/raid1/www/Hosts/bankrupt/TCR_Public/111002.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, October 2, 2011, Vol. 15, No. 273
Headlines
ACE SECURITIES: S&P Cuts Ratings on 2 Classes From 'CCC' to 'CC'
AIRLIE CLO: Moody's Upgrades Rating of Class C Notes to 'Ba1'
AMERICREDIT AUTO: Fitch Puts Rating on $22.4 Mil. Notes at 'BBsf'
AMERICREDIT AUTOMOBILE: S&P Gives 'BB+' Rating on Class E Notes
ATLANTIS FUNDING: S&P Raises Rating on Class C Notes From 'BB+'
ATRIUM IV: Moody's Upgrades Class C Notes Rating to 'Ba1'
BANC OF AMERICA: Fitch Cuts Ratings on Five Certificates to 'C'
BANC OF AMERICA: Moody's Affirms Rating of Cl. J Notes at 'Ba3'
BANC OF AMERICA: Moody's Takes Rating Actions on Structured Notes
BEAR STEARNS: Fitch Affirms Junk Rating on Six Cert. Classes
BEAR STEARNS: S&P Lowers Ratings on 3 Classes of Certs. to 'D'
BEAR STEARNS: S&P Lowers Ratings on 5 Classes of Certs. to 'CCC-'
BEAR STEARNS: S&P Lowers Ratings on 7 Classes of Certs. to 'D'
CAMULOS LOAN: Moody's Raises Cl. D Notes Rating to A2 From Ba2
CENTERLINE 2007-1: S&P Lowers Rating on Class G From 'CC' to 'D'
CHL MORTGAGE: Moody's Confirms Cl. A-13 Notes Rating at 'Ba3'
CHRYSLER GROUP: S&P Keeps 'B+' Corp. Credit Rating; Outlook Stable
CITIGROUP COMMERCIAL: Moody's Affirms Rating of Cl. A-J at 'B2'
COAST INVESTMENT: Moody's Confirms Rating of Class B Notes at 'C'
COMM 2006-C8: Fitch Affirms Junk Rating on Eight Cert. Classes
CREDIT SUISSE: Moody's Downgrades Rating of Cl. H Notes to 'Ba2'
CREDIT SUISSE: Moody's Downgrades Rating of Cl. G Notes to 'B3'
CREST 2001-1: Moody's Upgrades Rating of Class D Notes to 'Caa3'
CSAM FUNDING: Moody's Upgrades Rating of Cl. D Notes to 'Ba2'
CSFB MORTGAGE-BACKED: Moody's Withdraws Ratings on Certificates
DEKANIA CDO: AM Best Downgrades Fixed/Floating Rate Notes to 'C'
DIGITALGLOBE INC: Moody's Gives Ba3 Rating to New Sr Facility
DRYDEN V-LEVERAGED: Moody's Raises Rating of Cl. E Notes to 'Ba3'
FORD AUTO: Moody's Assigns Definitive Ratings to Series 2011-R3
FRASER SULLIVAN: Moody's Raises Rating of Class D Notes to 'Ba1'
GALAXY III: Moody's Upgrades Rating of Class E-1 Notes to 'B1'
GE CAPITAL: S&P Affirms Rating on Class L Certificates at 'BB+'
GLACIER FUNDING: S&P Lowers Ratings on 2 Classes of Notes to 'D'
GOLDMAN SACHS: Fitch to Put Rating on $23 Mil. Notes at 'Bsf'
GOLUB CAPITAL: S&P Gives 'B' Rating on Class F Floating-Rate Notes
GREENS CREEK: Moody's Upgrades Rating of Class C Notes to 'Ba1'
GUGGENHEIM STRUCTURED: Moody's Affirms Cl. D Notes Rating at Caa3
HEWETT'S ISLAND: Moody's Upgrades Rating of Class C Notes to 'Ba1'
HYUNDAI AUTO: Moody's Assigns Provisional Ratings to 3rd Loan Deal
INTEGRAL FUNDING: Moody's Raises Rating of Class C Notes to 'Ba1'
INTERPROPERTIES FINANCE: Moody's Assigns (P)Ba3 to Senior Notes
JP MORGAN: Moody's Affirms Rating of Class H Notes at 'B2'
JP MORGAN: Moody's Downgrades Class B Notes Rating to 'Ba2'
JP MORGAN: Moody's Downgrades Rating of Class A-J Notes to 'B3'
KKR FINANCIAL: Moody's Upgrades Rating of Class E Notes to 'Ba1'
LB-UBS COMMERCIAL: Fitch Affirm Junk Rating on Five Cert. Classes
MILLERTON CDO: Moody's Lowers Rating of Class A-1 Notes to 'Ca'
MKP CBO: S&P Lowers Ratings on 4 Classes of Notes to 'D'
ML-CFC COMMERCIAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D'
MORGAN STANLEY: S&P Lowers Ratings on 2 Classes of Certs. to 'D'
MOUNTAIN CAPITAL: Moody's Upgrades Rating of Class D Notes to Ba2
N-STAR REL CDO: Moody's Lowers Rating of Cl. A-2 Notes to 'B1'
NAUTIQUE FUNDING: Moody's Upgrades Rating of Class D Notes to 'B1'
NEWCASTLE CDO: Moody's Downgrades Rating of Cl. A-2 Notes to 'Ba1'
OCTAGON INVESTMENT: Moody's Raises Rating of $22.75MM Notes to Ba1
PACIFICA CDO: Moody's Upgrades Class C-1 Notes Rating to 'Ba2'
PNM RESOURCES: Moody's Reviews 'Ba2' Rating for Possible Upgrade
PRUDENTIAL STRUCTURED: S&P Withdraws 'B' Rating on Class A-2L
RED RIVER: Moody's Upgrades Rating of Class C Notes to 'Ba1'
REGATTA FUNDING: Moody's Lowers Rating of Class B-1L Notes to Ba1
RESTRUCTURED ASSET: Moody's Lowers Rating of $20MM Notes to Caa3
RIVERSIDE PARK: S&P Gives 'BB' Rating on Class D Notes
RIVERSIDE PARK: S&P Withdraws 'BB' Rating on Class D Notes
ROYAL CARIBBEAN: Moody's Upgrades SGL Rating to SGL-2
SAGAMORE CLO: Moody's Raises Rating of Class C-1 Notes to 'B3'
SAN GABRIEL: Moody's Raises Rating of Class B-1L Notes to 'Ba1'
SANTANDER DRIVE: Moody's Assigns 'Ba2' Rating to Class E Notes
SARATOGA CLO: Moody's Raises Rating of Class C Notes to 'Ba1'
SEAWALL SPC: S&P Lowers Rating on Notes From 'BB-' to 'CCC+'
SEQUOIA MORTGAGE: Fitch Puts Rating on $3 Million Cert. at 'BBsf'
STACK 2004-1: S&P Lowers Rating on Class B Notes From 'CCC' to 'D'
STONE TOWER: Moody's Raises Rating of Class D-1 Notes to 'Ba3'
TIAA REAL ESTATE: Moody's Affirms Class IV Notes Rating at 'Ba2'
TIERS SYNTHETIC: Moody's Affirms Rating of US$36-Mil. Notes at 'C'
TOURO INFIRMARY: Moody's Affirms Ba1 Rating to $87-Mil. Bonds
US CMBS: Fitch Expects Default on 31 Bond Ratings
VENTURE III: Moody's Upgrades Rating of Class C Notes to 'Ba2'
VENTURE IV: S&P Raises Rating on Class D Notes From 'B' to 'B+'
WACHOVIA BANK: Moody's Reviews 'Ba1' Rating of Class B Notes
WIND RIVER: S&P Raises Rating on Type V Composite to 'B'
* S&P Lowers Ratings on 14 Classes of Certificates to 'D'
* S&P Lowers Ratings on 367 Classes of Certificates to 'D'
* S&P Lowers Ratings on 10 Classes of Notes to 'D'
*********
ACE SECURITIES: S&P Cuts Ratings on 2 Classes From 'CCC' to 'CC'
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Standard & Poor's Ratings Services lowered its ratings on 362
classes from 75 U.S. residential mortgage-backed securities (RMBS)
transactions backed by subprime mortgage loans issued in 2005-2007
and removed 234 of them from CreditWatch with negative
implications. "In addition, we affirmed our ratings on 374 classes
from 62 of the transactions with lowered ratings and from 15
additional transactions, and removed 176 of them from CreditWatch
negative. We also withdrew our rating on a class that was paid in
full," S&P stated.
"The downgrades reflect our opinion that the projected credit
enhancement for the affected classes is insufficient to maintain
the previous ratings, given our current projected losses. The
affirmations reflect our belief that the projected credit
enhancement available for these classes is sufficient to cover
projected losses associated with these rating levels," S&P stated.
"In our review, we included transaction-specific loss projections,
which were published in '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 assessed whether, in our view, a class could
absorb the remaining base-case loss assumptions we used in our
analysis. In order to maintain a rating higher than 'B', we
assessed whether the class could withstand losses exceeding our
remaining base-case loss assumptions at a percentage specific to
each rating category, up to 150% for a 'AAA' rating. For example,
in general, we would assess whether one class could withstand
approximately 110% of our remaining base-case loss assumptions
to maintain a 'BB' rating, while we would assess whether a
different class could withstand approximately 120% of our
remaining base-case loss assumptions to maintain a 'BBB' rating.
Each class with an affirmed 'AAA' rating can, in our view,
withstand approximately 150% of our remaining base-case loss
assumptions under our analysis," S&P stated.
Subordination, overcollateralization (prior to its depletion), and
excess spread, when applicable, provide credit support for the
affected transactions. The underlying collateral for these deals
consists of fixed- and adjustable-rate U.S. subprime mortgage
loans secured mostly by first liens on one- to four-family
residential properties.
Rating Actions
2004-CB8 Trust
Series 2004-CB8
Rating
Class CUSIP To From
AF-4 59020UPQ2 AAA (sf) AAA (sf)/Watch Neg
M-1 59020UPR0 AA (sf) AA (sf)/Watch Neg
ACE Securities Corp Home Equity Loan Trust Series 2005-WF1
Series 2005-WF1
Rating
Class CUSIP To From
A-1 004421QK2 AAA (sf) AAA (sf)/Watch Neg
A-2C 004421QN6 AAA (sf) AAA (sf)/Watch Neg
M-1 004421QP1 AA+ (sf) AA+ (sf)/Watch Neg
M-2 004421QQ9 AA (sf) AA (sf)/Watch Neg
M-3 004421QR7 AA (sf) AA (sf)/Watch Neg
M-4 004421QS5 BBB+ (sf) AA (sf)/Watch Neg
M-5 004421QT3 BB (sf) A (sf)/Watch Neg
M-6 004421QU0 B- (sf) BB+ (sf)/Watch Neg
M-7 004421QV8 B- (sf) B+ (sf)/Watch Neg
M-8 004421QW6 CCC (sf) B- (sf)/Watch Neg
M-9 004421QX4 CC (sf) CCC (sf)
M-10 004421QY2 CC (sf) CCC (sf)
ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP3
Series 2006-ASAP3
Rating
Class CUSIP To From
A-1 00442VAA5 B- (sf) A- (sf)/Watch Neg
A-2B 00442VAC1 BBB (sf) AAA (sf)/Watch Neg
A-2C 00442VAD9 CCC (sf) BBB+ (sf)/Watch Neg
A-2D 00442VAE7 CCC (sf) BBB+ (sf)/Watch Neg
M-1 00442VAF4 CC (sf) B- (sf)/Watch Neg
ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2
Series 2007-ASAP2
Rating
Class CUSIP To From
A-2A 00442UAB5 NR B+ (sf)/Watch Neg
Aegis Asset Backed Securities Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
M1 00764MEK9 AA+ (sf) AA+ (sf)/Watch Neg
M2 00764MEL7 AA (sf) AA (sf)/Watch Neg
M3 00764MEM5 AA (sf) AA (sf)/Watch Neg
M4 00764MEN3 BBB+ (sf) AA- (sf)/Watch Neg
M5 00764MEP8 CCC (sf) B+ (sf)/Watch Neg
Ameriquest Mortgage Securities Inc.
Series 2005-R1
Rating
Class CUSIP To From
A-3C 03072SXW0 AAA (sf) AAA (sf)/Watch Neg
M-1 03072SXY6 AA (sf) AA (sf)/Watch Neg
M-2 03072SXZ3 AA- (sf) AA- (sf)/Watch Neg
M-3 03072SYA7 A- (sf) A+ (sf)/Watch Neg
M-4 03072SYB5 CCC (sf) A (sf)/Watch Neg
M-5 03072SYC3 CC (sf) BB (sf)/Watch Neg
M-6 03072SYD1 CC (sf) CCC (sf)
M-7 03072SYE9 CC (sf) CCC (sf)
Argent Securities Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W4
Series 2005-W4
Rating
Class CUSIP To From
A-1A2 040104QG9 B- (sf) BB+ (sf)/Watch Neg
A-2C 040104PS4 AA+ (sf) AA+ (sf)/Watch Neg
Asset Backed Securities Corporation Home Equity Loan Trust, Series
AEG 2006-HE1
Series AEG2006HE1
Rating
Class CUSIP To From
A1 04541GVG4 AA+ (sf) AAA (sf)/Watch Neg
A3 04541GVJ8 AA- (sf) AAA (sf)/Watch Neg
A4 04541GVK5 AA- (sf) AAA (sf)/Watch Neg
M1 04541GVL3 CCC (sf) BBB+ (sf)/Watch Neg
M2 04541GVM1 CC (sf) B- (sf)/Watch Neg
Asset Backed Securities Corporation Home Equity Loan Trust, Series
OOMC
2006-HE3
Series 2006-HE3
Rating
Class CUSIP To From
A1 04541GWY4 AA- (sf) AAA (sf)/Watch Neg
A2 04541GWZ1 AA (sf) AAA (sf)/Watch Neg
A4 04541GXB3 A- (sf) AA+ (sf)/Watch Neg
A5 04541GXC1 A- (sf) AA (sf)/Watch Neg
M1 04541GXD9 CC (sf) CCC (sf)
M2 04541GXE7 CC (sf) CCC (sf)
Bear Stearns Asset Backed Securities I Trust 2007-HE1
Series 2007-HE1
Rating
Class CUSIP To From
II-1A-1 07389UAN9 BB (sf) A (sf)/Watch Neg
II-1A-2 07389UAP4 CCC (sf) BB+ (sf)/Watch Neg
II-1A-3 07389UAQ2 CCC (sf) BB+ (sf)/Watch Neg
II-2A 07389UAR0 CCC (sf) BB+ (sf)/Watch Neg
II-3A 07389UAS8 CCC (sf) BBB- (sf)/Watch Neg
II-M-1 07389UAT6 CCC (sf) B- (sf)/Watch Neg
II-M-2 07389UAU3 CC (sf) CCC (sf)
II-M-4 07389UAW9 CC (sf) CCC (sf)
II-M-3 07389UAV1 CC (sf) CCC (sf)
Bear Stearns Asset Backed Securities I Trust 2007-HE5
Series 2007-HE5
Rating
Class CUSIP To From
I-A-1 073859AA8 A (sf) AA- (sf)/Watch Neg
Carrington Mortgage Loan Trust, Series 2005-NC1
Series 2005-NC1
Rating
Class CUSIP To From
M-1 144531BB5 AA (sf) AA (sf)/Watch Neg
M-2 144531BC3 AA (sf) AA (sf)/Watch Neg
M-3 144531BD1 B+ (sf) AA- (sf)/Watch Neg
M-4 144531BE9 CC (sf) BBB- (sf)/Watch Neg
M-5 144531BF6 CC (sf) CCC (sf)
Carrington Mortgage Loan Trust, Series 2007-FRE1
Series 2007-FRE1
Rating
Class CUSIP To From
A1 144527AA6 BB (sf) AA+ (sf)/Watch Neg
A2 144527AB4 CCC (sf) BBB+ (sf)/Watch Neg
A3 144527AC2 CCC (sf) BBB (sf)/Watch Neg
A4 144527AD0 CCC (sf) BBB (sf)/Watch Neg
M1 144527AE8 CCC (sf) B- (sf)/Watch Neg
M3 144527AG3 CC (sf) CCC (sf)
M4 144527AH1 CC (sf) CCC (sf)
M5 144527AJ7 CC (sf) CCC (sf)
M6 144527AK4 CC (sf) CCC (sf)
M7 144527AL2 CC (sf) CCC (sf)
C-BASS 2007-CB4 Trust
Series 2007-CB4
Rating
Class CUSIP To From
A-1A 1248MEAA7 CCC (sf) B- (sf)/Watch Neg
A-2A 1248MEAD1 A- (sf) A- (sf)/Watch Neg
C-Bass Mortgage Loan Trust 2007-CB2
Series 2007-CB2
Rating
Class CUSIP To From
A-1 1248MBAF2 CCC (sf) B- (sf)/Watch Neg
A2-A 1248MBAG0 BBB- (sf) BBB- (sf)/Watch Neg
A2-B 1248MBAH8 CCC (sf) B- (sf)/Watch Neg
A2-C 1248MBAJ4 CCC (sf) B- (sf)/Watch Neg
A2-D 1248MBAK1 CCC (sf) B- (sf)/Watch Neg
A2-E 1248MBAL9 CCC (sf) B- (sf)/Watch Neg
M-1 1248MBAM7 CC (sf) CCC (sf)
Citicorp Residential Mortgage Trust Series 2007-1
Series 2007-1
Rating
Class CUSIP To From
A-3 173109AC3 A (sf) AAA (sf)/Watch Neg
A-4 173109AD1 A (sf) AAA (sf)/Watch Neg
A-5 173109AE9 A (sf) AAA (sf)/Watch Neg
A-6 173109AF6 A (sf) AAA (sf)/Watch Neg
M-1 173109AG4 B- (sf) AA+ (sf)/Watch Neg
M-2 173109AH2 CCC (sf) AA (sf)/Watch Neg
M-3 173109AJ8 CCC (sf) AA- (sf)/Watch Neg
M-4 173109AK5 CCC (sf) A+ (sf)/Watch Neg
M-5 173109AL3 CCC (sf) A (sf)/Watch Neg
M-6 173109AM1 CC (sf) A- (sf)/Watch Neg
M-7 173109AN9 CC (sf) BBB+ (sf)/Watch Neg
M-8 173109AP4 CC (sf) BBB- (sf)/Watch Neg
M-9 173109AQ2 CC (sf) B+ (sf)/Watch Neg
Citigroup Mortgage Loan Trust 2006-WMC1
Series 2006 WMC1
Rating
Class CUSIP To From
A-1 17307G2G2 A- (sf) A- (sf)/Watch Neg
A-2C 17307GZ43 BB (sf) A- (sf)/Watch Neg
A-2D 17307GZ50 B- (sf) B (sf)/Watch Neg
M-1 17307GZ68 CC (sf) CCC (sf)
Citigroup Mortgage Loan Trust 2007-AMC3
Series 2007-AMC3
Rating
Class CUSIP To From
A-2A 17312EAB2 BB (sf) BB (sf)/Watch Neg
M-1 17312EAF3 CC (sf) CCC (sf)
Citigroup Mortgage Loan Trust 2007-WFHE2
Series 2007-WFHE2
Rating
Class CUSIP To From
A2 17312BAB8 BB (sf) BB (sf)/Watch Neg
A3 17312BAC6 B (sf) B (sf)/Watch Neg
A4 17312BAD4 B (sf) B (sf)/Watch Neg
M3 17312BAG7 CC (sf) CCC (sf)
M4 17312BAH5 CC (sf) CCC (sf)
M5 17312BAJ1 CC (sf) CCC (sf)
Citigroup Mortgage Loan Trust 2007-WFHE4
Series 2007-WFHE4
Rating
Class CUSIP To From
A-1 17313JAB0 B- (sf) B- (sf)/Watch Neg
A-2A 17313JAC8 A- (sf) A- (sf)/Watch Neg
A-2B 17313JAD6 B- (sf) B- (sf)/Watch Neg
A-2C 17313JAE4 B- (sf) B- (sf)/Watch Neg
M-5 17313JAN4 CC (sf) CCC (sf)
M-6 17313JAP9 CC (sf) CCC (sf)
M-7 17313JAQ7 CC (sf) CCC (sf)
M-8 17313JAR5 CC (sf) CCC (sf)
Citigroup Mortgage Loan Trust, Series 2005-OPT1
Series 2005-OPT1
Rating
Class CUSIP To From
M-1 17307GNR5 AA+ (sf) AA+ (sf)/Watch Neg
M-2 17307GNS3 AA (sf) AA (sf)/Watch Neg
M-3 17307GNT1 BBB (sf) BBB (sf)/Watch Neg
M-4 17307GNU8 BB (sf) BB (sf)/Watch Neg
M-5 17307GNV6 B- (sf) B (sf)/Watch Neg
M-7 17307GNX2 CC (sf) CCC (sf)
M-8 17307GNY0 CC (sf) CCC (sf)
CSFB Home Equity Pass Through Certificates Series 2005-AGE1 Trust
Series 2005-AGE1
Rating
Class CUSIP To From
A-3 225458NQ7 AAA (sf) AAA (sf)/Watch Neg
A-4 225458NR5 AAA (sf) AAA (sf)/Watch Neg
A-5 225458NS3 AAA (sf) AAA (sf)/Watch Neg
M-1 225458NV6 AA+ (sf) AA+ (sf)/Watch Neg
M-2 225458NW4 AA+ (sf) AA+ (sf)/Watch Neg
M-3 225458NX2 AA (sf) AA (sf)/Watch Neg
M-4 225458NY0 AA (sf) AA (sf)/Watch Neg
M-5 225458NZ7 A+ (sf) A+ (sf)/Watch Neg
M-6 225458PA0 BBB (sf) A (sf)/Watch Neg
B-1 225458PB8 B (sf) A- (sf)/Watch Neg
B-2 225458PC6 B- (sf) BBB+ (sf)/Watch Neg
B-3 225458PD4 CCC (sf) BBB (sf)/Watch Neg
B-4 225458PE2 CC (sf) BBB (sf)/Watch Neg
CSFB Home Equity Pass-Through Certificates, Series 2005-FIX1 Trust
Series 2005-FIX1
Rating
Class CUSIP To From
A-2 22541S5R5 AAA (sf) AAA (sf)/Watch Neg
A-3 22541S5S3 AAA (sf) AAA (sf)/Watch Neg
A-4 22541S5T1 BBB+ (sf) AAA (sf)/Watch Neg
A-5 22541S5U8 AA- (sf) AAA (sf)/Watch Neg
M-1 22541S5V6 CCC (sf) AA+ (sf)/Watch Neg
M-2 22541S5W4 CC (sf) BBB+ (sf)/Watch Neg
M-3 22541S5X2 CC (sf) B+ (sf)/Watch Neg
M-4 22541S5Y0 CC (sf) B- (sf)/Watch Neg
M-5 22541S5Z7 CC (sf) CCC (sf)
M-6 22541S6A1 CC (sf) CCC (sf)
CWABS Asset Backed Certificates Trust 2007-9
Series 2007-9
Rating
Class CUSIP To From
1-A-1 12670FAA8 CCC (sf) B (sf)/Watch Neg
2-A-1 12670FAB6 AA+ (sf) AA+ (sf)/Watch Neg
2-A-2 12670FAC4 BB+ (sf) BB+ (sf)/Watch Neg
2-A-3 12670FAD2 CCC (sf) B (sf)/Watch Neg
2-A-4 12670FAE0 CCC (sf) B (sf)/Watch Neg
M-3 12670FAH3 CC (sf) CCC (sf)
M-4 12670FAJ9 CC (sf) CCC (sf)
M-5 12670FAK6 CC (sf) CCC (sf)
M-6 12670FAL4 CC (sf) CCC (sf)
M-7 12670FAM2 CC (sf) CCC (sf)
M-8 12670FAN0 CC (sf) CCC (sf)
CWABS Asset-Backed Certificates Trust 2005-10
Series 2005-10
Rating
Class CUSIP To From
AF-3 126670AC2 B- (sf) AAA (sf)/Watch Neg
AF-4 126670AD0 B- (sf) AAA (sf)/Watch Neg
AF-5 126670AE8 B- (sf) AAA (sf)/Watch Neg
AF-6 126670AF5 B- (sf) AAA (sf)/Watch Neg
MF-1 126670AG3 CCC (sf) A- (sf)/Watch Neg
MF-2 126670AH1 CC (sf) B+ (sf)/Watch Neg
MF-3 126670AJ7 CC (sf) B- (sf)/Watch Neg
MF-4 126670AK4 CC (sf) CCC (sf)
MF-5 126670AL2 CC (sf) CCC (sf)
MF-6 126670AM0 CC (sf) CCC (sf)
MF-7 126670AN8 CC (sf) CCC (sf)
MV-1 126670AV0 AA+ (sf) AA+ (sf)/Watch Neg
MV-2 126670AW8 BBB- (sf) AA (sf)/Watch Neg
MV-3 126670AX6 B (sf) AA- (sf)/Watch Neg
MV-4 126670AY4 CCC (sf) BBB+ (sf)/Watch Neg
MV-5 126670AZ1 CC (sf) BB- (sf)/Watch Neg
MV-6 126670BA5 CC (sf) B- (sf)/Watch Neg
MV-7 126670BB3 CC (sf) CCC (sf)
MV-8 126670BC1 CC (sf) CCC (sf)
CWABS Asset-Backed Certificates Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
1-A 126670VW5 A+ (sf) AA+ (sf)/Watch Neg
2-A-2 126670VY1 BBB- (sf) BBB+ (sf)/Watch Neg
2-A-3 126670VZ8 BB+ (sf) BBB+ (sf)/Watch Neg
3-A-1 126670WA2 BB+ (sf) BBB+ (sf)/Watch Neg
3-A-2 126670WB0 BB+ (sf) BBB+ (sf)/Watch Neg
M-1 126670WC8 B- (sf) B+ (sf)/Watch Neg
M-4 126670WF1 CC (sf) CCC (sf)
M-5 126670WG9 CC (sf) CCC (sf)
CWABS Asset-Backed Certificates Trust 2006-4
Series 2006-4
Rating
Class CUSIP To From
1-A-1 126670WQ7 B- (sf) BBB- (sf)/Watch Neg
1-A-1M 126670WR5 B- (sf) BB (sf)/Watch Neg
2-A-2 126670WT1 B- (sf) BB- (sf)/Watch Neg
2-A-3 126670WU8 B- (sf) BB- (sf)/Watch Neg
M-1 126670WV6 CCC (sf) B- (sf)/Watch Neg
M-3 126670WX2 CC (sf) CCC (sf)
M-4 126670WY0 CC (sf) CCC (sf)
M-5 126670WZ7 CC (sf) CCC (sf)
CWABS Asset-Backed Certificates Trust 2006-6
Series 2006-6
Rating
Class CUSIP To From
1-A-1 126670ZH4 B- (sf) BB (sf)/Watch Neg
1-A-1M 126670ZJ0 B- (sf) BB (sf)/Watch Neg
2-A-2 126670ZL5 B- (sf) B+ (sf)/Watch Neg
2-A-3 126670ZM3 B- (sf) B+ (sf)/Watch Neg
M-2 126670ZP6 CC (sf) CCC (sf)
M-3 126670ZQ4 CC (sf) CCC (sf)
CWABS Asset-Backed Certificates Trust 2007-3
Series 2007-3
Rating
Class CUSIP To From
1-A 12668UAD3 CCC (sf) BB (sf)/Watch Neg
2-A-1 12668UAE1 A (sf) AA (sf)/Watch Neg
2-A-2 12668UAF8 CCC (sf) BB (sf)/Watch Neg
2-A-3 12668UAG6 CCC (sf) B- (sf)/Watch Neg
2-A-4 12668UAH4 CCC (sf) B- (sf)/Watch Neg
M-2 12668UAK7 CC (sf) CCC (sf)
M-3 12668UAL5 CC (sf) CCC (sf)
M-4 12668UAM3 CC (sf) CCC (sf)
M-5 12668UAN1 CC (sf) CCC (sf)
CWABS Asset-Backed Certificates Trust 2007-7
Series 2007-7
Rating
Class CUSIP To From
1-A 12669VAA6 CCC (sf) B (sf)/Watch Neg
2-A-1 12669VAB4 AA (sf) AA (sf)/Watch Neg
2-A-2 12669VAC2 BB- (sf) BB- (sf)/Watch Neg
2-A-3 12669VAD0 CCC (sf) B- (sf)/Watch Neg
2-A-4 12669VAE8 CCC (sf) B- (sf)/Watch Neg
M-2 12669VAG3 CC (sf) CCC (sf)
M-3 12669VAH1 CC (sf) CCC (sf)
M-4 12669VAJ7 CC (sf) CCC (sf)
M-5 12669VAK4 CC (sf) CCC (sf)
Ellington Loan Acquisition Trust 2007-1
Series 2007-1
Rating
Class CUSIP To From
A-2a1 288542AB9 B (sf) B (sf)/Watch Neg
A-2a2 288542AR4 B (sf) B (sf)/Watch Neg
A-2b 288542AC7 B- (sf) B- (sf)/Watch Neg
A-2c 288542AD5 B- (sf) B- (sf)/Watch Neg
A-2d 288542AE3 B- (sf) B- (sf)/Watch Neg
Ellington Loan Acquisition Trust 2007-2
Series 2007-2
Rating
Class CUSIP To From
A-1 288547AA0 CCC (sf) B- (sf)/Watch Neg
A-2a 288547AB8 B+ (sf) B+ (sf)/Watch Neg
A-2b 288547AC6 CCC (sf) B- (sf)/Watch Neg
A-2c 288547AD4 CCC (sf) B- (sf)/Watch Neg
A-2d 288547AE2 CCC (sf) B- (sf)/Watch Neg
A-2e 288547AR3 B- (sf) B- (sf)/Watch Neg
A-2f 288547AS1 CCC (sf) B- (sf)/Watch Neg
B-1 288547AM4 CC (sf) CCC (sf)
B-2 288547AN2 CC (sf) CCC (sf)
Encore Credit Receivables Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
M-1 126673H96 AA+ (sf) AA+ (sf)/Watch Neg
M-2 126673J29 AA (sf) AA (sf)/Watch Neg
M-3 126673J37 AA- (sf) AA (sf)/Watch Neg
M-4 126673J45 CCC (sf) B (sf)/Watch Neg
M-5 126673J52 CC (sf) CCC (sf)
Encore Credit Receivables Trust 2005-3
Series 2005-3
Rating
Class CUSIP To From
2-A-3 29256PAD6 AAA (sf) AAA (sf)/Watch Neg
M-1 29256PAE4 AA+ (sf) AA+ (sf)/Watch Neg
M-2 29256PAF1 AA+ (sf) AA+ (sf)/Watch Neg
M-3 29256PAG9 AA (sf) AA (sf)/Watch Neg
M-4 29256PAH7 BB (sf) AA- (sf)/Watch Neg
M-5 29256PAJ3 CCC (sf) A+ (sf)/Watch Neg
M-6 29256PAK0 CC (sf) B+ (sf)/Watch Neg
M-7 29256PAL8 CC (sf) CCC (sf)
FFMLT Trust 2006-FF4
Series 2006-FF4
Rating
Class CUSIP To From
A-2 362334FS8 B (sf) BBB+ (sf)/Watch Neg
A-3 362334FT6 B (sf) BBB+ (sf)/Watch Neg
M-2 362334FW9 CC (sf) CCC (sf)
Fieldstone Mortgage Investment Trust Series 2005-1
Series 2005-1
Rating
Class CUSIP To From
M6 31659TDF9 CCC (sf) B- (sf)/Watch Neg
Fieldstone Mortgage Investment Trust, Series 2007-1
Series 2007-1
Rating
Class CUSIP To From
I-A 31659YAA2 CCC (sf) B+ (sf)/Watch Neg
2-A1 31659YAB0 CCC (sf) B+ (sf)/Watch Neg
2-A2 31659YAC8 CCC (sf) B- (sf)/Watch Neg
2-A3 31659YAD6 CCC (sf) B- (sf)/Watch Neg
First Franklin Mortgage Loan Trust 2005-FF1
Series 2005-FF1
Rating
Class CUSIP To From
M-1 32027NQL8 BB+ (sf) A- (sf)/Watch Neg
M-3 32027NQN4 CC (sf) CCC (sf)
First Franklin Mortgage Loan Trust 2006-FF1
Series 2006-FF1
Rating
Class CUSIP To From
I-A 32027NYL9 AAA (sf) AAA (sf)/Watch Neg
II-A-3 32027NYP0 AA+ (sf) AA+ (sf)/Watch Neg
II-A-4 32027NYQ8 AA+ (sf) AA+ (sf)/Watch Neg
M-1 32027NYR6 B+ (sf) BB+ (sf)/Watch Neg
M-2 32027NYS4 CCC (sf) B- (sf)/Watch Neg
M-3 32027NYT2 CC (sf) CCC (sf)
M-4 32027NYU9 CC (sf) CCC (sf)
First Franklin Mortgage Loan Trust 2006-FF2
Series 2006-FF2
Rating
Class CUSIP To From
A1 32027NZX2 CCC (sf) BB- (sf)/Watch Neg
A4 32027NA27 B- (sf) A (sf)/Watch Neg
A5 32027NA35 CCC (sf) B+ (sf)/Watch Neg
Fremont Home Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
I-A-1 35729PNX4 B (sf) B (sf)/Watch Neg
II-A-3 35729PPA2 B- (sf) B- (sf)/Watch Neg
II-A-4 35729PPB0 B- (sf) B- (sf)/Watch Neg
M-1 35729PPC8 CC (sf) CCC (sf)
GSAMP Trust 2005-HE2
Series 2005-HE2
Rating
Class CUSIP To From
M-2 36242DA60 CC (sf) CCC (sf)
GSAMP Trust 2006-HE2
Series 2006-HE2
Rating
Class CUSIP To From
A-2 362334LG7 AA (sf) AA+ (sf)/Watch Neg
A-3 362334LH5 AA (sf) AA+ (sf)/Watch Neg
M-1 362334LJ1 B- (sf) BBB- (sf)/Watch Neg
M-2 362334LK8 CC (sf) B- (sf)/Watch Neg
M-3 362334LL6 CC (sf) CCC (sf)
GSAMP Trust 2006-NC1
Series 2006-NC1
Rating
Class CUSIP To From
A-2 362334EB6 A (sf) AA+ (sf)/Watch Neg
A-3 362334EC4 A (sf) AA (sf)/Watch Neg
M-1 362334ED2 CCC (sf) BB+ (sf)/Watch Neg
M-2 362334EE0 CC (sf) B- (sf)/Watch Neg
M-3 362334EF7 CC (sf) CCC (sf)
GSAMP Trust 2007-HE2
Series 2007-HE2
Rating
Class CUSIP To From
A-1 362440AA7 CCC (sf) B- (sf)/Watch Neg
A-2A 362440AB5 BB (sf) BB (sf)/Watch Neg
A-2B 362440AC3 CCC (sf) B- (sf)/Watch Neg
A-2C 362440AD1 CCC (sf) B- (sf)/Watch Neg
A-2D 362440AE9 CCC (sf) B- (sf)/Watch Neg
M-1 362440AF6 CC (sf) CCC (sf)
M-2 362440AG4 CC (sf) CCC (sf)
Home Equity Asset Trust 2006-3
Series 2006-3
Rating
Class CUSIP To From
I-A-1 437084UK0 AA+ (sf) AAA (sf)/Watch Neg
2-A-3 437084UN4 AAA (sf) AAA (sf)/Watch Neg
2-A-4 437084UP9 AA (sf) AAA (sf)/Watch Neg
M-1 437084US3 CCC (sf) A- (sf)/Watch Neg
M-2 437084UT1 CC (sf) B (sf)/Watch Neg
M-3 437084UU8 CC (sf) CCC (sf)
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2007-A
Series INABS 2007-A
Rating
Class CUSIP To From
2A-1 43710BAB2 BB- (sf) BB- (sf)/Watch Neg
M-1 43710BAF3 CC (sf) CCC (sf)
HSBC Home Equity Loan Trust (USA) 2006-1
Series 2006-1
Rating
Class CUSIP To From
A-1 40430WAA3 AAA (sf) AAA (sf)/Watch Neg
A-2 40430WAB1 AAA (sf) AAA (sf)/Watch Neg
M-1 40430WAC9 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40430WAD7 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust (USA) 2006-2
Series 2006-2
Rating
Class CUSIP To From
A-1 40430YAA9 AAA (sf) AAA (sf)/Watch Neg
A-2 40430YAB7 AAA (sf) AAA (sf)/Watch Neg
M-1 40430YAC5 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40430YAD3 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust (USA) 2006-3
Series 2006-3
Rating
Class CUSIP To From
A-2F 40430XAC7 AAA (sf) AAA (sf)/Watch Neg
A-2V 40430XAD5 AAA (sf) AAA (sf)/Watch Neg
A-3F 40430XAE3 AAA (sf) AAA (sf)/Watch Neg
A-3V 40430XAF0 AAA (sf) AAA (sf)/Watch Neg
A-4 40430XAG8 AAA (sf) AAA (sf)/Watch Neg
M-1 40430XAH6 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40430XAJ2 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust (USA) 2006-4
Series 2006-4
Rating
Class CUSIP To From
A-2F 40430VAC1 AAA (sf) AAA (sf)/Watch Neg
A-2V 40430VAD9 AAA (sf) AAA (sf)/Watch Neg
A-3F 40430VAE7 AAA (sf) AAA (sf)/Watch Neg
A-3V 40430VAF4 AAA (sf) AAA (sf)/Watch Neg
A-4 40430VAG2 AAA (sf) AAA (sf)/Watch Neg
M-1 40430VAH0 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40430VAJ6 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust (USA) 2007-1
Series 2007-1
Rating
Class CUSIP To From
A-S 40431FAA9 AAA (sf) AAA (sf)/Watch Neg
A-M 40431FAB7 AAA (sf) AAA (sf)/Watch Neg
A-2F 40431FAE1 AAA (sf) AAA (sf)/Watch Neg
A-2V 40431FAF8 AAA (sf) AAA (sf)/Watch Neg
A-3F 40431FAG6 AAA (sf) AAA (sf)/Watch Neg
A-3V 40431FAH4 AAA (sf) AAA (sf)/Watch Neg
A-4 40431FAJ0 AAA (sf) AAA (sf)/Watch Neg
M-1 40431FAK7 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40431FAL5 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust (USA) 2007-2
Series 2007-2
Rating
Class CUSIP To From
A-S 40431MAA4 AAA (sf) AAA (sf)/Watch Neg
A-M 40431MAB2 AAA (sf) AAA (sf)/Watch Neg
A-2F 40431MAE6 AAA (sf) AAA (sf)/Watch Neg
A-2V 40431MAF3 AAA (sf) AAA (sf)/Watch Neg
A-3F 40431MAG1 AAA (sf) AAA (sf)/Watch Neg
A-3V 40431MAH9 AAA (sf) AAA (sf)/Watch Neg
A-4 40431MAJ5 AAA (sf) AAA (sf)/Watch Neg
M-1 40431MAK2 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40431MAL0 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust (USA) 2007-3
Series 2007-3
Rating
Class CUSIP To From
A-PT 40431XAA0 AAA (sf) AAA (sf)/Watch Neg
A-1 40431XAB8 AAA (sf) AAA (sf)/Watch Neg
A-2 40431XAC6 AAA (sf) AAA (sf)/Watch Neg
A-3 40431XAD4 AAA (sf) AAA (sf)/Watch Neg
A-4 40431XAE2 AAA (sf) AAA (sf)/Watch Neg
M-1 40431XAF9 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40431XAG7 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
A 40430GAA8 AAA (sf) AAA (sf)/Watch Neg
M 40430GAB6 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
A-1 40430GAC4 AAA (sf) AAA (sf)/Watch Neg
A-2 40430GAD2 AAA (sf) AAA (sf)/Watch Neg
M-1 40430GAE0 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40430GAF7 AA (sf) AA (sf)/Watch Neg
HSBC Home Equity Loan Trust 2005-3
Series 2005-3
Rating
Class CUSIP To From
A-1 40430GAG5 AAA (sf) AAA (sf)/Watch Neg
A-2 40430GAH3 AAA (sf) AAA (sf)/Watch Neg
M-1 40430GAJ9 AA+ (sf) AA+ (sf)/Watch Neg
M-2 40430GAK6 AA (sf) AA (sf)/Watch Neg
HSI Asset Securitization Corporation Trust 2007-OPT1
Series 2007-OPT1
Rating
Class CUSIP To From
I-A 40431JAA1 CCC (sf) BBB- (sf)/Watch Neg
II-A-1 40431JAB9 BB+ (sf) A (sf)/Watch Neg
II-A-2 40431JAC7 CCC (sf) BBB (sf)/Watch Neg
II-A-3 40431JAD5 CCC (sf) BB+ (sf)/Watch Neg
II-A-4 40431JAE3 CCC (sf) BB+ (sf)/Watch Neg
M-1 40431JAF0 CC (sf) CCC (sf)
M-2 40431JAG8 CC (sf) CCC (sf)
HSI Asset Securitization Corporation Trust 2007-WF1
Series 2007-WF1
Rating
Class CUSIP To From
I-A 40431RAA3 CCC (sf) B- (sf)/Watch Neg
II-A-1 40431RAB1 BBB (sf) BBB (sf)/Watch Neg
II-A-2 40431RAC9 B- (sf) B- (sf)/Watch Neg
II-A-3 40431RAD7 CCC (sf) B- (sf)/Watch Neg
II-A-4 40431RAE5 CCC (sf) B- (sf)/Watch Neg
M-1 40431RAF2 CC (sf) CCC (sf)
M-2 40431RAG0 CC (sf) CCC (sf)
JPMorgan Mortgage Acquisition Trust 2007-CH2
Series 2007-CH2
Rating
Class CUSIP To From
MF-1 46630MAH5 CC (sf) CCC (sf)
MF-2 46630MAJ1 CC (sf) CCC (sf)
MF-3 46630MAK8 CC (sf) CCC (sf)
AV-1 46630MAS1 B (sf) B (sf)/Watch Neg
AV-2 46630MAT9 BBB- (sf) BBB- (sf)/Watch Neg
AV-3 46630MAU6 B- (sf) B (sf)/Watch Neg
AV-4 46630MAV4 B- (sf) B- (sf)/Watch Neg
AV-5 46630MAW2 B- (sf) B- (sf)/Watch Neg
MV-6 46630MBC5 CC (sf) CCC (sf)
Long Beach Mortgage Loan Trust 2006-WL1
Series 2006-WL1
Rating
Class CUSIP To From
I-A1 542514QP2 BB (sf) BB (sf)/Watch Neg
I-A2 542514QQ0 BB (sf) BB (sf)/Watch Neg
I-A3 542514QR8 BB (sf) BB (sf)/Watch Neg
II-A3 542514QU1 BB (sf) BB (sf)/Watch Neg
II-A4 542514QV9 BB (sf) BB (sf)/Watch Neg
M-2 542514QX5 CC (sf) CCC (sf)
Long Beach Mortgage Loan Trust 2006-WL2
Series 2006-WL2
Rating
Class CUSIP To From
I-A1 542514RZ9 CCC (sf) B- (sf)/Watch Neg
II-A3 542514SC9 B (sf) BB+ (sf)/Watch Neg
Long Beach Mortgage Loan Trust 2006-WL3
Series 2006-WL3
Rating
Class CUSIP To From
I-A 542514SS4 CCC (sf) B- (sf)/Watch Neg
II-A3 542514SV7 CCC (sf) BB- (sf)/Watch Neg
MASTR Asset Backed Securities Trust 2007-NCW
Series 2007-NCW
Rating
Class CUSIP To From
M-4 576456AF4 CC (sf) CCC (sf)
M-5 576456AG2 CC (sf) CCC (sf)
M-6 576456AH0 CC (sf) CCC (sf)
M-7 576456AJ6 CC (sf) CCC (sf)
M-8 576456AK3 CC (sf) CCC (sf)
M-9 576456AL1 CC (sf) CCC (sf)
Mid-State Capital Corporation 2005-1 Trust
Series 2005-1
Rating
Class CUSIP To From
A 595481AA0 AAA (sf) AAA (sf)/Watch Neg
M-1 595481AB8 AA (sf) AA (sf)/Watch Neg
M-2 595481AC6 A (sf) A (sf)/Watch Neg
B 595481AD4 BBB (sf) BBB (sf)/Watch Neg
Mid-State Cap Corp. 2006-1 Trust
Series 2006-1
Rating
Class CUSIP To From
A Notes 59548PAA7 AAA (sf) AAA (sf)/Watch Neg
M-1 Notes 59548PAB5 AA (sf) AA (sf)/Watch Neg
M-2 Notes 59548PAC3 B (sf) A (sf)/Watch Neg
B Notes 59548PAD1 CC (sf) BB (sf)/Watch Neg
Morgan Stanley ABS Capital I Inc. Trust 2005-HE1
Series 2005-HE1
Rating
Class CUSIP To From
M-1 61744CKN5 AA+ (sf) AA+ (sf)/Watch Neg
M-2 61744CKP0 A (sf) AA (sf)/Watch Neg
M-3 61744CKQ8 B- (sf) A (sf)/Watch Neg
M-4 61744CKR6 CCC (sf) BBB (sf)/Watch Neg
M-5 61744CKS4 CCC (sf) BBB- (sf)/Watch Neg
M-6 61744CKT2 CC (sf) BB (sf)/Watch Neg
B-1 61744CKU9 CC (sf) BB- (sf)/Watch Neg
B-2 61744CKV7 CC (sf) B- (sf)/Watch Neg
B-3 61744CKW5 CC (sf) CCC (sf)
Morgan Stanley ABS Capital I Inc. Trust 2005-HE2
Series 2005-HE2
Rating
Class CUSIP To From
A-3b 61744CMZ6 AAA (sf) AAA (sf)/Watch Neg
M-1 61744CNB8 AA (sf) AA (sf)/Watch Neg
M-2 61744CNC6 AA (sf) AA (sf)/Watch Neg
M-3 61744CND4 B- (sf) AA- (sf)/Watch Neg
M-4 61744CNE2 CCC (sf) A+ (sf)/Watch Neg
M-5 61744CNF9 CC (sf) BBB+ (sf)/Watch Neg
M-6 61744CNG7 CC (sf) BB (sf)/Watch Neg
B-1 61744CNH5 CC (sf) B- (sf)/Watch Neg
B-2 61744CNJ1 CC (sf) B- (sf)/Watch Neg
B-3 61744CNK8 CC (sf) CCC (sf)
Morgan Stanley ABS Capital I Inc. Trust 2006-NC1
Series 2006-NC1
Rating
Class CUSIP To From
A-3 61744CXZ4 AA+ (sf) AAA (sf)/Watch Neg
A-4 61744CYA8 AA+ (sf) AAA (sf)/Watch Neg
M-1 61744CYB6 B- (sf) A+ (sf)/Watch Neg
M-2 61744CYC4 CC (sf) B+ (sf)/Watch Neg
M-3 61744CYD2 CC (sf) B- (sf)/Watch Neg
M-4 61744CYE0 CC (sf) CCC (sf)
Morgan Stanley Home Equity Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
A-1 61744CXH4 AAA (sf) AAA (sf)/Watch Neg
A-2b 61744CWW2 AAA (sf) AAA (sf)/Watch Neg
A-2c 61744CWX0 AAA (sf) AAA (sf)/Watch Neg
M-1 61744CWY8 B- (sf) BB+ (sf)/Watch Neg
M-3 61744CXA9 CC (sf) CCC (sf)
New Century Home Equity Loan Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
A-2c 64352VJY8 AAA (sf) AAA (sf)/Watch Neg
M-1 64352VKA8 AA (sf) AA (sf)/Watch Neg
M-2 64352VKB6 AA (sf) AA (sf)/Watch Neg
M-3 64352VKC4 AA- (sf) AA- (sf)/Watch Neg
M-4 64352VKD2 BB (sf) BBB (sf)/Watch Neg
M-5 64352VKE0 B- (sf) BB (sf)/Watch Neg
M-6 64352VKF7 CCC (sf) B (sf)/Watch Neg
M-7 64352VKG5 CC (sf) CCC (sf)
M-8 64352VKH3 CC (sf) CCC (sf)
New Century Home Equity Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
A-1 64352VQP9 B+ (sf) AAA (sf)/Watch Neg
A-2b 64352VQR5 B- (sf) AA+ (sf)/Watch Neg
A-2c 64352VQS3 B- (sf) AA+ (sf)/Watch Neg
M-1 64352VQT1 CC (sf) B- (sf)/Watch Neg
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-FM1
Series 2006-FM1
Rating
Class CUSIP To From
I-A 65536HBT4 BB (sf) BBB- (sf)/Watch Neg
II-A-3 65536HBW7 B- (sf) B- (sf)/Watch Neg
II-A-4 65536HBX5 B- (sf) B- (sf)/Watch Neg
M-1 65536HBY3 CC (sf) CCC (sf)
NovaStar Mortgage Funding Trust, Series 2007-2
Series 2007-2
Rating
Class CUSIP To From
A-2A 66989EAB1 BBB (sf) A (sf)/Watch Neg
M-1 66989EAF2 CC (sf) CCC (sf)
M-2 66989EAG0 CC (sf) CCC (sf)
M-3 66989EAH8 CC (sf) CCC (sf)
M-4 66989EAJ4 CC (sf) CCC (sf)
M-5 66989EAK1 CC (sf) CCC (sf)
Option One Mortgage Loan Trust 2007-HL1
Series 2007-HL1
Rating
Class CUSIP To From
II-A-1 68402SAB5 BBB (sf) A (sf)/Watch Neg
Ownit Mortgage Loan Trust, Series 2006-3
Series 2006-3
Rating
Class CUSIP To From
A-1 69121PDU4 A+ (sf) AA- (sf)/Watch Neg
A-2C 69121PDX8 B+ (sf) BB (sf)/Watch Neg
A-2D 69121PDY6 B+ (sf) BB (sf)/Watch Neg
M-1 69121PDZ3 CC (sf) CCC (sf)
M-2 69121PEA7 CC (sf) CCC (sf)
People's Choice Home Loan Securities Trust Series 2005-1
Series 2005-1
Rating
Class CUSIP To From
M2 71085PBL6 AA (sf) AA (sf)/Watch Neg
M3 71085PBM4 AA- (sf) AA- (sf)/Watch Neg
M4 71085PBN2 CCC (sf) BBB (sf)/Watch Neg
RASC Series 2007-KS4 Trust
Series 2007-KS4
Rating
Class CUSIP To From
A-1 74924NAA5 BB (sf) BBB- (sf)/Watch Neg
M-1S 74924NAE7 CC (sf) CCC (sf)
M-2S 74924NAF4 CC (sf) CCC (sf)
Renaissance Home Equity Loan Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
AV-2 759950GR3 AAA (sf) AAA (sf)/Watch Neg
AV-3 759950GS1 B- (sf) BBB+ (sf)/Watch Neg
AF-3 759950GV4 CCC (sf) BBB (sf)/Watch Neg
AF-4 759950GW2 CCC (sf) BBB (sf)/Watch Neg
AF-5 759950GX0 CCC (sf) BBB (sf)/Watch Neg
AF-6 759950GY8 CCC (sf) BBB (sf)/Watch Neg
M-1 759950GZ5 CCC (sf) B- (sf)/Watch Neg
M-2 759950HA9 CC (sf) CCC (sf)
M-3 759950HB7 CC (sf) CCC (sf)
M-4 759950HC5 CC (sf) CCC (sf)
Renaissance Home Equity Loan Trust 2006-2
Series 2006-2
Rating
Class CUSIP To From
AV-2 759676AB5 B (sf) BB- (sf)/Watch Neg
AV-3 759676AC3 CCC (sf) B (sf)/Watch Neg
AF-2 759676AE9 B (sf) B (sf)/Watch Neg
AF-3 759676AF6 CCC (sf) B- (sf)/Watch Neg
AF-4 759676AG4 CCC (sf) B- (sf)/Watch Neg
AF-5 759676AH2 CCC (sf) B- (sf)/Watch Neg
AF-6 759676AJ8 CCC (sf) B- (sf)/Watch Neg
M-1 759676AK5 CC (sf) CCC (sf)
M-2 759676AL3 CC (sf) CCC (sf)
M-3 759676AM1 CC (sf) CCC (sf)
Renaissance Home Equity Loan Trust 2007-2
Series 2007-2
Rating
Class CUSIP To From
AV-1 75970QAA8 AAA (sf) AAA (sf)/Watch Neg
M-1 75970QAK6 CC (sf) CCC (sf)
Renaissance Home Equity Loan Trust 2007-3
Series 2007-3
Rating
Class CUSIP To From
AV-1 75971FAA1 CCC (sf) AAA (sf)/Watch Neg
AV-2 75971FAB9 B (sf) B+ (sf)/Watch Neg
AF-1 75971FAD5 CCC (sf) B+ (sf)/Watch Neg
M-1 75971FAK9 CC (sf) CCC (sf)
M-2 75971FAL7 CC (sf) CCC (sf)
M-3 75971FAM5 CC (sf) CCC (sf)
M-4 75971FAN3 CC (sf) CCC (sf)
M-5 75971FAP8 CC (sf) CCC (sf)
M-6 75971FAQ6 CC (sf) CCC (sf)
Saxon Asset Securities Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
M-1 805564RM5 AA+ (sf) AA+ (sf)/Watch Neg
M-2 805564RN3 BBB (sf) BBB (sf)/Watch Neg
M-3 805564RP8 B+ (sf) B+ (sf)/Watch Neg
SG Mortgage Securities Trust 2005-OPT1
Series 2005-OPT1
Rating
Class CUSIP To From
A2 81879MAB5 AAA (sf) AAA (sf)/Watch Neg
A3 81879MAC3 AAA (sf) AAA (sf)/Watch Neg
M1 81879MAD1 AA+ (sf) AA+ (sf)/Watch Neg
M2 81879MAE9 BBB (sf) AA (sf)/Watch Neg
M3 81879MAF6 B- (sf) BBB (sf)/Watch Neg
M4 81879MAG4 CCC (sf) B (sf)/Watch Neg
M5 81879MAH2 CC (sf) CCC (sf)
M6 81879MAJ8 CC (sf) CCC (sf)
Soundview Home Loan Trust 2006-OPT1
Series 2006-OPT1
Rating
Class CUSIP To From
I-A-1 83611MLR7 A (sf) AAA (sf)/Watch Neg
II-A-3 83611MLY2 A- (sf) AAA (sf)/Watch Neg
II-A-4 83611MLZ9 A- (sf) AAA (sf)/Watch Neg
M-1 83611MLS5 CC (sf) B (sf)/Watch Neg
M-2 83611MMA3 CC (sf) B- (sf)/Watch Neg
M-3 83611MMB1 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust 2007-
BC3
Series 2007-BC3
Rating
Class CUSIP To From
1-A1 86363WAA7 BB (sf) BBB- (sf)/Watch Neg
1-A2 86363WAB5 CCC (sf) B- (sf)/Watch Neg
2-A1 86363WAE9 BB+ (sf) BBB- (sf)/Watch Neg
2-A2 86363WAF6 CCC (sf) B- (sf)/Watch Neg
1-M1 86363WAJ8 CC (sf) CCC (sf)
2-M1 86363WAK5 CC (sf) CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust 2007-
MLN1
Series 2007-MLN1
Rating
Class CUSIP To From
A2 863613AB1 BBB (sf) BBB (sf)/Watch Neg
A3 863613AC9 B (sf) BBB- (sf)/Watch Neg
M2 863613AG0 CC (sf) CCC (sf)
Terwin Mortgage Trust 2005-4HE
Series 2005-4HE
Rating
Class CUSIP To From
M-4 881561SF2 CC (sf) CCC (sf)
WaMu Asset Backed Certificates Series 2007-HE3 Trust
Series 2007-HE3
Rating
Class CUSIP To From
I-A 93364EAA2 CCC (sf) B- (sf)/Watch Neg
II-A1 93364EAB0 BB (sf) BB (sf)/Watch Neg
II-A-2 93364EAC8 CCC (sf) B- (sf)/Watch Neg
II-A3 93364EAD6 CCC (sf) B- (sf)/Watch Neg
II-A4 93364EAE4 CCC (sf) B- (sf)/Watch Neg
II-A5 93364EAF1 CCC (sf) B- (sf)/Watch Neg
M-1 93364EAG9 CC (sf) CCC (sf)
M-2 93364EAH7 CC (sf) CCC (sf)
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust
Series 2005-2
Rating
Class CUSIP To From
AI-1B 94981PAB6 AAA (sf) AAA (sf)/Watch Neg
AII-3 94981PAT7 AAA (sf) AAA (sf)/Watch Neg
M-1 94981PAD2 AA+ (sf) AA+ (sf)/Watch Neg
M-2 94981PAE0 AA+ (sf) AA+ (sf)/Watch Neg
M-3 94981PAF7 AA (sf) AA (sf)/Watch Neg
M-4 94981PAG5 AA (sf) AA (sf)/Watch Neg
M-5 94981PAH3 AA- (sf) AA- (sf)/Watch Neg
M-6 94981PAJ9 A+ (sf) A+ (sf)/Watch Neg
M-7 94981PAK6 BBB+ (sf) A (sf)/Watch Neg
M-8 94981PAL4 BB- (sf) BBB (sf)/Watch Neg
M-9 94981PAM2 CCC (sf) B (sf)/Watch Neg
M-10 94981PAN0 CC (sf) CCC (sf)
M-11 94981PAP5 CC (sf) CCC (sf)
M-12 94981PAQ3 CC (sf) CCC (sf)
Ratings Affirmed
2004-CB8 Trust
Series 2004-CB8
Class CUSIP Rating
M-2 59020UPS8 CCC (sf)
M-3 59020UPT6 CCC (sf)
B-1 59020UPU3 CC (sf)
B-2 59020UPV1 CC (sf)
B-3 59020UPW9 CC (sf)
ACE Securities Corp Home Equity Loan Trust Series 2005-WF1
Series 2005-WF1
Class CUSIP Rating
M-11 004421QZ9 CC (sf)
ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2
Series 2007-ASAP2
Class CUSIP Rating
A-1 00442UAA7 CCC (sf)
A-2B 00442UAC3 CCC (sf)
A-2C 00442UAD1 CCC (sf)
A-2D 00442UAE9 CCC (sf)
Aegis Asset Backed Securities Trust 2005-1
Series 2005-1
Class CUSIP Rating
M6 00764MEQ6 CC (sf)
B1 00764MER4 CC (sf)
N2 00764MEV5 CCC (sf)
Ameriquest Mortgage Securities Inc.
Series 2005-R1
Class CUSIP Rating
A-2A 03072SXS9 AAA (sf)
Argent Securities Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W4
Series 2005-W4
Class CUSIP Rating
A-1A3 040104QH7 CCC (sf)
A-1B 040104QJ3 CCC (sf)
A-2D 040104PT2 CCC (sf)
Bear Stearns Asset Backed Securities I Trust 2007-HE1
Series 2007-HE1
Class CUSIP Rating
II-M-5 07389UAX7 CC (sf)
Bear Stearns Asset Backed Securities I Trust 2007-HE5
Series 2007-HE5
Class CUSIP Rating
I-A-2 073859AB6 CCC (sf)
I-A-3 073859AC4 CCC (sf)
I-A-4 073859AD2 CCC (sf)
II-A 073859AE0 CCC (sf)
III-A 073859AF7 CCC (sf)
M-1 073859AG5 CCC (sf)
M-2 073859AH3 CCC (sf)
M-3 073859AJ9 CCC (sf)
M-4 073859AK6 CC (sf)
M-5 073859AL4 CC (sf)
M-6 073859AM2 CC (sf)
M-7 073859AN0 CC (sf)
M-8 073859AP5 CC (sf)
Carrington Mortgage Loan Trust, Series 2007-FRE1
Series 2007-FRE1
Class CUSIP Rating
M2 144527AF5 CCC (sf)
M8 144527AM0 CC (sf)
M9 144527AN8 CC (sf)
M10 144527AP3 CC (sf)
C-BASS 2007-CB4 Trust
Series 2007-CB4
Class CUSIP Rating
A-1B 1248MEAB5 CCC (sf)
A-1C 1248MEAC3 CCC (sf)
A-2B 1248MEAE9 CCC (sf)
A-2C 1248MEAF6 CCC (sf)
A-2D 1248MEAG4 CCC (sf)
Citigroup Mortgage Loan Trust 2007-AMC3
Series 2007-AMC3
Class CUSIP Rating
A-1 17312EAA4 CCC (sf)
A-2B 17312EAC0 CCC (sf)
A-2C 17312EAD8 CCC (sf)
A-2D 17312EAE6 CCC (sf)
Citigroup Mortgage Loan Trust 2007-WFHE2
Series 2007-WFHE2
Class CUSIP Rating
M1 17312BAE2 CCC (sf)
M2 17312BAF9 CCC (sf)
M6 17312BAK8 CC (sf)
Citigroup Mortgage Loan Trust 2007-WFHE4
Series 2007-WFHE4
Class CUSIP Rating
M-1 17313JAF1 CCC (sf)
M-2 17313JAJ3 CCC (sf)
M-3A 17313JAK0 CCC (sf)
M-3B 17313JAL8 CCC (sf)
M-4 17313JAM6 CCC (sf)
Citigroup Mortgage Loan Trust, Series 2005-OPT1
Series 2005-OPT1
Class CUSIP Rating
M-6 17307GNW4 CCC (sf)
CSFB Home Equity Pass-Through Certificates, Series 2005-FIX1 Trust
Series 2005-FIX1
Class CUSIP Rating
M-7 22541S6B9 CC (sf)
CWABS Asset Backed Certificates Trust 2007-9
Series 2007-9
Class CUSIP Rating
M-1 12670FAF7 CCC (sf)
M-2 12670FAG5 CCC (sf)
M-9 12670FAP5 CC (sf)
B 12670FAQ3 CC (sf)
CWABS Asset-Backed Certificates Trust 2006-3
Series 2006-3
Class CUSIP Rating
M-2 126670WD6 CCC (sf)
M-3 126670WE4 CCC (sf)
M-6 126670WH7 CC (sf)
CWABS Asset-Backed Certificates Trust 2006-4
Series 2006-4
Class CUSIP Rating
M-2 126670WW4 CCC (sf)
M-6 126670XA1 CC (sf)
CWABS Asset-Backed Certificates Trust 2006-6
Series 2006-6
Class CUSIP Rating
M-1 126670ZN1 CCC (sf)
M-4 126670ZR2 CC (sf)
M-5 126670ZS0 CC (sf)
CWABS Asset-Backed Certificates Trust 2007-3
Series 2007-3
Class CUSIP Rating
M-1 12668UAJ0 CCC (sf)
CWABS Asset-Backed Certificates Trust 2007-7
Series 2007-7
Class CUSIP Rating
M-1 12669VAF5 CCC (sf)
M-6 12669VAL2 CC (sf)
M-7 12669VAM0 CC (sf)
M-8 12669VAN8 CC (sf)
Ellington Loan Acquisition Trust 2007-1
Series 2007-1
Class CUSIP Rating
A-1 288542AA1 CCC (sf)
M-1 288542AF0 CCC (sf)
M-2 288542AG8 CCC (sf)
M-3 288542AH6 CCC (sf)
M-4 288542AJ2 CCC (sf)
M-5 288542AK9 CC (sf)
M-6 288542AL7 CC (sf)
B-1 288542AM5 CC (sf)
B-2 288542AN3 CC (sf)
B-3 288542AP8 CC (sf)
B-4 288542AQ6 CC (sf)
Ellington Loan Acquisition Trust 2007-2
Series 2007-2
Class CUSIP Rating
M-1a 288547AF9 CCC (sf)
M-1b 288547AT9 CCC (sf)
M-2a 288547AG7 CCC (sf)
M-2b 288547AU6 CCC (sf)
M-3 288547AH5 CCC (sf)
M-4a 288547AJ1 CCC (sf)
M-4b 288547AV4 CCC (sf)
M-5 288547AK8 CCC (sf)
M-6 288547AL6 CCC (sf)
B-3 288547AP7 CC (sf)
B-4 288547AQ5 CC (sf)
Encore Credit Receivables Trust 2005-2
Series 2005-2
Class CUSIP Rating
1-A 126673H39 AAA (sf)
FFMLT Trust 2006-FF4
Series 2006-FF4
Class CUSIP Rating
M-1 362334FV1 CCC (sf)
Fieldstone Mortgage Investment Trust Series 2005-1
Series 2005-1
Class CUSIP Rating
M7 31659TDG7 CC (sf)
Fieldstone Mortgage Investment Trust, Series 2007-1
Series 2007-1
Class CUSIP Rating
M1 31659YAE4 CC (sf)
M2 31659YAF1 CC (sf)
M3 31659YAG9 CC (sf)
M4 31659YAH7 CC (sf)
M5 31659YAJ3 CC (sf)
First Franklin Mortgage Loan Trust 2005-FF1
Series 2005-FF1
Class CUSIP Rating
A-1A 32027NQE4 AAA (sf)
A-1B 32027NQF1 AAA (sf)
A-2C 32027NQU8 AAA (sf)
M-2 32027NQM6 CCC (sf)
B-1 32027NQP9 CC (sf)
B-2 32027NQQ7 CC (sf)
GSAMP Trust 2005-HE2
Series 2005-HE2
Class CUSIP Rating
M-3 36242DA78 CC (sf)
B-1 36242DA86 CC (sf)
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2007-A
Series INABS 2007-A
Class CUSIP Rating
1A 43710BAA4 CCC (sf)
2A-2 43710BAC0 CCC (sf)
2A-3 43710BAD8 CCC (sf)
2A-4a 43710BAE6 CCC (sf)
2A-4b 43710BAS5 CCC (sf)
M-2 43710BAG1 CC (sf)
HSI Asset Securitization Corporation Trust 2007-WF1
Series 2007-WF1
Class CUSIP Rating
M-3 40431RAH8 CC (sf)
JPMorgan Mortgage Acquisition Trust 2007-CH2
Series 2007-CH2
Class CUSIP Rating
AF-2 46630MAC6 CCC (sf)
AF-3 46630MAD4 CCC (sf)
AF-4 46630MAE2 CCC (sf)
AF-5 46630MAF9 CCC (sf)
AF-6 46630MAG7 CCC (sf)
MF-4 46630MAL6 CC (sf)
MV-1 46630MAX0 CCC (sf)
MV-2 46630MAY8 CCC (sf)
MV-3 46630MAZ5 CCC (sf)
MV-4 46630MBA9 CCC (sf)
MV-5 46630MBB7 CCC (sf)
MV-7 46630MBD3 CC (sf)
MV-8 46630MBE1 CC (sf)
MV-9 46630MBF8 CC (sf)
Long Beach Mortgage Loan Trust 2006-WL1
Series 2006-WL1
Class CUSIP Rating
M-1 542514QW7 CCC (sf)
Long Beach Mortgage Loan Trust 2006-WL2
Series 2006-WL2
Class CUSIP Rating
II-A4 542514SD7 CCC (sf)
Long Beach Mortgage Loan Trust 2006-WL3
Series 2006-WL3
Class CUSIP Rating
II-A4 542514SW5 CCC (sf)
MASTR Asset Backed Securities Trust 2007-NCW
Series 2007-NCW
Class CUSIP Rating
A-1 576456AA5 AA+ (sf)
A-2 576456AB3 AA+ (sf)
M-1 576456AC1 CCC (sf)
M-2 576456AD9 CCC (sf)
M-3 576456AE7 CCC (sf)
Morgan Stanley ABS Capital I Inc. Trust 2005-HE1
Series 2005-HE1
Class CUSIP Rating
A-1ss 61744CKX3 AAA (sf)
A-2ss 61744CKY1 AAA (sf)
Morgan Stanley ABS Capital I Inc. Trust 2005-HE2
Series 2005-HE2
Class CUSIP Rating
A-1ss 61744CMU7 AAA (sf)
A-2ss 61744CMW3 AAA (sf)
Morgan Stanley Home Equity Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
M-2 61744CWZ5 CCC (sf)
M-4 61744CXB7 CC (sf)
New Century Home Equity Loan Trust 2005-1
Series 2005-1
Class CUSIP Rating
A-1ss 64352VJU6 AAA (sf)
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series
2006-FM1
Series 2006-FM1
Class CUSIP Rating
M-2 65536HBZ0 CC (sf)
NovaStar Mortgage Funding Trust, Series 2007-2
Series 2007-2
Class CUSIP Rating
A-1A 66989EAA3 CCC (sf)
A-2B 66989EAC9 CCC (sf)
A-2C 66989EAD7 CCC (sf)
A-2D 66989EAE5 CCC (sf)
Option One Mortgage Loan Trust 2007-HL1
Series 2007-HL1
Class CUSIP Rating
I-A-1 68402SAA7 CCC (sf)
II-A-2 68402SAC3 CCC (sf)
II-A-3 68402SAD1 CCC (sf)
II-A-4 68402SAE9 CCC (sf)
People's Choice Home Loan Securities Trust Series 2005-1
Series 2005-1
Class CUSIP Rating
M5 71085PBP7 CCC (sf)
B1 71085PBQ5 CC (sf)
B2 71085PBR3 CC (sf)
RASC Series 2007-KS4 Trust
Series 2007-KS4
Class CUSIP Rating
A-2 74924NAB3 CCC (sf)
A-3 74924NAC1 CCC (sf)
A-4 74924NAD9 CCC (sf)
Renaissance Home Equity Loan Trust 2006-1
Series 2006-1
Class CUSIP Rating
N 759950HK7 CCC (sf)
Renaissance Home Equity Loan Trust 2007-2
Series 2007-2
Class CUSIP Rating
AV-2 75970QAB6 CCC (sf)
AV-3 75970QAC4 CCC (sf)
AF-1 75970QAD2 CCC (sf)
AF-2 75970QAE0 CCC (sf)
AF-3 75970QAF7 CCC (sf)
AF-4 75970QAG5 CCC (sf)
AF-5 75970QAH3 CCC (sf)
AF-6 75970QAJ9 CCC (sf)
N Notes 75970QAU4 CCC (sf)
Renaissance Home Equity Loan Trust 2007-3
Series 2007-3
Class CUSIP Rating
AV-3 75971FAC7 CCC (sf)
AF-2 75971FAE3 CCC (sf)
AF-3 75971FAF0 CCC (sf)
AF-4 75971FAG8 CCC (sf)
AF-5 75971FAH6 CCC (sf)
AF-6 75971FAJ2 CCC (sf)
Saxon Asset Securities Trust 2005-1
Series 2005-1
Class CUSIP Rating
M-4 805564RQ6 CCC (sf)
M-5 805564RR4 CCC (sf)
M-6 805564RS2 CCC (sf)
B-1 805564RT0 CCC (sf)
B-2 805564RU7 CCC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust 2007-
BC3
Series 2007-BC3
Class CUSIP Rating
1-A3 86363WAC3 CCC (sf)
1-A4 86363WAD1 CCC (sf)
2-A3 86363WAG4 CCC (sf)
2-A4 86363WAH2 CCC (sf)
1-M2 86363WAL3 CC (sf)
2-M2 86363WAM1 CC (sf)
1-M3 86363WAN9 CC (sf)
2-M3 86363WAP4 CC (sf)
Structured Asset Securities Corporation Mortgage Loan Trust 2007-
MLN1
Series 2007-MLN1
Class CUSIP Rating
A1 863613AA3 CCC (sf)
A4 863613AD7 CCC (sf)
A5 863613AE5 CCC (sf)
M1 863613AF2 CCC (sf)
M3 863613AH8 CC (sf)
M4 863613AJ4 CC (sf)
M5 863613AK1 CC (sf)
M6 863613AL9 CC (sf)
WaMu Asset Backed Certificates Series 2007-HE3 Trust
Series 2007-HE3
Class CUSIP Rating
M-3 93364EAJ3 CC (sf)
AIRLIE CLO: Moody's Upgrades Rating of Class C Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Airlie CLO 2006-I, Ltd.:
US$287,000,000 Class A-1 Senior Secured Floating Rate Notes Due
May 20, 2020 (current outstanding balance $270,499,946), Upgraded
to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under
Review for Possible Upgrade;
US$16,000,000 Class A-2 Senior Secured Floating Rate Notes Due
May 20, 2020, Upgraded to Aa1 (sf); previously on June 22, 2011 A2
(sf) Placed Under Review for Possible Upgrade;
US$16,500,000 Class B Senior Secured Deferrable Floating Rate
Notes Due May 20, 2020, Upgraded to A1 (sf); previously on
June 22, 2011 Baa1 (sf) Placed Under Review for Possible Upgrade;
US$31,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due May 20, 2020, Upgraded to Ba1 (sf); previously on
June 22, 2011 Ba3 (sf) Placed Under Review for Possible Upgrade;
and
US$8,000,000 Class D Secured Deferrable Floating Rate Notes Due
May 20, 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.
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 $360.7 million,
defaulted par of $0, a weighted average default probability of
19.38% (implying a WARF of 2630), a weighted average recovery rate
upon default of 48.8%, and a diversity score of 62. 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. 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.
Airlie CLO 2006-I, Ltd., issued in May 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.
A source of additional performance uncertainties is 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 generally
analyzes the impact of assuming the worse of reported and
covenanted values for weighted average rating factor, weighted
average spread, and diversity score. However, as part of the base
case, Moody's considered current levels for spread, diversity, and
weighted average rating factor due to the limited time remaining
until the end of reinvestment period.
AMERICREDIT AUTO: Fitch Puts Rating on $22.4 Mil. Notes at 'BBsf'
-----------------------------------------------------------------
Fitch Ratings assigns the following ratings to AmeriCredit
Automobile Receivables Trust, series 2011-4:
-- $164,800,000 class A-1 notes 'F1+sf';
-- $295,000,000 class A-2 notes 'AAAsf'; Outlook Stable;
-- $178,078,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $69,231,000 class B notes 'AAsf'; Outlook Stable;
-- $85,942,000 class C notes 'Asf'; Outlook Stable;
-- $84,509,000 class D notes 'BBBsf'; Outlook Stable;
-- $22,440,000 class E notes 'BBsf'; Outlook Stable.
Fitch's ratings are based on the stable credit quality of the
receivables pool, strong portfolio and securitization performance
and sound origination and servicing practices of AmeriCredit
Financial Services, Inc.
AMERICREDIT AUTOMOBILE: S&P Gives 'BB+' Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
AmeriCredit Automobile Receivables Trust 2011-4's $900 million
automobile receivables-backed notes series 2011-4.
The note issuance is an asset-backed securitization backed by
subprime auto loan receivables.
The ratings reflect S&P's view of:
"The availability of approximately 44.5%, 39.6%, 32.8%, 26.6%,
and 23.4% credit support for the class A, B, C, D, and E
notes (based on stressed cash-flow scenarios, including excess
spread), which provides coverage of more than 3.50x, 3.00x,
2.55x, 1.75x, and 1.60x our 11.75%-12.25% expected cumulative
net loss range for the class A, B, C, D, and E notes. These
credit support levels are commensurate with the assigned 'AAA
(sf)', 'AA (sf)', 'A+ (sf)', 'BBB (sf)', and 'BB+ (sf)'
ratings on the class A, B, C, D, and E notes," S&P stated.
"Our expectation that under a moderate, or 'BBB', stress
scenario, our ratings on the class A, B, and C notes will
remain within one rating category of the ratings (all else
being equal) during the first year. This is within the one-
category tolerance for 'AAA (sf)' and 'AA (sf)' rated
securities and within the two-category tolerance for 'A (sf)'
rated securities, as outlined in our credit stability criteria
(see 'Methodology: Credit Stability Criteria,' published May
3, 2010). In addition, under this moderate stress scenario, we
expect that our ratings on the class D and E notes will remain
within the two-category tolerance for 'BBB' and 'BB' rated
securities over the first year. (The rating stability criteria
do not specify the tolerance for ratings with pluses, only the
rating category)," S&P noted
The credit enhancement in the form of subordination,
overcollateralization, a reserve account, and excess spread.
The timely interest and ultimate principal payments made under
the stressed cash-flow modeling scenarios, which are
consistent with the assigned ratings.
The collateral characteristics of the securitized pool of
subprime auto loans.
General Motors Financial Co. Inc.'s (GM Financial, formerly
known as AmeriCredit Corp.; B+/Stable/--) extensive
securitization performance history going back to 1994. On
March 30, 2011, Standard & Poor's raised its long-term
counterparty credit rating on GM Financial to 'B+' from 'B'
and removed the rating from CreditWatch positive, where it had
placed it on Oct. 8, 2010.
The transaction's payment and legal structures.
Ratings Assigned
AmeriCredit Automobile Receivables Trust 2011-4
Class Rating Type Interest Amount
rate (mil. $)
A-1 A-1+ (sf) Senior Fixed 164.800
A-2 AAA (sf) Senior Fixed 295.000
A-3 AAA (sf) Senior Fixed 178.078
B AA (sf) Subordinate Fixed 69.231
C A+ (sf) Subordinate Fixed 85.942
D BBB (sf) Subordinate Fixed 84.509
E BB+ (sf) Subordinate Fixed 22.440
ATLANTIS FUNDING: S&P Raises Rating on Class C Notes From 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, and C notes from Atlantis Funding Ltd., a
collateralized loan obligation (CLO) transaction managed by
INVESCO Senior Secured Management Inc. "Concurrently, we removed
the ratings on the class A-1, A-2, and B notes from CreditWatch,
where we placed them with positive implications on June 17, 2011,"
S&P stated.
"The upgrades mainly reflect an improvement in the
overcollateralization (O/C) available to support the notes due to
paydowns to the class A-1 notes since Dec 1, 2010, when we
upgraded all of the notes following a decrease in the amount of
defaulted and 'CCC' rated obligations, as well as paydowns to the
class A-1 notes (see 'Atlantis Funding Ltd. Ratings Raised On
Class A-1, A-2, B, And C Notes,' published Dec. 1, 2010). Since
December 2010, and after taking into account the Aug. 22, 2011,
distribution, the class A-1 notes have been paid down by
approximately $185.5 million, which has reduced the notes'
outstanding balance to 21.65% of their original issuance. As a
result of these paydowns, the notes have benefited from an
increase in O/C," S&P related. The trustee reported these O/C
ratios in the Aug. 11, 2011, monthly report:
The class A O/C ratio was 142.65%, compared with a reported
ratio of 124.15% in November 2010;
The class B O/C ratio was 122.70%, compared with a reported
ratio of 113.64% in November 2010; and
The class C O/C ratio was 114.59%, compared with a reported
ratio of 108.97% in November 2010.
"The upgrades also reflect the improvement in the credit
performance of the transaction's underlying asset portfolio since
we raised the ratings on Dec. 1, 2010. As of the August 2011
trustee report, the transaction had $1.92 million of defaulted
assets. This was down from $10.77 million of defaulted assets
noted in the November 2010 trustee report, which we referenced for
our December 2010 rating actions," S&P stated.
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
Atlantis Funding Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
B A+ (sf) BBB+ (sf)/Watch Pos
C BBB+ (sf) BB+ (sf)
Transaction Information
Issuer: Atlantis Funding Ltd.
Coissuer: Atlantis Funding Inc.
Collateral manager: INVESCO Senior Secured Management Inc.
Underwriter: Citigroup Global Markets Inc.
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
ATRIUM IV: Moody's Upgrades Class C Notes Rating to 'Ba1'
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Atrium IV:
US$387,000,000 Class A1-a Floating Rate Notes Due 2019 (current
balance of $369,965,150), Upgraded to Aaa (sf); previously on
June 22, 2011 Aa3 (sf) Placed Under Review for Possible Upgrade;
US$7,000,000 Class A1-b Fixed Rate Notes Due 2019 (current balance
of $6,691,876), Upgraded to Aaa (sf); previously on June 22, 2011
Aa3 (sf) Placed Under Review for Possible Upgrade;
US$100,000,000 Class A2 Delayed Draw Floating Rate Notes Due 2019
(current balance of $95,598,230), Upgraded to Aaa (sf); previously
on June 22, 2011 Aa3 (sf) Placed Under Review for Possible
Upgrade;
US$28,000,000 Class A3 Deferrable Floating Rate Notes Due 2019,
Upgraded to Aa2 (sf); previously on June 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade;
US$35,000,000 Class B Deferrable Floating Rate Notes Due 2019,
Upgraded to A3 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
US$27,500,000 Class C Floating Rate Notes Due 2019, Upgraded to
Ba1 (sf); previously on June 22, 2011 B3 (sf) Placed Under Review
for Possible Upgrade;
US$8,000,000 Class D-1 Floating Rate Notes Due 2019, Upgraded to
Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed Under
Review for Possible Upgrade;
US$3,500,000 Class D-2 Fixed Rate Notes Due 2019, 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 delevering of the senior
notes since the rating action in March 2011. Moody's notes that
the Class A-1a, A-1b, and A-2 Notes have been paid down by
approximately 4.4% or $22 million in aggregate since the rating
action in March 2011. As a result of the delevering, the Class A,
Class B, Class C, and Class D overcollateralization ratios have
increased.
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 $619 million,
defaulted par balance of $13.6 million, a weighted average default
probability of 20.4% (implying a WARF of 2847), a weighted average
recovery rate upon default of 48.7%, and a diversity score of 76.
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.
Atrium IV, issued in June of 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
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.
BANC OF AMERICA: Fitch Cuts Ratings on Five Certificates to 'C'
---------------------------------------------------------------
Fitch Ratings has downgraded six classes and affirmed all
investment grade classes of Banc of America Commercial Mortgage
Inc. (BACM) commercial mortgage pass-through certificates series
2005-4.
The downgrades are the result of greater certainty of expected
losses associated with the specially serviced assets. Fitch
modeled losses of 9.36% of the remaining pool. As a result of the
expected losses on loans currently in special servicing, Fitch
expects classes J through N to be fully depleted and class H to be
significantly impacted.
As of the September 2011 distribution date, the pool's aggregate
principal balance has paid down by 23% to $1.22 billion from
$1.59 billion at issuance, included 2.16% in realized losses. The
transaction currently has $3.8 million in cumulative interest
shortfalls affecting classes H through P.
The largest contributor to Fitch modeled losses (3.6%) is secured
by a multifamily property consisting of 624 units in Kansas City,
MO. Property performance has been impacted due to increasing
vacancies and higher rental concessions as a result of the
additional market competition. As of March 2011, the property was
currently 87.8% occupied down from 90.1% as of year-end (YE) 2010.
The second largest contributor to losses (2.2%) is secured by an
188,040 square foot (sf) office building located in San Juan
Capistrano, CA. The top three tenants are Digibeam Corporation
(6%), Los Golondrinas Mex. Food/Arturo Galindo Jr. (4%), and
SemiConductor Technology Associates Inc. (3%) with lease
expirations in 2013, 2019, and 2013; respectively. There is
approximately 64% of net rentable area (NRA) expiring within the
next three years. Since issuance, property performance has
declined due to lower rents as a result of drops in occupancy. As
of June 2011, the property is currently performing below market
with 72.6% occupancy and average rents at $15.65 per square foot
(psf). Per CoStar, as of the second quarter of 2011 (2Q'11), the
South County market of Orange County, CA was 84.8% occupied with
average asking rents of $23.31 psf. The loan remains current.
The third largest contributor to losses (1.1%) is secured by a
99,819 sf office property located in Hoffman Estates, IL, built in
1992. The loan was transferred to the special servicer in
November 2009 due to delinquency. The loan has been by the
special servicer to include a discounted payoff of $9.5 million,
borrower to pay $50,000 per month in interest payments, personal
guaranty in the amount of $9.5 million, and deed-in-escrow. The
modification agreement expires in December 2011. As of December
2010, the property was 53% occupied.
Fitch downgrades the following classes as indicated:
-- $17.8 million class G to 'CC/RR6 from 'CCCsf/RR6';
-- $23.8 million class H to 'C/RR6' from 'CCsf/RR6';
-- $7.9 million class J to 'C/RR6' from 'CCsf/RR6';
-- $7.9 million class K to 'C/RR6' from 'CCsf/RR6';
-- $7.9 million class L to 'C/RR6' from 'CCsf/RR6';
-- $4.0 million class M to 'C/RR6' from CCsf/RR6'.
Fitch also affirms and revises Rating Outlooks on the following
classes as indicated below:
-- $165.2 million class A-1A at 'AAAsf'; Outlook Stable;
-- $11.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $87.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $70.0 million class A-4 at 'AAAsf'; Outlook Stable;
-- $48 million class A-SB at 'AAAsf'; Outlook Stable;
-- $485.9 million class A-5A at 'AAAsf'; Outlook Stable;
-- $69.4 million class A-5B at 'AAAsf'; Outlook Stable;
-- $97.1 million class A-J at 'BBB-sf''; Outlook Stable;
-- $31.7 million class B at 'BBsf'; Outlook revised to Stable
from Negative;
-- $15.9 million class C at 'BBsf'; Outlook revised to Stable
from Negative;
-- $29.7 million class D at 'B-sf '; Outlook Negative;
-- $17.8 million class E at 'CCCsf/RR1';
-- $19.8 million class F at 'CCCsf/RR4';
-- $1.4 million class N at 'D/RR6'.
Class O has been depleted and remains at 'D/RR6' due to principal
losses incurred.
The non-rated class P has been depleted due to losses. Class A-1
has been paid in full.
Fitch had previously withdrawn the ratings on the interest-only
classes X-P and X-C.
BANC OF AMERICA: Moody's Affirms Rating of Cl. J Notes at 'Ba3'
---------------------------------------------------------------
Moody's Investors Service (Moody's) upgraded the ratings of four
classes and affirmed 13 classes of Banc of America Commercial
Mortgage Inc., Commercial Mortgage Pass-Through Certificates,
Series 2004-5:
Cl. A-3, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Upgraded to Aaa (sf); previously on Apr 22, 2011 Upgraded
to Aa1 (sf)
Cl. C, Upgraded to Aaa (sf); previously on Apr 22, 2011 Upgraded
to Aa2 (sf)
Cl. D, Upgraded to Aa3 (sf); previously on Nov 29, 2004 Definitive
Rating Assigned A2 (sf)
Cl. E, Upgraded to A2 (sf); previously on Nov 29, 2004 Definitive
Rating Assigned A3 (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Nov 29, 2004
Definitive Rating Assigned Baa1 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Nov 29, 2004
Definitive Rating Assigned Baa2 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on Nov 29, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. J, Affirmed at Ba3 (sf); previously on May 12, 2010 Downgraded
to Ba3 (sf)
Cl. K, Affirmed at B3 (sf); previously on May 12, 2010 Downgraded
to B3 (sf)
Cl. L, Affirmed at Caa2 (sf); previously on May 12, 2010
Downgraded to Caa2 (sf)
Cl. X-P, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
Cl. XC, Affirmed at Aaa (sf); previously on Nov 29, 2004
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The upgrades are due to an increase in subordination from loan
payoffs and amortization and overall stable pool performance. The
deal's balance has paid down by 26% since Moody's last review in
April 2011.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
3.8% of the current pooled balance as compared to 4.2% at last
review. Moody's current base expected loss plus cumulative
realized losses is 2.1% of the original pooled balance as compared
to 2.7% at last review. Moody's stressed scenario loss is 10.2% of
the current pooled balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to the pace of
the recovery of the broader economy. Core office markets are
showing signs of recovery through lending and leasing activity.
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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions," published in
September 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The pool has a Herf of 34 as compared to 18
at last review. The increase in Herf is primarily attributed to
the payoff of the deal's largest loan. The Bank of America Center
Loan was $137 million or 17% of the pooled balance when it was
paid off last month. The remaining pool is more diverse.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated April 22, 2011.
DEAL PERFORMANCE
As of the September 12, 2011 distribution date, the deal's
aggregate certificate balance has decreased by 56% to $597 million
from $1.4 billion at securitization. The Certificates are
collateralized by 73 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans representing 36% of
the pool. Five loans, representing 13% of the pool, have defeased
and are secured by U.S. Government securities. The pool does not
contain any remaining loans with credit estimates.
Twenty-one loans, representing 29% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC; formerly the Commercial Mortgage
Securities Association) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6 million (5% average loss severity).
Four loans, representing 5% of the pool, were in special servicing
as of the most recent remittance report. However, the largest
specially serviced loan was recently transferred back to the
Master Servicer. The loan in question is The Falls at Ocotillo
Loan ($14 million -- 2.4% of the pool), which is secured by a
70,000 square foot (SF) retail property in Chandler, Arizona. The
loan transferred to special servicing in March 2011 due to the
borrower's request to temporarily convert loan repayment to
interest only. The borrower subsequently rescinded his
modification request and brought the loan current.
The remaining three specially serviced loans are secured by a
mix of multifamily, office, and self storage property types. The
master servicer has not recognized an appraisal reduction for
any of the specially serviced loans. Moody's has estimated a
$5 million loss (22% expected loss based on an 50% probability
of default) for three of the four specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans representing 9% of the pool and has estimated a
$8 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided full year 2010 and 2011 part-year operating
results for 99% and 78% of the conduit loans, respectively. The
conduit portion of the pool excludes specially serviced, defeased
and troubled loans. Moody's weighted average conduit LTV is 89%
compared to 88% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 12% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.3%.
Moody's actual and stressed conduit DSCRs are 1.41X and 1.21X,
respectively, compared to 1.47X and 1.22X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 16% of the pool.
The largest loan is the Cheltenham Square Mall Loan ($54 million -
- 9.0% of the pool), which is secured by a the borrower's interest
in a 650,000 SF anchored mall located in Philadelphia,
Pennsylvania. The mall is shadow anchored by Home Depot and
Target. Collateral anchor tenants include Burlington Coat Factory
and a ShopRite grocery. The loan was in special servicing at last
review due to the borrower's request for a loan modification. The
borrower rescinded its modification request and the loan
transferred back to the Master Servicer. The loan is currently on
the master servicer's watchlist although the servicer has
indicated that the loan will be removed from the watchlist
shortly. The borrower has leased-up some of the vacant space to
bring total mall and in-line occupancy to 96% and 93%,
respectively, as of 6/30/2011. Moody's LTV and stressed DSCR are
119% and 0.79X, respectively, compared to 126% and 0.75X, at last
review.
The second largest loan is the James River Towne Center Loan
($20 million -- 3.4% of the pool), which is secured by a 155,000
SF retail property located in Springfield, Missouri. The property
is part of an 80-acre, 19-building complex. Notable non-collateral
tenants include Wal-Mart, Staples and Home Depot. Kohls is the
collateral's largest tenant and leases 55% of the net rentable
area through April 2021. Property occupancy declined to 90% from
97% at last review due to the property's third largest tenant
vacating at lease expiration. However, the loan has benefited from
a 20-year amortization schedule and the principal balance has paid
down 22% since securitization. Moody's LTV and stressed DSCR are
80% and 1.21X, respectively, compared to 78% and 1.24X, at last
review.
The third largest loan is the Omega Corporate Center Loan
($19 million -- 3.2% of the pool), which is secured by a 285,000
SF office building located in Pittsburgh, Pennsylvania. The
property was 84% leased as of 6/23/2011, which is the same as last
review. This loan is currently on the master servicer's watchlist
due to low DSCR. However, interim 2011 operating statements
indicate an improvement in property performance. This loan has
also benefited from a 20-year amortization schedule and the
principal balance has paid down by 22%. Moody's LTV and stressed
DSCR 116% and 0.93X, respectively, compared to 135% and .80X at
last review.
BANC OF AMERICA: Moody's Takes Rating Actions on Structured Notes
-----------------------------------------------------------------
Moody's Investors Service has taken rating actions on these
structured note transactions:
Deal Name: Structured Investments Corporation III
$273,000,000 SIC III Series 2005-7 ESUN Notes Due 2012, Confirmed
at A3 (sf); previously on June 3, 2011 A3 (sf), Placed Under
Review for Possible Downgrade;
Underlying securities: $273,000,000 Zero Coupon Notes due 28
November 2012 issued by Citigroup Funding Inc.
Deal Name: Currency-ADjusted Enhanced Trust Securities
US$335,000,000 4.80% Currency-ADjusted Enhanced Trust Securities,
Series 2003-1 due 2013; Confirmed at A1; previously on June 3,
2011 A1, Placed Under Review for Possible Downgrade;
Underlying securities: Swap Counterparty, Citibank, N.A.
Deal Name: Pass-Through Auction Market Preferred Securities,
Series 2007-1
US$65,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
US$16,250,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc. Non-Cum. Pfd.
Stk. Series 2 & 5
Deal Name: Wachovia Preferred Pass-Through Trust 2006-B
Class A Money Market Preferred Trust Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed Under Review
for Possible Upgrade;
Class B Leveraged Preferred Trust Certificates, Confirmed at Ba3
(sf); previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: BANK OF AMERICA CORPORATION Ser. E
Deal Name: ABN AMRO North America Holding Preferred Capital
Repackaging Trust I
6.473% Fixed/Floating Noncummulative Trust Securities, Confirmed
at Ba3; previously on June 3, 2011 Ba3, Placed Under Review for
Possible Upgrade;
Underlying securities: BAC AAH Capital Funding LLC II
Deal Name: Auction Pass-Through Trust 2006-12
$70,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
$35,000,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: BANK OF AMERICA CORPORATION Ser. D
Deal Name: Auction Pass-Through Trust 2006-3
$120,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: MERRILL LYNCH & CO., INC. Ser. 4
Deal Name: Auction Pass-Through Trust 2006-4
$120,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: MERRILL LYNCH & CO., INC. Ser. 4
Deal Name: Auction Pass-Through Trust 2007-2
$120,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc. Non-Cum. Pfd.
Stk. Series 5
Deal Name: Auction Pass Through Trust 2007-3
$120,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc. Non-Cum. Pfd.
Stk. Series 5
Deal Name: Auction Pass-Through Trust 2007-4
$120,000,000 Class A Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at Ba3 (sf);
previously on June 3, 2011 Ba3 (sf), Placed Under Review for
Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc. Non-Cum. Pfd.
Stk. Series 5
Deal Name: Auction Pass-Through Trust 2007-5
Class A Certificates, Confirmed at Ba3 (sf); previously on June 3,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
Class B Certificates, Confirmed at Ba3 (sf); previously on June 3,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
Underlying securities: Bank of America Corporation Cum Non-Pref,
Ser E
Deal Name: Auction Rate Securities Trust 2007-1
US$60,000,000 Class A Auction Rate Trust Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed Under
Review for Possible Upgrade;
US$15,000,000 Class B Leveraged Trust Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed Under Review
for Possible Upgrade;
Underlying securities: Merrill Lynch Floating Rate Non-Cumulative
Preferred Stock, Series 5
Deal Name: Auction Rate Securities Trust 2007-2
US$40,000,000 Class A Auction Rate Trust Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed Under
Review for Possible Upgrade;
US$10,000,000 Class B Leveraged Trust Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed Under Review
for Possible Upgrade;
Underlying securities: BANK OF AMERICA CORPORATION Ser. E
Deal Name: MMP Stock Cust Rcpts, ABN AMRO,Series X
$70 MMP Stock Cust Rcpts, ABN AMRO, Series X, Confirmed at Ba3;
previously on June 3, 2011 Ba3, Placed Under Review for Possible
Upgrade;
Underlying securities: BAC AAH Capital Funding LLC X
Deal Name: MMP Stock Cust Rcpts, ABN AMRO,Series XI
$70 MMP Stock Cust Rcpts, ABN AMRO, Series XI, Confirmed at Ba3;
previously on June 3, 2011 Ba3, Placed Under Review for Possible
Upgrade;
Underlying securities: BAC AAH Capital Funding LLC XI
Deal Name: SATURNS Trust No. 2001-6
US$63,370,000 Certificates Due 2026; Downgraded to Ba1; previously
on April 23, 2009 downgraded to Baa3;
Underlying securities: BankAmerica Institutional Capital A
Deal Name: PREFERREDPLUS Trust Series CCR-1
PREFERREDPLUS 8.05% Trust Certificates Series CCR-1, Downgraded to
Ba1; previously on May 14, 2009 downgraded to Baa3;
Underlying securities: COUNTRYWIDE CAPITAL III Ser. B
RATINGS RATIONALE
The transactions are structured note whose ratings are based on
the ratings of the Underlying Securities and the legal structure
of the transaction. The rating action of Bofa/Merrill Lynch and
Citibank underlying securities whose ratings were affirmed or
downgraded on September 21, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
BEAR STEARNS: Fitch Affirms Junk Rating on Six Cert. Classes
------------------------------------------------------------
Fitch Ratings has downgraded three below investment grade classes
of Bear Stearns Commercial Mortgage Securities Trust (BSCMST),
series 2006-TOP22 commercial mortgage pass-through certificates.
The downgrades reflect a slight increase in modeled losses across
the pool relative to the previous review. Fitch modeled losses
representing 5.1% of the remaining pool balance or 4.2% of the
initial pool balance (including losses already incurred to date
[0.2%]), compared with modeled losses totaling 4.0% of the initial
pool balance at the previous Fitch rating action. Smaller-than-
average class sizes continue to make below investment grade-rated
bonds susceptible to downgrade.
The increase in modeled losses came as a result of asset-specific
performance issues indicative of a higher probability of default.
Across the pool, the loan deterioration was evidenced by a 5%
year-over-year decline in servicer reported net operating income
(NOI). More specifically, 14 individual assets (7.2% of the pool)
registered a weighted average year-over-year NOI decline of 21%,
leading to newly modeled losses (where before there were none).
Meanwhile, only four assets showed performance improvement
adequate to negate previously modeled losses.
Fitch has designated 45 loans (23.5% of the pool) as Fitch Loans
of Concern, compared with 40 loans (21.8%) at the previous review.
The largest Fitch loan of concern (4.2% pari passu trust portion)
was previously secured by 25 former Mervyns department stores
located throughout California (23 properties) and Texas (two).
Subsequent to the previous review, the two California properties
with the largest allocated loan balances were released, resulting
in paydown to the trust. As of the first-quarter 2011 rent roll,
11 leases were signed or assumed by new tenants, with the 12
remaining properties still vacant. Reserves totaling $15.3 million
were available as of September 2011 according to the master
servicer, and the loan remained current as of the same date.
The next-largest contributor to modeled losses (1% of the pool)
is a $14.1 million loan secured by a 113,216-square foot (sf)
anchored retail property located in Lilburn, GA. As of Sept. 14,
2011, the property was approximately 40% occupied following the
move-out of the grocery anchor (48% of net rentable area). Though
the tenant continues to pay rent, other tenants reportedly have
vacated or have requested rent reductions due to co-tenancy
clauses. A previous request submitted by the borrower for
modification of the loan terms was denied, but the loan remained
current as of the September 2011 remittance.
The third-largest contributor to modeled losses (1%) is a
$14.2 million loan secured by a 308-key limited-service hotel
property located in Orlando, FL. Performance at the property has
suffered due to the recent recession coupled with significant
competition. The servicer-reported debt service coverage ratios
(DSCRs) for 2009 and 2010 were 1.05 times (x) and 0.66x,
respectively, on an NOI basis. An unaudited operating statement
from mid-year 2011 indicates some positive momentum. As of
September 2011, the loan remained current.
As of the September 2011 distribution date, the pool's aggregate
principal balance has decreased 20.0% to $1.4 billion from $1.7
billion at issuance. Three loans (0.6%) have defeased. As of
September 2011, there were cumulative interest shortfalls of
approximately $131,000 affecting the unrated
class P.
Fitch has downgraded the following classes and assigned Recovery
Ratings (RR) as indicated:
-- $14.9 million class E to 'Bsf' from 'BBsf'; Outlook Stable;
-- $14.9 million class G to 'CCCsf/RR1' from 'B-sf';
-- $8.5 million class H to 'CCCsf/RR1' from 'B-sf'.
In addition, Fitch has affirmed the following classes:
-- $84.9 million class A-3 at 'AAAsf'; Outlook Stable;
-- $74.3 million class A-AB at 'AAAsf'; Outlook Stable;
-- $563.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $183.3 million class A-1A at 'AAAsf'; Outlook Stable;
-- $170.5 million class A-M at 'AAAsf'; Outlook Stable;
-- $125.7 million class A-J at 'AAsf'; Outlook Stable;
-- $32 million class B at 'Asf'; Outlook Stable;
-- $12.8 million class C at 'BBBsf'; Outlook Stable;
-- $25.6 million class D at 'BBsf'; Outlook Stable;
-- $14.9 million class F at 'B-sf'; Outlook Negative;
-- $10.7 million class J at 'CCCsf/RR1';
-- $2.1 million class K at 'CCCsf/RR4';
-- $6.4 million class L at 'CCCsf/RR4';
-- $2.1 million class M at 'CCCsf/RR6';
-- $2.1 million class N at 'CCsf/RR6';
-- $4.3 million class O at 'CCsf/RR6'.
Fitch does not rate the $9.4 million class P. Classes A-1 and A-2
have repaid in full. Fitch has withdrawn the rating on the
interest-only class X.
BEAR STEARNS: S&P Lowers Ratings on 3 Classes of Certs. to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of commercial mortgage pass-through certificates from Bear
Stearns Commercial Mortgage Securities Trust 2005-PWR10, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
"Concurrently, we affirmed our ratings on eight other classes
from the same transaction," S&P related.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit and fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of the 11 ($264.7 million, 11.3%) assets
that are with the special servicer, as well as three additional
loans ($103.1 million, 4.4%) that we determined to be credit-
impaired. We also considered the monthly interest shortfalls that
are affecting the trust. We lowered our ratings to 'D (sf)' on the
class G, H, and J certificates because we believe the accumulated
interest shortfalls will remain outstanding for the foreseeable
future," S&P stated.
"The rating affirmations on the principal and interest
certificates reflect subordination and liquidity support levels
that we consider to be consistent with our outstanding ratings on
these classes. We affirmed our ratings on the class X-1 and X-2
interest-only (IO) certificates based on our current criteria,"
S&P stated.
"Our analysis included a review of the credit characteristics of
all the remaining loans in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.40x and a loan-to-value (LTV) ratio of 106.2%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted-average DSC of 0.80x and an LTV ratio of
139.7%. The implied defaults and loss severity under the 'AAA'
scenario were 71.5% and 38.5%, respectively. The DSC and LTV
calculations noted exclude 10 ($262.8 million, 11.2%) of the 11
($264.7 million, 11.3%) specially serviced loans and three
($103.1 million, 4.4%) loans that we determined to be credit-
impaired. We separately estimated losses for the excluded
specially serviced loans and credit-impaired loans and included
them in our 'AAA' scenario implied default and loss severity
figures," S&P noted.
As of the Sept. 12, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $632,936. The
interest shortfalls were primarily due to $549,031 of interest
lost this month resulting from the modification on the World
Market Center loan (the second-largest loan in the pool). "We
expect the trust's interest payments will be reduced by a similar
amount each and every month through the loan's maturity in July
2015. In addition, the trust experienced interest shortfalls
related to appraisal subordinate entitlement reduction (ASER)
amounts totaling $68,251, which were offset by ASER recoveries of
$101,906, special servicing fees of $44,568, and $72,992 in
interest reduction due to nonrecoverability determinations on two
loans. The class G, H, and J certificates experienced cumulative
interest shortfalls ranging from two to four consecutive months,
and we expect these interest shortfalls to continue for an
extended period due to the World Market Center modification.
Consequently, we downgraded these classes to 'D (sf)'," S&P noted.
Credit Considerations
As of the Sept. 12, 2011, trustee remittance report, 11 assets
($264.7 million, 11.3%) in the pool were with the special
servicer, C-III Asset Management LLC (C-III). The reported payment
status of the specially serviced assets is: two are real estate
owned (REO; $19.6 million, 0.8%); seven are 90-plus days
delinquent ($39.5 million, 1.7%); one loan is in its grace period
($5.3 million, 0.2%); and the largest loan in special servicing
($200.3 million, 8.5%) has been modified and brought current.
Appraisal reduction amounts (ARAs) totaling $126.2 million are
in effect against nine of the specially serviced assets
($257.5 million, 11.0%).
The World Market Center loan ($200.3 million, 8.5%) is the
largest specially serviced loan and the second-largest real
estate loan in the pool. The loan was transferred to special
servicing on Sept. 24, 2009, due to imminent default. The loan
is secured by a 10-story, 1,125,175-sq.-ft., multitenant, home
and furniture showroom/trade market/design center (which is the
first of three buildings totaling over 4.1 million sq. ft.) that
currently comprise the World Market Center in Las Vegas, Nev.
The loan was modified on May 2, 2011. The $211.0 million mortgage
loan was brought current and written down by $5.0 million to
$206.0 million, and subsequently split into an A note of
$100.0 million and a B note of $106.0 million. An additional
write-down of $5.7 million was applied to the A note bringing its
balance to $94.3 million. The A note is interest only. The B note
pays no interest; however, if the property generates excess cash
flow, 80% of the excess cash flow from the property will be
applied to the B note. The borrower has the option to pay off the
B note at an 80% discount after the A note has been paid in full.
Standard & Poor's anticipates a significant loss upon the eventual
resolution of this loan.
The remaining 10 specially serviced loans have individual balances
that represent less than 0.52% of the total pool balance. ARAs
totaling $19.7 million were in effect against eight of the
remaining 10 specially serviced assets. Standard & Poor's
estimated losses for these 10 specially serviced assets,
representing a weighted-average loss severity of 39.3%.
"In addition to the specially serviced assets, we determined three
other loans in the pool to be credit-impaired ($103.1 million,
4.4%). The largest of these, and the fifth-largest loan in the
pool, is the Crocker Park loan ($95.1 million, 4.0%). The loan is
secured by a mixed-use development located in Westlake, Ohio,
approximately 15 miles from downtown Cleveland. The development
was constructed in 2004 and 2005 and includes 393,468 sq. ft. of
retail space, 84,167 sq. ft. of office space, and 158 luxury
rental apartments. The loan appears on the master servicer's
watchlist due to a decline in DSC. As of December 2010, the
reported DSC and occupancy were 0.67x and 97.0%. Given the
reported poor performance, we consider this loan to be at an
increased risk of default and loss," S&P stated.
"The remaining two loans (the Romeo Plank Crossing Shopping Center
loan and the Desert Business Park loan) we deemed to be credit-
impaired have individual balances that represent less than 0.2% of
the pool balance. Both loans were reported as current, and the
reported DSC for both loans has declined steeply since issuance,"
S&P stated.
Transaction Summary
As of the Sept. 12, 2011, trustee remittance report, the
collateral pool balance was $2.34 billion, which is 89.4% of the
balance at issuance. The pool includes 196 loans and two REO
assets, down from 212 loans at issuance. The master servicers,
Prudential Asset Resources Inc. and Wells Fargo Commercial
Mortgage Servicing, provided financial information for 89.8% of
the loan balance, 87.7% of which was interim- or full-year 2010
data, and the remainder reflected interim- or full-year 2009 data.
"We calculated a weighted average DSC of 1.38x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.40x and 106.2%. Our adjusted DSC and LTV
figures exclude 10 of the transaction's 11 specially serviced
loans and three loans that we determined to be credit-impaired.
Recent financial reporting information was available for five of
the excluded loans, which reflected a weighted average DSC of
1.14x. The transaction has experienced $29.4 million in principal
losses to date, which includes a $10.7 million loss experienced
on the World Market center loan in June 2011. Seventy-three
loans ($650.9 million, 27.8%) in the pool are on the combined
master servicer's watchlist, including the fifth-largest loan
($95.1 million, 4.0%), which we deemed credit-impaired and
discussed above, and the ninth-largest loan ($36.0 million, 1.5%)
and 10th-largest loan ($33.9 million, 1.5%) in the pool. Forty-six
46 loans ($397.0 million, 16.9%) have a reported DSC of less than
1.10x, and 39 of these loans ($344.7 million, 14.7%) have reported
a DSC below 1.00x," S&P noted.
Summary of The Top 10 Loans Secured By Real Estate
The top 10 loans have an aggregate outstanding balance of
$1.0 billion (43.0%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.40x for the top 10 loans.
Our adjusted DSC and LTV ratio for the top 10 loans were 1.41x and
104.8%. Our adjusted figures exclude the second-largest loan,
which is with the special servicer. The ninth-largest and 10th-
largest loans in the pool are on the master servicer's watchlist,"
S&P continued.
The College Square Mall loan ($36.0 million, 1.5%) is secured by a
412,000-sq.-ft. retail mall in Cedar Falls, Iowa. The loan was
placed on the watchlist due to a decline in DSC. Servicer-reported
DSC was 0.71x and occupancy was 83.9% as of March 31, 2011. These
figures compare with 0.94x and 83.9% as of Dec. 31, 2010.
The Embassy Crossing loan ($33.9 million, 1.5%) is secured by a
335,766-sq.-ft. retail shopping center in Port Richey, Fla. The
loan was placed on watchlist due to a decline in DSC. The
servicer-reported DSC was 1.33x and occupancy was 88.0% as of
March 31, 2011. These figures compare with 1.36x and 91.0% as of
Dec. 31, 2010.
Standard & Poor's stressed the loans in the pool according to its
current criteria. "The resultant credit enhancement levels are
consistent with our rating actions," S&P added.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J BB (sf) BB+ (sf) 12.24
B BB- (sf) BB (sf) 11.39
C B+ (sf) BB- (sf) 10.13
D B (sf) B+ (sf) 9.15
E B- (sf) B+ (sf) 8.44
F CCC (sf) B+ (sf) 7.32
G D (sf) B+ (sf) 6.19
H D (sf) B (sf) 4.93
J D (sf) CCC- (sf) 3.81
Ratings Affirmed
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 32.48
A-3 AAA (sf) 32.48
A-AB AAA (sf) 32.48
A-4 AAA (sf) 32.48
A-1A AAA (sf) 32.48
A-M A- (sf) 21.23
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A -- Not applicable.
BEAR STEARNS: S&P Lowers Ratings on 5 Classes of Certs. to 'CCC-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 15
classes of commercial mortgage pass-through certificates from Bear
Stearns Commercial Mortgage Securities Trust 2007-TOP28, a U.S.
commercial mortgage-backed securities (CMBS) transaction. "In
addition, we affirmed our 'AAA (sf)' ratings on eight other
classes from the same transaction," S&P stated.
"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 six assets ($25.9 million,
1.6%) that are currently with the special servicer and one loan
($7.4 million, 0.4%) that we determined to be credit-impaired,"
S&P noted.
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)' ratings on the class X-1 and X-2 interest-only certificates
based on our current criteria," S&P noted.
"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 1.40x and a loan-to-value (LTV) ratio of 103.9%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.93x and an LTV ratio of
141.4%. The implied defaults and loss severity under the 'AAA'
scenario were 89.3% and 33.6%. The DSC and LTV calculations noted
above exclude six assets ($25.9 million, 1.6%) that are currently
with the special servicer and one loan ($7.4 million, 0.4%) that
we determined to be credit-impaired. We separately estimated
losses for the seven specially serviced and credit-impaired assets
and included them in our 'AAA' scenario implied default and loss
severity figures," according to S&P.
Credit Considerations
As of the Sept. 13, 2011, trustee remittance report, six assets
($25.9 million, 1.6%) in the pool were with the special servicer,
C-III Asset Management LLC (C-III). The reported payment status of
the specially serviced assets as of the September 2011 trustee
remittance report is: one is real estate owned (REO; $3.3 million,
0.2%), one is in foreclosure ($6.9 million, 0.4%), one is 90-plus-
days delinquent ($2.8 million, 0.2%), one is 60 days delinquent
($6.4 million, 0.4%), one is 30 days delinquent ($2.0 million,
0.1%), and one is less than 30 days delinquent ($4.5 million,
0.3%). Appraisal reduction amounts (ARAs) totaling $6.2 million
are in effect against three of the specially serviced assets
($13.1 million, 0.8%). Details of the three largest specially
serviced assets are set forth.
The Design Center loan ($6.9 million, 0.4%), the largest asset
with the special servicer, is secured by a 44,037-sq.-ft. retail
strip center in Fort Myers, Fla. The loan was transferred to C-III
on Oct. 7, 2010, due to imminent payment default. The loan's
payment status is reported to be in foreclosure. C-III indicated
that it is currently reviewing a discounted payoff offer from
the borrower. The reported DSC and occupancy for year-end 2010
were 0.91x and 81.0%. "An ARA of $4.0 million is in effect against
the loan. We expect a significant loss upon the eventual
resolution of this loan," S&P related.
The Evergreen Plaza loan ($6.4 million, 0.4%) is secured by an
18,900-sq.-ft. retail strip center in Everett, Wash. The loan,
which has a reported 60-days-delinquent payment status, was
transferred to the special servicer on Aug. 3, 2011, due to
imminent payment default. C-III stated that it is currently
reviewing the workout strategy for the loan. The reported DSC was
1.03x for year-end 2010 and occupancy dropped to 41.0% as of
August 2011. "We expect a significant loss upon the eventual
resolution of this loan," S&P noted.
The Union Walk loan ($4.5 million, 0.3%) is secured by a 12,043-
sq.-ft. retail strip center in Lakewood, Colo. The loan, which has
a reported payment status of less than 30-days-delinquent, was
transferred to C-III on July 20, 2011, due to imminent payment
default. C-III stated that it has ordered an updated appraisal and
is currently working on a loan modification with the borrower.
The reported DSC and occupancy were 0.80x and 73.0% for the three
months ended March 31, 2011. "We expect a moderate loss upon the
eventual resolution of this loan," S&P said.
The three remaining specially serviced assets have individual
balances that represent less than 0.2% of the pooled trust
balance. ARAs totaling $2.2 million are in effect against two of
these assets. "We estimated losses for the three assets, arriving
at a weighted-average loss severity of 39.0%," S&P noted.
"In addition to the specially serviced assets, we determined the
Telegraph Springs Business Park loan ($7.4 million, 0.4%) to be
credit-impaired. The loan, secured by an 86,814-sq.-ft. light
industrial property in Santa Fe Springs, Calif., has a reported
30-days-delinquent payment status and had a low reported DSC of
0.83x for year-end 2010. As a result, we view this loan to
be at an increased risk of default and loss," S&P related.
Transaction Summary
As of the Sept. 13, 2011, trustee remittance report, the
collateral pool balance was $1.67 billion, which is 95.0% of the
balance at issuance. The pool includes 203 loans and one REO
asset, down from 209 loans at issuance. The master servicer, Wells
Fargo Bank N.A. (Wells Fargo), provided financial information for
99.8% of the loans in the pool, 99.0% of which was full-year
2010 data.
"We calculated a weighted average DSC of 1.43x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.40x and 103.9%. Our adjusted DSC and LTV
figures excluded six assets ($25.9 million, 1.6%) that are
currently with the special servicer and one loan ($7.4 million,
0.4%) that we determined to be credit-impaired. We separately
estimated losses for the seven specially serviced and credit-
impaired assets and included them in our 'AAA' scenario implied
default and loss severity figures. The transaction has experienced
$10.0 million in principal losses from three assets to date.
Fifty-one loans ($371.1 million, 22.2%) in the pool are on the
master servicer's watchlist. Thirty-two loans ($185.8 million,
11.1%) have a reported DSC of less than 1.00x and 11 loans
($134.9 million, 8.1%) 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
$631.3 million (37.7%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.46x for the top 10 loans.
Two of the top 10 loans ($73.8 million, 4.4%) are on the master
servicer's watchlist. Our adjusted DSC and LTV ratio for the top
10 loans are 1.35x and 100.7%," S&P noted.
The Shops at Biddeford Crossing loan ($44.8 million, 2.7%), the
fifth-largest loan in the pool, is secured by a 384,655-sq.-ft.
retail power center in Biddeford, Maine. The loan is on the master
servicer's watchlist due to a low reported DSC of 1.08x for year-
end 2010, and occupancy was 87.0% according to the June 30, 2011,
rent roll.
The Cove Apartments loan, the eighth-largest loan in the pool, has
a trust balance of $29.0 million (1.7%) and a whole-loan balance
of $29.5 million. The loan, secured by a 652-unit garden-style
apartment complex in Phoenix, Ariz., appears on Wells Fargo's
watchlist due to a low reported DSC of 1.00x for year-end 2010.
Occupancy was 85.9% according to the June 25, 2011, rent roll.
Standard & Poor's stressed the collateral in the pool according to
its current criteria. The resultant credit enhancement levels are
consistent with its lowered and affirmed ratings.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP28
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M A- (sf) A+ (sf) 17.29
A-J BBB- (sf) BBB+ (sf) 10.45
B BB (sf) BBB (sf) 8.61
C BB- (sf) BBB- (sf) 7.69
D B+ (sf) BB+ (sf) 5.98
E B (sf) BB (sf) 4.66
F B- (sf) BB- (sf) 3.61
G CCC+ (sf) B+ (sf) 2.43
H CCC (sf) B (sf) 1.51
J CCC (sf) B (sf) 1.37
K CCC- (sf) B- (sf) 1.24
L CCC- (sf) B- (sf) 1.11
M CCC- (sf) B- (sf) 0.85
N CCC- (sf) CCC+ (sf) 0.58
O CCC- (sf) CCC+ (sf) 0.45
Ratings Affirmed
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP28
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-1 AAA (sf) 27.82
A-2 AAA (sf) 27.82
A-3 AAA (sf) 27.82
A-AB AAA (sf) 27.82
A-4 AAA (sf) 27.82
A-1A AAA (sf) 27.82
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A -- Not applicable.
BEAR STEARNS: S&P Lowers Ratings on 7 Classes of Certs. to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes of commercial mortgage pass-through certificates from Bear
Stearns Commercial Mortgage Securities Trust 2007-PWR15, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
"Concurrently, we affirmed our ratings on five other classes from
the same transaction," S&P stated.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit and fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of 14 ($370.9 million, 14.8%) of the 15
($373.4 million, 14.9%) loans that are with the special servicer,
as well as five additional loans ($60.8 million, 2.4%) that we
determined to be credit-impaired. We also considered the monthly
interest shortfalls that are affecting the trust. We lowered our
rating to 'D (sf)' on the class A-J, A-JFL, B, C, D, E, and F
certificates because we believe the accumulated interest
shortfalls will remain outstanding for the foreseeable future,"
S&P noted.
The affirmed 'AAA (sf)' ratings on the three 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 X-1 and X-2 interest-
only (IO) certificates based on our current criteria," S&P noted.
"Our analysis included a review of the credit characteristics of
all the remaining loans in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.36x and a loan-to-value (LTV) ratio of 111.0%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted-average DSC of 0.85x and an LTV ratio of
153.8%. The implied defaults and loss severity under the 'AAA'
scenario were 87.4% and 44.1%. The DSC and LTV calculations noted
above exclude 14 ($370.9 million, 14.8%) of the transaction's
15 ($373.4 million, 14.9%) specially serviced loans and five
($60.8 million, 2.4%) loans that we determined to be credit-
impaired. We separately estimated losses for the excluded
specially serviced loans and credit-impaired loans and included
them in our 'AAA' scenario implied default and loss severity
figures," S&P noted.
As of the Sept. 12, 2011 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $1,204,254. The
interest shortfalls were primarily due to $1,223,054 of interest
lost this month following the modification of the World Market
Center loan (the largest loan in the pool). "We expect the trust's
interest payments to be reduced by a similar amount each month
through the loan's maturity in January 2017. In addition, the
trust experienced interest shortfalls related to appraisal
subordinate entitlement reduction (ASER) amounts totaling $40,603,
special servicing fees of $80,390, and $5,276 in interest
reduction due to nonrecoverability determination on one loan. The
total interest shortfalls were offset during this period by
$145,069 in payments from swap counterparties. The class A-J notes
and all classes subordinate to it experienced cumulative interest
shortfalls for four consecutive months, and we expect these
interest shortfalls to continue for an extended period due to the
World Market Center modification. Consequently, we downgraded
these classes to 'D (sf)'," S&P said.
Credit Considerations
As of the Sept. 12, 2011, trustee remittance report, 15 loans
($373.4 million, 14.9%) in the pool were with the special
servicer, C-III Asset Management LLC (C-III). The reported
payment status of the specially serviced loans: two are in
foreclosure ($32.3 million, 1.3%); 10 are 90-plus-days
delinquent ($62.9 million, 2.5%); one is 60-plus-days delinquent
($2.6 million, 0.1%); one is in its grace period and is being
returned to the master servicer ($2.5 million, 0.1%); and the
largest loan in special servicing ($273.1 million, 10.9%) has been
modified and is now current. Appraisal reduction amounts (ARAs)
totaling $185.0 million are in effect against 11 of the specially
serviced loans ($314.2 million, 12.5%).
The World Market Center II loan ($273.1 million, 10.9%) is the
largest specially serviced loan and the largest real estate loan
in the pool. The loan was transferred to special servicing on
Sept. 24, 2009, due to imminent default. The loan is secured by a
10-story, 1,431,510-sq.-ft., multi-tenant, home and furniture
showroom/trade market/design center (which is the second of three
buildings totaling over 4.1 million sq. ft. that currently make
up the World Market Center) in Las Vegas. The loan was modified
on May 2, 2011. The $345.0 million mortgage loan was brought
current and written down by $65.0 million to $280.0 million, and
subsequently split into an A note of $80.0 million and a B note of
$200.0 million. An additional $6.9 million write-down was applied
to the A note reducing its balance to $73.1 million. The A note is
interest only. The B note pays no interest; however, if there is
excess cash flow generated from the property, 80% of this excess
cash flow will be applied to the B note. The borrower has the
option to pay the B note at an 80% discount after the A note has
been paid in full. Standard & Poor's anticipates a significant
loss upon the eventual resolution of this loan.
The remaining 14 specially serviced loans have individual balances
that represent less than 1.0% of the total pool balance. ARAs
totaling $14.0 million were in effect against 10 of the remaining
14 specially serviced loans. Standard & Poor's estimated losses
for these 10 specially serviced loans, representing a weighted-
average loss severity of 39.5%.
"In addition to the specially serviced loans, we determined five
other loans in the pool to be credit-impaired ($60.8 million,
2.4%). The largest of these is the Shops at Central Park loan
($18.9 million, 0.75%). The loan is secured by a 194,624-sq.-ft.
retail shopping center in Bedford, Texas, about 15 miles west of
downtown Dallas. The loan appears on the master servicer's
watchlist due to a decline in DSC. As of March 31, 2011, reported
DSC was 0.69x, compared with 0.73x as of Dec. 31, 2010. "The loan
is paying interest, but not principal, at this point. Given the
reported poor performance, we consider this loan to be at an
increased risk of default and loss," S&P stated.
"The remaining four loans we deemed to be credit-impaired have
individual balances that represent less than 0.6% of the pool
balance. Three loans are in their grace periods and the other is
current. Reported DSC for all four loans exhibited steep declines
since issuance," S&P related.
Transaction Summary
As of the Sept. 12, 2011, trustee remittance report, the
collateral pool balance was $2.51 billion, which is 89.3% of the
balance at issuance. The pool includes 196 loans, down from 206
loans at issuance. The master servicers, Prudential Asset
Resources Inc. and Wells Fargo Commercial Mortgage Servicing,
provided financial information for 98.7% of the loan balance,
86.1% of which was interim- or full-year 2010 data, and the
remainder reflected interim- or full-year 2009 data.
"We calculated a weighted average DSC of 1.21x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.36x and 111.0%. Our adjusted DSC and LTV
figures exclude 14 of the transaction's 15 specially serviced
loans and five loans that we determined to be credit-impaired.
Recent financial reporting information was available for 12 of the
excluded loans, which reflected a weighted average DSC of 0.87x,
including the World Market Center loan with its last reported DSC
of just 0.59x as of Dec. 31, 2009. The transaction has experienced
$112.1 million in principal losses to date, which includes a
$71.9 million loss experienced on the World Market center loan in
June 2011. There are 56 loans ($766.6 million, 30.6%) in the pool
on the combined master servicer's watchlist, including the second-
, fifth-, sixth-, and 10th-largest loans ($356.4 million, 14.2%)
in the pool. Fifty-five loans ($870.0 million, 34.7%) have
reported DSC of less than 1.10x, 36 of which ($574.5 million,
22.9%) have reported DSC below 1.00x," S&P stated.
Summary of the Top 10 Loans Secured by Real Estate
"The top 10 loans secured by real estate have an aggregate
outstanding balance of $990.5 million (39.5%). Using servicer-
reported numbers, we calculated a weighted average DSC of 1.09x
for the top 10 loans. Our adjusted DSC and LTV ratio for the top
10 loans were 1.37x and 110.0%. Our adjusted figures exclude the
largest loan, which is with the special servicer and has a
reported DSC of 0.59x as of year-end 2009. Four of the top 10
loans are on the combined master servicer's watchlist," S&P
stated.
The AMB-SGP L.P. Portfolio loan is the second-largest loan in the
pool with a trust balance of $147.1 million and a whole-loan
balance of $288.8 million. The loan is secured by a portfolio of
20 industrial properties totaling 6,456,817 sq. ft. in six states:
California, Georgia, Illinois, New Jersey, New York, and Texas.
The loan was placed on the watchlist due to a decline in DSC.
Servicer reported DSC was 1.13x and occupancy was 85.6% as of
Dec. 31, 2010.
The Renaissance Orlando at Sea World loan ($82.6 million, 3.3%) is
the fifth-largest loan in the pool and is secured by a 778-room
full service hotel built in 1984 in Orlando, Fla., which is in
close proximity to the Sea World and Discovery Cove adventure
parks. The loan was placed on the watchlist due to a decline in
DSC. Servicer-reported DSC was 1.36x and occupancy was 66.0%
as of Dec. 31, 2011.
The Summit Place Office loan ($75.0 million, 3.0%) is the sixth-
largest loan in the pool and is secured by 647,344-sq.-ft. office
building in West Allis, Wis. about seven miles west of Milwaukee.
The building was originally built as a manufacturing plant and
warehouse and was converted into an office property in 2003. The
loan was placed on the watchlist due to a decline in DSC.
Servicer-reported DSC was 1.09x as of Dec. 31, 2010, and occupancy
was 91.0% as of March 31, 2011.
The Northhampton Crossing loan ($51.8 million, 2.1%) is the 10th-
largest loan in the pool and is secured by a 535,276-sq.-ft.
retail shopping center in Easton, Pa., built in 1995 and renovated
in 2002. The loan was placed on the watchlist due to a decline in
DSC. Servicer-reported DSC was 1.10x as of Dec. 31, 2010, and
occupancy was 100% as of Feb. 28, 2011.
Standard & Poor's stressed the loans in the pool according to its
current criteria. "The resultant credit enhancement levels are
consistent with our rating actions," S&P added.
Ratings Lowered
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-4 A (sf) A+ (sf) 29.11
A-4FL A (sf) A+ (sf) 29.11
A-1A A (sf) A+ (sf) 29.11
A-M B- (sf) BBB (sf) 17.92
A-MFL B- (sf) BBB (sf) 17.92
A-J D (sf) BB (sf) 8.26
A-JFL D (sf) BB (sf) 8.26
B D (sf) BB- (sf) 6.17
C D (sf) B+ (sf) 5.05
D D (sf) B+ (sf) 3.51
E D (sf) B (sf) 2.39
F D (sf) CCC- (sf) 0.85
Ratings Affirmed
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 29.11
A-3 AAA (sf) 29.11
A-AB AAA (sf) 29.11
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A -- Not applicable.
CAMULOS LOAN: Moody's Raises Cl. D Notes Rating to A2 From Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Camulos Loan Vehicle I, Ltd.:
US$46,750,000 Class B Senior Term Notes Due 2018, Upgraded to Aaa
(sf); previously on June 22, 2011 A1 (sf) Placed Under Review for
Possible Upgrade;
US$31,500,000 Class C Deferrable Mezzanine Term Notes Due 2018,
Upgraded to Aa3 (sf); previously on June 22, 2011 Baa2 (sf) Placed
Under Review for Possible Upgrade;
US$20,500,000 Class D Deferrable Mezzanine Term Notes Due 2018,
Upgraded to A2 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade;
US$24,500,000 Class E Deferrable Junior Term Notes Due 2018
(current outstanding balance of $19,982,669), Upgraded to Aa3
(sf); previously on June 22, 2011 B2 (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 and an increase in the transaction's overcollateralization
ratios since the rating action in October 2009. Moody's notes that
the Class A Notes have been paid down by approximately 21% or
$119 million since the rating action in October 2009.
Additionally, the Class E overcollateralization ratio has
increased in part due to the diversion of excess interest to
delever the Class E notes in the event of a failure of the Junior
Notes Direct Pay Test. Since the rating action in October 2009,
$4.5 million of interest proceeds have reduced the outstanding
balance of the Class E Notes by 18.4%. Based on the latest trustee
report dated August 26, 2010, the Class A/B, Class C, Class D, and
Class E overcollateralization ratios are reported at 134.68%,
126.43%, 121.59%, 117.21%, respectively, versus September 2009
levels of 124.13%, 117.96%, 114.26%, and 110.13%, respectively.
In addition to the above considerations, the rating action on the
Class E Notes also reflects a correction to the modeling of the
Junior Notes Direct Pay Test, which is defined by the governing
documents as the Par Coverage Ratio divided by all of the Notes,
including both the Rated Notes and the Subordinated Notes. Upon a
failure of the Junior Notes Direct Pay Test following the
Reinvestment Period, the deal is required to divert all excess
interest proceeds to pay principal of the Class E Notes to the
extent necessary to satisfy such test or until the Class E Notes
are paid in full. During the previous rating action on October 22,
2009, Moody's inadvertently erred by modeling the Junior Notes
Direct Pay Test to equal the Par Coverage Ratio divided by only
the Rated Notes instead of both the Rated Notes and the
Subordinated Notes, and by assuming only 60% instead of 100% of
excess interest proceeds as available to cure the Junior Notes
Direct Pay Test. The rating action corrects the modeling of the
Junior Notes Direct Pay Test to conform with the governing
documents.
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 $650.3 million,
defaulted par of $2.8 million, a weighted average default
probability of 17.61% (implying a WARF of 2579), a weighted
average recovery rate upon default of 50.64%, and a diversity
score of 52. 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.
Camulos Loan Vehicle I, 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.
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.
Another source of performance 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.
CENTERLINE 2007-1: S&P Lowers Rating on Class G From 'CC' to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
from 'CC (sf)' on class G from Centerline 2007-1 Resecuritization
Trust (Centerline 2007-1), a U.S. commercial real estate
collateralized debt obligation (CRE CDO) transaction. "At the same
time, we affirmed five 'CC (sf)' ratings from the same
transaction," S&P related.
The downgrade reflects principal losses of $11 million sustained
by class G resulting in the reduction of the principal balance of
class G to $26 million from $37 million at issuance.
"We affirmed our 'CC (sf)' ratings on classes B through F to
reflect our expectations that the interest payments on these
classes will be deferred for an extended period of time due to a
termination payment owed to the hedge counterparty," S&P related.
The principal losses are due to losses on the underlying
commercial mortgage-backed securities (CMBS) collateral per the
trustee reports. Eleven distinct transactions experienced
aggregate principal losses in the amount of $11 million. Standard
& Poor's determined that these CMBS classes experienced
significant principal losses:
Bear Stearns Commercial Mortgage Securities 2005-PWR10 (class
S; $9.7 million loss);
Bears Stearns Commercial Mortgage Securities 2006-PWR11 (class
P; $5.0 million loss);
Bear Stearns Commercial Mortgage Securities 2006-PWR14(classes
O and P; $3.8 million loss);
JPMorgan Chase Commercial Mortgage Securities Trust 2007-
CIBC18 (class K; $1.3 million loss); and
Credit Suisse Commercial Mortgage Trust Series 2006-C2 (class
P; $1.3 million loss).
According to the Aug. 22, 2011, remittance report, Centerline
2007-1 was collateralized by 80 CMBS and three resecuritized
real estate mortgage investment conduit (re-REMIC) certificates
($544.7 million, 100%) from 16 distinct transactions issued
between 2000 and 2007.
Standard & Poor's analyzed Centerline 2007-1 according to its
current criteria. The analysis is consistent with the lowered and
affirmed ratings.
Ratings Lowered
Centerline 2007-1 Resecuritization Trust
Rating
Class To From
G D (sf) CC (sf)
Ratings Affirmed
Centerline 2007-1 Resecuritization Trust
Rating
Class
B CC (sf)
C CC (sf)
D CC (sf)
E CC (sf)
F CC (sf)
CHL MORTGAGE: Moody's Confirms Cl. A-13 Notes Rating at 'Ba3'
-------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of seven
tranches from four prime jumbo transactions issued by CHL Mortgage
Pass-Through Trust. The collateral backing these deals consists
primarily of first-lien, fixed and adjustable-rate prime jumbo
residential mortgages.
RATINGS RATIONALE
The ratings of these seven tranches were placed on review,
direction uncertain in May 2011, pending the resolution of the
loss allocation language difference between the Pooling and
Servicing Agreement (PSA) and the Prospectus Supplement. The
issuer has since confirmed that the loss allocation rules of the
PSA have been amended to conform to the prospectus.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 U.S. RMBS Surveillance Methodology"
published in January 2011.
To assess the rating implications of the updated loss levels on
prime jumbo RMBS, each individual pool was run through a variety
of scenarios in the Structured Finance Workstation(R) (SFW), the
cash flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include fifty four different combinations
comprising of six loss levels, three loss timing curves and three
prepayment curves. For ratings implied Aa3 and above, an
additional prepayment curve is run to assess resilience to a high
prepayment scenario.
The 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: CHL Mortgage Pass-Through Trust 2003-18
Cl. A-11, Confirmed at A1 (sf); previously on May 18, 2011
Downgraded to A1 (sf) and Placed Under Review Direction Uncertain
Cl. A-12, Confirmed at A2 (sf); previously on May 18, 2011
Downgraded to A2 (sf) and Placed Under Review Direction Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2003-28
Cl. A-13, Confirmed at Ba3 (sf); previously on May 18, 2011
Downgraded to Ba3 (sf) and Placed Under Review Direction Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2003-39
Cl. A-8, Confirmed at A3 (sf); previously on May 18, 2011
Downgraded to A3 (sf) and Placed Under Review Direction Uncertain
Cl. A-18, Confirmed at A2 (sf); previously on May 18, 2011
Downgraded to A2 (sf) and Placed Under Review Direction Uncertain
Issuer: CHL Mortgage Pass-Through Trust 2003-49
Cl. A-8-A, Confirmed at Aa2 (sf); previously on May 18, 2011
Downgraded to Aa2 (sf) and Placed Under Review Direction Uncertain
Cl. A-8-B, Confirmed at A3 (sf); previously on May 18, 2011
Downgraded to A3 (sf) and Placed Under Review Direction Uncertain
CHRYSLER GROUP: S&P Keeps 'B+' Corp. Credit Rating; Outlook Stable
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Ally
Master Owner Trust's asset-backed notes series 2011-4.
The transaction is a securitization of a revolving pool of
receivables arising from floorplan financing agreements between
Ally Bank and primarily General Motors Corp. and Chrysler Corp.
retail automobile dealers to finance dealers' inventory of new and
used automobiles and light- and medium-duty trucks.
The ratings reflect S&P's assessment of:
"Our view that the 30.0% hard credit support (as a percentage
of the collateral amount) is sufficient to withstand stress
scenarios that we believe are commensurate with the 'AAA (sf)'
ratings assigned to the class A-1 and A-2 notes (collectively,
the class A notes). Our stress scenarios assume that the pool
balance will consist of 35% Chrysler Group LLC (B+/Stable)
assets and 65% General Motors Co. (GM; BB-/Positive) assets
(based on concentration limits). We applied separate stresses
to each asset pool to derive the weighted average loss rate
and payment rate assumptions (based on concentration limits).
Our stress scenarios assume that the payment rate, on a
weighted average basis, will decline to approximately 45%-55%
of the early amortization trigger within six months after the
transaction enters an early amortization period. Our stress
assumptions also include an increase in the frequency of
dealer defaults and the collateral loss severity, which we
simulate by assuming annualized net loss rates, on a weighted
average basis, that begin at 34.1% of the trust's then-current
receivables balance and increase to 46.1% of the trust's
receivables balance during the first six months of the early
amortization period. When considering both the annualized loss
rates and the monthly payment rate assumptions, the implied
loss-to-liquidation rates (the decline in the pool balance
that is attributable to the principal loss on the loans due
from the dealers), based on a weighted average basis, will
begin at 11.2% during month 1 of the early amortization period
and reach 23.5% by month 6. Our 'AAA' stress scenario also
assumes that the financial strain on the dealer base will
intensify after month 6 as any remaining financial support
from the manufacturer collapses and the collateral's value
declines. During this period, we assume dealer defaults will
quickly accelerate and the remaining vehicles will be
liquidated at a terminal loss rate, on a weighted average
basis, in the 50%-55% range (for more information on our
criteria and assumptions for this transaction, see
'Methodology For Assessing Servicer Transfer Risk In Global
Auto Dealer Floorplan ABS,' published Oct. 7, 2009, and
'Standard & Poor's Revises Criteria Assumptions For Auto
Dealer Floorplan ABS,' published Feb. 5, 2009)," S&P stated.
"Our view that the 26.50% hard credit support (as a percentage
of the collateral amount) is sufficient to withstand stress
scenarios that we believe are commensurate with the 'AA (sf)'
rating assigned to the class B notes. Our stress scenarios
assume that the pool balance will consist of 35% Chrysler
assets and 65% GM assets (based on concentration limits). We
applied separate stresses to each asset pool to derive
weighted average loss and payment rate assumptions (based on
concentration limits). Our stress scenarios assume that the
payment rate, on a weighted average basis, will decline to
approximately 50%-60% of the early amortization trigger within
six months after the transaction enters an early amortization
period. Our stress assumptions also include an increase in the
frequency of dealer defaults and the collateral loss severity,
which we simulate by assuming annualized net loss rates, on a
weighted average basis, that begin at 27.3% of the trust's
then-current receivables balance and increase to 36.9% of the
trust's receivables balance during the first six months of the
early amortization period. When considering both the
annualized loss rates and the monthly payment rate
assumptions, the implied loss-to-liquidation rates (the
decline in the pool balance that is attributable to the
principal loss on the loans due from the dealers), based on a
weighted average basis, will begin at 9.2% during month 1 of
the early amortization period and reach 18.3% by month 6. Our
'AA' stress scenario also assumes that the financial strain on
the dealer base will intensify after month 6 as any remaining
financial support from the manufacturer collapses and the
collateral's value declines. During this period, we assume
dealer defaults will quickly accelerate and the remaining
vehicles will be liquidated at a terminal loss rate, on a
weighted average basis, in the 40%-45% range," S&P stated.
"Our view that the 21.0% hard credit support (as a percentage
of the collateral amount) is sufficient to withstand stress
scenarios that we believe are commensurate with the 'A (sf)'
rating assigned to the class C notes. Our stress scenarios
assume that the pool balance will consist of 35% Chrysler
assets and 65% GM assets (based on concentration limits). We
applied separate stresses to each asset pool to derive
weighted average loss and payment rate assumptions (based on
concentration limits). Our stress scenarios assume that the
payment rate, on a weighted average basis, will decline to
approximately 55%-65% of the early amortization trigger within
six months after the transaction enters an early amortization
period. Our stress assumptions also include an increase in the
frequency of dealer defaults and the collateral loss severity,
which we simulate by assuming annualized net loss rates, on a
weighted average basis, that begin at 23.9% of the trust's
then-current receivables balance and increase to 32.3% of the
trust's receivables balance during the first six months of the
early amortization period. When considering both the
annualized loss rates and the monthly payment rate
assumptions, the implied loss-to-liquidation rates (the
decline in the pool balance that is attributable to the
principal loss on the loans due from the dealers), based on a
weighted average basis, will begin at 8.1% during month 1 of
the early amortization period and reach 15.2% by month 6. Our
'A' stress scenario also assumes that the financial strain on
the dealer base will intensify after month 6 as any remaining
financial support from the manufacturer collapses and the
collateral's value declines. During this period, we assume
dealer defaults will quickly accelerate and the remaining
vehicles will be liquidated at a terminal loss rate, on a
weighted average basis, in the 30%-35% range," S&P noted.
"Our view that the 17.0% hard credit support (as a percentage
of the collateral amount) is sufficient to withstand stress
scenarios that we believe are commensurate with the 'BBB (sf)'
rating assigned to the class D notes. Our stress scenarios
assume that the pool balance will consist of 35% Chrysler
assets and 65% GM assets (based on concentration limits). We
applied separate stresses to each asset pool to derive
weighted average loss and payment rate assumptions (based on
concentration limits). Our stress scenarios assume that the
payment rate, on a weighted average basis, will decline to
approximately 60%-70% of the early amortization trigger within
six months after the transaction enters an early amortization
period. Our stress assumptions also include an increase in the
frequency of dealer defaults and the collateral loss severity,
which we simulate by assuming annualized net loss rates, on a
weighted average basis, that begin at 20.5% of the trust's
then-current receivables balance and increase to 27.7% of the
trust's receivables balance during the first six months of the
early amortization period. When considering both the
annualized loss rates and the monthly payment rate
assumptions, the implied loss-to-liquidation rates (the
decline in the pool balance that is attributable to the
principal loss on the loans due from the dealers), based on a
weighted average basis, will begin at 7.0% during month 1 of
the early amortization period and reach 12.4% by month 6. Our
'BBB' stress scenario also assumes that the financial strain
on the dealer base will intensify after month 6 as any
remaining financial support from the manufacturer collapses
and the collateral's value declines. During this period, we
assume dealer defaults will quickly accelerate and the
remaining vehicles will be liquidated at a terminal loss rate,
on a weighted average basis, in the 23%-28% range," S&P
stated.
"Our view of the credit risk inherent in the collateral loan
pool as determined by the franchised dealer base's size,
manufacturer concentration, and financial strength; and our
view of the overall quality of the related collateral security
(the autos securing the loans)," S&P said.
"Our view of Ally Financial Inc.'s servicing experience and
collateral auditing practices, and our opinion of the quality
and consistency of Ally Bank's account origination and account
management practices," S&P related.
"Our view of Wells Fargo Bank N.A.'s (the backup servicer)
servicing experience and our opinion of its ability to assume
the successor servicer role in the event of a servicer
default," S&P noted.
"Our expectation of timely interest and ultimate principal
payments by the September 2016 payment date based on stressed
cash flow modeling scenarios using assumptions that we believe
are commensurate with the assigned ratings," S&P said.
"Our review of the relevant legal matters and opinions
outlined in our criteria," S&P noted.
Ratings Assigned
Ally Master Owner Trust - Series 2011-4
Class Rating Amount (mil. $)
A-1 AAA (sf) 250.000
A-2 AAA (sf) 250.000
B AA (sf) 24.648
C A (sf) 38.732
D BBB (sf) 28.169
E NR 112.676
NR -- Not rated.
CITIGROUP COMMERCIAL: Moody's Affirms Rating of Cl. A-J at 'B2'
---------------------------------------------------------------
Moody's Investors Service (Moody's) affirmed the ratings of 19
classes of Citigroup Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2008-C7 as follows:
Cl. A-2A, Affirmed at Aaa (sf); previously on Apr 29, 2008
Definitive Rating Assigned Aaa (sf)
Cl. A-2B, Affirmed at Aaa (sf); previously on Apr 29, 2008
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Apr 29, 2008
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Apr 29, 2008
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Nov 11, 2010
Confirmed at Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 11, 2010
Confirmed at Aaa (sf)
Cl. A-M, Affirmed at A2 (sf); previously on Nov 11, 2010
Downgraded to A2 (sf)
Cl. A-MA, Affirmed at A2 (sf); previously on Nov 11, 2010
Downgraded to A2 (sf)
Cl. A-J, Affirmed at B2 (sf); previously on Nov 11, 2010
Downgraded to B2 (sf)
Cl. A-JA, Affirmed at B2 (sf); previously on Nov 11, 2010
Downgraded to B2 (sf)
Cl. X, Affirmed at Aaa (sf); previously on Apr 29, 2008 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed at B3 (sf); previously on Nov 11, 2010 Downgraded
to B3 (sf)
Cl. C, Affirmed at Caa1 (sf); previously on Nov 11, 2010
Downgraded to Caa1 (sf)
Cl. D, Affirmed at Caa2 (sf); previously on Nov 11, 2010
Downgraded to Caa2 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Nov 11, 2010
Downgraded to Caa3 (sf)
Cl. F, Affirmed at Ca (sf); previously on Nov 11, 2010 Downgraded
to Ca (sf)
Cl. G, Affirmed at Ca (sf); previously on Nov 11, 2010 Downgraded
to Ca (sf)
Cl. H, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Nov 11, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
6.6% of the current balance. At last review, Moody's cumulative
base expected loss was 10.6%. Moody's stressed scenario loss is
26.6% of the current balance. Moody's base expected loss is a
function of the total anticipated losses for the loans remaining
in the pool. The decrease in base expected loss is due an increase
in realized losses to the pool since Moody's last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published on September 15,
2000 and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published on July 7, 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19 compared to 22 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated November 11, 2010.
DEAL PERFORMANCE
As of the September 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 12% to $1.64
billion from $1.85 billion at securitization. The Certificates are
collateralized by 88 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top loans representing 51% of the
pool. The pool does not contain any defeased loans or loans with
investment grade credit estimates.
Eighteen loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Eight loans have been liquidated from the pool, resulting in a
realized loss of $96.6 million (58% loss severity). At last review
the pool had an aggregate realized loss of $12.0 million.
Currently twelve loans, representing 8% of the pool, are in
special servicing. The largest specially serviced loan is the Bush
Terminal Loan ($51.4 million -- 3.1% of the pool), which is
secured by 16 flex/industrial properties located in Brooklyn,
New York. The loan represents a 17% pari passu interest in a
$300.0 million first mortgage, with the remaining balance
securitized in GCCFC 2007-GG11, which is not rated by Moody's. At
origination, the sponsor planned to capitalize on significant near
term tenant rollover by renovating and converting some of the
industrial buildings to office space. The loan was underwritten to
pro forma income levels which were never achieved due to
difficulty releasing the renovated space.
The remaining eleven specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $50.6 million
loss for nine of the twelve specially serviced loans (47% expected
loss on average).
Moody's has assumed a high default probability for four poorly
performing loans representing 2% of the pool and has estimated an
aggregate $7.1 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 87%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 113% compared to 109% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.4%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.20X and 0.92X, respectively, compared to
1.27X and 0.95X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 33% of the pool. The largest
conduit loan is the One Liberty Plaza Loan ($249.8 million --
15.3% of the pool), which represents at 29% pari passu interest in
a $849.3 million first mortgage. The remaining balance of the loan
is securitized in GCCFC 2007-GG11, which is not rated by Moody's.
The collateral consists of a 2.2 million square foot (SF) office
building located in the lower Manhattan neighborhood of New York
City. Property performance deteriorated since the prior review due
to a decline in occupancy to 89% as of June 2011 from 100% in
December 2009. The property faces minimal near-term tenancy risk
as leases accounting for less than 5% of the net rentable area
(NRA) expire in the next 24 months. Major tenants include Cleary
Gottlieb (21% of the NRA; lease expiration 12/31/2030), Goldman
Sachs (12% of the NRA; lease expiration 4/30/2015) and FINRA (12%
of the NRA; lease expiration 2/28/2021). Moody's LTV and stressed
DSCR are 113% and 0.84X, respectively, compared to 87% and 1.09X
at last review.
The second largest conduit loan is the Scottsdale Fashion Square
Loan ($225.0 million -- 13.7% of the pool), which represents a 41%
pari passu interest in a $550.0 million first mortgage. Similar to
the two loans previously discussed, the remaining balance of the
first mortgage is secured in GCCF 2007-GG11. The loan is secured
by a 1.3 million SF upscale regional mall located in Scottsdale,
Arizona. The collateral is the dominant mall in its trade area. As
of June 2011, the property was 97% leased, which is in-line with
last review and securitization. Property performance has slightly
improved since the last review due to higher rental rates. Moody's
LTV and stressed DSCR are 115% and 0.77X, respectively, compared
to 118% and 0.75X at last review.
The third largest conduit loan is the Lincoln Square Loan
($60.0 million -- 3.7% of the pool), which represents a 27% pari
passu interest in a $220.0 million A-Note. The remaining balance
of the A-Note is securitized in CD 2007-CD5, which is rated by
Moody's. The collateral is also encumbered by a $65.0 million B-
Note. The loan is secured by a 406,000 SF Class A office building
located in Washington, DC. As of June 2011, the property was 91%
leased compared to 100% at last review. Law firm tenant Latham &
Watkins occupies 58% of the NRA, with leases for most of its space
expiring in 2016. Moody's analysis at this review incorporated a
smaller penalty for tenant concentration, which more than offset
the decrease in occupancy. Moody's A-Note LTV and stressed DSCR
are 123% and 0.77X, respectively, compared to 128% and 0.74X at
last review.
COAST INVESTMENT: Moody's Confirms Rating of Class B Notes at 'C'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one class of
notes, and confirmed the rating of three other classes of notes
issued by Coast Investment Grade 2002-1, Limited. The notes
affected by the rating action are:
US$246,900,000 Class A Floating Rate Senior Secured Notes, Due
2017 (current balance of $107,114,429), Upgraded to Caa1 (sf);
previously on June 24, 2011 Caa3 (sf) Placed Under Review for
Possible Upgrade;
US$24,000,000 Class B Floating Rate Senior Secured Notes, Due
2017, Confirmed at C (sf); previously on June 24, 2011 C (sf)
Placed Under Review for Possible Upgrade;
US$26,600,000 Class C-1 Floating Rate Senior Secured Notes, Due
2017, Confirmed at C (sf); previously on June 24, 2011 C (sf)
Placed Under Review for Possible Upgrade;
US$3,400,000 Class C-2 Fixed Rate Senior Secured Notes, Due 2017,
Confirmed at C (sf); previously on June 24, 2011 C (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating action taken on the notes results
primarily from improvement in the credit quality of the portfolio
and amortization of the Class A Notes.
Since the last rating action in May 2010, the trustee reported
Weighted Average Rating Factor (WARF) has improved from 4264 to
2141. The Class A, B and C/D Overcollateralization Ratios as
reported by the trustee have also improved from 62.29%, 62.55% and
54.88% to current levels of 89.87%, 75.78% and 59%, respectively.
Additionally, the Class A notes have amortized by $38.75mm, and
have benefited from the failure of all OC tests, resulting in the
diversion of interest proceeds to pay principal.
Coast Investment Grade 2002-1, Limited is a collateralized debt
obligation backed primarily by a portfolio CLO and CBO tranches
originated between 2000 and 2007.
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.
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 (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
COMM 2006-C8: Fitch Affirms Junk Rating on Eight Cert. Classes
--------------------------------------------------------------
Fitch Ratings has downgraded eight speculative rated classes of
COMM 2006-C8 commercial mortgage pass-through certificates.
The downgrades are the result of increased Fitch modeled losses
and realized losses. Although loss expectations have increased,
the defeasance of the second largest loan (7.1%) contributes
additional credit enhancement to the A-M class to affirm the
rating.
Fitch modeled losses of 13.2% of the remaining pool. Actual and
modeled losses of the original pool balance are 15.3%, which is
higher than the 13.2% modeled (of the original pool balance) at
the last rating action in November 2010.
As of the September 2011 distribution date, the pool's aggregate
principal balance has decreased 10.8% to $3.37 billion from
$3.78 billion at issuance, including 3.5% of realized losses.
Fitch has designated 52 loans (33%) as Fitch Loans of Concern,
which includes 23 specially serviced loans (12.3%). Three of the
specially serviced loans (4.5%) are within the top 15 loans of
the pool.
The largest contributor to modeled losses is secured by a pari
passu portion of a portfolio of 48 self storage facilities (4.5%).
The facilities are located in six states, with the largest
concentration in Michigan (50% of allocated loan amount). At
issuance, the loan was underwritten to a stabilized cash flow
based on increased occupancy at market rents. The most recent
servicer reported combined occupancy as of September 2010 is a
70.9%, compared to 76.8% at issuance. The servicer reported Year-
end (YE) 2010 DSCR is 1.04x. As of YE 2010, $1.7 million remains
in the debt service reserve, which cannot be released until the
property achieves a trailing six month debt service coverage ratio
(DSCR) of 1.20 times (x). The loan remains current and with the
master servicer.
The second largest contributor to modeled losses, are two crossed
loans (3.0%) secured by two Class B office properties with
approximately 265,800 square feet (sf) in Midtown Manhattan.
Performance of the properties has deteriorated since issuance due
to a decline in occupancy levels and rental rates. Combined
occupancy declined to 92.6% at Dec. 31, 2009 from 95.4% at
issuance and the servicer-reported DSCR dropped to 0.93x at YE
2009 compared to 1.19x at issuance. The properties have
diversified tenancy with relatively short term leases, which
results in sizeable lease expirations most years.
The third largest contributor to modeled losses is a loan (2.3%)
collateralized by approximately 405,000sf of a 689,601sf regional
mall located in Clovis, CA. Property performance deteriorated due
to the bankruptcy and subsequent store closings of Mervyn's and
Gottschalk in 2009, which together leased 27.3% of the center's
net rentable area (NRA). The Mervyn's pad was under a ground
lease, which was subsequently purchased by Kohl's. Occupancy as of
March 2011 is 74.8% compared to 67.2% at June 30, 2009, well below
87.9% at issuance. The servicer reported DSCR as of YE 2010 is
1.04x, compared to 1.37x at issuance.
Fitch has downgraded the following classes and assigned/revised
Recovery Ratings (RR) to these classes as indicated:
-- $302.1 million class A-J to 'CCC/RR1' from 'B';
-- $28.3 million class B to 'CCC/RR1' from 'B-';
-- $23.6 million class E to 'CC/RR1' from 'CCC/RR1';
-- $28.3 million class F to 'CC/RR1' from'CCC/RR1';
-- $51.9 million class G to 'C/RR2' from 'CCC/RR1';
-- $37.8 million class H to 'C/RR6' from 'CC/RR1';
-- $42.5 million class J to 'C/RR6' from 'CC/RR6';
-- $42.5 million class K to 'D/RR6' from 'CC/RR6'.
Fitch has affirmed these classes and Rating Outlooks as indicated:
-- $342.6 million class A-2B at 'AAA; Outlook Stable
-- $244.5 million class A-3 at 'AAA'; Outlook Stable
-- $92.5 million class A-AB at 'AAA'; Outlook Stable
-- $1.1 billion class A-4 at 'AAA'; Outlook Stable
-- $666.5 million class A-1A at 'AAA'; Outlook Stable
-- $377.6 million class A-M at 'AA'; Outlook Stable
-- $42.5 million class C at 'CCC/RR1';
-- $37.8 million class D at 'CCC/RR1'.
Classes A-1 and A-2A have been paid in full. Classes L through Q
have been depleted due to recognized losses. Classes L through O
remain at 'D/RR6'. Fitch does not rate classes P through Q.
Fitch has withdrawn the ratings on the interest only classes, X-P
and X-S.
CREDIT SUISSE: Moody's Downgrades Rating of Cl. H Notes to 'Ba2'
----------------------------------------------------------------
Moody's Investors Service (Moody's) upgraded the ratings of two
classes, affirmed nine classes and downgraded five classes of
Credit Suisse First Boston Mortgage Securities Corp. Commercial
Mortgage Pass-Through Certificates, Series 2001-CK6:
Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. E, Upgraded to Aa1 (sf); previously on Sep 12, 2007 Upgraded
to Aa3 (sf)
Cl. F, Upgraded to Aa3 (sf); previously on Sep 12, 2007 Upgraded
to A1 (sf)
Cl. G, Affirmed at A3 (sf); previously on Sep 12, 2007 Upgraded to
A3 (sf)
Cl. H, Downgraded to Ba2 (sf); previously on Sep 12, 2007 Upgraded
to Baa2 (sf)
Cl. J, Downgraded to B1 (sf); previously on Sep 12, 2007 Upgraded
to Baa3 (sf)
Cl. K, Downgraded to Caa1 (sf); previously on Feb 3, 2011
Downgraded to Ba3 (sf)
Cl. L, Downgraded to C (sf); previously on Feb 3, 2011 Downgraded
to Caa1 (sf)
Cl. M, Downgraded to C (sf); previously on Feb 3, 2011 Downgraded
to Ca (sf)
Cl. N, Affirmed at C (sf); previously on Feb 3, 2011 Downgraded to
C (sf)
Cl. O, Affirmed at C (sf); previously on Feb 3, 2011 Downgraded to
C (sf)
Cl. P, Affirmed at C (sf); previously on Feb 3, 2011 Downgraded to
C (sf)
Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
RATINGS RATIONALE
The upgrades are due to increased subordination from loan payoffs
and amortization. The pool has paid down 65% since last review.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain the existing ratings.
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced loans, interest shortfalls and concerns about loans
approaching maturity in an adverse environment. Thirteen loans,
representing 37% of the pool, have either matured or mature within
the next six months and have a Moody's stressed debt service
coverage ratio (DSCR) less than 1.0X.
Moody's rating action reflects a cumulative base expected loss of
18.8% of the current balance compared to 5.5% at last review. As
measured on a percentage basis, the current cumulative base
expected loss is significantly higher than at last review due to
the decline in the deal's balance. However, the current cumulative
base expected loss is $44.8 million compared to $36.9 million at
last review. Moody's stressed scenario loss is 22.5% of the
current balance. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar underlying ratings
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 16 compared to 26 at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 3, 2011.
DEAL PERFORMANCE
As of the September 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 76% to $238.1
million from $976.4 million at securitization. The Certificates
are collateralized by 39 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten loans representing
53% of the pool. Four loans, representing 21% of the pool, have
defeased and are collateralized by U.S. Government securities.
Defeasance at last review represented 24% of the pool. There are
no loans in the pool with an investment grade credit estimate.
Fourteen loans, representing 35% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $9.1 million (22% loss severity
overall). Currently 18 loans, representing 41% of the pool, are in
special servicing. Specially serviced loans represented 6% of the
pool at last review. The largest specially serviced loan is the
IBM Building Loan ($20.5 million -- 8.6% of the pool), which is
secured by a 160,000 square foot (SF) single tenanted office
building located in Boca Raton, Florida. The loan was transferred
to special servicing in March 2011 due to the upcoming lease
expiration of the sole tenant and upcoming loan maturity date. IBM
(100% of the net rentable area (NRA), lease expiration September
2011) indicated to that it would vacate at least 75% of the NRA
upon its lease expiration. Potential loan modification and
extension discussions between the borrower and special servicer
are ongoing. The loan is interest only and matures in October
2011. The master servicer recognized a $7 million appraisal
reduction in June 2011.
The second largest loan in special servicing is the Granite
Portfolio Loan ($8.9 million -- 3.8% of the pool), which is
secured by three retail properties, totaling 184,000 SF, located
in San Antonio, Texas. The loan was transferred to special
servicing in July 2011 for maturity default. As of May 2011, Adobe
Creek Shopping Center was 62% leased, Carillion Hills Shopping
Center was 85% leased and Marbach Shopping Center was 100% leased.
The third largest loan in special servicing is the Riverwalk
Apartments Loan ($8.9 million -- 3.7% of the pool), which is
secured by a 192-unit multifamily complex located near Purdue
University in West Lafayette, Indiana. The loan was transferred to
special servicing in July 2009 for payment default and is
currently over 90 days delinquent. Property performance has
continued to decline due to low occupancy and soft market
conditions. The master servicer recognized a $4.3 million
appraisal reduction in May 2011.
The remaining 15 specially serviced loans are secured by a mix of
property types. The master servicer has recognized an aggregate
$36.6 million appraisal reduction for 14 of the specially serviced
loans. Moody's has estimated an aggregate $40.9 million loss (43%
expected loss on average) for 17 of the specially serviced loans.
Moody's has assumed a high default probability for one poorly
performing loan representing 5% of the pool and has estimated a
$1.8 million loss (15% expected loss based on a 50% probability
default) from this troubled loan.
Based on the most recent remittance statement, Classes K through Q
have experienced cumulative interest shortfalls totaling $3.5
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
appraisal entitlement reductions (ASERs) and extraordinary trust
expenses.
Moody's was provided with full-year 2010 and partial year 2011
operating results for 99% and 24% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 83%, which is the same as Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 13%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.18X and 1.28X, respectively, compared to
1.31X and 1.35X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top two performing conduit loans represent 19% of the
pool balance. The largest loan is the Rockland Center Loan
($24.3 million -- 10.2% of the pool), which is secured by a
259,244 SF retail center located in Nanuet, New York. Although
property performance has been relatively stable, the loan is on
the master servicer's watchlist due to the uncertainty around the
status of Pathmark (25% of the NRA, lease expiration December
2011), which is the property's largest tenant. Pathmark is a
subsidiary of A&P which filed for bankruptcy on December 13, 2010.
This location was not identified on the list of 25 stores slated
for closure. As of May 2011, the property was 80% leased, the same
as at last review. The loan is amortizing on a 360-month schedule
maturing in November 2011. Moody's LTV and stressed DSCR are 93%
and 1.11X, respectively, compared to 100% and 1.03X at last
review.
The second largest loan is the Belmont Apartments Loan
($20.3 million -- 8.5% of the pool), which is secured by a
348-unit multifamily complex located in Las Vegas, Nevada. The
property was 95% leased as of June 2011, the same as at last
review. Property performance has been stable. The loan is
amortizing on a 360-month schedule maturing in November 2011.
Moody's LTV and stressed DSCR are 80% and 1.21X, respectively,
compared to 84% and 1.15X at last review.
CREDIT SUISSE: Moody's Downgrades Rating of Cl. G Notes to 'B3'
---------------------------------------------------------------
Moody's Investors Service (Moody's) downgraded two classes,
confirmed two classes and affirmed 14 classes of Credit Suisse
First Boston Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2003-CPN1:
Cl. A-1, Affirmed at Aaa (sf); previously on Mar 13, 2003
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Mar 13, 2003
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Dec 8, 2006 Upgraded to
Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Apr 15, 2010 Confirmed
at Aaa (sf)
Cl. D, Confirmed at Aa2 (sf); previously on Jul 15, 2011 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. E, Confirmed at A1 (sf); previously on Jul 15, 2011 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. F, Downgraded to Ba1 (sf); previously on Jul 15, 2011 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. G, Downgraded to B3 (sf); previously on Jul 15, 2011 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. H, Affirmed at Caa3 (sf); previously on Mar 2, 2011 Downgraded
to Caa3 (sf)
Cl. J, Affirmed at C (sf); previously on Mar 2, 2011 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded
to C (sf)
Cl. P, Affirmed at C (sf); previously on Apr 15, 2010 Downgraded
to C (sf)
Cl. A-X, Affirmed at Aaa (sf); previously on Mar 13, 2003
Definitive Rating Assigned Aaa (sf)
Cl. A-Y, Affirmed at Aaa (sf); previously on Mar 13, 2003
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are due to interest shortfalls and higher expected
losses for the pool resulting from realized and anticipated losses
from specially serviced and troubled loans.
The confirmations and affirmations are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed and
confirmed classes are sufficient to maintain their current
ratings.
On July 15, 2011 Moody's placed four classes on review for
possible downgrade due to an increase in interest shortfalls. The
deal's largest loan, the Northgate Mall Loan ($72 million -- 10%
of the pool) has been in special servicing since August 2009 and
is over 90 days delinquent. The property securing the loan was
valued at $31.5 million in July 2011, leading the servicer,
Midland Loan Services, a PNC Real Estate business, to recognize a
larger Appraisal Subordinate Entitlement Reduction (ASER) which
caused increased interest shortfalls. The Northgate Mall was being
marketed for sale and the servicer expects it will be sold by the
end of the year. The loan's outstanding cumulative ASER will be
repaid at sale closing, which will decrease the deal's cumulative
interest shortfalls by approximately $2 million. However, Moody's
estimates a $49 million loss for this loan, which would wipe out
classes K through P. Consequently, future interest shortfalls
would begin higher up the capital stack.
Moody's rating action reflects a cumulative base expected loss of
9.7% of the current pooled balance as compared to 8.9% at last
review. Moody's stressed scenario loss is 13.1% of the current
pooled balance. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to the pace of
the recovery of the broader economy. Core office markets are
showing signs of recovery through lending and leasing activity.
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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions," published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The pool has a Herf of 22 as compared to 23
at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated March 2, 2011.
DEAL PERFORMANCE
As of the September 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 28% to $726 million
from $1.0 billion at securitization. The Certificates are
collateralized by 149 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten loans representing
35% of the pool. The pool contains 65 loans, representing 9% of
the pool, that are secured by residential cooperative properties
primarily located in New York City. Seven of the co-op loans have
defeased, while eight are currently on the servicer's watchlist.
The co-op loans have a Aaa credit estimate, the same as last
review. In total 25 loans, representing 24% of the pool, have
defeased and are collateralized by U.S. Government securities.
In total 20 loans, representing 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Five loans have been liquidated from the pool resulting in a
$14 million aggregate loss (60% severity on average). Terms of a
modified loan included a $3 million principal write-down, which
brings the pool's cumulative realized losses to $17.4 million. Six
loans, representing 17% of the pool, are currently in special
servicing. The largest specially serviced loan is the Northgate
Mall Loan, which is discussed above. The remaining specially
serviced loans are secured by a mix of commercial and multifamily
property types. The master servicer has recognized an aggregate
$65 million appraisal reduction for the specially serviced loans.
Moody's has estimated an aggregate $68 million loss (57% expected
loss based on an 99% probability of default) for the specially
serviced loans.
Moody's has assumed a high default probability for five poorly
performing loans representing 2% of the pool and has estimated a
$2 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes G
through Q have experienced cumulative interest shortfalls
totaling $4.8 million. Moody's anticipates that the pool will
continue to experience interest shortfalls because of the
exposure to specially serviced and troubled loans. However,
Moody's expects cumulative interest shortfalls to decline by
approximately $2 million once Northgate Mall is sold. Interest
shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal subordinate entitlement
reductions (ASERs) and extraordinary trust expenses.
Moody's was provided full year 2010 operating results for
84% of the conduit componet. The conduit excludes specially
serviced, troubled and defeased loans as well as loans with credit
estimates. Moody's weighted average conduit LTV is 79% compared to
81% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 11% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.49 and 1.35X,
respectively, compared to 1.49X and 1.33X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The three largest performing conduit loans represent 9% of the
pool. The largest conduit loan is the Fairfax Building Loan
($25 million -- 3.5% of the pool), which is secured by a 200,000
SF Class B office building located in Tyson's Corner, Virginia.
The collateral also includes a small retail component and an
underground parking garage. The property's occupancy declined to
74% as of December 2010 from 83% at last review. Moody's LTV and
stressed DSCR are 90% and 1.18X, respectively, compared to 91% and
1.16X at last review.
The second largest conduit loan is the Willoughby Commons Loan
($24 million -- 3.4% of the pool), which is secured by a 350,000
SF power center located in Willoughby, Ohio. The center is shadow
anchored by Target. The collateral's largest tenant is BJ's
Wholesale Club, which leases 31% of the NRA through March 2020.
The property has maintained 98%+ occupancy since securitization.
As of December 2010, the property was 99% leased, with no lease
expirations in 2011-12. Moody's LTV and stressed DSCR are 83% and
1.21X , respectively, compared to 79% and 1.26X at last review.
The third largest conduit loan is the 100 Middle Street Loan
($19 million -- 2.6% of the pool), which is secured by two
adjacent seven-story office buildings located at the northern edge
of Portland, Maine's CBD. The property is 97% leased, which is the
same as at securitization. Only one lease, totaling 2% of the NRA,
expires in 2011-12. The U.S. government's General Services
Administration (GSA) has expanded its space from approximately
14,000 SF at securitization to 43,000 SF as of January 2011.
Moody's LTV and stressed DSCR are 75% and 1.36X, respectively,
compared to 76% and 1.35X at last review.
CREST 2001-1: Moody's Upgrades Rating of Class D Notes to 'Caa3'
----------------------------------------------------------------
Moody's has affirmed the ratings of one class and upgraded the
ratings of one class of Notes issued by Crest 2000-1, Ltd. The
affirmations are due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
upgrade is due to Moody's expected loss for the class D tranche
and improving cash flows. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO) transactions.
US Class C Third Priority Fixed Rate Term Notes, Affirmed at Aaa
(sf); previously on Nov 11, 2010 Upgraded to Aaa (sf)
US Class D Fourth Priority Fixed Rate Term Notes, Upgraded to Caa3
(sf); previously on Mar 10, 2009 Downgraded to Ca (sf)
RATINGS RATIONALE
Crest 2000-1, Ltd. is a quarterly paying static cash CRE CDO
transaction backed by a portfolio of commercial mortgage backed
securities (CMBS) (92.4% of the pool balance) and asset backed
securities (ABS) (7.6%). As of the May 31, 2011 Trustee report,
the aggregate Note balance of the transaction, including preferred
shares was $45.6 million down from $486.9 million at issuance,
with the payments directed to the Class C Notes, as a result of
regular amortization of the underlying collateral.
There are currently no assets in the pool that are considered
Defaulted Securities as of the May 31, 2011 Trustee report. There
have been minimal realized losses to the underlying collateral.
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 215 compared to 510 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (92.4% compared to 92.5% at last review), A1-A3
(0.0% compared to 1.5% at last review), Baa1-Baa3 (5.9% compared
to 4.8% at last review), Ba1-Ba3 (0.0% compared to 0.0% at last
review), B1-B3 (0.0% compared to 0.0% at last review), and Caa1-C
(1.7% compared to 1.2% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.2 years compared
to 3.0 years at last review. The increased WAL assumption is due
to changes in the life profile of the remaining collateral pool.
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
50.3% compared to 67.4% 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 17.7% compared to 0.3% at last review.
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 may be particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
50.3% to 40.3% or up to 60.3% would result in average rating
movement on the rated tranches of 0 to 1 notches downward.
However, in light of the performance indicators noted above,
Moody's believes that it is unlikely that the ratings are
sensitive to further change.
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 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 performance in the
commercial real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
CSAM FUNDING: Moody's Upgrades Rating of Cl. D Notes to 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by CSAM Funding II:
US$346,000,000 Class A Floating Rate Notes Due October 2016
(current outstanding balance of $212,929,641.57), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade
US$24,000,000 Class B-1 Fixed Rate Notes Due October 2016,
Upgraded to Aa3 (sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade
US$15,250,000 Class B-2 Floating Rate Notes Due October 2016,
Upgraded to Aa3 (sf); previously on Jun 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade
US$6,000,000 Class C-1 Fixed Rate Notes Due October 2016, Upgraded
to Baa2 (sf); previously on June 22, 2011 Ba3 (sf) Placed Under
Review for Possible Upgrade
US$11,000,000 Class C-2 Floating Rate Notes Due October 2016,
Upgraded to Baa2 (sf); previously on June 22, 2011 Ba3 (sf) Placed
Under Review for Possible Upgrade
US$13,000,000 Class D Fixed Rate Notes Due October 2016, Upgraded
to Ba2 (sf); previously on June 22, 2011 Caa2 (sf) Placed Under
Review for Possible Upgrade
US$10,000,000 Class K Blended Securities (current outstanding
balance of $6,233,831.30), Upgraded to Aaa (sf); previously on
June 22, 2011 Baa2 (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 delevering of the
senior notes since the rating action in February 2011. Based on
August 2011 trustee report, Moody's notes that the Class A Notes
have been paid down by approximately 16% or $40.7 million since
the rating action in February 2011. As a result of the delevering,
Class A overcollateralization ratio has increased since the rating
action in February 2011. The overcollateralization ratios of other
classes have declined since the last rating action due to the
impact of long-dated haircuts in those ratios. Based on the latest
trustee report dated August 5, 2011, the Class A, Class B, Class C
and Class D overcollateralization ratios are reported at 139.10%,
117.45%, 110.04 and 104.97%, respectively, versus January 2011
levels of 135.53, 118.34%, 112.17% and 107.87%, 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 $317 million,
defaulted par of $13 million, a weighted average default
probability of 18.49% (implying a WARF of 2890), a weighted
average recovery rate upon default of 45.83%, and a diversity
score of 56. 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.
CSAM Funding II, issued in May 2002, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011 and
"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) 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.
CSFB MORTGAGE-BACKED: Moody's Withdraws Ratings on Certificates
---------------------------------------------------------------
Moody's Investors Service has withdrawn the ratings of 15 tranches
from CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-
AR31. These tranches are backed by a pool of mortgage loans with a
pool factor less than 5% and containing fewer than 40 loans.
Complete rating actions are:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2002-AR31
Cl. I-A-1, Withdrawn (sf); previously on May 6, 2011 Downgraded to
A1 (sf)
Cl. II-A-1, Withdrawn (sf); previously on May 6, 2011 Downgraded
to Aa3 (sf)
Cl. II-X, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Aa3 (sf)
Cl. III-A-1, Withdrawn (sf); previously on May 6, 2011 Downgraded
to Aa2 (sf)
Cl. III-X, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Aa2 (sf)
Cl. IV-A-1, Withdrawn (sf); previously on May 6, 2011 Confirmed at
Aaa (sf)
Cl. IV-A-2, Withdrawn (sf); previously on May 6, 2011 Confirmed at
Aaa (sf)
Cl. IV-A-3, Withdrawn (sf); previously on May 6, 2011 Confirmed at
Aaa (sf)
Cl. V-A-1, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Aa3 (sf)
Cl. VI-A-1, Withdrawn (sf); previously on May 6, 2011 Downgraded
to Aa3 (sf)
Cl. C-B-1, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Baa2 (sf)
Cl. C-B-2, Withdrawn (sf); previously on May 6, 2011 Downgraded to
B1 (sf)
Cl. C-B-3, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Caa3 (sf)
Cl. C-B-4, Withdrawn (sf); previously on May 6, 2011 Downgraded to
Ca (sf)
Cl. C-B-5, Withdrawn (sf); previously on May 6, 2011 Downgraded to
C (sf)
RATINGS RATIONALE
Moody's current RMBS surveillance methodologies apply to pools
with at least 40 loans and a pool factor of greater than 5%. As a
result, Moody's may withdraw its rating when the pool factor drops
below 5% and the number of loans in the pool declines to 40 loans
or lower unless specific structural features allow for a
monitoring of the transaction (such as a credit enhancement floor
or pool insurance).
Moody's has withdrawn the rating pursuant to published rating
methodologies that allow for the withdrawal of the rating if the
size of the underlying collateral pool at the time of the
withdrawal has fallen below a specified level.
DEKANIA CDO: AM Best Downgrades Fixed/Floating Rate Notes to 'C'
----------------------------------------------------------------
A.M. Best Co. has downgraded the debt ratings on eight tranches
totaling $133.80 million and affirmed the debt ratings of four
additional tranches totaling $334.67 million. The outlook for all
ratings is stable.
The rating actions were taken on multi-tranche collateralized debt
obligations (CDOs) co-issued by two special purpose vehicles:
Dekania CDO I, Ltd. and Dekania CDO I Inc., (collectively, Dekania
CDO I) and ICONS, Ltd. and ICONS CDO Corp. (collectively, ICONS)
(all known as issuers).
The current principal balance of $468.47 million of rated notes
are collateralized by a pool of trust preferred securities,
surplus notes and secondary market securities (collectively, the
capital securities), primarily issued by small to medium-sized
U.S. insurance entities. The capital securities are pledged as
securities to the notes. Interest paid by the issuers of the
capital securities are the primary source of funds to pay
operating expenses of the issuers and interest on the notes.
Repayment of the principal on the notes is primarily funded from
the redemption of the capital securities.
These rating actions primarily consider: (1) the current issuer
credit ratings (ICR) of the issuers of the capital securities;
(2) in addition to the base default assumptions outlined in A.M.
Best's published criteria for rating insurance-related CDOs, a
stress of up to 250% on the assumed marginal default rates of
insurers (derived from Best's Idealized Default Rates of
Insurers); (3) the amount of capital securities considered to be
in distress, such as securities issued by financially impaired
companies that are non-performing and companies that have chosen
to defer interest payments; (4) recoveries of 0% after defaults of
the capital securities; and (5) qualitative factors such as
subordination levels associated with each rated tranche; the
adjacency of very high investment grade ratings to very low non-
investment grade ratings in the transaction's capital structure;
the effect of an interest rate increase; the general economic
trends for insurers; and the possibility that redemptions by
highly rated entities will leave lower rated companies in the
collateral pools, thereby lowering the ratings of the tranches
supported by the respective pools.
The following debt ratings have been downgraded:
Dekania CDO I:
-- to "a-" from "aa-" on $40.00 million Class B Third Priority
Senior Secured Floating Rate Notes Due 2034
-- to "c" from "b" on $6.00 million Class C-1 Fourth Priority
Secured Floating Rate Notes Due 2034
-- to "c" from "b" on $30.00 million Class C-2 Fourth Priority
Senior Secured Fixed/Floating Rate Notes Due 2034
-- to "c" from "ccc+" on $12.71 million Class D Mezzanine
Secured Floating Rate Notes Due 2034
ICONS:
-- to "bbb-" from "a-" on $6.68 million Class C-1 Deferrable
Mezzanine Notes Due 2034
-- to "bbb-" from "a-" on $16.70 million Class C-2 Deferrable
Mezzanine Notes Due 2034
-- to "bbb-" from "a-" on $5.01 million Class C-3 Deferrable
Mezzanine Notes Due 2034
-- to "b+" from "bb+" on $16.70 million Class D Deferrable
Mezzanine Notes Due 2034
These debt ratings have been affirmed:
Dekania CDO I:
-- "aaa" on $75.67 million Class A-1 First Priority Senior
Secured Floating Rate Notes Due 2034
-- "aaa" on $69.00 million Class A-2 Second Priority Senior
Secured Floating Rate Notes Due 2034
ICONS:
-- "aaa" on $150.00 million Class A Senior Notes Due 2034
-- "aa" on $40.00 million Class B Senior Notes Due 2034
DIGITALGLOBE INC: Moody's Gives Ba3 Rating to New Sr Facility
-------------------------------------------------------------
Moody's Investors Service (Moody's) assigned a Ba3 rating to a new
senior secured credit facility to be issued by DigitalGlobe, Inc.
(DigitalGlobe). The credit facility consists of a $500 million 7-
year term loan and a $100 million 5-year revolving credit
facility. The term loan proceeds are expected to be utilized for
repaying existing $355 million of senior secured notes due 2014.
Once the notes are repaid, the rating on the notes will be
withdrawn.
As part of the rating action, Moody's upgraded the company's
liquidity rating to SGL-1 from SGL-3, reflecting the improvement
in the company's short-term liquidity profile, as proforma for the
new senior secured credit facility, DigitalGlobe has improved cash
balances and has obtained a $100 million revolver as a backup
facility.
Moody's also affirmed the company's Ba3 corporate family rating
(CFR) and the stable outlook. DigitalGlobe continues to benefit
from revenue visibility provided by the contractual service level
agreements to build an additional satellite, WorldView-3, under a
$2.8 billion contract over 10 years (signed August, 2010).
However, Moody's analyst Gerald Granovsky notes, "As DigitalGlobe
enters a capital intensive phase over the next 2 years, free cash
flows will be strained." In addition, Moody's notes that the SLA
(service level agreement) is subject to annual Congressional
budgetary renewals, and DigitalGlobe has already pared down the
expected revenues from ancillary services over the next year.
Nonetheless, given continued support from the government for
satellite imagery programs, and the limited competitive landscape,
Moody's sees a degree of certainty in the company's revenues going
forward, and Moody's expects free cash flows to return to a
positive or break even level over the next two years.
Finally, Moody's changed DigitalGlobe's Probability of Default
rating to B1 from Ba3. The downgrade reflects the decision to use
a 65% family recovery rating because of the "all bank" capital
structure resulting from the refinancing of the company's
outstanding senior secured notes. The Company's CFR and PDR are
now differentiated, as a result of a single priority all bank debt
waterfall, per Moody's Loss Given Default methodology.
Assignments:
Issuer: DigitalGlobe, Inc.
-- $500 million Senior Secured Term Loan, Assigned Ba3, LGD3-
33%
-- $100 million Senior Secured Revolver, Assigned Ba3, LGD3-33%
Upgrades:
Issuer: DigitalGlobe, Inc.
-- Speculative Grade Liquidity Rating, Upgraded to SGL-1 from
SGL-3
Downgrades:
Issuer: DigitalGlobe, Inc.
Probability of Default Rating, Downgraded to B1 from Ba3
Affirmed:
Issuer: DigitalGlobe, Inc.
$355 million Senior Secured Notes, Affirmed Ba3, LGD3-49% (Will be
withdrawn upon execution of the transaction).
RATINGS RATIONALE
DigitalGlobe's Ba3 corporate family rating ("CFR") primarily
reflects the company's leading position in the market for
satellite imagery, and in Moody's opinion the strong support for
the commercial satellite imagery industry by the US government.
The Ba3 rating also derives support from the company's strong
near-term financial metrics, primarily Moody's expectations for
adjusted Debt/EBITDA leverage in the mid 1x to 2x range adjusted
for deferred revenues in NGA satellite construction, offset by
expected negative free cash flow generation as the company ramps
up capital expenditures towards the completion and launch of its
next-generation WorldView-3 satellite, expected to be ready for
launch in the second half of 2014. The ratings are tempered by the
technology and business risks manifest in the company's high
customer and asset concentration and the longer-term uncertainty
relating to the company's strategy to meet shareholder return
expectations. Moody's also expects DigitalGlobe to continue to use
insurance to manage the risk of anomalies or service disruption in
space.
The SGL-1 liquidity rating reflects Moody's view that DigitalGlobe
will have very good liquidity characterized by solid cash
balances, given that the company is overfunding the refinance of
its existing senior secured notes. Moody's expects cash balances
to grow from $155 million at the end of the second quarter of
2011, to over $200 million by the end of 2012, with moderate
growth in cash balances over the next two years. In addition, with
the pending refinancing, DigitalGlobe has secured a revolver to
serve as backstop for funding needs. Moody's also expects the
company to have ample head room in its covenants.
Rating Outlook
The stable outlook reflects Moody's view that continuing US
government backing of the commercial satellite industry especially
considering the increasing needs for high resolution surveillance
and mapping applications, along with the pledge of the insurance
proceeds on the satellites, mitigate the high emerging business
risk of the commercial satellite sector in the near-term.
What Could Change the Rating - Up
Rating migration could occur if the company successfully executes
on WorldView-3 and capitalizes on new revenues expected over the
life of the contract, and if the company advances toward its goal
to diversify its revenue stream away from the US government, with
free cash flow generation reaching over $150mm per year.
What Could Change the Rating - Down
As DigitalGlobe's fundamental business still largely relies on the
US government and specialized imagery applications, downward
pressure could ensue if there are significant cutbacks by the US
Government supporting the commercial satellite industry. In
addition, ratings would come under pressure if there is a
significant impairment of assets in space without insurance
coverage. High payouts to shareholders, at the expense of setting
aside capital for a replacement satellite, could also drive
negative rating actions.
The principal methodology used in rating DigitalGlobe was the
Aerospace and Defense Industry Rating Methodology, published June
2010. Other methodologies used include Loss Given Default for
Speculative Grade Issuers in the US, Canada, and EMEA, published
June 2009.
DRYDEN V-LEVERAGED: Moody's Raises Rating of Cl. E Notes to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Dryden V-Leveraged Loan CDO 2003:
US$17,000,000 Class B-1 Floating Rate Senior Notes Due
December 22, 2015, Upgraded to Aaa (sf); previously on June 22,
2011 Aa2 (sf), Placed Under Review for Possible Upgrade;
US$10,000,000 Class B-2 Fixed Rate Senior Notes Due December 22,
2015; Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf),
Placed Under Review for Possible Upgrade;
US$9,000,000 Class C-1 Floating Rate Deferrable Notes Due
December 22, 2015, Upgraded to Aa1 (sf); previously on June 22,
2011 A3 (sf), Placed Under Review for Possible Upgrade;
US$6,500,000 Class C-2 Fixed Rate Deferrable Notes Due
December 22, 2015, Upgraded to Aa1 (sf); previously on June 22,
2011 A3 (sf), Placed Under Review for Possible Upgrade;
US$7,500,000 Class D-1 Floating Rate Deferrable Notes Due
December 22, 2015, Upgraded to Baa2 (sf); previously on June 22,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
US$5,000,000 Class D-2 Floating Rate Deferrable Notes Due
December 22, 2015, Upgraded to Baa2 (sf); previously on June 22,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
US$4,500,000 Class D-3 Fixed Rate Deferrable Notes Due
December 22, 2015, Upgraded to Baa2 (sf); previously on June 22,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
US$8,500,000 Class E Floating Rate Deferrable Notes Due
December 22, 2015, 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 an increase in the
transaction's overcollateralization ratios and amortization of the
senior notes since the rating action in March 2011. Moody's notes
that the Class A Notes have been paid down by approximately 61.5%
or $55 million since the rating action in March 2011, and as a
result the overcollateralization ratios have increased. Based on
the latest trustee report dated September 12, 2011, The Class A/B,
Class C, Class D and Class E overcollateralization ratios are
reported at 167.84%, 139.26%, 117.35% and 108.79%, respectively,
versus January 2011 levels of 145.37%, 128.30%, 113.66% and
107.52%, 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 $128 million,
defaulted par of $2.9 million, a weighted average default
probability of 18.72% (implying a WARF of 3245), a weighted
average recovery rate upon default of 48.49%, and a diversity
score of 31. 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 V-Leveraged Loan CDO 2003, 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
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) De-leveraging: The main source of uncertainty in this
transaction is whether de-leveraging from unscheduled principal
proceeds will continue and at what pace. De-leveraging 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.
FORD AUTO: Moody's Assigns Definitive Ratings to Series 2011-R3
---------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes to be issued by Ford Auto Securitization Trust, Series 2011-
R3 (FAST 2011-R3). The transaction is administered by Ford Credit
Canada Limited (rated Ba2), who is also the originator and
servicer of the auto loan receivable pool which supports the FAST
2011-R3 notes. Ford Credit Canada Limited is the Canadian
subsidiary of Ford Motor Credit Company LLC (rated Ba2).
The complete rating actions are:
Issuer: Ford Auto Securitization Trust, Series 2011-R3
$172,000,000 1.708% Class A-1 Notes, rated Aaa (sf)
$206,000,000 1.960% Class A-2 Notes, rated Aaa (sf)
$119,930,000 2.482% Class A-3 Notes, rated Aaa (sf)
$15,720,000 2.949% Class B Notes, rated Aa1 (sf)
$10,480,000 3.251% Class C Notes, rated Aa2 (sf)
$10,480,000 3.842% Class D Notes, rated A1 (sf)
RATINGS RATIONALE
Moody's median cumulative net loss expectation for the FAST 2011-
R3 pool is 1.50% and the Volatility Proxy Aaa Level is 8.50%.
Moody's net loss expectation and Volatility Proxy Aaa Level for
the transaction are derived from an analysis of the credit quality
of the underlying pool of fixed rate retail installment sales
contracts, the collateral's historical performance, the servicing
ability of Ford Credit Canada Limited, the performance guarantee
provided by Ford Motor Credit Company LLC, and expectations for
future economic conditions.
All classes of notes are enhanced by a 1.0% cash reserve account
as well as overcollateralization in the form of yield supplement
overcollateralization. The Class A Notes are further enhanced by
subordinate Class B, Class C, and Class D Notes which constitute
3.00%, 2.00% and 2.00% respectively of the adjusted pool balance
(pool balance less yield supplement overcollateralization amount).
Initially, the Class A, Class B and Class C Notes will be fully
collateralized on an adjusted pool balance basis and Class D will
comprise of the over-issuance of 2% on an adjusted pool basis.
This transaction is Ford Credit Canada's third retail loan
issuance of the year. The most notable difference between FAST
2011-R3 and the prior FAST 2011-R2 transaction is the higher
percentage of contracts with original terms greater than 60 months
(42% compared to 36% for FAST 2011-R2). Both these transactions
have materially higher amounts of over 60 month original terms
compared with series issued in 2009 and 2010. A higher percentage
of contracts with original terms greater than 60 months typically
has a negative impact on pool performance. Additionally, the
weighted average FICO score of the 2011-R3 pool is lower than the
2011-R2 pool (732 compared to 739). Also, a review of the
favorable historical performance of Ford Credit Canada's retail
loan securitizations together with a deal-by-deal comparison of
collateral were important ratings considerations.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was Moody's Approach
to Rating U.S. Auto Loan-Backed Securities, rating methodology
published in May 2011.
PARAMETER SENSITIVITY
If the net loss used in determining the initial rating were
changed to 5.50%, 6.50%, or 8.50%, the initial model-indicated
output for the Class A notes might change from Aaa to Aa2, A1, and
Baa1, respectively, the initial model-indicated output for the
Class B notes might change from Aa1 to Ba2, B2, and respectively, the initial model-indicated output for the Class C
notes might change from Aa2 to B3, the initial model-indicated output for the Class D notes might
change from A1 to
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
FRASER SULLIVAN: Moody's Raises Rating of Class D Notes to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Fraser Sullivan CLO V Ltd.:
US$13,500,000 Class A-2 Senior Secured Floating Rate Notes due
2021, Upgraded to Aa1 (sf); previously June 22, 2011 Aa2 (sf)
Placed Under Review for Possible Upgrade;
US$30,100,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to A1 (sf); previously June 22, 2011 A2
(sf) Placed Under Review for Possible Upgrade;
US$15,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to A3 (sf); previously June 22, 2011 Baa2
(sf) Placed Under Review for Possible Upgrade;
US$19,000,000 Class D Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to Ba1 (sf); previously 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 $401.9 million, a
weighted average default probability of 22.44% (implying a WARF of
2739), a weighted average recovery rate upon default of 49.59%,
and a diversity score of 44. 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.
Fraser Sullivan CLO V Ltd., issued in February 2011, 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) 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, and diversity
score.
GALAXY III: Moody's Upgrades Rating of Class E-1 Notes to 'B1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Galaxy III CLO, Ltd.:
US$21,000,000 Class C Floating Rate Notes Due 2016, Upgraded to
Aa1 (sf); previously on June 22, 2011 A2 (sf) Placed on Review for
Possible Upgrade;
US$18,000,000 Class D Deferrable Floating Rate Notes due 2016,
Upgraded to Baa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed
on Review for Possible Upgrade;
US$7,750,000 Class E-1 Deferrable Floating Rate Notes Due 2016
(current balance of $7,075,451), Upgraded to B1 (sf); previously
on June 22, 2011 Caa3 (sf) Placed on Review for Possible Upgrade;
US$15,500,000 Class E-2 Deferrable Fixed Rate Notes Due 2016
(current balance of $14,150,901), Upgraded to B1 (sf); previously
on June 22, 2011 Caa3 (sf) Placed on Review for Possible Upgrade;
US$4,750,000 Class E-3 Deferrable Fixed Rate Notes Due 2016
(current balance of $4,336,567), Upgraded to B1 (sf); previously
on June 22, 2011 Caa3 (sf) Placed on Review for Possible Upgrade;
US$20,500,000 Combination Securities Due 2016 (current rated
balance of $13,268,456.30); Upgraded to Ba2 (sf); previously on
June 22, 2011 Caa1 (sf) Placed on 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 delevering of the
senior notes since the rating action in March 2011. Moody's notes
that the Class A Notes have been paid down by approximately 23%
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 August 5, 2011, the Class C, Class D and Class E
overcollateralization ratios are reported at 125.19%, 115.31% and
103.68%, respectively, versus February 2011 levels of 120.44%,
112.63% and 103.13%, 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 $261.9 million,
defaulted par of $1.5 million, a weighted average default
probability of 13.9% (implying a WARF of 2665), a weighted average
recovery rate upon default of 48.98%, 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.
Galaxy III CLO, Ltd., issued in August 2004, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "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) 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.
GE CAPITAL: S&P Affirms Rating on Class L Certificates at 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of commercial mortgage pass-through certificates from GE
Capital Commercial Mortgage Corp.'s series 2002-3, a U.S.
commercial mortgage-backed securities (CMBS) transaction. "In
addition, we affirmed our ratings on eight other classes from the
same transaction," S&P related.
"Our rating actions reflect our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. Our
analysis included a review of the credit characteristics of all of
the remaining loans in the pool, the transaction structure, and
the liquidity available to the trust. The upgrades further reflect
increased credit enhancement levels due to the deleveraging of
the pool. The upgrades considered the high percentage of defeased
loans (23 loans, $169.2 million, 22.5%), as well as our low
adjusted loan-to-value (LTV) ratio of 68.1% and high adjusted debt
service coverage (DSC) of 1.80x for the nondefeased loans in the
pool. In addition, as of the Sept. 12, 2011, trustee remittance
report, no loans were with the special servicer. The volume of
nondefeased loans with anticipated maturity dates (ARDs) or final
maturity dates in 2012 ($545.8 million, 72.4%) tempered our rating
actions," S&P noted.
"Using servicer-provided financial information, we calculated an
adjusted DSC of 1.80x and LTV ratio of 68.1% for the nondefeased
loans in the pool. We further stressed these loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 1.55x
and LTV ratio of 85.3%. The implied defaults and loss severity
under the 'AAA' scenario were 25.3% and 19.2%," S&P related.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels and liquidity that are
consistent with the outstanding ratings. "We affirmed our rating
on the class X-1 interest-only (IO) certificate based on our
current criteria," S&P said.
Transaction Summary
As of the Sept. 12, 2011, trustee remittance report, the
collateral pool had a trust balance of $753.4 million (102 loans),
down from $1.17 billion (131 loans) at issuance. The master
servicer, Wells Fargo Bank N.A. (Wells Fargo), provided financial
information for 95.5% of the nondefeased loans in the pool, 86.2%
of which was full-year 2010 data, with the remainder reflecting
full-year 2009 data.
"We calculated a weighted average DSC of 1.88x for the pool based
on the reported figures. Our adjusted DSC and LTV ratio, excluding
the 23 defeased loans, were 1.80x and 68.1%. To date, the trust
has experienced principal losses of $2.4 million relating to one
asset. Fifteen loans ($161.7 million, 21.5%), including two of the
top 10 loans secured by real estate, are on the master servicer's
watchlist. Ten loans in the pool ($62.0 million, 8.2%) have a
reported DSC of less than 1.10x," S&P stated.
Summary of Top 10 Loans Secured by Real Estate
"The top 10 loans secured by real estate have an aggregate
outstanding trust balance of $269.0 million (35.7%). Using
servicer-reported numbers, we calculated a weighted average DSC of
2.24x for the top 10 nondefeased loans. Our adjusted DSC and LTV
ratio for the top 10 nondefeased loans were 2.08x and 66.0%. Two
of the top 10 nondefeased loans totaling $98.6 million (13.1%)
appear on the master servicer's watchlist," S&P stated.
The Westfield Shoppingtowns Portfolio loan is the largest
nondefeased loan in the pool and is secured by two regional malls
comprising 1.1 million sq. ft., in Santa Ana, Calif., and
Roseville, Calif. The loan has a trust balance of $84.4 million
(11.2%) and a whole-loan balance of $185.4 million. The master
servicer indicated that the loan appears on its watchlist because
of fire damage suffered by the mall in Roseville. "Wells Fargo has
communicated to us that it expects all of the repairs to be
completed shortly, and the mall should be fully operational by
October 2011. Wells Fargo also indicated that the cash flow
disruption to date due to the fire is covered by business
interruption insurance. As of Dec. 31, 2010, the reported DSC and
occupancy were 3.85x and 96.5%," S&P stated.
The Commerce Center I & II loan ($14.2 million, 1.9%) is one of
two cross-collateralized and cross-defaulted loans that makes up
the second-largest nondefeased loan in the pool (the other loan is
the Highlands Plaza I Office Building loan {$18.0 million, 2.4%}).
The loan is secured by two industrial properties totaling 487,150
sq. ft. in St. Louis, Ms. According to Wells Fargo, the loan
appears on its watchlist because of a low reported DSC and
occupancy. For the six months ended June 30, 2011, the reported
DSC and occupancy were 0.88x and 89.0%, respectively.
Standard & Poor's stressed the loans in the pool according to its
criteria. "The resultant credit enhancement levels are consistent
with our raised and affirmed ratings," S&P added.
Ratings Raised
GE Capital Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2002-3
Rating
Class To From Credit enhancement (%)
E AAA (sf) AA+(sf) 16.77
F AA+ (sf) AA (sf) 15.41
G A+ (sf) A (sf) 13.08
H A (sf) A- (sf) 11.53
Ratings Affirmed
GE Capital Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2002-3
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.56
B AAA (sf) 24.34
C AAA (sf) 22.21
D AAA (sf) 18.71
J BBB (sf) 7.84
K BBB- (sf) 6.48
L BB+ (sf) 5.31
X-1 AAA (sf) N/A
N/A -- Not applicable.
GLACIER FUNDING: S&P Lowers Ratings on 2 Classes of Notes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-2 and B notes from Glacier Funding CDO II Ltd. "At the
same time, we affirmed our ratings on classes A-1NV, A-1V, C, D,
and preferred shares," S&P said.
According to the notice of acceleration dated July 21, 2011, the
trustee has received direction from the controlling party to
accelerate the notes, meaning money that would have been used to
make class A-2 and B interest payments will be used to pay down
the principal balance of the class A-1 notes. The downgrades
reflect the transaction's failure to make interest payments on its
nondeferrable notes.
"We affirmed our ratings on classes A-1NV, A-1V, C, D, and
preferred shares to reflect the credit support available to the
notes," S&P related.
Ratings Lowered
Glacier Funding CDO II Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
B D (sf) CC (sf)
Ratings Affirmed
Glacier Funding CDO II Ltd.
Class Rating
A-1NV BB+ (sf)
A-1V BB+ (sf)
C CC (sf)
D CC (sf)
Preferred shares CC (sf)
GOLDMAN SACHS: Fitch to Put Rating on $23 Mil. Notes at 'Bsf'
-------------------------------------------------------------
Fitch Ratings has issued a presale report on Goldman Sachs
Commercial Mortgage Capital, L.P.'s GS Mortgage Securities Trust
2011-GC5.
Fitch expects to rate the transaction and assign Outlooks:
-- $90,398,000 class A-1 'AAAsf'; Outlook Stable;
-- $476,574,000 class A-2 'AAAsf'; Outlook Stable;
-- $86,430,000 class A-3 'AAAsf'; Outlook Stable;
-- $568,249,000 class A-4 'AAAsf'; Outlook Stable;
-- $1,402,717,000 class X-A 'AAAsf'; Outlook Stable(a,b);
-- $181,066,000b class A-S 'AAAsf'; Outlook Stable;
-- $95,987,000b class B 'AA-sf'; Outlook Stable;
-- $69,808,000b class C 'A-sf'; Outlook Stable;
-- $74,172,000b class D 'BBB-sf'; Outlook Stable;
-- $28,360,000b class E 'BBsf'; Outlook Stable;
-- $23,996,000b class F 'Bsf'; Outlook Stable.
a) Notional amount and interest only.
b) Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Sept. 12, 2011. Fitch does not expect to rate the
$342,498,806 interest-only class X-B or the $50,175,806 class G
(b).
The certificates represent the beneficial ownership in the trust,
primary assets of which are 74 loans secured by 129 commercial
properties having an aggregate principal balance of approximately
$1.75 billion as of the cutoff date. The loans were originated by
Goldman Sachs Mortgage Company and Citigroup Global Markets Realty
Corporation.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 68.9% of the properties
by balance, cash flow analysis of 78.5% of the pool and asset
summary reviews of 83.2% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.23 times (x), a Fitch stressed loan-to value (LTV) of
96.0%, and a Fitch debt yield of 9.9%. Fitch's aggregate net cash
flow represents a variance of 9.6% to issuer cash flows.
The Master Servicer and Special Servicer will be Wells Fargo Bank,
N.A. and Torchlight Loan Services, LLC, rated 'CMS2' and 'CSS2',
respectively, by Fitch.
GOLUB CAPITAL: S&P Gives 'B' Rating on Class F Floating-Rate Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Golub
Capital Partners CLO 10 Ltd./Golub Capital Partners CLO 10 LLC's
$281.25 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool primarily comprising
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 collateral 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 0.47% to 13.84%," 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, collateral manager incentive
fees, and subordinated note payments to principal proceeds for
the purchase of additional collateral assets during the
reinvestment period.
Ratings Assigned
Golub Capital Partners CLO 10 Ltd./Golub Capital Partners CLO 10
LLC
Class Rating Amount
(mil. $)
A AAA (sf) 197.00
B AA (sf) 12.50
C (deferrable) A (sf) 31.75
D (deferrable) BBB (sf) 16.00
E (deferrable) BB (sf) 15.00
F (deferrable) B (sf) 9.00
Subordinated notes NR 24.88
NR -- Not rated.
GREENS CREEK: Moody's Upgrades Rating of Class C Notes to 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Greens Creek Funding Ltd.:
US$342,000,000 Class A-1 Floating Rate Senior Notes Due 2021
(current balance of $322,913,767), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa1 (sf) Placed Under Review for
Possible Upgrade;
US$26,000,000 Class B Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Upgraded to Baa1 (sf); previously on June 22, 2011
Baa3 (sf) Placed Under Review for Possible Upgrade;
US$18,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes Due 2021, Upgraded to Ba1 (sf); previously on June 22, 2011
Ba3 (sf) Placed Under Review for Possible Upgrade;
US$8,000,000 Class D Floating Rate Deferrable Subordinate Notes
Due 2021 (current balance of $6,570,851), Upgraded to Ba2 (sf);
previously on June 22, 2011 B3 (sf) Placed Under Review for
Possible Upgrade.
In addition, Moody's confirmed the rating of these notes:
US$25,500,000 Class A-2 Floating Rate Senior Notes Due 2021,
Confirmed at Aa3 (sf); previously on June 22, 2011 Aa3 (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 its analysis takes into account (1) the current
constraints around reinvesting due to the failure to meet certain
reinvestment criteria and (2) the possibility that the deal will
be allowed to reinvest in additional collateral obligations if the
restrictions on reinvesting were removed. Currently, the deal does
not have the ability to reinvest and as a result, cash has been
accumulating in the deal since March 2009. As of the September
2011 trustee report, the principal collections account balance is
$245,975,646. Due to the unique constraints around the deal's
reinvestment capability, Moody's analyzed and weighted two
alternative scenarios for this transaction. In the first case (the
"static case"), Moody's assumed that the current outstanding
principal collections along with future amortizations are held in
a reserve account until the end of the reinvestment period. After
the end of the reinvestment period, the cash is released from the
reserve account for application in accordance with the priority of
payments. Moody's also analyzed a second scenario where
reinvesting is permitted (the "reinvesting case"). Due to the
uncertainty in the composition of the new asset pool in the
reinvesting case, Moody's modeled covenant levels for weighted
average rating factor, weighted average spread, and diversity
that, in Moody's view, is likely to be achieved when the current
Grid Test is applied. The weighted average life is modeled to be
extended by one year from the current weighted average life. In
determining the appropriate point in the Grid Test to model,
Moody's chose a combination of WARF, WAS, and Diversity that is in
line with the present and historical metrics of the current
portfolio. The deal is required to satisfy its collateral quality
tests or maintain and improve current actual levels if the
collateral quality tests are breached. In the reinvesting case,
Moody's expects that the additional collateral obligations
purchased with principal collections will have a credit risk
profile which is no worse than the portfolio parameters of the
current pool.
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 both the
static and reinvesting case, Moody's analyzed the underlying
collateral pool to have a performing par and principal proceeds
balance of $426.0 million (principal proceeds are assumed to be
held in a reserve account until the end of the reinvestment period
in the static case, and are assumed to be used to reinvest in
additional collateral in the reinvesting case) and a defaulted par
balance of $4.9 million. In the static case, Moody's assumes a
weighted average default probability of 22.72% (implying a WARF of
3047 and a WAL of 4.8 years), a weighted average recovery rate
upon default of 44.71% and a diversity score of 29. In the
reinvesting case Moody's assumes a weighted average default
probability of 21.36% (implying a WARF of 2642 and a WAL of 5.7
years), a weighted average recovery rate upon default of 47.06%
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.
Greens Creek Funding Ltd., issued in May of 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 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) Currently, a substantial proportion of the portfolio is held in
cash due to high prepayment levels in the loan market and the
static nature of the deal. While Moody's expects reinvesting has
some likelihood of resuming, such a case is subject to significant
uncertainty relating to the composition of the new asset pool. The
deal is also impacted by the timing and pace of reinvesting. In
its analysis of the reinvestment case, Moody's assumed that the
cash would be reinvested in primarily senior secured loans.
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.
GUGGENHEIM STRUCTURED: Moody's Affirms Cl. D Notes Rating at Caa3
-----------------------------------------------------------------
Moody's has upgraded the ratings of three and affirmed the ratings
of four classes of Notes issued by Guggenheim Structured Real
Estate Funding 2006-3 primarily due to $135.6 million in full
amortization of collateral since Moody's last review in October
2010. Additionally, the underlying collateral performance has been
relatively stable as evidenced by the Moody's weighted average
rating factor (WARF) and recovery rate (WARR). However, the
transaction is very sensitive to recovery rate assumptions as
summarized in the key parameters sensitivities below. The
affirmations are due to key transaction parameters performing
within levels commensurate with the existing ratings levels on
those classes of notes. The rating action is the result of Moody's
on-going surveillance of commercial real estate collateralized
debt obligation (CRE CDO) transactions.
Cl. S, Upgraded to Aaa (sf); previously on Mar 30, 2009 Downgraded
to Aa2 (sf)
Cl. B, Upgraded to Aaa (sf); previously on Oct 5, 2010 Downgraded
to Baa3 (sf)
Cl. C, Upgraded to Baa3 (sf); previously on Oct 5, 2010 Downgraded
to B3 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on Oct 5, 2010 Downgraded
to Caa3 (sf)
Cl. E, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
Cl. F, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
Cl. G, Affirmed at C (sf); previously on Oct 5, 2010 Downgraded to
C (sf)
RATINGS RATIONALE
Guggenheim Structured Real Estate Funding 2006-3 is currently a
static cash CRE CDO transaction (reinvestment period ended
September 2011) backed by a portfolio of commercial mortgage
backed securities (CMBS) (15.7% of the pool balance), commercial
real estate CDOs (29.7%), three A-notes and whole loans (41.2% of
the pool balance), one B-Note (2.4%), one C-Note (0.9%) and one
mezzanine loan (10.1%). As of the August 18, 2011 Trustee report,
the aggregate Note balance of the transaction, including preferred
shares, has decreased to $197.6 million from $420.5 million at
issuance, with the paydown directed to the Class A-1, A-2 and B
Notes, as a result of regular amortization of the underlying
collateral as well as the redirection of cash flow as a result of
the failing of the Class D and E par value tests.
There are five assets with a par balance of $63.5 million (35.5%
of the current pool balance) that are considered Impaired
Securities as of the August 18, 2011 Trustee report. One of these
assets (29.4% of the impaired balance) is a whole loan, one asset
is a C-Note (2.5%), one asset is CMBS (27.9%) and two assets are
commercial real estate CDOs (40.2%). Impaired Securities that are
not CMBS or commercial real estate CDOs are defined as assets
which are 60 or more days delinquent in their debt service
payment. While there have been no realized losses to the impaired
assets 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: 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 6,151 compared to 6,165 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (11.4% compared to 7.4% at last review), A1-A3
(0.0% compared to 2.3% at last review), Baa1-Baa3 (4.0% compared
to 0.0% at last review), Ba1-Ba3 (5.3% compared to 18.2% at last
review), B1-B3 (0.0% compared to 5.3% at last review), and Caa1-C
(79.2% compared to 66.8% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.3 years compared
to 1.6 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
29.9% compared to 24.6% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.9% compared to 11.9% at last review.
The increase in MAC is due to more very high risk collateral
concentrated in a small number of collateral names.
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
29.9% to 19.9% or up to 39.9% would result in average rating
movement on the rated tranches of 0 to 7 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 performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
HEWETT'S ISLAND: Moody's Upgrades Rating of Class C Notes to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Hewett's Island CLO II, Ltd.:
US$255,000,000 Class A-1 Senior Secured Notes due 2016 (current
outstanding balance of $164,418,094), Upgraded to Aaa (sf);
previously on June 22, 2011 A1 (sf) Placed Under Review for
Possible Upgrade;
US$8,000,000 Class A-2A Floating Rate Senior Secured Notes due
2016, Upgraded to Aa3 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$7,000,000 Class A-2B Fixed Rate Senior Secured Notes due 2016,
Upgraded to Aa3 (sf); previously on June 22, 2011 Baa3 (sf) Placed
Under Review for Possible Upgrade;
US$2,500,000 Class B-1A Floating Rate Deferrable Amortizing Senior
Secured Notes due 2016 (current outstanding balance of $416,667),
Upgraded to Aa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
US$7,500,000 Class B-1B Fixed Deferrable Amortizing Senior Secured
Notes due 2016 (current outstanding balance of $1,250,000),
Upgraded to Aa1 (sf); previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
US$11,000,000 Class B-2 Deferrable Senior Secured Notes due 2016,
Upgraded to A3 (sf); previously on June 22, 2011 Ba3 (sf) Placed
Under Review for Possible Upgrade;
US$11,000,000 Class C Secured Notes due 2016, Upgraded to Ba1
(sf); previously on June 22, 2011 Caa2 (sf) Placed Under Review
for Possible Upgrade;
US$12,000,000 Class D Subordinated Secured Notes due 2016 (current
outstanding balance of $9,415,613), Upgraded to B3 (sf);
previously on June 22, 2012 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 senior
notes since the rating action in January 2011. Moody's notes that
the Class A-1 Notes have been paid down by approximately 32% or
$78.5 million since January 2011. As a result of the delevering,
the overcollateralization ratios have increased. Based on the
latest trustee report dated July 29, 2011, the Senior Notes, Class
B-2, Class C and Class D overcollateralization ratios are reported
at 122.64%, 115.55%, 109.24% and 104.36%, respectively, versus
November 2010 levels of 115.22%, 110.51%, 106.17% and 105.60%,
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 $220 million,
defaulted par of $4 million, a weighted average default
probability of 14.35% (implying a WARF of 2672), a weighted
average recovery rate upon default of 47.09%, and a diversity
score of 44. 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.
Hewett's Island CLO II, Ltd., issued in December 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
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.
HYUNDAI AUTO: Moody's Assigns Provisional Ratings to 3rd Loan Deal
------------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Hyundai Auto Receivables Trust 2011-C (HART
2011-C).
The complete rating actions are as follows:
Issuer: Hyundai Auto Receivables Trust 2011-C
A-1 Notes, rated (P)P-1 (sf)
A-2 Notes, rated (P)Aaa (sf)
A-3 Notes, rated (P)Aaa (sf)
A-4 Notes, rated (P)Aaa (sf)
RATINGS RATIONALE
The principal methodology used in this rating was Moody's Approach
to Rating U.S. Auto Loan-Backed Securities, published in May 2011.
Please see the Credit Policy page on www.moodys.com for a copy of
this methodology.
Moody's median cumulative net loss expectation for the HART 2011-C
pool is 1.75% and the Aaa Level is 11.00%. Moody's net loss
expectation and Volatility Proxy Aaa Level for HART 2011-C are
derived from an analysis of the credit quality of the underlying
collateral, historical performance trends, the ability of Hyundai
Capital America (HCA) to perform the servicing functions, and
current expectations for future economic conditions.
2011-C is HCA's third public retail term securitization of the
year. The deal is structured similarly to the 2010-B, which closed
in August 2010. Similar to the 2010-B transaction, the reserve
account will be non-declining at 0.50% of the initial adjusted
pool balance. For the 2011-C, initial overcollateralization will
be 7.50% of the initial adjusted pool balance with a floor of
2.0%. The target overcollateralization including the reserve
account will be 11.5%, a decrease from 14.5% for the 2010-B
transaction. The excess spread after considering YSOC in this
transaction is similar to the 2010-B transaction.
The main difference in collateral between HART 2011-C and prior
HART 2011 transactions is a higher percentage of loans for Kia
automobiles. HART 2011-C has a 25.7% concentration of Kia loans
compared to 12% for HART 2011-A and 19% for 2011-B. Although
historically, losses on loans backed by Kia automobiles have been
higher than losses on loans backed by Hyundai automobiles, the
performance of the subset of Kia loans that have been included in
recent HART transactions has mostly been equal or better than that
of Hyundai collateral, and has helped contribute to lower observed
losses. The weighted average FICO score for Kia loans continues to
improve with each transaction. For the HART 2011-C, the weighted
average FICO is 766, compared with 754 and 744 for the HART 2011-B
and HART 2011-A. Moody's does not foresee a significant increase
in losses for HART 2011-C since its Kia loans have such a high
FICO and observed performance of recent transactions remains
strong.
The V Score for this transaction is Low/Medium, which is in-line
with the Low/Medium V score assigned for the U.S. Prime Retail
Auto Loan ABS sector. The V Score indicates "Low/Medium"
uncertainty about critical assumptions. The experience of
transaction parties for this transaction is viewed as slightly
weaker than the sector given HCA's less frequent issuance.
However, the servicer risk is viewed as Low compared to the sector
score of Low/Medium due to the financial stability of the
servicer's parent, Hyundai Motor Company, as evidenced by its Baa2
rating. As a result, the overall score for Governance is in line
with the sector's score of Low/Medium.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 6.00%, 8.00%, or
10.00%, the initial model-indicated output for the Class A notes
might change from Aaa to Aa1, A1, and Baa1, respectively. Using
the same loss assumptions, the initial model-indicated output for
the Class B notes might change from Aa1 to Ba1, B3 and below B3,
respectively. The Class C notes, using the same loss assumptions,
might change from A1 to B2 and below B3, and the Class D notes
might change from Baa2 to below B3.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. 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 also available
on moodys.com.
INTEGRAL FUNDING: Moody's Raises Rating of Class C Notes to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Integral Funding Ltd.:
US$56,000,000 Class A-3 Floating Rate Notes Due 2017, Upgraded to
Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed Under Review
for Possible Upgrade;
US$72,000,000 Class B Deferrable Floating Rate Notes Due 2017,
Upgraded to A1 (sf); previously on June 22, 2011 Baa2 (sf) Placed
Under Review for Possible Upgrade;
US$42,000,000 Class C Deferrable Floating Rate Notes Due 2017,
Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade; and
US$46,000,000 Class D Deferrable Floating Rate Notes Due 2017,
Upgraded to B3 (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 the consideration of an increase in the
transaction's overcollateralization ratios due to the delevering
of the senior notes since the rating action in February 2011. The
Class A-1 notes have been paid down by approximately 17% or $193
million since the rating action, and as a result of the
delevering, the overcollateralization ratios have increased since
then. Based on the trustee report dated August 4, 2011, the Class
A, Class B, and Class C overcollateralization ratios are reported
at 145.15%, 124.46%, and 114.91%, respectively, versus January
2011 levels of 125.89%, 114.82%, and 109.22%, respectively.
Moody's also notes that the weighted average rating factor has
deteriorated since the last rating action in February 2011. Based
on the August 2011 trustee report, the weighted average rating
factor is currently 2946 compared to 2878 in January 2011.
Additionally, Moody's considered in its analysis the impact of the
deal's high concentration in assets with low speculative grade
ratings.
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 $623.56 million,
defaulted par of $20.66 million, a weighted average default
probability of 19.96% (implying a WARF of 3165), a weighted
average recovery rate upon default of 48.53%, and a diversity
score of 61. 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.
Integral Funding Ltd., issued in September 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: A 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.
INTERPROPERTIES FINANCE: Moody's Assigns (P)Ba3 to Senior Notes
---------------------------------------------------------------
Moody's Investors Service assigned a (P)Ba3 rating to the proposed
US$ senior secured notes issuance of Interproperties Finance
Trust. The rating outlook is stable. This is the first time
Moody's rates Interproperties Finance Trust.
This rating was assigned with a stable outlook:
Interproperties Finance Trust -- Proposed senior secured notes at
(P)Ba3
RATINGS RATIONALE
Interproperties Finance Trust (the Issuer) plans to sell
approximately US$185 million of senior secured notes. The
transaction will be structured as follows: Deutsche Bank will
provide a loan to Interproperties Holdings (Interproperties), a
securitization trust whose assets consist solely of participation
certificates representing the right to direct the operations and
receive certain benefits from projects of Interproperties Peru.
This loan will be secured by a first-lien pledge on assets placed
in a Guaranty Trust; the Issuer, a Cayman Island domiciled entity
(offshore SPV), will enter into a participation agreement with
Deutsche Bank in which it transfers the total amount of notes
issued to the bank in exchange for a 100% interest in
Interproperties' loan; the Issuer sells the notes, which are
bought by investors; Interproperties pays the debt service on the
loan to Deutsche Bank, which then transfers those payments to the
Issuer, based upon the participation agreement and the Issuer pays
the noteholders the debt service.
The notes will have a term of 12 years and will start amortizing,
in equal payments semiannually, on March 30, 2015. In addition,
the notes will be listed on the Luxembourg Stock Exchange and
governed by and construed in accordance with the laws of the State
of New York. The noteholders will have a first priority perfected
security interest in the participation in Deutsche Bank's loan to
Interproperties. Interproperties will use all of the net proceeds
of the loan to acquire certain properties, make new investments
and prepay indebtedness of the acquired properties. The loan has
various covenants including: limitations on the incurrence of
additional debt, guarantees, maintenance of a debt to equity ratio
and restricted payments.
The (P)Ba3 bond rating incorporates Interproperties' industry
leadership in the Peruvian commercial shopping centers/malls
industry, with a 22% market share based upon leased square feet.
The company also has good geographic diversification, with market
leading centers/malls (its centers/malls had over 70 million
visits in 2010). Interproperties has an experienced management
team, with retailing and development expertise.
The (P)Ba3 rating also incorporates the secured status of the
notes. The noteholders will have a first priority perfected
security interest in the participation in Deutsche Bank's loan to
Interproperties, which is secured by the assets pledged to the
Guaranty Trust where the majority of Interproperties Peru's assets
will sit. The value of the assets in the Guaranty Trust provides
good collateral coverage for the notes. Deutsche Bank will also
have a second lien on assets that are currently encumbered. The
proposed US$185 million loan will represent the majority of
Interproperties' debt. The interest and principal payments on the
notes will not be hedged. This creates foreign currency risk,
which is somewhat mitigated by Interproperties' collection of
approximately one-third of base rents in US dollars. Also, recent
history supports a stable Peruvian currency and Peru's economy is
50% dollarized. However, any substantial currency movements that
would stress Interproperties' ability to repay the loan and thus
limit the Issuer's ability to pay the bonds' debt service will
place negative pressure on the rating.
Interproperties benefits from the financial and operational
backing of IFH Peru Holding of Grupo Interbank, a leading
financial group in Peru. The Group comprises several financial and
non-financial companies operating in Peru and other countries
(i.e., Panama and the Bahamas) and is represented in various
industries including financial services (commercial banking,
broker dealer, insurance, securitization, mutual funds, investment
management, and private banking) as well as supermarkets,
entertainment, tourism, and real estate.
Other credit strengths include the vast growth that the Peruvian
retail and commercial center/mall industries has experienced in
the last decade with demand continuing to far outweigh supply.
Furthermore, migration from other provinces to the capital city of
Lima has spurred population growth, thus driving growth in retail
demand.
These strengths are mitigated by Interproperties' very small size
and private status. The company started its real estate business
in 2005 and has limited access to the capital markets.
Interproperties also has high tenant concentration, with the top
five tenants representing over 40% of total rents. In addition,
its very aggressive growth has lead to volatility of earnings and
cash flows, coupled with a large development pipeline mostly
funded with debt, which translates into volatile and weak credit
metrics including fixed charge coverage, net debt to EBITDA, high
effective leverage and high secured debt levels. Moody's does note
that Interproperties' had cash on hand as of 6/30/11 of
approximately US$6.5 million and it also received a US$15 million
capital contribution from its parent, which is committed to
contributing a total of US$25 million by YE2011.
Moody's issues provisional ratings in advance of the final sale of
securities and these ratings reflect Moody's preliminary credit
opinion regarding the transaction only. Upon a conclusive review
of the final documentation, Moody's will endeavour to assign a
definitive rating to Interproperties Finance Trust's proposed
senior secured notes offering. A definitive rating may differ from
a provisional rating.
The stable rating outlook is based on Moody's determination that
Interproperties is a leading shopping center company in Peru with
a diverse, good quality portfolio and stable operating
performance. The outlook incorporates Moody's expectation that
Interproperties' credit metrics will continue to improve as the
company grows organically through its current development
pipeline, while at least maintaining its operating margins.
Moody's will monitor Interproperties' opportunistic investment,
growth strategy and the funding of these.
Moody's stated that rating improvements will be difficult in the
medium-term, but would be predicated upon continued successful
progress in Interproperties' development and growth strategy
accompanied by material improvements in the credit profile which
would include: increase in size closer to US$500 million in total
assets; EBITDA to interest expense at 2X, net debt/EBITDA closer
to 4x and effective leverage at or below 50% all on a consistent
basis. Downward rating pressure would occur from any significant
missteps in the development pipeline or growth plans causing a 10%
or more reduction in revenues and/or deterioration in
Interproperties' credit profile which would include: any reduction
in the current size of the company; EBITDA to interest expense
below 1.3X, net debt/EBITDA close to above 11x, and effective
leverage at or above 60% all on a consistent basis.
The principal methodology used in this rating was the Global
Rating Methodology for REITs and Other Commercial Property Firms,
published in July 2010.
JP MORGAN: Moody's Affirms Rating of Class H Notes at 'B2'
----------------------------------------------------------
Moody's Investors Service (Moody's) downgraded the ratings of
three classes and affirmed 19 CMBS classes of J.P. Morgan
Commercial Mortgage Finance Corp., Series 2003-LN1:
Cl. A-1, Affirmed at Aaa (sf); previously on Oct 9, 2003
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Oct 9, 2003
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Oct 9, 2003
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Jul 9, 2007 Upgraded to
Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Jul 26, 2007 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aa3 (sf); previously on Jul 26, 2007 Upgraded
to Aa3 (sf)
Cl. E, Affirmed at A2 (sf); previously on Jul 26, 2007 Upgraded to
A2 (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Nov 11, 2010
Downgraded to Baa1 (sf)
Cl. G, Affirmed at Baa3 (sf); previously on Nov 11, 2010
Downgraded to Baa3 (sf)
Cl. H, Affirmed at B2 (sf); previously on Nov 11, 2010 Downgraded
to B2 (sf)
Cl. J, Affirmed at Caa1 (sf); previously on Nov 11, 2010
Downgraded to Caa1 (sf)
Cl. K, Downgraded to Caa3 (sf); previously on Nov 11, 2010
Downgraded to Caa2 (sf)
Cl. L, Downgraded to Ca (sf); previously on Nov 11, 2010
Downgraded to Caa3 (sf)
Cl. M, Downgraded to C (sf); previously on Nov 11, 2010 Downgraded
to Ca (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on Oct 9, 2003
Definitive Rating Assigned Aaa (sf)
Cl. PS-1, Affirmed at Aa2 (sf); previously on Nov 11, 2010
Upgraded to Aa2 (sf)
Cl. PS-2, Affirmed at Aa3 (sf); previously on Nov 11, 2010
Upgraded to Aa3 (sf)
Cl. PS-3, Affirmed at A1 (sf); previously on Nov 11, 2010 Upgraded
to A1 (sf)
Cl. PS-4, Affirmed at A2 (sf); previously on Nov 11, 2010 Upgraded
to A2 (sf)
Cl. PS-5, Affirmed at A3 (sf); previously on Nov 11, 2010 Upgraded
to A3 (sf)
Cl. PS-6, Affirmed at Baa1 (sf); previously on Nov 11, 2010
Upgraded to Baa1 (sf)
Cl. PS-7, Affirmed at Baa2 (sf); previously on Nov 11, 2010
Upgraded to Baa2 (sf)
RATINGS RATIONALE
The downgrades are due to increases in realized and anticipated
losses from troubled loans and loans in special servicing, and
refinance risk associated with loans that mature within the next
three years. Loans representing 77% of the pool mature within the
next 36 months; 19% do not pass Moody's refinance test.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
3.3% of the current balance. At last review, Moody's cumulative
base expected loss was 3.4%. Moody's stressed scenario loss is
7.2% of the current balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 52 compared to 55 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated November 11, 2010.
DEAL PERFORMANCE
As of the September 15, 2011 distribution date, the pooled
transaction's aggregate certificate balance has decreased by 26%
to $894 million from $1.20 billion at securitization.
Additionally, the transaction has rake bonds associated with the
One Post Office Square loan totaling $50.4 million. The
Certificates are collateralized by 160 mortgage loans ranging in
size from less than 1% to 6% of the pool, with the top ten non-
defeased loans representing 27% of the pool. Twenty-two loans,
representing 18% of the pool, have defeased and are secured by
U.S. Government securities. The largest loan in the pool has an
investment grade credit estimate.
Forty-three loans, representing 28% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Five loans have been liquidated from the pool, resulting in a
realized loss of $26.8 million (88% loss severity on average). At
last review the pool had experienced an aggregate $8.0 million
loss. Currently three loans, representing 2% of the pool, are in
special servicing. The three specially serviced loans are secured
by two retail and one multifamily properties. Moody's estimates an
aggregate $6.4 million loss for the specially serviced loans (39%
expected loss on average).
Moody's has assumed a high default probability for fifteen poorly
performing loans representing 9% of the pool and has estimated an
aggregate $12.3 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 99%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 80% compared to 84% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.58X and 1.40X, respectively, compared to
1.79X and 1.34X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The loan with a credit estimate is the One Post Office Square Loan
($55.0 million -- 6.2% of the pool), which represents a 50%
participation interest in a $110 million first mortgage loan
secured by a 766,000 square foot Class A office building located
in Boston, Massachusetts. The property was 90% leased as of March
2011 compared to 94% at last review and 92% at securitization. The
largest tenant is Putnam Investments, which leases 32% of the net
rentable area (NRA) through March 2019. The property is also
encumbered by a $50.4 million non-pooled subordinate note that is
included in the trust that supports non-pooled Classes PS-1
through PS-7. These seven rake classes are all affirmed in
conjunction with the credit estimate affirmation on the senior
note. Moody's credit estimate and stressed DSCR for the senior
note are Aa1 and 2.22X, respectively, compared to Aa1 and 2.21X at
last review.
The top three performing conduit loans represent 11% of the pool
balance. The largest loan is the IAC International Cargo Port Loan
($45.2 million -- 5.1% of the pool), which is secured by a 376,000
square foot industrial/office property located in the former South
Boston Army Base in Boston, Massachusetts. The property was 88%
leased as of March 2011 compared to 76% at last review and 89% at
securitization. Due to the lease up of some of the vacant space in
2010, Moody's anticipates that property performance will improve
in 2011. Moody's LTV and stressed DSCR are 92% and 1.09X,
respectively, compared to 105% and 0.95X at last review.
The second largest conduit loan is the Sheraton Inner Harbor Hotel
Loan ($30.1 million -- 3.4% of the pool), which is secured by a
337-room full service hotel located in the Inner Harbor of
Baltimore, Maryland. Though this loan is currently on the
servicer's watchlist due to declining performance due to weaker
tourism traffic, the property has started to perform much better
in 2011. Occupancy and ADR as of June 2011 was 66% and $166,
respectively, compared to 62% and $157 as of December 2009.
Moody's LTV and stressed DSCR are 94% and 1.27X, respectively,
compared to 132% and 0.90X at last review.
The third largest loan is the Chasewood Office Portfolio Loan
($22.5 million -- 2.5% of the pool), which is secured by two
suburban office buildings totaling 250,778 square feet located in
Houston, Texas. The properties were 72% leased as March 2011
compared to 92% at last review and 93% at securitization. A tenant
occupying 25% of the NRA recently vacated its space. The borrower
has been actively marketing the vacant space in the buildings and
leased an additional 20% of the NRA to two tenants who will take
occupancy by the end of 2012. Moody's LTV and stressed DSCR are
118% and 0.90X, respectively, compared to 77% and 1.38X at last
review.
JP MORGAN: Moody's Downgrades Class B Notes Rating to 'Ba2'
-----------------------------------------------------------
Moody's Investors Service (Moody's) downgraded the ratings of six
classes, confirmed two classes and affirmed 16 classes of J.P.
Morgan Chase Commercial Mortgage Pass-Through Certificates, Series
2006-LDP7:
Cl. A-2, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3A, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3FL, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3B, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Confirmed at Aaa (sf); previously on Sep 8, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. A-J, Downgraded to Baa3 (sf); previously on Sep 8, 2011 A3
(sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to Ba2 (sf); previously on Sep 8, 2011 Baa2 (sf)
Placed Under Review for Possible Downgrade
Cl. C, Downgraded to B1 (sf); previously on Sep 8, 2011 Baa3 (sf)
Placed Under Review for Possible Downgrade
Cl. D, Downgraded to B2 (sf); previously on Sep 8, 2011 Ba1 (sf)
Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Caa1 (sf); previously on Sep 8, 2011 Ba3 (sf)
Placed Under Review for Possible Downgrade
Cl. F, Downgraded to Caa2 (sf); previously on Sep 8, 2011 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. G, Confirmed at Caa3 (sf); previously on Sep 8, 2011 Caa3 (sf)
Placed Under Review for Possible Downgrade
Cl. H, Affirmed at Ca (sf); previously on Nov 17, 2010 Downgraded
to Ca (sf)
Cl. J, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. P, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. Q, Affirmed at C (sf); previously on Nov 17, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Aaa (sf); previously on Jul 12, 2006 Definitive
Rating Assigned Aaa (sf)
RATINGS RATIONALE
On September 8, 2011 Moody's placed Classes AM through G on review
for possible downgrade due to an increase in realized losses and
an expected increase in losses from specially serviced loans and
troubled loans. This rating actions concludes Moody's review.
Class AM is confirmed at this review. However, a further decline
in pool quality and increased loss estimates could result in a
subsequent rating action on this class.
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans.
The affirmations and confirmations are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
8.2% of the current pooled balance as compared to 6.3% at last
review. Moody's stressed scenario loss is 23.0% of the current
pooled balance. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to the pace of
the recovery of the broader economy. Core office markets are
showing signs of recovery through lending and leasing activity.
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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions," published in
September 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The pool has a Herf of 45 as compared to 51
at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated November 17, 2010.
DEAL PERFORMANCE
As of the September 15, 2011 distribution date, the deal's
aggregate certificate balance has decreased by 10% to $3.5 billion
from $3.9 billion at securitization. The Certificates are
collateralized by 234 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 40%
of the pool. One loan, representing 1% of the pool, has defeased
and is secured by U.S. Government securities. The pool does not
contain any loans with credit estimates.
Forty-nine loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC; formerly the Commercial Mortgage
Securities Association) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $47 million (55% average loss
severity). Realized losses were $18 million at Moody's last
review. Twenty-nine loans, representing 11% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Shoreview Corporate Center Loan ($54 million -- 1.5%),
which is secured by a 553,000 square foot (SF) office building
located in the St. Paul submarket in Shoreview, Minnesota. The
property was only 64% leased as of 8/4/2011. The loan is over 90
days delinquent and the foreclosure process has been initiated.
The servicer has recognized a $29.7 million appraisal reduction
for this loan.
The remaining specially serviced loans are secured by a mix of
multifamily, hotel, retail, office, and self storage property
types. The master servicer has recognized an aggregate $129
million appraisal reduction for 23 of the specially serviced
loans, which is a $62 million increase since last review. Moody's
has estimated a $159 million loss (41% expected loss based on an
88% probability of default) for the specially serviced loans.
Moody's has assumed a high default probability for 26 poorly
performing loans representing 7% of the pool and has estimated a
$39 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes H through
NR have experienced cumulative interest shortfalls totaling
$11 million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced and troubled loans. Interest shortfalls are
caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs) and extraordinary trust expenses.
Moody's was provided full year 2010 operating results for 98% of
the conduit loans. The conduit portion of the pool excludes
specially serviced, defeased and troubled loans. Moody's weighted
average conduit LTV is 108% compared to 101% at Moody's prior
review. Moody's net cash flow reflects a weighted average haircut
of 12% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.05%.
Moody's actual and stressed conduit DSCRs are 1.29X and .98X,
respectively, compared to 1.47X and 1.07X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 18% of the pool.
The largest loan is the Westfield Centro Portfolio ($240 million -
- 6.8% of the pool), which is secured by five regional malls
located in California, Colorado, Connecticut, Missouri and Ohio.
The properties range in size from 327,000 to 589,000 SF. The Ohio
property is underperforming the rest of the portfolio due to
tenant bankruptcies and a subsequent drop in occupancy. However,
the four other malls are 94% leased or more. Overall, the
portfolio is 86% leased with an actual DSCR of 1.21X. Moody's LTV
and stressed DSCR are 147% and 0.70X, respectively, compared to
146% and 0.72X at last review.
The second largest loan is the One and Two Prudential Plaza Loan
($205 million -- 5.8% of the pool), which is secured by a two
cross-collateralized and cross-defaulted Class A offices located
in the East Loop of Chicago, Illinois. The properties contain
2.2 million SF and are Gold LEED Certified. The loan represents a
50% pari passu interest in a $410.0 million first mortgage. The
property was 86% leased as of March 2011 compared to 90% at least
review. The drop in occupancy led to a $10 million decline in 2010
revenue. Moody's LTV and stressed DSCR are 121% and .76X,
respectively, compared to 87% and 1.06X at last review.
The third largest loan is the Bella Terra Retail Loan
($188 million -- 5.3% of the pool), which is secured by a 664,000
SF retail property located in Huntington Beach, California. The
mall underwent a $238 million renovation in 2005 when it was
transformed into an open-air retail center from an enclosed mall.
The property was 95% leased as of June 2011 as compared to 85% at
last review. Loan repayment will convert from interest only to
principal and interest beginning in September 2011. Moody's LTV
and stressed DSCR are 135% and 0.66X, respectively, compared to
137% and 0.65X at last review.
JP MORGAN: Moody's Downgrades Rating of Class A-J Notes to 'B3'
---------------------------------------------------------------
Moody's Investors Service (Moody's) downgraded the ratings of four
and affirmed 13 classes of J.P. Morgan Chase Commercial Mortgage
Corp., Commercial Mortgage Pass-Through Certificates, Series 2006-
CIBC15:
Cl. A-3, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed at A1 (sf); previously on Dec 17, 2010
Downgraded to A1 (sf)
Cl. A-J, Downgraded to B3 (sf); previously on Dec 17, 2010
Downgraded to B1 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Dec 17, 2010
Downgraded to Caa1 (sf)
Cl. C, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa2 (sf)
Cl. D, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. E, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
Cl. X-2, Affirmed at Aaa (sf); previously on Jul 12, 2006
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans. Since the prior review, the pool
realized $46.4 million of losses and the share of loans in special
servicing and on the master servicer's watchlist increased to 54%
from 36%, while the outstanding balance of the pool decreased by
just 4%.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
11.3% of the current balance. At last review, Moody's cumulative
base expected loss was 12.1%. Moody's stressed scenario loss is
23.1% of the current balance. Moody's base expected loss is a
function of the total anticipated losses for the loans remaining
in the pool. The decrease in base expected loss is due an increase
in realized losses to the pool since Moody's last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
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 performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 26 compared to 28 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated December 17, 2010.
DEAL PERFORMANCE
As of the September 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to $1.95 billion
from $2.12 billion at securitization. The Certificates are
collateralized by 118 mortgage loans ranging in size from less
than 1% to 15% of the pool, with the top loans representing 45% of
the pool. The pool does not contain any defeased loans or loans
with investment grade credit estimates.
Thirty-nine loans, representing 34% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
The pool has experienced an aggregate loss of $60.6 million from
liquidated loans and loan modifications. Currently twenty-one
loans, representing 20% of the pool, are in special servicing. The
largest specially serviced loan is the Midwest Retail Portfolio
Loan ($79.6 million -- 4.1% of the pool), which is secured by a
thirteen retail properties located in Nebraska (12 properties) and
South Dakota (1 property). The loan was originally transferred to
special servicing in August 2009 after the borrower requested
relief since the cash flow from the portfolio was no longer
covering payments on the mortgage and mezzanine debt. While in
special servicing, the borrower acquired the mezzanine debt at a
substantial discount to its $10 million outstanding balance. The
loan was transferred back to the master servicer in February 2011
after loan modification negotiations stalled. In June 2011, the
loan was transferred back to the special servicer for a review of
an improved modification proposal. The remaining twenty specially
serviced loans account for 16% of the pool. Moody's estimates an
aggregate $163.8 million loss for the specially serviced loans
(42% expected loss on average).
Moody's has assumed a high default probability for seven poorly
performing loans representing 5% of the pool and has estimated an
aggregate $19.3 million loss (21% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 97%
of the pool's non-specially serviced loans. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 102%
compared to 104% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 9% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.2%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.27X and 1.01X, respectively, which is in-line
with last review. Moody's actual DSCR is based on Moody's net cash
flow (NCF) and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stressed rate applied to
the loan balance.
The top three conduit loans represent 25% of the pool. The largest
conduit loan is the Warner Building Loan ($292.7 million -- 15.0%
of the pool), which is secured by a 665,393 square foot (SF) Class
A office building located four blocks from the White House in
Washington, DC. The largest former tenant at the property (Howery
LLP -- 49% of the net rentable area (NRA)) vacated after declaring
bankruptcy in March 2011. The sponsor, a joint venture between
Vornado Realty Trust and a Canadian pension fund, is currently
billing the former tenant according to its lease but plans on
marketing the space once the bankruptcy case is settled. Excluding
the space leased to Howery LLP, the property is 50% leased.
According to CBRE Econometric Advisors, the vacancy rate in the
submarket is 8%. Moody's analysis accounted for the expertise of
the sponsors, strength of the market and quality of the asset to
offset most of the tenancy risk present at this review. Moody's
LTV and stressed DSCR are 120% and 0.76X, respectively, compared
to 122% and 0.75X at last review.
The second largest conduit loan is the Greenway Portfolio Loan
($112.0 million -- 5.7% of the pool), which is secured by eight
office properties located in Middleton, Wisconsin. As of March
2011, the portfolio was 85% leased compared to 90% in December
2009 and 94% at securitization. Portfolio performance deteriorated
slightly in 2010 from the prior year due to a decline in income
and an increase in utilities expenses. Moody's LTV and stressed
DSCR are 121% and 0.83X, respectively, compared to 118% and 0.85X
at last review.
The third largest conduit loan is The Factory Building Loan
($75.3 million -- 3.9% of the pool), which is secured by a
1,024,908 SF industrial property located in Long Island City, New
York. The property benefits from a diverse tenant base as no
tenant accounts for more than 10% of the NRA. After a 36 month
interest only period, the loan began amortizing in June 2009. As
of March 2011, the property was 84% leased, in-line with last
review and up from 74% at securitization. Due to the increase in
occupancy, performance has improved significantly since
securitization. Moody's analysis at last review incorporated a
higher vacancy risk due to near term lease expirations. Nearly all
of the expiring leases were renewed or the spaces were re-leased
prior to the current review. Moody's LTV and stressed DSCR are 79%
and 1.17X, respectively, compared to 106% and 0.86X at last
review.
KKR FINANCIAL: Moody's Upgrades Rating of Class E Notes to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by KKR Financial CLO 2005-1, Ltd.:
US$58,000,000 Class B Senior Secured Floating Rate Notes Due 2017,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;
US$64,000,000 Class C Deferrable Mezzanine Secured Floating Rate
Notes Due 2017, Upgraded to Aa3 (sf); previously on June 22, 2011
A3 (sf) Placed Under Review for Possible Upgrade;
US$64,000,000 Class D Deferrable Mezzanine Secured Floating Rate
Notes Due 2017 (current balance of $52,000,000), Upgraded to Baa2
(sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review
for Possible Upgrade;
US$15,000,000 Class E Deferrable Mezzanine Secured Floating Rate
Notes Due 2017, Upgraded to Ba1 (sf); previously on June 22, 2011
Ba2 (sf) Placed Under Review for Possible Upgrade;
US$5,000,000 Class F Deferrable Mezzanine Secured Floating Rate
Notes Due 2017, Upgraded to Ba2 (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.
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 Moody's analysis of the
August 2011 trustee report, reference securities that mature after
the maturity date of the notes currently make up approximately
14.33% of the underlying reference portfolio, of which 4.81%
represent KKR-managed structured finance assets. 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 $937.7 million,
defaulted par of $2 million, a weighted average default
probability of 19.50% (implying a WARF of 2989), a weighted
average recovery rate upon default of 49.99%, 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.
KKR Financial CLO 2005-1, Ltd. issued on March 30, 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) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) 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.
LB-UBS COMMERCIAL: Fitch Affirm Junk Rating on Five Cert. Classes
-----------------------------------------------------------------
Fitch Ratings has downgraded 4 classes of LB-UBS Commercial
Mortgage Trust 2005-C2, commercial mortgage pass-through
certificates.
The downgrades reflect an increase in Fitch expected losses across
the pool as well as update valuations on the existing specially
serviced loans. Fitch modeled losses of 11.97% of the remaining
pool; expected losses of the original pool are at 9.26%, including
losses realized to date. Fitch designated 36 loans (68.49% of the
pool balance) as Fitch Loans of Concern, including fourteen
specially serviced loans (31.71%). Fitch expects classes M
through S may be fully depleted from losses associated with the
specially serviced assets.
As of the August 2011 distribution date, the pool's aggregate
principal balance has been paid down by approximately 37.71% to
$1.21 billion from $1.94 billion at issuance. Three loans (3.28%)
are currently defeased. Interest shortfalls are affecting classes
J through S.
The largest contributor to loss is the Woodbury Office Portfolio
II loan (12.89% of the pool balance), the second largest loan in
the pool. The loan is secured by 22 office properties totaling
1.1 million square feet (sf) located in Long Island, NY. The loan
transferred in January 2010 for imminent default; payments have
remained current or less than 30 days delinquent since. The
servicer is in process of finalizing a loan modification with the
mezzanine lender and borrower.
The next largest contributor to losses is the Woodbury Office
Portfolio I loan (5.25%), which is secured by 10 office properties
containing approximately 480,000sf, located in Long Island, NY.
(These properties are not crossed with the above mentioned
Woodbury Office Portfolio II loan.) The loan transferred to the
special servicer in January 2010 when the borrower had requested a
modification of the loan terms, including an extension of the
April 2010 maturity date; the loan matured in April 2010 without
repayment. The servicer is in process of finalizing a loan
modification with the mezzanine lender and borrower
The third largest contributor to losses is the Park 80 West loan
(8.27%) which is secured by a two-building, 505,000 sf office
complex located in Saddle Brook, NJ. The loan transferred to
special servicing in December 2009 due to imminent default and
remains current. The borrower is currently in discussions with
the special servicer regarding a modification. The property was
71.45% occupied as of August 2011. The property's year-end
December 2010 financial statements reported a debt service
coverage ratio (DSCR) of 1.20 times (x).
Fitch downgrades the following classes and revises the Outlooks as
indicated:
-- $38.9 million class D to 'Bsf' from 'BBsf'; Outlook to Stable
from Negative;
-- $17 million class K to 'Csf / RR6' from 'CCsf / RR6';
-- $7.3 million class L to 'Csf / RR6' from 'CCsf / RR6';
-- $2.4 million class M to 'Csf / RR6' from 'CCsf / RR6';
Fitch also affirms the following classes as indicated:
-- $31.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $304.7 million class A-4 at 'AAAsf'; Outlook Stable;
-- $49.2 million class A-AB at 'AAAsf'; Outlook Stable;
-- $470.7 million class A-5 at 'AAAsf'; Outlook Stable;
-- $121.7 million class A-J at 'AAsf'; Outlook to Stable from
Negative;
-- $13.9 million class B at 'Asf'; Outlook to Stable from
Negative;
-- $29.2 million class C at 'BBB-sf'; Outlook to Stable from
Negative;
-- $41.4 million class E at 'CCCsf/RR2';
-- $17 million class F at 'CCCsf/RR6';
-- $17 million class G at 'CCsf/RR6';
-- $17 million class H at 'CCsf/RR6';
-- $29.2 million class J at 'CCsf/RR6'.
Fitch does not rate classes N through S. Class N has been reduced
to $1.5 million from $4.9 million, and classes P through S have
been reduced to zero due to realized losses. Classes A-1 and A-2
have paid in full.
On Nov. 19, 2010 Fitch had withdrawn the rating on the interest-
only classes X-CP and X-CL.
MILLERTON CDO: Moody's Lowers Rating of Class A-1 Notes to 'Ca'
---------------------------------------------------------------
Moody's Investors Service downgraded one class of notes issued by
Millerton ABS CDO. The notes affected by the rating action are:
US$210,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2039 (current balance of $111,476,906), Downgraded to Ca (sf);
Previously on March 12, 2010 Downgraded to Caa2 (sf).
RATINGS RATIONALE
According to Moody's, the rating downgrade is the result of
deterioration in the credit quality of the underlying portfolio.
Such credit deterioration is observed through numerous factors,
including an increase in the dollar amount of defaulted securities
and failure of the coverage tests. The defaulted securities, as
reported by the trustee, have increased from $62.1 million in
March 2010 to $92.1 million in Aug 2011. Additionally, the Trustee
reports that the transaction is currently failing its principal
coverage tests.
Millerton ABS CDO is a collateralized debt obligation issuance
backed by a portfolio of ABS, primarily consisting of RMBS.
On August 31, 2009, as reported by the Trustee, an Event of
Default was declared as described in Section 5.01(i) of the
Indenture dated November 23, 2004. The Event of Default was
declared because the ratio (expressed as a percentage) calculated
by dividing (a) the Net Outstanding Portfolio Collateral Balance
on such Measurement Date by (b) the Aggregate Outstanding Amount
of the Class A Notes on such Measurement Date fell below 100%. As
provided in Article V of the Indenture during the occurrence and
continuance of an Event of Default, certain parties to the
transaction may be entitled to direct the Trustee to take
particular actions with respect to the Collateral and the Notes,
including the sale and liquidation of the assets. The severity of
losses of certain tranches may be different depending on the
timing and outcome of a liquidation.
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.
MKP CBO: S&P Lowers Ratings on 4 Classes of Notes to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-2, B, C-1, and C-2 notes from MKP CBO II Ltd., a cash flow
mezzanine collateral debt obligation, to 'D (sf)' from 'CC.
The withdrawal follows the complete paydown of the class A-1 notes
on the final payment date, Aug. 15, 2011. The lowered ratings
reflect the nonpayment of outstanding principal balances to the A-
2, B, C-1, and C-2 noteholders.
The proceeds from the liquidation of the portfolio assets were
distributed on the Aug. 15, 2011 payment date and were only
sufficient to pay the A-1 note in full.
Ratings Lowered
MKP CBO II Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
B D (sf) CC (sf)
C-1 D (sf) CC (sf)
C-2 D (sf) CC (sf)
Ratings Withdrawn
MKP CBO II Ltd.
Rating
Class To From
A-1 NR BBB+ (sf)
NR -- Not rated.
ML-CFC COMMERCIAL: S&P Cuts Ratings on 3 Classes of Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 12
classes of commercial mortgage pass-through certificates from ML-
CFC Commercial Mortgage Trust 2007-9, a U.S. commercial mortgage-
backed securities (CMBS) transaction. "Concurrently, we affirmed
our ratings on seven other classes from the same transaction," S&P
related.
"Our rating actions primarily reflect our analysis of the
transaction using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all of
the remaining assets in the pool, the transaction structure, and
the liquidity available to the trust. Furthermore, our downgrades
reflect credit support erosion that we anticipate will occur upon
the eventual resolution of 16 ($376.6 million, 14.1%) of the
transaction's 20 ($975.9 million, 36.5%) specially serviced assets
and one loan ($7.9 million, 0.3%) that we determined to be credit-
impaired. The revised ratings also reflect the monthly interest
shortfalls that are affecting the trust. We lowered our ratings on
three classes to 'D (sf)' because we expect the interest
shortfalls to continue for the foreseeable future," S&P related.
"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)' ratings on the class XC and XP interest-only (IO)
certificates based on our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.14x and a loan-to-value
(LTV) ratio of 113.1%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 0.77x
and an LTV ratio of 151.2%. The implied defaults and loss severity
under the 'AAA' scenario were 93.4% and 36.8%. The DSC and LTV
calculations noted above exclude 16 ($376.6 million, 14.1%) of
the transaction's 20 ($975.9 million, 36.5%) specially serviced
assets and the 1419 N. Wells Retail loan ($7.9 million, 0.3%),
which we deemed to be credit-impaired and is currently on the
master servicer's watchlist. We separately estimated losses for
these 17 assets and included them in our 'AAA' scenario implied
default and loss figures," S&P noted.
As of the Sept. 14, 2011, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $855,265,
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $258,997 and special servicing fees of $319,588.
The interest shortfalls affected all classes subordinate to and
including class G. Classes G, H, and J have had accumulated
interest shortfalls outstanding for seven consecutive months. "We
expect these interest shortfalls to continue in the near term, and
consequently, we lowered our ratings on classes G, H, and J to 'D
(sf)'," S&P noted.
Credit Considerations
As of the Sept. 14, 2011, trustee remittance report, 20
($975.9 million, 36.5%) assets in the pool were with the
special servicer, LNR Partners LLC (LNR). The payment
status of the specially serviced assets is: five are real
estate owned (REO; $26.9 million, 1.0%), three ($187.3 million,
7.0%) are in foreclosure, seven ($158.2 million, 5.9%) are 90-
plus-days delinquent, one ($4.3 million, 0.2%) is 60 days
delinquent, one ($1.5 million, 0.1%) is 30-plus-days delinquent,
two ($553.5 million, 20.7%) are less than 30 days delinquent, and
one ($44.2 million, 1.6%) is current. Appraisal reduction amounts
(ARAs) totaling $137.8 million are in effect for 13 of the
specially serviced assets. Details of the four largest specially
serviced assets, all of which are top 10 loans, are set forth.
The Farallon Portfolio loan, the largest asset in the pool, is
secured by 253 manufactured housing communities totaling 53,499
pads in various states. The whole-loan balance is $1.57 billion
and consists of 45 A and B notes, $499.5 million of which makes up
18.7% of the pool trust balance. The loan was transferred to the
special servicer on June 25, 2010, due to imminent default. The
reported payment status of the loan is less than 30 days
delinquent. LNR indicated that the loan has been modified. The
modification terms include, among other items, extending the
maturity to Aug. 1, 2015, on the floating-rate, five- and seven-
year notes, trapping excess cash flows, and adding Helix MHC
Investment LLC, a sponsor controlled entity, as an additional
carve-out guarantor. The reported DSC and occupancy for the
portfolio was 1.99x for the 12 months ended Sept. 30, 2010, and
81.0% as of March 2011. LNR stated that it will continue to
monitor this loan.
The DLJ West Coast Hotel Portfolio loan ($128.6 million, 4.8%) is
the second-largest asset in the pool. The loan is secured by six
hotel properties, five in California and one in Oregon, totaling
1,159 rooms. The loan was transferred to the special servicer on
May 15, 2009, due to a significant decrease in the portfolio's
performance. LNR indicated that there is no recent financial data
available for this loan and is currently pursuing foreclosure.
An ARA of $59.3 million is in effect against this loan. "Based on
the most recent appraisal value, we expect a significant loss upon
the eventual resolution of this loan," S&P stated.
The Janss Marketplace loan ($54.0 million, 2.0%) is the fifth-
largest asset in the pool. The loan is secured by a 421,196-sq.-
ft. open-air lifestyle center in Thousand Oaks, Calif. The loan
was transferred to the special servicer on Aug. 18, 2009, due to
imminent default and the reported payment status is less
than 30 days delinquent as of the September 2011 remittance
report. The reported occupancy was 88.0% as of March 2011. LNR
indicated that the loan was modified. The modification terms
include, among other items, an A, B, and C note split of
$50.0 million, $2.0 million, and $2.0 million as well as a
principal pay down of $2.0 million and $4.0 million letter of
credit applied to the senior note.
The St. Louis Flex Office Portfolio loan ($51.7 million, 1.9%) is
the sixth-largest asset in the pool. The loan is secured by six
industrial properties totaling 864,540 sq. ft. in St. Louis. The
loan was transferred to the special servicer on Nov. 11, 2010, due
to imminent default, and the reported payment status is 90-plus-
days delinquent as of the September 2011 remittance report. An ARA
of $26.2 million is in effect against this loan.
LNR indicated that it is pursuing foreclosure unless the borrower
makes a workable alternative proposal. "We expect a significant
loss upon the resolution of this loan," S&P stated.
The remaining 16 specially serviced assets have balances that
individually represent less than 1.9% of the total pool balance.
ARAs totaling $52.3 million are in effect against 11 of these
assets. "We estimated losses for 14 of these assets, arriving at a
weighted average loss severity of 34.4%. The reported payment
status of the remaining two specially serviced loans is 30
days or less delinquent," S&P related.
"In addition to the specially serviced assets, we determined the
1419 N. Wells Retail loan ($7.9 million, 0.3%) to be credit-
impaired. The loan, secured by a 17,288-sq.-ft. retail center in
Chicago, has a reported payment status of 30 days delinquent and
had a low reported DSC of 0.87x for the third quarter of 2010. As
a result, we view this loan to be at an increased risk of default
and loss," S&P said.
Transaction Summary
As of the Sept. 14, 2011, trustee remittance report, the total
pool balance was $2.67 billion, which is 95.2% of the pool balance
at issuance. The pool includes 224 loans and five REO assets, down
from 246 loans at issuance. The master servicer, Wells Fargo Bank
N.A., provided financial information for 91.3% of the assets in
the pool, the majority of which was full-year 2010 data (59.3%),
with the remainder reflecting partial- or full-year 2009, 2010, or
2011 data.
"We calculated a weighted average DSC of 1.42x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.14x and 113.1%. Our adjusted DSC and LTV
figures excluded 16 ($376.6 million, 14.1%) of the transaction's
20 ($975.9 million, 36.5%) specially serviced assets and one
credit-impaired loan ($7.9 million, 0.3%). To date, the
transaction has experienced $37.2 million in principal losses in
connection with 12 assets. Sixty-nine loans ($552.9 million,
20.7%) in the pool are on the master servicer's watchlist and 69
loans ($659.1 million, 24.6%) have a reported DSC of less than
1.10x, 45 of which ($370.8 million, 13.9%) have a reported DSC of
less than 1.00x," S&P stated.
Summary Of Top 10 Loans
The top 10 loans have an aggregate outstanding balance of
$1.08 billion (40.4%). "Excluding four of the top 10 loans with
the special servicer, our adjusted DSC and LTV ratio for the top
10 loans are 0.79x and 114.3%. Two of the top 10 loans, the DLJ
West Coast Hotel Portfolio loan ($128.6 million, 4.8%) and the
Hilton Embassy Row loan ($44.3 million, 1.6%), both of which are
with the special servicer, are scheduled to mature in mid-2012.
Two ($151.3 million, 5.7%) of the top 10 loans appear on the
master servicer's watchlist," S&P continued.
The 300 Capitol Mall loan is the third-largest loan in the pool
and the largest loan on the master servicer's watchlist, with a
trust balance of $104.3 million (3.9%). The loan, which is secured
by a 383,283-sq.-ft. office property in Sacramento, Calif.,
appears on the watchlist due to a low reported DSC. The property
was built in 1985 and renovated in 1996. The servicer reported a
0.87x DSC and 95.7% occupancy for six months ended June 30, 2011.
The 9777 Wilshire Boulevard loan is the eighth-largest loan in the
pool and the second-largest loan on the master servicer's
watchlist, with a trust balance of $47.0 million (1.8%). The loan,
which is secured by a 131,192-sq.-ft. office property in Beverley
Hills, Calif., appears on the watchlist due to a low reported DSC
as well as a significant decrease in occupancy. The servicer
reported a 0.97x DSC for the first quarter of 2011. Occupancy was
83.0%, according to the March 2011 rent roll, up from 69.3% at
year-end 2010.
Standard & Poor's stressed the assets in the pool according to our
current criteria. "The resultant credit enhancement levels are
consistent with our rating actions," S&P noted.
Ratings Lowered
ML-CFC Commercial Mortgage Trust 2007-9
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BBB- (sf) BBB+ (sf) 19.62
AM-A BBB- (sf) BBB+ (sf) 19.62
A-J B+ (sf) BB+ (sf) 11.22
A-JA B+ (sf) BB+ (sf) 11.22
B B (sf) BB (sf) 10.04
C B (sf) BB- (sf) 9.25
D B- (sf) B+ (sf) 8.20
E CCC+ (sf) B+ (sf) 7.28
F CCC- (sf) B- (sf) 6.36
G D (sf) CCC+ (sf) 5.31
H D (sf) CCC (sf) 4.26
J D (sf) CCC- (sf) 3.34
Ratings Affirmed
ML-CFC Commercial Mortgage Trust 2007-9
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.13
A-3 AAA (sf) 30.13
A-SB AAA (sf) 30.13
A-4 A+ (sf) 30.13
A-1A A+ (sf) 30.13
XC AAA (sf) N/A
XP AAA (Sf) N/A
N/A -- Not applicable.
MORGAN STANLEY: S&P Lowers Ratings on 2 Classes of Certs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class H, J, and K commercial mortgage pass-through certificates
from Morgan Stanley Capital I Inc.'s series 2007-XLF, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
"We downgraded the class J and K certificates to 'D (sf)'
following principal losses detailed in the Sept. 15, 2011, trustee
remittance report. We lowered our rating on class H due to credit
support erosion (1.83% credit support according to the September
2011 trustee remittance report) and reduced liquidity following
principal losses on classes subordinate to class H," S&P stated.
"We attributed the principal losses on classes J and K to the
liquidation of the $100.0 million Babcock Ranch loan, which was
with the special servicer, at a weighted average loss severity of
51.8% (totaling $51.8 million in principal losses). Consequently,
class J reported a 48.8% loss to its $20.6 million original
principal balance, while class K lost 100% of its $20.6 million
opening principal balance. In addition, class L, which we
previously downgraded to 'D (sf)', lost 100% of its $21.1 million
original principal balance," S&P stated.
Ratings Lowered
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 2007-XLF
Rating
Class To From
H B- (sf) BB- (sf)
J D (sf) B (sf)
K D (sf) CCC+ (sf)
MOUNTAIN CAPITAL: Moody's Upgrades Rating of Class D Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Mountain Capital CLO VI Ltd.:
US$301,500,000 Class A Floating Rate Senior Notes due April 2019,
Upgraded to Aa1 (sf); Previously on June 22, 2011 Aa3 (sf) Placed
Under Review for Possible Upgrade;
US$24,000,000 Class B Floating Rate Senior Notes due April 2019,
Upgraded to A1 (sf); Previously on June 22, 2011 Baa1 (sf) Placed
Under Review for Possible Upgrade;
US$18,000,000 Class C Floating Rate Mezzanine Deferrable Notes due
April 2019, Upgraded to Baa2 (sf); Previously on June 22, 2011 Ba1
(sf) Placed Under Review for Possible Upgrade;
US$15,000,000 Class D Floating Rate Mezzanine Deferrable Notes due
April 2019, Upgraded to Ba2 (sf); Previously on June 22, 2011 B2
(sf) Placed Under Review for Possible Upgrade;
US$11,000,000 Class E Floating Rate Junior Deferrable Notes due
April 2019, 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 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.
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 $379.3 million,
defaulted par of $.0 million, a weighted average default
probability of 21.7% (implying a WARF of 2750), a weighted average
recovery rate upon default of 49.7%, and a diversity score of 64.
These default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Mountain Capital CLO VI Ltd., issued in March 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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) 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
and weighted average coupon. 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.
N-STAR REL CDO: Moody's Lowers Rating of Cl. A-2 Notes to 'B1'
--------------------------------------------------------------
Moody's has affirmed thirteen and downgraded two ratings of
classes of Notes issued by N-Star REL CDO VIII, Ltd. The
downgrades are due to deterioration in the underlying collateral
as evidenced by the Moody's weighted average rating factor (WARF)
and recovery rate (WARR). The affirmations are due to 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, Affirmed at A3 (sf); previously on Oct 8, 2010 Downgraded
to A3 (sf)
Cl. A-2, Downgraded to B1 (sf); previously on Oct 8, 2010
Downgraded to Ba2 (sf)
Cl. B, Downgraded to B3 (sf); previously on Oct 8, 2010 Downgraded
to B2 (sf)
Cl. C, Affirmed at Caa1 (sf); previously on Oct 8, 2010 Downgraded
to Caa1 (sf)
Cl. D, Affirmed at Caa2 (sf); previously on Oct 8, 2010 Downgraded
to Caa2 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Oct 8, 2010 Downgraded
to Caa3 (sf)
Cl. F, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. G, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. H, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. A-R, Affirmed at A3 (sf); previously on Oct 8, 2010 Downgraded
to A3 (sf)
Cl. J, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Cl. M, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Cl. N, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
RATINGS RATIONALE
N-Star REL CDO VIII, Ltd. is a revolving cash CRE CDO transaction
backed by a portfolio of whole loans and A-Notes (43.7%),
mezzanine loans and preferred equity (29.3%), CRE Debt obligations
(9.9%), CRE CDO notes (9.5%), B-Notes (7.7%) and commercial
mortage-backed securities (0.3%). As of the September 1, 2011
Trustee report, the aggregate Note balance of the transaction,
including preferred shares, is $847.9 million. There has been no
amortization of the notes to date, however the A-R class is not
fully drawn.
There are three assets with a par balance of $43.7 million (4.7%
of the current pool balance) that are considered Defaulted
Securities as of the September 1, 2011 Trustee report. Two of
these assets (67.5% of the defaulted balance) are CRE CDOs and one
asset is a B-Note (32.5%). Defaulted Securities that are not CRE
CDOs are defined as assets which are 60 or more days delinquent in
their debt service payment or are in maturity default. 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: 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 9,852 compared to 9,470 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (0.0% compared to 2.6% at last review), A1-A3
(0.5% compared to 0.0% at last review), Baa1-Baa3 (0.0% compared
to 0.1% at last review), Ba1-Ba3 (0.0% compared to 1.9% at last
review), B1-B3 (0.0% compared to 0.7% at last review), and Caa1-C
(99.4% compared to 94.8% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 5.0 years compared
to 7.5 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
26.0% compared to 29.3% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99% compared to 99% 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
26% to 16% or up to 36% would result in average rating movement on
the rated tranches of 0 to 3 notches downward and 1 to 7 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 performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
NAUTIQUE FUNDING: Moody's Upgrades Rating of Class D Notes to 'B1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Nautique Funding Ltd.:
US$310,000,000 Class A-1A Floating Rate Senior Notes due 2020
(current balance of $298,311,966), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa3 (sf) Placed Under Review for
Possible Upgrade;
US$40,000,000 Class A-1B Floating Rate Senior Notes due 2020
(current balance of $38,491,867), Upgraded to Aaa (sf); previously
on June 22, 2011 Aa3 (sf) Placed Under Review for Possible
Upgrade;
US$67,500,000 Class A-2A Floating Rate Senior Notes due 2020
(current balance of $64,672,250), Upgraded to Aaa (sf); previously
on June 22, 2011 Aa1 (sf) Placed Under Review for Possible
Upgrade;
US$7,500,000 Class A-2B Floating Rate Senior Notes due 2020,
Upgraded to Aa1 (sf); previously on June 22, 2011 A1 (sf) Placed
Under Review for Possible Upgrade;
US$23,000,000 Class A-3 Floating Rate Senior Notes due 2020,
Upgraded to Aa3 (sf); previously on June 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade;
US$20,000,000 Class B-1 Floating Rate Deferrable Senior
Subordinate Notes due 2020, Upgraded to A3 (sf); previously on
June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade;
US$10,000,000 Class B-2 Floating Rate Deferrable Senior
Subordinate Notes due 2020, Upgraded to A3 (sf); previously on
June 22, 2011 Ba1 (sf) Placed Under Review for Possible Upgrade;
US$31,000,000 Class C Floating Rate Deferrable Senior Subordinate
Notes due 2020, Upgraded to Ba2 (sf); previously on June 22, 2011
Caa1 (sf) Placed Under Review for Possible Upgrade;
US$12,700,000 Class D Floating Rate Deferrable Senior Subordinate
Notes due 2020, Upgraded to B1 (sf); previously on June 22, 2011
Caa3 (sf) Placed Under Review for Possible Upgrade.
Moody's has also placed the rating of the following notes on
review for possible downgrade:
US$12,500,000 Class P Notes Due 2020, A3 (sf) Placed Under Review
for Possible Downgrade; previously on June 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes (with
the exception of the Class P 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 rating action on the Class P Notes reflects a change in the
review status of Moody's rating of the Class P EMTN Component,
which consists of $12,500,000 in face value of Citigroup Funding
Inc. zero coupon Euro Medium Term Notes due April 29, 2016.
Moody's placed the senior unsecured rating of Citigroup Funding
Inc. on review for possible downgrade on June 2, 2011. During a
rating action on June 22, 2011, while screening the entire CLO
deal universe for tranches potentially affected by Moody's revised
CLO methodology, Moody's erroneously placed the Class P Notes on
watch for possible upgrade. The rating action corrects this,
reflecting that the Class P Notes, containing the senior unsecured
debt of Citigroup Funding Inc., are currently on review for
possible downgrade.
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 $538.7 million,
defaulted par of $1.66 million, a weighted average default
probability of 23% (implying a WARF of 2768), a weighted average
recovery rate upon default of 50.48%, 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.
Nautique Funding Ltd., issued in April 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) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. 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 levels higher than the covenant levels due to the large
difference between the reported and covenant levels.
NEWCASTLE CDO: Moody's Downgrades Rating of Cl. A-2 Notes to 'Ba1'
------------------------------------------------------------------
Moody's has downgraded the ratings of 4 classes and affirmed 1
class of Notes issued by Newcastle CDO X, Limited due to
deterioration in credit of the underlying collateral as evidenced
by the downward migration of the rating distribution. While
subsequent reinvestment into higher rated collateral since last
review mitigates some of this effect, the expected losses on the
classes of senior Notes is magnified by the negative ratings
migration of the Aaa through Aa3 rated collateral. The affirmation
is due to key transaction parameters performing within levels
commensurate with the existing rating level. The rating action is
the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO) transactions.
Cl. S, Downgraded to Aa2 (sf); previously on Oct 13, 2010
Downgraded to Aa1 (sf)
Cl. A-1, Downgraded to Aa2 (sf); previously on Oct 13, 2010
Downgraded to Aa1 (sf)
Cl. A-2, Downgraded to Ba1 (sf); previously on Oct 13, 2010
Downgraded to Baa3 (sf)
Cl. A-3, Downgraded to B3 (sf); previously on Oct 13, 2010
Downgraded to Ba3 (sf)
Cl. C, Affirmed at Caa3 (sf); previously on Oct 13, 2010
Downgraded to Caa3 (sf)
RATINGS RATIONALE
Newcastle CDO X, Limited is a revolving CRE CDO transaction backed
by a portfolio of commercial mortgage backed securities (CMBS)
(69.3% of the pool balance), subprime loans (8.2%), manufactured
housing (5.1%), prime loans (3.4%), small business loans (1.4%),
CRE CDO (6.1%), REIT debt (4.3%), and term loans (2.3%). As of the
August 18, 2011 Trustee report, the aggregate Note balance of the
transaction, including preferred shares, has decreased to $1.34
billion from $1.4 billion at issuance due to full (Class B) and
partial (Classes A-3 and C) note cancellations. Moody's has
expressed its concern with note cancellations. Please see the
special report "Delaware Court of Chancery Upholds Junior CDO Note
Cancellations; Potentially Important Credit Implications for
Senior Noteholders in Structured Credit Transactions" published on
July 2010.
There are 5 assets with a par balance of $13.4 million (1.1% of
the current pool balance) that are considered Defaulted Securities
as of the August 18, 2011 Trustee report. All of these Defaulted
Securities are residential mortgage backed securities (RMBS) in
the form of subprime loans (0.7%) and prime loans (0.3%). Moody's
expects little to no recovery on these assets once losses are
realized.
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 1791 compared to 2179 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (11.3% compared to 22.8% at last review), A1-A3
(14.1% compared to 12.6% at last review), Baa1-Baa3 (37.1%
compared to 26.5% at last review), Ba1-Ba3 (14.8% compared to
14.4% at last review), B1-B3 (3.8% compared to 4.0% at last
review), and Caa1-C (19.0% compared to 19.7% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 5.8 years (which is
the WAL limit within the reinvestment period) compared to 6.6
years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
23.0% (which is the WARR limit within the reinvestment period),
the same as 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 8.5% compared to 6.0% 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
23% to 18% or up to 28% would result in average rating movement on
the rated tranches of 0 to 1 notch downward and 0 to 1 notch
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 performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
OCTAGON INVESTMENT: Moody's Raises Rating of $22.75MM Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Octagon Investment Partners VII, Ltd.:
US$23,000,000 Class A-2L Floating Rate Notes Due December 2,2016,
Upgraded to Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed
Under Review for Possible Upgrade;
US$16,500,000 Class A-3L Floating Rate Notes Due December 2, 2016,
Upgraded to Aa1 (sf); previously on June 22, 2011 Baa1 (sf) Placed
Under Review for Possible Upgrade;
US$22,750,000 Class B-1L Floating Rate Notes Due December 2, 2016,
Upgraded to A3 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade;
US$10,750,000 Class B-2L Floating Rate Notes Due December 2, 2016
(current balance of $10,252,586.87), Upgraded to Ba1 (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 due to deleveraging of
the senior notes since the last rating action in September 2009.
As of the July 2011 trustee report date, the Senior Class A
Overcollateralization Test, Class A, Class B1 and Class B2-L
Overcollateralization Tests are 132.15%,123.16%,112.60% and
108.42%, respectively, versus August 2009 trust reported levels
of 121.8%, 115.6%, 108% and 104.7%, respectively. Since the
last rating action the Class A1-L notes have deleveraged by
$80 million, approximately 28%.
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 $299 million,
defaulted par of $2 million, a weighted average default
probability of 15% (implying a WARF of 2466), a weighted average
recovery rate upon default of 43%, and a diversity score of 63.
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 VII, Ltd., issued in September of
2004, is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans. Additionally, the transaction
is allowed a bond bucket of up to 15% and the current bond
holdings amount to 14.7%.
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.
A sourcess of additional performance uncertainties is
deleveraging: The main source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds will
continue and at what pace. Deleveraging may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
PACIFICA CDO: Moody's Upgrades Class C-1 Notes Rating to 'Ba2'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Pacifica CDO VI, Ltd.:
US$266,500,000 Class A-1a Senior Secured Floating Rate Notes due
2021 (current outstanding balance of $255,540,636), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review
for Possible Upgrade;
US$10,000,000 Class A-1c Senior Secured Floating Rate Notes due
2021, Upgraded to Aa1 (sf); previously on June 22, 2011 A1 (sf)
Placed Under Review for Possible Upgrade;
US$25,750,000 Class A-2 Senior Secured Floating Rate Notes due
2021, Upgraded to Aa3 (sf); previously on June 22, 2011 A3 (sf)
Placed Under Review for Possible Upgrade;
US$32,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to Baa1 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$18,000,000 Class C-1 Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to Ba2 (sf); previously on June 22, 2011
Caa1 (sf) Placed Under Review for Possible Upgrade;
US$7,000,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes
due 2021, Upgraded to Ba2 (sf); previously on June 22, 2011 Caa1
(sf) Placed Under Review for Possible Upgrade;
US$11,500,000 Class D Secured Deferrable Floating Rate Notes due
2021, Upgraded to B1 (sf); previously on June 22, 2011 Ca (sf)
Placed Under Review for Possible Upgrade;
US$12,000,000 Type I Composite Notes due 2021 (current outstanding
rated balance of $6,167,331), Upgraded to Baa3 (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 since the rating action
in October 2010. The Class A, Class B, Class C and Class D
overcollateralization ratios are currently reported at 124.95%,
115.18%, 108.54% and 105.74%, respectively, versus September 2010
levels of 120.37%, 110.96%, 104.57% and 101.87%, 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 $469 million,
defaulted par of $8 million, a weighted average default
probability of 21.19% (implying a WARF of 2848), a weighted
average recovery rate upon default of 49.00%, and a diversity
score of 55. 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.
Pacifica CDO VI, Ltd., issued in August 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "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) 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 and weighted average coupon. However, as
part of the base case, Moody's considered a diversity level higher
than the covenant level due to the large difference between the
reported and covenant levels.
PNM RESOURCES: Moody's Reviews 'Ba2' Rating for Possible Upgrade
----------------------------------------------------------------
Moody's Investors Service placed the ratings of PNM Resources,
Inc. (PNMR: Ba2 unsecured) and Texas-New Mexico Power (TNMP: Baa3
Issue Rating) on review for possible upgrade. The rating action
follows the announcement by PNMR that it expects to divest its
unregulated operations, First Choice Power (FCP) and Optim Energy
(Optim) by early November 2011. Moody's also affirmed the ratings
and stable outlook of Public Service Company of New Mexico (PSNM:
Baa3 unsecured).
Outlook Actions:
Issuer: PNM Resources, Inc.
-- Outlook, Changed To Under Review -- Up from Stable
Issuer: Texas-New Mexico Power Company
-- Outlook, Changed To Under Review -- Up from Stable
RATINGS RATIONALE
"The review for upgrade reflects PNMR's expected reduced
consolidated business risk once the the unregulated divestitures
are completed" said Moody's Analyst Mitchell Moss. "PNMR is
currently rated two rating notches below PSNM due to its
historical exposure to unregulated operations and a moderate level
of holding company debt.
Under the planned transactions, PNMR intends to sell FCP to Direct
Energy for $270 million plus working capital. In addition, PNMR
will see its 50% equity ownership stake in Optim be reduced to 1%
as Cascade Investments, its joint venture partner in Optim, plans
to make an additional equity investment in Optim. Should one of
the transactions not be completed, Moody's anticipates PNMR will
still go forward with the other transaction.
With proceeds from the transactions, PNMR plans to repurchase up
to $75 million of its unsecured notes outstanding at the parent
and up to $230 million of equity. As of June 30, 2011, long-term
debt at the parent represented approximately 13% of consolidated
debt. After the debt repurchase is completed, parent debt will be
reduced to a more modest 10% on a pro-forma basis. Upon completion
of the transactions, PNMR's operations will be almost entirely
regulated.
The review at TNMP is driven by the reduced credit risk at the
utility due to the reduced consolidated business risk which had
been constraining TNMP's credit rating. The review is also driven
by the supportive regulatory environment for T&D utilities in
ERCOT and credit metrics which have improved significantly to
levels above what would be appropriate for TNMP's current Baa3
Issuer Rating.
The affirmation of PSNM's Baa3 rating and stable outlook reflects
a below-average regulatory environment which has made it
challenging for PSNM to recover its capital investments in a
timely manner and utility credit metrics that are appropriate for
its rating.
The FCP divestiture will require Hart-Scott-Radino approval by the
Federal Trade Commission and notification to the Public Utility
Commission of Texas.
The principal methodology used in this rating was Regulated
Electric and Gas Utilities published in August 2009.
Headquartered in Albuquerque, New Mexico, PNMR is a holding
company which has as its primary subsidiaries, PSNM, TNMP and
First Choice Power, a Texas retail energy provider. PNMR also owns
a 50% interest in Optim Energy, through which PNMR conducts
unregulated energy operations primarily within the ERCOT market.
PRUDENTIAL STRUCTURED: S&P Withdraws 'B' Rating on Class A-2L
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on three
classes of notes from three U.S. collateralized debt obligation
(CDO) transactions.
The withdrawals follow the complete paydown of the notes on their
most recent payment dates.
Lico Icahn I Ltd. is a collateralized loan obligation (CLO). The
transaction paid the its notes down in full on the Sept. 12, 2011,
payment date, from an outstanding balance of $391.58 million.
New Alliance Global CDO Ltd. is a CLO. The transaction paid the
class A notes down in full following a notice of optional
redemption. The June 9, 2011, notice indicated that at least a
majority of the preferred shares had directed a full redemption of
the notes. The transaction paid the class A notes down in full on
the Sept. 15, 2011, payment date, from an outstanding balance of
$10.17 million.
Prudential Structured Finance CBO I is a cash flow CDO backed by
mezzanine structured finance assets. The transaction paid the
class A-2L notes down in full on the Aug. 15, 2011, payment date,
from an outstanding balance of $5.41 million.
Ratings Withdrawn
Lico Icahn I Ltd.
Rating
Class To From
Notes NR/NR A+/A-1 (sf)
New Alliance Global CDO Ltd.
Rating
Class To From
A NR AA+ (sf)
Prudential Structured Finance CBO I
Rating
Class To From
A-2L NR B (sf)
NR -- Not rated.
RED RIVER: Moody's Upgrades Rating of Class C Notes to 'Ba1'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Red River CLO Ltd.:
US$657,000,000 Class A Floating Rate Senior Secured Extendable
Notes Due 2018 (current outstanding balance of $570,705,284.31),
Upgraded to Aa1 (sf); previously on June 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade;
US$45,000,000 Class B Floating Rate Senior Secured Extendable
Notes Due 2018, Upgraded to A2 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$40,500,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2018, Upgraded to Ba1 (sf);
previously on June 22, 2011 Caa1 (sf) Placed Under Review for
Possible Upgrade;
US$45,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2018, Upgraded to Caa1 (sf);
previously on June 22, 2011 C (sf) Placed Under Review for
Possible Upgrade;
US$31,500,000 Class E Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2018, Upgraded to Caa2 (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 credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios due to delevering of the senior notes
since the rating action in October 2010. Moody's notes that the
Class A Notes have been paid down by approximately 6.5% or
$39.7 million since the rating action in October 2010. As a result
of the delevering, the overcollateralization ratios have increased
since the rating action in October 2010. Based on the latest
trustee report dated July 20, 2011, the Class A/B, Class C, Class
D and Class E overcollateralization ratios are reported at
121.62%, 114.19%, 106.94% and 102.38%, respectively, versus August
2010 levels of 113.93%, 107.3%, 100.78% and 96.78%, respectively.
However, Class D and Class E overcollateralization ratios are
still out of compliance.
Moody's also notes that the deal has benefited from improvement in
the credit quality of the underlying portfolio since the rating
action in October 2010. Based on the July 2011 trustee report, the
weighted average rating factor is currently 2545 compared to 2739
in August 2010.
Moody's also notes that while Class E Notes still have outstanding
deferred interest, the Class C and Class D Notes are no longer
deferring interest and all previously deferred interest on the
Class C and Class D 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 Moody's calculation,
reference securities that mature after the maturity date of the
notes currently make up approximately 4.19% 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 $751.2 million,
defaulted par of $61.8 million, a weighted average default
probability of 20% (implying a WARF of 2753), a weighted average
recovery rate upon default of 41.88%, 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.
Red River CLO 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) 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, and diversity
score.
REGATTA FUNDING: Moody's Lowers Rating of Class B-1L Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Regatta Funding Ltd.:
US$32,000,000 Class A-3L Floating Rate Notes Due June 2020,
Upgraded to Baa1 (sf); previously on June 22, 2011 Baa2 (sf)
Placed Under Review for Possible Upgrade;
US$19,500,000 Class B-1L Floating Rate Notes Due June 2020,
Upgraded to Ba1 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade;
US$14,000,000 Class B-2L Floating Rate Notes Due June 2020,
Upgraded to Ba2 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
In addition, Moody's has confirmed the ratings of these notes:
US$31,000,000 Class A-2L Floating Rate Notes Due June 2020,
Confirmed at Aa3 (sf); previously on June 22, 2011 Aa3 (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 $518.7 million
(assuming the Class A-1LV Notes are fully drawn), defaulted par of
$1.2 million, a weighted average default probability of 21.68%
(implying a WARF of 2700), a weighted average recovery rate upon
default of 49.86%, and a diversity score of 65. 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.
Regatta Funding Ltd., issued on March 29, 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 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) 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, 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.
RESTRUCTURED ASSET: Moody's Lowers Rating of $20MM Notes to Caa3
----------------------------------------------------------------
Moody's Investors Service has downgraded its rating of the
following notes issued by Restructured Asset Certificates with
Enhanced Returns, Series 2006-14-E ("RACERS, Series 2006-14-E"):
US$20,000,000 Series 2006-14-E Certificates (current balance
$5,000,631.84) Downgraded to Caa3(sf); previously on Nov 2, 2009
Downgraded to Ba3(sf)
RACERS, Series 2006-14-E, issued on October 30, 2006, is a repack
of the Class A-1 Senior Secured Floating Rate Notes due 2011, the
Class A-3 Senior Secured HYPPO Notes due 2011 and the Class B
Senior Subordinate Secured Fixed Rate Notes due 2001 issued by PPM
America High Yield CBO I Company Ltd., a collateralized bond
obligation backed primarily by a portfolio of senior unsecured
bonds, and the Class D Floating Rate Deferrable Notes due 2011
issued by EXUM Ridge CBO 2006-5, Ltd., a synthetic collateralized
bond obligation referencing primarily a portfolio of senior
unsecured bonds.
The three Notes issued by PPM America High Yield CBO I Company
Ltd. reached legal final maturity on June 1, 2011 and are no
longer outstanding. The remaining Class D Note, issued by EXUM
Ridge CBO 2006-5, Ltd., with a current balance of $6,759298.11,
was downgraded to Caa3 on July 7, 2011.
The principal methodology used in this rating was " Rating CDO
Repacks: An Application Of The Structured Note Methodology "
published in February 2004.
RIVERSIDE PARK: S&P Gives 'BB' Rating on Class D Notes
------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Riverside Park CLO Ltd./Riverside Park CLO Corp.'s $369.0 million
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view 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 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 primarily
comprises broadly syndicated speculative-grade senior secured
term loans.
The investment 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 said.
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
outstanding rated notes.
Standard & Poor's 17g-7 Disclosure Report
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description on how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Reports included in this
credit rating report are available on
http://standardandpoorsdisclosure-17g7.com/1111158.pdf.
Ratings Assigned
Riverside Park CLO Ltd./Riverside Park CLO Corp.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 266.000
A-2 AA (sf) 32.000
B (deferrable) A (sf) 36.000
C (deferrable) BBB (sf) 20.000
D (deferrable) BB (sf) 15.000
Subordinated notes NR 108.396
NR -- Not rated.
RIVERSIDE PARK: S&P Withdraws 'BB' Rating on Class D Notes
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class A, B, C, and D notes from Riverside Park CLO Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by GSO
Capital Partners L.P.
The withdrawals follow the optional redemption of the rated notes,
pursuant to section 9.1(c) of the indenture. The redemption of the
rated notes occurred simultaneously with the new issuance of
Riverside Park CLO Ltd. (see "Riverside Park CLO Ltd./Riverside
Park CLO Corp. $369.0 Million Notes Assigned Ratings", published
Sept. 26, 2011, on RatingsDirect on the Global Credit Portal, at
www.globalcreditportal.com).
Ratings Withdrawn
Riverside Park CLO Ltd.
Rating
Class To From
A NR AA+ (sf)
B NR A (sf)
C NR BBB (sf)
D NR BB (sf)
NR -- Not rated.
ROYAL CARIBBEAN: Moody's Upgrades SGL Rating to SGL-2
-----------------------------------------------------
Moody's Investors Service upgraded Royal Caribbean Cruises Ltd.'s
(RCL) Speculative Grade Liquidity rating to SGL-2 from SGL-3. The
company's other ratings and stable outlook remain unchanged.
RATINGS RATIONALE
The upgrade of RCL's Speculative Grade Liquidity rating reflects
Moody's expectation of good liquidity over the coming 12 months
driven by improved free cash flow in fiscal 2012 and the extension
of the company's $875 million revolver to 2016. RCL's free cash
flow will increase due to lower spending for new ships until the
fourth quarter of 2012 when it accepts delivery of the Reflection.
RCL's internal cash flow, committed ship loans, and cash balances
are expected to cover the company's cash needs over the coming 12
months -- including the company's reinstated dividend which begins
in the third quarter of 2011 and approximately $650 million of
mandatory debt amortization. In July 2011, RCL amended and
restated its $1.225 billion revolver which was due to expire in
June 2012. The revolver's expiration has been extended to July
2016 and the commitment was reduced to $875 million. RCL also
maintains a $525 million revolver that expires in 2014. Moody's
expects RCL will maintain adequate availability over the next 12
months.
Moody's expects RCL will maintain ample headroom under its three
maintenance covenants during that same period. RCL has financing
commitments in place for all of the ships it currently has on
order. As an alternate source of liquidity RCL's ships are
unencumbered and could be used to raise cash through new secured
borrowings. However, Moody's does not assume that this will occur.
Additionally, while unencumbered ships could be sold, a highly
liquid secondary market for cruise ships does not exist.
RCL's Ba1 Corporate Family Rating continues to reflect RCL's
position as the second largest global cruise operator, its
diversification by brand and market segment, improving leverage
metrics and cost efficiency. The ratings also reflect anemic
macro-economic conditions and geo-political unrest that could
dampen the pace of price improvement and the capital intensive
nature of the cruise industry.
This rating was upgraded:
Speculative Grade Liquidity rating to SGL-2 from SGL-3
These ratings were affirmed and LGD assessments revised where
applicable:
Corporate Family rating at Ba1
Probability of Default rating at Ba1
Senior Unsecured Notes and Debentures at Ba2 (LGD 5, 74% from LGD
5, 75%)
Euro 1.0B Senior Unsecured Global Notes at Ba2 (LGD 5, 74% from
LGD 5, 75%)
Senior unsecured shelf registration at (P)Ba2 (LGD 5, 74% from LGD
5, 75%)
Preferred stock shelf registration at (P)Ba2 (LGD 6, 97%)
The principal methodology used in rating Royal Caribbean Cruises
Ltd. was the Global Lodging & Cruise Industry Rating Methodology
published in December 2010. Other methodologies used include Loss
Given Default for Speculative-Grade Non-Financial Companies in the
U.S., Canada and EMEA published in June 2009.
Royal Caribbean Cruises Ltd. is a global cruise vacation company
that operates five cruise brands -- the largest being Royal
Caribbean International and Celebrity Cruises - and 40 cruise
ships with two under construction. RCL generates annual net
revenue of approximately $5.4 billion.
SAGAMORE CLO: Moody's Raises Rating of Class C-1 Notes to 'B3'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Sagamore CLO Ltd.:
US$70,000,000 Class A-1 Delayed Drawdown Note Rights Due 2015
(current outstanding balance of $25,227,528), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;
US$161,000,000 Class A-2 Note Rights Due 2015 (current outstanding
balance of $58,023,315), Upgraded to Aaa (sf); previously on
June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade;
US$5,000,000 Class A-3 Zero Coupon Accreting Note Rights Due 2015
(current outstanding balance of $1,801,966), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;
US$18,000,000 Class B Deferrable Note Rights Due 2015, Upgraded to
A2 (sf); previously on June 22, 2011 Baa3 (sf) Placed Under Review
for Possible Upgrade;
US$16,000,000 Class C-1 Floating Rate Deferrable Note Rights Due
2015, Upgraded to B3 (sf); previously on June 22, 2011 Caa3 (sf)
Placed Under Review for Possible Upgrade;
US$500,000 Class C-2 Fixed Rate Deferrable Note Rights Due 2015,
Upgraded to B3 (sf); previously on June 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade;
US$5,000,000 Class 1 Participation Notes Due 2015 (current rated
balance of $1,801,966), Upgraded to Aaa (sf); previously on
June 22, 2011 Aa2 (sf) Placed Under Review for Possible Upgrade;
US$5,000,000 Class 2 Participation Notes Due 2015 (current rated
balance of $2,524,256), Upgraded to A1 (sf); previously on
June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade.
In addition, Moody's has confirmed the rating of these notes:
US$3,000,000 Class D Junior Mezzanine Deferrable Note Rights Due
2015, Confirmed at C (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 an increase in the
transaction's overcollateralization ratios and delevering of the
senior notes since the rating action in March 2011. Moody's notes
that the Class A Notes have been paid down by approximately 30% or
$36 million since the rating action in March 2011, and as a result
the overcollateralization ratios have increased. Based on the
latest trustee report dated August 16, 2011, the Class A, Class B,
and Class C overcollateralization ratios are reported at 154.74%,
127.57%, and 109.88%, respectively, versus February 2011 levels of
138.14%, 120.19%, and 107.40%, 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, many of which are in CLO tranches with
speculative-grade ratings. Based on Moody's calculation, reference
securities that mature after the maturity date of the notes
currently make up approximately $21 million or 15.8% 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 $134.1 million,
defaulted par of $4.3 million, a weighted average default
probability of 18.61% (implying a WARF of 3131), a weighted
average recovery rate upon default of 51.25%, and a diversity
score of 39. 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.
Sagamore CLO Ltd., issued in October 2003, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011 and
"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) 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.
SAN GABRIEL: Moody's Raises Rating of Class B-1L Notes to 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by San Gabriel CLO I Ltd.:
US$273,000,000 Class A-1L Floating Rate Notes Due September 10,
2021 (current outstanding balance of $268,495,315), Upgraded to
Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed Under Review
for Possible Upgrade;
US$40,000,000 Class A-1LV Floating Rate Revolving Notes Due
September 10, 2021 (current outstanding balance of $39,339,973),
Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$25,000,000 Class A-2L Floating Rate Notes Due September 10,
2021, Upgraded to Aa3 (sf); previously on June 22, 2011 A2 (sf)
Placed Under Review for Possible Upgrade;
US$29,000,000 Class A-3L Floating Rate Notes Due September 10,
2021, Upgraded to Baa2 (sf); previously on June 22, 2011 Ba1 (sf)
Placed Under Review for Possible Upgrade;
US$15,000,000 Class B-1L Floating Rate Notes Due September 10,
2021, Upgraded to Ba1 (sf); previously on June 22, 2011 B1 (sf)
Placed Under Review for Possible Upgrade;
US$16,500,000 Class B-2L Floating Rate Notes Due September 10,
2021 (current outstanding balance of $16,135,315), 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 an increase in the transaction's
overcollateralization ratios and consideration of credit
improvement of the underlying portfolio since the rating action in
August 2009. Based on the latest trustee report dated August 31,
2011, the Senior Class A, Class A, Class B-1L and Class B-2L
overcollateralization ratios are reported at 122.39%, 112.58%,
108.10% and 103.66%, respectively, versus July 2009 levels of
120.58%, 110.91%, 106.50% and 101.25%, respectively. Moody's also
notes that the deal has benefited from improvement in the credit
quality of the underlying portfolio since the rating action in
August 2009. The weighted average rating factor is currently 2545
compared to 2990 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 $407.0 million,
defaulted par of $3.0 million, a weighted average default
probability of 21.25% (implying a WARF of 2756), a weighted
average recovery rate upon default of 48.50%, and a diversity
score of 65. 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.
San Gabriel CLO I Ltd., issued in July 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) 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, 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.
SANTANDER DRIVE: Moody's Assigns 'Ba2' Rating to Class E Notes
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by Santander Drive Auto Receivables Trust 2011-3
(SDART 2011-3). This is the third public senior/subordinated
transaction of the year for Santander Consumer USA Inc. (SC USA).
The complete rating actions are:
Issuer: Santander Drive Auto Receivables Trust 2011-3
Cl. A-1, Assigned P-1 (sf)
Cl. A-2, Assigned Aaa (sf)
Cl. A-3, Assigned Aaa (sf)
Cl. B, Assigned Aa1 (sf)
Cl. C, Assigned Aa3 (sf)
Cl. D, Assigned Baa2 (sf)
Cl. E, Assigned Ba2 (sf)
RATINGS RATIONALS
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SC USA as
servicer.
The principal methodology used in rating the transaction is
"Moody's Approach to Rating U.S. Auto Loan-Backed Securities,"
published in May 2011. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology
Moody's median cumulative net loss expectation for the SDART 2011-
3 pool is 11.75% and total credit enhancement required to achieve
Aaa rating (i.e. Aaa proxy) is 43.0%. The loss expectation was
based on an analysis of SC USA's portfolio vintage performance as
well as performance of past securitizations, and current
expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of a highly rated
parent, Banco Santander (Aa2 negative outlook/P-1), in addition to
the size and strength of SC USA's servicing platform.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 20%, 25% or 35.0%,
the initial model output for the Class A notes might change from
Aaa to Aa1, Aa2, and A2, respectively; Class B notes might change
from Aa1 to A1, Baa3, and below B3, respectively; Class C notes
might change from Aa3 to Ba1, B1, and below B3, respectively;
Class D notes might change from Baa2 to B3, below B3, and below
B3, respectively; and Class E notes might change from Ba2 to below
B3 in all three scenarios.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
SARATOGA CLO: Moody's Raises Rating of Class C Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Saratoga CLO I, Limited:
$49,000,000 Class A-2 Floating Rate Notes Due 2019, Upgraded to
Aa1 (sf); Previously on June 22, 2011 A2 (sf) Placed Under Review
for Possible Upgrade;
$24,000,000 Class B Floating Rate Deferrable Notes Due 2019,
Upgraded to Baa1 (sf); Previously on June 22, 2011 Ba1 (sf) Placed
Under Review for Possible Upgrade;
$11,250,000 Class C Floating Rate Deferrable Notes Due 2019,
Upgraded to Ba1 (sf); Previously on June 22, 2011 B3 (sf) Placed
Under Review for Possible Upgrade;
$6,750,000 Class D Floating Rate Deferrable Notes Due 2019
(Current Outstanding Balance of $5,282,811), Upgraded to Ba2 (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 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 August 2009. 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 an improvement in the
credit quality of the underlying portfolio and an increase in the
transaction's overcollateralization ratios since the rating action
in August 2009. Based on the latest trustee report from September
2011, the weighted average rating factor is currently 2454
compared to 2631 in the July 2009 report. The
overcollateralization ratios of the rated notes have also improved
since the rating action in August 2009. The Class A, Class B,
Class C and Class D overcollateralization ratios are reported at
125.5%, 113.5%, 108.7% and 106.6%, respectively, versus July 2009
levels of 121%, 109.5%, 104.8% and 102.7%, 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 $285.5 million,
defaulted par of $2.3 million, a weighted average default
probability of 20.7% (implying a WARF of 2800), a weighted average
recovery rate upon default of 50.6%, 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. 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.
Saratoga CLO I, Limited, issued in September 2002, 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.
A source of additional performance uncertainty is 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 the 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.
SEAWALL SPC: S&P Lowers Rating on Notes From 'BB-' to 'CCC+'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
notes issued by Seawall SPC's series 2008 CMBS CDO-8 and series
2008 CMBS CDO-12. Both deals are U.S. synthetic collateralized
debt obligation (CDO) transactions.
The ratings on Seawall SPC's series 2008 CMBS CDO-8 and 2008 CMBS
CDO-12 are weak-linked to the ratings on their underlying CMBS
collateral. "We lowered our ratings on the two U.S. synthetic CDO
tranches in conjunction with our rating actions affecting the
related commercial mortgage-backed securities (CMBS) tranches that
back these notes," S&P stated.
Rating Actions
Seawall SPC
Series 2008 CMBS CDO-8
Rating
Class To From
Notes CCC+ (sf) BB- (sf)
Seawall SPC
Series 2008 CMBS CDO-12
Rating
Class To From
Notes B (sf) B+ (sf)
SEQUOIA MORTGAGE: Fitch Puts Rating on $3 Million Cert. at 'BBsf'
-----------------------------------------------------------------
Fitch Ratings assigns the following rating to Sequoia Mortgage
Trust 2011-2 Mortgage Pass-Through Certificates, series 2011-2
(SEMT 2011-2):
-- $347,460,000 class A-1 'AAAsf'; Outlook Stable;
-- $347,460,000 notional class A-IO 'AAAsf'; Outlook Stable;
-- $10,319,000 class B-1 'AAsf'; Outlook Stable;
-- $4,878,000 class B-2 'Asf'; Outlook Stable;
-- $5,440,000 class B-3 'BBBsf'; Outlook Stable;
-- $3,002,000 class B-4 'BBsf'; Outlook Stable.
The 'AAAsf' rating on the senior certificates reflects the 7.4%
subordination provided by the 2.75% class B-1, 1.30% class B-2,
1.45% class B-3, 0.80% non-offered class B-4 and 1.10% non-offered
class B-5. The class B-5 is not rated by Fitch.
Fitch's ratings reflect the high quality of the mortgage pool,
the strong historical performance of the two originators and
servicers, First Republic Bank and PHH Mortgage Corp., the clear
capital structure and the high percentage of loans reviewed by
third party underwriters. In addition, Wells Fargo Bank, N.A.
will act as the master servicer and U.S. Bank, N.A. will act as
the Trustee, for the transaction.
SEMT 2011-2 will be Redwood Residential Acquisition Corporation's
second transaction of prime residential mortgages in 2011. The
certificates are supported by a pool of prime mortgage loans
comprised 99% of fully amortizing fixed rate mortgage (FRM) loans
and 1% of FRM loans with a 10-year interest only (IO) period.
The aggregate pool included loans originated from First Republic
Bank (53%), PHH Mortgage Corporation (27%), Wells Fargo Home
Mortgage (8%), SunTrust Mortgage Inc. (7%), PrimeLending and
Sterling Savings Bank (totaling 5%). As of the cut-off date, the
aggregate pool has 473 loans with a total balance of $375,227,254,
an average balance of $793,292, a weighted average original
combined loan-to-value ratio (CLTV) of 64.2%, and a weighted
average coupon (WAC) of 4.9%. Rate/Term and cash out refinances
account for 55.8% and 4.5% of the loans, respectively. The
weighted average original FICO credit score of the loans is 773.
Owner-occupied properties comprise 95.1% of the loans. The states
that represent the largest geographic concentration are California
(53.6%), New York (7.2%) and Massachusetts (6.3%). Additional
detail on the transaction is described in the presale report
'Sequoia Mortgage Trust 2011-2', published on Sept. 14, 2011.
For federal income tax purposes, elections will be made to treat
the trust as two real estate mortgage investment conduits
(REMICs).
STACK 2004-1: S&P Lowers Rating on Class B Notes From 'CCC' to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A, B, and C notes from Stack 2004-1 Ltd. "At the same time,
we affirmed our rating on the class D note," S&P stated.
"The downgrade of the class A and C notes reflect credit
deterioration of the underlying assets since our June 3, 2011,
rating actions. According to the Aug. 3, 2011, trustee report, the
class A/B overcollateralization ratio had fallen to 91.16% from
94.37% as of the April 8, 2011, report," S&P stated.
According to a July 20, 2011, notice, the trustee has received
direction from the controlling party to accelerate the notes,
meaning money that would have been used to make class B interest
payments will be used to pay down the principal balance of the
class A notes. The downgrade of the class B notes reflects the
failure of the transaction to make interest payments due on this
nondeferrable note.
"Our rating affirmation to the class D note reflects both the
credit support available to the note and the note's ability to
defer interest payments," S&P said.
Ratings Lowered
Stack 2004-1 Ltd.
Rating
Class To From
A BB+ (sf) A+ (sf)
B D (sf) CCC (sf)
C CC (sf) CCC- (sf)
Rating Affirmed
Stack 2004-1 Ltd.
Class Rating
D CC (sf)
STONE TOWER: Moody's Raises Rating of Class D-1 Notes to 'Ba3'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Stone Tower CLO III Ltd.:
US$450,500,000 Class A-1 Floating Rate Notes Due May 26, 2017
(current outstanding balance of $376,417,203), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;
US$75,000,000 Class A-2 Delayed Draw Notes Due May 26, 2017
(current outstanding balance of $62,666,571), Upgraded to Aaa
(sf); previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;
US$33,500,000 Class A-3 Floating Rate Notes Due May 26, 2017,
Upgraded to Aaa (sf); previously on June 22, 2011 A2 (sf) Placed
Under Review for Possible Upgrade;
US$36,000,000 Class B Deferrable Floating Rate Notes Due May 26,
2017, Upgraded to A1 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$18,000,000 Class C-1 Floating Rate Notes Due May 26, 2017,
Upgraded to Baa3 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$11,500,000 Class C-2 Fixed Rate Notes Due May 26, 2017,
Upgraded to Baa3 (sf); previously on June 22, 2011 B1 (sf) Placed
Under Review for Possible Upgrade;
US$9,250,000 Class D-1 Floating Rate Notes Due May 26, 2017,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade;
US$10,000,000 Class D-2 Fixed Rate Notes Due May 26, 2017,
Upgraded to Ba3 (sf); previously on June 22, 2011 Caa3 (sf) Placed
Under Review for Possible Upgrade;
US$9,250,000 Class G Blended Securities Due May 26, 2017 (current
Rated Balance of $1,867,088), Upgraded to A2 (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.
The actions also reflect an increase in the transaction's
overcollateralization ratios and delevering of the senior notes
since the rating action in September 2009. Based on the latest
trustee report dated August 18, 2011, the Class A, Class B, Class
C and Class D overcollateralization ratios are 120.45%, 113.16%,
107.81% and 104.59%, respectively, versus August 2009 levels of
119.00%, 111.80%, 106.51% and 103.33%, respectively. The August
2011 overcollateralization ratios do not include the $86.4 million
principal payment that delevered the Class A-1 and A-2 notes by
16% on the August 30, 2011 payment date.
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 Moody's calculation,
reference securities that mature after the maturity date of the
notes currently make up approximately 6.4% 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 $586.0 million,
defaulted par of $3.6 million, a weighted average default
probability of 16.19% (implying a WARF of 2518), a weighted
average recovery rate upon default of 49.86%, and a diversity
score of 63. 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.
Stone Tower CLO III Ltd., issued in May 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011 and
"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) 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) 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.
TIAA REAL ESTATE: Moody's Affirms Class IV Notes Rating at 'Ba2'
----------------------------------------------------------------
Moody's has upgraded the ratings of two and affirmed the ratings
of three classes of Notes issued by TIAA Real Estate CDO 2002-1,
Ltd. primarily due to $59.8 million in full amortization of
collateral since Moody's last review; despite moderate
deterioration in underlying collateral performance as evidenced by
the Moody's weighted average rating factor (WARF) and recovery
rate (WARR). The affirmations are due to key transaction
parameters performing within levels commensurate with the existing
ratings levels on those classes of notes. The rating action is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO) transactions.
Class I Secured Floating Rate Notes Due May 2017, Affirmed at Aaa
(sf); previously on May 29, 2002 Assigned Aaa (sf)
Class II-FL Secured Floating Rate Notes Due May 2037, Upgraded to
Aa1 (sf); previously on Oct 20, 2010 Upgraded to Aa3 (sf)
Class II-FX 6.77% Secured Fixed Rate Notes Due 2037, Upgraded to
Aa1 (sf); previously on Oct 20, 2010 Upgraded to Aa3 (sf)
Class III 7.60% Secured Fixed Rate Notes Due May 2037, Affirmed at
Baa1 (sf); previously on Oct 20, 2010 Upgraded to Baa1 (sf)
Class IV 6.84% Secured Fixed Rate Notes Due May 2037, Affirmed at
Ba2 (sf); previously on May 29, 2002 Assigned Ba2 (sf)
RATINGS RATIONALE
TIAA Real Estate CDO 2002-1, Ltd. is a static cash CRE CDO
transaction backed by a portfolio of commercial mortgage backed
securities (CMBS) (84.8% of the pool balance), and REIT bonds
(15.2%). As of the August 18, 2011 Trustee report, the aggregate
Note balance of the transaction, including preferred shares, has
decreased to $139.3 million from $500.0 million at issuance, with
the payment directed to the Class I Notes as a result of
amortization of the underlying collateral.
There are eight assets with a par balance of $50.3 million (35.1%
of the current pool balance) that are considered Impaired
Securities as of the August 18, 2011 Trustee report. Four of these
assets (56.6% of the impaired balance) are CMBS, and four assets
are REIT bonds (43.4%). While there have been no realized losses
to the impaired assets to date, Moody's does expect some 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: 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 1,635 compared to 981 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (22.6% compared to 33.6% at last review), A1-A3
(3.6% compared to 8.1% at last review), Baa1-Baa3 (19.6% compared
to 27.3% at last review), Ba1-Ba3 (25.0% compared to 15.5% at last
review), B1-B3 (11.6% compared to 11.6% at last review), and Caa1-
C (17.7% compared to 4.0% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.5 years. Moody's
modeled a WAL of 9.9 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
29.8% compared to 33.4% 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 17.9% compared to 22.9% 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
29.8% to 19.8% or up to 39.8% would result in average rating
movement on the rated tranches of 1 to 2 notches downward and 1 to
2 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
TIERS SYNTHETIC: Moody's Affirms Rating of US$36-Mil. Notes at 'C'
------------------------------------------------------------------
Moody's has affirmed the ratings of one class of Notes issued by
TIERS Synthetic CDO-Linked Variable Coupon Trust, Series 2008-1.
The affirmation is 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.
US$36,000,000 TIERS Synthetic CDO-Linked Variable Coupon Trust
Certificates, Series 2008-1, Affirmed at C (sf); previously on
Oct 27, 2010 Downgraded to C (sf)
RATINGS RATIONALE
TIERS Synthetic CDO-Linked Variable Coupon Trust, Series 2008-1 is
a static synthetic CRE CDO transaction backed by credit default
swaps on a portfolio of commercial mortgage backed securities
(CMBS) (95.2% of the pool balance) and CRE CDO (4.8%). As of the
August 15, 2011 Trustee report, the aggregate issued Note balance
of the transaction is $36.0 million, the same as that at issuance.
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 reference obligations. The bottom-dollar WARF is a measure
of the default probability within a reference obligation pool.
Moody's modeled a bottom-dollar WARF of 9,305 compared to 6,132 at
last review. The distribution of current ratings and credit
estimates is as follows: Baa1-Baa3 (0.0% compared to 3.0% at last
review), Ba1-Ba3 (2.0% compared to 11.0% at last review), B1-B3
(3.7% compared to 33.2% at last review), and Caa1-C (94.3%
compared to 52.8% 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 6.9
years compared to 4.8 years at last review. The longer WAL
assumption is due to the remaining life profiles of the underlying
CMBS reference obligations.
WARR is the par-weighted average of the mean recovery values for
the reference obligations in the pool. Moody's modeled a variable
WARR with a mean of 0.9% compared to a mean of 4.2% at last
review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the reference obligation pool (i.e. the measure of
diversity). Moody's modeled a MAC of 0.0% compared to 100.0% at
last review.
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. In general, the rated Notes are particularly
sensitive to rating changes within the reference obligation pool.
However, in light of the performance indicators noted above,
Moody's believes that it is unlikely that the ratings are
sensitive to further change.
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 performance
in the commercial real estate property markets. While commercial
real estate property markets are gaining momentum, a consistent
upward trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The hotel and multifamily sectors are
continuing to show signs of recovery through the first half of
2011, while recovery in the non-core office and retail sectors are
tied to pace of recovery of the broader economy. Core office
markets are showing signs of recovery through lending and leasing
activity. 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 as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010. Please see
the Credit Policy page on www.moodys.com for a copy of this
methodology.
TOURO INFIRMARY: Moody's Affirms Ba1 Rating to $87-Mil. Bonds
-------------------------------------------------------------
Moody's Investors Service has affirmed the Ba1 ratings assigned to
Touro Infirmary's (Touro) $87 million of outstanding bonds issued
through Louisiana Public Facilities Authority (see RATED DEBT
section at end of this report). The outlook has been revised to
stable from negative.
RATING RATIONALE
The rating affirmation is attributable to sizable growth in
liquidity to a more comfortable 93 days cash on hand at fiscal
yearend 2010 from 41 days two years earlier, along with growth
in volumes and improved cash flow generation. Touro remains the
largest acute care provider in Orleans Parish despite competitive
pressures from a larger system which draws patients to both its
Orleans sites and outside of the parish. Capital improvements
have been partially funded through transfers from Touro's
affiliate, Children's Hospital, with an additional $66 million of
a $100 million commitment still available. Strategic initiatives
continue to improve performance, including hiring an independent
management team for the long-term care line of business, leasing
the underutilized old St. Charles building, and renegotiating
vendor contracts. The outlook revision to stable from negative
reflects stabilization and growth in volumes, at least near term
continuance of special upper payment limit funding, and continued
support of capital from Children's Hospital.
STRENGTHS
*July 2009 affiliation with Children's Hospital has established
new system parent as sole member of both Touro Infirmary and
Children's Hospital; Children's Hospital has provided needed
capital infusion ($13 million to-date) for service expansion and
upgrades; anticipated future benefits in contracting, supplies
management and more
*Operational improvement in fiscal year (FY) 2010 and six months
FY 2011 with volume growth driving growth in revenues and
strategic initiatives holding expenses flat; positive operating
cash flow margin of 3.6% in FY 2010 (excluding $16.6 million non-
recurring block grant) and FY 2011 favorable to the same period of
the prior year (including new upper payment limit funding)
*Social Service block grant provided $25 million of supplemental
funding over two years that contributed to sizable growth in
liquidity with absolute cash increasing 53% in FY 2010 to
$59.2 million by fiscal yearend (FYE) and a more comfortable 93
days cash on hand; liquidity boosted by funding of capital
expenditures through transfers from Children's Hospital; 93 days
of liquidity can be liquidated within a month
*Market share growth in Orleans Parish across the past year and a
half to 25.1% at June 30, 2011 from 24.4% in 2009 (figures
provided by management); Touro holds the second leading market
share behind Ochsner Health System's 29.3% (four hospitals) and is
the largest single provider in the parish
*100% fixed rate debt structure
CHALLENGES
*Operating cash flow generation remained weak in FY 2010 and,
while six month FY 2011 performance is positive and improved over
prior year; full year FY 2011 cash flow generation anticipated to
remain below investment grade level
*When removing the non-recurring block grant funds included in
operating revenues debt-to-cash flow in FY 2010 remains high at a
pro forma 10.3 times and Moody's-adjusted maximum annual debt
service (MADS) coverage still modest at pro forma 1.49 times;
improvement in FY 2011 comparable periods
*FY 2011 budgets a loss for year, though near break-even
performance year-to-date 2011 including new upper payment limit
funding ($3.8 million in six months), yet future UPL funding under
healthcare reform and unknown impact from Louisiana's move to
Medicaid managed care in the region could have challenging effects
*Competitive environment with competing Ochsner Health System
drawing patients from the parish into four of the system's
hospitals and holding the combined leading market share
*Continued large increases not anticipated as Social Service block
grants ended December 31, 2010
DETAILED CREDIT DISCUSSION
LEGAL SECURITY: The bonds are secured by an Assignment of Revenue
of the obligated group as defined in the bond documents. The
hospital is the only member of the obligated group, and represents
88% of system revenues in FY 2010. Touro Infirmary Foundation
(Foundation), created to benefit Touro and solely owned by Touro,
is not a member of the obligated group but is a restricted
affiliate; the Foundation holds the majority of the unrestricted
liquidity. Debt service reserve funds on the Series 1993 and 1999
bonds may be released if certain covenants are met. A substitution
of notes provision is in place, allowing Touro Infirmary to
replace the master indenture and any provision of the Loan
Agreement and the Indenture without bondholder consent.
INTEREST RATE DERIVATIVES: The hospital has three interest rate
swap agreements outstanding, two fixed to variable rate swaps and
one basis rate swap, all held with Merrill Lynch. The fixed to
variable rate swaps are for notional amounts of $31.1 million
(maturing January, 2013) and $3.2 million (maturing August 2011).
Touro Infirmary pays a variable rate based on the SIFMA index and
receives fixed rates of 4.625% and 4.50%, respectively. The basis
swap is for a notional amount of $29.6 million (maturing January
2013) and Touro Infirmary pays 1.55% and receives 82% of one-month
LIBOR. As of June 30, 2011 the swaps had a negative fair market
value (liability to Touro) of $5.4 million. Children's Hospital
has guaranteed the collateral posting on the swaps, releasing
Touro Infirmary's swap postings back into liquidity. Management
plans to hold the swaps to maturity.
RECENT DEVELOPMENTS/RESULTS
In FY 2010 Touro Infirmary reported its highest operating cash
flow margin in the past five years, but the margin remains weak at
only 3.6% (non-recurring Social Service block grant reclassified
to non-operating). This improvement came with a 2.3% increase in
total operating revenues and flat operating expenses. Revenues
increased with increases in volumes. Inpatient admissions
increased a solid 4.7%, with improvements in efficiencies reducing
the overall average length of stay. Increases in volumes were also
experienced in observation days (3.7%), emergency department
visits (5.5%), total hospital based surgeries (1.6%), and newborns
(5.5%). Expenses were nearly flat or declined in almost all
classifications on the audit except for bad debt expense, which
increased 7%. Touro focused on improving labor efficiencies with
scheduling improvements, reductions in overtime, reduced use of
agency services and improved efficiencies. Debt-to-cash flow
showed sizable improvement to a good 3.56 times and Moody's-
adjusted maximum annual debt service (MADS) coverage at 3.31
times. When removing the non-recurring block grant from operating,
however, the debt-to-cash flow ratio remains high at a pro forma
10.3 times and Moody's-adjusted MADS coverage remains modest at
pro forma 1.49 times. Current MADS is $9.4 million in 2012 with
capital lease payments ending in FY 2012. Should Touro Infirmary
eliminate all debt outside of bonds, MADS would decline to $8.0
million in 2024 and pro forma FY 2010 coverage before the block
grant would improve to 1.71 times.
The improvement in operating performance continued into the first
six months of FY 2011 with the inclusion of $3.8 million in upper
payment limit (UPL) funding, resulting in an operating margin of
0.6%. Touro joined other area providers in establishing a new UPL
program. Without the UPL funding, operating performance for six
months FY 2011 would have been comparable to the first six months
of FY 2010 with an operating loss of about $3 million (-2.3%
margin) and operating cash flow of $7.3 million (5.8% margin).
Management has budgeted an operating loss for the full year 2011,
though performance is currently favorable to budget..
Unrestricted liquidity more than doubled over the past two years,
increasing to $59.2 million at FYE 2010 from $25.9 million at FYE
2008, a $33.3 million improvement. As a result, cash on hand grew
to a more comfortable 93 days from a weak 41 days at FYE 2008.
This has strengthened the cash-to-debt ratio to 66% from 28%, but
still remains on the weaker side. Growth in liquidity resulted
primarily from the receipt of $25 million in Social Service block
grants, the support of capital spending with transfers from
Children's Hospital, the release of collateral posting, the
improvement in cash flow generation, and relatively flat accounts
receivable on a growing revenue base. As of June 30, 2011 absolute
liquidity is flat to FYE 2010 at $59.0 million and 89 days cash
on hand, and follows the December 31, 2010 discontinuance of
Social Service block grant funding ($8.3 million in FY 2009 and
$16.6 million in FY 2010) but includes $3.8 million of new UPL
funding. Touro Infirmary's debt is 100% fixed rate mode.
As part of an affiliation agreement, Children's Hospital committed
to provide $100 million in capital funds to Touro Infirmary
through June 2014 (commitment can be reduced by a formulaic
process based upon Touro Infirmary's ability to generate positive
cash flow from operations) Through July 2011 Touro Infirmary
had received a total of $13.0 million in support of just under
$40 million in capital spend across the past 2.5 years. Children's
Hospital continues to guarantee the collateral postings required
under the swap agreements.
Outlook
The stable outlook reflects Moody's belief that the affiliation
with Children's Hospital, a new management team at Touro,
implementation of UPL funding, and improved liquidity provides the
hospital operating flexibility in the near term not previously
available in FY 2009-2010. Longer term stability in the rating
will be dependent upon improvement in operating performance and
maintenance or strengthening of balance sheet metrics.
WHAT ACOULD MOVE THE RATING UP
Significantly improved operating performance that is sustainable;
continued improvement in liquidity; strengthening of debt measures
WHAT COULD MOVE THE RATING DOWN
Revocation of affiliation agreement with Children's Hospital;
failure to continue to improve operating performance; further
weakening of liquidity position; additional debt without
commensurate increase in cash and cash flow
KEY INDICATORS
Assumptions & Adjustments:
-- Based on financial statements for Touro Infirmary and
Subsidiaries consolidated financial statements
-- First number reflects consolidated audit year ended
December 31, 2009
-- Second number reflects consolidated audit year ending
December 31, 2010
-- $8.3 million and $16.6 million in Social Service Block Grant
monies in FY 2009 and FY 2010, respectively, reclassified to
non-operating from operating revenues; program ended
December 31, 2010
-- Operating revenues includes $299,000 and $451,000
stabilization grant and GME supplemental payments in FY 2009
and FY 2010, respectively
-- Investment returns normalized at 6%
*Inpatient admissions: 10,724; 11,229
*Total operating revenues (excludes Social Service Block Grants):
$231.8 million; $237.3 million
*Moody's-adjusted net revenue available for debt service (includes
Social Service Block Grants): $11.1 million; $30.2 million
*Total debt outstanding: $96.6 million; $90.4 million
*Maximum annual debt service (MADS), includes capitalized leases:
$8.0 million; $9.1 million
*MADS Coverage with reported investment income: 2.06 times; 3.47
times
*Moody's-adjusted MADS Coverage with normalized investment income
(includes Social Service block grants): 1.39 times; 3.31 times
*Debt-to-cash flow: 18.06 times; 3.56 times
*Days cash on hand: 59 days; 93 days
*Cash-to-debt: 40%; 66%
*Operating margin: -9.8%; -4.9%
*Operating cash flow margin: -0.7%; 3.6%
RATED DEBT (debt outstanding as of June 30, 2011)
-- Series 1993 fixed rate Hospital Revenue and Refunding Bonds
($30.6 million outstanding), rated Ba1 (currently privately
placed)
-- Series 1999A fixed rate Hospital Revenue Bonds ($56.5 million
outstanding), rated Ba1
PRINCIPAL METHODOLOGY USED
The principal methodology used in this rating was Not-for-Profit
Hospitals and Health Systems published in January 2008.
US CMBS: Fitch Expects Default on 31 Bond Ratings
-------------------------------------------------
Fitch Ratings has downgraded 31 bonds in 20 U.S. commercial
mortgage-backed securities (CMBS) transactions to 'D', as the
bonds have incurred a principal write-down. The bonds were all
previously rated 'B-', 'CCC', 'CC', or 'C', which indicates that
Fitch expected a default.
This action is limited to just the bonds with write-downs. The
remaining bonds in these transactions have not been analyzed as
part of this review. Fitch downgrades bonds to 'D' as part of the
ongoing surveillance process and will continue to monitor these
transactions for additional defaults.
The spreadsheet also details Fitch's Recovery Ratings (RRs)
assigned to the transactions. The RR scale is based upon the
expected relative recovery characteristics of an obligation. For
structured finance, RRs are designed to estimate recoveries on a
forward-looking basis while taking into account the time value of
money.
VENTURE III: Moody's Upgrades Rating of Class C Notes to 'Ba2'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Venture III CDO Limited:
US$279,000,000 Class A-1 Floating Rate Notes due 2016 (current
outstanding balance of $122,858,880), Upgraded to Aaa (sf);
previously on June 22, 2011 Aa2 (sf) Placed Under Review for
Possible Upgrade;
US$30,000,000 Class A-2 Floating Rate Notes due 2016, Upgraded to
Aa1 (sf); previously on June 22, 2011 Baa1 (sf) Placed Under
Review for Possible Upgrade;
US$16,000,000 Class B Deferrable Floating Rate Notes due 2016,
Upgraded to A3 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade; and
US$12,500,000 Class C Floating Rate Notes due 2016, Upgraded to
Ba2 (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.
The actions also reflect the consideration of credit improvement
of the underlying portfolio, an increase in the transaction's
overcollateralization ratios, and delevering of the senior notes
since the rating action in June 2009. The Class A-1 notes have
been paid down by approximately 55% or $153 million since the
rating action, and as a result of the delevering, the
overcollateralization ratios have increased since then. Based on
the latest trustee report dated August 8, 2011, the Class A, Class
B, and Class C overcollateralization ratios are reported at
127.93%, 115.81%, and 107.83%, respectively, versus May 2009
levels of 110.91%, 105.40%, and 101.42%, respectively. The
weighted average rating factor is currently 2548 compared to 2678
in May 2009.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity of the notes. Based on the August 2011 trustee report,
reference securities that mature after the maturity date of the
notes currently make up approximately 10.38% of the underlying
collateral 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 $196.67 million,
defaulted par of $10.63 million, a weighted average default
probability of 15.69% (implying a WARF of 2789), a weighted
average recovery rate upon default of 46.91%, and a diversity
score of 61. 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.
Venture III CDO Limited, 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
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 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.
VENTURE IV: S&P Raises Rating on Class D Notes From 'B' to 'B+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B-1, B-2, C-1, C-2, and D notes from Venture IV CDO
Ltd., a U.S. collateralized loan obligation (CLO) transaction
managed by MJX Asset Management LLC. "At the same time, we removed
our ratings on the class A-1, A-2, B-1, B-2, C-1, and C-2 notes
from CreditWatch, where we placed them with positive implications
on June 17, 2011," S&P noted.
"The upgrades reflect a paydown to the class A-1 notes and the
improved performance we have observed in the deal's underlying
asset portfolio since we lowered our ratings on all the classes on
Jan. 11, 2010, following the application of our September 2009
corporate collateralized debt obligation (CDO) criteria. Since the
time of our last rating action, the transaction has paid down the
class A-1 notes by $161.32 million, reducing the balance to
approximately 55.98% of its original balance. As of the Aug. 3,
2011, trustee report, the transaction's asset portfolio had
$13.67 million in defaulted obligations and approximately
$17.98 million in assets from obligors rated in the 'CCC' range.
This was a decrease from $35.39 million in defaulted obligations
and approximately $30.20 million in assets from obligors rated in
the 'CCC' range noted in the Nov. 3, 2009, trustee report, which
we used for our January 2010 rating actions," S&P continued.
S&P also observed an increase in the overcollateralization (O/C)
available to support the rated notes. The trustee reported these
ratios in the Aug. 3, 2011, monthly report:
The class A par value O/C ratio test was 126.68%, compared
with a reported ratio of 117.71% in November 2009;
The class B par value O/C ratio test was 114.82%, compared
with a reported ratio of 109.71% in November 2009;
The class C par value O/C ratio test was 109.02%, compared
with a reported ratio of 105.63% in November 2009; and
The class D par value O/C ratio test was 105.46%, compared
with a reported ratio of 103.07% in November 2009.
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
Venture IV CDO Ltd.
Rating
Class To From
A-1 AAA (sf) AA (sf)/Watch Pos
A-2 AA+ (sf) A+ (sf)/Watch Pos
B-1 A (sf) BB+ (sf)/Watch Pos
B-2 A (sf) BB+ (sf)/Watch Pos
C-1 BB+ (sf) BB- (sf)/Watch Pos
C-2 BB+ (sf) BB- (sf)/Watch Pos
D B+ (sf) B (sf)
WACHOVIA BANK: Moody's Reviews 'Ba1' Rating of Class B Notes
------------------------------------------------------------
Moody's Investors Service placed ten classes of Wachovia Bank
Commercial Mortgage Trust, Commercial Pass-Through Certificates,
Series 2006-C24 on review for possible downgrade:
Cl. A-M, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Aa3 (sf)
Cl. A-J, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Baa3 (sf)
Cl. B, Ba1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Ba1 (sf)
Cl. C, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Ba2 (sf)
Cl. D, B2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to B2 (sf)
Cl. E, B3 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to B3 (sf)
Cl. F, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Caa1 (sf)
Cl. G, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Caa2 (sf)
Cl. H, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Ca (sf)
Cl. J, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Nov 4, 2010 Downgraded to Ca (sf)
RATINGS RATIONALE
The classes were placed on review for possible downgrade due to
higher expected losses for the pool resulting from increases in
loans in special servicing along with increased realized losses to
the trust.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated November 4, 2010.
The primary methodology used in this rating was "Moody's Approach
to Rating U.S. CMBS Conduit Transactions" published in September
2000. Please see the Credit Policy page on www.moodys.com for a
copy of this methodology.
DEAL AND PERFORMANCE SUMMARY
As of the September 12, 2011 distribution date, the deal's
aggregate certificate balance has decreased by 23% to $1.54
billion from $2.00 billion at securitization. The Certificates are
collateralized by 108 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten non-defeased loans
representing 50% of the pool.
Twenty-seven loans, representing 35% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC; formerly the Commercial Mortgage
Securities Association) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $34.3 million (78% average loss
severity). Sixteen loans, representing 14% of the pool, are
currently in special servicing. The master servicer has recognized
an aggregate $92.5 million appraisal reduction for the specially
serviced loans.
Moody's review will focus on potential losses from specially
serviced and troubled loans, interest shortfalls and the
performance of the overall pool.
WIND RIVER: S&P Raises Rating on Type V Composite to 'B'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 11
classes from Wind River CLO I Ltd., U.S. collateralized loan
obligation (CLO) transaction, managed by McDonnell Investment
Management LLC. "We removed seven of the ratings from CreditWatch
with positive implications. At the same time, we affirmed our
rating on the class D notes," S&P related.
"The upgrades reflect the improved performance we have observed
in the deal's underlying asset portfolio, as well as a roughly
$84.23 million paydown on the class A-1 notes since we downgraded
the notes on March 26, 2010. As of the Aug. 1, 2011, trustee
report, the transaction had $6.58 million in defaulted assets,
compared with the $30.23 million noted in the Feb. 1, 2010 trustee
report, which we referenced for our March 2010 rating actions.
Additionally, the class A-1 note balance was paid down to
$280.77 million from $365 million over the same time period," S&P
stated.
The transaction has also benefited from an increase in
overcollateralization (O/C) available to support the rated notes.
The trustee reported these O/C ratio in the Aug. 1, 2011, monthly
report:
The A-2 O/C ratio was 134.61%, compared with a reported ratio
of 125.42% in February 2010;
The B-2 O/C ratio was 121.78%, compared with a reported ratio
of 115.86% in February 2010;
The C-2 O/C ratio was 110.28%, compared with a reported ratio
of 106.95% in February 2010; and
The D O/C ratio was 107.67%, compared with a reported ratio of
104.87% 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 Actions
Wind River CLO I Ltd.
Rating
Class To From
A-1 AA+ (sf) AA- (sf)/Watch Pos
A-2 AA- (sf) A+ (sf)/Watch Pos
B-1 BBB+ (sf) BBB- (sf)/Watch Pos
B-2 BBB+ (sf) BBB- (sf)/Watch Pos
C-1 B (sf) CCC+ (sf)/Watch Pos
C-2 B (sf) CCC+ (sf)/Watch Pos
C-3 B (sf) CCC+ (sf)/Watch Pos
Type II composite BB+ (sf) CCC- (sf)
Type III composite BB+ (sf) CCC- (sf)
Type IV composite BB+ (sf) CCC- (sf)
Type V composite B (sf) CCC+ (sf)
Rating Affirmed
Wind River CLO I Ltd.
Class Rating
D CCC- (sf)
Transaction Information
Issuer: Wind River CLO I Ltd.
Coissuer: Wind River CLO I Corp.
Collateral manager: McDonnell Investment Management LLC
Trustee: U.S. Bank N.A.
Transaction type: Cash flow CLO
* S&P Lowers Ratings on 14 Classes of Certificates to 'D'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 33
classes of commercial mortgage pass-through certificates from six
U.S. commercial mortgage-backed securities (CMBS) transactions due
to current and potential interest shortfalls.
"We lowered our ratings on 14 of these classes to 'D (sf)' because
we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The 14 classes that we
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding between one and 15 months," S&P stated. The recurring
interest shortfalls for the certificates are primarily due to one
or more of these factors:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
The lack of servicer advancing for assets where the servicer
has made nonrecoverable advance declarations;
Special servicing fees; and
Interest rate reductions or deferrals resulting from loan
modifications.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. "We
also considered servicer nonrecoverable advance declarations and
special servicing fees that are likely, in our view, to cause
recurring interest shortfalls," S&P stated.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. We primarily considered ASER amounts
based on ARAs calculated from MAI appraisals when deciding which
classes from the affected transactions to downgrade to 'D (sf)'.
This is because ARAs based on a principal balance haircut are
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals," S&P related.
Servicer nonrecoverable advance declarations can prompt shortfalls
due to a lack of debt service advancing, the recovery of
previously made advances deemed nonrecoverable, or the failure to
advance trust expenses when nonrecoverable declarations have been
determined. Trust expenses may include, but are not limited to,
property operating expenses, property taxes, insurance payments,
and legal expenses.
"We detail the 33 downgraded classes from the six U.S. CMBS
transactions," S&P stated.
JPMorgan Chase Commercial Mortgage
Securities Corp. Series 2002-C1
"We lowered our ratings on the class G, H, J, K, L, and M
certificates from JPMorgan Chase Commercial Mortgage Securities
Corp.'s series 2002-C1. We lowered our rating to 'D (sf)' on the
class M certificate to reflect accumulated interest shortfalls
outstanding for eight months, primarily due to ASER amounts
related to all of the assets ($7.7 million; 1.4%) that are
currently with the special servicer, LNR Partners Inc. (LNR), and
special servicing fees. We lowered our ratings on classes G, H, J,
K, and L due to the reduction in liquidity support available to
these classes because of the recurring interest shortfalls. As of
the Sept. 12, 2011, trustee remittance report, ARAs totaling $3.3
million were in effect for three assets and the total reported
ASER amount was $20,738. The reported monthly interest shortfalls
totaled $25,270 and have affected all of the classes subordinate
to and including class M," S&P said.
JPMorgan Chase Commercial Mortgage
Securities Corp. Series 2003-C1
"We lowered our ratings on the class G, H, and J, certificates
from JPMorgan Chase Commercial Mortgage Securities Corp.'s series
2003-C1. We lowered our ratings on the class H and J certificates
to 'D (sf)' to reflect accumulated interest shortfalls outstanding
for 14 months, primarily due to ASER amounts related to one ($14.4
million; 1.8%) of the three assets ($29.7 million; 3.8%) that are
currently with the special servicer, CWCapital Asset Management
LLC (CWCapital), interest not advanced on an asset that the master
servicer has declared nonrecoverable, and special servicing fees.
In addition, according to the Sept. 12, 2011 remittance report,
the master servicer recovered $268,206 of previously made advances
related to the Baywalk asset. The special servicer has indicated
that the Baywalk asset is under contract for sale, which it
expects to occur in the near-term. Based on the most recent
servicer-provided information, our analysis indicates that with
the potential sale of the Baywalk asset, the accumulated interest
shortfalls on class G should be repaid in full. Accordingly, we
downgraded class G to 'CCC- (sf)' to reflect a reduction in
liquidity support available to this class. As of the Sept. 12,
2011, trustee remittance report, ARAs totaling $18.2 million were
in effect for two of the specially serviced assets, and the total
reported ASER amount was $36,110. The reported monthly interest
shortfalls totaled $107,735 and have affected all of the classes
subordinate to and including class G," S&P stated.
JPMorgan Chase Commercial Mortgage
Securities Corp. Series 2004-CICB9
"We lowered our ratings on the class B, C, D, E, F, and G
certificates from JPMorgan Chase Commercial Mortgage Securities
Corp.'s series 2004-CIBC9. We lowered our rating on the class G
certificate to 'D (sf)' to reflect accumulated interest shortfalls
outstanding for 15 months, primarily due to ASER amounts related
to five ($74.5 million; 9.5%) of the 12 assets ($113.3 million;
14.5%) that are currently with the special servicer, C-III Asset
Management LLC (C-III), and special servicing fees. We lowered our
ratings on classes B, C, D, E, and F due to the reduction in
liquidity support available to these classes as a result of the
recurring interest shortfalls. As of the Sept. 12, 2011, trustee
remittance reports, ARAs totaling $38.4 million were in effect for
five of the specially serviced assets, and the total reported ASER
amount was $202,369. The reported monthly interest shortfalls
totaled $227,690 and have affected all of the classes subordinate
to and including class G," S&P related.
JPMorgan Chase Commercial Mortgage
Securities Corp. Series 2004-CIBC10
"We lowered our ratings on the class E, F, G, H, J, and K
certificates from JPMorgan Chase Commercial Mortgage Securities
Corp.'s series 2004-CIBC10. We lowered our ratings on the class G,
H, J, and K certificates to 'D (sf)' to reflect accumulated
interest shortfalls outstanding between two and nine months,
primarily due to ASER amounts related to nine ($157.2 million;
11.5%) of the 12 assets ($188.9 million; 13.8%) that are currently
with the special servicer, LNR, interest not advanced on an asset
that the master servicer has declared nonrecoverable, and special
servicing fees. We lowered our ratings on classes E and F due to
the reduction in liquidity support available to these classes
because of the recurring interest shortfalls. As of the Sept. 12,
2011, trustee remittance report, ARAs totaling $87.0 million were
in effect for 10 of the specially serviced assets, and the total
reported ASER amount was $394,709. The reported monthly interest
shortfalls totaled $495,309 and have affected all of the classes
subordinate to and including class G," S&P stated.
JPMorgan Chase Commercial Mortgage
Securities Trust 2006-LDP7
"We lowered our ratings on the class F, G, H, J, K, and L
certificates from JPMorgan Chase Commercial Mortgage Securities
Trust 2006-LDP7. We lowered our ratings on the class H, J, K, and
L certificates to 'D (sf)' to reflect accumulated interest
shortfalls outstanding between one and 11 months, primarily due to
ASER amounts related to 17 ($276.7 million; 7.8%) of the 29 assets
($388.6 million; 11.0%) that are currently with the special
servicer, LNR, interest not advanced on an asset that the master
servicer has declared nonrecoverable, and special servicing fees.
We downgraded classes F and G due to the reduction in liquidity
support available to these classes because of the recurring
interest shortfalls. As of the Sept. 15, 2011, trustee remittance
report, ARAs totaling $128.7 million were in effect for 22 of the
specially serviced assets, and the total reported ASER amount was
$610,008. The reported monthly interest shortfalls totaled
$720,746 and have affected all of the classes subordinate to and
including class H," S&P stated.
GMAC Commercial Mortgage Securities Inc. Series 2001-C2
"We lowered our ratings on the class C, D, E, F, G, and H
certificates from GMAC Commercial Mortgage Securities Inc.'s
series 2001-C2. We lowered our ratings on the class G and H
certificates to 'D (sf)' to reflect accumulated interest
shortfalls outstanding for two months, primarily due to ASER
amounts related to five ($84.5 million; 46.3%) of the 17 assets
($171.1 million; 93.8%) that are currently with the special
servicer, CWCapital, interest not advanced on an asset that the
master servicer has declared nonrecoverable, and special servicing
fees. In addition, according to the Sept. 15, 2011, remittance
report the master servicer recovered $183,084 of previously made
advances related to the University Court Center and Penzel
Apartments assets. The master servicer previously indicated that
it expected to recover advances totaling $302,000 over the
September 2011 and October 2011 reporting periods, and thus, we
anticipate the remaining recovery to be reflected in the next
remittance report. Our downgrades on classes C, D, E, and F
reflect this expectation, as well as the reduced liquidity support
available to these classes due to the recurring interest
shortfalls. As of the Sept. 15, 2011, trustee remittance report,
ARAs totaling $39.3 million were in effect for 10 of the specially
serviced assets, and the total reported ASER amount was $157,755.
The reported monthly interest shortfalls totaled $250,328 and have
affected all of the classes subordinate to and including class F,"
S&P noted.
Ratings Lowered
JPMorgan Chase Commercial Mortgage Securities Corp. Commercial
mortgage
pass-through certificates series 2002-C1
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
G BB (sf) BBB- (sf) 6.86 0 0
H B+ ( sf) BB+ (sf) 4.71 0 0
J B- (sf) BB (sf) 3.63 0 0
K CCC (sf) BB-(sf) 2.91 0 0
L CCC- (sf) B (sf) 1.48 0 0
M D (sf) B- (sf) 0.76 4,455 38,559
JPMorgan Chase Commercial Mortgage Securities Corp. Commercial
mortgage
pass-through certificates series 2003-C1
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
G CCC- (sf) CCC+ (sf) 3.75 (50,369) 438,584
H D (sf) CCC- (sf) 2.23 63,623 694,807
J D (sf) CCC- (sf) 0.21 67,797 949,156
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial Mortgage Pass-Through Certificates Series 2004-CIBC9
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
B BBB (sf) A (sf) 13.85 0 0
C BB+ (sf) A- (sf) 12.09 0 0
D CCC+ (sf) BBB (sf) 9.45 0 0
E CCC (sf) BB+ (sf) 8.04 0 0
F CCC- (sf) B- (sf) 6.1 0 0
G D (sf) CCC- (sf) 4.86 45,288 183,864
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-CIBC10
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
E BBB (sf) A (sf) 11.43 0 0
F B+ (sf) A- (sf) 9.82 0 0
G D (sf) BBB+ (sf) 7.84 33,936 40,482
H D (sf) BB- (sf) 6.22 105,597 482,850
J D (sf) CCC+ (sf) 4.24 129,357 996,440
K D (sf) CCC- (sf) 3.88 19,179 172,607
JPMorgan Chase Commercial Mortgage Securities Trust
Commercial mortgage pass-through certificates series 2006-LDP7
Reported
Rating Credit interest shortfalls
Class To From ehncmt(%) Current Accumulated
F B- (sf) B+ (sf) 6.05 0 0
G CCC- (sf) B+ (sf) 4.66 0 0
H D (sf) B (sf) 3.54 106,767 106,767
J D (sf) CCC- (sf) 2.29 224,280 373,502
K D (sf) CCC- (sf) 1.89 70,501 195,351
L D (sf) CCC- (sf) 1.45 70,497 755,463
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2001-C2
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
C AA- (sf) AAA (sf) 56.58 0 0
D BBB+ (sf) AA+ (sf) 48.31 0 0
E BB- (sf) BBB+ (sf) 43.23 0 0
F CCC- (sf) BB+ (sf) 34.95 (48,498) 0
G D (sf) CCC (sf) 29.26 (412) 58,668
H D (sf) CCC- (sf) 24.09 61,169 122,259
* S&P Lowers Ratings on 367 Classes of Certificates to 'D'
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 367 classes of mortgage pass-through certificates from 275 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1994 and 2008. "We removed one of these ratings from
CreditWatch with negative implications. In addition, we placed
our ratings on 10 other classes from three of the same
transactions on CreditWatch negative," S&P related.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_Sept23RMBSRatingsList.pdf
"The lowered ratings reflect our assessment of the impact that
principal write-downs had on the affected classes during recent
remittance periods. Prior to the rating actions, 1.09% of these
classes had ratings between 'B- (sf)' and 'BBB (sf)', and 98.91%
had ratings of 'CCC (sf)' or 'CC (sf)'. We placed our ratings on
certain classes on CreditWatch negative if they were within a loan
group that included a class that defaulted from a 'B- (sf)'
rating or higher," S&P related.
Approximately 62.13% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or subprime mortgage
loan collateral. The 367 defaulted classes consist of:
155 classes from Alt-A transactions (42.23% of all defaults);
104 from prime jumbo transactions (28.34%);
73 from subprime transactions (19.89%);
14 from resecuritized real estate mortgage investment conduit
(re-REMIC) transactions;
Eight from reperforming transactions;
Six from risk transfer transactions;
Four from an outside-the-guidelines transaction;
Two from seasoned loans transactions; and
One from a document deficient transaction.
The four classes that defaulted from a rating of 'B- (sf)' or
higher were from transactions backed by prime jumbo or Alt-A
collateral. A combination of subordination, excess spread, and
overcollateralization (where applicable) provide credit
enhancement for all of the transactions.
"We expect to resolve the CreditWatch placements after we complete
our review of the related transactions. Standard & Poor's will
continue to monitor its ratings on securities that experience
principal write-downs, and it will adjust its ratings as it
considers appropriate in accordance with its criteria," S&P added.
* S&P Lowers Ratings on 10 Classes of Notes to 'D'
--------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 10
classes of notes from five U.S. CDOs to 'D (sf)' following
interest shortfalls on nondeferrable classes of notes.
S&P lowered four ratings from one CDO to 'D (sf)' following the
transaction's liquidation after an event of default.
At the same time, S&P affirmed its ratings on 27 classes of notes
from five of the CDOs.
S&P lowered its ratings on 14 classes of notes from six U.S. CDO
transactions. "In addition, we affirmed our ratings on 27 classes
of notes from five of the CDOs, and we are withdrawing our rating
on one class of notes," S&P stated.
"We lowered our ratings on tranches from five of the CDO
transactions because of interest shortfalls of nondeferrable
tranches. We lowered our rating on tranches from the other CDO
following principal shortfalls on the affected notes after
liquidation," S&P noted.
Four of the six transactions whose notes are being downgraded are
backed predominantly by residential mortgage-backed securities
(RMBS), one is a CDO backed by CDOs, which in turn is backed by
RMBS, and the final transaction is a CDO backed by trust preferred
securities issued predominantly by real estate investment trusts
(REITs).
Cairn Mezz ABS CDO III Ltd is a mezzanine SF CDO collateralized in
large part by RMBS. "We lowered the rating on the class A1-VF
notes to 'D (sf)' due to an interest shortfall," S&P said.
GSC CDO 2007-1r Ltd. is a mezzanine SF CDO collateralized in large
part by RMBS. "We lowered the rating on the class A-1LA notes to
'D (sf)' due to an interest shortfall," S&P said.
Farmington Finance Ltd. is a mezzanine SF CDO collateralized in
large part by RMBS. "We lowered the ratings on the class term,
term loan, series A, and series D notes to 'D (sf)' following the
liquidation of the portfolio collateral. The proceeds from the
liquidation of the collateral were insufficient to pay the
outstanding principal balance on any of these notes in full. In
addition, we withdrew the rating on the class series C notes
following their earlier redemption," S&P related.
Lenox CDO Ltd. is a CDO backed by tranches of CDOs, which in turn
are backed by RMBS securities. "We lowered the ratings on the
class B-1, B-2, and C notes to 'D (sf)' following an interest
shortfall," S&P said.
Summer Street 2004-1, Ltd. is a cash flow CDO collateralized in
large part by RMBS. "We lowered the ratings on the class A-2 and
A-3 notes to 'D (sf)' following an interest shortfall," S&P
related.
Taberna Preferred Funding VII Ltd. is a cash flow CDO backed by
trust preferred securities. "We lowered the class A-1LA, A-1LB,
and A-2LA notes to 'D (sf)' due to an interest shortfall," S&P
said.
"Additionally, the rating affirmations on 27 classes of notes
reflect our view that the credit support available is commensurate
with the current ratings," S&P stated.
Ratings Lowered
Cairn Mezz ABS CDO III Ltd.
Rating
Class To From
A1-VF D (sf) CC (sf)
GSC CDO 2007-1r Ltd.
Rating
Class To From
A1-LA D (sf) CC (sf)
Farmington Finance Ltd.
Rating
Class To From
Term Loan D (sf) CCC- (sf)
Term D (sf) CCC- (sf)
Series A D (sf) CC (sf)
Series D D (sf) CC (sf)
Lenox CDO Ltd.
Rating
Class To From
B-1 D (sf) CC (sf)
B-2 D (sf) CC (sf)
C D (sf) CC (sf)
Summer Street 2004-1 Ltd.
Rating
Class To From
A-2 D (sf) CC (sf)
A-3 D (sf) CC (sf)
Taberna Preferred Funding VII Ltd.
Rating
Class To From
A-1LA D (sf) CCC- (sf)
A-1LB D (sf) CC (sf)
A-2LA D (sf) CC (sf)
Ratings Affirmed
Cairn Mezz ABS CDO III Ltd.
Class Rating
C1 CC (sf)
C2 CC (sf)
C3 CC (sf)
D1 CC (sf)
D2 CC (sf)
D3 CC (sf)
E CC (sf)
GSC CDO 2007-1r Ltd.
Class Rating
A-3LA CC (sf)
B-1L CC (sf)
B-2L CC (sf)
B-3L CC (sf)
C CC (sf)
Lenox CDO Ltd.
Class Rating
A-1J CC (sf)
A-1S CCC- (sf)
A-2 CC (sf)
D CC (sf)
E-1 CC (sf)
E-2 CC (sf)
Summer Street 2004-1 Ltd.
Class Rating
A-1 CC (sf)
B CC (sf)
C CC (sf)
D Income CC (sf)
Taberna Preferred Funding VII Ltd.
Class Rating
A-2LB CC (sf)
A-3L CC (sf)
B-1L CC (sf)
B-2L CC (sf)
C-1 Combo CC (sf)
Rating Withdrawn
Farmington Finance Ltd.
Rating
Class To From
Series C NR CC (sf)
Other Ratings Outstanding
Cairn Mezz ABS CDO III Ltd.
Class Rating
A2A D (sf)
A2B D (sf)
B1 D (sf)
B2 D (sf)
GSC CDO 2007-1r Ltd.
Class Rating
A-1LB D (sf)
A-1LC D (sf)
A-2LA D (sf)
NR -- Not rated.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise
Marie Varquez, Philline Reluya, Ronald C. Sy, Joel Anthony G.
Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Carlo Fernandez,
Christopher G. Patalinghug, and Peter A. Chapman, Editors.
Copyright 2011. All rights reserved. ISSN: 1520-9474.
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 ***