% of the
current portfolio). All the assumed defaulted assets are carried
at zero recovery in Moody's analysis. The remaining assets in the
portfolio have shown a slight deterioration, as indicated by a
weighted average weighting factor (WARF) increase to 1500, from
1227, as of the last rating action date. Currently, 39.0% of the
portfolio is estimated to be Ba1 or below, as determined both by
using FDIC Q4-2010 financial data in conjunction with Moody's
RiskCalc model to assess non-publicly rated bank and using
financial data for insurance companies from Moody's insurance
team.
The par loss due to the increase in the assumed defaulted amount
has resulted in loss of overcollateralization for the tranches
affected and an increase of their expected losses since the last
rating action. As of the latest trustee report dated June 16,
2011, the Class A Overcollateralization Test is 109.74% (limit
125.00%), and the Class B/C/D Overcollateralization Test is 70.39%
(limit 102.6%), versus trustee reported levels from the report
dated February 28, 2009 of 135.45% and 92.94% respectively, which
were used during the last rating action.
Alesco Preferred Funding V, Ltd., issued on September 14, 2004, is
a collateral debt obligation backed by a portfolio of bank and
insurance trust preferred securities (the 'TRUP CDO'). On March
27, 2009, the last rating action date, Moody's downgraded seven
classes of notes as a result of the deterioration in the credit
quality of the transaction's underlying portfolio.
The upgrade rating action on the Series I Combination Notes
(Series I) is primarily due to the pay down of its Combination
Note Rated Balance. Its current Combination Note Rated Balance is
$3,773,978. Series I is composed of $3.5 million of Class A-2
Notes and $1.5 million of Class C-1 Notes. Series I has adequate
coverage from the Class A-2 Notes. The rating of Series I
addresses the return of principal only.
The credit deterioration exhibited by the TRUP CDO portfolio is a
reflection of the continued pressure in the banking sector. In
Moody's opinion, the banking sector outlook continues to remain
negative although there have been some recent signs of
stabilization. The pace of bank failures in 2011 has declined
compared to 2009 and 2010, and a handful of previously deferring
banks have resumed interest payment on their trust preferred
securities. With the exception of commercial P&C insurance which
remains on negative outlook, the insurance sector is stabilizing.
The portfolio of this CDO is mainly composed of trust preferred
securities issued by small to medium sized U.S. community banks
and insurance companies that are generally not publicly rated by
Moody's. To evaluate their credit quality, Moody's uses RiskCalc
model, an econometric model developed by Moody's KMV, to derive
credit scores for these non-publicly rated bank trust preferred
securities. Moody's evaluation of the credit risk for a majority
of bank obligors in the pool relies on FDIC financial data
received as of Q4-2010. For non rated insurance trust preferred
securities, Moody's depends on the insurance team and the
insurance firms annual financial reporting to assess the credit
quality of each insurance asset in the portfolio. Moody's also
evaluates the sensitivity of the rated transactions to the
volatility of the credit estimates, as described in Moody's Rating
Implementation Guidance "Updated Approach to the Usage of Credit
Estimates in Rated Transactions," October 2009.
Moody's performed a number of sensitivity analyses of the results
to some of the key factors driving the ratings. The sensitivity of
the model results to changes in the WARF (representing a slight
improvement and a slight deterioration of the credit quality of
the collateral pool) was examined. If WARF is increased by 250
points from the base case of 1500, the model results in an
expected loss that is one notch worse than the result of the base
case for Class A-1 Notes. If the WARF is decreased by 325 points,
expected losses are one notch better than the base case results.
Moody's also took into consideration, both quantitatively and
qualitatively, the possibility that some of the deferring banks in
the portfolio may resume interest payments on their trust
preferred securities.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. Moody's considers as well the structural
protections in each transaction, the risk of triggering an Event
of Default, the recent deal performance in the current market
conditions, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's
analytical groups, market factors and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
The principal methodologies used in rating Alesco Preferred
Funding V, Ltd. were "Moody's Approach to Rating TRUP CDOs"
published in May 2011, and "Using the Structured Note Methodology
to Rate CDO Combo-Notes" published in February 2004.
Due to the impact of revised and updated key assumptions
referenced in these rating methodologies, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
The transaction's portfolio was modeled, according to Moody's
rating approach, using CDOROM v.2.8 to develop the default
distribution from which the Moody's Asset Correlation parameter
was obtained. This parameter was then used as an input in a cash
flow model using CDOEdge. CDOROM v.2.8 is available on moodys.com
under Products and Solutions -- Analytical models, upon return of
a signed free license agreement.
AMERICAN TOWER: Moody's Concludes Review of Securitizations
-----------------------------------------------------------
Moody's Investors Service has concluded the review of its ratings
on wireless tower-backed securitizations initiated on February 3,
2011 and has confirmed all ratings. The transactions are sponsored
by American Tower Corporation (ATC), Global Tower Partners (GTP),
Crown Castle International Corp (CCI), and SBA communications
Corporation (SBA).
The ratings have been confirmed because while the lower discount
rate increased Moody's assessed value of the wireless
communication (cell) tower pools, two countervailing market
developments also occurred. These developments have lessened
prospects for organic growth in revenues for cell towers
generally, which in turn reduced value and thereby offset the
increase in value attributed to lower discount rates.
Moody's ratings of wireless tower-backed securitizations are based
on an assessment of the present value of the net cash flow that
the associated tower pools are anticipated to generate from space
licenses (leases) on the towers, compared to the cumulative debt
issued at each rating category.
The review was prompted by Moody's revision to the rating
methodology for this asset class to reflect Moody's updated view
on the sector. Specifically, three factors drive this change of
view: lack of disruptive competing wireless technologies,
increased barriers to construction of new towers, and
significantly deeper and broader penetration of wireless
communications into everyday life. Based on that, on February 3,
2011 Moody's effectively lowered the discount rate assumption it
uses in assessing the value of the collateral and placed the
transactions under review for possible downgrade. The change in
the discount rates increase the Moody's assessed value of each
tower pool in the transactions under review, and therefore reduce
the Cumulativ-Loan-To-Value (CLTV) of each of the tranches.
Nevertheless, since the transactions were placed under review two
developments in the market have changed Moody's view of organic
growth prospects for tower lease revenues, offsetting the increase
in value attributable to lower discount rates, as follows: (i)
AT&T's announced acquisition of T-Mobile; the announcement creates
uncertainty over the T-Mobile leases, of which some are expected
to be terminated after the acquisition is completed. (ii) more
clarity regarding Sprint-Nextel's announcement that under its
Network Vision program it intends to decommission up to
approximately 20,000 iDEN cell sites starting in 2013. The impact
of the expected lease terminations by AT&T and Sprint-Nextel
affects each wireless tower ABS transaction differently, depending
mainly on the exposure to iDEN leases and the overlap between AT&T
and T-Mobile leases.
Moody's review of the securitizations included reassessment of the
value of the towers underlying each transaction and calculating
the impact on the CLTV of each tranche in the transactions while
factoring in the change in the discount rate and the expected
lease termination. For the latter, Moody's looked at the overlap
leases between AT&T and T-Mobile and the weighted average
remaining terms for those lease. Moody's assumed that most of the
overlapped leases will not be renewed starting in 2013 and
continue over a period of time centered around the weighted
average remaining current lease term. In general this translate
into non-renewal of approximately half of T-Mobile's leases over
period of times ranging from three to ten years.
As for Sprint-Nextel iDEN leases, Moody's assumes the carrier will
start not to renew leases in 2013 and the termination of leases
centered around the weighted average remaining current lease term.
The number of leases not to be renewed was based on the total
number of iDEN leases and on the location of the iDEN sites
compared to competing sites. The non renewal of these leases was
generally over three years period and accounted for 20% to 30% of
Sprint-Nextel's revenue across the different transactions.
The principal methodology used in these rating was "Moody's
Approach to Rating Wireless Towers-Backed Securitizations: A Path
to Clear Reception in the ABS Market", published in September
2005, and amended on February 3, 2011 to reflect the change in
discount rates noted above.
The complete list of affected transactions is:
Issuer: American Tower Trust I
Issue: Commercial Mortgage Pass-Through Certificates, Series 2007-
1
$215,000,000, Class B Certificates, Confirmed Aa2 (sf) ;
previously on February 3, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade
$110,000,000, Class C Certificates, Confirmed A2 (sf) ; previously
on February 3, 2011 A2 (sf) Placed Under Review for Possible
Upgrade
$275,000,000, Class D Certificates, Confirmed Baa2 (sf) ; ;
previously on February 3, 2011 Baa2 (sf) Placed Under Review for
Possible Upgrade
$55,000,000, Class E Certificates, Confirmed Baa3 (sf) ;
previously on February 3, 2011 Baa3 (sf) Placed Under Review for
Possible Upgrade
$73,000,000, Class F Certificates, Confirmed Baa3 (sf) ;
previously on February 3, 2011 Baa3 (sf) Placed Under Review for
Possible Upgrade
Issuer Entity: GTP Towers Issuer, LLC
Issue: Secured Tower Revenue Notes, Global Tower Series 2010-1
$200,000,000 Class C, Confirmed A2 (sf) ; previously on February
3, 2011 A2 (sf) Placed Under Review for Possible Upgrade
$50,000,000 Class F, Confirmed Ba2 (sf); previously on February 3,
2011 Ba2 (sf) Placed Under Review for Possible Upgrade
Issuer Entity: Crown Castle Towers LLC
$300,000,000 Class C-2015 Fixed Rate Senior Secured Tower Revenue
Notes, Series 2010-1, Confirm A2 (sf); previously on February 3,
2011 A2 (sf) Placed Under Review for Possible Upgrade
$350,000,000 Class C-2017 Fixed Rate Senior Secured Tower Revenue
Notes, Series 2010-2, Confirm A2 (sf); previously on February 3,
2011 A2 (sf) Placed Under Review for Possible Upgrade
$1,250,000,000 Class C-2020 Fixed Rate Senior Secured Tower
Revenue Notes, Series 2010-3, Confirm A2 (sf); previously on
February 3, 2011 A2 (sf) Placed Under Review for Possible Upgrade
$250,000,000 Class C-2015 Fixed Rate Senior Secured Tower Revenue
Notes, Series 2010-4, Confirm A2 (sf); previously on February 3,
2011 A2 (sf) Placed Under Review for Possible Upgrade
$300,000,000 Class C-2017 Fixed Rate Senior Secured Tower Revenue
Notes, Series 2010-5, Confirm A2 (sf); previously on February 3,
2011 A2 (sf) Placed Under Review for Possible Upgrade
$1,000,000,000 Class C-2020 Fixed Rate Senior Secured Tower
Revenue Notes, Series 2010-6, Confirm A2 (sf); previously on
February 3, 2011 A2 (sf) Placed Under Review for Possible Upgrade
Issuer Entity: Pinnacle Towers Acquisition Holdings LLC (an
indirect wholly owned subsidiary of Crown Castle International
Corp)
Issue: Senior Secured Notes, Series 2009-1
$153,816,803 Class A-1, Confirm A2 (sf); previously on February 3,
2011 A2 (sf) Placed Under Review for Possible Upgrade
$75,000,000 Class A-2, Confirm A3 (sf); previously on February 3,
2011 A3 (sf) Placed Under Review for Possible Upgrade
Issuer: SBA Tower Trust
$680,000,000, Secured Tower Revenue Securities, Series 2010-1
Class C, Confirm A2 (sf); previously on February 3, 2011 A2 (sf)
Placed Under Review for Possible Upgrade
$550,000,000, Secured Tower Revenue Securities, Series 2010-2
Class C, Confirm A2 (sf); previously on February 3, 2011 A2 (sf)
Placed Under Review for Possible Upgrade
ARES XI: Moody's Upgrades Ratings of 8 Classes of CLO Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Ares XI CLO, Ltd.:
US$50,000,000 Class A-1a Variable Funding Floating Rate Notes Due
2021 (current outstanding balance of US$48,509,656), Upgraded to
Aaa (sf); previously on Jun 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;
US$473,900,000 Class A-1b Senior Secured Floating Rate Notes Due
2021 (current outstanding balance of US$459,774,517), Upgraded to
Aaa (sf); previously on Jun 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;
US$15,000,000 Class A-1c Senior Secured Floating Rate Notes Due
2021 (current outstanding balance of US$14,599,115), Upgraded to
Aa1 (sf); previously on Jun 22, 2011 Aa2 (sf) Placed Under Review
for Possible Upgrade;
US$60,400,000 Class A-2 Senior Secured Floating Rate Notes Due
2021, Upgraded to Aa2 (sf); previously on Jun 22, 2011 A1 (sf)
Placed Under Review for Possible Upgrade;
US$48,500,000 Class B Senior Secured Floating Rate Notes Due 2021,
Upgraded to A1 (sf); previously on Jun 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade;
US$48,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2021, Upgraded to Baa2 (sf); previously on Jun 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$32,400,000 Class D Secured Deferrable Floating Rate Notes Due
2021, Upgraded to Ba1 (sf); previously on Jun 22, 2011 B1 (sf)
Placed Under Review for Possible Upgrade;
US$15,900,000 Class E Secured Deferrable Floating Rate Notes Due
2021, Upgraded to Ba3 (sf); previously on Jun 22, 2011 Caa2 (sf)
Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The actions reflect key
changes to the modeling assumptions, which incorporate (1) a
removal of the temporary 30% default probability macro stress
implemented in February 2009 as well as (2) increased BET
liability stress factors and increased recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in July 2009.
Based on the latest trustee report from July 2011, the weighted
average rating factor is currently 2452 compared to 2867 in the
June 2009 report. The Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 122%, 113.4%, 108.2%
and 105.8%, respectively, versus June 2009 levels of 117%, 108.9%,
104% and 101.8%, respectively, and all related
overcollateralization tests are currently in compliance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $769 million,
defaulted par of $2 million, a weighted average default
probability of 24.7% (implying a WARF of 2988), a weighted average
recovery rate upon default of 48.4%, 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.
Ares XI CLO, Ltd., issued in August 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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 manager's
investment strategy 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) 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) Exposure to other structured finance products: The deal is
exposed to a number of CLO tranches in the underlying portfolio
whose ratings and recoveries may be more volatile on average
compared to corporate loan ratings.
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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
ARES VIR: Moody's Upgrades Ratings of 5 Classes of CLO Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Ares VIR CLO, Ltd.
US$56,000,000 Class A-1-C Floating Rate Notes Due 2018, Upgraded
to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under
Review for Possible Upgrade;
US$18,750,000 Class B Floating Rate Notes Due 2018, Upgraded to
Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review
for Possible Upgrade;
US$16,250,000 Class C-1 Floating Rate Deferrable Notes Due 2018,
Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;
US$15,000,000 Class C-2 Fixed Rate Deferrable Notes Due 2018,
Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;
US$50,000,000 Class D Floating Rate Deferrable Notes Due 2018,
Upgraded to Baa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations" published in June 2011. The
primary changes to the modeling assumptions include (1) a removal
of the temporary 30% default probability macro stress implemented
in February 2009 as well as (2) increased BET liability stress
factors and increased recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in May 2011. Moody's
notes that the Class A Notes have been paid down by approximately
11% or $52 million since the rating action in June 2011. As a
result of the delevering, the overcollateralization ratios have
increased since the rating action in June 2011. Based on the
latest trustee report dated July 1, 2011, the senior
overcollateralization ratio is reported at 129.06% versus April
2011 level of 125.1%.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $570 million,
defaulted par of $2.6 million, a weighted average default
probability of 16.8% (implying a WARF of 2493), a weighted average
recovery rate upon default of 49.3%, 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.
Ares VIR CLO, Ltd., issued in March 2006, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
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 June 2011.
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. 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. 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 unscheduled
proceeds and credit risk sale proceeds into 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.
4. 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.
ASPEN FUNDING: S&P Lowers Ratings on 2 Classes of Notes to 'CC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1L, A-2L, A-3L, and B-1 notes from Aspen Funding I Ltd., a
static U.S. cash flow collateralized debt obligation of commercial
mortgage-backed securities (CDO of CMBS) transaction, and the
class A-1-B notes from RABS 2003-2, a CDO retranching. "We also
removed our rating on class A-2L from Aspen Funding I Ltd. from
CreditWatch with negative implication. We also affirmed our 'CC
(sf)' rating on the preferred shares from Aspen Funding I Ltd.,
and the 'AAA (sf)' rating on the class A-1-A notes from RABS 2003-
2," S&P said.
"The downgrades 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 September 2010. Based on the June 27, 2011, monthly
trustee report, used for this analysis, approximately 23.5% of
underlying collateral pool were rated 'CC' or 'D', up from 21.5%
as of July 2010. Additionally, as of June 2011, approximately
17.5% of the portfolio consisted of assets from obligors rated in
the 'CCC' category, up from 16% in July 2010," S&P related.
In addition, Aspen Funding I Ltd. failed its additional
overcollateralization (O/C) ratio test. Based on the June 2011
trustee report, the additional O/C ratio was 97.88%, versus the
required 103%. The failure of the additional O/C ratio test has
prevented the class B-1 from receiving principal payment of
$110,000 per payment date and prevented the preferred shares from
receiving distributions.
The downgrade of the class A-1-B notes from RABS 2003-2 Trust
reflects the deterioration in the credit quality of the collateral
in Aspen Funding I Ltd. The class A-1-A and A-1-B notes from RABS
2003-2 Trust get more than 37% of the proceeds that the class A-1L
notes of Aspen Funding I Ltd. receives. "Our affirmation of the
'AAA (sf)' rating on the A-1-A notes reflects the availability of
credit support at the class' current rating level," S&P said.
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
Aspen Funding I Ltd.
Rating
Class To From
A-1L BBB- (sf) A (sf)
A-2L B (sf) BB (sf)/Watch Neg
A-3L CC (sf) CCC- (sf)
B-1 CC (sf) CCC- (sf)
RABS Series 2003-2
Rating
Class To From
A-1-B BBB- (sf) A (sf)
Ratings Affirmed
Aspen Funding I Ltd.
Class Rating
Preferred shares CC (sf)
RABS Series 2003-2
Class Rating
A-1-A AAA (sf)
AVIS BUDGET: Moody's Upgrades 2 Classes of Asset Backed Notes
-------------------------------------------------------------
Moody's has taken rating action on two classes of rental car asset
backed notes sponsored by Avis Budget Car Rental LLC (Avis Budget,
B1 CFR). The sponsor, a subsidiary of Avis Budget Group, Inc., is
the owner and operator of Avis Rent A Car System, LLC (Avis) and
Budget Rent A Car System, Inc. (Budget). Today's rating action is
motivated primarily by the upgrade in the corporate rating of Avis
to B1 from B2 on April 6; secondarily by the strengthening credit
profile of Chrysler.
With respect to the monoline wrapped transactions identified
below, the underlying ratings reflect the intrinsic credit quality
of the notes in the absence of the transaction's guarantee from
monoline insurance. The current ratings on the below notes are
consistent with Moody's practice of rating insured securities at
the higher of the guarantor's insurance financial strength rating
and any underlying rating.
COMPLETE RATING ACTIONS:
ISSUER: Avis Budget Rental Car Funding (AESOP) LLC
Series Description: Series 2007-2 Rental Car Asset-Backed Notes
Current Rating: A1(sf); previously A3(sf), placed under review for
possible upgrade on May 12, 2011
Financial Guarantor: Ambac Assurance Corporation (rating withdrawn
on April 7, 2011; previously Caa2 confirmed on November 23, 2010)
Series Description: Series 2010-3 Rental Car Asset-Backed Notes
Class Description: Class B
Current Rating A2(sf) confirmed; previously A2(sf), placed under
review for possible upgrade on May 12, 2011
KEY FACTORS IN RATING ANALYSIS
The key factors in Moody's rating analysis include (1) the
probability of default by the sponsor, as lessee, (2) the
likelihood of a bankruptcy or default by the auto manufacturers
providing vehicles to the rental car fleet owned by the issuer or
other lessors, and (3) the recovery rate on the rental car fleet
in the event that the sponsor defaults. Monte Carlo simulation
modeling was used to assess the impact on bondholders of these
variables.
Moody's ratings analysis makes assumptions about key factors, such
as (1) the likelihood of default of the sponsor (and the vehicle
manufacturers who provide program agreements), (2) the composition
of the pool's vehicle mix over time and (3) the realizable value
of the portion of the fleet backing the ABS should fleet
liquidation be necessary. Data is unavailable on vehicle values in
a large scale stressed liquidation. To address this variability,
Moody's makes assumptions Moody's believes to be conservative
about appropriate recovery value haircuts. Consequently, the
rating action was based on limited historical data.
PRINCIPAL RATING METHODOLOGY
The primary asset backing the notes is the monthly lease payments
owed by the related sponsoring rental car company under an
operating lease, as well as a pool of vehicles comprising the bulk
of the sponsor's daily rental car fleet, including both program
vehicles (acquired vehicles subject to repurchase, or guaranteed a
minimum depreciation or resale value, by the related auto
manufacturer at pre-set prices) and non-program vehicles (acquired
vehicles that do not benefit from such repurchase or guaranteed
depreciation agreements). The vehicles are owned by a bankruptcy-
remote entity, referred to as the lessor, which may also be the
issuer or be an affiliate of the issuer. The sponsor and/or
operating affiliates act as lessees. For quantitative analysis
Moody's uses a monte carlo simulation model which simulates the
potential cash flows from the vehicle assets and any additional
credit enhancements and the rated obligation repayment
requirements.
The key factors in Moody's rating analysis include the probability
of default of the sponsor, the likelihood of a bankruptcy or
default by the auto manufacturers providing vehicles to the rental
car fleet owned by the lessor, and the recovery rate on the rental
car fleet in case the rental car sponsor defaults. Monte Carlo
simulation modeling was used to assess the impact on bondholders
of these variables. The default probability of the sponsor is
simulated based on its current corporate probability of default
rating and Moody's idealized default rates. For surveillance
purposes, in the event that an upgrade above the initial rating is
being considered, Moody's stresses the rating of the sponsor as
lessee to provide a limited degree of de-linkage of the rated ABS
from the corporate rating of the sponsor, otherwise, the current
rating of the sponsor is used.
All of the sponsoring rental car companies fleets include both
program vehicles and non-program vehicles (also known as 'risk'
vehicles). Under the terms of the simulation, in cases where the
related sponsor does not default it is assumed that bondholders
are repaid in full and no liquidation of the lessor's rental car
fleet is necessary. In cases where the sponsor does default, the
lessor's fleet must be liquidated in order to repay their secured
loans to the Issuer, and ultimately the bondholders. In those
cases, the default probability of the related manufacturers must
also be simulated. Due to Chrysler's, Ford's and GM's high
concentrations in the pool and non-investment grade ratings or
non-ratings, as applicable, their defaults were simulated based on
estimates for probability of default provided by Moody's corporate
analysts. These default estimates differentiate between default
with continued operation and default with cessation of operations.
The default probability of the other manufacturers is derived from
their respective ratings. For each manufacturer simulated to be in
Chapter 11, Moody's further simulates whether each such
manufacturer will honor its obligation with respect to program
vehicles or default on that obligation.
In simulating liquidation of the rental car fleet following a
sponsor default, it is assumed that the portion of the program
vehicle fleet associated with non-defaulting manufacturers (both
non-bankrupt manufacturers and bankrupt Chapter 11 manufacturers
honoring their program obligations) is returned to the related
manufacturer at full book value. For the non-program (risk) fleet,
as well as the portion of the program fleet associated with
defaulting manufacturers not honoring obligations on their program
vehicles, it is assumed the vehicles will be sold in the open
market. For vehicles sold in the open market, the market value of
a vehicle at time of liquidation before any haircuts are applied
is estimated using market depreciation data from the National
Automobile Dealers Association (NADA) for each manufacturer with
vehicles in the collateral pool. In making this calculation
Moody's generally assumes a purchase price for program and non-
program (risk) vehicles which is 10% below MSRP, to give credit to
the volume discounts typically achieved by rental car companies.
However, in the case of Avis Budget, Moody's assumes the discount
for non-program (risk) vehicles is 15% to reflect both the terms
required under the transaction documentation and historic
performance. In addition, Moody's assumes a delay in sale of six
months and therefore net an additional six months of depreciation.
This six month delay in fleet liquidation following the sponsor's
default contemplates potential legal challenges to obtaining
control of the fleet and the potential difficulties of marshaling
and selling such a large quantity of vehicles. The base
liquidation value of sold vehicles is determined by applying a
base haircut to this estimated depreciated market value. The base
haircut is simulated using a triangular distribution (i.e.,
minimum, mode, maximum) with values of (5%, 15%, 30%). The
resulting calculation provides the base liquidation value.
Additional haircuts may be applied to the base liquidation value
depending on the manufacturer's simulated status: non-bankrupt,
bankrupt Chapter 11 or bankrupt Chapter 7. No further haircuts are
applied to either (i) non-program (risk) and program vehicles from
non-bankrupt manufacturers or (ii) program vehicles from bankrupt
Chapter 11 manufacturers who are assumed to honor their program
obligations. However, in all other cases, the base liquidation
value is further reduced. For bankrupt Chapter 11 manufacturers,
Moody's reduces the base liquidation of their non-program (risk)
vehicles and their program vehicles whose obligations are assumed
not to be honored by multiplying the base liquidation value by a
haircut, which is simulated using a triangular distribution with
input parameters (14%, 18%, 19%). For manufacturers assumed to be
in Chapter 7, Moody's reduces base liquidation value of their
vehicles by multiplying the base liquidation value by a haircut,
which is simulated using a triangular distribution with input
parameters (25%, 35%, 50%).
With respect to transaction maturity, for analytical purposes
Moody's is assigning each transaction to one of three assumed
maturity buckets based on its actual remaining expected maturity.
If the remaining expected maturity is less than 18 months, a
remaining maturity of 12 months will be assumed. If the remaining
expected maturity is 18 months or more but less than 37 months, 24
months will the input to the model. If the remaining expected
maturity is 37 months or more, 60 months will be assumed. This is
a method of quantifying Moody's view that there is greater
uncertainty regarding fleet mix by manufacturer for transactions
with longer terms than for those with shorter terms.
ADDITIONAL RESEARCH
Reports for the above transactions and other transactions and the
special reports, "Updated Report on V Scores and Parameter
Sensitivities for Structured Finance Securities" and "V Scores and
Parameter Sensitivities in the U.S. Vehicle ABS Sector" are
available on moodys.com.
BABSON CLO: Moody's Upgrades Ratings of 10 Classes of CLO Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Babson CLO Ltd. 2004-II:
US$35,000,000 Class A-1 Senior Notes Due 2016 (current balance of
$25,294,609.69), Upgraded to Aaa (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;
US$99,500,000 Class A-2A Senior Notes Due 2016 (current balance of
$71,908,961.86), Upgraded to Aaa (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;
US$500,000 Class A-2Av Senior Notes Due 2016 (current balance of
$361,351.56), Upgraded to Aaa (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;
US$113,250,000 Class A-2B Senior Notes Due 2016 (current balance
of $81,846,129.95), Upgraded to Aaa (sf); previously on June 22,
2011 Aa2 (sf) Placed Under Review for Possible Upgrade;
US$95,000,000 Class A-2C Senior Notes Due 2016 (current balance of
$68,656,797.74), Upgraded to Aaa (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;
US$18,000,000 Class B Senior Notes Due 2016, Upgraded to Aaa (sf);
previously on June 22, 2011 A2 (sf) Placed Under Review for
Possible Upgrade;
US$24,000,000 Class C-1 Deferrable Mezzanine Notes Due 2016,
Upgraded to Aa3 (sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$3,000,000 Class C-2 Deferrable Mezzanine Notes Due 2016,
Upgraded to Aa3 (sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$19,500,000 Class D-1 Deferrable Mezzanine Notes Due 2016,
Upgraded to Baa3 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$4,000,000 Class D-2 Deferrable Mezzanine Notes Due 2016,
Upgraded to Baa3 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios and credit improvement
of the underlying portfolio since the rating action in September
2009. Moody's notes that the Class A Notes have been paid down by
approximately 26.83% or $90.9 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. Based on the latest trustee report dated
June 3, 2011, the Senior and Mezzanine overcollateralization
ratios are reported at 131.43% and 110.47%, respectively, versus
August 2009 levels of 116.71% and 102.25%, respectively, and all
overcollateralization tests are in compliance. Based on the same
trustee report, the weighted average rating factor is currently
2777 compared to 3125 in August 2009.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the June 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 7.5% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $350.4 million,
defaulted par of $4.5 million, a weighted average default
probability of 17.61% (implying a WARF of 2837), a weighted
average recovery rate upon default of 50.62%, and a diversity
score of 60. The 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-II, issued in October 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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. 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.
BABSON LOAN: S&P Raises Rating on Class E Notes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the
class D and E notes from Babson Loan Opportunity CLO Ltd., a
collateralized loan obligation (CLO) transaction managed by Babson
Capital Management LLC. "At the same time, we removed our ratings
on the class D and E notes from CreditWatch, where we placed them
with positive implications on May 3, 2011. We also affirmed our
ratings on the class A, B, and C notes from the same transaction,"
S&P related.
"The upgrades reflect the improved performance we have observed in
the transaction's underlying asset portfolio since our last rating
action in November 2009. The affirmations reflect sufficient
credit support available at the current rating levels," S&P said.
According to the May 10, 2011, trustee report, the transaction
held $4 million in 'CC' rated and defaulted assets, and about
$13 million in 'CCC' category rated assets. This was down
from $35.8 million in 'CC' rated and defaulted assets, and
$33.8 million in 'CCC' category rated assets as of the Oct. 7,
2009 trustee report.
Standard & Poor's will continue to review whether, in its view,
the ratings currently 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
Babson Loan Opportunity CLO Ltd.
Rating
Class To From
D BBB+ (sf) BBB (sf)/Watch Pos
E BB+ (sf) BB (sf)/Watch Pos
Ratings Affirmed
Babson Loan Opportunity CLO Ltd.
Class Rating
A AA+ (sf)
B AA (sf)
C A (sf)
BANC OF AMERICA: Fitch Affirms BALL 2004-BBA4
---------------------------------------------
Fitch Ratings has affirmed Banc of America Large Loan 2004-BBA4,
reflecting Fitch's base case loss expectation of 6.5%. Fitch's
performance expectation incorporates prospective views regarding
commercial real estate values and cash flow declines.
Under Fitch's updated analysis, approximately 58.9% of the pooled
loans are modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 10% from generally year-end 2010 servicer-
reported financial data. To determine a sustainable Fitch cash
flow and stressed value, Fitch analyzed servicer-reported
operating statements and rent rolls and updated property
valuation. Fitch estimates that average recoveries on the pooled
loans will be approximately 89% in the base case.
The transaction is collateralized by two loans: one loan (58.7%)
is secured by an office property while the other loan (41.3%),
which is currently specially-serviced, is secured by an
industrial-flex property. The final maturity date, including all
extension options for the non-specially serviced loan, is in June
2013.
Fitch identified both of the remaining loans as Loans of Concern.
Fitch's analysis resulted in loss expectations for one of the A-
notes in the base case stress scenario.
The Heritage Square I & II interest-only loan is secured by two
office buildings consisting of 349,503 square feet (sf) located in
Dallas, TX. Occupancy continues to remain significantly below the
underwritten occupancy of 91%. As of the July 2011 rent roll, the
property was 62.1% occupied with an average in-place rent of
$17.71 per square foot. Approximately 13.2% of the total property
square footage expires before the end of 2013. In October 2009,
the loan was modified and assumed by Silver Tree Partners. The
modification included a maturity date extension to June 12, 2013
with an additional 24-month option. The loan will be interest-only
for the remaining term. The servicer-reported year-end (YE) 2010
net-operating income (NOI) improved 74% over YE 2009 NOI.
The Arapaho Business Park interest-only loan is secured by 16
industrial flex buildings consisting of 388,761 sf located in
Richardson, TX. Approximately 62% of the total square footage
consists of office space, while 38% consists of warehouse space.
Occupancy remains below the underwritten occupancy of 89%. As of
the May 2011 rent roll, the property was 71.5% occupied with an
average in-place rent of $9.39 per square foot. Approximately 40%
of the total property square footage expires before the end of
2013. The servicer-reported YE2010 NOI declined 20% over YE2009
NOI.
The loan transferred to special servicing in October 2008. The
loan's maturity date was previously extended until July 9, 2011;
however, the loan was not repaid. The loan will be further
extended until November 2011. The borrower is in the process of
completing the subdivision of tax parcels to facilitate individual
property sales. The special servicer is in discussion regarding a
potential discounted payoff. An updated property valuation was
received in January 2011, which indicates strong recovery
prospects. As a result, losses on the A-note were not modeled at
this time.
Fitch affirms and revises Rating Outlook and Loss Severity (LS)
rating to these pooled classes:
-- $8.5 million class J at 'AA+sf'; LS to 'LS2' from 'LS1';
Outlook to Positive from Stable;
-- $18.5 million class K at 'Dsf/RR3'.
Classes A-1, A-2, B, C, D, E, F, G, H and interest-only classes X-
1A and X-5 have paid in full.
The ratings of the interest-only classes X-1B, X-2, X-3 and X-4
have been previously withdrawn.
BANC OF AMERICA: Fitch Cuts Rating on Class K Loan to 'C/RR6'
-------------------------------------------------------------
Fitch Ratings downgrades one class of Banc of America Commercial
Mortgage Inc. series 2001-1 commercial mortgage pass-through
certificates.
The downgrade of class K is the result of Fitch loss expectations
associated with loans currently in special servicing. The
affirmations of the senior classes reflect sufficient credit
enhancement to offset increasing loan concentrations and adverse
selection with only 10 loans remaining.
As of the June 2011 distribution date, the pool's certificate
balance has paid down 93% to $66.5 million from $948 million.
Fitch modeled losses of 33% based on Fitch adjustments to recent
property valuations obtained by the special servicer for the
specially serviced properties. Eight (79.1%) of the remaining 10
loans in the pool have been designated Fitch Loans of Concern
(LOC), of which are all in special servicing.
The largest contributor to Fitch expected losses, the pool's
second largest specially serviced loan (20.9%), is collateralized
by a 673,400 (sf) industrial warehouse located in Grand Blanc, MI,
just south of Flint. The loan was transferred to special servicing
in May 2009 due to an imminent default and the special servicer
foreclosed on the property in August 2010. The property remains in
a redemption period by with the borrower can reclaim it. The most
recent reported occupancy is 80% occupied as of year-end 2010.
The second largest contributor to Fitch expected losses is a loan
(23.7%) collateralized by three office buildings with a collective
223,400 square feet (sf) of space in Phoenix, AZ. The loan was
transferred to special servicing in January 2011 for imminent
maturity default. Revenue at the property declined when the
largest tenant (12.7%), Strategic Financial Services, went dark
and stopped paying rent prior to its lease expiration of November
2013. The special servicer is working to determine the best
resolution for the trust.
The third largest specially serviced loan (14.1%) is secured by a
53,000 (sf) office building in Redmond, WA, a suburb of Seattle.
The loan transferred to special servicing in Oct. 2010 due to
imminent monetary default and the borrower subsequently offered a
deed in lieu of foreclosure since it could not cover the debt
payments. The property's sole tenant, AT&T, vacated upon its lease
expiration in January 2011. Currently the property is 100% vacant
and operating under a receiver.
Fitch downgrades this class:
-- $23.4 million class K to 'C/RR6' from 'CC/RR5'.
Fitch affirms this class and revises the Rating Outlook:
-- $9.8 million class G at 'AA/LS5'; Rating Outlook Stable from
Negative.
-- $14.2 million class H at 'BB/LS5'; Rating Outlook Negative;
-- $13.2 million class J at 'CCC/RR1';
-- $2.1 million class L at 'C/RR6';
-- 3.5 million class M at 'D'.
Fitch does not rate class P.
Classes A-1, A-2, A-2F, B, C, D, E, and F have paid in full. Due
to realized losses, classes N and O have been reduced to zero.
BANC OF AMERICA: Fitch Downgrades 3 Classes of BACM 2002-2
----------------------------------------------------------
Fitch Ratings has downgraded three classes of Banc of America
Commercial Mortgage, Series 2002-2.
The downgrades are the result of increased loss expectations by
Fitch across the pool. Fitch modeled losses of 6.4% of the
remaining pool; expected losses of the original pool are at 6.9%,
including losses already incurred to date. Fitch expects losses
associated with specially serviced loans to deplete classes L and
O and impair class K. Interest shortfalls are affecting classes N
through P with cumulative unpaid interest totaling $0.6 million.
As of the July 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 34.1% to
$1.136 billion from $1.724 billion at issuance. Of the 111
remaining loans in the pool, 45 are defeased (48.6%). The high
amount of defeasance is considered positive for the deal, but
Fitch's sovereign group has recently issued a commentary regarding
potential implications should the U.S. not raise its debt ceiling,
which could lead to negative rating actions for this transaction.
For more detail regarding this issue, please see the special
report dated June 8, 2011 titled 'Thinking the Unthinkable -- What
if the Debt Ceiling Was Not Increased and the US Defaulted'.
Fitch has designated 17 loans (12.3%) as Fitch Loans of Concern,
which includes eight specially serviced loans (7.4%). The largest
contributors to models losses are 20555 Victor Parkway (2.1%),
20255 Victor Parkway (2%) and Santa Fe Pointe Apartments (1.2%)
loans.
20555 Victor Parkway (197,280 square feet) and 20255 Victor
Parkway (175,195 square feet ) are two office buildings in
Livonia, MI. The loans transferred to special servicer on
March 21, 2011. The largest tenant at both of the properties,
Quicken Loans, Inc. (98.1% NRA in 20555 and 30% in 20255)
downsized their lease and is expected to vacate by 9/30/2011.
The loans are over 60 day delinquent and scheduled to mature on
Aug. 1, 2011. The special servicer is negotiating with the
borrower for a discounted payoff (DPO) while dual tracking
foreclosure.
Santa Fe Pointe Apartments is a 672-bed student housing complex in
Gainesville, FL, which is across the street from South Florida
Community College (SFCC). Student enrollment at SFCC is down,
impacting the level of need for student housing in the area and
resulting in the need for aggressive concessions. In addition,
Phase II at the Property (not part of subject collateral) is
attracting students due to newer units. Servicer reported year-end
(YE) 2010 debt service coverage ratio (DSCR) was 0.19x.
Fitch has downgraded these classes:
-- $21.6 million class J to 'BBB-/LS5' from 'A/LS5'; Outlook
Negative;
-- $36.6 million class K to 'CC/RR3' from 'CCC/RR1';
-- $12.9 million class L to 'C/RR6' from 'CC/RR1'.
Fitch has affirmed these classes:
-- $860.9 million class A-3 at 'AAA/LS1'; Outlook Stable;
-- $64.7 million class B at 'AAA/LS3'; Outlook Stable;
-- $17.2 million class C at 'AAA/LS5'; Outlook Stable;
-- $12.9 million class D at 'AAA/LS5'; Outlook Stable;
-- $17.2 million class E at 'AAA/LS5'; Outlook Stable;
-- $21.6 million class F at 'AAA/LS5'; Outlook Stable;
-- $21.6 million class G at 'AAA/LS5'; Outlook Stable.
-- $19.4 million class H at 'AA/LS5'; Outlook Stable;
-- $12.9 million class M at 'C/RR6';
-- $16.9 million class N at 'C/RR6';
-- $6.8 million class O at 'D/RR6'.
Classes A-1 and A-2 have paid in full. Fitch does not rate class P
certificates. Fitch has withdrawn the ratings on the interest-only
classes XC and XP
BANC OF AMERICA: S&P Lowers Ratings on 2 Classes of Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of commercial mortgage pass-through certificates from Banc
of America Commercial Mortgage Inc.'s series 2006-2, a U.S.
commercial mortgage-backed securities (CMBS) transaction. "In
addition, we affirmed our ratings on seven other classes from the
same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of 12 ($153.9 million, 6.1%) of the 17
specially serviced assets ($291.3 million, 11.6%)," S&P related.
"We also considered the monthly interest shortfalls that are
affecting the trust and potential interest shortfalls associated
with loan modifications. We lowered our ratings on the class H and
J certificates to 'D (sf)' because we expect interest shortfalls
to continue and believe the accumulated interest shortfalls will
remain outstanding for the foreseeable future," S&P said.
The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' rating on the class XW interest-only certificate based on
our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.41x and a loan-to-value (LTV) ratio of 101.4%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.94x and an LTV ratio of
139.2%. The implied defaults and loss severity under the 'AAA'
scenario were 85.4% and 34.7%, respectively. The DSC and LTV
calculations noted exclude 12 ($153.9 million, 6.1%) of the 17
specially serviced assets ($291.3 million, 11.6%). We separately
estimated losses for the 12 specially serviced assets and included
them in our 'AAA' scenario implied default and loss severity
figures," S&P related.
As of the July 11, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $370,600
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $291,996 and special servicing fees of $61,908.
"The interest shortfalls affected all classes subordinate to and
including class H. Classes H and J experienced cumulative interest
shortfalls for three consecutive months, and we expect these
interest shortfalls to continue in the near term. Consequently, we
downgraded these classes to 'D (sf)'," S&P noted.
Credit Considerations
As of the July 11, 2011, trustee remittance report, 17
assets ($291.3 million, 11.6%) in the pool were with the
special servicer, Helios AMC LLC (Helios). The reported
payment status of the specially serviced assets as of the
July 2011 trustee remittance report is: one is real estate owned
(REO; $18.6 million, 0.7%), one is in foreclosure ($12.5 million,
0.5%), eight are 90-plus days delinquent ($94.8 million, 3.8%),
three are matured balloon loans ($62.7 million, 2.5%), two are in
their grace period ($6.4 million, 0.3%), and two are current
($96.3 million, 3.8%). Appraisal reduction amounts (ARAs) totaling
$59.7 million are in effect against 14 of the specially serviced
assets. Details of the three largest specially serviced assets,
one of which is a top 10 loan, are:
The Faneuil Hall loan ($90.7 million, 3.6%), the seventh-largest
asset in the pool, is secured by three retail and office buildings
totaling 371,630 sq. ft. in Boston. The loan was transferred to
the special servicer on April 17, 2009, following the bankruptcy
filing by the borrower, General Growth Properties Inc. The loan's
payment status is current. Helios stated that the loan was
modified in December 2009 with the maturity extended to October
2016, and the borrower emerged from bankruptcy in November 2010.
Helios also has indicated that the loan is currently under review
for a possible loan assumption. The reported DSC was 1.38x for
year-end 2010, and occupancy was 82.4%, according to the March 31,
2011, rent roll. Pursuant to the transaction documents, once
the loan returns to the master servicer, the special servicer is
entitled to a workout fee that is 1% of future principal and
interest payments if the loan performs and remains with the master
servicer. According to Helios, the borrower is not paying the
workout fee on this loan.
The Glen Town Center loan ($39.5 million, 1.6%) is secured by a
267,890-sq.-ft. retail center in Glenview, Ill. The loan was
transferred to the special servicer on Feb. 24, 2009, due to
imminent default and the payment status is reported as 90-plus
days delinquent. Helios indicated that it is pursuing foreclosure.
The reported DSC was 0.49x for year-end 2010. An ARA of $10.1
million is in effect against the total exposure of $41.6 million.
"We expect a moderate loss upon the eventual resolution of this
loan," S&P said.
The Biltmore loan ($32.6 million, 1.3%) is secured by a 284,248-
sq.-ft. office building in Atlanta. The loan was transferred to
the special servicer on March 4, 2011, due to maturity default.
The loan matured on March 1, 2011. "Helios has informed us that it
is discussing a loan modification with the borrower. Helios also
mentioned that the borrower is currently making debt service
payments on the loan. As of March 31, 2011, the reported DSC and
occupancy were 1.25x and 84.0%, respectively. An ARA of $2.9
million based on a May 2011 appraisal value of $32.5 million is in
effect against the loan," S&P noted.
The 14 remaining specially serviced assets have individual
balances that represent less than 1.00% of the pooled trust
balance. ARAs totaling $46.7 million are in effect against 12 of
these assets. "We estimated losses for 11 of the 14 assets,
arriving at a weighted-average loss severity of 48.4%," S&P said.
"While one of the remaining three loans has been modified, Helios
has informed us that it is in discussions with the respective
borrowers for possible loan modifications on the other two loans,"
S&P said.
Transaction Summary
As of the July 11, 2011, trustee remittance report, the collateral
pool balance was $2.51 billion, which is 93.0% of the balance at
issuance. The pool includes 148 loans and one REO asset, down from
160 loans at issuance. The master servicer, Bank of America N.A.
(BofA), provided financial information for 98.3% of the loans in
the pool: 91.7% was partial- or full-year 2010 data, 0.5% was
partial-2011 data, and the remainder was 2009 data.
"We calculated a weighted average DSC of 1.41x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.41x and 101.4%. Our adjusted DSC and LTV
figures excluded 12 ($153.9 million, 6.1%) of the 17 specially
serviced assets ($291.3 million, 11.6%)," S&P related.
"We separately estimated losses for the 12 specially serviced
assets and included them in our 'AAA' scenario implied default
and loss severity figures. The transaction has experienced
$33.2 million in principal losses from eight assets to date.
Thirty-seven loans ($705.6 million, 28.1%) in the pool are on the
master servicer's watchlist. Twenty-three loans ($209.9 million,
8.4%) have a reported DSC of less than 1.00x, and 13 loans
($284.0 million, 11.3%) have a reported DSC between 1.00x and
1.10x," S&P stated.
Summary of Top 10 Loans
The top 10 loans have an aggregate outstanding balance of $1.12
billion (44.5%). "Using servicer-reported numbers, we calculated a
weighted average DSC of 1.32x for the top 10 loans. Three of the
top 10 loans ($374.8 million, 14.9%) are on the master servicer's
watchlist. One of the top 10 loans, the Faneuil Hall loan
($90.7 million, 3.6%), is currently with the special servicer.
Our adjusted DSC and LTV ratio for the top 10 loans are 1.24x
and 105.1%," S&P said.
The 181 West Madison Street loan ($203.3 million, 8.1%), the
largest loan in the pool, is secured by a 940,639-sq.-ft. class A
office building in Chicago. The loan is on the master servicer's
watchlist due to a low reported DSC of 1.03x for the three months
ended March 31, 2011. The occupancy was 85.5%, according to the
March 31, 2011, rent roll.
The 55 & 215 West 125th Street loan, the sixth-largest loan in the
pool, comprises two cross-collateralized and cross-defaulted loans
totaling $94.0 million (3.7%). The loan is secured by two class A
office buildings totaling 370,140 sq. ft. in New York City. The
loan appears on BofA's watchlist due to a low reported combined
DSC of 1.07x for the three months ended March 31, 2011. The
reported combined occupancy was 89.0% for the same period.
The Savannah Marriott loan ($77.5 million, 3.1%), the eighth-
largest loan in the pool, is secured by a 387-room full-service
hotel in Savannah, Ga. The loan is on the master servicer's
watchlist due to a low reported DSC of 1.05x for the year-end
2010. The reported occupancy was 66.3% for the same period.
Standard & Poor's stressed the collateral in the pool according to
its current criteria. "The resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," S&P said.
Ratings Lowered
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2006-2
Rating
Class To From Credit enhancement (%)
A-J BBB- (sf) BBB (sf) 11.59
B BB+ (sf) BBB- (sf) 9.57
C BB (sf) BB+ (sf) 8.49
D B+ (sf) BB (sf) 6.88
E B (sf) BB- (sf) 5.80
F B- (sf) B+ (sf) 4.59
G CCC (sf) CCC+ (sf) 3.52
H D (sf) CCC- (sf) 2.17
J D (sf) CCC- (sf) 1.77
Ratings Affirmed
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2006-2
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.95
A-3 AAA (sf) 30.95
A-AB AAA (sf) 30.95
A-4 AAA (sf) 30.95
A-1A AAA (sf) 30.95
A-M A (sf) 20.19
XW AAA (sf) N/A
N/A -- Not applicable.
BEAR STEARNS: Fitch Affirms BSCMS 2004-BBA5 Ratings
---------------------------------------------------
Fitch Ratings has affirmed all classes of Bear Stearns Commercial
Mortgage Securities Inc. commercial mortgage pass through
certificates, series 2004-BBA5.
The affirmations are due to stable performance of the one loan
remaining in the transaction, Colorado Mills Mall. Since Fitch's
last review, the loan balance has paid down by $9.7 million,
reducing the transaction balance to $93.7 million as of the July
2011 remittance report. Fitch analyzed servicer-reported operating
statements and rent rolls and tenant sales reports.
The loan is secured by 921,890 square feet of a 1.1 million square
foot regional mall located in Lakewood, CO, which is approximately
10 miles west of downtown Denver. The mall is anchored by Target
(not part of the collateral) and includes major tenants such as
United Artists, Off 5th Saks Fifth Avenue, Last Call by Neiman
Marcus, and Burlington Coat Factory. The overall property
occupancy was 82.6% as of March 2011. As of year-end (YE) 2010,
the in-line sales at the property were approximately $279 per
square foot (psf) compared to $249 psf at issuance. YE 2010
servicer-reported net operating income (NOI) increased 4% from YE
2009.
The loan transferred to special servicing in August 2009 and was
modified and returned to the master servicer in April 2010. The
maturity date was extended to Nov. 12, 2011. Per the modification,
the borrower paid approximately $5 million toward the senior
principal balance, allocated additional capital to the leasing
escrow and replacement reserve escrow accounts, and purchased a 4%
LIBOR cap. Future monthly excess cash flow will be applied to the
senior principal balance.
Fitch affirms these classes:
-- $19 million class F at 'AAAsf'; Outlook Stable;
-- $18.6 million class G at 'AA-sf'; Outlook Stable;
-- $15.7 million class H at 'Asf'; Outlook Stable;
-- $17.5 million class J at 'BBB-sf'; Outlook Stable;
-- $24.5 million class K at 'Bsf'; Outlook Stable.
Classes A-1, A-2, B, C, D, E and interest-only classes X-1A, X-2,
X-3 and X-4 have paid in full.
Fitch previously withdrew the rating on the interest-only class X-
1B.
BEAR STEARNS: Moody's Downgrades Rating of $551 Mil. Prime RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches from two RMBS transactions, backed by prime jumbo loans,
issued by Bear Stearns ARM Trust.
RATINGS RATIONALE
The collateral backing these transactions consists primarily of
first-lien, prime jumbo residential mortgage loans. The actions
are a result of the recent performance review of prime jumbo pools
and reflect Moody's updated loss expectations on prime jumbo pools
issued from 2005 to 2008.
Moody's previous rating actions announced on February 24, 2010
incorrectly assumed a loss allocation limitation, which would
provide protection to the senior certificates backed by stronger
performing groups. The pooling and servicing agreement (PSA) does
not in fact indicate a loss allocation limitation in these deals.
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 factors used in these ratings are described
in the "2005 -- 2008 US RMBS Surveillance Methodology " published
in July 2011, which accounts for the updated performance and
outlook. Please see the Credit Policy page on www.moodys.com for a
copy of these methodologies.
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 ninety-six different combinations
comprised of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects the house price index to reach a bottom in the first
quarter of 2012, with a 2% remaining decline between the first
quarter of 2011 and 2012, and unemployment rate to start declining
by fourth quarter of 2011.
Complete rating actions are:
Issuer: Bear Stearns ARM Trust 2005-2
Cl. A-2, Downgraded to Baa3 (sf); previously on Feb 24, 2010
Downgraded to A1 (sf)
Cl. A-4, Downgraded to B1 (sf); previously on Feb 24, 2010
Downgraded to A2 (sf)
Issuer: Bear Stearns ARM Trust 2005-5
Cl. A-1, Downgraded to Ba2 (sf); previously on Feb 24, 2010
Downgraded to A1 (sf)
Cl. A-2, Downgraded to Ba3 (sf); previously on Feb 24, 2010
Downgraded to Baa2 (sf)
Cl. M, Downgraded to Ca (sf); previously on Feb 24, 2010
Downgraded to Caa1 (sf)
Cl. B-1, Downgraded to C (sf); previously on Feb 24, 2010
Downgraded to Ca (sf)
BRENTWOOD CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Brentwood CLO, Ltd.
US$388,700,000 Class A-1A Floating Rate Senior Secured Extendable
Notes (current outstanding balance of $350,773,346.27), Upgraded
to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under
Review for Possible Upgrade;
US$75,000,000 Class A-1B Delayed Draw Floating Rate Senior Secured
Extendable Notes (current outstanding balance of $67,682,019.48),
Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$51,500,000 Class A-2 Floating Rate Senior Secured Extendable
Notes, Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf)
Placed Under Review for Possible Upgrade;
US$68,600,000 Class B Floating Rate Senior Secured Deferrable
Interest Extendable Notes, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade;
US$23,800,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes, Upgraded to Ba2 (sf); previously on
June 22, 2011 Caa1 (sf) Placed Under Review for Possible Upgrade;
US$21,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes (current outstanding balance of
$20,429,396.98), Upgraded to B1 (sf); previously on June 22, 2011
Ca (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations" published in June 2011. The
primary changes to the modeling assumptions include (1) a removal
of the temporary 30% default probability macro stress implemented
in February 2009 as well as (2) increased BET liability stress
factors and increased recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios since the rating action
in March 2011. Based on the latest trustee report dated May 31,
2011, the Class A, Class B, Class C and Class D
overcollateralization ratios are reported at 128.6, 112.2%, 107.4%
and 104.0%, respectively, versus January 2011 levels of 123.8%,
108.3% and 103.8%, and 100.6% respectively. Moody's also notes
that the Class C Notes are no longer deferring interest all
previously deferred interest has been paid in full.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $604 million,
defaulted par of $53.5 million, a weighted average default
probability of 26.8% (implying a WARF of 3290), a weighted average
recovery rate upon default of 47.7%, 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.
Brentwood CLO, Ltd., issued in December 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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. 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. Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2. Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3. 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.
4. 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
C-BASS CBO: S&P Withdraws 'B+' Rating on Class F Notes
------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 24
classes of notes from 15 collateralized debt obligation (CDO)
transactions.
The withdrawals follow the complete paydowns to the notes on their
most recent payment dates.
ACAS Business Loan Trust 2004-1 is a collateralized loan
obligation (CLO).
The class B notes were paid down in full on the April 25, 2011,
payment date from an outstanding balance of $0.158 million,
representing 0.47% of their original balance.
Aurum CLO 2002-1 Ltd. is a CLO managed by Detusche Asset
Management Inc. The class A-1 senior notes were paid down in full
on the April 15, 2011, payment date from an outstanding balance of
$20.322 million, representing 8.13% of their original balance.
Carlyle Azure CLO Ltd. is a CLO managed by Carlyle Investment
Management LLC. The class X note was paid down completely on the
May 27, 2011, payment date, from an outstanding balance of
$0.455 million, representing 5.69% of their original balance.
Carlyle High Yield Partners IV Ltd. is a CLO managed by Carlyle
Investment Management LLC. The class A-1, A-2, A-3, B, C-1, and C-
2 notes were paid down in full on the May 16, 2011, distribution
date, following a notice of optional redemption. "We received this
notice on May 2, 2011, indicating that at least a majority of the
aggregate outstanding notional amount of the preferred
shareholders had directed a full redemption of the notes. Prior to
the distribution, the class A-1, A-2, and A-3 notes had
outstanding notional balances at 20.10% of their original balance
while the class B note was at 100% of its original balance. The
class C-1 and C-2 note outstanding notional balances, at 103.70%
each, were larger than their original balances," S&P said.
C-BASS CBO IV Ltd. is a cash flow CDO backed by mezzanine
structured finance assets, and managed by Credit-Based Asset
Servicing And Securitization LLC. The class B-1, B-2, and C notes
were paid down in full on the April 11, 2011, distribution date,
from a balance of $0.436 million, $0.242 million, and $5.144
million. Prior to the distribution, the class B-1 and B-2
notes were at 1.61% of their original notional balance, while the
class C notes were at 102.87% of their original notional balance.
Chartwell CBO I is a cash flow collateralized bond obligation
(CBO) and is managed by Chartwell Investment Partners L.P. The
class A notes were paid down in full on the April 11, 2011,
payment date, from a balance of $19.539 million, representing
17.68% of their original balance.
Coast Investment Grade 2001-1 Ltd. is a CDO backed by other CDOs,
and managed by Coast Asset Management L.P. The class A notes were
paid down in full on the April 11, 2011, payment date, from a
balance of $9.670 million, representing 3.00% of their original
balance.
Diamond Investment Grade CDO Ltd. is a CBO managed by AIG Global
Investment Corp. The class A notes were paid down in full on the
April 11, 2011, payment date, from a balance of $3.328 million,
representing 0.80% of their original balance.
Juniper CBO 2000-1 Ltd. is a CBO managed by Wellington Management
Co. LLP.
The class A-3L and A-3 notes were paid down in full on the
April 15, 2011, payment date, from a balance of $1.845 million and
$2.768 million.
These balances each represented approximately 9.00% of their
original balances.
LightPoint CLO 2004-1 Ltd. is a CLO managed by Neuberger Berman
Inc. The class A-1A notes were paid down in full on the May 16,
2011, payment date, from a balance of $18.817 million,
representing 9.05% of their original balance.
Magma CDO Ltd. is a CBO managed by Guggenheim Investment
Management LLC. The class A notes were paid down in full on the
May 17, 2011, payment date, from a balance of $5.644 million,
representing 2.00% of their original balance.
Nicholas-Applegate CBO II Ltd. is a CBO managed by Nicholas
Applegate Capital Management. The class A notes were paid down
completely on the April 26, 2011, payment date, from a balance of
$34.074 million, representing 20.34% of their original balance.
Phoenix Funding Ltd. is a CBO managed by Babson Capital Management
LLC. The senior notes were paid down in full on the April 15,
2011, payment date, from a balance of $35.844 million.
Rosemont CLO Ltd. is a CLO managed by Deerfield Capital Management
LLC. The class A notes were paid down in full on the April 15,
2011, payment date, from a balance $9.532 million, representing
3.78% of their original balance.
Solar Investment Grade CBO I Ltd. is a CBO managed by Sun
Capital Advisors Inc. The class I-A and I-B notes were paid down
in full on the March 1, 2011, payment date, from a balance of
$3.092 million and $0.233 million, each representing 0.93% of
their original balance.
Ratings Withdrawn
ACAS Business Loan Trust 2004-1
Rating
Class To From
B NR AA (sf)
Aurum CLO 2002-1 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
Carlyle Azure CLO Ltd.
Rating
Class To From
X NR AAA (sf)
Carlyle High Yield Partners IV Ltd.
Rating
Class To From
A-1 NR AA+ (sf)
A-2 NR AA+ (sf)
A-3 NR AA+ (sf)
B NR AA+ (sf)
C-1 NR B+ (sf)
C-2 NR B+ (sf)
C-Bass CBO IV Ltd.
Rating
Class To From
B-1 NR BB+ (sf)
B-2 NR BB+ (sf)
C NR B+ (sf)
Chartwell CBO I
Rating
Class To From
A NR B- (sf)
Coast Investment Grade 2001-1 Ltd.
Rating
Class To From
A NR A (sf)
Diamond Investment Grade CDO Ltd.
Rating
Class To From
A NR AAA (sf)
Juniper CBO 2000-1 Ltd.
Rating
Class To From
A-3 NR AAA (sf)
A-3L NR AAA (sf)
LightPoint CLO 2004-1 Ltd.
Rating
Class To From
A-1A NR AAA (sf)
Magma CDO Ltd.
Rating
Class To From
A NR AAA (sf)
Nicholas-Applegate CBO II Ltd.
Rating
Class To From
A NR AA+ (sf)
Phoenix Funding Ltd.
Rating
Class To From
Senior Notes NR AAA (sf)
Rosemont CLO Ltd.
Rating
Class To From
A NR AAA (sf)
Solar Investment Grade CBO I Ltd.
Rating
Class To From
I-A NR AAA (sf)
I-B NR AAA (sf)
NR -- Not rated.
CANYON CAPITAL: Moody's Upgrades Ratings of 6 Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Canyon Capital CLO 2006-1 Ltd.:
US$226,000,000 Class A-1 Senior Floating Rate Notes due 2020
(current balance of $219,814,233), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa2 (sf) Placed under review for
possible upgrade;
US$40,000,000 Class A-2 Senior Variable Funding Floating Rate
Notes due 2020 (current balance of 38,905,174), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa2 (sf) Placed under review for
possible upgrade;
US$15,200,000 Class B Floating Rate Notes due 2020, Upgraded to
Aa1 (sf); previously on June 22, 2011 A2 (sf) Placed under review
for possible upgrade;
US$22,800,000 Class C Floating Rate Deferrable Notes due 2020,
Upgraded to A2 (sf); previously on June 22, 2011 Ba1 (sf) Placed
under review for possible upgrade;
US$22,800,000 Class D Floating Rate Deferrable Notes due 2020,
Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed
under review for possible upgrade;
US$13,300,000 Class E Floating Rate Deferrable Notes due 2020,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed
under review for possible upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in July 2009.
Based on the July 2011 trustee report, the weighted average rating
factor is currently 2737 compared to 3074 in July 2009.
Additionally, the Class A/B, Class C, Class D, and Class E
overcollateralization ratios are reported at 129.82%, 119.85%,
111.3%, and 106.85%, respectively, versus July 2009 levels of
123.2%, 113.79%, 105.72%, and 101.46%, respectively, and all
overcollateralization tests are in compliance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $356 million,
defaulted par of $2 million, a weighted average default
probability of 23.07% (implying a WARF of 2963), a weighted
average recovery rate upon default of 48%, and a diversity score
of 47. The 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.
Canyon Capital CLO 2006-1 Ltd., issued in August 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, weighted average life, 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.
CAPITAL LEASE: Fitch Affirms CLF Series 1997-CTL-1 Ratings
----------------------------------------------------------
Fitch Ratings has affirmed the three remaining rated classes of
Capital Lease Funding Securitization, L.P., series 1997-CTL-1
corporate credit-backed pass-through securities.
The affirmations reflect stable pool-wide performance due to
scheduled amortization, which continues to mitigate negative
credit migration of the underlying assets relative to issuance.
Though additional paydown of approximately 6% occurred relative
to the previous Fitch rating action, the pool is highly
concentrated with only 10 loans remaining, warranting
affirmations. Additionally, a majority of the remaining tenants
are rated below investment grade, and realized losses on two
previously specially serviced loans were slightly higher than
Fitch estimates.
Currently, 75.4% of the underlying credit tenants are considered
below investment grade by Fitch, compared with 64.9% at the
previous review and 30.4% at issuance. While none of the ratings
on the individual tenants changed relative to the previous review,
adverse selection increased because two loans associated with
investment grade-rated tenants repaid subsequently. All of the
loans are fully amortizing.
The pool's tenants consist of RadioShack Corp. (40.9% of the pool;
rated 'BB' with a Stable Outlook as of April 2011), Rite Aid Corp.
(34.4%; rated 'B-' with a Stable Outlook as of February 2011),
Delhaize America Inc. (9.5%; rated investment grade), Walgreen Co.
(8.9%; rated investment grade), CVS Caremark Corporation (6.1%;
rated 'BBB+' with a Stable Outlook as of December 2010), and
AutoZone Inc. (0.1%; rated 'BBB' with a Stable Outlook as of
November 2010).
As of the July 2011 distribution date, the pool's certificate
balance has been reduced by 91.7% (to $10.8 million from
$129.4 million), due to a combination of scheduled paydown (86.9%)
and realized losses (4.8%). No loans have been defeased.
Due to the nature of the credit tenant leases, the master servicer
does not provide updated financial reporting on a regular basis.
At issuance, the weighted-average underwritten debt service
coverage ratio (DSCR) on the loans was 1.19 times (x). Fitch
stressed the cash flow of the remaining loans in the pool by
assuming lower 1.00x coverage on an actual basis, and applying an
adjusted market capitalization rate of 11% to determine value.
The loans also underwent a refinance test based on a comparison of
the stressed cash flow of each loan relative to a hypothetical
debt service amount (calculated using an 8% interest rate and 30-
year amortization schedule). All of the loans passed the test,
with calculated stressed DSCRs above 1.25x. Fitch modeled losses
of approximately 2% of the remaining pool balance, which is
attributable to Fitch's modeled performing loan stress.
Fitch has affirmed these classes and revised Outlooks, Loss
Severity (LS) Ratings, and Recovery Ratings (RRs):
-- $0.8 million class C at 'Asf'; LS to 'LS5' from 'LS3';
Outlook to Stable from Negative;
-- $6.1 million class D at 'B-sf/LS3'; Outlook Negative;
-- $3.9 million class E at 'Dsf'; RR to 'RR1' from 'RR5'.
Classes A-1, A-2, A-3, and B have repaid in full. Classes F and G,
which remain at 'Dsf/RR6', have been reduced to zero due to
realized losses. Fitch previously withdrew its rating on the
interest-only class IO.
CARLYLE GLOBAL: S&P Gives 'B' Rating on Class F Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2011-1 Ltd./ Carlyle Global Market
Strategies CLO 2011-1 Corp.'s $471.0 million floating-rate notes.
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, (see 'Update To
Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs,' published Sept. 17, 2009).
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 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 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
termination payments; portfolio manager incentive fees; and
subordinated note payments to principal proceeds for the
purchase of additional collateral assets during the
reinvestment period and to reduce the balance of the rated
notes outstanding, sequentially, after the reinvestment
period.
Ratings Assigned
Carlyle Global Market Strategies CLO 2011-1 Ltd./Carlyle Global
Market
Strategies CLO 2011-1 Corp.
Class Rating Amount (mil. $)
A AAA (sf) 333.0
B AA (sf) 27.0
C (deferrable) A (sf) 49.0
D (deferrable) BBB (sf) 26.0
E (deferrable) BB (sf) 25.5
F (deferrable) B (sf) 10.5
Subordinated notes NR 36.0
NR -- Not rated.
CASTLE GARDEN: Moody's Upgrades Ratings of 13 Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Castle Garden Funding:
US$379,000,000 Class A-1 Floating Rate Notes Due October 27, 2020,
Upgraded to Aa1 (sf); previously on June 22, 2011 A1 (sf), Placed
Under Review for Possible Upgrade;
US$150,000,000 Class A-2 Delayed Draw Floating Rate Notes Due
October 27, 2020, Upgraded to Aa1 (sf); previously on June 22,
2011 A1 (sf), Placed Under Review for Possible Upgrade;
US$105,000,000 Class A-3a Floating Rate Notes Due October 27,
2020, Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf),
Placed Under Review for Possible Upgrade;
US$12,000,000 Class A-3b Floating Rate Notes Due October 27, 2020,
Upgraded to Aa2 (sf); previously on June 22, 2011 A2 (sf), Placed
Under Review for Possible Upgrade;
US$39,500,000 Class A-4 Floating Rate Notes Due October 27, 2020,
Upgraded to A1 (sf); previously on June 22, 2011 Baa1 (sf), Placed
Under Review for Possible Upgrade;
US$25,500,000 Class B-1 Deferrable Floating Rate Notes Due October
27, 2020, Upgraded to Baa2 (sf); previously on June 22, 2011 Ba2
(sf), Placed Under Review for Possible Upgrade;
US$20,000,000 Class B-2 Deferrable Fixed Rate Notes Due October
27, 2020, Upgraded to Baa2 (sf); previously on June 22, 2011 Ba2
(sf), Placed Under Review for Possible Upgrade;
US$22,500,000 Class C-1 Floating Rate Notes Due October 27, 2020,
Upgraded to Ba2 (sf); previously on June 22, 2011 Caa1 (sf),
Placed Under Review for Possible Upgrade;
US$12,500,000 Class C-2 Fixed Rate Notes Due October 27, 2020,
Upgraded to Ba2 (sf); previously on June 22, 2011 Caa1 (sf),
Placed Under Review for Possible Upgrade;
US$15,000,000 Class D-1 Floating Rate Notes Due October 27, 2020,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf),
Placed Under Review for Possible Upgrade;
US$1,000,000 Class D-2 Fixed Rate Notes Due October 27, 2020,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf),
Placed Under Review for Possible Upgrade;
US$3,000,000 Class J Combination Notes Due October 27, 2020
(current Rated Balance of $1,555,208), Upgraded to A2 (sf);
previously on June 22, 2011 Ba1 (sf), Placed Under Review for
Possible Upgrade;
US$5,000,000 Class L Combination Notes Due October 27, 2020
(current Rated Balance of $2,267,115), Upgraded to Baa2 (sf);
previously on June 22, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in January 2011. In particular, Moody's adjusted WARF has
declined since the rating action in January 2011 due to a decrease
in the percentage of securities with ratings on "Review for
Possible Downgrade" or with a "Negative Outlook."
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $842.3 million,
defaulted par of $9.6 million, a weighted average default
probability of 23.04% (implying a WARF of 2790), a weighted
average recovery rate upon default of 47.86%, and a diversity
score of 75. The 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.
Castle Garden Funding, issued in October 2005, 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
June 2011. A secondary methodology used was "Using the Structured
Note Methodology to Rate CDO Combo-Notes" published in February
2004.
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 June 2011.
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 manager's
investment strategy and behavior and 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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) 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 the
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 and diversity levels higher than the
covenant levels due to the large difference between the
reported and covenant levels.
CENTRAL PARK: S&P Gives 'B+' Rating on Class F Deferrable Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Central
Park CLO Ltd./ Central Park CLO Corp.'s $633 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 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 criteria, (see 'Update To
Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs,' published Sept. 17, 2009).
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 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 0.34%-12.53%," 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.
Ratings Assigned
Central Park CLO Ltd./Central Park CLO Corp.
Class Rating Amount (mil. $)
A AAA (sf) 428.0
B AA (sf) 91.0
C (deferrable) A (sf) 38.0
D (deferrable) BBB (sf) 36.0
E (deferrable) BB (sf) 33.0
F (deferrable) B+ (sf) 7.0
Subordinated notes NR 57.17
NR -- Not rated.
CITY CENTER TRUST: Fitch Provides Assessment of CMBS Deal
---------------------------------------------------------
Fitch Ratings says that investment grade ratings assigned to the
most junior class of the City Center Trust 2011 CCHP (CCHP)
transaction would likely warrant no more than a 'BBsf' rating. The
conclusion is based on Fitch's current analysis of hotel
properties.
While initially asked to provide preliminary feedback, Fitch was
ultimately not asked to rate the transaction. Fitch acknowledges
that it did not have the benefit of direct access to the
properties, their ownership or the management at the time of its
preliminary analysis.
Based on typical Fitch cap rate assumptions for hotel properties,
Fitch would need to apply a pro-forma analysis of cash-flow of
approximately $70 million annually (an assumption of substantial
performance growth from in-place cash-flow) in order to pass an
investment grade rating stress. This is not consistent with
Fitch's rating approach. Alternatively, based on in-place cash-
flow, Fitch would need to value the assets with a cap rate of less
than 9.5% which falls well below the historical mean for hotel cap
rates.
Fitch believes that the expectation of future growth should be a
risk borne by property owners and not investment grade
bondholders. Therefore Fitch's property valuations are limited to
a multiple of in-place cash flow.
The CCHP transaction is a portfolio of 13 full-service hotels
located across 10 states, the District of Columbia and Canada.
CCHP is one of the first floating-rate CMBS transactions in
several years. The structure of a floating-rate transaction allows
the sponsor the ability to prepay without penalty if cash-flow
growth is realized and refinance into longer term financing at
higher proceeds more reflective of property cash-flow at that
future point.
Fitch's typical cap rate of between 10.50% and 12% for hotels
depends on a variety of characteristics including property
condition, location, flag, historical performance and diversity.
The range is based on the historical mean of hotel cap rates
observed by Fitch and exceeds the cap rate ranges of other
property types based on the operating nature and historical
performance volatility of the lodging sector.
Given the positive attributes of the CCHP portfolio, a cap rate at
the lower and more beneficial end of Fitch's range would be
assumed. However, this still results in the proceeds falling into
the 'BBsf' rating category based on current in place cash-flow.
Importantly, property performance would need to improve and cash-
flow to increase from in place levels in order to pass the Fitch's
investment grade stress. While Fitch recognizes the strong quality
of the collateral and sponsor, the current financing should not
include investment grade debt that relies on an assumption of
growth.
Further, Fitch's 'AAAsf' proceeds based on its initial review were
approximately $230 million as compared to the issuance level of
$245 million. Therefore, Fitch believes the subordination level
for the senior class is more consistent with a rating in the
'AAsf' category.
While this transaction may benefit from the experience and deep
pockets of Blackstone providing realistic prospects for cash flow
growth and value appreciation, Fitch has not accounted for any
imminent changes to property operations to be implemented by
Blackstone. Blackstone took control of the CCHP assets in December
2010 through an assignment in lieu of foreclosure of the
properties.
Despite the concerns raised above, Fitch's outlook on the hotel
sector is positive. As hotels have realized a year of positive
growth momentum, the number of hotels included in CMBS
transactions has increased as well. Fitch has reviewed many of
these assets and continues to determine value based strictly on
in-place cash-flow. Following this approach has meant that in some
instances there is a significant gap between Fitch's assumptions
and the issuer's, particularly in situations where the appraised
value or the acquisition price assume improved performance or an
implied cap rate well below the historical mean.
CLEARWATER FUNDING: S&P Withdraws 'BB-' Rating on Class A-3 Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on three
classes of notes from Clearwater Funding CDO 2001-A Ltd., a
collateralized debt obligation (CDO) transaction backed by
corporate bonds and managed by Tiber Asset Management.
The withdrawals follow the complete paydown of the notes on their
most recent payment date.
"The class A-1, A-2, and A-3 notes were paid down in full on the
July 15, 2011, distribution date, following a notice of optional
redemption we received on June 16, 2011. The notice indicated that
the holders of at least a majority of the aggregate outstanding
notional amount of the preferred shares directed a full redemption
of the notes. Prior to the July 15, 2011, distribution, the
class A-1 notes had 42.81% of their original balance remaining and
the class A-2 and A-3 notes had 100% of their original balances
remaining," S&P related.
Ratings Withdrawn
Clearwater Funding CDO 2001-A Ltd.
Rating
Class To From
A-1 NR AA- (sf)
A-2 NR BBB (sf)
A-3 NR BB- (sf)
NR -- Not rated.
CLOVERIE 2006-11: Moody's Downgrades Rating to 'Caa3' From 'Caa2'
-----------------------------------------------------------------
Moody's Investors Service made the following rating actions on
Cloverie 2006-11, a collateralized debt obligation transaction (
the "Collateralized Synthetic Obligation" or "CSO").
The CSO, issued in 2006, references a portfolio of corporate
bonds.
Issuer: Cloverie 2006-11
-- Cloverie 2006-11, Downgraded to Caa3 (sf); previously on
Feb 25, 2009 Downgraded to Caa2 (sf)
RATING RATIONALE
Moody's rating action is the result of the reduction of
subordination in the portfolio due to credit events and the
deterioration of credit quality of the portfolio.
Tthe 10-year weighted average rating factor (WARF) of the
portfolio has deteriorated to 721 from 444 since the last rating
action. There are 24 reference entities with a negative outlook
compared to 5 entities with a positive outlook and 20 entities on
watch for downgrade and none on watch for upgrade. Entities with a
negative outlook and on watch for downgrade are primarily
concentrated in the European banking sector.
Since inception, the portfolio has experienced two credit events.
There has been one credit event since the last rating action.
The remaining life of the tranche is 5.2 years.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:
* Market Implied Ratings ("MIRs") are modeled in place of the
corporate fundamental ratings to derive the default probability
of the reference entities in the portfolio. The gap between an
MIR and a Moody's corporate fundamental rating is an indicator
of the extent of the divergence in credit view between Moody's
and the market. The result of this run is comparable to the one
modeled under the base case.
* Moody's conducts a sensitivity analysis consisting of notching
down by one the ratings of reference entities in the Banking,
Finance, Insurance and Real Estate sectors. The result from this
run is comparable to the base case.
* Removing the notch-down adjustment on ratings of all reference
entities on negative outlook and/or on watch for downgrade
generates a result that is comparable to the base case.
* Moody's performs a stress analysis consisting of defaulting all
entities rated Caa1 and below. The result of this run is
comparable to the base case.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
The principal methodology used in these ratings was "Moody's
Approach to Corporate Collateralized Synthetic Obligations"
published in September 2009.
Moody's analysis for this transaction is based on CDOROM v2.8.
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.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.
Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in Moody's assumptions. Given the tranched nature of CSO
liabilities, rating transitions in the reference pool may have
leveraged rating implications for the ratings of the CSO
liabilities, thus leading to a high degree of volatility. All else
being equal, the volatility is likely to be higher for more junior
or thinner liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.
CLYDESDALE CLO: Moody's Upgrades Ratings of 3 Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Clydesdale CLO 2003 Ltd.:
US$19,000,000 Class B Second Priority Floating Rate Notes Due
2015, Upgraded to Aa1 (sf); previously on June 22, 2011 A1 (sf)
Placed Under Review for Possible Upgrade;
US$13,000,000 Class C Third Priority Floating Rate Notes Due 2015,
Upgraded to Baa2 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
US$10,000,000 Class D Fourth Priority Floating Rate Notes Due
2015, Upgraded to B1 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in May 2011. Moody's
notes that the Class A Notes have been paid down by approximately
28% or $21 million since the rating action in May 2011. As a
result of the delevering, the overcollateralization ratios have
increased since the rating action in May 2011. Based on the latest
trustee report dated July 8, 2011 the Class A, Class B and Class C
overcollateralization ratios are reported at 185.6% , 137.0%, and
116.2% respectively, versus May 2011 levels of 163.4%, 130.1% and
114.20%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $102 million,
defaulted par of $6.6 million, a weighted average default
probability of 16.78% (implying a WARF of 3154), a weighted
average recovery rate upon default of 49.86%, and a diversity
score of 40. The 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.
Clydesdale CLO 2003 Ltd., issued in September of 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
June 2011.
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 June 2011.
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. 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.
COLUMBUSNOVA CLO: Moody's Upgrades Ratings of 4 Classes of Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by ColumbusNova CLO IV Ltd. 2007-II:
US$27,000,000 Class A-2 Senior Notes Due 2021, Upgraded to Aa1
(sf); previously on June 22, 2011 Aa2 (sf) Placed under review for
possible upgrade;
US$26,250,000 Class B Senior Notes Due 2021, Upgraded to Aa3 (sf);
previously on June 22, 2011 A1 (sf) Placed under review for
possible upgrade;
US$25,000,000 Class C Deferrable Mezzanine Notes Due 2021,
Upgraded to Baa2 (sf); previously on June 22, 2011 Baa3 (sf)
Placed under review for possible upgrade;
US$14,000,000 Class D Deferrable Mezzanine Notes Due 2021,
Upgraded to Ba1 (sf); previously on June 22, 2011 Ba3 (sf) Placed
under review for possible upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
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 June 2011 trustee report,
the weighted average rating factor is currently 2401 compared to
3039 in August 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $430 million, a
weighted average default probability of 22.68% (implying a WARF of
2925), a weighted average recovery rate upon default of 50.1%, and
a diversity score of 70. The 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.
ColumbusNova CLO IV Ltd. 2007-II, issued in November 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, weighted average life, 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.
COMM MORTGAGE: Fitch Junks Rating of Class J
--------------------------------------------
Fitch Ratings has downgraded one class and affirmed 10 pooled
classes from COMM Mortgage Trust 2005-FL10, reflecting Fitch's
base case loss expectation of 7.9% for the pool. The four non-
pooled junior component certificates were also affirmed,
reflecting Fitch's stable loss expectations of the underlying
asset. Fitch's performance expectation incorporates prospective
views regarding commercial real estate market value and cash flow
declines. The improved Rating Outlooks to the investment-grade
pooled classes reflect the increases in credit enhancement as the
result of the pay off/disposition of three loans since Fitch's
last review.
Under Fitch's methodology, approximately 42% of the pool is
modeled to default in the base case stress scenario (two of the
four pooled loans), defined as the 'B' stress. In this scenario,
the modeled average cash flow decline is 10% from the last
servicer-reported cash flow (generally year end 2010). To
determine a sustainable Fitch cash flow and stressed value, Fitch
analyzed servicer-reported operating statements and rent rolls,
updated property valuations, and recent sales comparisons. Fitch
estimates the average recoveries on the pooled loans will be
approximately 81% in the base case.
The transaction is collateralized by four loans, which includes
three loans secured by retail properties (92.6%) and one loan by
an office property (7.4%). The transaction faces near-term
maturity risk, with one loan (7.8%) having an extended maturity
date in September 2011, and two loans in the pool with extended
maturities scheduled for early 2012. One of the loans in special
servicing (7.4%) matured in March 2010 and has not been extended
again. Also, there is significant sponsor concentration in the
pool, as the three retail properties are controlled by entities of
the Pyramid Company.
With respect to the pooled classes, two loans were modeled to take
a loss in the base case: 10 MetroTech Center (7.4% of the pooled
trust balance) and Berkshire Mall (6%).
The largest contributor to loss under the 'B' stress is the
specially-serviced 10 MetroTech Center, an interest only loan
collateralized by a seven-story office building with a total of
358,672 square feet (sf) located in Brooklyn, NY. The property is
located in the downtown district submarket of Brooklyn. The loan
transferred to special servicing in March 2010 due to a final
maturity default. Total occupancy at the subject was 96.8% (as of
January 2011), which compares to 98% at issuance. The major
tenants at the property consist of the Internal Revenue Service
(87.7%, lease expiration in February 2012) and Human Resources
Administration (8.5%, lease expiration 2013). The upcoming
Internal Revenue Service lease expiration remains a concern.
Recent valuations indicate a value significantly below the trust
loan amount
The second largest contributor to Fitch modeled loss is Berkshire
Mall (6% of the pool balance), an interest only loan
collateralized by 589,146 sf of an approximate 715,146 sf regional
mall located in Lanesborough, MA, about 30 miles east of Albany,
NY. The collateral consists of approximately 192,793 sf of in-line
space and 396,353 sf of anchor/major tenant space. The non-
collateral anchor space (Target) totals approximately 126,000 sf.
The loan transferred to special servicing in February 2010 due to
an imminent final maturity default. The loan has since been
extended to March 2012. A full cash sweep has been implemented for
future leasing costs and approximately $4.1 million remains held
as a collateral reserve. The subject has lost several major
tenants since issuance including Steve and Barry's, Linens &
Things, the Gap, and Old Navy. According to the rent roll, in-line
and total mall occupancies (as of March 2011) are 45% and 81%,
respectively; this compares to 86.3% and 96.3% at issuance,
respectively. The collateral anchor spaces consist of Sears (lease
expiration 2013), Macy's (lease expiration 2018), and J.C. Penney
(lease expiration 2013). Other major tenants include Regal Cinemas
(lease expiration 2013) and Best Buy (lease expiration 2013).
The largest loan of concern not in special servicing is the Hudson
Valley Plaza/Seneca West loan (7.8%), which is secured by two
performing retail properties located in Kingston, NY and Seneca,
NY. Tenants at the larger Kingston retail center include a Wal-
Mart Supercenter (lease expiration 2019), Sam's Club (Lease
expiration 2017), Lowes (lease expiration 2017) and and Toys 'R'
Us. The two major tenants at the West Seneca property are Kmart
and Tops Market, both of which are on long-term leases. The loan
is scheduled to mature in September 2011 and no update has been
provided on refinancing. The two properties are performing well
for their respective markets.
The largest loan remaining, Palisades Center (78.7%), is an
interest only loan collateralized by approximately 2 million sf of
a 2.3 million sf, four-story super regional mall located in West
Nyack, NY. The loan transferred to special servicing in January
2010 due to an imminent final maturity default and has since been
modified and returned to master servicing. The loan has been
extended again to February 2012 and there is a cash sweep in place
to pay down the principal balance on a quarterly basis. The
collateral anchor spaces consist of J.C. Penney (157,339 sf, lease
expiration 2018), Home Depot (132,800 sf, lease expiration 2019),
Target (130,140 sf, lease expiration 2024), and BJ's Wholesale
Center (118,076 sf, lease expiration 2018). There is limited
anchor or major tenant short-term roll at the property.
Fitch downgrades and assigns a Recovery Rating (RR) to this class:
-- $6.6 million class J to 'CCCsf/RR6' from 'Bsf/LS5'.
Fitch has affirmed the ratings and revised the Outlooks for these
classes:
-- $144.9 million class A-J1 at 'AAAsf/LS3'; Outlook Stable;
-- $130.4 million class A-J2 at 'AAAsf/LS3'; Outlook Stable;
-- $99.7 million class B at 'A+sf/LS3'; Outlook to Stable from
Negative;
-- $24.3 million class C at 'Asf/LS4'; Outlook to Stable from
Negative;
-- $26.5 million class D at 'BBB+sf/LS4'; Outlook to Stable
from Negative;
-- $26.5 million class E at 'BBBsf/LS4'; Outlook to Stable from
Negative;
-- $26.5 million class F at 'BBB-sf/LS4'; Outlook to Stable
from Negative;
-- $6.5 million class L at 'CCsf/RR6';
-- $3.7 million class N-PC at 'Bsf'; Outlook Negative;
-- $11.9 million class O-PC at 'CCCsf/RR2';
-- $11.9 million class P-PC at 'CCCsf/RR6';
-- $8.1 million class Q-PC at 'CCCsf/RR6'.
In addition, Fitch affirms and revises the Recovery Rating on this
class:
-- $19.8 million class K to 'CCsf/RR6' from 'CC/RR4'.
The $11.1 million class M remains at 'Dsf/RR6'.
Classes A-1, X-1, MOA-1, MOA-2, MOAX-1, MOAX-2, MOAX-3, N-DEL and
O-DEL have paid in full. Fitch does not rate classes A-J3, G, H
and MOA-3.
COMMERCIAL MORTGAGE: S&P Cuts Ratings on 7 Cert. Classes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 17
classes of commercial mortgage pass-through certificates from
Commercial Mortgage Trust 2007-GG11, a U.S. commercial mortgage-
backed securities (CMBS) transaction. "Concurrently, we affirmed
our ratings on eight classes from the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the eventual resolution of 14 assets ($404.8 million,
15.4%) that are currently with the special servicer. We also
considered the monthly serviced interest shortfalls that are
affecting the trust and potential interest shortfalls associated
with loan modifications. We lowered our ratings to 'D (sf)' on the
class K, L, M, N, O, P, and Q certificates because we expect
interest shortfalls to continue and believe the accumulated
interest shortfalls will remain outstanding for the foreseeable
future," S&P related.
The affirmed ratings on the six principal and interest
certificates reflect subordination and liquidity support levels
that are consistent with the outstanding ratings. "We affirmed our
'AAA (sf)' ratings on the class XP and XC interest-only (IO)
certificates based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
all of the remaining assets in the pool using our conduit/fusion
criteria. Using servicer-provided financial information, we
calculated an adjusted debt service coverage (DSC) of 1.16x and a
loan-to-value (LTV) ratio of 125.0%. We further stressed the
loans' cash flows under our 'AAA' scenario to yield a weighted
average DSC of 0.73x and an LTV ratio of 172.1%. The implied
defaults and loss severity under the 'AAA' scenario were 98.8% and
46.2%. The DSC and LTV calculations noted above exclude 14
specially serviced assets ($404.8 million, 15.4%). We separately
estimated losses for these 14 specially serviced assets and
included them in our 'AAA' scenario implied default and
loss severity figures," S&P related.
As of the July 12, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $1.2 million
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $1.1 million. The total interest shortfalls were
offset during this period by an ASER recovery of $83,709. The
interest shortfalls affected all classes subordinate to and
including class D. The class K, L, M, N, O, P, Q, and S
certificates experienced accumulated interest shortfalls for two
or more 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.
Credit Considerations
Fourteen assets ($404.8 million, 15.4%) in the pool are with the
special servicer, LNR Partners Inc. (LNR). The reported payment
status of the specially serviced assets as of the July 12, 2011,
trustee remittance report is: two are real estate owned (REO;
$12.7 million, 0.5%), eight are in foreclosure ($343.3 million,
13.1%), two are more than 90 days delinquent ($12.5 million,
0.5%), one is 60-plus-days delinquent ($30.0 million, 1.1%),
and one is less than 30 days delinquent ($6.3 million, 0.2%).
Appraisal reduction amounts (ARAs) totaling $225.5 million are in
effect against nine of the specially serviced assets. Details of
the three largest specially serviced assets, one of which is a top
10 loan, are:
The Bush Terminal loan is the fourth-largest loan in the pool and
the largest loan with the special servicer. The $300.0 million
whole loan is split into two pari passu notes: a $250.0 million
note that is included in the trust that comprises 9.5% of the pool
trust balance ($257.6 million total exposure as of the July 12,
2011, trustee remittance report) and a $50.0 million note that is
included in CGCMT 2008-C7. The loan is secured by 16 cross-
collateralized and cross-defaulted industrial, office, and loft
buildings comprising 6.0 million sq. ft. in Brooklyn, N.Y. The
loan was transferred to the special servicer on Jan. 13, 2011, due
to payment default. LNR indicated that it is pursuing foreclosure
while discussing a possible loan modification. The master
servicer, Wells Fargo Bank N.A. (Wells Fargo), reported an ARA
amount of $187.8 million in effect against the Bush Terminal loan
as of the July 12, 2011, trustee remittance report. The master
servicer indicated the ARA amount may be revised downward. "We
took this into consideration when analyzing the transaction. The
reported DSC and occupancy for the loan were 0.42x and 63.0%, for
the six months ended June 30, 2010. Standard & Poor's expects a
significant loss upon the eventual resolution of this loan," S&P
related.
The Diamond Run Mall loan ($36.8 million, 1.4%) is the 11th-
largest loan in the pool and the second-largest specially serviced
asset ($39.0 million total exposure as of the July 12, 2011,
trustee remittance report). The loan is secured by a 383,987-sq.-
ft. regional mall in Rutland, Vt. The loan was transferred to
the special servicer on June 24, 2010, due to imminent monetary
default. LNR indicated that it was not able to reach an agreement
with the borrower and that it is pursuing foreclosure. A
$16.3 million ARA is in effect against the loan based on a Nov. 6,
2010, appraisal value of $24.0 million. The reported DSC and
occupancy for the loan were 0.85x and 80.2%, respectively, for
year-end 2009 and for the three months ended March 31, 2011.
Standard & Poor's expects a significant loss upon the eventual
resolution of this loan.
The Clearwater House loan ($30.0 million, 1.1%) is the third-
largest specially serviced asset. The loan is secured by a
105,583-sq.-ft. office building in Stamford, Conn. The loan
was transferred to the special servicer on May 6, 2010, due to
imminent monetary default, and the payment status is 60-plus-days
delinquent. The reported DSC and occupancy for the loan were 0.55x
and 60.0% for year-end 2010. Standard & Poor's expects a moderate
loss upon the eventual resolution of this loan.
The 11 remaining assets with the special servicer have individual
balances that represent less than 0.8% of the pooled trust
balance. ARAs totaling $21.4 million are in effect against seven
of the assets. "We estimated losses for all 11 of these assets,
arriving at a weighted-average loss severity of 43.3%," S&P said.
Transaction Summary
As of the July 12, 2011, remittance report, the collateral pool
had an aggregate trust balance of $2.63 billion, which is down
slightly from $2.69 billion at issuance. The pool consists of 114
loans and two REO assets, down from 122 loans at issuance. The
master servicer provided financial information for 98.8% of the
assets in the pool, 15.7% was partial- or full-year 2009 data, and
the remainder was partial- or full-year 2010 data.
"We calculated a weighted average DSC of 1.07x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV were 1.16x and 125.0%. Our adjusted figures exclude 14
specially serviced assets ($404.8 million, 15.4%). We separately
estimated losses for these 14 specially serviced assets and
included them in our 'AAA' scenario implied default and loss
severity figures. Including the reported DSC for the specially
serviced assets, as well as two loans with ground leases as
described below, our adjusted DSC was 1.06x. The transaction has
experienced $22.6 million in principal losses from six assets to
date. Forty-three loans ($827.0 million, 31.4%) in the pool are on
the master servicer's watchlist, including four of the top 10
loans, which are discussed below. Forty-four loans ($1.10 billion,
41.7%) have a reported DSC of less than 1.10x and 31 of these
loans ($944.9 million, 35.9%) have a reported DSC of less than
1.0x," S&P related.
Summary of Top 10 Loans
The top 10 exposures have an aggregate outstanding balance of
$1.52 billion (57.7%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.01x for the top 10 loans.
Four of the top 10 loans ($407.5 million, 15.5%) are on the master
servicer's watchlist. Our adjusted DSC and LTV for the top 10
loans are 1.12x and 122.6%. Including the reported
DSC for the specially serviced loan, as well as two loans with
ground leases, our adjusted DSC for the top 10 loans is 0.98x,"
S&P related.
Two loans ($326.7 million, 12.4%) on the master servicer's
watchlist are secured by long-term ground leases on Manhattan
office properties: 885 Third Ave. and 292 Madison Ave. The
borrower for each of these loans was current in their debt service
payments as of the July 12, 2011, remittance report. The loans are
on the servicer's watchlist due to low reported DSC. The reported
DSCs were 0.65x and 0.85x, respectively, at year-end 2010.
However, each of the loans has a letter of credit in place to
cover the shortfall between the current ground rent and the debt
service payments.
The Hyatt Regency Milwaukee loan ($43.4 million, 1.7%) is the
eighth-largest loan in the pool and the third-largest loan on the
servicer's watchlist. The borrower was current in their debt
service payments as of the July 12, 2011, remittance report. The
loan is secured by a 483-room hotel in Milwaukee, Wis. The loan is
on the servicer's watchlist because of a low reported DSC. The
reported DSC and occupancy for the loan were 0.24x and 62.0%,
respectively, for year-end 2010, compared with 0.01x and 57% at
year-end 2009.
The Research Park Portfolio loan ($37.4 million, 1.4%) is the
10th-largest loan in the pool and the fourth-largest loan on the
watchlist. The borrower was current in its debt service payments
as of the July 12, 2011, remittance report. The loan is secured by
three office buildings in Orlando, Fla. The reported DSC and
combined occupancy for the loan were 1.46x and 94.0% for year-end
2010, compared with 1.28x and 93.0% at year-end 2009.
Standard & Poor's stressed the loans in the pool according to its
updated conduit/fusion criteria. The resultant credit enhancement
levels are consistent with the lowered and affirmed ratings.
Ratings Lowered
Commercial Mortgage Trust 2007-GG11
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BB (sf) BB+ (sf) 19.57
A-J B+(sf) BB- (sf) 11.52
B B (sf) B+ (sf) 10.76
C B- (sf) B+ (sf) 9.74
D CCC+ (sf) B+ (sf) 8.97
E CCC+ (sf) B (sf) 7.69
F CCC (sf) B (sf) 7.18
G CCC (sf) B (sf) 5.91
H CCC- (sf) B (sf) 5.01
J CCC- (sf) B- (sf) 3.99
K D (sf) B- (sf) 2.59
L D (sf) B- (sf) 2.33
M D (sf) CCC+ (sf) 1.95
N D (sf) CCC+ (sf) 1.57
O D (sf) CCC+ (sf) 1.31
P D (sf) CCC (sf) 1.18
Q D (sf) CCC (sf) 0.93
ratings affirmed
Commercial Mortgage Trust 2007-GG11
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-1 AAA (sf) 29.78
A-2 AAA (sf) 29.78
A-3 AAA (sf) 29.78
A-AB AAA (sf) 29.78
A-4 BBB+ (sf) 29.78
A-1A BBB+ (sf) 29.78
XP AAA (sf) N/A
XC AAA (sf) N/A
N/A -- Not applicable.
CONCORD REAL: S&P Lowers Ratings on 3 Classes of Notes to 'CCC-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from Concord Real Estate CDO 2006-1 Ltd. (Concord 2006-1),
a U.S. commercial real estate collateralized debt obligation (CRE
CDO) transaction.
"The downgrades primarily reflect the cancellation of certain
subordinate notes before they were repaid through the
transaction's payment waterfall and our assessment of increased
risks and credit stability considerations regarding
subordinate note cancellations," S&P said.
The list indicates the notes that were cancelled without payment,
according to the June 22, 2011, trustee report and notice S&P
received from the trustee, Bank of America Merrill Lynch:
Tranche Cancelled (US$)
C 10,925,000
D 11,200,000
E 5,000,000
F 2,000,000
G 18,600,000
H 18,600,000
To assess the risks and credit stability considerations regarding
the subordinate note cancellations, S&P applied these stresses it
deemed appropriate:
"We generated a cash flow analysis using two scenarios. The
first scenario utilized the current balances of the notes,
including any note cancellations, when modeling the interest
or principal diversion mechanisms. The second scenario
recognized only the balance of the senior notes in the
calculation of any interest or principal diversion
mechanisms," S&P related.
"Using the two scenarios, we then applied the lower of the
rating levels as the starting point for our rating analysis
for each class of notes," S&P said.
"Finally, we reviewed the level of cushion relative to our
credit stability criteria and made further adjustments to the
ratings that we believed were appropriate," S&P said.
"The downgrades also reflect our analysis of the transaction
following the deterioration of the transaction's collateralization
ratio below 100% to 97.7%. According to the June 22, 2011, trustee
report, total liabilities equaled $398.7 million, while total
assets were $389.4 million. As of the June 22, 2011, trustee
report, all of the par value ratio tests were failing, while
all of the interest coverage tests were passing," S&P related.
According to the June 22, 2011, trustee report, the transaction's
then-current asset pool included:
Thirteen subordinate-interest loans ($203.3 million, 52.2% of
the collateral pool);
Fifteen CBMS tranches ($110.7 million, 28.4%);
Three whole loans and senior interest loans ($58.1 million,
14.9%);
One CRE CDO tranche ($9.3 million, 2.4%); and
Cash ($8.0 million, 2.1%).
Standard & Poor's reviewed and updated credit estimates for all of
the nondefaulted loan assets and lowered its estimate on one loan,
Centennial Tower ($12.2 million, 3.1%). "We based the analyses on
our calculation of adjusted net cash flow, which we derived from
the most recent financial data provided by the collateral manager,
WRP Management LLC, and trustee, Bank of America Merrill Lynch, as
well as market and valuation data from third-party providers," S&P
said.
The trustee report noted four defaulted securities ($29.3 million,
2.1%) in the pool, as well as one defaulted subordinate-interest
loan, JW Marriott ($35.0 million, 9.0%). Standard & Poor's
estimated an asset-specific recovery rate for the JW Marriott loan
to be zero percent. "We based the estimated recovery rate on
information from the collateral manager, special servicer,
and third-party data providers," S&P related.
S&P's analysis of Concord 2006-1 also reflects exposure to these
CMBS certificates in the Concord 2006-1 collateral pool that
Standard & Poor's has downgraded:
Bear Stearns Commercial Mortgage Securities 2006-BBA7 (class
K; $4.8 million, 1.2%); and
Greenwich Capital Commercial Funding Corp 2005-GG5 (class AM;
$3.8 million, 1.0%).
Standard & Poor's analyzed the transaction and its underlying
collateral assets according to its current criteria. "Our analysis
is consistent with the lowered ratings," S&P said.
Ratings Lowered
Concord Real Estate CDO 2006-1 Ltd.
Floating-rate notes
Rating
Class To From
A-1 BB+ (sf) BBB (sf)
A-2 BB (sf) BBB- (sf)
B B- (sf) BB+ (sf)
C CCC+ (sf) BB+ (sf)
D CCC- (sf) B+ (sf)
E CCC- (sf) B (sf)
F CCC- (sf) CCC+ (sf)
CREDIT SUISSE: Fitch Downgrades Class I to 'Csf/RR6'
----------------------------------------------------
Fitch Ratings downgrades and revises a Recovery Rating (RR) to
Credit Suisse First Boston Mortgage Securities Corp. commercial
mortgage pass-through certificates, series 1997-C2:
-- $14.7 million class I to 'Csf/RR6' from 'CCsf/RR3'.
In addition, Fitch affirms the long-term credit ratings and Rating
Outlooks, and assigns Loss Severity (LS) ratings:
-- $10.2 million class D at 'AAAsf/LS5'; Outlook Stable;
-- $73.3 million class F at 'AA+sf/LS1'; Outlook Stable;
-- $14.7 million class G at 'A+sf/LS3'; Outlook Stable, LS
revised to 'LS3' from 'LS2';
-- $29.3 million class H at 'B+sf/LS2'; Outlook Stable from
Outlook Negative.
Classes A-1, A-2 and A-3, B and C have paid in full. Fitch does
not rate the $25.7 million class E or the $1.4 million class J.
Fitch has previously withdrawn the rating of the interest only
(IO) class A-X.
Fitch expects potential losses of 3.39% of the remaining pool
balance, approximately $5.4 million. The Rating Outlooks reflect
the likely direction of any changes to the ratings over the next
one to two years.
As of the July 2011 distribution date, the pool's aggregate
certificate balance has decreased 89.11% to $159.6 million, from
$1.5 billion at issuance. Four loans (15.4%) have defeased,
including the top remaining loan (12.8%) in the transaction.
There are four specially serviced loans representing 13.4% of the
outstanding balance. The largest specially serviced asset, a
131,580 square foot (sf) office building located in Bannockburn,
IL (5.4%) is in foreclosure. The property was built in 1978 and
renovated in 1997. The property is 53% occupied which is below the
market average occupancy of 70%. Recent values indicate that the
property is worth less than the outstanding loan amount.
The second largest specially serviced loan (3%) is secured by a
127,200 sf industrial property located in Valley View, Ohio. The
loan is current and was transferred to special servicing in March
2009 for a technical default Throughout this time payments,
excluding accruing default interest, have been wired into the
lockbox on a timely basis. Recent values indicate the value of the
property is slightly less than the outstanding loan amount.
The remaining two specially serviced loans (5%) are both multi-
family (MF) properties. The first property is a 204 unit MF
property located in Louisville, KY. The property is currently in
foreclosure. Recent values indicate an expected loss. The second
property is a 142 unit MF property built in 1983 and located in
Tulsa, OK. The loan is now 30 days past due. Fitch does not
currently expect a loss on this loan.
CREDIT SUISSE: Fitch Takes Various Actions on CSFB 2007-TFL2
------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed the remaining
classes of Credit Suisse First Boston Mortgage Securities Corp.,
Series 2007-TFL2, reflecting Fitch's base case loss expectation of
5.5% for the pooled classes. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market value and cash flow declines.
Under Fitch's methodology, approximately 58.3% of the pool is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 11.1% from generally year-end 2010 financials. To
determine a sustainable Fitch cash flow and stressed value, Fitch
analyzed servicer-reported operating statements and rent rolls,
updated property valuations, and recent sales comparisons. Fitch
estimates the average recoveries on the loans will be
approximately 90.6% in the base case.
The transaction is collateralized by five loans, three of which
are secured by hotels (59.6%), and two by offices (40.4%).
Presently four loans have their final maturities in 2012 (51.7%);
the remaining loan has extensions through 2015 (48.3%). Since the
last review, two loans have been disposed from the trust with loss
severities that exceeded 100%. These loans defaulted early in the
life of the transaction and remained non-performing loans for 18+
months. In both cases, the losses were due to a large amount of
accrued advances as well as significant declines in property
values. The ratings from the previous review took the expected
losses of these dispositions into consideration.
The largest contributor to modeled losses, Planet Hollywood Resort
& Casino, is secured by a resort, casino, and entertainment
complex in Las Vegas, NV, that includes a 2,519 room hotel, a
116,000 square foot (sf) casino, an outdoor pool area and 32,000
sf spa, eight restaurants, and 75,000 sf of convention, trade
show, and meeting facility space. While net operating income (NOI)
remains below expectations from issuance, income has been steadily
improving, with an NOI of $39.4 million in March 2011, compared
with $29.9 million in 2010 and $12.7 million in 2009.
The loan was modified and assumed by Harrah's in February 2010.
The loan's initial maturity occurs in December 2011, with
extension options available through 2015. Harrah's is one of the
largest casino operators in Las Vegas, with nine casinos and an
estimated 25,000 employees. The Planet Hollywood asset is expected
to benefit from Harrah's extensive experience in the operation and
management of its portfolio of gaming properties. The option to
extend through 2015 will provide the property with additional time
to stabilize operations under the new sponsor.
The next contributor to loss, 100 West Putnam Avenue, consists of
a 152,304-sf office property in Greenwich, CT. The property
underwent a $17 million renovation around the time of
securitization, which focused on updating both exterior and
interior aspects of the building. At issuance, a majority of the
tenant space was leased, but not occupied as renovations were
still taking place. As the effects of the recession began to take
their toll on commercial real estate markets and company revenues
alike, a number of tenants at the property either defaulted on
their leases or vacated their spaces. The property continues to
face the difficulty of attracting replacement tenants in a market
that supports much lower rents than the asking rates at the time
of origination. As of year-end 2010, the property was 55%
occupied; however, the servicer indicated that per the April 2011
rent roll, occupancy had increased to 73%. The largest tenant,
Plainfield Asset Management (38.7% of net rentable area), is not
in occupancy of their space, but they continue to honor their
payments. Their lease expires in 2019. Year-end 2010 cash flow was
considered in Fitch's analysis, but given the high degree of
tenant volatility, Fitch also considered the stressed value-per-
foot when determining the loan's stressed value.
Fitch downgrades this class and assigns a Recovery Rating (RR):
-- $42.6 million class C to 'CCCsf/RR1' from 'B/LS5.
Fitch also affirms these classes; and revises Loss Severity (LS)
ratings and Outlooks:
-- $458.9 million class A-1 at 'Asf; LS to 'LS2' from 'LS3';
Outlook to Stable from Negative;
-- $100 million class A-2 at 'BBBsf; LS to 'LS3' from 'LS5';
Outlook to Stable from Negative;
-- $207 million class A-3 at 'BBsf'; LS to 'LS2' from 'LS4';
Outlook to Stable from Negative;
-- $45.7 million class B at 'Bsf; LS to 'LS4' from 'LS5';
Outlook to Stable from Negative;
-- $33.5 million class D at 'Csf/RR2';
-- $2.2 million class E at 'Dsf/RR6';
-- $0 class F at 'Dsf/RR6';
-- $0 class G at 'Dsf/RR6';
-- $0 class H at 'Dsf/RR6';
-- $0 class J at 'Dsf/RR6';
-- $0 class K at 'Dsf/RR6';
-- $0 class L at 'Dsf/RR6'.
CREDIT SUISSE: Moody's Lowers Rating of $375MM Second Lien RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 57
tranches from 25 deals, placed under review for possible downgrade
6 tranches from 4 deals, and confirmed the rating on 1 tranche
from 1 deal issued between 1999 and 2006. The collateral backing
these deals primarily consists of closed end second lien loans and
HELOCs.
RATINGS RATIONALE
The actions are a result of the continued performance
deterioration in second lien pools and HELOCs in conjunction with
home price and unemployment conditions that remain under duress.
The actions reflect Moody's updated loss expectations on second
lien pools and HELOCs.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008. Other factors used in these ratings
are described in "Second Lien RMBS Loss Projection Methodology:
April 2010" published in April 2010. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
For tranches from the CWABS 2002-SC1, CWABS 2002-S1, CWABS 2002-
S2, CWABS 2002-S3, CWABS 2002-S4, CWABS 2004-S1 transactions,
Moody's expects to be protected both by mortgage insurance and
Countrywide Home Loans (CHL) guarantees; ratings may be higher
than Moody's assessment of the individual credit strength of
either of the two. The higher rating is the result of the
application of the joint probability-of-default analysis,
described in detail in Moody's Special Comment, "The Incorporation
of Joint-Default Analysis into Moody's Corporate, Financial and
Government Rating Methodologies," February 2005. That analysis
indicates that the rating on a jointly supported obligation may be
higher than that of either support provider, because the
likelihood of joint default is typically less than the probability
of default of either support provider individually. Moody's is
also typically assuming a rescission rate of 20-40% for the
transactions mentioned above. Moody's expects these tranches to be
protected both by mortgage insurance and the CHL guarantees;
losses on mortgage loans that are rescinded by the mortgage
insurers which would otherwise be a loss to the junior-most
tranches are covered by the CHL guarantees to the extent the
guarantees are sufficient to cover pool losses. Hence, most
ratings on the junior-most tranches in such instances are floored
at the A2 (Placed Under Review for Possible Downgrade) rating of
CHL. For tranches from the CWABS 2003-S1 transaction Moody's
expects to be protected by mortgage insurance alone and Moody's is
typically assuming a rescission rate of 20-40%.
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. Moody's withdrew
the insurance financial strength rating of FGIC in March 2009. As
a result securities wrapped by FGIC are rated at their underlying
rating without consideration of FGIC's guaranty. 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. Moody's now
projects house price index to reach a bottom in the first quarter
of 2012, with a 2% remaining decline between the first quarter of
2011 and 2012, and unemployment rate to start declining by fourth
quarter of 2011.
Complete rating actions are:
Issuer: Bond Securitization Asset-Backed Certificates, Series
2003-1
Cl. B-2, Downgraded to Ba2 (sf); previously on Nov 30, 2010
Confirmed at Baa3 (sf)
Issuer: Credit Suisse First Boston Mortgage Acceptance Corp.
Series 2002-HI23
Cl. M-2, Downgraded to Ba2 (sf); previously on Dec 16, 2010
Downgraded to Baa2 (sf)
Cl. B-1, Downgraded to B3 (sf); previously on Dec 16, 2010
Confirmed at B1 (sf)
Issuer: CSFB Mortgage Pass-Through Certificates, Series 2001-S6
Cl. II-P, Downgraded to Ba1 (sf); previously on Dec 16, 2010
Confirmed at Aaa (sf)
Cl. B-1, Downgraded to Ba1 (sf); previously on Dec 16, 2010
Confirmed at Aa2 (sf)
Cl. XB-1, Downgraded to Ba1 (sf); previously on Dec 16, 2010
Confirmed at Aa2 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-S1
Cl. A-4, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Confirmed at Aaa
(sf)
Cl. A-5, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Downgraded to Aa3
(sf)
Cl. A-IO, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Confirmed at Aaa
(sf)
Cl. M-1, Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Downgraded to A1
(sf)
Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 23, 2011 Downgraded to A2 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-S2
Cl. A-5, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Downgraded to Aa2
(sf)
Cl. A-IO, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Downgraded to Aa2
(sf)
Cl. M-1, Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Downgraded to Aa3
(sf)
Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 23, 2011 Downgraded to A2 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2003-S2
Cl. A-4, Downgraded to Baa1 (sf); previously on Jun 10, 2010
Downgraded to A2 (sf)
Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 10, 2010
Downgraded to A1 (sf)
Cl. M-1, Downgraded to Baa3 (sf); previously on Jun 10, 2010
Downgraded to Baa1 (sf)
Cl. M-2, Downgraded to Ba3 (sf); previously on Jun 10, 2010
Downgraded to Ba1 (sf)
Cl. B-1, Downgraded to B2 (sf); previously on Jun 10, 2010
Downgraded to B1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-S1
Cl. A-3, Downgraded to Baa2 (sf); previously on Feb 23, 2011
Confirmed at Aa3 (sf)
Cl. A-IO, Downgraded to Baa2 (sf); previously on Feb 23, 2011
Downgraded to Aa3 (sf)
Cl. M-1, Downgraded to Ba1 (sf); previously on Feb 23, 2011
Upgraded to A1 (sf)
Cl. M-2, Downgraded to Ba3 (sf); previously on Feb 23, 2011
Upgraded to A2 (sf)
Cl. M-3, Downgraded to B1 (sf); previously on Feb 23, 2011
Upgraded to Baa1 (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2002-SC1
Cl. A-IO, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 23, 2011 Downgraded to A1 (sf)
Cl. M-2, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 23, 2011 Downgraded to A1 (sf)
Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 23, 2011 Downgraded to A2 (sf)
Issuer: CWABS, INC., Asset-Backed Certificates, Series 2003-S1
Cl. M-1, Downgraded to Ba1 (sf); previously on Feb 23, 2011
Downgraded to Baa2 (sf)
Issuer: CWABS, Inc., Asset-Backed Pass-Through Certificates,
Series 2002-S3
Cl. A-5, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Confirmed at Aaa
(sf)
Underlying Rating: Downgraded to A1 (sf) and Placed Under Review
for Possible Downgrade; previously on Feb 23, 2011 Confirmed at
Aaa (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Cl. A-IO, Downgraded to A1 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Confirmed at Aaa
(sf)
Cl. M-1, Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Downgraded to Aa3
(sf)
Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 23, 2011 Downgraded to A2 (sf)
Issuer: CWABS, Inc., Asset-Backed Pass-Through Certificates,
Series 2002-S4
Cl. A-5, Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Confirmed at Aaa
(sf)
Cl. A-IO, Downgraded to A2 (sf) and Placed Under Review for
Possible Downgrade; previously on Feb 23, 2011 Confirmed at Aaa
(sf)
Cl. M-1, Downgraded to Baa1 (sf); previously on Feb 23, 2011
Downgraded to Aa1 (sf)
Cl. M-2, Downgraded to Ba1 (sf); previously on Feb 23, 2011
Downgraded to A1 (sf)
Cl. B, Downgraded to Ba2 (sf); previously on Feb 23, 2011
Downgraded to A2 (sf)
Issuer: First Franklin Mortgage Loan Trust 2003-FFB
Cl. M-2, Downgraded to B3 (sf); previously on Oct 20, 2010
Downgraded to Ba1 (sf)
Cl. B-1, Downgraded to Ca (sf); previously on Oct 20, 2010
Downgraded to Caa2 (sf)
Issuer: GMACM Home Loan Trust 2001-HLTV1
Cl. A-I-7, Downgraded to B2 (sf); previously on May 21, 2010
Downgraded to Ba3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: GMACM Home Loan Trust 2002-HLTV1
Cl. A-I, Downgraded to B2 (sf); previously on May 21, 2010
Downgraded to Ba1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Home Loan Trust 2003-HI4
Cl. A-I-5, Downgraded to A3 (sf); previously on Dec 1, 2010
Downgraded to Aa3 (sf)
Cl. A-II, Downgraded to A3 (sf); previously on Dec 1, 2010
Downgraded to Aa3 (sf)
Cl. M-1, Downgraded to Baa1 (sf); previously on Dec 1, 2010
Downgraded to A2 (sf)
Issuer: Irwin Home Equity Loan Trust 2004-1
Cl. IA-1, Downgraded to B1 (sf); previously on Jun 30, 2010
Downgraded to Baa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. IIA-1, Downgraded to Baa2 (sf); previously on Jun 30, 2010
Downgraded to A3 (sf)
Cl. IIM-1, Downgraded to Ba3 (sf); previously on Jun 30, 2010
Downgraded to Baa3 (sf)
Issuer: Irwin Home Equity Loan Trust 2006-P1
Cl. II-A-4, Downgraded to Caa2 (sf); previously on Jun 30, 2010
Downgraded to Caa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: Irwin Whole Loan Home Equity Trust 2003-A
Cl. M-1, Downgraded to Baa1 (sf); previously on Jun 30, 2010
Downgraded to A1 (sf)
Issuer: Irwin Whole Loan Home Equity Trust 2003-B
Cl. IA, Downgraded to A2 (sf); previously on Jun 30, 2010
Confirmed at Aa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. M, Downgraded to Baa1 (sf); previously on Jun 30, 2010
Confirmed at A2 (sf)
Issuer: Irwin Whole Loan Home Equity Trust 2005-A
Cl. A-3, Downgraded to A2 (sf); previously on Jun 30, 2010
Downgraded to Aa3 (sf)
Issuer: Irwin Whole Loan Home Equity Trust 2005-B
Cl. 1M-2, Downgraded to Baa3 (sf); previously on Jun 30, 2010
Downgraded to Baa1 (sf)
Issuer: RFMSII Series 2006-HSA3
Cl. A, Confirmed at Aa3 (sf); previously on Mar 3, 2010 Aa3 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Confirmed at
Aa3, Outlook Negative on Nov 12, 2009)
Issuer: RFMSII Home Equity Loan Trust 2003-HS1
Cl. A-II, Downgraded to Baa3 (sf); previously on Jun 4, 2010
Downgraded to A2 (sf)
Underlying Rating: Downgraded to Baa3 (sf); previously on Jun 4,
2010 Downgraded to A2 (sf)*
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII Home Equity Loan Trust 2003-HS4
Cl. A-I-A, Downgraded to Caa1 (sf); previously on Jun 4, 2010
Downgraded to B3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-I-B, Downgraded to Ba1 (sf); previously on Jun 4, 2010
Downgraded to Baa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RFMSII Home Equity Loan Trust 2005-HS1
Cl. A-I-3, Downgraded to B1 (sf); previously on Jun 4, 2010
Upgraded to Ba2 (sf)
Underlying Rating: Downgraded to B1 (sf); previously on Jun 4,
2010 Upgraded to Ba2 (sf)
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Issuer: RFMSII, Inc. Home Equity Loan-Backed Term Notes, Series
2001-HS3
Cl. M-I-2, Downgraded to Caa1 (sf); previously on Jun 4, 2010
Confirmed at Ba3 (sf)
Issuer: United National Bank Home Loan Owner Trust 1999-2
Cl. A, Downgraded to Baa1 (sf); previously on Mar 18, 2010 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 18, 2010 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba3 (sf); previously on Mar 18, 2010 A2
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to B1 (sf); previously on Mar 18, 2010 Baa2
(sf) Placed Under Review for Possible Downgrade
CREDIT SUISSE: S&P Lowers Rating on Class L Notes to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-through certificates from
Credit Suisse First Boston Mortgage Securities Corp.'s series
2002-CKP1, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
"We lowered our rating to 'D (sf)' on class L due to principal
losses totaling $2.8 million (as of the July 15, 2011, trustee
remittance report) resulting from the liquidation of the Chaparral
Apartments loan that was with the special servicer, LNR Partners
LLC. The Chaparral Apartments loan liquidated at a loss severity
of 18.5% based on the $15.4 million beginning scheduled balance.
Class L experienced a loss of 5.7% of its $16.1 million original
balance, and class M (not rated by Standard & Poor's) experienced
a 100% loss of its $1.9 million beginning balance," S&P related.
"We lowered our ratings on classes H and K-Z to reflect the
reduced liquidity support available to these classes and the
increased potential for these classes to experience interest
shortfalls. We also considered potential appraisal subordinate
entitlement reduction (ASER) adjustments on the specially serviced
loans that currently do not have ASERs. As of the July 15, 2011,
trustee remittance report, appraisal reduction amounts (ARAs)
totaling $2.3 million were in effect for two ($6.4 million, 0.9%)
of the transaction's six ($21.2 million, 3.0%) specially serviced
loans. Interest shortfalls resulting from ASER amounts, interest
paid to the servicer on outstanding advances, and special
servicing fees that have affected the trust this period were
offset by recovery of fees and expenses related to an asset that
was liquidated in October 2009. The reported cumulative ASER
amount as of the July 2011 trustee remittance report was $34,086,"
S&P stated.
As of the July 2011 trustee remittance report, the collateral pool
consisted of 105 loans with an aggregate trust balance of $696.7
million, down from 156 loans totaling $992.9 million at issuance.
To date, the trust has experienced losses on 22 assets totaling
$52.4 million. Based on the July 2011 trustee remittance report
data, the weighted average loss severity for these 22 assets was
approximately 51.1% (based on the asset balance at the time of
disposition).
Ratings Lowered
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-CKP1
Credit Reported
Rating enhancement interest shortfalls($)
Class To From (%) Current Accumulated
H BBB+ (sf) A (sf) 5.03 0 0
K-Z BB+ (sf) BBB (sf) 2.18 0 0
L D (sf) CCC+ (sf) 0.00 (17,227) 0
CW CAPITAL: Moody's Affirms Ratings of Nine CRE CDO Classes
-----------------------------------------------------------
Moody's Affirms Nine and Downgrades Two CRE CDO Classes of
CWCapital Cobalt I
(from neil)
(New York, July 27, 2011)
Moody's has affirmed nine and downgraded two classes of Notes
issued by CWCapital Cobalt I, Ltd. The downgraded classes are due
to the deterioration in the credit quality of the underlying
portfolio as evidenced by an increase in the weighted average
rating factor, a decrease in the weighted average recovery rate,
and an increase in defaulted assets since last review. The
affirmed classes are a result of the key transaction parameters
performing within levels commensurate with the existing ratings
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. A-1, Affirmed at A2 (sf); previously on Aug 11, 2010
Downgraded to A2 (sf)
Cl. A-2, Affirmed at Ba1 (sf); previously on Aug 11, 2010
Downgraded to Ba1 (sf)
Cl. B-1, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B2 (sf)
Cl. B-2, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B2 (sf)
Cl. C, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded
to Ca (sf)
Cl. D, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. E-1, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. E-2, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. F-1, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. F-2, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
CWCapital Cobalt I, Ltd. is a revolving CRE CDO transaction which
turned static after the Replenishment Period ended on May 25,
2010, backed by a portfolio of commercial mortgage backed
securities (CMBS) collateral (61.6% of the pool, including rake
bonds), CRE CDO collateral (9.5% of the pool), whole loan debt
(8.6% of the pool), B-note debt (6.3% of the pool), mezzanine debt
(5.3% of the pool), and other derivates assets (8.7% of the pool).
As of June 30, 2011, the aggregate Notes balance of the
transaction, including the Preferred Share, has decreased to
$331.4 million from $450.9 million at issuance, due to
approximately $125.3 million in pay-downs to the Class A1 Notes,
which represents additional $91.5 million pay-down since last
review. The pay-down was triggered as the combination of principal
repayment of assets after the Replenishment Period and a result of
the failure of the Class A/B, Class C/D, and Class E/F/G
Overcollateralization Tests. Per the Indenture, the failure of any
Overcollateralization Test results in all scheduled interest and
principal payments being directed to pay down the most senior
notes, until the Overcollateralization Coverage Test is satisfied.
As of June 30, 2011, total thirty-six assets totaling over $178.1
million par amount (56% of the current pool balance) were listed
as defaulted, compared to twenty-five assets with 38% of the pool
balance at last review.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (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 collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 6,233 compared to 4,903 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (4.4% compared to 9.3% at last review), A1-A3
(1.1% compared to 1.9% at last review), Baa1-Baa3 (1.7% compared
to 2.5% at last review), Ba1-Ba3 (16.0% compared to 26.3% at last
review), B1-B3 (13.3% compared to 15.8% at last review), and Caa1-
C (63.5% compared to 44.2% at last review).
WAL acts to adjust the probability of default of the collateral
assets in the pool for time. Moody's modeled to a WAL of 3.1 years
compared to 3.0 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed 20.1%
WARR, compared to 27.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 9.7%, compared to 9.2% 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
20.1% to 15.1% or up to 25.1% would result in average rating
movement on the rated tranches of 0 to 1 notches downward or 0 to
4 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.
Other methodologies used in these ratings were "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
CWMBS REPERFORMING: Moody's Reviews $3.5 Bil. of FHA/VA RMBS
------------------------------------------------------------
Moody's Investors Service has placed 193 FHA/VA residential
mortgage-backed securities (RMBS) from 39 deals on review for
possible downgrade. The collateral backing these transactions
consists primarily of first-lien, fixed, and adjustable rate,
mortgage loans insured by the Federal Housing Administration
(FHA), an agency of the U.S. Department of Urban Development
(HUD) or guaranteed by the Veterans Administration (VA). The
review action impacts approximately $3.5 billion of FHA/VA RMBS
issued between 1998 to 2006, and was prompted by uncertainty about
the claims that will be covered by HUD, sustained high delinquency
levels, expectations of continued weaknesses in the housing
market, and high unemployment levels.
The volume of FHA insured loans increased significantly over the
past several years and the FHA has experienced an increase in
losses on its portfolio. This trend has resulted in HUD
scrutinizing claims more rigorously with a view to identifying
servicing or underwriting defects that would serve as a basis for
a claim denial. The claims process also requires the servicers to
bring the property to an acceptable conveyance condition. Costs
incurred by the servicer in this process may not be fully
reimbursed by HUD, but still passed to the trust, as the servicer
deems them reasonable. The increased scrutiny by HUD and the
uncertainty pertaining to HUD ultimately paying claims have led to
high volatility of Moody's expectations on the losses that will be
covered by FHA.
FHA/VA borrowers in Moody's transactions are typically low income
borrowers with poor credit history who have been affected by the
weak economy and housing market. Moody's expects delinquencies to
remain high for this sector at 40%, 35%, and 30% for the 2004,
2005, and 2006 vintages, respectively as house prices continue to
decline and unemployment rates remain high. FHA/VA RMBS
transactions have had very low losses to date (less than 1%)
despite high delinquency levels due to the FHA and VA guarantees.
However, Moody's expects this trend to change as Moody's believes
that the HUD is likely to reject more claims in the future.
Review Action
To determine which tranches to place on review, Moody's compared
the tranches' credit enhancement from subordination plus excess
spread (if any) to a loss projection. Tranches without enough
credit enhancement to maintain their current ratings (as measured
by at least two notches implied downgrade if the current rating is
single B or below; or by at least one notch implied downgrade if
the current rating is Ba3 or above) based on this calculation have
been placed on review for possible downgrade.
Moody's has already placed on watch $377 Million of Aaa-rated FHA-
VA Bonds when U.S. government's debt was placed on downgrade watch
in 13 July, 2011. Around $250 Million of these bonds is directly
linked to US rating as they have an implicit guarantee from Fannie
Mae or Freddie Mac. As a result, the ratings of these securities
will move in lock-step with the U.S. government's rating and have
been placed on review for possible downgrade. The remaining $127
Million of the Aaa-rated bonds have been placed on watch as any
downgrade rating action on the U.S. government will impact the
credit strength of the insurance provided by FHA or VA. In
addition, these tranches will also be impacted by Moody's current
revised FHA/VA loss assumptions.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008. Other factors used in these ratings
are described in "FHA VA Methodology Parameter Update" published
in July 2011, which accounts for the updated performance and
outlook. Please see the Credit Policy page on www.moodys.com for a
copy of these methodologies.
During the review period Moody's will further refine its
assumptions relating to expected frequency of default and severity
of loss on a deal-by-deal basis. Moody's expects to resolve the
review and take final action on all bonds placed on review within
the next few weeks.
Complete rating actions are:
Issuer: CWMBS, Inc. Structured pass-Through Certificates Series
2003-R3
Cl. M, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. B-1, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: CWMBS Re-Performing Loan REMIC Trust Certificates, Series
2002-1
Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at Aa2 (sf)
Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at A2 (sf)
Cl. B-2, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. B-3, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series
2004-R1
Cl. 1A-F, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 1A-S, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. PT, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 2A, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 3A, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 1M, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. 2M, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. 1B-1, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Cl. 2B-1, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Caa1 (sf)
Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series
2004-R2
Cl. 1A-F1, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. 1A-F2, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. 1A-S, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. M, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series
2005-R2
Cl. 1A-F1, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 1A-F2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Cl. 2A-1, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Cl. 2A-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Cl. 2A-3, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Cl. 2A-4, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Cl. 2A-IO, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series
2005-R3
Cl. A-F, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. A-S, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. M, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: Fannie Mae REMIC Trust 2001-W3
Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 31, 2001 Assigned Aa2 (sf)
Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 31, 2001 Assigned A2 (sf)
Cl. B-2, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 31, 2001 Assigned Baa2 (sf)
Cl. B-3, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 31, 2001 Assigned Ba2 (sf)
Issuer: Fannie Mae REMIC Trust 2002-W1
Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 28, 2002 Assigned Aa2 (sf)
Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 28, 2002 Assigned A2 (sf)
Cl. B-2, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 28, 2002 Assigned Baa2 (sf)
Cl. B-3, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to B1 (sf)
Issuer: Fannie Mae REMIC Trust 2002-W6
Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 31, 2002 Assigned Aa2 (sf)
Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 31, 2002 Assigned A2 (sf)
Cl. B-2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to Ba3 (sf)
Issuer: Fannie Mae REMIC Trust 2003-W1
Cl. M, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 24, 2003 Assigned Aa2 (sf)
Cl. B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Mar 24, 2003 Assigned A2 (sf)
Cl. B-2, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to Ba1 (sf)
Issuer: Fannie Mae REMIC Trust 2003-W10
Cl. 1M, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 17, 2003 Assigned Aa2 (sf)
Cl. 1B-1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to Baa2 (sf)
Cl. 1B-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to B1 (sf)
Issuer: Fannie Mae REMIC Trust 2003-W4
Cl. IM, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 16, 2003 Assigned Aa2 (sf)
Cl. IB-1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to Baa2 (sf)
Cl. IB-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 8, 2009 Downgraded to B1 (sf)
Issuer: GSMPS Mortgage Loan Trust 2002-1
Cl. B1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa2 (sf)
Cl. B2, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A3 (sf)
Cl. B3, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Issuer: GSMPS Mortgage Loan Trust 2003-1
Cl. B1, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. B2, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. B3, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Caa1 (sf)
Issuer: GSMPS Mortgage Loan Trust 2004-4
Cl. 1AF, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. 1AS, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. 1A2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. 1A3, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. 1A4, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. 2A1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. AX, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. B1, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: GSMPS Mortgage Loan Trust 2005-LT1
Cl. M-1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at Aa2 (sf)
Cl. M-2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at A2 (sf)
Issuer: GSMPS Mortgage Loan Trust 2005-RP1
Cl. 1AF, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. 1AS, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. 1A2, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. 1A3, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. 1A4, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. 2A1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. AX, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: GSMPS Mortgage Loan Trust 2005-RP2
Cl. 1AF, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 1AS, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 1A2, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 1A3, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 1A4, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. AX, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. 2A1, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. B1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: GSMPS Mortgage Loan Trust 2005-RP3
Cl. 1AF, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1AS, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A2, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A4, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 2A1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. AX, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. B1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. B2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: GSMPS Mortgage Loan Trust 2006-RP1
Cl. 1AF1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1AF2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1AS, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A3, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 2A1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. AX, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: MASTR Reperforming Loan Trust 2005-1
Cl. 1A1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A2, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A4, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 1A5, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. 2A1, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
PO, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
AX, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. B1, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: MASTR Reperforming Loan Trust 2005-2
Cl. 1A1F, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A1S, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A3, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 2A1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. AX, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: MASTR Reperforming Loan Trust 2006-1
Cl. 1A1F, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A1S, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A2, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A3, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 1A4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. 2A1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. AX, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. B1, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: NAAC Reperforming Loan Remic Trust 2004-R3
Cl. A1, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. AF, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. AS, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. PT, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. M, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa1 (sf)
Cl. B-1, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. B-2, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: NAAC Reperforming Loan Remic Trust Certificates, Series
2004-R1
Cl. A1, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. A2, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. PT, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. M, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. B-1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Cl. B-2, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Caa2 (sf)
Issuer: NAAC Reperforming Loan Remic Trust Certificates, Series
2004-R2
Cl. A1, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. A2, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. A3, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. PT, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A1 (sf)
Cl. M, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. B-1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Issuer: RBSGC Mortgage Loan Trust 2005-RP1
Cl. I-F, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. I-SF, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. I-SB, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. I-B-1, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. I-B-2, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Cl. II-B-1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at Aa2 (sf)
Cl. II-B-2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at A2 (sf)
Cl. II-B-3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Confirmed at Baa2 (sf)
Cl. II-B-4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba3 (sf)
Issuer: Reperforming Loan REMIC Trust 2003-R2
Cl. M, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba1 (sf)
Cl. B-1, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
Issuer: Reperforming Loan REMIC Trust 2003-R4
Cl. 1A-2S, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 1A-4, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 1A-PO, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 1A-IO, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 1A-1X, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 2A, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. 2A-IO, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa3 (sf)
Cl. M, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. B-1, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B1 (sf)
Issuer: SASCO FHA/VA, Series 1999-RF1
A, Ba3 (sf) Placed Under Review for Possible Downgrade; previously
on Oct 14, 2010 Downgraded to Ba3 (sf)
Issuer: Structured Asset Securities Corp 2006-RF3
Cl. 1-AP, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Caa1 (sf)
Cl. 3-AP, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to B1 (sf)
Cl. B2-II, Caa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Caa3 (sf)
Issuer: Structured Asset Securities Corp 2006-RF4
Cl. 2-A1, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Ba3 (sf)
Cl. 2-AP, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Caa1 (sf)
Issuer: Structured Asset Securities Corp. 2005-RF5
Cl. 1-A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Ba3 (sf)
Cl. 1-AIO, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Ba3 (sf)
Cl. 2-A, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to Ba3 (sf)
Issuer: Structured Asset Securities Corp. 2005-RF6
Cl. A, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to B1 (sf)
Cl. AIO, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 28, 2009 Downgraded to B1 (sf)
Issuer: Structured Asset Securities Corporation FHA/VA Mortgage
Pass-Through Certificates, Series 1998-RF1
A, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Oct 14, 2010 Downgraded to Caa1 (sf)
Issuer: Union Planters Mortgage Finance Corp. Series 1998-1
B-1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 28, 1998 Assigned Aa2 (sf)
Issuer: Union Planters Mortgage Finance Corp. Series 1999-1
B-1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 26, 1999 Assigned Aa2 (sf)
Issuer: Union Planters Mortgage Finance Corp., Series 2000-1
Cl. B-1, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 27, 2000 Assigned Aa2 (sf)
Cl. B-2, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 27, 2000 Assigned A2 (sf)
Cl. B-3, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 27, 2000 Assigned Baa2 (sf)
Cl. B-4, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 27, 2000 Assigned Ba2 (sf)
Cl. B-5, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 27, 2000 Assigned B2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-RP1 Tr
Cl. I-F, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. I-HJ, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. I-S, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. II-A, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Aa2 (sf)
Cl. I-B-1, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa3 (sf)
Cl. II-B-1, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to A2 (sf)
Cl. II-B-2, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Baa2 (sf)
Cl. II-B-3, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to Ba2 (sf)
Cl. II-B-4, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 24, 2009 Downgraded to B2 (sf)
DLJ COMMERCIAL: Fitch Affirms Class B-6 Rating at 'Csf'
-------------------------------------------------------
Fitch Ratings has upgraded one class of DLJ Commercial Mortgage
Corporation's commercial mortgage pass-through certificates,
series 1998-CF2.
The upgrade reflects reductions to the pool's principal balance
resulting in increased credit enhancement to the senior classes.
As of the July 2011 distribution date, the pool's aggregate
principal balance has been reduced by 91.46% (including 1.51% of
realized losses) to $94.6 million from $1.1 billion at issuance.
Interest shortfalls are affecting classes B-6 and C.
Fitch modeled losses of 9.52% of the remaining pool; expected
losses of the original pool are at 2.32%, including losses already
incurred to date. The largest contributor to Fitch-modeled losses
(13.87%) is secured by a hotel located in Louisville, KY. The loan
transferred to special servicing in October 2009. The borrower
filed bankruptcy in October 2010 and a confirmation hearing is
scheduled Aug. 24, 2011.
The second largest contributor to Fitch-modeled losses (6.26%) is
secured by 93,691 square foot (sf) office park located in Flint
Township, MI. The loan transferred to special servicing in January
2009 and the asset is real estate owned (REO). The special
servicer has hired a broker with the focus on maintaining
occupancy and renewing near-term rollover tenants.
The third largest contributor to Fitch-modeled losses (4.06%) is
secured by a 172,825 sf industrial building located in Nashville,
TN. The loan transferred to special servicing in November 2006.
The property is currently under contract and the sale is expected
to close in August 2011.
Fitch upgrades this class and revises the Loss Severity (LS)
rating:
-- $11.1 million class B-4 to 'AAsf/LS3' from 'A-sf/LS5';
Outlook Stable;
In addition, Fitch affirms these classes and Outlooks and revises
the LS ratings and Recovery Ratings (RR):
-- $42.1 million class B-3 at 'AAAsf'; LS to 'LS2' from 'LS4';
Outlook Stable;
-- $22.2 million class B-5 at 'BB+sf'; LS to 'LS3' from 'LS5';
Outlook Negative;
-- $13.8 million class B-6 at 'Csf'; RR to 'RR3' from 'RR2'.
Fitch does not rate class C. Classes A-1A, A-1B, and A-2 through
B-2 have paid in full.
DRYDEN VIII: Moody's Upgrades Ratings of Four Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Dryden VIII-Leveraged Loan CDO 2005:
US$343,000,000 Class A Notes (current balance of $339,030,247),
Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$11,500,000 Class B Second Priority Mezzanine Secured Floating
Rate Notes due 2017, Upgraded to Aaa (sf); previously on June 22,
2011 A2 (sf) Placed Under Review for Possible Upgrade;
US$24,100,000 Class C Third Priority Mezzanine Deferrable Floating
Rate Notes due 2017, Upgraded to Aa3 (sf); previously on June 22,
2011 Baa3 (sf) Placed Under Review for Possible Upgrade;
US$22,900,000 Class D Fourth Priority Mezzanine Deferrable
Floating Rate Notes due 2017, Upgraded to Baa2 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios and credit improvement
of the underlying portfolio since the rating action in August
2009. Based on the latest trustee report dated July 7, 2011, the
Class A/B, Class C, and Class D overcollateralization ratios are
reported at 127.05%, 118.87% and 112.03%, respectively, versus
July 2009 levels of 119.89%, 112.21% and 105.78%, respectively,
and all overcollateralization tests are in compliance. Based on
the same trustee report, the weighted average rating factor is
currently 2423 compared to 2601 in July 2009.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $443.8 million,
defaulted par of $4 million, a weighted average default
probability of 17.62% (implying a WARF of 2543), a weighted
average recovery rate upon default of 49.12%, and a diversity
score of 70. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that the collateral pool
characteristics will continue to maintain a positive "cushion"
relative to certain covenant requirements, as seen in the actual
collateral quality measurements. The 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.
Dryden VIII-Leveraged Loan CDO 2005, issued in June 16, 2005, 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
June 2011.
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 June 2011.
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. 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:
Delevering: The main source of uncertainty in this transaction is
whether delevering from unscheduled principal proceeds will
commence 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.
FIRST 2001-I: Moody's Upgrades Ratings of 2 Classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by First 2004-I CLO Ltd.:
US$40,000,000 Class B Senior Secured Interest Deferrable Notes due
2016, Upgraded to Aa1 (sf); previously on June 22, 2011 A3 (sf)
Place Under Review for Possible Upgrade;
US$15,000,000 Class C Senior Secured Interest Deferrable Notes due
2016, Upgraded to A1 (sf); previously on June 22, 2011 Ba1 (sf)
Place Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in March 2011. Moody's
notes that the Class A-1 Notes and Class A-3 Notes have been paid
down by approximately 25% or $62 million since the rating action
in March 2011. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in March 2011. Based on the latest trustee report dated
July 15, 2011 the Class A, Class B and Class C
overcollateralization ratios are reported at 148.9%, 123.6%, and
116.2%, respectively, versus February 2011 levels of 137.3%,
118.8% and 113.1%, respectively. In addition, Moody's assumes a
distribution of approximately $54 million of principal proceeds,
reported in the July 2011 trustee report, will be made to the
Class A-1 Notes and Class A-3 Notes on the payment date in July.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $291 million,
defaulted par of $2.7 million, a weighted average default
probability of 14.81% (implying a WARF of 2570), a weighted
average recovery rate upon default of 51.9%, and a diversity score
of 40. The 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.
First 2004-I CLO, Ltd., issued in July 27, 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
June 2011.
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 June 2011.
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. 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.
FRASER SULLIVAN: S&P Affirms 'CCC-' Ratings on 2 Classes of Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C, D-1, and D-2 notes from Fraser Sullivan CLO I
Ltd., a collateralized loan obligation (CLO) transaction managed
by Fraser Sullivan Investment Management LLC, and removed the
ratings on the C, D-1, and D-2 notes from CreditWatch with
positive implications. "At the same time, we affirmed our ratings
on the class E-1 and E-2 notes," S&P related.
"The upgrades reflect improved performance we have observed in the
deal's underlying asset portfolio since we lowered our ratings on
all of the rated notes March 3, 2010, following the application of
our September 2009 corporate collateralized debt obligation (CDO)
criteria. As of the June 7, 2011, trustee report, the transaction
had $7.62 million in defaulted obligations and approximately $4.14
million in assets from obligors with a Standard & Poor's rating in
the 'CCC' range. This was down from $20.45 million in defaulted
obligations and approximately $52.50 million in assets from
obligors with a Standard & Poor's rating in the 'CCC' range noted
in the Jan. 10, 2010, trustee report, which we used for our March
2010 rating actions," S&P stated.
"We also observed an increase in the overcollateralization (O/C)
available to support the rated notes," S&P said. The trustee
reported these ratios in the June 7, 2011, monthly report:
The class A/B (O/C) ratio test was 127.93%, compared with a
reported ratio of 126.78% in January 2010;
The class C (O/C) ratio test was 118.28%, compared with a
reported ratio of 117.21% in January 2010;
The class D (O/C) ratio test was 109.49%, compared with a
reported ratio of 108.50% in January 2010; and
The class E (O/C) ratio test was 105.91%, compared with a
reported ratio of 104.96% in January 2010.
"The affirmations of the ratings on the class E-1 and E-2 notes
reflect our belief that the credit support available is
commensurate with the current rating levels," S&P related.
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
Fraser Sullivan CLO I Ltd.
Rating
Class To From
A-1 AA+ (sf) AA (sf)
A-2 AA+ (sf) AA (sf)
B A+ (sf) A (sf)
C BBB+ (sf) BB+ (sf)/Watch Pos
D-1 B+ (sf) B- (sf)/Watch Pos
D-2 B+ (sf) B- (sf)/Watch Pos
Ratings Affirmed
Fraser Sullivan CLO I Ltd.
Class Rating
E-1 CCC- (sf)
E-2 CCC- (sf)
G-STAR 2005-5: S&P Lowers Rating on 2 Classes of Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-2 and A-3 notes from G-STAR 2005-5 Ltd. and on the class
A-1 and A-2 notes from Sharps CDO I Ltd. to 'D (sf)' from 'CC
(sf)'. Both transactions are collateralized debt obligations
(CDOs) of mezzanine structured finance securities.
"We lowered our ratings on two nondeferrable notes to 'D (sf)'
from G-STAR 2005-5 Ltd. due to interest shortfalls on the notes as
of the June 6, 2011, payment date. We lowered our ratings on two
non-deferrable notes to 'D (sf)' from Sharps CDO I Ltd. due to
interest shortfalls on the notes as of the July 8, 2011, payment
date," S&P related.
Ratings Lowered
G-STAR 2005-5 Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
A-3 D (sf) CC (sf)
Sharps CDO I Ltd.
Rating
Class To From
A-1 D (sf) CC (sf)
A-2 D (sf) CC (sf)
Other Ratings
G-STAR 2005-5 Ltd.
Class Rating
A-1 CCC- (sf)
B CC (sf)
C CC (sf)
Income notes CC (sf)
Sharps CDO I Ltd.
Class Rating
B D (sf)
C CC (sf)
D CC (sf)
E CC (sf)
GENESIS CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Genesis CLO 2007-2 Ltd.:
US$1,236,000,000 Class A Senior Secured Floating Rate Notes, Due
2016 (current outstanding balance of $481,121,210), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;
US$65,000,000 Class B Senior Secured Floating Rate Notes, Due
2016, Upgraded to Aaa (sf); previously on June 22, 2011 A2 (sf)
Placed Under Review for Possible Upgrade;
US$70,000,000 Class C Senior Secured Deferrable Floating Rate
Notes, Due 2016, Upgraded to Aa3 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$55,000,000 Class D Secured Deferrable Floating Rate Notes, Due
2016, Upgraded to Baa1 (sf); previously on June 22, 2011 B2 (sf)
Placed Under Review for Possible Upgrade;
US$46,000,000 Class E Secured Deferrable Floating Rate Notes, Due
2016, Upgraded to Ba2 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade;
US$48,000,000 Class F Secured Deferrable Floating Rate Notes, Due
2016, Upgraded to Caa3 (sf); previously on June 22, 2011 C (sf)
Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of delevering of the senior
notes since the rating action in August 2010. Moody's notes that
the Class A Notes have been paid down by approximately 42.76% or
$359 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 2010. Based on the latest
trustee report dated July 6, 2011, the Class A/B, Class C, Class
D, Class D, Class E and Class F overcollateralization ratios are
reported at 138.24%, 124.95%, 116.17%, 109.72% and 103.72%,
respectively, versus August 2010 levels of 121.01%, 112.70%,
106.94%, 102.55% and 98.34%, respectively. Moody's also notes that
all previously deferred interest on the Class F Notes has been
paid in full.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the July 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 23% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $812 million,
defaulted par of $8.8 million, a weighted average default
probability of 21.23% (implying a WARF of 3419), a weighted
average recovery rate upon default of 50.07%, and a diversity
score of 62. The 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.
Genesis CLO 2007-2 Ltd., issued in December 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
June 2011.
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 June 2011.
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. 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.
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.
GLENEAGLES CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Gleneagles CLO Ltd:
US$620,000,000 Class A-1 Floating Rate Senior Secured Extendable
Notes Due 2017 (current outstanding balance of $573,234,168),
Upgraded to Aaa (sf); previously on June 22, 2011, Aa3 (sf) Placed
Under Review for Possible Upgrade;
US$28,000,000 Class A-2 Floating Rate Senior Secured Extendable
Notes Due 2017, Upgraded to Aa1 (sf); previously on June 22, 2011,
A3 (sf) Placed Under Review for Possible Upgrade;
US$60,500,000 Class B Floating Rate Senior Secured Extendable
Notes Due 2017, Upgraded to A2 (sf); previously on June 22, 2011,
Baa3 (sf) Placed Under Review for Possible Upgrade;
US$51,000,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017, Upgraded to Ba1 (sf);
previously on June 22, 2011, B1 (sf) Placed Under Review for
Possible Upgrade;
US$49,500,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017 (current outstanding balance of
$37,335,161), Upgraded to Ba3 (sf); previously on June 22, 2011,
Ca (sf) Placed Under Review for Possible Upgrade;
US$5,000,000 Class 1 Extendable Combination Securities Due 2017
(current outstanding rated balance of $3,606,801), Upgraded to
Baa3 (sf); previously on June 22, 2011, Ba3 (sf) Placed Under
Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in June 2009.
Based on the June 2011 trustee report, the weighted average rating
factor is currently 2534 compared to 2886 in April 2009. The
overcollateralization ratios of the rated notes have also improved
since the rating action in June 2009. The Class A/B, Class C and
Class D overcollateralization ratios are reported at 117.49%,
109.08% and 103.65%, respectively, versus April 2009 levels of
113.02%, 105.43% and 99.09%, respectively. In particular, the
Class D overcollateralization ratio has increased in part due to
the diversion of excess interest to delever the Class D notes in
the event of Class D coverage tests failures. Since the rating
action in June 2009, $11 million of interest proceeds have reduced
the outstanding balance of the Class D Notes by 23%.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the June 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 7.39% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $768 million,
defaulted par of $62 million, a weighted average default
probability of 21.92% (implying a WARF of 2812), a weighted
average recovery rate upon default of 46.10%, and a diversity
score of 64. The 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.
Gleneagles CLO Ltd, issued in October 2005, 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
June 2011.
Another methodology used in this rating was "Using the Structured
Note Methodology to Rate CDO Combo-Notes" published in February
2004.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) 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.
3) 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.
4) 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
GMAC COMMERCIAL: Fitch Keeps Class M Rating at 'Dsf/RR6'
--------------------------------------------------------
Fitch Ratings upgrades one class of GMAC Commercial Mortgage
Securities, Inc. (GMAC 2000-C1) commercial mortgage pass-through
certificates, series 2000-C1:
-- $2.5 million class F to 'AAAsf/LS5' from 'AA-/LS5'; Outlook
Stable.
Class M has been fully depleted due to realized losses and remains
'Dsf/RR6'.
Fitch does not rate classes G, H, J, K, L, and O. Classes A-1, A-
2, B, C, D, and E have all paid in full.
The upgrade of class M is the result of sufficient credit
enhancement to offset Fitch expected losses. Fitch expected losses
for the remaining pool are 10.82%. The current credit enhancement
of class M is greater than 90%.
As of the July 2011 remittance report, the transaction has paid
down 93.24% to $52.3 million from $773.8 million at issuance.
Twelve loans remain in the transaction, of which five (21.94%) are
in special servicing.
Fitch stressed the cash flow of the remaining loans by applying a
5% reduction to the most recent fiscal year-end net operating
income, and applying an adjusted market cap rate between 8.10% and
9.5% to determine value. All the loans also underwent a refinance
test by applying an 8% interest rate and 30-year amortization
schedule based on the stressed cash flow. All of the loans are
modeled to pay off at maturity, and could refinance to a debt-
service coverage ratio (DSCR) above 1.25 times (x).
The largest contributor to Fitch modeled losses is a specially
serviced loan secured by a 56,943 square foot (sf) retail center
in Brighton, Michigan. The property transferred to special
servicing due to declining cash flow and occupancy. The special
servicer is working with the borrower to cure the default while
pursuing foreclosure.
The second largest contributor to Fitch modeled losses is a 27,763
sf retail center in Parker, CO. Foreclosure has been initiated,
and the receiver currently in place has solicited bids to lease
and sell the property.
GREENBRIAR CLO: Moody's Upgrades Ratings of Five Classes of Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Greenbriar CLO, Ltd.
US$730,000,000 Class A Floating Rate Senior Secured Extendable
Notes Due 2021 (current outstanding balance of $689,972,563.54),
Upgraded to Aa2 (sf); previously on June 22, 2011 A1 (sf) Placed
Under Review for Possible Upgrade;
US$60,000,000 Class B Floating Rate Senior Secured Extendable
Notes Due 2021, Upgraded to A3 (sf); previously on June 22, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade;
US$50,000,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to Baa3 (sf);
previously on June 22, 2011 Ba2 (sf) Placed Under Review for
Possible Upgrade;
US$40,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to Ba2 (sf);
previously on June 22, 2011 B3 (sf) Placed Under Review for
Possible Upgrade;
US$40,000,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021 (current outstanding balance of
$30,795,833.12), Upgraded to B1 (sf); previously on June 22, 2011
Caa3 (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in the publication "Moody's Approach to Rating
Collateralized Loan Obligations" published in June 2011. The
primary changes to the modeling assumptions include (1) a removal
of the temporary 30% default probability macro stress implemented
in February 2009 as well as (2) increased BET liability stress
factors and increased recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $895 million,
defaulted par of $49.4 million, a weighted average default
probability of 25.11% (implying a WARF of 3150), a weighted
average recovery rate upon default of 49.4%, 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 in December 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
June 2011.
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 June 2011.
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. 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. Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2. Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3. 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.
4. 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
GREYWOLF CLO: Moody's Upgrades Ratings of 5 Classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Greywolf CLO I, Ltd.:
US$365,000,000 (Current Rated Balance $358,368,543) Class A
Floating Rate Notes, Due 2021 Notes, Upgraded to Aa1 (sf);
previously on Jun 22, 2011 A1 (sf) Placed Under Review for
Possible Upgrade
US$22,500,000 Class B Floating Rate Notes, Due 2021 Notes,
Upgraded to A1 (sf); previously on Jun 22, 2011 Baa1 (sf) Placed
Under Review for Possible Upgrade
US$25,000,000 Class C Deferrable Floating Rate Notes, Due 2021
Notes, Upgraded to Baa1 (sf); previously on Jun 22, 2011 Ba1 (sf)
Placed Under Review for Possible Upgrade
US$30,000,000 Class D Deferrable Floating Rate Notes, Due 2021
Notes, Upgraded to Ba1 (sf); previously on Jun 22, 2011 B2 (sf)
Placed Under Review for Possible Upgrade
US$17,500,000 Class E (Current Rated Balance $14,253,157)
Deferrable Floating Rate Notes, Due 2021 Notes, Upgraded to Ba3
(sf); previously on Jun 22, 2011 Caa3 (sf) Placed Under Review for
Possible Upgrade
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. Today's actions reflect key
changes to the modeling assumptions, which incorporate (1) a
removal of the temporary 30% default probability macro stress
implemented in February 2009 as well as (2) increased BET
liability stress factors and increased recovery rate assumptions.
The actions also reflect consideration of an increase in the
overcollateralization ratios of the rated notes since the rating
action in May 2010. The Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 130.1%, 122%, 113.6%
and 110.1%, respectively, versus April 2010 levels of 123.9%,
116.3%, 108.3% and 104.9%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $496 million,
defaulted par of $0 million, a weighted average default
probability of 23.5% (implying a WARF of 2794), a weighted average
recovery rate upon default of 48.1%, and a diversity score of 43.
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.
Greywolf CLO I, Ltd., issued in January 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
June 2011.
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 June 2011.
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. 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) Exposure to other structured finance products: The deal is
exposed to a number of CLO tranches in the underlying portfolio
whose ratings are more volatile on average compared to
corporate loan ratings.
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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
HELLER FINANCIAL: Fitch Affirms, Downgrades 1999-PH1 Certs.
-----------------------------------------------------------
Fitch Ratings affirms three classes and downgrades one class of
Heller Financial Commercial Mortgage Asset Corp. commercial
mortgage pass through certificates, series 1999-PH1.
The affirmations are due to sufficient credit enhancement after
consideration for both defeased loans and expected losses from
the specially serviced loan. As of the July 2011 distribution
date, the pool's certificate balance has paid down 91.4% to
$86.5 million from $1.0 billion at issuance.
Fitch modeled losses of 15.4% of the remaining pool; expected
losses based on the original pool are 5.8%, reflecting losses
already incurred to date. Fitch expects the losses associated with
the specially serviced loans to be absorbed by classes J and K.
There are 15 remaining loans from the original 190 loans at
issuance. Of the remaining loans, five loans (21.7%) have
defeased. Additionally, two loans (8.1%) are fully amortizing and
eight loans (76.7%) are ARD loans.
The largest contributor to losses is the Springfield-Bressmer-
Mendenhall loan which is collateralized by an office building in
Springfield, IL. The building is currently unoccupied as the state
government tenants vacated upon lease expiration. Special servicer
is reviewing borrower's proposal for a discounted payoff or deed-
in-lieu and concurrently tracking foreclosure.
Fitch stressed the cash flow of the non-defeased loans by applying
a 5% reduction to the most recent year-end net operating income
and applying an adjusted market cap rate to determine value.
Fitch affirms these classes:
-- $8.4 million class F at 'AAAsf/LS3'; Outlook Stable;
-- $17.7 million class G at 'AAAsf/LS4'; Outlook Stable;
-- $35.3 million class H at 'A-sf/LS3'; Outlook Negative;
Fitch downgrades this class:
-- $20.2 million class J to 'Csf/RR3' from 'B-sf/LS4'.
Fitch does not rate class N. Classes A-1, A-2, B, C, D and E have
paid in full. Fitch maintains the rating of 'Dsf/RR4' on Class K
and 'Dsf/RR6' on classes L and M. Additionally, Fitch has
withdrawn the rating of the interest only class X.
HELLER FINANCIAL: Fitch Affirms HFCMAC 2000-PH1 Ratings
-------------------------------------------------------
Fitch Ratings affirms Heller Financial Commercial Mortgage Asset
Corp. (HFCMAC 2000-PH1) commercial mortgage pass-through
certificates, series 2000-PH1.
The affirmations reflect sufficient credit enhancement to offset
Fitch expected losses from specially serviced loans and adverse
selection due to increasing concentrations as a result of payoffs.
As of the June 2011 remittance report, the transaction has paid
down 89.1% to $104.1 million from $956.9 million at issuance.
Twenty-five of the original 235 loans remain outstanding. Seven
loans (27.8%) are in special servicing, and six loans (8.67%) are
fully defeased. Interest shortfalls are affecting classes K
through N.
Fitch modeled losses of 14.16% of the remaining pool. Fitch
expects losses to deplete class K and impact class J.
The largest contributor to Fitch modeled losses (8.41%) is secured
by a 159,800 square foot (SF) office building in Akron, OH. The
loan is in special serving and current as of the May 2011 payment
but scheduled to mature in August 2011. Increasing vacancy as a
result of a major tenant expiration (36.5% of the net rentable
area) is making refinancing of the property difficult. The special
servicer continues to monitor the loan and expects the borrower to
request a modification as a result of the vacancy increase.
The second largest contributor to Fitch modeled losses is a
1,234,197 SF industrial property located in Chicago, IL. The loan
had transferred to special servicing in October 2009 due to
imminent maturity default and was scheduled to mature in November
2009. A forbearance agreement has been executed through November
2011. In the interim the property is being marketed for sale by a
lender approved broker. The most recent servicer-reported debt
servicing coverage ratio (DSCR) reported at 1.19 times (x) as of
year end 2010, and the January 2011 reported occupancy was 91%.
Fitch stressed the cash flow of the remaining non-defeased and
non-specially serviced loans by applying a minimum 5% reduction to
the most recent fiscal year-end net operating income, and applying
an adjusted market cap rate between 8% and 11% to determine value.
In addition, the loans underwent a refinance test by applying an
8% interest rate and 30-year amortization schedule based on the
stressed cash flow. All of the non-defeased and non-specially
serviced loans are modeled to pay off at maturity, and could
refinance to a debt-service coverage ratio (DSCR) above 1.25x.
Fitch affirms these ratings and assigns Outlooks:
-- $29.5 million class E at 'AAAsf/LS3'; Outlook Stable;
-- $14.4 million class F at 'AAAsf/LS4'; Outlook Stable;
-- $26.3 million class G at 'AAAsf/LS4'; Outlook Stable.
Classes K, L, and M remain 'Dsf/RR6' due to realized losses.
Fitch does not rate classes H, J, or N.
Classes A-1, A-2, B, C, and D have all paid in full.
In addition, Fitch withdraws the rating on the interest-only class
X.
HUDSON CANYON: Moody's Upgrades Ratings of 4 Classes of CLO Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Hudson Canyon Funding II, Ltd.:
US$291,000,000 Class A-1 First Priority Senior Secured Floating
Rate Notes Due October 27, 2020 (current outstanding balance of
$277,330,569.77), Upgraded to Aaa (sf); previously on June 22,
2011 Aa1 (sf) Placed Under Review for Possible Upgrade;
US$10,000,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due October 27, 2020, Upgraded to Aaa (sf); previously
on June 22, 2011 A1 (sf) Placed Under Review for Possible Upgrade;
US$46,000,000 Class B Third Priority Mezzanine Secured Deferrable
Floating Rate Notes Due October 27, 2020, Upgraded to A3 (sf);
previously on June 22, 2011 Baa3 (sf) Placed Under Review for
Possible Upgrade;
US$5,000,000 Class C Fourth Priority Mezzanine Secured Deferrable
Floating Rate Notes Due October 27, 2020, Upgraded to Baa2 (sf);
previously on June 22, 2011 B1 (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's notes that the credit quality of the underlying portfolio
has been relatively stable since the previous rating action in
April 2011. Based on the latest trustee report dated June 16, 2011
the weighted average rating factor is currently 2694 compared to
2773 in March 2011. Additionally, the overcollateralization ratios
of the rated notes have improved slightly since the last rating
action. The Class A, Class B and Class C overcollateralization
ratios are reported at 135.18%, 116.53% and 114.80%, respectively,
versus March 2011 levels of 134.84%, 116.23% and 114.51%,
respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $388 million, a
weighted average default probability of 23.36% (implying a WARF of
2834), a weighted average recovery rate upon default of 51.68%,
and a diversity score of 59. The 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.
Hudson Canyon Funding II, Ltd., issued in April 2008, 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) 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 the
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 and diversity levels higher than the
covenant levels due to the large difference between the
reported and covenant levels.
HUDSON STRAITS: Moody's Upgrades Ratings of 5 Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Hudson Straits CLO 2004, Ltd.:
US$33,500,000 Class B Second Priority Senior Secured Floating Rate
Notes Due 2016, Upgraded to Aaa (sf); previously on June 22, 2011,
A1 (sf) Placed Under Review for Possible Upgrade;
US$25,250,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2016, Upgraded to Aa3 (sf); previously on
June 22, 2011, Baa3 (sf) Placed Under Review for Possible Upgrade;
US$23,500,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2016, Upgraded to Ba1 (sf); previously on
June 22, 2011, B3 (sf) Placed Under Review for Possible Upgrade;
US$1,500,000 Class D-2 Fourth Priority Mezzanine Deferrable Fixed
Rate Notes Due 2016, Upgraded to Ba1 (sf); previously on June 22,
2011, B3 (sf) Placed Under Review for Possible Upgrade; and
US$12,100,000 Class E Fifth Priority Mezzanine Deferrable Floating
Rate Notes Due 2016 (current balance of US$9,051,971), Upgraded to
B2 (sf); previously on June 22, 2011, Caa3 (sf) Placed Under
Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of delevering of the Class
A notes since the rating action in September 2009. Moody's notes
that the Class A notes have been paid down by approximately
$201.4 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. Based on the
latest trustee report dated July 7, 2011, the Class A/B, Class C,
Class D, and Class E overcollateralization ratios are reported at
135.59%, 120.75%, 108.94%, and 105.22%, respectively, versus
August 2009 levels of 120.23%, 112.12%, 105.09%, and 102.28%,
respectively, and all related overcollateralization tests are
currently in compliance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $219.5 million,
defaulted par of $2.18 million, a weighted average default
probability of 15.47% (implying a WARF of 2729), a weighted
average recovery rate upon default of 49.05%, and a diversity
score of 45. 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.
Hudson Straits CLO 2004, Ltd., issued in July 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
June 2011.
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 June 2011.
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. 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: A source of uncertainties 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.
INFU TRUST: S&P Withdraws 'BB' Ratings on 2 Series of Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'BB (sf)'
ratings on Infu Trust's $180 million 7.135% fixed-rate notes
series 2005 due December 2013 and Mexican Unidades De Inversion
(UDI) 190.2 million (MXN874.92 million equivalent; one UDI equals
MXN4.6) 5.80% fixed-rate notes series 2005 due December 2013.
Standard & Poor's withdrew the ratings at the issuer's request.
On April 28, 2011, Standard & Poor's affirmed the ratings on Infu
Trust to reflect its view that the Aug. 28, 2010, suspension of
domestic and international flight operations by Mexicana de
Aviacion (Mexicana), which used Terminal 1 at the Mexico City
International Airport, did not affect the series' cash flow
streams as severely as it expected. The series' current debt
service coverage ratios are 1.35x each.
Infu Trust is an onshore Mexican entity that has issued cross-
border asset-backed notes secured primarily by its rights (the
underlying collateral) to receivables derived from sublease
contracts for certain commercial areas of Mexico City
International Airport's Terminal 1, among others.
Ratings Withdrawn
Rating
To From
Infu Trust
$180 million 7.135% fixed-rate notes series 2005 due December 2013
NR BB (sf)
UDI 190.2 million 5.80% fixed-rate notes series 2005 due December
2013
NR BB (sf)
NR -- Not rated.
ING INVESTMENT: Moody's Upgrades Ratings of Three Classes of Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by ING Investment Management CLO IV, Ltd.:
US$26,000,000 Class B Deferrable Floating Rate Notes Due 2022,
Upgraded to Baa2 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$22,000,000 Class C Floating Rate Notes Due 2022, Upgraded to
Ba2 (sf); previously on June 22, 2011 Ba3 (sf) Placed Under Review
for Possible Upgrade;
US$12,000,000 Class D Floating Rate Notes Due 2022, Upgraded to
Ba3 (sf); previously on June 22, 2011 B1 (sf) Placed Under Review
for Possible Upgrade;
In addition, Moody's confirmed the ratings of the following notes:
US$380,000,000 Class A-1 Floating Rate Notes Due 2022, Confirmed
at Aa1 (sf); previously on June 22, 2011 Aa1 (sf) Placed Under
Review for Possible Upgrade;
US$21,000,000 Class A-2 Floating Rate Notes Due 2022, Confirmed at
A1 (sf); previously on June 22, 2011 A1 (sf) Placed Under Review
for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $486 million,
defaulted par of $3 million, a weighted average default
probability of 21.90% (implying a WARF of 2707), a weighted
average recovery rate upon default of 51.40%, and a diversity
score of 74. The 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.
ING Investment Management CLO IV, Ltd., issued in June 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) 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 the
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 and diversity levels higher than the
covenant levels due to the large difference between the
reported and covenant levels.
KATONAH VII: S&P Raises Rating on Class D Notes to 'CCC+'
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and D notes from Katonah VII CLO Ltd., a collateralized
loan obligation (CLO) transaction managed by Katonah Debt
Advisors. "At the same time, we removed these ratings from
CreditWatch with positive implications. We affirmed our ratings on
the class B and C notes from the same transaction and removed
these ratings from CreditWatch with positive implications," S&P
related.
"The upgrades reflect an improvement in the credit quality of the
underlying collateral pool available to support the notes since
our March 2010 rating actions, when we lowered the ratings on the
notes following the application of our September 2009 criteria for
rating corporate collateralized debt obligations (CDOs; see
'Update To Global Methodologies And Assumptions For
Corporate Cash Flow And Synthetic CDOs,' published Sept. 17,
2009)," S&P related.
As of the June 2011 trustee report, the transaction held $13.1
million in defaulted assets and $27.0 million in assets from
underlying obligors with ratings in the 'CCC' range. "This was
down from $40.2 million in defaulted assets and $35.2 million
'CCC' rated assets noted in the February 2010 trustee report,
which we referenced for our March 2010 rating actions. Also during
that time, 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. The decrease
in defaulted assets, the decrease in 'CCC' rated assets, and the
higher recoveries on defaulted assets have benefited the
transaction's O/C ratios. For example, the class A/B O/C ratio
increased to 119.6% as of the June 2011 report from 115.7% noted
in the February 2010 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," S&P added.
Rating And Creditwatch Actions
Katonah VII CLO Ltd.
Rating
Class To From
A-1 AA (sf) AA- (sf)/Watch Pos
A-2 AA (sf) AA- (sf)/Watch Pos
B A+ (sf) A+ (sf)/Watch Pos
C BB+ (sf) BB+ (sf)/Watch Pos
D CCC+ (sf) CCC- (sf)/Watch Pos
KATONAH X: Moody's Upgrades Ratings of Five Classes of Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Katonah X CLO Ltd.:
US$23,500,000 Class A-1b Floating Rate Notes Due 2020, Upgraded to
Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review
for Possible Upgrade;
US$40,000,000 Class B Floating Rate Notes Due 2020, Upgraded to
Aa3 (sf); previously on June 22, 2011 A2 (sf) Placed Under Review
for Possible Upgrade;
US$25,000,000 Class C Deferrable Floating Rate Notes Due 2020,
Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$22,500,000 Class D Deferrable Floating Rate Notes Due 2020,
Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$20,000,000 Class E Deferrable Floating Rate Notes Due 2020,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa1 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
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 21.0% (implying a WARF of
2630), a weighted average recovery rate upon default of 49.7%, 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 methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations", published in
June 2011.
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 June 2011.
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. However, as part of the base case, Moody's
considered a weighted average spread level higher than the
covenant level due to large differences between the reported
and covenant levels.
KLEROS PREFERRED: S&P Cuts Ratings on 2 Classes of Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-4 and B notes from Kleros Preferred Funding VII Ltd., a
high-grade cash flow collateralized debt obligation, to 'D (sf)'
from 'CC (sf)'. "At the same time, we affirmed our 'CC (sf)'
ratings on five additional classes from the same transaction," S&P
said.
The downgrades follow defaults on the interest payments due on the
transaction's nondeferrable classes.
The affirmations reflect both the credit support available to the
notes and the ability for the notes to defer on its interest
payments.
Ratings Lowered
Kleros Preferred Funding VII Ltd.
Rating
Class To From
A-4 D (sf) CC (sf)
B D (sf) CC (sf)
Ratings Affirmed
Kleros Preferred Funding VII Ltd.
Class Rating
A-1 CC (sf)
A-2 CC (sf)
A-3 CC (sf)
C CC (sf)
D CC (sf)
KLEROS PREFERRED: S&P Lowers Rating on Class B Notes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on the class B notes from Kleros Preferred Funding IX Ltd. and the
class A notes from Kimberlite CDO I Ltd.
The downgrades of the two classes from the two U.S. collateralized
debt obligation (CDO) transactions follow the nonpayment of their
entire current interest on their most recent note payment dates.
Kleros Preferred Funding IX is a high-grade structured finance
(SF) CDO (backed substantially by residential mortgage-backed
securities {RMBS}) and Kimberlite CDO I is a hybrid SF CDO of
commercial mortgage-backed securities (CMBS) that is backed
primarily by CMBS.
"The defaults 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
Kleros Preferred Funding IX Ltd.
Rating
Class To From
B D (sf) CC
Kimberlite CDO I Ltd.
Rating
Class To From
A D (sf) CCC/Watch Neg
LANDGROVE SYNTHETIC: Moody's Downgrades Rating on Class B to Caa3
-----------------------------------------------------------------
Moody's Investors Service made the following rating actions on
Landgrove Synthetic CDO SPC Series 2007-2, a collateralized debt
obligation transaction ( the "Collateralized Synthetic Obligation"
or "CSO").
The CSO, issued in 2007, references a portfolio of corporate
bonds.
Issuer: Landgrove Synthetic CDO SPC Series 2007-2
-- US$101,000,000 Class B Floating Rate Notes due 2017,
Downgraded to Caa3 (sf); previously on Aug 18, 2009
Downgraded to Caa2 (sf)
RATING RATIONALE
Moody's rating action is the result of the deterioration of
subordination in the portfolio due to credit events.
Since the last rating review in August 2009, the 10-year weighted
average rating factor (WARF) of the portfolio has improved from
approximately 1,100 to 700 but additional credit events have
deteriorated subordination levels. There are 13 reference entities
with a negative outlook compared to 9 entities with a positive
outlook and 13 entities on watch for downgrade and none on watch
for upgrade.
Since inception, the portfolio has experienced seven credit
events. There have been two additional credit events since the
last ratings action resulting in an additional loss of
subordination of approximately 1.25%.
The remaining life of the tranche is 5.8 years.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:
* Market Implied Ratings ("MIRs") are modeled in place of the
corporate fundamental ratings to derive the default probability
of the reference entities in the portfolio. The gap between an
MIR and a Moody's corporate fundamental rating is an indicator
of the extent of the divergence in credit view between Moody's
and the market. The result of this run is comparable to the one
modeled under the base case.
* Moody's conducts a sensitivity analysis consisting of notching
down by one the ratings of reference entities in the Banking,
Finance, Insurance and Real Estate sectors. The result from this
run is comparable to the base case.
* Removing the notch-down adjustment on ratings of all reference
entities on negative outlook and/or on watch for downgrade
generates a result that is comparable to the base case.
* Moody's performs a stress analysis consisting of defaulting all
entities rated Caa1 and below. The result of this run is
comparable to the base case.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
The principal methodology used in these ratings was "Moody's
Approach to Corporate Collateralized Synthetic Obligations"
published in September 2009.
Moody's analysis for this transaction is based on CDOROM v2.8.
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.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.
Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in Moody's assumptions. Given the tranched nature of CSO
liabilities, rating transitions in the reference pool may have
leveraged rating implications for the ratings of the CSO
liabilities, thus leading to a high degree of volatility. All else
being equal, the volatility is likely to be higher for more junior
or thinner liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.
LANDMARK III: Moody's Upgrades Ratings of Three Classes of Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Landmark III CDO LTD:
US$16,500,000 Class A-2L Floating Rate Notes Due January, 2016,
Upgraded to Aa1 (sf); previously on Jun 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;
US$19,700,000 Class A-3L Floating Rate Notes Due January, 2016,
Upgraded to Baa2 (sf); previously on Jun 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$14,150,000 Class B-1L Floating Rate Notes Due January, 2016
(current outstanding balance of $14,453,636), Upgraded to B2 (sf);
previously on Jun 22, 2011 Caa1 (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
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 19.2%
(implying a WARF of 3390), a weighted average recovery rate upon
default of 48.3%, 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
June 2011.
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 June 2011.
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
2016 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.
LIBERTY CLO: Moody's Upgrades Ratings of Five Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Liberty CLO, Ltd.:
US$68,500,000 Class A-2 Floating Rate Senior Secured Extendable
Notes due 2017, Upgraded to Aaa (sf); previously on June 22, 2011
A1 (sf) Placed Under Review for Possible Upgrade;
US$68,500,000 Class A-3 Floating Rate Senior Secured Extendable
Notes due 2017, Upgraded to Aa3 (sf); previously on June 22, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade;
US$43,000,000 Class A-4 Floating Rate Senior Secured Extendable
Notes due 2017, Upgraded to Baa1 (sf); previously on June 22, 2011
Baa3 (sf) Placed Under Review for Possible Upgrade;
US$49,000,000 Class B Floating Rate Deferrable Senior Secured
Extendable Notes due 2017, Upgraded to Ba2 (sf); previously on
June 22, 2011 B1 (sf) Placed Under Review for Possible Upgrade;
US$52,000,000 Class C Floating Rate Deferrable Senior Secured
Extendable Notes due 2017 (current outstanding balance
$30,378,080.82), Upgraded to Caa2 (sf); previously on June 22,
2011 Ca (sf) Placed Under Review for Possible Upgrade;
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in June 2009.
Based on the latest trustee report dated June 30, 2011, the Class
A, Class B and Class C overcollateralization ratios are reported
at 116.88%, 109.17% and 104.88%, respectively, versus April 2009
levels of 113.07%, 105.92% and 99.26%, respectively, and all
related overcollateralization tests are currently in compliance.
In particular, the Class C overcollateralization ratio has
increased in part due to the diversion of excess interest to
delever the Class C Notes in the event of a Class C
overcollateralization test failure. Since the rating action in
June 2009, $21.6 million of interest proceeds have been diverted
to pay 42% of the outstanding balance of the Class C Notes.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in June 2009. Based on the June 2011 trustee report, the
weighted average rating factor is currently 2466 compared to 2715
in April 2009.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the June 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 9.48% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $795.5 million,
defaulted par of $63.3 million, a weighted average default
probability of 19.44% (implying a WARF of 2633), a weighted
average recovery rate upon default of 44.29%, and a diversity
score of 59. The 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.
Liberty CLO, Ltd., issued in December 2005, 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
June 2011.
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 June 2011.
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 manager's
investment strategy and behavior and 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 deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) 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.
3) 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.
4) 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
LONGHORN CDO: Moody's Upgrades Ratings of 4 Classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Longhorn CDO III, Ltd.:
US$18,000,000 Class C Floating Rate Deferrable Interest Senior
Secured Notes, Upgraded to A1 (sf); previously on June 22, 2011
Baa2 (sf) Placed Under Review for Upgrade;
US$4,500,000 Class D-1 Floating Rate Deferrable Interest Senior
Secured Notes, Upgraded to Ba3 (sf); previously on June 22, 2011
Caa2 (sf) Placed Under Review for Upgrade;
US$5,900,000 Class D-2 Floating Rate Deferrable Interest Senior
Secured Participating Notes, Upgraded to Ba3 (sf); previously on
June 22, 2011 Caa2 (sf) Placed Under Review for Upgrade;
US$6,600,000 Class E Floating Rate Deferrable Interest Senior
Secured Notes (current balance $6,381,307), Upgraded to Caa3 (sf);
previously on June 22, 2011 Ca (sf) Placed Under Review for
Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of delevering of the senior
notes since the rating action in April 2011. Moody's notes that
the Class A-1 Notes have been paid down by approximately 73% or
$26 million since the rating action in April 2011. After applying
the payment of principal on the July 10, 2011 payment date, the
pro-forma Class A, Class B Class C and Class D
overcollateralization ratios are 259.13%, 166.45%, 122.60%, and
106.41%, respectively, versus March 2011 levels of 187.98%,
143.84%, 116.49%, and 104.96%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $84 million,
defaulted par of $1.3 million, a weighted average default
probability of 12.65% (implying a WARF of 2585), a weighted
average recovery rate upon default of 49.37%, and a diversity
score of 34. The 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.
Longhorn CDO III, Ltd., issued in March of 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
June 2011.
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 June 2011.
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 manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO 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.
LONGSHORE CDO: S&P Lowers Ratings on 5 Classes of Notes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1, A-2, B, C, and D notes from Longshore CDO Funding 2006-
1 Ltd., a high-grade cash flow collateralized debt obligation, to
'D (sf)' from 'CC (sf)'.
The downgrades follow the failure to pay any of the rated notes in
full with the proceeds from the liquidation of the portfolio
assets.
Ratings Lowered
Longshore CDO Funding 2006-1 Ltd.
Rating
Class To From
A-1 D (sf) CC (sf)
A-2 D (sf) CC (sf)
B D (sf) CC (sf)
C D (sf) CC (sf)
D D (sf) CC (sf)
MADISON PARK: Moody's Upgrades Ratings of Six Classes of CLO Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Madison Park Funding IV, Ltd.:
US$50,000,000 Class A-1b Floating Rate Notes Due 2021, Upgrade to
Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review
for Possible Upgrade;
US$110,000,000 Class A-2 Floating Rate Notes Due 2021, Upgrade to
Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review
for Possible Upgrade;
US$31,250,000 Class B Floating Rate Notes Due 2021, Upgrade to Aa3
(sf); previously on June 22, 2011 A3 (sf) Placed Under Review for
Possible Upgrade;
US$30,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgrade to Baa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
US$20,000,000 Class D Deferrable Floating Rate Notes Due 2021,
Upgrade to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$21,000,000 Class E Deferrable Floating Rate Notes Due 2021
(current outstanding balance of $17,944,196), Upgrade to Ba2 (sf);
previously on June 22, 2011 Caa2 (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio an increase in the transaction's
overcollateralization ratios since the rating action in August
2009. Moody's adjusted WARF has declined since the rating action
in August 2009 due to a decrease in the percentage of securities
with ratings on "Review for Possible Downgrade" or with a
"Negative Outlook."
The overcollateralization ratios of the rated notes have also
improved since the rating action in August 2009. The Class A/B,
Class C, Class D and Class E overcollateralization ratios are
reported at 128.60%, 119.44%, 114.02% and 109.57%, respectively,
versus August 2009 levels of 119.51%, 111.00%, 105.97% and
101.83%, respectively, and all related overcollateralization tests
are currently in compliance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $504 million,
defaulted par of $1 million, a weighted average default
probability of 21.98% (implying a WARF of 2740), a weighted
average recovery rate upon default of 47.79%, and a diversity
score of 75. The 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.
Madison Park Funding IV, Ltd., issued in February 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
June 2011.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score. However, as part of the base case,
Moody's considered a spread level higher than the covenant
level due to the large difference between the reported and
covenant level.
MAGNETITE V CLO: Moody's Upgrades Ratings of Four Classes of Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Magnetite V CLO, Limited:
US$270,000,000 Class A Senior Secured Floating Rate Notes Due 2015
Notes (current outstanding balance of $135,866,355), Upgraded to
Aaa (sf); previously on Jun 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;
US$20,000,000 Class B Second Priority Floating Rate Deferrable
Notes Due 2015 Notes, Upgraded to Baa1 (sf); previously on Jun 22,
2011 Baa2 (sf) Placed Under Review for Possible Upgrade;
US$19,000,000 Class C Third Priority Floating Rate Deferrable
Notes Due 2015 Notes, Upgraded to Ba1 (sf); previously on Jun 22,
2011 B1 (sf) Placed Under Review for Possible Upgrade;
US$11,000,000 Class D Fourth Priority Floating Rate Deferrable
Notes Due 2015 Notes (current outstanding balance of $10,296,898),
Upgraded to Ba3 (sf); previously on Jun 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect an increase in the transaction's
overcollateralization ratios and delevering of the senior notes
since the rating action in August 2010. Moody's notes that the
Class A Notes have been paid down by approximately 23% or $41.1
million since the rating action. As a result of the delevering,
the overcollateralization ratios have increased since then. Based
on the latest trustee report dated May 31, 2011, the Class A and
Class B overcollateralization ratios are reported at 144.47% and
125.93% respectively, versus August 2010 levels of 132.42% and
118.97% , respectively.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the May 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 14.7% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $196.77 million,
defaulted par of $1.9 million, a weighted average default
probability of 14.62% (implying a WARF of 2632), a weighted
average recovery rate upon default of 49.3%, and a diversity score
of 49. The 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.
Magnetite V CLO, Limited, issued in September 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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. 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.
MERRILL LYNCH: DBRS Confirms Class G Rating at 'BB'
---------------------------------------------------
DBRS has confirmed these ratings of Merrill Lynch Financial Assets
Inc., Commercial Mortgage Pass-Through Certificates, Series 2003-
Canada 10:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class B at AAA (sf)
Class C at AAA (sf)
Class XC-1 at AAA (sf)
Class XC-2 at AAA (sf)
Class G at BB (high) (sf)
Class H at BB (sf)
Class J at B (sf)
Class K at B (low) (sf)
In addition, DBRS has upgraded five classes as follows:
Class D-1 to AA (sf) from A (high) (sf)
Class D-2 to AA (sf) from at A (high) (sf)
Class E-1 to A (sf) from BBB (high) (sf)
Class E-2 to A (sf) from BBB (high) (sf)
Class F to BBB (sf) from BBB (low) (sf)
All trends for the rated classes of the transaction are Stable.
DBRS does not rate the $5,985,200 first loss piece, Class L.
The pool collateral has been reduced by 29.0% since issuance, with
the current pool balance at approximately $326 million.
The rating actions reflect the increased credit enhancement and
the defeasance of nine loans (25.8% of the current pool balance).
Overall, financial performance for the remaining collateral is
strong with a weighted-average debt service coverage ratio
(WADSCR) of 1.74x and a weighted-average loan-to-value (WALTV) of
50%. This is an improvement over the last review in October 2010,
when the pool's WADSCR and WALTV were reported to be 1.65x and
64.3%, respectively. All 46 remaining loans in the transaction
are current.
There are six loans, representing 10.3% of the current pool
balance on the servicer's watchlist. Of these loans, five are on
the watchlist due to performance issues. Two watchlisted loans,
which are also on the DBRS HotList, have remained points of
concern since October 2010 and are discussed below.
Lawrence Terrace (Prospectus ID#8, 5.27% of the current pool
balance) is a two-building (14 storey) multifamily property in
Toronto located south of Highway 401. The property was built in
1964 and reportedly underwent $1.4 million in capital improvements
in the few years prior to the loan's issuance. The borrower has
owned the building since 1981 and has remained current on
payments, despite a decline in performance. The loan was
originally placed on the servicer's watchlist for a Poor property
inspection rating and has remained on the servicer's watchlist for
a decrease in the DSCR which can be attributed to a significant
increase in the repairs and maintenance (R&M) expenses. Financial
reports obtained from the servicer have indicated performance at
the property has improved slightly year-over-year since YE2007.
DBRS will continue to monitor this loan.
Ramada Belleville (Prospectus ID#38, 0.87% of the current pool
balance) is a 124-key, full-service Ramada Inn and Conference
Centre in Belleville, Ontario in the Bay of Quinte District. The
loan has been on the servicer's watchlist for decline in cash
flow. The cash flow at the property has declined significantly
since issuance, with a YE2010 DSCR reported to be -0.55x, down
from 0.39x at YE2009, and 0.69x at YE2008. According to servicer
commentary, the borrower had reported a $300,000 decline in total
revenue for the YE2009, of which, $140,000 was attributable to a
decrease in food and beverage revenue. Despite the performance
issues at the property, the loan remains current, with a
reasonable leverage point, on a per-unit basis, of $22,930.
Additionally, the loan has full recourse to the sponsor, Royal
Host REIT.
When considering the upgrades, DBRS recognized the performance
challenges of the two Hotlist loans and in addition applied a 20%
net cash flow stress to the remaining loans in the transaction.
DBRS maintains two shadow ratings in this transaction. The
shadow-rated loans are Sheridan Centre (Prospectus ID#1, 8.74% of
the current pool balance) at BBB and Richmond Centre North
(Prospectus ID#3, 5.46% of the current pool balance) at BBB
(high). The loans have continued to exhibit stable performance
and, as such, DBRS has confirmed the shadow ratings.
DBRS continues to monitor this transaction on a monthly basis in
the Monthly CMBS Surveillance report, which can provide more
detailed information on the individual loans in the pool.
MERRILL LYNCH: DBRS Confirms Rating on Two Loan Classes at 'B'
--------------------------------------------------------------
DBRS has confirmed these ratings of Merrill Lynch Financial Assets
Inc., Commercial Mortgage Pass-Through Certificates, Series 2003-
Canada 10:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class B at AAA (sf)
Class C at AAA (sf)
Class XC-1 at AAA (sf)
Class XC-2 at AAA (sf)
Class G at BB (high) (sf)
Class H at BB (sf)
Class J at B (sf)
Class K at B (low) (sf)
In addition, DBRS has upgraded five classes as follows:
Class D-1 to AA (sf) from A (high) (sf)
Class D-2 to AA (sf) from at A (high) (sf)
Class E-1 to A (sf) from BBB (high) (sf)
Class E-2 to A (sf) from BBB (high) (sf)
Class F to BBB (sf) from BBB (low) (sf)
All trends for the rated classes of the transaction are Stable.
DBRS does not rate the $5,985,200 first loss piece, Class L.
The pool collateral has been reduced by 29.0% since issuance, with
the current pool balance at approximately $326 million.
The rating actions reflect the increased credit enhancement and
the defeasance of nine loans (25.8% of the current pool balance).
Overall, financial performance for the remaining collateral is
strong with a weighted-average debt service coverage ratio
(WADSCR) of 1.74x and a weighted-average loan-to-value (WALTV) of
50%. This is an improvement over the last review in October 2010,
when the pool's WADSCR and WALTV were reported to be 1.65x and
64.3%, respectively. All 46 remaining loans in the transaction are
current.
There are six loans, representing 10.3% of the current pool
balance on the servicer's watchlist. Of these loans, five are on
the watchlist due to performance issues. Two watchlisted loans,
which are also on the DBRS HotList, have remained points of
concern since October 2010 and are discussed below.
Lawrence Terrace (Prospectus ID#8, 5.27% of the current pool
balance) is a two-building (14 storey) multifamily property in
Toronto located south of Highway 401. The property was built in
1964 and reportedly underwent $1.4 million in capital improvements
in the few years prior to the loan's issuance. The borrower has
owned the building since 1981 and has remained current on
payments, despite a decline in performance. The loan was
originally placed on the servicer's watchlist for a Poor property
inspection rating and has remained on the servicer's watchlist for
a decrease in the DSCR which can be attributed to a significant
increase in the repairs and maintenance (R&M) expenses. Financial
reports obtained from the servicer have indicated performance at
the property has improved slightly year-over-year since YE2007.
DBRS will continue to monitor this loan.
Ramada Belleville (Prospectus ID#38, 0.87% of the current pool
balance) is a 124-key, full-service Ramada Inn and Conference
Centre in Belleville, Ontario in the Bay of Quinte District. The
loan has been on the servicer's watchlist for decline in cash
flow. The cash flow at the property has declined significantly
since issuance, with a YE2010 DSCR reported to be -0.55x, down
from 0.39x at YE2009, and 0.69x at YE2008. According to servicer
commentary, the borrower had reported a $300,000 decline in total
revenue for the YE2009, of which, $140,000 was attributable to a
decrease in food and beverage revenue. Despite the performance
issues at the property, the loan remains current, with a
reasonable leverage point, on a per-unit basis, of $22,930.
Additionally, the loan has full recourse to the sponsor, Royal
Host REIT.
When considering the upgrades, DBRS recognized the performance
challenges of the two Hotlist loans and in addition applied a 20%
net cash flow stress to the remaining loans in the transaction.
DBRS maintains two shadow ratings in this transaction. The
shadow-rated loans are Sheridan Centre (Prospectus ID#1, 8.74% of
the current pool balance) at BBB and Richmond Centre North
(ProspectusID#3, 5.46% of the current pool balance) at BBB (high).
The loans have continued to exhibit stable performance and, as
such, DBRS has confirmed the shadow ratings.
DBRS continues to monitor this transaction on a monthly basis in
the Monthly CMBS Surveillance report, which can provide more
detailed information on the individual loans in the pool.
MERRILL LYNCH: Moody's Lowers Ratings of $89 Mil. Prime Jumbo RMBS
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches and upgraded the ratings of two tranches, backed by
adjustable rate Prime Jumbo loans, issued by Merrill Lynch
Mortgage Investors Trust Series MLCC 2007-1.
RATINGS RATIONALE
The collateral backing this transaction consists primarily of
first-lien, Prime Jumbo residential mortgage loans. The actions
are a result of the recent performance review of Prime Jumbo pools
and reflect Moody's updated loss expectations on Prime Jumbo pools
issued from 2005 to 2008.
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 factors used in these ratings are described
in the "2005 -- 2008 US RMBS Surveillance Methodology " published
in July 2011, which accounts for the updated performance and
outlook. Please see the Credit Policy page on www.moodys.com for a
copy of these methodologies.
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 ninety-six different combinations
comprised of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
In the previous rating action announced on January 27, 2011, the
rating of Class IV-A-X was inadvertently downgraded to Baa3
instead of Baa2. Class IV-A-X is an interest only bond usually
linked to the highest rated bond in group IV. As of January 27,
2011, the highest rated bond in group IV was likely to get paid
out soon, and thus Class IV-A-X should have been linked to Class
IV-A-2 (rated Baa2), the second highest rated bond in group IV. In
the rating action announced today, the rating on Class IV-A-X has
been downgraded to Ba1 to reflect its linkage to Class IV-A-3
(Class IV-A-2 is now likely to get paid out soon and Class IV-A-3
is currently the second highest rated bond in group IV).
The above mentioned approach 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
"2005 -- 2008 US RMBS Surveillance Methodology " publication.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. 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).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's now
projects the house price index to reach a bottom in the first
quarter of 2012, with a 2% remaining decline between the first
quarter of 2011 and 2012, and the unemployment rate to start
declining by fourth quarter of 2011.
Complete rating actions are:
Issuer: Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1
Cl. II-A-1, Downgraded to B2 (sf); previously on Jan 27, 2011
Downgraded to Baa2 (sf)
Cl. II-A-2, Downgraded to Caa2 (sf); previously on Jan 27, 2011
Downgraded to Ba2 (sf)
Cl. IV-A-3, Upgraded to Ba1 (sf); previously on Jan 27, 2011
Downgraded to B1 (sf)
Cl. IV-A-4, Upgraded to B1 (sf); previously on Jan 27, 2011
Downgraded to Caa2 (sf)
Cl. IV-A-X, Downgraded to Ba1 (sf); previously on Jan 27, 2011
Downgraded to Baa3 (sf)
MORGAN STANLEY: Fitch Cuts Ratings on Three Loan Classes to D
-------------------------------------------------------------
Fitch Ratings has downgraded Morgan Stanley Capital I Trust's
(MSCI) commercial mortgage pass-through certificates, series 2004-
HQ4.
The downgrades reflect Fitch modeled losses of 3.99% of the
remaining pool. Fitch has identified 18 loans (12.4%) as Fitch
Loans of Concern, which include six specially-serviced loans
(5.1%). Of the six loans in special servicing, one loan (1.43%) is
in foreclosure, two loans (2.0%) are real estate owned (REO), and
three loans (1.68%) are 90 days or more delinquent. Fitch expects
losses from loans currently in special servicing to deplete
classes K, L, and M and impact class J significantly. Interest
shortfalls totaling $1,074,944 are currently affecting classes N
through Q.
Of the original 117 loans, 93 loans remain outstanding. As of the
July 2011 distribution date, the pool's aggregate principal
balance has reduced by 26.8% to $1 billion from $1.37 billion at
issuance. In addition five loans (3.01%) have been fully defeased.
The transaction is highly concentrated regionally with 38.1%
located in the state of California.
The largest contributor to modeled losses is a loan (1.85%)
secured by three buildings totaling 112,000 square feet (sf) of
office space located in Roseville, CA. The loan transferred to
Special Servicing in October 2008 due to monetary default.
Foreclosure took place in April 2011 and special servicer has
engaged CBRE for property management and leasing.
The second largest contributor to modeled losses is a loan (8.1%)
secured by 390,118 sf of office space located in San Diego, CA,
within walking distance of the convention center and Gas Lamp
District. The servicer-reported occupancy as of March 2011 was
82%, which increased from 78% in June 2010; however, there is 26%
tenant roll-over in 2011. The most recent servicer reported debt
service coverage ratio is 1.21 times as of June 2010.
Fitch has downgraded and assigned Recovery Ratings (RRs) to these
classes:
-- $12 million class H to 'CCC/RR1' from 'B-/LS5';
-- $15.4 million class J to 'CC/RR4' from 'B-/LS5';
-- $5.1 million class K to 'C/RR6' from 'B-/LS5';
-- $1.7 million class M to 'D/RR6' from 'CC/RR6';
-- $0 class N to 'D/RR6' from 'CC/RR6';
-- $0 class O to 'D/RR6' from 'CC/RR6'.
Fitch has affirmed these classes and revised Rating Outlooks:
-- $93.6 million class A-6 at 'AAA/LS1'; Outlook Stable;
-- $776.2 million class A-7 at 'AA/LS1'; Outlook to Stable from
Negative;
-- $15.4 million class B at 'A/LS5'; Outlook Stable;
-- $18.8 million class C at 'BBB/LS5'; Outlook Stable;
-- $13.7 million class D at 'BBB-/LS5'; Outlook Stable;
-- $24 million class E at 'BB/LS5'; Outlook to Stable from
Negative;
-- $10.3 million class F at 'B/LS5'; Outlook Negative;
-- $12 million class G at 'B-/LS5'; Outlook Negative;
-- $5.1 million class L at 'C/RR6'.
Class P remains at 'D/RR6'. Class Q, which is not rated by Fitch
has been reduced to zero due to realized losses. Class A-1, A-2,
A-3, A-4, and A-5 have paid in full.
Fitch has withdrawn the ratings on the interest-only classes X-1
and X-2.
N-STAR REAL ESTATE: Moody's Downgrades Five CRE CDO Classes
-----------------------------------------------------------
Moody's has downgraded five and affirmed three classes of Notes
issued by N-Star Real Estate CDO VII, Ltd. The downgrades are 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 an increase in Defaulted Securities; the
affirmations are due to the key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO)
transactions.
Cl. A-1, Downgraded to Baa3 (sf); previously on Mar 6, 2009
Downgraded to A2 (sf)
Cl. A-2, Downgraded to B1 (sf); previously on Mar 6, 2009
Downgraded to Baa3 (sf)
Cl. A-3, Downgraded to B3 (sf); previously on Mar 6, 2009
Downgraded to Ba2 (sf)
Cl. B, Downgraded to Caa2 (sf); previously on Mar 6, 2009
Downgraded to B1 (sf)
Cl. C, Downgraded to Caa3 (sf); previously on Aug 11, 2010
Downgraded to Caa2 (sf)
Cl. D-FL, Affirmed at Caa3 (sf); previously on Aug 11, 2010
Downgraded to Caa3 (sf)
Cl. D-FX, Affirmed at Caa3 (sf); previously on Aug 11, 2010
Downgraded to Caa3 (sf)
Cl. E, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded
to Ca (sf)
RATINGS RATIONALE
N-Star Real Estate CDO VII, Ltd. is a CRE CDO transaction backed
by a portfolio of commercial mortgage backed securities (CMBS)
(78.9% of the pool balance), Other Real Estate Interests (11.3%),
CRE CDOs (6.3%), REITs (2.7%),and rake bonds (0.8%). As of the
June 27, 2011 Trustee report, the aggregate Note balance of the
transaction has remained $550 million, the same as at issuance.
The reinvestment period ended on June 27, 2011.
There are thirty-six assets with a par balance of $223.5 million
(23.3% of the current pool balance) that are considered Defaulted
Securities as of the June 27, 2011 Trustee report. Thirty-three of
these assets (93.7% of the defaulted balance) are CMBS, and three
assets are CRE CDOS (6.3%). While there have been no realized
losses to date, Moody's does expect significant losses to occur
once they are realized.
Moody's has identified the following 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 5,191 compared to 3,142 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 5.7
years compared to 6.5 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
18.8% on non-Defaulted Securities, compared to 19.1% on all
collateral 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 12.5% compared to 9.2% 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
19% to 9% or up to 29% would result in average rating movement on
the rated tranches of 0 to 2 notches downward and 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 this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
Other methodologies used in the analysis were "Moody's Approach to
Rating Commercial Real Estate CDOs" published on July 21, 2011.
NATIONAL COLLEGIATE: S&P Lowers Rating on Class C Notes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
C notes from National Collegiate Student Loan Trust 2004-2 to 'D
(sf)' from 'CC (sf)'.
"We lowered our rating to 'D (sf)' because the affected class did
not receive an interest payment on the July 25, 2011, distribution
date. The transaction breached the class C note interest trigger
because it failed its parity test, which prompted the interest
shortfall. The class C note interest trigger is tested monthly,
and the transaction can cure the breach if it passes the
appropriate performance tests on subsequent distribution dates. We
lowered our rating on the class C notes Nov. 29, 2010, to 'CC
(sf)' because parity was declining and approaching a
reprioritization trigger," S&P related.
"We believe this transaction will continue to breach its class C
note interest trigger for the foreseeable future due to the
continued adverse performance trends of the underlying pool of
private student loans, including the accelerated pace at which the
transaction has been realizing defaults. The breach of the class C
note interest trigger, as well as the resulting reprioritization
of interest to pay down senior bonds, resulted in an interest
shortfall to the class C notes on the July 25, 2011, distribution
date. The transaction may draw on its reserve account to cover
fees to the servicer, trustee, paying agent, and administrator, as
well as backup administrator fees and expenses, and class A, B,
and C note interest when no triggers are in effect. However, when
a class C note interest trigger is in effect, the reserve account
cannot be drawn on to cover interest payments to the class C
notes," S&P said.
The series 2004-2 transaction breached its class C note interest
trigger due to the failure of its parity test. The parity test
failed because the aggregate outstanding balance of the class A
and B notes exceeded the sum of the collateral balance plus the
amounts on deposit in the reserve account.
The parity test was 99.90% as of the July 25, 2011, distribution
date, which is 277 basis points below the 102.67% reported as of
the July 26, 2010, distribution date. The decline reflects the
effect that the accelerated pace of defaults has had on this
transaction.
NEWBURY STREET: S&P Lowers Ratings on 5 Classes to 'D'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 10 classes from two U.S. collateralized debt obligation (CDO)
transactions, following the nonpayment of timely interest to these
classes.
The downgraded classes had an initial issuance amount of
$2.892 billion.
One of the transactions is a high-grade structured finance (SF)
CDO (backed substantially by residential mortgage-backed
securities {RMBS}) and the other is a hybrid SF CDO of CDO (backed
primarily by CDOs of SF CDOs).
"The defaults reflect our criteria for ratings on CDO transactions
that have triggered an event of default (EOD) and may be subject
to acceleration or liquidation (for more information, see
'Surveillance Methodology For Global Cash Flow And Hybrid CDOs
Subject To Acceleration Or Liquidation After An EOD,' published
Sept. 2, 2009)," S&P related.
Rating Actions
Newbury Street CDO Ltd.
Rating
Class To From
A1 D (sf) CC (sf)
A2 D (sf) CC (sf)
A3 D (sf) CC (sf)
A4 D (sf) CC (sf)
B D (sf) CC (sf)
888 Tactical Fund Ltd.
Rating
Class To From
S D (sf) CC (sf)
A1 D (sf) CC (sf)
A2 D (sf) CC (sf)
A3 D (sf) CC (sf)
A4 D (sf) CC (sf)
NOMURA CRE CDO: Moody's Downgrades Ratings of 3 CRE CDO Classes
---------------------------------------------------------------
Moody's Investors Service has downgraded three and affirmed
thirteen classes of Notes issued by Nomura CRE CDO 2007-2 Ltd. The
downgrades are due to a lower expected recovery rate and a
continued high level of Defaulted Securities and the affirmations
are due to the key transaction parameters performing within levels
commensurate with the existing ratings levels. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO) transactions.
Cl. A-R, Downgraded to Baa3 (sf); previously on Aug 11, 2010
Downgraded to Baa1 (sf)
Cl. A-1, Downgraded to Baa3 (sf); previously on Aug 11, 2010
Downgraded to Baa1 (sf)
Cl. A-2, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B3 (sf)
Cl. B, Affirmed at Caa2 (sf); previously on Aug 11, 2010
Downgraded to Caa2 (sf)
Cl. C, Affirmed at Caa3 (sf); previously on Aug 11, 2010
Downgraded to Caa3 (sf)
Cl. D, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded
to Ca (sf)
Cl. E, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded
to Ca (sf)
Cl. F, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded
to Ca (sf)
Cl. G, Affirmed at Ca (sf); previously on Aug 11, 2010 Downgraded
to Ca (sf)
Cl. H, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Aug 11, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
Nomura CRE CDO 2007-2 Ltd. is a CRE CDO transaction backed by a
portfolio A-Notes and whole loans (79.9% of the pool balance), B-
Notes (8.7%), commercial mortgage backed securities (CMBS) (5.4%)
CRE CDO (4.0%) and mezzanine loans (2.0%). As of the June 30, 2011
Trustee report, the aggregate Note balance of the transaction has
decreased to $896.8 million from $901.6 million at issuance, with
the paydown directed to the Class A1 and Class AR Notes, and
interest accruing on Classes D-O as a result of failing the Class
A/B/C Coverage test.
There are twelve assets with a par balance of $306.2 million
(34.8% of the current pool balance) that are considered Defaulted
Securities as of the June 30, 2011 Trustee report. Five of these
assets (53.4% of the defaulted balance) are either A-Notes or
whole loans, two assets are B-Notes (26.4%), two assets are CMBS
(15.5%), and two assets are CRE CDO (4.7%). Defaulted Securities
that are not CMBS are defined as assets which are 30 or more days
delinquent in their debt service payment. While there have been
limited realized losses to date, Moody's does expect significant
losses to occur once they are realized.
Moody's has identified the following 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 9,360 compared to 9,227 at last
review. The distribution of current ratings and credit estimates
is as follows: Aaa-Aa3 (0.6% compared to 0.5% at last review),
Baa1-Baa3 (0.0% compared to 3.6% at last review), Ba1-Ba3 (3.0%
compared to 0.7% at last review), B1-B3 (0.0% compared to 1.3% at
last review), and Caa1-C (96.4% compared to 93.8% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 4.8
years compared to 6.0 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
38.5% compared to 42.1% 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 99.9%, the same as 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
39% to 29% or up to 49% would result in average rating movement on
the rated tranches of 0 to 2 notches downward and 0 to 2 notches
upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current 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 methodologies used in these ratings were "Moody's
Approach to Rating SF CDOs" published on November 2010.
Other methodologies used in the analysis were "Moody's Approach to
Rating Commercial Real Estate CDOs" published on July 21, 2011.
NORTHWOODS CAPITAL: Moody's Assigns 'B1' Issuer Rating
------------------------------------------------------
Moody's Investors Service has assigned a B1 Issuer Rating and
negative outlook to the School District of the City of Detroit
(MI). The Long Term Issuer Rating reflects Moody's opinion of the
ability of the district to honor its senior-most tax-backed
financial obligations.
SUMMARY RATING RATIONALE
The assignment of the B1 Issuer Rating reflects the district's
limited operating revenue raising flexibility; long-term trends of
population erosion resulting in declining enrollment and revenues;
and a weakened balance sheet supported by previously issued
deficit elimination bonds. Exacerbating these trends, recent
external challenges including an extremely stressed regional
economy and pressured state aid revenue stream are expected to
continue. The negative outlook reflects the likelihood that
district's operations will remain pressured and it may not meet
its objective of eliminating sizable accumulated deficits in the
near term. Moody's expects internal and external forces to
continue to weigh very heavily on the district's capacity to
restore structural balance.
STRENGTHS
* Voter-approved general obligation levy unlimited as to rate or
amount that is dedicated to pay debt service
* Increased state oversight provides more management stability
* No variable rate or swap exposure in debt profile
CHALLENGES
* Limited operating revenue raising flexibility and weak balance
sheet
* Long-term trends of tax base and population erosion resulting in
declining revenue trends
* History of heavy reliance on cashflow borrowing to meet
operating needs
DETAILED CREDIT DISCUSSION
CHALLENGED ECONOMIC TAX BASE; WEAK DEMOGRAPHIC TRENDS PERSIST
The district serves the City of Detroit (general obligation
unlimited tax rated Ba3 with negative outlook). Despite a few
positive developments and diversification of Detroit's economy,
the city's economic and demographic profile remains one of the
weakest in the nation. Although the recent expansion of casinos
and the healthcare sector are important in providing a measure of
diversity to the city and the district's tax base, the challenges
of the corporate domestic auto manufacturing sector continue to
dominate the regional economy. While Detroit is home primarily to
research and development and non-manufacturing jobs, its tax base
and economic well-being remains extremely vulnerable to this
sector. Both Chrysler (rating withdrawn), the district's top tax
payer at 6.7% of taxable valuation, and General Motors (long-term
rating Ba2), the district's sixth largest tax payer at 1.6% of
taxable valuation, emerged from protection from creditors under
Chapter 11 of the US Bankruptcy Code late last year and continue
to remain a large presence within the district. Chrysler, GM and
Ford (long-term rating Ba2) have shown signs of improved
operations.
Over the past decade, Detroit's population has fallen by nearly
twenty-five percent. Despite a labor force which has declined,
unemployment levels have remained persistently high. Unemployment
has increased more rapidly in 2008 through 2011 (19% in April
2011, compared to 10% state and 8.7% national rates) and is
expected to remain high for the foreseeable future. Since 1980,
the city's lowest annual unemployment figure was 6.6%, achieved in
2000, compared to 3.6% state and 4.0% nationally that same year.
Evidence of economic challenge is also found in the metro area's
rate of home foreclosures which is among the highest in the
country and poverty rates that persist at rates more than twice
the state average. Wealth indicators have generally declined since
1970 (per capita income was 95% of the state average) compared to
the 2000 census (PCI equaled 66.4% of the state average).
ENROLLMENT SUFFERS CONTINUED DECLINES; REVENUE AND ENROLLMENT
DOWNWARD TRENDS EXPECTED TO CONTINUE
As the city's population has continued to decline, the district's
enrollment, a key determinant to state aid funding, has also
declined. During fiscal 1998, the district recorded a peak count
of 173,871 pupils. By fiscal 2011, the number of pupils had
declined to 75,151 (blended student count) which represents a
decline of over 50% of the total student population. Average
annual enrollment decline from 2007 through 2011 was approximately
10.4%. This includes a significant decline in fiscal 2007, mostly
attributed to the illegal protracted teachers strike and the
related school closings at the beginning of the school year. While
some students migrated back to the district, the material revenue
impact was carried forward and resulted in a long-term loss of a
portion of that population and revenue base. The number of pupils
is expected to drop to 60,360 by fiscal 2016.
Per state law, because the district's enrollment has fallen below
100,000, the district retains first class for its funding
purposes, but is no longer designated as a first-class district
for all other purposes. Without this special designation,
community colleges within the city are no longer prevented from
authorizing additional charter schools within the district's
boundaries. Growth in charter schools and open enrollment policies
in neighboring districts are expected to continue to challenge the
district's efforts to attract and retain students and present the
district with difficult budgeting challenges and expenditure
reductions moving forward.
FINANCIAL PROFILE REMAINS EXTREMELY WEAK; BALANCE SHEET SUPPORTED
BY DEBT ISSUANCE
The district has realized substantial operating deficits for the
last eight audited fiscal years, bringing the General Fund balance
from a modest $74.7 million in fiscal 2003 (4.7% of General Fund
revenues) to a negative $327.3 million (negative 30.5% of General
Fund revenues) in fiscal 2010. In fiscal 2004, the district
realized a substantial $124 million operating deficit resulting in
an unreserved, undesignated General Fund balance of negative $63.7
million. In that same year, the district received approval from
the state to refinance approximately $210 million of short-term
State Aid Anticipation Notes outstanding as long-term debt payable
over 15 years. While the district realized an additional operating
loss of $115 million in fiscal 2005, the district recorded a
positive General Fund balance of approximately $47 million mainly
due to the refinancing. The repayment of the refinanced debt which
bolstered General Fund reserves in 2005 began in fiscal 2007. As a
part of the conditions for the state approval, the district agreed
to maintain a positive General Fund balance and make its finances
subject to a Fiscal Review Committee designated by the State
Treasurer.
The district realized more moderate operating deficits in fiscal
2006 and fiscal 2007 as reflected in the audited financial
statements. While the published fiscal 2007 Comprehensive Annual
Financial Report reflects a lean $7.2 million General Fund
balance, published fiscal 2008 audited financial statement notes a
restatement of this balance to a negative $3.78 million (negative
0.3% of General Fund revenues) to correct errors made in
calculations for that fiscal year. Fiscal 2008, 2009 and 2010
audited results reflect more substantial operating deficits of
$136.9 million, $81.3 million and $114.5 million respectively,
bringing the General Fund balance to a negative $327.3 million at
the end of the fiscal year. Main drivers of the fiscal 2010
operating deficit included unrealized savings due to delayed labor
contract negotiations, loss of state aid revenues, increased
delinquent property taxes and charge-backs from Wayne County and
unanticipated retirement costs associated with the State's newly
offered retirement incentive program. Per state law, in August
2008, the district submitted an updated Deficit Elimination Plan
(DEP) to the state. The Governor then appointed a team to review
the district's finances which determined that a fiscal emergency
did exist at the district. In January 2009, the State
Superintendent appointed an Emergency Financial Manager (EFM) to
oversee all of the district's financial operations. The
appointment of that EFM to the district was extended through
June 30, 2011.
STATE SUPERINTENDENT ASSIGNS NEW EMERGENCY MANAGER UNDER P.A. 4;
UPDATED DEFICIT ELIMINATION PLAN EXPECTED
On May 16, 2011, a new Emergency Manager (EM) was appointed to the
district with a state-mandated directive to get the district out
of its deficit General Fund position by the end of fiscal 2016. He
has greatly expanded powers to achieve this under new state
legislation passed in March 2011, Public Act 4 (P.A. 4). Public
Act 4, which replaced the state's previous legislation regarding
stressed municipalities (P.A. 72), allows for earlier state
intervention of financially stressed municipalities and greatly
increases the authority of appointed emergency managers to make
organizational and financial changes, and in the case of a school
district, academic and educational changes, that may be necessary
to avoid a Chapter 9 bankruptcy. An emergency manager now also has
the power to develop and implement financial and operating plans,
order millage elections, cancel agreements, suspend the authority
and compensation of managers and local elected officials, subject
to certain requirements, reject, modify or terminate collective
bargaining agreements, and in some cases, sell, lease, or transfer
the assets, liabilities, functions, or responsibilities of the
municipality. Furthermore, the manager can recommend to the
Governor that the municipal government file for Chapter 9
bankruptcy or disband. The new legislation does require the
Governor's approval before the EM is authorized to file for
Chapter 9, which was not required under P.A. 72.
Both the district's previous and current managers outlined
substantial changes to the district's organization and operation
and some progress has been made. Future changes include the
closure of at least 20 additional schools and the restructuring of
40 schools through the state's new Educational Achievement
Authority; outsourcing many central office functions, workforce
cost containment through layoffs and the renegotiation of
contracts with staff and vendors; and the reorganization of the
functions of transportation, plant operations, security and
technology. To date the district has implemented many reforms and
expects to report balanced operations with the close of fiscal
2011. The district's fiscal 2012 budget includes a proposed
restructuring of existing short term debt to long term
obligations, $230 million of expenditure reductions and does not
anticipate a need by the district for any short-term borrowings
during that fiscal year. The General Fund revenue budget includes
$200 million in one-time debt restructuring proceeds to reduce the
current General Fund reserve of negative $327 million to a
negative $127 million by June 30, 2012.
In 2009, the district had considered filing for federal bankruptcy
protection under Chapter 9 of the US Bankruptcy Code as an option
to address the General Fund's deficit position. Management now
reports that this is not being contemplated, citing that the
current EM has expanded powers to achieve financial, operational
and academic goals under P.A. 4. Again, the new legislation also
requires the EM to secure the Governor's approval before filing
for Chapter 9 protection. Moody's will continue to closely monitor
the district's credit quality as further developments occur.
UPDATED CAPITAL PLAN IN PLACE; HIGH DEBT BURDEN
Despite declining enrollments and the closure of some schools, the
district faces many deferred maintenance capital needs. The
average age of a school exceeds 50 years, even after the recent
construction of several new buildings. With an existing high debt
burden (13.5%) coupled with slow amortization (42% in ten years),
the district will continue to be challenged to address ongoing
capital needs at a time of operating pressure. Previous management
had outlined $1.2 billion capital plan addressing the district's
infrastructure redesign through 2015. With a significant portion
of the plan underway, management is hopeful that improvements to
the districts infrastructure as well as planned improvements to
the district's academic offerings will reverse the trend of
significant enrollment loss currently being experienced.
Outlook
The negative outlook reflects Moody's opinion that district's
operations will remain extremely pressured and it may not meet its
objective of balancing financial operations or eliminating the
accumulated General Fund deficit in the near term. Although the
district continues to work with the state to return to balanced
operations, Moody's expects internal and external forces to
continue to weigh very heavily on the district's capacity to
restore structural balance and curtail the continued loss of its
student population.
What could change the rating - UP
* Ability to implement and realize the goals of an updated Deficit
Elimination Plan in timely manner
* Significant improvement in district financial operations and
reserves
* Stabilization and growth of the local economy and district's
taxbase
What could change the rating - DOWN
* Inability to implement and realize the goals of the Deficit
Elimination Plan in timely manner
* Continued revenue losses resulting in ongoing operating deficits
and a weakened balance sheet
* Significant deterioration in the ability of the tax base to meet
debt service on GOULT debt
* Substantial change to the debt profile
* District filing for federal bankruptcy protection under Chapter
9 of the US Bankruptcy Code
KEY STATISTICS
2010 population: 713,777 (a 25% decline from the previous census)
Full valuation: $20.2 billion
Full value per capita: $28,365
Per capita income as % of the state (2000 census): 66.4% (68.2% of
the nation)
Largest taxpayer as a % of taxable valuation: 6.7% (Chrysler)
Direct debt burden: 9.1%
Debt burden: 13.5%
Average annual enrollment decline (2007-2011): 10.4%
Fiscal 2009 General Fund balance: negative $218.97 million, or
negative 19.3% of General Fund revenues
Fiscal 2010 General Fund balance: negative $327.3 million, or
negative 30.5% of General Fund revenues
The principal methodology used in this rating was General
Obligation Bonds Issued by U.S. Local Governments published in
October 2009.
NORTHWOODS CAPITAL: Moody's Upgrades Ratings of 6 Classes of Notes
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Northwoods Capital IV, Limited:
US$260,000,000 Class A-1a Senior Secured Floating Rate Notes Due
2018 (current outstanding balance of $255,177,192), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review
for Possible Upgrade;
US$75,000,000 Class A-1b Senior Secured Revolving Floating Rate
Notes Due 2018 (current outstanding balance of $73,608,805),
Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade;
US$32,000,000 Class A-2 Senior Secured Floating Rate Notes Due
2018, Upgraded to Aa3 (sf); previously on June 22, 2011 A3 (sf)
Placed Under Review for Possible Upgrade;
US$38,000,000 Class B Senior Secured Deferrable Floating Rate
Notes Due 2018, Upgraded to Baa1 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$16,500,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes Due 2018, Upgraded to Ba2 (sf); previously on June 22, 2011
B3 (sf) Placed Under Review for Possible Upgrade;
US$8,500,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes
Due 2018, Upgraded to Ba2 (sf); previously on June 22, 2011 B3
(sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios and credit improvement
of the underlying portfolio since the rating action in August
2009. Moody's notes that the overcollateralization ratios have
increased since the rating action in August 2009. Based on the
latest trustee report dated July 1, 2011, the Class A, Class B and
Class C overcollateralization ratios are reported at 132.91%,
120.25% and 111.06%, respectively, versus August 2009 levels of
126.46%, 114.56% and 105.91%, respectively, and all
overcollateralization tests are currently in compliance. Based on
the same trustee report, the weighted average rating factor is
currently 2614 compared to 3098 in the August 2009 report.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $475.9 million,
defaulted par of $24.8 million, a weighted average default
probability of 20.74% (implying a WARF of 3181), a weighted
average recovery rate upon default of 45.79%, and a diversity
score of 36. The 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.
Northwoods Capital IV, Limited, issued in 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
June 2011.
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 June 2011.
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. 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.
NORTHWOODS CAPITAL: Moody's Upgrades Ratings of 7 Classes of Notes
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of these notes
issued by Northwoods Capital V Limited:
US$251,750,000 Class A-1a Senior Secured Floating Rate Notes
Notes, Upgraded to Aa2 (sf); previously on June 22, 2011 Aa3 (sf)
Placed Under Review for Possible Upgrade
US$100,000,000 Class A-1b Senior Secured Revolving Floating Rate
Notes Notes, Upgraded to Aa2 (sf); previously on June 22, 2011 Aa3
(sf) Placed Under Review for Possible Upgrade
US$31,500,000 Class A-2 Senior Secured Floating Rate Notes Notes,
Upgraded to A2 (sf); previously on June 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade
US$38,850,000 Class B Senior Secured Deferrable Floating Rate
Notes Notes, Upgraded to Baa3 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade
US$24,300,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes Notes, Upgraded to Ba3 (sf); previously on June 22, 2011
Caa2 (sf) Placed Under Review for Possible Upgrade
US$20,000,000 Class C-2 Senior Secured Deferrable Discount Notes
Notes, Upgraded to Ba3 (sf); previously on June 22, 2011 Caa2 (sf)
Placed Under Review for Possible Upgrade
US$12,800,000 Type I Composite Obligations Notes, Upgraded to Baa1
(sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review
for Possible Upgrade
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $509 million,
defaulted par of $19.5 million, a weighted average default
probability of 27.77% (implying a WARF of 3,516), a weighted
average recovery rate upon default of 45.38%, and a diversity
score of 35. The 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.
Northwoods Capital V Limited, issued in December 2005, 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
A secondary methodology used was "Using the Structured Note
Methodology to Rate CDO Combo-Notes" published in February 2004.
Please see the Credit Policy page on www.moodys.com for a copy of
these methodologies.
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 June 2011.
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. 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) 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. UPG Case only: 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.
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 the
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/coupon levels higher than the
covenant levels due to the large difference between the
reported and covenant levels.
OCTAGON INVESTMENT: Moody's Raises Rating on Class E Notes to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Octagon Investment Partners VIII, Ltd.:
US$318,000,000 Class A-1 Senior Secured Floating Rate Notes due
2017, Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf)
Placed Under Review for Possible Upgrade;
US$25,000,000 Class A-2 Revolving Senior Secured Floating Rate
Notes due 2017, Upgraded to Aaa (sf); previously on June 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade;
US$18,000,000 Class B Senior Secured Floating Rate Notes due 2017,
Upgraded to Aa2 (sf); previously on June 22, 2011 A1 (sf) Placed
Under Review for Possible Upgrade;
US$22,500,000 Class C Secured Deferrable Floating Rate Notes due
2017, Upgraded to A2(sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$22,400,000 Class D Secured Floating Rate Notes due 2017,
Upgraded to Ba1 (sf); previously on June 22, 2011 Ba3 (sf) Placed
Under Review for Possible Upgrade;
US$16,500,000 Class E Secured Floating Rate Notes due 2017
(current outstanding balance of $15,348,673), Upgraded to B1 (sf);
previously on June 22, 2011 Caa3 (sf) Placed Under Review for
Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, weighted average spread, diversity score, and weighted
average recovery rate, may be different from the trustee's
reported numbers. Moody's generally analyzes deals in their
reinvestment period by assuming the worse of reported and
covenanted values for all collateral quality tests. However, in
this case given the limited time remaining in the deal's
reinvestment period, Moody's analysis reflects the benefit of
assuming a higher likelihood that certain collateral pool
characteristics will continue to maintain a positive "cushion"
relative to the covenant requirements, as seen in the actual
collateral quality measurements. In its base case, Moody's
analyzed the underlying collateral pool to have a performing par
and principal proceeds balance of $439 million, no defaulted par,
a weighted average default probability of 18.40% (implying a WARF
of 2628), a weighted average recovery rate upon default of 46.81%,
and a diversity score of 72. Moody's also considered spread levels
higher than the covenant levels due to the large difference
between the reported and covenant levels. The 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.
Octagon Investment Partners VIII, Ltd., issued in August 2005, 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
June 2011.
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 June 2011.
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 manager's
investment strategy 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) 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.
OCTAGON INVESTMENT: S&P Withdraws Class B-2L Notes 'CCC-' Rating
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class A-1L, A-1LA, A-1LB, A-2L, A-3L, B-1L and B-2L notes from
Octagon Investment Partners VI Ltd., a collateralized loan
obligation (CLO) transaction managed by Octagon Credit Investors
LLC.
The withdrawals follow the redemption of the rated notes on the
July 13, 2011, distribution date.
Ratings Withdrawn
Octagon Investment Partners VI Ltd.
Rating
Class To From
A-1L NR AA+ (sf)
A-1LA NR AAA (sf)
A-1LB NR AA+ (sf)
A-2L NR A (sf)
A-3L NR BBB+ (sf)
B-1L NR B- (sf)
B-2L NR CCC- (sf)
NR -- Not rated.
PACIFIC BAY: Moody's Upgrades Rating on Class A-1 Notes From Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of one class of
notes issued by Pacific Bay CDO, Ltd. The notes affected by the
rating action are:
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2038 (current outstanding balance of $55,939,430.86), Upgraded to
A1 (sf); previously on April 2, 2009 Downgraded to Ba1 (sf)
RATINGS RATIONALE
According to Moody's, the rating action results primarily from
delevering of the Class A-1 Notes, which have amortized
approximately $53.1 million since the last rating action in April
2009. As of the latest trustee report dated May 31, 2011, $119
million of performing assets remain, which provide credit support
to approximately $55.9 million of outstanding Class A-1 Notes.
On December 10, 2008, as reported by the Trustee, an Event of
Default was declared as described in Section 5.1(i) of the
Indenture dated November 4, 2003. The Event of Default was caused
by a failure of the Class A/B Overcollateralization Ratio to be
greater than or equal to 100 percent. On May 1, 2009 a Majority of
the Controlling Class declared an Acceleration of Maturity. This
caused a change in the waterfall whereby all interest and
principal proceeds received are being paid to the Class A-1 prior
to any payments made to the other Classes. Therefore, Class A-2
and Class B are currently not receiving interest payments.
As provided in Article V of the Indenture during the occurrence
and continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of a liquidation.
Pacific Bay is a collateralized debt obligation backed primarily
by a portfolio of Structured Finance securities, with over 60% of
the portfolio consisting of RMBS.
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
CDOROMv2.8 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
pool. 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 the following:
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 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.
RESIX FINANCE: Moody's Downgrades $188.8 Thousands of Jumbo RMBS
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches from two synthetic jumbo deals issued by RESIX. The
reference portfolios of these transactions consist primarily of
first-lien, fixed-rate and adjustable-rate prime Jumbo residential
mortgages purchased from various originators.
RATINGS RATIONALE
The credit-linked notes issued by RESIX replicate the cash flow of
select subordinate tranches issued by synthetic RMBS deals RESI
2003-A and RESI 2003-B. RESI deals are synthetic transactions that
provide the owner of a sizable pool of mortgages (the "Protection
Buyer") credit protection through a credit default swap with the
issuer (the "Protection Seller") of the notes. Through this
agreement, the Protection Buyer pays a fee in return for the
transfer of a portion of the reference portfolio credit risk.
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 factors used in these ratings are described
in "Pre-2005 US RMBS Surveillance Methodology" published in
January 2011, which accounts for the deteriorating performance and
outlook. Please see the Credit Policy page on www.moodys.com for a
copy of these methodologies.
To assess the ratings on the bonds, Moody's considered the level
of credit enhancement available for each tranche relative to
updated loss expectations of the reference pools.
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.
To assess ratings sensitivities, Moody's ran a 10% higher
projected loss on the reference pool of mortgages backing the RESI
deals and found that the ratings on the issued RESIX bonds do not
change as a result.
Complete rating actions are:
Issuer: Resix Finance Limited Credit-Linked Notes, Series 2003-A
Cl. B10, Downgraded to Ba1 (sf); previously on Aug 1, 2006
Upgraded to A1 (sf)
Issuer: Resix Finance Limited Credit-Linked Notes, Series 2003-B
Cl. B9, Downgraded to B2 (sf); previously on Nov 20, 2008 Upgraded
to Baa2 (sf)
Cl. B10, Downgraded to Caa3 (sf); previously on Nov 20, 2008
Upgraded to Baa3 (sf)
RIDGEWAY COURT: S&P Lowers Ratings on 2 Classes of Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class B and C notes from Ridgeway Court Funding II Ltd., a hybrid
collateralized debt obligation of mezzanine structured finance
securities, to 'D (sf)' from 'CC (sf)'.
"On April 12, 2010, we downgraded Ridgeway Court Funding II Ltd.'s
eight nondeferrable notes to 'D (sf)' due to missed interest
payments. We lowered our ratings on Ridgeway Court Funding II
Ltd.'s two deferrable notes to 'D (sf)' because the liquidation of
the portfolio assets did not yield enough proceeds to pay any of
these notes in full," S&P related.
Ratings Lowered
Ridgeway Court Funding II Ltd.
Rating
Class To From
B D (sf) CC (sf)
C D (sf) CC (sf)
Other Ratings
Ridgeway Court Funding II Ltd.
Class Rating
A1A D (sf)
A1B D (sf)
A1C D (sf)
A1X D (sf)
A-2 D (sf)
A-3 D (sf)
A-4 D (sf)
A-5 D (sf)
RIVER NORTH: S&P Lowers Ratings on 2 Classes of Notes to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
from 'CC (sf)' on the class A-2 and B notes of River North CDO
Ltd. and the class A-3 notes of Trinity CDO Ltd. "At the same
time, we affirmed our 'CC (sf)' ratings on nine other classes of
notes from the same transactions," S&P related.
The downgrades are the result of defaults on the interest payments
due on the transactions' nondeferrable classes.
"Our rating affirmations reflect both the credit support available
to the notes and the notes' ability to defer their interest
payments," S&P said.
Ratings Lowered
River North CDO Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
B D (sf) CC (sf)
Trinity CDO Ltd.
Rating
Class To From
A-3 D (sf) CC (sf)
Ratings Affirmed
River North CDO Ltd.
Class Rating
A-1 CC (sf)
C CC (sf)
D-1 CC (sf)
D-2 CC (sf)
Trinity CDO Ltd.
Class Rating
A-1 CC (sf)
A-2 CC (sf)
B CC (sf)
C-1 CC (sf)
C-2 CC (sf)
SALOMON BROTHERS: Fitch Ups Ratings on 5 Classes of Securities
--------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed five classes of
Salomon Brothers Mortgage Securities VII, Inc., series 1999-C1.
The upgrade is a result of the pool's stable performance and
increased principal paydown to the transaction resulting in
increased credit enhancement to the class. As of the June 2011
distribution date, the pool's certificate balance has paid down
90.06% to $73.07 million from $734.85 million at issuance. There
are 47 of the original 213 loans remaining in the transaction.
Five loans (14.19% of the pool balance) are defeased, including
three (11.16%) of the top 10 loans.
Fitch modeled losses of 2.10% of the remaining pool; expected
losses based on the original pool size are 2.82%, which also
reflect losses already incurred to date. Any incurred losses are
expected to be absorbed by class L. Fitch has designated 12 loans
(17.86% of the pool balance) as Fitch Loans of Concern including
two specially serviced loans (2.14%). Interest shortfalls are
affecting classes L and M.
The largest specially serviced loan (1.09%) is secured by a 53,000
square foot (sf) mixed use property (retail, office and
residential) in Troy, NY. The loan transferred to special
servicing in December 2008 due to payment default. Both the
borrower and loan guarantor subsequently filed for bankruptcy. The
servicer reported that a bankruptcy plan of reorganization has
been approved and is in the process of being implemented.
The second loan in special servicing (1.05%) is secured by a
27,000 sf office building in suburban Jackson, MS. The property
has experienced cash flow issues due to occupancy declines, which
the servicer reports at 42% as of December 2010. The loan had
transferred to special servicing in October 2008 due to maturity
default. The borrower had executed a six month forebearance
agreement through June 2009 and had made payments pursuant to the
agreement. The servicer reported that the borrower has since been
unable to obtain financing due to the property's low occupancy.
The servicer has initiated the foreclosure process.
Fitch upgrades this class and revises the Loss Severity (LS)
rating:
-- $20.2 million class H to 'AA / LS1' from 'A / LS3'; Outlook
Stable.
Fitch affirms these classes, revises the Loss Severity (LS)
ratings and assigns Outlooks:
-- $7.7 million class F at 'AAA'; loss severity to 'LS2' from
'LS4'; Outlook Stable.
-- $14.7 million class G at 'AAA'; loss severity to 'LS2' from
'LS4'; Outlook Stable.
-- $9.2 million class J at 'BBB-'; loss severity to 'LS2' from
'LS4'; Outlook to Stable from Negative.
-- $16.5 million class K at 'CCC / RR1';
-- $4.7 million class L at 'D / RR5'.
Class M is not rated by Fitch. Due to realized losses class M has
been reduced to zero from $16.5 million at issuance, and class L
has been reduced to $4.7 million from $7.3 million at issuance.
Classes A-1, A-2, B, C, D and E have paid in full.
Fitch withdrew the rating of the interest-only class X on July 16,
2010.
SCHILLER PARK: Moody's Upgrades Ratings of Five Classes of Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Schiller Park CLO Ltd.:
US$50,000,000 Class A-1-B Floating Rate Notes Due 2021, Upgraded
to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under
Review for Possible Upgrade;
US$54,000,000 Class A-2 Floating Rate Notes Due 2021, Upgraded to
Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review
for Possible Upgrade;
US$16,000,000 Class B Floating Rate Notes Due 2021, Upgraded to
Aa1 (sf); previously on June 22, 2011 A1 (sf) Placed Under Review
for Possible Upgrade;
US$27,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgraded to A2 (sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$25,000,000 Class D Deferrable Floating Rate Notes Due 2021,
Upgraded to Baa2 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $399.5 million,
defaulted par of $6.9 million, a weighted average default
probability of 22.54% (implying a WARF of 2747), a weighted
average recovery rate upon default of 48.09%, and a diversity
score of 73. The 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.
Schiller Park CLO Ltd., issued in March 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
June 2011.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) 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 the
worse of reported and covenanted values for weighted average
rating factor. However, as part of the base case, Moody's
considered spread and diversity levels higher than the covenant
levels due to the large difference between the reported and
covenant levels.
SEQUILS-CENTURION: Fitch Takes Various Ratings Actions
------------------------------------------------------
Fitch Ratings has upgraded two classes of notes issued by SEQUILS-
Centurion V, Ltd. (SEQUILS) and affirmed one class of notes issued
by MINCS-Centurion V, Ltd. (MINCS). Rating Outlooks, Loss Severity
(LS) Ratings and Recovery Ratings (RR) have also been revised or
maintained:
SEQUILS:
-- $13,096,427 class A notes upgraded to 'AAAsf' from 'AAsf';
LS to 'LS3' from 'LS2'; Outlook Stable;
-- $16,644,440 class B notes upgraded to 'Asf' from 'BBBsf'; LS
to 'LS3' from 'LS4'; Outlook Stable.
MINCS:
-- $57,000,000 third priority secured notes affirmed at 'Csf';
RR to 'RR4' from 'RR3'.
The upgrades of the SEQUILS notes are the result of continued
deleveraging of the class A notes since Fitch's last rating action
in July 2010, in addition to the remaining level of credit
protection provided by the credit swap with Morgan Guaranty Trust
Company of New York (MGT; ultimate parent JPMorgan Chase & Co.,
rated 'AA-/F1+' by Fitch). The SEQUILS class A notes have received
approximately $67.4 million of principal payments since Fitch's
last review, representing 16.5% of their initial principal
balance. Credit enhancement levels supporting the SEQUILS notes
far exceed projected loss rates at the 'AAA' level under all
stresses using Fitch's Portfolio Credit Model (PCM). However, the
SEQUILS class B notes were only upgraded by one rating category as
they will rely on lower-rated collateral and long-dated assets to
receive a full return of principal. Additionally, the class B
notes will not receive any future principal distributions until
the class A notes are paid in full, at which point the portfolio
is expected to be highly concentrated with a small number of
obligors.
At the time of Fitch's last rating action, the outstanding credit
swap balance stood at $15.5 million. This balance has since
increased to $17 million as of the payment date in June 2011 due
to a combination of defaults and credit risk sales in the
portfolio. Considering the credit swap threshold at its current
level of $39.1 million, the transaction can be reimbursed for
$22.1 million in additional losses via the credit swap before the
threshold is reached.
Credit losses in the underlying portfolio have outpaced the
generation of excess spread, leading to the net outstanding credit
swap balance of $17 million. As the SEQUILS interest waterfall has
been unable to fully repay this outstanding credit swap balance,
the MINCS notes have been relying on advance payments from the
credit swap counterparty, MGT, to fulfill their administrative
expenses and periodic interest payments. Including the interest
amount advanced at the latest payment date, the total balance
of advance payments made by MGT to MINCS stands at almost
$2.7 million. At the transaction's final maturity in March 2013,
the MINCS notes will be required to reimburse MGT for any
outstanding credit swap balance plus any advance amounts.
Considering the remaining time until the transaction's maturity,
the lack of sufficient excess spread to cover the outstanding
credit swap balance and the possibility for further credit losses,
Fitch believes the MINCS notes will inevitably suffer a loss of
principal at maturity.
Fitch expects the total cash flows ultimately available to the
MINCS notes to be in a range between 31% and 50% of their
principal balance, in line with an 'RR4' on Fitch's Recovery
Rating scale. Recovery Ratings are designed to provide a forward-
looking estimate of recoveries on currently distressed or
defaulted structured finance securities rated 'CCC' or below. For
further detail on Recovery Ratings, please see Fitch's report
'Criteria for Structured Finance Recovery Ratings' dated July 12,
2011.
The SEQUILS class A and class B notes have each been assigned an
LS rating. The LS ratings indicate each tranche's potential loss
severity given default, as evidenced by the ratio of tranche size
to the base-case loss expectation for the collateral, as explained
in Fitch's 'Criteria for Structured Finance Loss Severity
Ratings'. The LS rating should always be considered in conjunction
with the notes' long-term credit rating.
In evaluating the SEQUILS notes, Fitch focused on the analytical
framework described in the reports 'Global Structured Finance
Rating Criteria' and 'Global Rating Criteria for Corporate CDOs',
using the PCM for projecting future default levels for the
underlying portfolio. The SEQUILS notes were not analyzed within a
cash flow model framework incorporating interest rate and default
timing stresses given the short remaining term to deal maturity.
Fitch instead considered the credit quality of the portfolio
supporting the repayment of each class of notes through March 2013
along with the additional support available to the notes from the
credit swap with MGT.
SEQUILS and MINCS are a cash flow and synthetic collateralized
loan obligation (CLO), respectively, jointly obtaining exposure to
a portfolio of high yield U.S. senior bank loans. Proceeds from
the issuance of the SEQUILS notes were invested in senior bank
loans. The SEQUILS issuer entered into a credit swap with MGT that
provides credit protection to SEQUILS. MGT simultaneously entered
into a credit swap with MINCS. MINCS' obligation under that swap
was collateralized with $57 million of securities purchased with
the proceeds from the sale of the MINCS notes. Under the SEQUILS
credit swap, MGT pays the amount of each quarter's principal
losses up to the SEQUILS credit swap threshold. The balance of
principal reimbursement received from MGT is paid back with excess
spread from the SEQUILS interest waterfall in the same or
subsequent pay periods, and any additional interest proceeds are
used to fund the MINCS interest waterfall. Any outstanding SEQUILS
credit swap balance at final maturity is repaid to MGT from the
collateral of the MINCS notes prior to the MINCS notes' paydown.
SLM STUDENT: Fitch Affirms Ratings on Series 2002-7 Notes
---------------------------------------------------------
Fitch Ratings affirms the senior and subordinate student loan
notes at 'AAAsf' and 'BBsf', respectively, issued by SLM Student
Loan Trust series 2002-7. The Rating Outlook remains Stable. Fitch
used its 'Global Structured Finance Rating Criteria', and 'U.S.
FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating
U.S. Federal Family Education Loan Program Student Loan ABS' to
review the ratings.
The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit 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 note.
Fitch has taken these rating actions:
SLM Student Loan Trust, Series 2002-7:
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-7 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-8 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-9 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-10 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-11 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Ratings on Series 2003-1 Notes
---------------------------------------------------------
Fitch Ratings affirms the senior and subordinate student loan
notes at 'AAAsf' and 'BBsf', respectively, issued by SLM Student
Loan Trust series 2003-1. The Rating Outlook remains Stable. Fitch
used its 'Global Structured Finance Rating Criteria', and 'U.S.
FFELP Student Loan ABS Surveillance Criteria', as well as 'Rating
U.S. Federal Family Education Loan Program Student Loan ABS' to
review the ratings.
The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit 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 note.
Fitch has taken these rating actions:
SLM Student Loan Trust, Series 2003-1:
-- Class A-5A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5C affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Series 2003-4 Ratings
------------------------------------------------
Fitch Ratings affirms the senior notes at 'AAAsf' and subordinate
student loan note at 'BBsf' issued by SLM Student Loan Trust
Series 2003-4. The Rating Outlook remains Stable for both senior
and subordinate bonds.
The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit enhancement to cover the
applicable basis factor stress.
Credit enhancement consists of subordination,
overcollateralization, the projected minimum excess spread.
Additionally, the class A notes benefit from subordination
provided by the lower priority notes.
The loans are serviced and originated by SLM Corp. SLM Corp.
provides funds for educational loans, primarily federal guaranteed
student loans originated under the FFELP. SLM Corp. and its
subsidiaries are not sponsored by or agencies of the U.S.
government. Fitch has assigned SLM Corp. long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
SLM Student Loan Trust Series 2003-4:
-- Class A-5A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5C affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5D affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5E affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Series 2003-7 Ratings
------------------------------------------------
Fitch Ratings affirms the senior notes at 'AAAsf' and subordinate
student loan note at 'BBsf' issued by SLM Student Loan Trust
Series 2003-7. The Rating Outlook remains Stable for both senior
and subordinate bonds.
The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit enhancement to cover the
applicable basis factor stress.
Credit enhancement consists of subordination,
overcollateralization, the projected minimum excess spread.
Additionally, the class A notes benefit from subordination
provided by the lower priority notes.
The loans are serviced and originated by SLM Corp. SLM Corp.
provides funds for educational loans, primarily federal guaranteed
student loans originated under the FFELP. SLM Corp. and its
subsidiaries are not sponsored by or agencies of the U.S.
government. Fitch has assigned SLM Corp. long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
SLM Student Loan Trust Series 2003-7:
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Series 2003-14 Ratings
-------------------------------------------------
Fitch Ratings affirms the senior notes at 'AAAsf' and subordinate
student loan note at 'BBsf' issued by SLM Student Loan Trust
Series 2003-14. The Rating Outlook remains Stable for both senior
and subordinate bonds.
The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit enhancement to cover the
applicable basis factor stress.
Credit enhancement consists of subordination,
overcollateralization, the projected minimum excess spread.
Additionally, the class A notes benefit from subordination
provided by the lower priority notes.
The loans are serviced and originated by SLM Corp. SLM Corp.
provides funds for educational loans, primarily federal guaranteed
student loans originated under the FFELP. SLM Corp. and its
subsidiaries are not sponsored by or agencies of the U.S.
government. Fitch has assigned SLM Corp. long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
SLM Student Loan Trust Series 2003-14:
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-7 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Ratings on 2006-7 Notes
--------------------------------------------------
Fitch Ratings affirms the senior student loan-backed notes at
'AAAsf' and affirms the subordinate student loan-backed note at
'BBsf' issued by SLM Student Loan Trust 2006-7. The collateral
supporting the notes is comprised of student loans originated
under the Federal Family Education Loan Program (FFELP). The
Rating Outlook is Stable.
Fitch affirms the ratings on the SLM Student Loan Trust 2006-7
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.
The loans are serviced and originated by SLM Corp. SLM Corp.
provides funds for educational loans, primarily federal guaranteed
student loans originated under the FFELP. SLM Corp. and its
subsidiaries are not sponsored by or are agencies of the U.S.
government. Fitch has assigned SLM Corp. long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
Fitch has taken these rating actions:
SLM Student Loan Trust 2006-7 Student Loan-Backed Notes:
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6C affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Ratings on 2007-4 Notes
--------------------------------------------------
Fitch Ratings affirms the senior student loan-backed notes at
'AAAsf' and affirms the subordinate student loan-backed note at
'BBsf' issued by SLM Student Loan Trust 2007-4. The collateral
supporting the notes is comprised of student loans originated
under the Federal Family Education Loan Program (FFELP). The
Rating Outlook is Stable.
Fitch affirms the ratings on the SLM Student Loan Trust 2007-4
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.
The loans are serviced and originated by SLM Corp. SLM Corp.
provides funds for educational loans, primarily federal guaranteed
student loans originated under the FFELP. SLM Corp. and its
subsidiaries are not sponsored by or are agencies of the U.S.
government. Fitch has assigned SLM Corp. long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
Fitch has taken these rating actions:
SLM Student Loan Trust 2007-4 Student Loan-Backed Notes:
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4A affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4B affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B-1 affirmed at 'BBsf/LS3'; Outlook Stable;
-- Class B-2A affirmed at 'BBsf/LS3'; Outlook Stable;
-- Class B-2B affirmed at 'BBsf/LS3'; Outlook Stable.
SLM STUDENT: Fitch Affirms Ratings on 2007-5 Notes
--------------------------------------------------
Fitch Ratings affirms the senior student loan-backed notes at
'AAAsf' and affirms the subordinate student loan-backed note at
'BBsf' issued by SLM Student Loan Trust 2007-5. The collateral
supporting the notes is comprised of student loans originated
under the Federal Family Education Loan Program (FFELP). The
Rating Outlook is Stable.
Fitch affirms the ratings on the SLM Student Loan Trust 2007-5
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.
The loans are serviced and originated by SLM Corp. SLM Corp.
provides funds for educational loans, primarily federal guaranteed
student loans originated under the FFELP. SLM Corp. and its
subsidiaries are not sponsored by or are agencies of the U.S.
government. Fitch has assigned SLM Corp. long- and short-term
Issuer Default Ratings (IDRs) of 'BBB-' and 'F3', respectively.
Fitch has taken these rating actions:
SLM Student Loan Trust 2007-5 Student Loan-Backed Notes:
-- Class A-2 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-3 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-4 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-5 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class A-6 affirmed at 'AAAsf/LS1'; Outlook Stable;
-- Class B-1 affirmed at 'BBsf/LS3'; Outlook Stable;
-- Class B-2 affirmed at 'BBsf/LS3'; Outlook Stable.
STF FIRST MORTGAGE: Moody's Lowers Ratings of Two Classes of Notes
------------------------------------------------------------------
Moody's Investors Service has downgraded the notes issued by STF
First Mortgage Bond Trust 2006-A and STF First Mortgage Bond Trust
2007-A in two securitizations of church-backed collateral. The
notes are secured by pools of mortgage assets including mortgage
bonds and participation certificates secured primarily by church-
related real property such as church buildings and church
affiliated schools. The transactions were originally sponsored by
Strongtower Financial, Inc. and are being serviced by Reliance
Trust Company of Atlanta, GA. The trustee and remittance report
provider is Bank of New York.
The complete rating action is:
Issuer: STF First Mortgage Bond Trust 2006-A
Class A, Downgraded to B3 (sf); previously on December 7, 2010
Baa2 (sf) on review for downgrade.
Issuer: STF First Mortgage Bond Trust 2007-A
Class A, Downgraded to B3 (sf); previously on March 3, 2011
downgraded to B1 (sf).
RATINGS RATIONALE
The downgrades were prompted by the performance of the underlying
collateral. As of the July 2011 semi-annual reporting date,
approximately 40.8% of the collateral in the STF 2006-A
transaction has defaulted and 48.43% of the collateral in the STF
2007-A transaction has defaulted. Additionally, while the
structure includes non-declining enhancement, there were
substantial obligor concentrations at closing that have since
increased due to defaults and prepayments. Specifically, there are
now 25 obligors for STF 2006-A and 20 obligors for STF 2007-A;
this is down from 31 and 29, respectively, at deal closing. Total
enhancement consisting of the combination of the reserve account
and overcollateralization is approximately 21.33% for the STF
2006-A transaction and 21.96% for the STF 2007-A transaction.
However, given the level of defaults and uncertainty over timing
and amount of recoveries, the effective value of the
overcollateralization is likely much lower.
In addition, please note that the March 3, 2011 press release
accompanying the downgrade of the Class A notes of the STF First
Mortgage Bond Trust 2007-A securitization to B1 (sf) stated, based
on remittance reports provided by the trustee, that the reserve
account for that transaction had been depleted and that there had
been an interest shortfall as of the January 2011 reporting date.
On May 20, 2011, the trustee revised and restated each of the
semi-annual remittance reports issued since deal inception for
both the STF First Mortgage Bond Trust 2006-A and STF First
Mortgage Bond Trust 2007-A securitizations. These revised and
restated remittance reports correct those previously provided to
Moody's and make clear that in fact the reserve account has not
been depleted, and there has been no interest shortfall.
PRINCIPAL METHODOLOGY
The methodology used for these rating actions included a default
analysis of the underlying collateral. The underlying loans and
securities in default were considered on an individual obligor
basis. Moody's then applied various recovery assumptions to the
defaulted collateral at the pool level ranging from 30% to 70%.
The timing of net losses was also considered. With respect to just
the net losses that could arise on the now defaulted collateral,
the losses as a percentage of the total current collateral balance
(i.e. including non-defaulted securities) ranged from 12.24% to
28.56% for STF 2006-A and from 14.53% to 33.9% for STF 2007-A.
Currently, note holders are protected by overcollateralization and
a reserve account totaling approximately 21.33% for STF 2006-A and
21.96% for STF 2007-A.
The range of losses on the defaulted collateral was then evaluated
in the context of the deals' capital structure, which included
credit enhancement provided by the reserve account,
overcollateralization, and excess spread.
Obligor concentration risk is also considered in Moody's analysis.
The largest non-defaulted obligors account for 14.92% of the
current pool balance of STF 2006-A and 18.43% of the current pool
balance of STF 2007-A. The top three largest non-defaulted
obligors account for 44.75% and 54.72%, respectively, of current
pool balance for each of these deals. Depending on recoveries,
there may not be adequate overcollateralization to protect note
holders from loss if just one of these high concentration obligors
defaults.
Primary sources of assumption uncertainty are the general economic
environment, property values and the ability of the underlying
church borrowers to recover from the recession.
Moody's Investors Service did not receive or take into account any
third party due diligence reports on the underlying assets or
financial instruments in this transaction.
STRATFORD CLO: Moody's Upgrades Ratings of Six Classes of CLO
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Stratford CLO Ltd.:
US$417,200,000 Class A-1 Floating Rate Senior Secured Extendable
Notes Due 2021 (current outstanding balance of $379,695,299),
Upgraded to Aaa (sf); previously on June 22, 2011, Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$104,300,000 Class A-2 Floating Rate Senior Secured Extendable
Notes Due 2021, Upgraded to Aa3 (sf); previously on June 22, 2011,
A3 (sf) Placed Under Review for Possible Upgrade;
US$41,300,000 Class B Floating Rate Senior Secured Extendable
Notes Due 2021, Upgraded to A3 (sf); previously on June 22, 2011,
Baa3 (sf) Placed Under Review for Possible Upgrade;
US$37,100,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to Ba1 (sf);
previously on June 22, 2011, Ba3 (sf) Placed Under Review for
Possible Upgrade;
US$16,100,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021, Upgraded to Ba3 (sf);
previously on June 22, 2011, Caa2 (sf) Placed Under Review for
Possible Upgrade; and
US$21,000,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2021 (current outstanding balance of
$15,761,538), Upgraded to B1 (sf); previously on June 22, 2011,
Caa3 (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Moody's adjusted WARF has declined since the rating action in June
2011 due to a decrease in the percentage of securities with
ratings on "Review for Possible Downgrade" or with a "Negative
Outlook".
Moody's also notes that the transaction is exposed to a
significant concentration in mezzanine and junior CLO tranches in
the underlying portfolio, which have experienced an improvement in
their credit quality since the last rating action in June 2011.
Based on the trustee report dated May 31, 2011, CLO securities
currently held in the portfolio total about $47 million,
accounting for approximately 7.12% of the collateral balance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $601.5 million,
defaulted par of $54 million, a weighted average default
probability of 25.95% (implying a WARF of 3262), a weighted
average recovery rate upon default of 47.98%, and a diversity
score of 60. 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.
Stratford CLO Ltd., issued in October 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
June 2011.
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 June 2011.
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. 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) 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.
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 the
worse of reported and covenant values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
THREE CAPITAL: Fitch Takes Various Rating Actions
-------------------------------------------------
Fitch Ratings has taken various actions on all outstanding classes
of the Capital Auto Receivables Asset Trust 2007-1, 2007-3, and
2007-4 transactions.
The upgrades are a result of continued available credit
enhancement in excess of stressed remaining losses. Despite
higher than expected CNL, credit enhancement for the notes
has continued to build as the transactions have amortized.
Furthermore, performance has steadily improved as loss pace
and delinquencies declined. Fitch analyzed the transactions
incorporating the stress of the revised base case CNL assumptions
and the timing of the remaining losses. Based on this analysis,
Fitch concluded that the securities can withstand stress scenarios
consistent with the higher rating categories.
The affirmations reflect loss coverage levels consistent with
current ratings.
Both CARAT 2007-3 and 2007-4 will have the Outlooks on the
subordinate notes revised to Positive from Stable, which reflects
the possibility for positive rating actions in the next 12 to 18
months as losses are tracking inside of initial expectations and
credit support is expected to continue to increase. Fitch will
continue to closely monitor these transactions and may take
additional rating actions in the event of changes in performance
and credit enhancement measures.
Fitch affirms and upgrades these ratings and revises Rating
Outlooks for Capital Auto Receivables Asset Trust 2007-1, 2007-3,
and 2007-4:
Capital Auto Receivables Asset Trust 2007-1:
-- Class A-4a notes at 'AAAsf'; Outlook Stable;
-- Class A-4b notes at 'AAAsf'; Outlook Stable;
-- Class B notes at 'AAAsf'; Outlook Stable;
-- Class C notes to 'AAAsf' from 'AAsf'; Outlook Stable;
-- Class D notes to 'AAsf' from 'Asf'; Outlook Stable.
Capital Auto Receivables Asset Trust 2007-3:
-- Class A-4 notes at 'AAAsf'; Outlook Stable;
-- Class B notes to 'AAAsf' from 'AAsf'; Outlook Stable;
-- Class C notes to 'AAsf' from 'Asf'; Outlook to Positive from
Stable;
-- Class D notes to 'Asf' from 'BBBsf'; Outlook to Positive
from Stable.
Capital Auto Receivables Asset Trust 2007-4:
-- Class A-4 notes at 'AAAsf'; Outlook Stable
-- Class B notes to 'AAsf'from 'Asf'; Outlook to Positive from
Stable;
-- Class C notes to 'Asf' from 'BBBsf'; Outlook to Positive
from Stable;
-- Class D notes to 'BBBsf' from 'BBsf'; Outlook to Positive
from Stable.
TRIMARAN CLO: Moody's Upgrades Ratings of 6 Classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Trimaran CLO VI Ltd.:
US$201,000,000 Class A-1L Floating Rate Notes Due November 2018,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$25,000,000 Class A-1LR Floating Rate Revolving Notes Due
November 2018, Upgraded to Aaa (sf); previously on June 22, 2011
Aa1 (sf) Placed Under Review for Possible Upgrade;
US$16,000,000 Class A-2L Floating Rate Notes Due November 2018,
Upgraded to Aa3 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;
US$19,000,000 Class A-3L Floating Rate Notes Due November 2018,
Upgraded to Baa1(sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$10,000,000 Class B-1L Floating Rate Notes Due November 2018,
Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$12,000,000 Class B-2L Floating Rate Notes Due November 2018,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa2 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $298 million,
defaulted par of $2 million, a weighted average default
probability of 20.34% (implying a WARF of 2680), a weighted
average recovery rate upon default of 49.51%, and a diversity
score of 50. The 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.
Trimaran CLO VI Ltd., issued in August 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new
issue loans or other loans with longer maturities and/or
participate in amend-to-extend offerings. Moody's tested for a
possible extension of the actual weighted average life in its
analysis.
3) 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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, and diversity score.
UNION SQUARE: Moody's Upgrades Ratings of 3 Classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Union Square CDO Ltd.:
US$35,000,000 Class A-2 Floating Rate Notes Due 2015, Upgraded to
Aaa (sf); previously on June 22, 2011, Aa1 (sf) Placed Under
Review for Possible Upgrade;
US$18,750,000 Class B Floating Rate Notes Due 2015, Upgraded to
Aa3 (sf); previously on June 22, 2011, Baa1 (sf) Placed Under
Review for Possible Upgrade;
US$16,000,000 Class C Floating Rate Notes Due 2015, Upgraded to
Ba1 (sf); previously on June 22, 2011, B1 (sf) Placed Under Review
for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of delevering of the senior
notes since the rating action in May 2011. Moody's notes that the
Class A-1 Notes have been paid down by approximately 31% or $24
million since the rating action in May 2011. As a result of the
delevering, the overcollateralization ratios have increased. Based
on the latest trustee report dated July 7, 2011 and the Valuation
Report relating to the July 15, 2011 payment date, the Class A,
Class B and Class C overcollateralization ratios (after adjusting
for pay-down of Class A-1 notes) are reported at 152.99%, 126.31%
and 109.94%, respectively, versus April 2011 levels of 134.79%,
118.28% and 107.09%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $139 million,
defaulted par of $0 million, a weighted average default
probability of 15.27% (implying a WARF of2774), a weighted average
recovery rate upon default of 47.82%, and a diversity score of 32.
The 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.
Union Square CDO Ltd., issued in September 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
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 June 2011.
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. 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.
VINACASA CLO: S&P Raises Rating on Class C Notes to 'BB'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, and C notes from Vinacasa CLO Ltd., a collateralized
loan obligation (CLO) transaction managed by Babson Capital
Management LLC. "At the same time, we removed the ratings from
CreditWatch, where we placed them with positive implications on
May 3, 2011," S&P said.
"The upgrades reflect the improved performance we have observed in
the deal's underlying asset portfolio, as well as a roughly
$194.91 million paydown on the class A-1 note balance. As of the
May 16, 2011, trustee report, the transaction had $3.27 million in
defaulted assets, compared with the $26.61 million noted in the
Feb. 16, 2010 trustee report, which we referenced for our March
2010 rating actions. Additionally, the class A-1 note balance was
paid down to $170.51 million from $365.42 million over the same
time period," S&P related.
The transaction has also benefited from an increase in
overcollateralization (O/C) available to support the rated notes.
The trustee reported these O/C ratios in the May 16, 2011, monthly
report:
The class A-2 O/C ratio was 142.37%, compared with a reported
ratio of 125.66% in February 2010;
The class B O/C ratio was 123.84%, compared with a reported
ratio of 116.72% in February 2010; and
The class C O/C ratio was 112.47%, compared with a reported
ratio of 110.61% in February 2010.
Standard & Poor's will continue to review whether, in its view,
the ratings currently 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
Vinacasa CLO Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) A+ (sf)/Watch Pos
B A+ (sf) BBB (sf)/Watch Pos
C BB (sf) B+ (sf)/Watch Pos
Transaction Information
Issuer: Vinacasa CLO Ltd.
Co-issuer: Vinacasa CLO Inc.
Collateral manager: Babson Capital Management LLC
Underwriter: Citigroup Global Markets Inc.
Trustee: State Street Bank and Trust Co.
Transaction type: Cash flow CLO
WASHINGTON MUTUAL: Fitch Affirms WAMU 2003-C1 Ratings
-----------------------------------------------------
Fitch Ratings has affirmed the ratings for Washington Mutual Asset
Securities Corporation (WAMU) commercial mortgage pass-through
certificates, series 2003-C1.
The affirmations are a result of the pool's stable performance.
Although credit enhancement has improved, the pool is
concentrated. As of the June 2011 distribution date, the pool's
certificate balance has paid down 86.46% to $77.82 million from
$571.87 million at issuance. There are 53 of the original 213
loans remaining in the transaction. The pools concentration
includes 45.58% of the pool balance located in California, and
multifamily representing 74.13%. There are no defeased loans.
Fitch modeled losses of 1.86% of the remaining pool; expected
losses based on the original pool size are 0.32%, which also
reflect losses already incurred to date. Fitch has designated
seven loans (12.68% of the pool balance) as Fitch Loans of Concern
including one specially serviced loan (1.53%). Interest shortfalls
are affecting the unrated class P.
The specially serviced loan (1.53%) is secured by a 15,904 square
foot (sf) multi-tenanted office building in Lynwood, WA. The
property was 97% occupied as of December 2010. The year-end (YE)
December 2010 debt service coverage ratio (DSCR) reported at 1.81
times (x). The loan transferred to special servicing in May 2011
for maturity default. The borrower continues to remit debt service
payments as of the June 2011 payment date.
The largest loan in the pool is secured by Center Pointe Plaza
(18%), a 252,493 sf retail center in Christiana, DE. The June 2011
rent roll reports the property at 96% occupancy. Major tenants
include Home Depot (43.5% of the net rentable area [NRA]), Babies
R' Us (16.6% NRA), and TJ Maxx (11.8% NRA) -- all three of which
have leases expiring in January 2013. The YE December 2010 DSCR
reported at 1.47x.
Fitch affirms these classes and Loss Severity (LS) ratings and
revises Outlooks:
-- $11.0 million class A at 'AAA / LS1'; Outlook Stable;
-- $11.4 million class B at 'AAA / LS4'; Outlook Stable;
-- $2.9 million class C at 'AAA / LS5'; Outlook Stable;
-- $12.9 million class D at 'AAA / LS4'; Outlook Stable;
-- $2.9 million class E at 'AAA / LS5'; Outlook Stable;
-- $4.3 million class F at 'AAA / LS5'; Outlook Stable;
-- $5.7 million class G at 'AAA / LS5'; Outlook Stable;
-- $2.9 million class H at 'AA+ / LS5'; Outlook Stable;
-- $5.7 million class J at 'A / LS5'; Outlook Stable;
-- $4.3 million class K at 'BBB+ / LS5'; Outlook Stable;
-- $1.4 million class L at 'BBB- / LS5'; Outlook to Stable from
Negative;
-- $2.9 million class M at 'BB+ / LS5'; Outlook to Stable from
Negative;
-- $2.9 million class N at 'B+ / LS5'; Outlook to Stable from
Negative;
-- $1.4 million class O at 'B- / LS5'; Outlook to Stable from
Negative.
Class P is not rated by Fitch. Due to realized losses class P has
been reduced to $5.3 million from $5.7 million at issuance.
In addition, Fitch withdraws the rating of the interest-only class
X-1.
WASI FINANCE: Fitch Withdraws Ratings on 10 Classes
---------------------------------------------------
Fitch Ratings has withdrawn the ratings on 10 classes in WASI
Finance Limited Partnership 2006-HES1. The transaction was called
and all notes have been cancelled by the trustee, US Bank, N.A.
Fitch has withdrawn these ratings:
WASI Finance Limited Partnership 2006-HES1
-- Class M-6 (941034AC4) 'CCsf/RR6';
-- Class B-1A (941034AD2) 'Csf/RR6';
-- Class B-1B (941034AE0) 'Csf/RR6';
-- Class B-2 (WSISF9Q70) 'Csf/RR6';
-- Class B-3 (WSIKOYOS0) 'Dsf/RR6';
-- Class B-4A (WSIN6FZK0) 'Dsf/RR6';
-- Class B-4B (WSIR9GGC0) 'Dsf/RR6';
-- Class B-5(WSI9FYH90) 'Dsf/RR6';
-- Class B-6 (WSIF3XMV0) 'Dsf/RR6';
-- Class B-7 (WSISPYWD1) 'Dsf/RR6'.
WAVE SPC: S&P Affirms Ratings on 4 Classes at 'CCC-'
----------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on class
A-1 from Wave SPC's series 2007-1, a U.S. commercial real estate
collateralized debt obligation (CRE CDO) transaction. "At the same
time, we affirmed our 'CCC-(sf)' ratings on four other classes
from the same transaction," S&P related.
The downgrade and affirmations primarily reflect the transaction's
exposure to downgraded underlying commercial mortgage-backed
securities (CMBS) collateral ($752.4 million, 37.6% of the total
asset balance).
"Our analysis of the transaction follows our rating actions on
CMBS that serve as collateral in Wave SPC 2007-1. Standard &
Poor's has downgraded 10 securities from 10 transactions totaling
$752.4 million (37.6% of the total asset balance)," S&P said. Wave
SPC 2007-1 has exposure to the following securities that Standard
& Poor's has downgraded:
Cobalt CMBS Commercial Mortgage Trust 2006-C1 (class A-J;
$98.8 million, 4.9%);
ML-CFC Commercial Mortgage Trust 2007-5 (class A-J;
$94.9 million, 4.7%);
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9
(class A-J; $89.9 million, 4.5%); and
LB-UBS Commercial Mortgage Trust 2006-C7 (class A-J;
$84.0 million, 4.2%).
According to the July 20, 2011, trustee report, the transaction's
current assets included 31 classes ($2.0 billion, 100.0%) of CMBS
pass-through certificates from 31 distinct transactions issued
between 2006 and 2007. All the securities are class A-J tranches
from their CMBS transactions.
"The transaction is currently failing its senior
overcollateralization test according to the July 2011 trustee
report, which we determined will result in sequential principal
payment when such funds are distributed," S&P related.
Standard & Poor's analyzed the transaction and its underlying
assets in accordance with its current criteria. "Our analysis is
consistent with the lowered and affirmed ratings," S&P said.
Rating Lowered
Wave SPC
Series 2007-1
Collateralized debt obligations
Rating
Class To From
A-1 CCC- (sf) B- (sf)
Ratings Affirmed
Wave SPC
Series 2007-1
Collateralized debt obligations
Class Rating
A-2 CCC- (sf)
B CCC- (sf)
C CCC- (sf)
D CCC- (sf)
WG HORIZONS: Moody's Upgrades Ratings of Five Classes of Notes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by WG Horizons CLO I:
US$296,000,000 Class A-1 Floating Rate Notes Due May 24, 2019,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf), Placed
Under Review for Possible Upgrade;
US$24,000,000 Class A-2 Floating Rate Notes Due May 24, 2019,
Upgraded to A1 (sf); previously on June 22, 2011 A2 (sf), Placed
Under Review for Possible Upgrade;
US$21,000,000 Class B Deferrable Floating Rate Notes Due May 24,
2019, Upgraded to A3 (sf); previously on June 22, 2011 Baa2 (sf),
Placed Under Review for Possible Upgrade;
US$16,000,000 Class C Floating Rate Notes Due 2019, Upgraded to
Ba1 (sf); previously on June 22, 2011 Ba3 (sf), Placed Under
Review for Possible Upgrade;
US$12,000,000 Class D Floating Rate Notes Due May 24, 2019,
Upgraded to B1 (sf); previously on June 22, 2011 Caa2 (sf), Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $381.3 million,
defaulted par of $9.1 million, a weighted average default
probability of 19.19% (implying a WARF of 2522), a weighted
average recovery rate upon default of 49.83%, and a diversity
score of 70. The 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.
WG Horizons CLO I, issued on May 24, 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
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 June 2011.
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. 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to
be defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed
defaulted recoveries assuming the lower of the market price and
the recovery rate in order to account for potential volatility
in market prices.
2) 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.
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 the
worse of reported and covenanted values for weighted average
rating factor, weighted average spread, weighted average
coupon, weighted average life, and diversity score. However, as
part of the base case, Moody's considered spread levels higher
than the covenant level due to the large difference between the
reported and covenant level.
WILBRAHAM CBO: Fitch Downgrades 2 Classes of Notes
--------------------------------------------------
Fitch Ratings has downgraded the ratings on two classes of
Wilbraham CBO Ltd./Corp. (Wilbraham CBO) and revised the Recovery
Rating (RR) on one class:
-- $8,753,673 class B-1 notes to 'Dsf/RR6' from 'Csf'/RR6';
-- $29,705,008 class B-2 notes to 'Dsf/RR6' from 'Csf/RR5'.
The transaction entered an Event of Default in July 2011 due to
failure to pay the full periodic interest amount to the senior
most class in the capital structure, the class B-1 and B-
2(collectively, the class B) notes. The class B notes have been
downgraded to 'Dsf' to reflect the default. Currently, the notes
are supported by one performing bond ($0.1 mill.) and two
defaulted bonds ($2.2 mill.).
Fitch's analysis assigned an expected loss assumption for each
asset, and compared the resulting expected return of the portfolio
to the outstanding balances of the notes to determine the notes'
Recovery Ratings. The class B notes balance of $38.5 million is
not sufficiently covered by the expected return of $0.2 million
from the performing and defaulted bonds. This review did not
utilize Fitch's Portfolio Credit Model (PCM) or Global Cash Flow
model, which incorporates interest rate stresses and default
timings, given the 12 months remaining until maturity and the high
obligor concentration of the portfolio.
Fitch expects the class B notes to recover 0% to 10% of their
current principal balances, consistent with an 'RR6' on Fitch's
Recovery Rating scale. Recovery Ratings are designed to provide a
forward-looking estimate of recoveries on currently distressed or
defaulted structured finance securities. Distressed securities are
defined as bonds that face a real possibility of default at or
prior to maturity and by definition are rated 'CCC' or below. For
further detail on Recovery Ratings, please see Fitch's report
'Global Rating Criteria for Corporate CDOs'.
Wilbraham CBO is a cash flow collateralized debt obligation (CDO)
that closed on July 13, 2000. The portfolio of Wilbraham CBO was
originally selected and monitored by Babson Capital Management
LLC. The transactions stated maturity date is July 13, 2012.
WHITEHORSE I: Moody's Upgrades Ratings of 3 Classes of CLO Notes
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by WhiteHorse I Ltd.:
US$14,000,000 Class A-2L Floating Rate Notes Due 2016, Upgraded to
Aaa (sf); previously on June 22, 2011 A1 (sf) Placed Under Review
for Possible Upgrade;
US$10,000,000 Class A-3L Floating Rate Notes Due 2016, Upgraded to
A2 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review
for Possible Upgrade;
US$5,000,000 Class B-1L Floating Rate Notes Due 2016, Upgraded to
Ba1 (sf); previously on June 22, 2011 Ba3 (sf) Placed Under Review
for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios due to delevering of
the senior notes since the rating action in March 2011. Moody's
notes that the Class A-1LA Notes have been paid down from
approximately $44 million to approximately $22 million. As a
result of the delevering, the overcollateralization ratios have
increased. Based on the latest trustee report dated July 6, 2011,
the Senior Class A, Class A, and Class B-1L overcollateralization
ratios are reported at 135.16%, 117.39%, and 110.15%,
respectively, versus February 2011 levels of 126.24%, 113.39%, and
107.90%, respectively.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the July 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 10.6% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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
$88 million, defaulted par of $5.3 million, a weighted average
default probability of 16.1% (implying a WARF of 2700), a weighted
average recovery rate upon default of 48.4%, and a diversity score
of 36. 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.
WhiteHorse I Ltd., issued in July 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
June 2011.
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 June 2011.
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
2016 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.
WHITEHORSE II: Moody's Lifts Rating on Class B-1L Notes From Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded these notes issued by
Whitehorse II Ltd.:
US$25,000,000 Class A-2L Floating Rate Notes Due June 2017
(current outstanding balance of $21,000,000), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;
US$15,500,000 Class A-3L Floating Rate Notes Due June 2017,
Upgraded to Aa1 (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade; and
US$12,750,000 Class B-1L Floating Rate Notes Due June 2017,
Upgraded to Baa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, 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 $216 million,
defaulted par of $0, a weighted average default probability of
17.94% (implying a WARF of 2,770), a weighted average recovery
rate upon default of 50.48%, and a diversity score of 57. The
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.
Whitehorse II, Ltd., issued in November 2005, 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
June 2011.
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 June 2011.
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. 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
occur and at what pace after the deal enters the amortization
phase. 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) 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.
3) 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.
* Fitch Takes Various Rating Actions on 19 SF CDOs
-------------------------------------------------
Fitch Ratings has downgraded 15 classes, affirmed 92 classes and
withdrawn the short-term rating on one class of notes from 19
structured finance collateralized debt obligations (SF CDOs) with
exposure to various structured finance assets.
The rating action spreadsheet, titled 'Fitch Takes Various Rating
Actions on 19 SF CDOs', dated July 20, 2011, details the
individual rating actions for each rated CDO. It can be found on
Fitch's website at 'www.fitchratings.com' by performing a title
search.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. None of the reviewed
transactions have been analyzed within a cash flow model
framework, as the impact of structural features and excess spread,
or conversely, principal proceeds being used to pay CDO
liabilities and hedge payments, was determined to be minimal in
the context of these CDO ratings.
For transactions where expected losses from distressed and
defaulted assets in the portfolio (rated 'CCsf' and lower) already
significantly exceed the credit enhancement (CE) level of the most
senior class of notes, Fitch believes that the probability of
default for all classes of notes can be evaluated without
factoring potential further losses from the remaining portion of
the portfolios. Therefore, these transactions were not modeled
using the Structured Finance Portfolio Credit Model (SF PCM).
For four transactions where expected losses from distressed assets
did not significantly exceed the credit enhancement (CE) level of
the senior class of notes, Fitch used SF PCM to project future
losses from the transaction's entire portfolio and compared credit
enhancement of the classes to those loss rates.
The one class affirmed at 'CCCsf' has CE comparable to the 'CCC'
rating loss rate (RLR) projected by SF PCM. The portfolio is
generating excess spread, which is being used to amortize the
notes in addition to principal collections. However, the amount is
marginal and would not provide for additional protection required
to withstand the RLR at a higher rating level. Therefore, Fitch
did not perform cash flow model analysis for this transaction.
The one class downgraded to 'CCsf' and four classes affirmed at
'CCsf' have sufficient CE to withstand the expected losses from
distressed and defaulted assets in the portfolios, but are not
expected to be able to absorb losses at the respective 'CCC' RLRs.
Fitch believes default appears probable for these classes at or
prior to maturity.
The three classes downgraded to 'Csf' and 82 classes affirmed at
'Csf' are notes whose CE levels are significantly below their
portfolio's expected loss amounts from distressed and defaulted
assets. Due to the extent of distress in these portfolios, Fitch
believes default continues to appear inevitable for these classes.
The 11 classes downgraded to 'Dsf' and five classes affirmed at
'Dsf' are non-deferrable classes that have and are expected to
continue to experience interest payment shortfalls, or are notes
that have experienced write downs.
The short-term rating of the class A-1MM notes of Commodore CDO
II, Ltd./Corp. is dependent on the short-term rating of the put
provider, AIG, and is withdrawn following the withdrawal of the
short-term rating of AIG by Fitch.
Fitch does not assign Rating Outlooks and Loss Severity (LS)
ratings to classes rated in the 'CCC' and lower categories.
* S&P Lowers Ratings on 424 Classes of Mortgage Certs. to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 424 classes of mortgage pass-through certificates from 280 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1998 and 2009.
The complete rating list is accessible for free at:
http://bankrupt.com/misc/S&P_0726_RMBSRatings.pdf
Approximately 75.71% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or prime jumbo
mortgage loan collateral. The 424 defaulted classes comprised:
233 classes from Alt-A transactions (54.95% of all defaults);
88 from prime jumbo transactions (20.75%);
77 from subprime transactions (18.16%);
16 from risk transfer transactions;
Three from reperforming transactions;
Three from outside-the-guidelines transactions;
Two from an RMBS small balance commercial transactions;
One from a resecuritized real estate mortgage investment
conduit (re-REMIC) transaction; and
One from a document deficient transaction
"The 424 downgrades to 'D (sf)' reflect our assessment of
principal write-downs on the affected classes during recent
remittance periods. Nine of the downgraded classes are bond-
insured by Ambac Assurance Corp. (Ambac) (currently not rated),"
S&P related.
"We had rated all of the classes 'CC (sf)' or 'CCC (sf)' before
the downgrades," S&P said.
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.
* S&P Lowers Ratings on 2,383 Classes from 233 RMBS Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 2,383
classes from 233 U.S. residential mortgage-backed securities
(RMBS) transactions backed by prime jumbo mortgage loans issued in
2005-2007, and removed 1,461 of them from CreditWatch with
negative implications. "In addition, we affirmed our ratings on
556 classes from 124 of the transactions with lowered ratings and
five additional transactions, and removed 243 of them from
CreditWatch negative. We also withdrew our ratings on 42 interest-
only (IO) classes and 8 additional classes that have been paid in
full from 30 transactions," S&P related.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_RMBS_Ratings_7_22_11.pdf
"The downgrades reflect our opinion that the projected credit
enhancement available for the affected classes is insufficient to
maintain the previous ratings, given our current projected
losses," S&P explained.
"The affirmations reflect our belief that the amount of projected
credit enhancement available for these classes is sufficient to
cover projected losses associated with these rating levels," S&P
related.
"We withdrew our ratings on 42 IO classes using our IO criteria,
which states that we will withdraw a rating on an IO class if we
lower the rating of the referenced class below the applicable
rating threshold. We withdrew our ratings on 8 additional classes
because they have been paid in full," S&P said.
"To assess the creditworthiness of each class, we reviewed the
respective transaction's ability to withstand additional credit
deterioration and the effect that projected losses will have on
each class. These deals were reviewed with updated loss
projections and updated structure level loss severities where
applicable, using observed liquidation data from the past 12
months (see 'Transaction-Specific Lifetime Loss Projections For
Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007',
on June 27, 2011). 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," S&P related.
"To maintain a '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 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 remaining base-case loss
assumptions to maintain a 'BB' rating. However, to maintain a
'BBB' rating, we would assess whether a different class could
withstand approximately 155% of our remaining base-case loss
assumptions," S&P said.
Subordination provides credit support for the affected
transactions. The underlying collateral for these deals comprises
fixed- and adjustable-rate U.S. prime jumbo mortgage loans secured
by first liens on one- to four-family residential properties.
* S&P Puts 271 Ratings on Watch Neg Due to Interest Shortfalls
--------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 271
classes from 154 U.S. residential mortgage-backed securities
(RMBS) transactions on CreditWatch with negative implications. In
addition, its ratings on 122 other classes from 59 of these
transactions remain on CreditWatch negative.
The CreditWatch placements follow a review of 205 RMBS
transactions and reflect current observed interest shortfalls. The
interest shortfalls varied in size, cause, and recoverability. The
shortfalls varied from as low as a few basis points of the
outstanding principal balance to several debt service payments.
Reported shortfalls may have resulted from loan modifications,
servicer reimbursements, insufficient servicer advances, and
undercollateralization, among other credit-related causes, as well
as noncredit-related basis risk or net prepayment interest
shortfalls. Table 1 shows the rating distribution of the classes
impacted by the shortfalls.
Table 1
Rating No. of classes
AAA 87
AA+ 21
AA 48
AA- 12
A+ 10
A 27
A- 11
BBB+ 11
BBB 32
BBB- 12
BB+ 16
BB 12
BB- 12
B+ 7
B 31
B- 44
"Over the next several months, we plan to evaluate the nature of
the interest shortfalls and resolve the CreditWatch placements. We
will also take any rating actions that we consider appropriate
based on our criteria, including the possibility of lowering some
ratings to 'D'," S&P related.
Rating Actions
C-BASS Mortgage Loan Asset Backed Certificates Series 2002-CB5
Series 2002-CB5
Rating
Class CUSIP To From
M-1 12489WFS8 AA- (sf)/Watch Neg AA- (sf)
M-2 12489WFT6 B- (sf)/Watch Neg B- (sf)
AAA Trust 2007-2
Series 2007-2
Rating
Class CUSIP To From
A-1 000292AA0 AA+ (sf)/Watch Neg AA+ (sf)
Aames Mortgage Trust 2001-3
Series 2001-3
Rating
Class CUSIP To From
M-1 00253CHB6 B- (sf)/Watch Neg B- (sf)
Accredited Mortgage Loan Trust 2002-2
Series 2002-2
Rating
Class CUSIP To From
A-2 004375AH4 AA- (sf)/Watch Neg AA- (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2003-HE1
Series 2003-HE1
Rating
Class CUSIP To From
M-1 004421DA8 AA (sf)/Watch Neg AA (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2003-HS1
Series 2003-HS1
Rating
Class CUSIP To From
M-2 004421CG6 AA (sf)/Watch Neg AA (sf)
M-3 004421CH4 BBB (sf)/Watch Neg BBB (sf)
M-4 004421CJ0 B (sf)/Watch Neg B (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1
Series 2004-HE1
Rating
Class CUSIP To From
M-1 004421EL3 AAA (sf)/Watch Neg AAA (sf)
M-2 004421EM1 A- (sf)/Watch Neg A- (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2004-HS1
Series 2004-HS1
Rating
Class CUSIP To From
M-1 004421EA7 BB- (sf)/Watch Neg BB- (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2004-IN1
Series 2004-IN1
Rating
Class CUSIP To From
M-1 004421FG3 AA+ (sf)/Watch Neg AA+ (sf)
M-2 004421FH1 BB- (sf)/Watch Neg BB- (sf)
M-3 004421FJ7 B- (sf)/Watch Neg B- (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2005-RM2
Series 2005-RM2
Rating
Class CUSIP To From
M-2 004421NU3 AA (sf)/Watch Neg AA (sf)
M-3 004421NV1 AA (sf)/Watch Neg AA (sf)
M-4 004421NW9 BB+ (sf)/Watch Neg BB+ (sf)
ACE Securities Corp. Home Equity Loan Trust Series 2005-SD2
Series 2005-SD2
Rating
Class CUSIP To From
M-1 004421QE6 AA (sf)/Watch Neg AA (sf)
M-2 004421QF3 A (sf)/Watch Neg A (sf)
M-3 004421QG1 B (sf)/Watch Neg B (sf)
Alternative Loan Trust 2004-33
Series 2004-33
Rating
Class CUSIP To From
2-A-1 12667FA39 AA- (sf)/Watch Neg AA- (sf)
American Home Mortgage Investment Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
IV-A 02660TAR4 AAA (sf)/Watch Neg AAA (sf)
IV-M-1 02660TAS2 BB- (sf)/Watch Neg BB- (sf)
IV-M-2 02660TAT0 B- (sf)/Watch Neg B- (sf)
Ameriquest Mortgage Securities Inc.
Series 2001-2
Rating
Class CUSIP To From
M-3 03072SBE4 BB- (sf)/Watch Neg BB- (sf)
Ameriquest Mortgage Securities Inc.
Series 2003-AR1
Rating
Class CUSIP To From
M-3 03072SEL5 BBB (sf)/Watch Neg BBB (sf)
Ameriquest Mortgage Securities Inc.
Series 2003-AR3
Rating
Class CUSIP To From
M-5 03072SHK4 B+ (sf)/Watch Neg B+ (sf)
Ameriquest Mortgage Securities Inc.
Series 2004-FR1
Rating
Class CUSIP To From
M-6 03072SQW8 B- (sf)/Watch Neg B- (sf)
Ameriquest Mortgage Securities Inc.
Series 2004-IA1
Rating
Class CUSIP To From
M-2 03072SVC6 AA- (sf)/Watch Neg AA- (sf)
M-3 03072SVD4 BB+ (sf)/Watch Neg BB+ (sf)
Amortizing Residential Collateral Trust 2002-BC5
Series 2002-BC5
Rating
Class CUSIP To From
M1 86358RZ67 AA (sf)/Watch Neg AA (sf)
Amresco Residential Securities Corp Mtg Loan Trust 1997-3
Series 1997-3
Rating
Class CUSIP To From
A-8 03215PCV9 AAA (sf)/Watch Neg AAA (sf)
A-9 03215PCW7 AAA (sf)/Watch Neg AAA (sf)
M-1A 03215PDD8 AAA (sf)/Watch Neg AAA (sf)
M-2F 03215PCZ0 BB+ (sf)/Watch Neg BB+ (sf)
M-1F 03215PCY3 AA+ (sf)/Watch Neg AA+ (sf)
AMRESCO Residential Securities Corp. Mortgage Loan Trust 1999-1
Series 1999-1
Rating
Class CUSIP To From
A 03215PFN4 AAA (sf)/Watch Neg AAA (sf)
Argent Securities Inc.
Series 2003-W2
Rating
Class CUSIP To From
M-3 040104AN1 A- (sf)/Watch Neg A- (sf)
M-4 040104AP6 BBB+ (sf)/Watch Neg BBB+ (sf)
M-5 040104AQ4 BBB (sf)/Watch Neg BBB (sf)
Argent Securities Inc.
Series 2004-W11
Rating
Class CUSIP To From
M-2 040104MF5 AA+ (sf)/Watch Neg AA+ (sf)
M-3 040104MG3 BBB+ (sf)/Watch Neg BBB+ (sf)
M-4 040104MJ7 B (sf)/Watch Neg B (sf)
ASG Resecuritization Trust 2010-4
Series 2010-4
Rating
Class CUSIP To From
2-G23 00190UAX1 BB (sf)/Watch Neg BB (sf)
2-A26 00190UBE2 B (sf)/Watch Neg B (sf)
2-A23 00190UBD4 BB (sf)/Watch Neg BB (sf)
2-G26 00190UAY9 B (sf)/Watch Neg B (sf)
Asset Backed Securities Corporation Home Equity Loan Trust Series
2003-HE4
Series 2003-HE4
Rating
Class CUSIP To From
M2 04541GEV0 B- (sf)/Watch Neg B- (sf)
Asset Repackaging Vehicle Ltd.
Series 2009-2
Rating
Class CUSIP To From
B BB (sf)/Watch Neg BB (sf)
Bayview Commercial Asset Trust 2004-2
Series 2004-2
Rating
Class CUSIP To From
A 07324SAR3 AAA (sf)/Watch Neg AAA (sf)
M-1 07324SAS1 AA (sf)/Watch Neg AA (sf)
M-2 07324SAT9 BBB (sf)/Watch Neg BBB (sf)
B-1 07324SAU6 B (sf)/Watch Neg B (sf)
B-2 07324SAV4 B (sf)/Watch Neg B (sf)
Bayview Commercial Asset Trust 2004-3
Series 2004-3
Rating
Class CUSIP To From
M-2 07324SBA9 A (sf)/Watch Neg A (sf)
B-1 07324SBB7 BBB+ (sf)/Watch Neg BBB+ (sf)
B-2 07324SBC5 BBB+ (sf)/Watch Neg BBB+ (sf)
Bayview Commercial Asset Trust 2007-5
Series 2007-5
Rating
Class CUSIP To From
A-4 07325WAE2 B (sf)/Watch Neg B (sf)
Bayview Commercial Asset Trust 2008-1
Series 2008-1
Rating
Class CUSIP To From
M-1 07324AAG6 BB (sf)/Watch Neg BB (sf)
M-2 07324AAH4 B (sf)/Watch Neg B (sf)
Bayview Commercial Asset Trust 2008-2
Series 2008-2
Rating
Class CUSIP To From
A-2 07326HAE4 BBB (sf)/Watch Neg BBB (sf)
A-4A 07326HAJ3 BBB (sf)/Watch Neg BBB (sf)
Bayview Commercial Asset Trust 2008-3
Series 2008-3
Rating
Class CUSIP To From
A-2 07326JAD2 A (sf)/Watch Neg A (sf)
A-3 07326JAE0 BBB (sf)/Watch Neg BBB (sf)
A-4 07326JAF7 BBB (sf)/Watch Neg BBB (sf)
Bayview Commercial Asset Trust 2008-4
Series 2008-4
Rating
Class CUSIP To From
M-3 07326KAH0 BBB (sf)/Watch Neg BBB (sf)
Bayview Financial Mortgage Pass-Through Trust 2007-B
Series 2007-B
Rating
Class CUSIP To From
2-A2 07324FAH3 B- (sf)/Watch Neg B- (sf)
BCAP LLC 2009-RR11 Trust
Series 2009-RR11
Rating
Class CUSIP To From
VI-A1 05532FAN2 AAA (sf)/Watch Neg AAA (sf)
BCAP LLC 2009-RR6-II Trust
Series 2009-RR6-II
Rating
Class CUSIP To From
II-A1 05531YAC6 AAA (sf)/Watch Neg AAA (sf)
BCAP LLC 2010-RR1 Trust
Series 2010-RR1
Rating
Class CUSIP To From
I-A1 05532TAA0 AA (sf)/Watch Neg AA (sf)
X-A7 05532TEF5 BBB (sf)/Watch Neg BBB (sf)
X-A11 05532TEK4 BBB (sf)/Watch Neg BBB (sf)
X-A9 05532TEH1 AA (sf)/Watch Neg AA (sf)
X-A1 05532TDZ2 AAA (sf)/Watch Neg AAA (sf)
X-A8 05532TEG3 BBB (sf)/Watch Neg BBB (sf)
X-A10 05532TEJ7 A (sf)/Watch Neg A (sf)
BCAP LLC 2010-RR4-II Trust
Series 2010-RR4-II
Rating
Class CUSIP To From
XII-A8 05532XFG3 BBB (sf)/Watch Neg BBB (sf)
BCAP LLC 2010-RR5-I Trust
Series 2010-RR5-I
Rating
Class CUSIP To From
III-A3 05532UAV1 AAA (sf)/Watch Neg AAA (sf)
BCAP LLC 2010-RR6 Trust
Series 2010-RR6
Rating
Class CUSIP To From
2A1 05533CAX6 AAA (sf)/Watch Neg AAA (sf)
2A2 05533CAY4 AA (sf)/Watch Neg AA (sf)
2A3 05533CAZ1 A (sf)/Watch Neg A (sf)
2A4 05533CBA5 BBB (sf)/Watch Neg BBB (sf)
19A1 05533CLG1 AAA (sf)/Watch Neg AAA (sf)
19A2 05533CLH9 AA (sf)/Watch Neg AA (sf)
19A3 05533CLJ5 A (sf)/Watch Neg A (sf)
19A4 05533CLK2 BBB (sf)/Watch Neg BBB (sf)
23A1 05533CNN4 AAA (sf)/Watch Neg AAA (sf)
23A2 05533CNP9 AA (sf)/Watch Neg AA (sf)
23A3 05533CNQ7 A (sf)/Watch Neg A (sf)
23A4 05533CNR5 BBB (sf)/Watch Neg BBB (sf)
Bear Stearns ALT-A Trust 2004-12
Series 2004-12
Rating
Class CUSIP To From
II-A-1 07386HPD7 A (sf)/Watch Neg A (sf)
Bear Stearns ALT-A Trust 2004-7
Series 2004-7
Rating
Class CUSIP To From
I-A-1 07386HKJ9 AAA (sf)/Watch Neg AAA (sf)
B-1 07386HKP5 BBB- (sf)/Watch Neg BBB- (sf)
Bear Stearns ALT-A Trust 2004-8
Series 2004-8
Rating
Class CUSIP To From
M-1 07386HKU4 BB- (sf)/Watch Neg BB- (sf)
Bear Stearns Asset Backed Securities I Trust 2004-HE4
Series 2004-HE4
Rating
Class CUSIP To From
M-2 073879BA5 BBB+ (sf)/Watch Neg BBB+ (sf)
Bear Stearns Asset Backed Securities Trust 2001-3
Series 2001-3
Rating
Class CUSIP To From
M-1 07384YBQ8 B (sf)/Watch Neg B (sf)
Bear Stearns Asset Backed Securities Trust 2003-AC6
Series 2003-AC6
Rating
Class CUSIP To From
M-1 07384YNJ1 AA (sf)/Watch Neg AA (sf)
Bear Stearns Asset Backed Securities Trust 2003-AC7
Series 2003-AC7
Rating
Class CUSIP To From
A-3 07384YPK6 AAA (sf)/Watch Neg AAA (sf)
Bear Stearns Asset Backed Securities Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
M-1 07388GAD3 B (sf)/Watch Neg B (sf)
Carrington Mortgage Loan Trust Series 2004-NC2
Series 2004-NC2
Rating
Class CUSIP To From
M-1 144531AQ3 AA (sf)/Watch Neg AA (sf)
CDC Mortgage Capital Trust 2003-HE1
Series 2003-HE1
Rating
Class CUSIP To From
M-1 12506YAY5 AA (sf)/Watch Neg AA (sf)
M-2 12506YAZ2 B (sf)/Watch Neg B (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2001-26
Rating
Class CUSIP To From
D-B-1 22540VFZ0 AAA (sf)/Watch Neg AAA (sf)
D-B-2 22540VGA4 AAA (sf)/Watch Neg AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2002-10
Rating
Class CUSIP To From
II-B-1 22540VR20 BBB- (sf)/Watch Neg BBB- (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR5
Rating
Class CUSIP To From
III-M-1 22541NB99 AA+ (sf)/Watch Neg AA+ (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR12
Rating
Class CUSIP To From
IV-M-1 22541N5C9 AA (sf)/Watch Neg AA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-AR18
Rating
Class CUSIP To From
IV-M-2 22541QFH0 A+ (sf)/Watch Neg A+ (sf)
IV-M-3 22541QKK7 A- (sf)/Watch Neg A- (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-27
Rating
Class CUSIP To From
VIII-A-1 22541QQ39 AAA (sf)/Watch Neg AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR1
Rating
Class CUSIP To From
VI-M-1 22541Q5A6 AA+ (sf)/Watch Neg AA+ (sf)
CSFB ABS Trust Series 2001-HE30
Series 2001-HE30
Rating
Class CUSIP To From
M-F-1 22540VMK5 BBB+ (sf)/Watch Neg BBB+ (sf)
CSFB Mortgage-Backed Trust Series 2002-34
Series 2002-34
Rating
Class CUSIP To From
D-B-2 2254W0EZ4 BBB (sf)/Watch Neg BBB (sf)
CWABS Inc.
Series 2001-BC3
Rating
Class CUSIP To From
A 126671NA0 B- (sf)/Watch Neg B- (sf)
CWABS Inc.
Series 2002-BC2
Rating
Class CUSIP To From
A 126671PY6 B- (sf)/Watch Neg B- (sf)
CWABS Inc.
Series 2004-BC2
Rating
Class CUSIP To From
M-4 1266713M6 B+ (sf)/Watch Neg B+ (sf)
Delta Funding Home Equity Loan Trust 1997-2
Series 1997-2
Rating
Class CUSIP To From
A-7 24763LBP4 AAA (sf)/Watch Neg AAA (sf)
Delta Funding Home Equity Loan Trust 1998-1
Series 1998-1
Rating
Class CUSIP To From
A-5F 24763LDB3 B (sf)/Watch Neg B (sf)
A-6F 24763LDC1 B (sf)/Watch Neg B (sf)
Delta Funding Home Equity Loan Trust 1999-2
Series 1999-2
Rating
Class CUSIP To From
A-6F 24763LFM7 AAA (sf)/Watch Neg AAA (sf)
Delta Funding Home Equity Loan Trust 1999-3
Series 1999-3
Rating
Class CUSIP To From
A-1F 24763LFU9 AAA (sf)/Watch Neg AAA (sf)
A-2F 24763LFV7 AAA (sf)/Watch Neg AAA (sf)
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-3
Series 2004-3
Rating
Class CUSIP To From
II-MR-3 251563EH1 BBB+ (sf)/Watch Neg BBB+ (sf)
Deutsche Mortgage Securities Inc REMIC Trust Certificates Series
2008-RS4
Series 2008-RS4
Rating
Class CUSIP To From
1-A-1 25158CAA8 AAA (sf)/Watch Neg AAA (sf)
Deutsche Mortgage Securities Inc. Mortgage Loan Resecuritization
Trust Series
2009-RS2
Series 2009-RS2
Rating
Class CUSIP To From
IV-A-2 25158EBC9 AAA (sf)/Watch Neg AAA (sf)
IV-A-1 25158EBB1 AAA (sf)/Watch Neg AAA (sf)
DLJ ABS Trust Series 2000-5
Series 2000-5
Rating
Class CUSIP To From
A-1 23323CBW4 AAA (sf)/Watch Neg AAA (sf)
A-2 23323CBX2 AAA (sf)/Watch Neg AAA (sf)
A-3 23323CBY0 AAA (sf)/Watch Neg AAA (sf)
M-1 23323CCA1 BBB (sf)/Watch Neg BBB (sf)
EMC Mortgage Loan Trust 2003-A
Series 2003-A
Rating
Class CUSIP To From
M-2 268668BY5 B (sf)/Watch Neg B (sf)
EMC Mortgage Loan Trust 2004-A
Series 2004-A
Rating
Class CUSIP To From
M-1 268668DD9 B (sf)/Watch Neg B (sf)
EMC Mortgage Loan Trust 2005-A
Series 2005-A
Rating
Class CUSIP To From
A 268668EK2 B+ (sf)/Watch Neg B+ (sf)
First Franklin Mortgage Loan Trust 2001-FF2
Series 2001-FF2
Rating
Class CUSIP To From
M-1 32027NAK7 B- (sf)/Watch Neg B- (sf)
First Franklin Mortgage Loan Trust 2002-FF4
Series 2002-FF4
Rating
Class CUSIP To From
M-1 32027NBU4 B- (sf)/Watch Neg B- (sf)
First Franklin Mortgage Loan Trust 2003-FF5
Series 2003-FF5
Rating
Class CUSIP To From
M-1 32027NFD8 AA (sf)/Watch Neg AA (sf)
First Franklin Mortgage Loan Trust 2003-FFH2
Series 2003-FFH2
Rating
Class CUSIP To From
M-1A 32027NES6 B (sf)/Watch Neg B (sf)
M-1B 32027NET4 B (sf)/Watch Neg B (sf)
FNT Trust Series 2000-1
Series 2000-1
Rating
Class CUSIP To From
II-B-1 23321P7J1 AAA (sf)/Watch Neg AAA (sf)
II-B-2 23321P7K8 AA (sf)/Watch Neg AA (sf)
Fremont Home Loan Trust 2002-1
Series 2002-1
Rating
Class CUSIP To From
M-1 35729PAC4 B+ (sf)/Watch Neg B+ (sf)
GSAA Home Equity Trust 2004-9
Series 2004-9
Rating
Class CUSIP To From
M-5 36242DJG9 A- (sf)/Watch Neg A- (sf)
B-1 36242DJK0 B- (sf)/Watch Neg B- (sf)
GSAA Home Equity Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
B-1 36242DTU7 A (sf)/Watch Neg A (sf)
GSAMP Trust 2002-NC1
Series 2002-NC1
Rating
Class CUSIP To From
M-1 36228FEW2 B- (sf)/Watch Neg B- (sf)
GSAMP Trust 2004-SD1
Series 2004-SD1
Rating
Class CUSIP To From
M-1 36242DAX1 AA (sf)/Watch Neg AA (sf)
M-2 36242DAY9 A (sf)/Watch Neg A (sf)
GSMPS Mortgage Loan Trust 2005-RP2
Series 2005-RP2
Rating
Class CUSIP To From
B1 36242DU43 AA- (sf)/Watch Neg AA- (sf)
B2 36242DU50 B- (sf)/Watch Neg B- (sf)
GSRPM Mortgage Loan Trust 2003-2
Series 2003-2
Rating
Class CUSIP To From
M-2 36228FWK8 B (sf)/Watch Neg B (sf)
Harborview Mortgage Loan Trust 2004-6
Series 2004-6
Rating
Class CUSIP To From
3-A-1 41161PFR9 AAA (sf)/Watch Neg AAA (sf)
3-A-2A 41161PFS7 AAA (sf)/Watch Neg AAA (sf)
3-A-2B 41161PFT5 AAA (sf)/Watch Neg AAA (sf)
CSFB Home Equity Asset Trust 2002-2
Series 2002-2
Rating
Class CUSIP To From
M-1 22541NCU1 BB+ (sf)/Watch Neg BB+ (sf)
Home Equity Loan Trust 2002-HS3
Series 2002-HS3
Rating
Class CUSIP To From
A-I-6 76110VKS6 BBB (sf)/Watch Neg BBB (sf)
Home Equity Loan Trust 2004-HS1
Series 2004-HS1
Rating
Class CUSIP To From
A-I-4 76110VQA9 BBB+ (sf)/Watch Neg BBB+ (sf)
Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2003-A
Series SPMD2003-A
Rating
Class CUSIP To From
MV-1 456606EC2 B- (sf)/Watch Neg B- (sf)
HSI Asset Securitization Corporation Trust 2005-OPT1
Series 2005-OPT1
Rating
Class CUSIP To From
M-1 40430HCA4 B- (sf)/Watch Neg B- (sf)
IndyMac INDX Mortgage Loan Trust 2004-AR11
Series 2004-11
Rating
Class CUSIP To From
1-A 45660N6Q3 BBB- (sf)/Watch Neg BBB- (sf)
Irwin Whole Loan Home Equity Trust 2005-C
Series 2005-C
Rating
Class CUSIP To From
2M-4 464187DS9 BBB- (sf)/Watch Neg BBB- (sf)
2B-1 464187DT7 BB+ (sf)/Watch Neg BB+ (sf)
Jefferies Resecuritization Trust 2009-R10
Series 2009-R10
Rating
Class CUSIP To From
1-A3 47233EAC3 AAA (sf)/Watch Neg AAA (sf)
1-A4 47233EAD1 BB (sf)/Watch Neg BB (sf)
1-A5 47233EAE9 B- (sf)/Watch Neg B- (sf)
Jefferies Resecuritization Trust 2009-R5
Series 2009-R5
Rating
Class CUSIP To From
13-A3 47232DCW0 BBB (sf)/Watch Neg BBB (sf)
13-A2 47232DCV2 A (sf)/Watch Neg A (sf)
13-A1 47232DCU4 AAA (sf)/Watch Neg AAA (sf)
Jefferies Resecuritization Trust 2010-R3
Series 2010-R3
Rating
Class CUSIP To From
1-A1 47233MAA9 AA (sf)/Watch Neg AA (sf)
JPMorgan Mortgage Trust 2004-S1
Series 2004-S1
Rating
Class CUSIP To From
C-B-1 466247FJ7 BB- (sf)/Watch Neg BB- (sf)
MASTR Adjustable Rate Mortgages Trust 2002-3
Series 2002-3
Rating
Class CUSIP To From
B-1 576433BQ8 B (sf)/Watch Neg B (sf)
MASTR Adjustable Rate Mortgages Trust 2004-2
Series 2004-2
Rating
Class CUSIP To From
M-3 576433KA3 AA- (sf)/Watch Neg AA- (sf)
B 576433KH8 B- (sf)/Watch Neg B- (sf)
MASTR Asset Backed Securities Trust 2003-OPT2
Series 2003-OPT2
Rating
Class CUSIP To From
M-2 57643LBG0 A (sf)/Watch Neg A (sf)
M-3 57643LBH8 BBB+ (sf)/Watch Neg BBB+ (sf)
M-4 57643LBJ4 BB- (sf)/Watch Neg BB- (sf)
MASTR Asset Backed Securities Trust 2004-FRE1
Series 2004-FRE1
Rating
Class CUSIP To From
M-4 57643LDX1 A+ (sf)/Watch Neg A+ (sf)
M-5 57643LDY9 A (sf)/Watch Neg A (sf)
M-6 57643LDZ6 A- (sf)/Watch Neg A- (sf)
M-7 57643LEA0 BBB (sf)/Watch Neg BBB (sf)
MASTR Asset Backed Securities Trust 2004-WMC1
Series 2004-WMC1
Rating
Class CUSIP To From
M-1 57643LCW4 AA (sf)/Watch Neg AA (sf)
M-2 57643LCX2 A (sf)/Watch Neg A (sf)
M-3 57643LCY0 A- (sf)/Watch Neg A- (sf)
M-4 57643LCZ7 BB- (sf)/Watch Neg BB- (sf)
Meritage Mortgage Loan Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
M-1 59001FAQ4 B (sf)/Watch Neg B (sf)
Meritage Mortgage Loan Trust 2004-2
Series 2004-2
Rating
Class CUSIP To From
M-2 59001FBF7 AA+ (sf)/Watch Neg AA+ (sf)
M-3 59001FBG5 BB (sf)/Watch Neg BB (sf)
Meritage Mortgage Loan Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
M-1 59001FCR0 AA (sf)/Watch Neg AA (sf)
M-2 59001FCS8 B- (sf)/Watch Neg B- (sf)
Merrill Lynch Mortgage Investors Inc.
Series 2002-AFC1
Rating
Class CUSIP To From
MF-2 589929XZ6 A (sf)/Watch Neg A (sf)
Merrill Lynch Mortgage Investors Inc.
Series 2002-NC1
Rating
Class CUSIP To From
M-1 589929ZE1 AA (sf)/Watch Neg AA (sf)
M-2 589929ZF8 B- (sf)/Watch Neg B- (sf)
Merrill Lynch Mortgage Investors Trust Series 2003-WMC3
Series 2003-WMC3
Rating
Class CUSIP To From
M-3 5899292D9 A+ (sf)/Watch Neg A+ (sf)
Merrill Lynch Mortgage Investors Trust Series 2004-WMC3
Series 2004-WMC3
Rating
Class CUSIP To From
M-3 59020UCQ6 A+ (sf)/Watch Neg A+ (sf)
Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM1
Series 2002-AM1
Rating
Class CUSIP To From
M-1 61746WML1 BBB- (sf)/Watch Neg BBB- (sf)
Morgan Stanley Mortgage Loan Trust 2004-11AR
Series 2004-11AR
Rating
Class CUSIP To From
2-A 61748HHD6 AAA (sf)/Watch Neg AAA (sf)
NAAC Reperforming Loan REMIC Trust 2004-R3
Series 2004-R3
Rating
Class CUSIP To From
B-2 62951MBE9 BB (sf)/Watch Neg BB (sf)
New Century Home Equity Loan Trust Series 2004-A
Series 2004-A
Rating
Class CUSIP To From
A-II-6 64352VGT2 B (sf)/Watch Neg B (sf)
A-II-7 64352VGU9 B (sf)/Watch Neg B (sf)
A-II-8 64352VGV7 B (sf)/Watch Neg B (sf)
A-II-9 64352VGW5 B (sf)/Watch Neg B (sf)
M-III 64352VHC8 BBB (sf)/Watch Neg BBB (sf)
New Century Home Equity Loan Trust Series 2001-NC1
Series 2001-NC1
Rating
Class CUSIP To From
M-2 64352VBZ3 AA (sf)/Watch Neg AA (sf)
New Century Home Equity Loan Trust Series 2001-NC2
Series 2001-NC2
Rating
Class CUSIP To From
M-2 79548K6C7 AA (sf)/Watch Neg AA (sf)
Opteum Mortgage Acceptance Corporation
Series 2005-5
Rating
Class CUSIP To From
II-A1D2 68383NDQ3 AA+ (sf)/Watch Neg AA+ (sf)
Option One Mortgage Loan Trust 2001-4
Series 2001-4
Rating
Class CUSIP To From
M-1 68389FBX1 B (sf)/Watch Neg B (sf)
Option One Mortgage Loan Trust 2002-1
Series 2002-1
Rating
Class CUSIP To From
M-1 68389FCC6 BB- (sf)/Watch Neg BB- (sf)
Option One Mortgage Loan Trust 2002-2
Series 2002-2
Rating
Class CUSIP To From
M-1 68400XAG5 BBB (sf)/Watch Neg BBB (sf)
Petrel Resecuritization Trust 2009-1
Series 2009-1
Rating
Class CUSIP To From
30-A2 71643RJN5 BB (sf)/Watch Neg BB (sf)
32-A2 71643RKH6 BBB- (sf)/Watch Neg BBB- (sf)
Quest Trust 2003-X2
Series 2003-X2
Rating
Class CUSIP To From
M-2 03072SHP3 AA (sf)/Watch Neg AA (sf)
Quest Trust 2003-X3
Series 2003-X3
Rating
Class CUSIP To From
M-2 03072SKE4 AA (sf)/Watch Neg AA (sf)
M-3 03072SKF1 BBB (sf)/Watch Neg BBB (sf)
Quest Trust 2003-X4
Series 2003-X4
Rating
Class CUSIP To From
M-1 03072SMH5 AA- (sf)/Watch Neg AA- (sf)
Quest Trust 2004-X2
Series 2004-X2
Rating
Class CUSIP To From
M-2 03072SSX4 A (sf)/Watch Neg A (sf)
M-3 03072SSY2 B- (sf)/Watch Neg B- (sf)
Quest Trust 2004-X3
Series 2004-X3
Rating
Class CUSIP To From
M-1 03072SWC5 AA (sf)/Watch Neg AA (sf)
M-2 03072SWD3 A (sf)/Watch Neg A (sf)
M-3 03072SWE1 B (sf)/Watch Neg B (sf)
Renaissance Home Equity Loan Trust 2002-1
Series 2002-1
Rating
Class CUSIP To From
M-1 759950AD0 AAA (sf)/Watch Neg AAA (sf)
Renaissance Home Equity Loan Trust 2002-2
Series 2002-2
Rating
Class CUSIP To From
M-1 759950AH1 B- (sf)/Watch Neg B- (sf)
Renaissance Home Equity Loan Trust 2002-3
Series 2002-3
Rating
Class CUSIP To From
M-1 75970NAB3 BB (sf)/Watch Neg BB (sf)
Renaissance Home Equity Loan Trust 2004-4
Series 2004-4
Rating
Class CUSIP To From
MV-1 759950ED6 AA (sf)/Watch Neg AA (sf)
Reperforming Loan REMIC Trust 2003-R1
Series T-054
Rating
Class CUSIP To From
1M 12669UBF6 AA (sf)/Watch Neg AA (sf)
1B1 12669UBG4 A (sf)/Watch Neg A (sf)
Ryland Mortgage Securities Corp.
Series 1991-15
Rating
Class CUSIP To From
B 783766GV4 B (sf)/Watch Neg B (sf)
Salomon Home Equity Loan Trust Series 2001-1
Series 2001-1
Rating
Class CUSIP To From
MV-2 79550DAJ8 A (sf)/Watch Neg A (sf)
MV-3 79550DAK5 A- (sf)/Watch Neg A- (sf)
SASCO Mortgage Loan Trust 2003-HEL1
Series 2003-GEL1
Rating
Class CUSIP To From
M4 80382UAG8 B (sf)/Watch Neg B (sf)
Saxon Asset Securities Trust 2001-2
Series 2001-2
Rating
Class CUSIP To From
AF-5 805564JL6 AAA (sf)/Watch Neg AAA (sf)
AF-6 805564JM4 AAA (sf)/Watch Neg AAA (sf)
Saxon Asset Securities Trust 2003-1
Series 2003-1
Rating
Class CUSIP To From
M-1 805564NB3 AA (sf)/Watch Neg AA (sf)
M-2 805564NC1 A (sf)/Watch Neg A (sf)
M-3 805564ND9 BBB+ (sf)/Watch Neg BBB+ (sf)
Saxon Asset Securities Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
M-1 805564PN5 AA+ (sf)/Watch Neg AA+ (sf)
M-2 805564PP0 B- (sf)/Watch Neg B- (sf)
Saxon Mortgage Securities Corp.
Series 1992- 1
Rating
Class CUSIP To From
B-1 805570AC2 BBB- (sf)/Watch Neg BBB- (sf)
Securitized Asset Backed Receivables LLC Trust 2004-NC3
Series 2004-NC3
Rating
Class CUSIP To From
M-1 81375WCJ3 BB- (sf)/Watch Neg BB- (sf)
Security National Mortgage Loan Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
A-3 81441PCP4 AAA (sf)/Watch Neg AAA (sf)
A-4 81441PCT6 AA+ (sf)/Watch Neg AA+ (sf)
Soundview Home Equity Loan Trust 2001-2
Series 2001-2
Rating
Class CUSIP To From
M-1 83611PAR2 BB+ (sf)/Watch Neg BB+ (sf)
Soundview Home Loan Trust 2004-1
Series 2004-1
Rating
Class CUSIP To From
M-1 83611MBB3 AAA (sf)/Watch Neg AAA (sf)
M-2 83611MBC1 AA+ (sf)/Watch Neg AA+ (sf)
M-3 83611MBD9 AA- (sf)/Watch Neg AA- (sf)
M-4 83611MBE7 A+ (sf)/Watch Neg A+ (sf)
M-5 83611MBF4 BB+ (sf)/Watch Neg BB+ (sf)
M-6 83611MBG2 B- (sf)/Watch Neg B- (sf)
Structured Asset Mortgage Investments II Trust 2004-AR6
Series 2004-AR6
Rating
Class CUSIP To From
A-1A 86359LEV7 AAA (sf)/Watch Neg AAA (sf)
A-1B 86359LFJ3 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Mortgage Investments II Trust 2004-AR7
Series 2004-AR7
Rating
Class CUSIP To From
A-1B 86359LFP9 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Mortgage Investments Trust 2002-3
Series 2002-3
Rating
Class CUSIP To From
CC 86358HNF2 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Mortgage Investments Trust 2002-AR4
Series 2002-AR4
Rating
Class CUSIP To From
A-1 86358HQR3 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Mortgage Investments Trust 2002-AR5
Series 2002-AR5
Rating
Class CUSIP To From
A-1 86358HRF8 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Mortgage Investments Trust 2003-AR3
Series 2003-AR3
Rating
Class CUSIP To From
A-2 86358HUU1 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Securities Corp.
Series 1998-2
Rating
Class CUSIP To From
M-1 863572SF1 AA (sf)/Watch Neg AA (sf)
Structured Asset Securities Corp.
Series 1999-SP1
Rating
Class CUSIP To From
M1 863572B69 BB (sf)/Watch Neg BB (sf)
Structured Asset Securities Corp.
Series 2003-26A
Rating
Class CUSIP To From
1A 86359AS20 AAA (sf)/Watch Neg AAA (sf)
2-A 86359AS46 AAA (sf)/Watch Neg AAA (sf)
3-A1 86359AS53 AAA (sf)/Watch Neg AAA (sf)
3-A5 86359AS95 AAA (sf)/Watch Neg AAA (sf)
4-A 86359AT52 AAA (sf)/Watch Neg AAA (sf)
5-A 86359AT78 AAA (sf)/Watch Neg AAA (sf)
6-A 86359AT86 AAA (sf)/Watch Neg AAA (sf)
7-A 86359AU35 AAA (sf)/Watch Neg AAA (sf)
Structured Asset Securities Corp.
Series 2003-S1
Rating
Class CUSIP To From
B 86359AV75 BB+ (sf)/Watch Neg BB+ (sf)
Structured Asset Securities Corp.
Series 2003-39EX
Rating
Class CUSIP To From
M3 86359BEA5 BBB (sf)/Watch Neg BBB (sf)
B 86359BEB3 B- (sf)/Watch Neg B- (sf)
Structured Asset Securities Corp.
Series 2003-40A
Rating
Class CUSIP To From
4-A 86359BEP2 A- (sf)/Watch Neg A- (sf)
Structured Asset Securities Corp.
Series 2003-38
Rating
Class CUSIP To From
2-A1 86359BEY3 AAA (sf)/Watch Neg AAA (sf)
2-A2 86359BEZ0 AAA (sf)/Watch Neg AAA (sf)
2-A4 86359BFB2 AAA (sf)/Watch Neg AAA (sf)
Ratings Remaining On Creditwatch Negative
Adjustable Rate Mortgage Trust 2005-4
Series 2005-4
Class CUSIP Rating
3-A-1 007036KD7 BB- (sf)/Watch Neg
Alternative Loan Trust 2005-11CB
Series 2005-11CB
Class CUSIP Rating
3-A-2 12667GJS3 BBB- (sf)/Watch Neg
Alternative Loan Trust 2005-60T1
Series 2005-60-T1
Class CUSIP Rating
A-9 12668AUY9 B- (sf)/Watch Neg
Alternative Loan Trust 2006-J5
Series 2006-J5
Class CUSIP Rating
1-A-2 12668EAB3 BB+ (sf)/Watch Neg
Banc of America Funding 2005-F Trust
Series 2005-F
Class CUSIP Rating
5-A-1 05946XZB2 AA (sf)/Watch Neg
Bayview Commercial Asset Trust 2007-2
Series 2007-2
Class CUSIP Rating
A-1 07325XAA8 AAA (sf)/Watch Neg
Bayview Commercial Asset Trust 2007-4
Series 2007-4
Class CUSIP Rating
A-1 07326BAA5 AA (sf)/Watch Neg
Bayview Commercial Asset Trust 2007-5
Series 2007-5
Class CUSIP Rating
A-2 07325WAC6 AAA (sf)/Watch Neg
A-3 07325WAD4 AAA (sf)/Watch Neg
Bayview Commercial Asset Trust 2007-6
Series 2007-6
Class CUSIP Rating
A-2 07326FAC2 AAA (sf)/Watch Neg
A-3A 07326FAD0 AAA (sf)/Watch Neg
A-3B 07326FAT5 AAA (sf)/Watch Neg
A-4A 07326FAE8 AA (sf)/Watch Neg
A-4B 07326FAU2 AA (sf)/Watch Neg
Bayview Commercial Asset Trust 2008-1
Series 2008-1
Class CUSIP Rating
A-2A 07324AAC5 AAA (sf)/Watch Neg
A-2B 07324AAD3 AAA (sf)/Watch Neg
A-3 07324AAE1 AAA (sf)/Watch Neg
A-4 07324AAF8 AAA (sf)/Watch Neg
Bayview Commercial Asset Trust 2008-2
Series 2008-2
Class CUSIP Rating
A-1 07326HAC8 AAA (sf)/Watch Neg
A-3 07326HAH7 BBB (sf)/Watch Neg
A-4B 07326HAK0 BBB (sf)/Watch Neg
Bayview Commercial Asset Trust 2008-3
Series 2008-3
Class CUSIP Rating
A-1 07326JAC4 AAA (sf)/Watch Neg
Bayview Financial Mortgage Pass-Through Trust 2007-B
Series 2007-B
Class CUSIP Rating
1-A1 07324FAB6 AAA (sf)/Watch Neg
2-A1 07324FAG5 AAA (sf)/Watch Neg
BCAP LLC 2010-RR5-I Trust
Series 2010-RR5-I
Class CUSIP Rating
III-A4 05532UAW9 A (sf)/Watch Neg
I-A2 05532UAB5 AA (sf)/Watch Neg
III-A1 05532UAT6 A (sf)/Watch Neg
I-A1 05532UAA7 AAA (sf)/Watch Neg
I-A3 05532UAC3 BBB (sf)/Watch Neg
I-A4 05532UAD1 AA (sf)/Watch Neg
Bear Stearns Asset Backed Securities I Trust 2005-HE11
Series 2005-HE11
Class CUSIP Rating
M-1 0738793N6 AA+ (sf)/Watch Neg
M-2 0738793P1 AA (sf)/Watch Neg
Bear Stearns Asset Backed Securities I Trust 2006-HE1
Series 2006-HE1
Class CUSIP Rating
II-M-1 07387UBR1 AA+ (sf)/Watch Neg
II-M-2 07387UBS9 AA+ (sf)/Watch Neg
Bear Stearns Asset Backed Securities I Trust 2006-HE2
Series 2006-HE2
Class CUSIP Rating
M-1 07387UEM9 AA- (sf)/Watch Neg
M-2 07387UEN7 BB (sf)/Watch Neg
M-3 07387UEP2 B- (sf)/Watch Neg
Carrington Mortgage Loan Trust Series 2005-FRE1
Series 2005-FRE1
Class CUSIP Rating
M-1 144531EF3 AA (sf)/Watch Neg
M-2 144531EG1 BBB (sf)/Watch Neg
M-3 144531EH9 B+ (sf)/Watch Neg
M-4 144531EJ5 B- (sf)/Watch Neg
Centex Home Equity Loan Trust 2004-C
Series 2004-C
Class CUSIP Rating
AF-5 152314KJ8 AAA (sf)/Watch Neg
Centex Home Equity Loan Trust 2005-D
Series 2005-D
Class CUSIP Rating
AF-5 152314PH7 AAA (sf)/Watch Neg
AF-6 152314PJ3 AAA (sf)/Watch Neg
M-1 152314PM6 AA+ (sf)/Watch Neg
M-2 152314PN4 AA (sf)/Watch Neg
M-3 152314PP9 AA- (sf)/Watch Neg
M-4 152314PQ7 A+ (sf)/Watch Neg
M-5 152314PR5 BBB (sf)/Watch Neg
M-6 152314PS3 BB (sf)/Watch Neg
CHL Mortgage Pass-Through Trust 2005-16
Series 2005-16
Class CUSIP Rating
A-2 12669G2U4 AAA (sf)/Watch Neg
Citigroup Mortgage Loan Trust Series 2005-CB8
Series 2005-CB8
Class CUSIP Rating
AF-5 12489WQG2 B (sf)/Watch Neg
Credit Suisse First Boston Mortgage Securities Corp.
Series 2004-AR2
Class CUSIP Rating
VI-M-1 22541Q7H9 AA+ (sf)/Watch Neg
Credit Suisse First Boston Mortgage Securities Corp.
Series 2005-2
Class CUSIP Rating
V-A-2 225458FK9 BB+ (sf)/Watch Neg
V-A-3 225458FL7 BB+ (sf)/Watch Neg
V-A-4 225458FM5 BB+ (sf)/Watch Neg
V-A-5 225458FN3 BB+ (sf)/Watch Neg
V-A-6 225458FP8 BB+ (sf)/Watch Neg
V-A-7 225458FQ6 BB+ (sf)/Watch Neg
CSFB Home Equity Pass-Through Certificates Series 2005-FIX1 Trust
Series 2005-FIX1
Class CUSIP Rating
M-2 22541S5W4 BBB+ (sf)/Watch Neg
M-3 22541S5X2 B+ (sf)/Watch Neg
M-4 22541S5Y0 B- (sf)/Watch Neg
CSFB Mortgage-Backed Trust Series 2005-11
Series 2005-11
Class CUSIP Rating
3-A-6 2254W0NM3 BB+ (sf)/Watch Neg
CSFB Mortgage-Backed Trust Series 2005-4
Series 2005-4
Class CUSIP Rating
II-A-7 225458PU6 AAA (sf)/Watch Neg
CWABS Asset-Backed Certificates Trust 2005-15
Series 2005-15
Class CUSIP Rating
M-1 126670MH8 B- (sf)/Watch Neg
Delta Funding Home Equity Loan Trust 1997-2
Series 1997-2
Class CUSIP Rating
A-5 24763LBM1 AAA (sf)/Watch Neg
A-6 24763LBN9 AAA (sf)/Watch Neg
Deutsche Alt-A Securities Inc. Mortgage Loan Trust 2005-5
Series 2005-5
Class CUSIP Rating
I-A-1 251510HL0 AAA (sf)/Watch Neg
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2004-5
Series 2004-5
Class CUSIP Rating
M-1 251563GD8 B- (sf)/Watch Neg
Fieldstone Mortgage Investment Trust Series 2005-1
Series 2005-1
Class CUSIP Rating
M4 31659TDD4 A+ (sf)/Watch Neg
M5 31659TDE2 A (sf)/Watch Neg
M6 31659TDF9 B- (sf)/Watch Neg
Financial Asset Securities Corp.
Series 2004-RP1
Class CUSIP Rating
I-B-1 92922FYN2 AA (sf)/Watch Neg
I-B-2 92922FYP7 A (sf)/Watch Neg
First Franklin Mortgage Loan Trust 2005-FF5
Series 2005-FF5
Class CUSIP Rating
M-1 32027NRT0 AA+ (sf)/Watch Neg
M-2 32027NRU7 AA (sf)/Watch Neg
M-3 32027NRV5 AA- (sf)/Watch Neg
M-4 32027NRW3 B+ (sf)/Watch Neg
GSAA Home Equity Trust 2006-6
Series 2006-6
Class CUSIP Rating
AF-2 362334MD3 B- (sf)/Watch Neg
GSAMP Trust 2005-HE2
Series 2005-HE2
Class CUSIP Rating
M-1 36242DA52 A (sf)/Watch Neg
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-A
Series 2005-A
Class CUSIP Rating
M-6 43708AAW2 BB- (sf)/Watch Neg
Jefferies Resecuritization Trust 2010-R1
Series 2010-R1
Class CUSIP Rating
2-A1 47232FAC1 BBB (sf)/Watch Neg
JPMorgan Mortgage Acquisition Trust 2007-CH1
Series 2007-CH1
Class CUSIP Rating
MF-1 46630LAH7 B- (sf)/Watch Neg
Merrill Lynch Mortgage Investors Trust Series 2005-A3
Series 2005-A3
Class CUSIP Rating
A-1 59020UVQ5 AAA (sf)/Watch Neg
A-2 59020UVR3 AAA (sf)/Watch Neg
M-1 59020UVT9 B- (sf)/Watch Neg
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2
Series 2006-2
Class CUSIP Rating
III-A 590219AF8 AAA (sf)/Watch Neg
IV-A 590219AG6 AAA (sf)/Watch Neg
Merrill Lynch Mtg Investors Trust Series 2006-OPT1
Series 2006-OPT1
Class CUSIP Rating
A-1 59022VAA9 BBB- (sf)/Watch Neg
Morgan Stanley Home Equity Loan Trust 2005-4
Series 2005-4
Class CUSIP Rating
M-1 61744CVJ2 A- (sf)/Watch Neg
M-2 61744CVK9 B- (sf)/Watch Neg
Morgan Stanley Mortgage Loan Trust 2005-3AR
Series 2005-3AR
Class CUSIP Rating
1-A 61745M4M2 B- (sf)/Watch Neg
5-A 61745M4T7 B- (sf)/Watch Neg
Nomura Asset Acceptance Corporation Alternative Loan Trust Series
2005-AP1
Series 2005-AP1
Class CUSIP Rating
II-M-1 65535VHK7 B- (sf)/Watch Neg
Opteum Mortgage Acceptance Corporation
Series 2005-4
Class CUSIP Rating
II-A1 68383NCF8 A- (sf)/Watch Neg
Opteum Mortgage Acceptance Corporation
Series 2005-5
Class CUSIP Rating
II-A1D1 68383NDP5 BBB- (sf)/Watch Neg
Option One Mortgage Loan Trust 2007-FXD1
Series 2007-FDX1
Class CUSIP Rating
III-A-1 68402VAC6 AAA (sf)/Watch Neg
Park Place Securities Inc.
Series 2005-WHQ4
Class CUSIP Rating
M-2 70069FMT1 B- (sf)/Watch Neg
PHH Mortgage Trust Series 2007-SL1
Series 2007-SL1
Class CUSIP Rating
M-1 69337YAB0 AA+ (sf)/Watch Neg
M-2 69337YAC8 AA+ (sf)/Watch Neg
M-3 69337YAD6 AA (sf)/Watch Neg
Quest Trust 2005-X1
Series 2005-X1
Class CUSIP Rating
M-2 03072SZK4 A (sf)/Watch Neg
M-3 03072SZL2 A- (sf)/Watch Neg
M-4 03072SZM0 BBB- (sf)/Watch Neg
Residential Funding Mortgage Securities II Inc.
Series 2004-HS2
Class CUSIP Rating
A-1-4 76110VQJ0 BBB (sf)/Watch Neg
SG Mortgage Securities Trust 2007-NC1
Series 2007-NC1
Class CUSIP Rating
M-1 78420RAC2 B- (sf)/Watch Neg
Soundview Home Equity Loan Trust 2005-2
Series 2005-2
Class CUSIP Rating
M-2 83611MER5 AA (sf)/Watch Neg
M-3 83611MES3 AA- (sf)/Watch Neg
M-4 83611MET1 A+ (sf)/Watch Neg
M-5 83611MEU8 A (sf)/Watch Neg
M-6 83611MEV6 BBB- (sf)/Watch Neg
M-7 83611MEW4 B (sf)/Watch Neg
Soundview Home Loan Trust 2006-EQ2
Series 2006-EQ2
Class CUSIP Rating
A-2 83611XAB0 B- (sf)/Watch Neg
Soundview Home Loan Trust 2008-1
Series 2008-1
Class CUSIP Rating
A-M-1 83613GAE9 B- (sf)/Watch Neg
A-M-2 83613GAU3 B- (sf)/Watch Neg
Structured Asset Securities Corporation Mortgage Loan Trust Series
2008-RF1
Series 2008-RF1
Class CUSIP Rating
B1 86362DAD4 AA (sf)/Watch Neg
Terwin Mortgage Trust Series TMTS 2005-6HE
Series 2005-6HE
Class CUSIP Rating
M-1 881561QZ0 AA+ (sf)/Watch Neg
M-2 881561RA4 AA+ (sf)/Watch Neg
M-3 881561RB2 AA (sf)/Watch Neg
M-4 881561RC0 AA (sf)/Watch Neg
M-5 881561RD8 A+ (sf)/Watch Neg
Wachovia Mortgage Loan Trust LLC
Series 2005-WMC1
Class CUSIP Rating
M-1 92977YAX9 A+ (sf)/Watch Neg
*********
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, 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.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $775 for 6 months delivered via e-
mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
Beard at 240/629-3300.
*** End of Transmission ***