/raid1/www/Hosts/bankrupt/TCR_Public/111016.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 16, 2011, Vol. 15, No. 287
Headlines
ACCESS GROUP: Moody's Lowers Ratings of 56 notes in 14 Loan Deals
AJAX TWO: Moody's Lowers Class C Notes Rating to 'Caa3'
AMERICAN CREDIT: S&P Rates Class D Asset-Backed Notes 'BB'
ARES VIII: S&P Puts 'BB' Ratings on 3 Tranches on Watch Positive
ATRIUM VII: S&P Gives 'BB' Rating on Class F Floating-Rate Notes
BANC OF AMERICA: S&P Lowers Class K Rating to 'D' on Shortfall
BEAR STEARNS: DBRS Confirms Classes K, L & M Rating at 'C'
CARBON CAPITAL: Moody's Affirms 'B3' Rating of Class C Notes
CIFC FUNDING: Moody's Raises Rating of Class B-1L Notes to 'Ba1'
CINCINATTI BELL: Moody's Maintains 'B1' Corporate Family Rating
CITIGROUP COMMERCIAL: S&P Withdraws 'CCC-' 2 Cert. Classes Ratings
COMM 2004-LNB2: DBRS Confirms Class H Rating at 'B'
COMM 2005-C6: S&P Lowers Rating on Class G Certificate to 'D'
CORTS TRUST: Moody's Reviews for Upgrade Rating of Certificates
CREDIT SUISSE: Fitch Affirms 'B-sf' Rating on Class L Notes
CWABS: Moody's Lowers Ratings of $27-Mil. RMBS Transactions
CWCAPITAL COBALT: Moody's Affirms Rating of C. A-1 Notes at Caa3
DIVERSIFIED GLOBAL: Moody's Upgrades Class C Notes Rating to 'B3'
EASTLAND CLO: Moody's Raises Rating of Class C Notes to 'B1'
FFCA 1999-2: Moody's Raises Rating of Class A-1c Notes to 'Ba2'
FIRST INVESTORS: DBRS Puts 'BB' Rating on Class E
FLEET LEASING: Moody's Says No Rating Impact From Prog Amendments
FORD MOTOR: Moody's Reviews 'Ba3' Rating on Class A-1 Notes
FRANKLIN CLO: S&P Raises Rating on Class E Notes to 'B+'
GE COMM 2005-C3: Fitch Junks Ratings on Six Certificate Classes
GE COMM 2006-C1: Fitch Junks Ratings on Six Certificate Classes
GOLDENTREE CAPITAL: Moody's Raises Rating of Cl. E Notes to 'Ba2'
GS MORTGAGE: S&P Lowers Rating on Class E Certificate to 'D'
GSC INVESTMENT: Moody's Raises Rating of $16-Mil. Notes to 'Ba1'
GULF STREAM-COMPASS: S&P Raises Rating on Class D Notes to 'B+'
LB-UBS 2005-C5: S&P Lowers Ratings on 9 Classes of Certs. to 'D'
LEAF CAPITAL: Moody's Assigns (P)Ba1 Rating to Class E-1 Notes
MERRILL LYNCH: S&P Lowers Ratings on 5 Classes of Certs. to 'D'
ML-CFC COMMERCIAL: S&P Cuts Ratings on 2 Classes of Certs. to 'D'
MLFA 2007-CANADA: Moody's Affirms Cl. F Notes Rating at 'Ba1'
MLFA 2007-CANADA: Moody's Says Debt Buy Doesn't Affect Ba2 Rating
MSC 2011-C3: DBRS Puts 'B' Rating on Class G Certificates
MSC 2011-C3: Moody's Assigns Definitive Ba2 Rating to Cl. F Notes
ONE GREENPOINT: S&P Raises Rating on Class I-A-3 From 'D' to 'CC'
PPLUS LMG-3: S&P Raises Ratings on 2 Classes of Certs. to 'BB'
PPLUS LMG-4: S&P Raises Ratings on 2 Classes of Certs. to 'BB'
PPLUS TRUST: Moody's Reviews Ba3 Rating on $40-Mil. Certificates
PREFERREDPLUS TRUST: Moody's Reviews Ba3 Rating; Possible Upgrade
PREFERREDPLUS TRUST: S&P Raises Rating on $31-Mil. Certs. to 'BB'
PREFERREDPLUS TRUST: S&P Raises Rating on $125-Mil. Certs. to 'BB'
PUBLIC STEERS: Moody's Reviews 'Ba3' Rating for Possible Upgrade
SCHOONER TRUST: DBRS Confirms 'BB' Rating on Class G Certs.
SCHOONER TRUST: DBRS Confirms Class F Rating at 'BB'
SEAWALL SPC: Moody's Affirms Caa1 Rating of Series 2008 Notes
SIGNATURE 7: Moody's Raises Rating of Class C Notes to 'Ba3'
SORIN REAL ESTATE: Moody's Lowers Rating of Class A1 Notes to B2
STRATA 2005-3: Moody's Assigns 'Ba2' Rating to US$12-Mil. Notes
TRUST CERTIICATES: Moody's Reviews Ba3 Rating of Class A-1 Notes
* S&P Puts 'BB-' Ratings on 8 Ford-Related Transactions on Watch
* S&P Cuts Ratings on 1,643 Tranches from 420 U.S. CDOs to 'D'
* S&P Lowers Ratings on 8 Classes of Certificates to 'D'
*********
ACCESS GROUP: Moody's Lowers Ratings of 56 notes in 14 Loan Deals
-----------------------------------------------------------------
Moody's Investors Service downgraded 56 classes of notes in 14
student loan securitizations sponsored, serviced and administered
by Access Group, Inc., a not-for-profit entity. Moody's had placed
these transactions on review for downgrade on April 14, 2011, when
it introduced new rating guidance for assessing operational risk
with the publication of "Global Structured Finance Operational
Risk Guidelines: Moody's Approach to Analyzing Performance
Disruption Risk." Moody's also downgraded the subordinate notes
from three transactions because of deterioration in collateral
performance. Loans originated under the Federal Family Education
Loan Program (FFELP) back 7 of the affected transactions, private
credit student loans that are not guaranteed or reinsured by the
U.S. government back 6 of the transactions, and a mixed pool of
private credit and FFELP student loans backs one transaction,
Access Group 2001.
RATINGS RATIONALE
The downgrades reflect the lack of mitigants to loan servicing or
payment disruption risk in the transactions. Access Group, Inc.
acts as both administrator and primary servicer responsible for
collecting on the underlying loans.
These transactions have no back-up servicer, back-up administrator
arrangement or third party in place to facilitate a servicing
transfer. The lack of such back-up arrangements increases the risk
of deterioration in the collateral performance and could lead to a
payment default in the event that Access Group is no longer able
to administer these transactions and service the underlying
collateral of these transactions. Moody's now caps the ratings of
transactions exposed to such risk at Aa3(sf) for FFELP student
loan-backed transactions and at Baa1(sf) for private student loan-
backed transactions.
Moody's downgraded the notes issued by Access Group 2005-A and
2005-B to Baa2 (sf) because, in addition to the lack of a back-up
servicer and administrator, both trusts benefit from a basis risk
swap, which could be terminated and reduce excess spread generated
by the trusts if non-performance of the servicer or administrator
caused a payment disruption.
Moody's downgraded the subordinate notes from Access Group 2002-A,
2003-A and 2004-A to B2 (sf), Ba2 (sf) and Baa2 (sf) primarily
because of deterioration in collateral performance. Despite the
significant seasoning of the underlying collateral in these
transactions, delinquencies and annualized defaults have remained
elevated relative to the pre-2008 levels, causing Moody's to
revise its expected lifetime net losses to 12% for Access Group
2002-A, 11.2% for Access Group 2003-A and 11.2% for 2004-A. In
addition, because a large proportion of these transactions are
auction rate securities, the downgrades of the senior notes will
lead to an increase in their coupon rates. Auction rate securities
represent approximately 90%, 89% and 42% of the total outstanding
notes in the 2002-A, 2003-A and 2004-A transactions, respectively.
Following the dislocation of the auction rate market in the
beginning of 2008, the coupon rates on these notes have been reset
to a "failed-auction" rate, which depends (among other things) on
the credit ratings of the notes. Because Moody's is downgrading
the senior notes to Baa1 (sf), their coupon rates will increase to
T-bill plus 1.75% from T-bill plus 1.25%.
The principal methodology used in rating actions on private
student loan-backed securitizations was "Moody's Approach to
Rating U.S. Private Student Loan-Backed Securities", published on
January 6th, 2010 and is available at www.moodys.com in the Rating
Methodologies sub-directory under the Research & Ratings tab.
Other methodologies and factors that may have been considered in
the process of rating this issue can also be found in the Rating
Methodologies sub-directory on Moody's website.
In monitoring securitizations backed by FFELP student loans,
Moody's assesses both liquidity and credit risks of the
transactions. The factors affecting liquidity and credit
performance of a transaction include defaults, guarantor reject
rates, voluntary prepayments, basis risk, borrower benefit
utilization, and the number of borrowers in non-repayment status,
such as deferment and forbearance. As a part of Moody's analysis,
Moody's examines historical FFELP static pool performance data. To
the extent that performance data is available from a specific
issuer, that information is used to arrive at Moody's cash flow
assumptions for that particular issuer. If an issuer's data are
either limited or unavailable, Moody's assumptions are based on
FFELP performance data received from other participants.
Historical interest rates and spreads are also analyzed to
evaluate the basis risk between the interest rate to which the
notes are indexed and the interest rate to which the FFELP loans
are indexed. This historical data is used to derive at expected,
or most likely, outcome for each variable. These expected
defaults, prepayments, interest rates, and other assumptions are
then stressed in accordance with the rating categories requested
by the issuer. Factors that influence the stress levels include
the availability of relevant issuer-specific performance data, the
seasoning of the loans, collateral concentrations (school types,
loan programs), the financial strength and stability of the
servicer, and the general economic environment.
These stressed assumptions are then incorporated into a cash flow
model that takes into account the FFELP loan characteristics as
well as structural (e.g., starting parity, cash flow waterfall,
bond tranching, etc.) and pricing features of the transaction. The
cash flow model outputs are analyzed to determine whether the
transaction as structured by the issuer has sufficient credit
protection to pay off the notes by their legal final maturity
dates. In certain circumstances where cash flow runs are not
available, Moody's relies on model results from similar
transactions. Moody's also analyzes the liquidity risk of the
transaction given that borrowers can be in non-repayment status
while in school, grace, deferment or forbearance status, and the
transaction can experience delays in default reimbursement and
other payments. Basis risk is the primary credit risk in FFELP
student loan ABS. Moody's Aaa (sf) stressed basis risk assumption
between LIBOR and the CP Rate is 25 basis points with certain
periods in which the spread increases to 150 basis points. This is
based on an analysis of historical spreads between the two
indices. For additional information, please see "Methodology
Update on Basis Risk in FFELP Student Loan-Backed Securitization,"
on moodys.com. Other methodologies and factors that may have been
considered in the process of rating this issue can also be found
in the Rating Methodologies sub-directory on Moody's website.
Moody's also took into account its Rating Implementation Guidance
"Global Structured Finance Operational Risk Guidelines: Moody's
Approach to Analyzing Performance Disruption Risk" published in
April 2011.
RATINGS:
Complete actions are:
Issuer: Access Group Inc. - Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-2
2005-2-A-1, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2005-2-A-2, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2005-2-A-3, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2005-2-A-4, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Access Group Inc. Federal Student Loan Asset-Backed Notes,
(2002 Trust Indenture)
Senior Ser. 2002-1 Cl. A-3, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2002-1 Cl. A-4, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2002-1 Cl. A-2, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-2, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-3, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-4, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003 Cl. A-5, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-6, Downgraded to Aa3 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-1A-1, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-1A-2, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-1A-3, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-1A-4, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-1A-5, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Access Group Inc. Private Student Loan asset-Backed
Floating Rate Notes, Series 2005-B
2005-B Cl. A-2, Downgraded to Baa2 (sf); previously on Apr 14,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-B Cl. A-3, Downgraded to Baa2 (sf); previously on Apr 14,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-B Cl. B-2, Downgraded to Baa2 (sf); previously on Apr 14,
2011 A3 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group Inc., Series 2006-1
2006-1-A-2, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2006-1-A-3, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2006-1-A-1, Withdrawn (sf); previously on Apr 14, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-1
2005-1-A-1, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2005-1-A-2, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2005-1-A-3, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2005-1-A-4, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Private Student Loan Asset-Backed
Floating Rate Notes, Series 2007-A
2007-A-A-2, Downgraded to Baa1 (sf); previously on Apr 14, 2011
Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-A-3, Downgraded to Baa1 (sf); previously on Apr 14, 2011
Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-B, Downgraded to Baa1 (sf); previously on Apr 14, 2011 A3
(sf) Placed Under Review for Possible Downgrade
2007-A-A-1, Withdrawn (sf); previously on Apr 14, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2001
Cl. I A-2 Group I, Downgraded to Aa3 (sf); previously on Apr 14,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II A-1 Group II, Downgraded to Baa1 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to Baa1 (sf); previously on Apr 14, 2011 A3 (sf)
Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2002-A
Senior Ser. 2002-A Cl. A-1, Downgraded to Baa1 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Subordinate 2002-A Cl. B, Downgraded to B2 (sf); previously on
Apr 14, 2011 A2 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2004-2
2004-2-A-1, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-2-A-2, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-2-A-3, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-2-A-4, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2004-2-A-5, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2007-1
2007-A-2, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2007-A-3, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2007-A-4, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2007-A-5, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aaa
(sf) Placed Under Review for Possible Downgrade
2007-B, Downgraded to Aa3 (sf); previously on Apr 14, 2011 Aa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2008-1
2008-1 Cl. A, Downgraded to Aa3 (sf); previously on Apr 14, 2011
Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc., Private Student Loan Asset-Backed
Floating Rate Notes, Series 2005-A
2005-A-A-2, Downgraded to Baa2 (sf); previously on Apr 14, 2011
Aaa (sf) Placed Under Review for Possible Downgrade
2005-A-A-3, Downgraded to Baa2 (sf); previously on Apr 14, 2011
Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc., Private Student Loan Asset-Backed
Notes, Series 2004-A
A-2, Downgraded to Baa1 (sf); previously on Apr 14, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
A-3, Downgraded to Baa1 (sf); previously on Apr 14, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
A-4, Downgraded to Baa1 (sf); previously on Apr 14, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
B-1, Downgraded to Baa2 (sf); previously on Apr 14, 2011 A3 (sf)
Placed Under Review for Possible Downgrade
B-2, Downgraded to Baa2 (sf); previously on Apr 14, 2011 A3 (sf)
Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc., Series 2003-A
Senior Ser. 2003-A Cl. A-1, Downgraded to Baa1 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-A Cl. A-2, Downgraded to Baa1 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-A Cl A-3, Downgraded to Baa1 (sf); previously on
Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Senior Ser. 2003-A Cl. B, Downgraded to Ba2 (sf); previously on
Feb 24, 2011 A2 (sf) Placed Under Review for Possible Downgrade
AJAX TWO: Moody's Lowers Class C Notes Rating to 'Caa3'
-------------------------------------------------------
Moody's has affirmed the ratings of two and downgraded the ratings
of one classes of Notes issued by Ajax Two Limited. The downgrade
is to due to deterioration in the underlying collateral as
evidenced by the Moody's weighted average rating factor (WARF).
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 and
ReRemic) transactions.
Class A-2A Floating Rate Notes Due 2032, Affirmed at Aaa (sf);
previously on Nov 11, 2010 Upgraded to Aaa (sf)
Class B Floating Rate Deferrable Interest Notes, Due 2032,
Affirmed at A1 (sf); previously on Nov 11, 2010 Upgraded to A1
(sf)
Class C Floating Rate Notes, Due 2032, Downgraded to Caa3 (sf);
previously on Feb 24, 2009 Downgraded to B3 (sf)
RATINGS RATIONALE
Ajax Two Limited is a static cash CRE CDO transaction backed
by a portfolio of commercial mortgage backed securities (CMBS)
(50.7% of the pool balance), asset backed securities consisting
of home equity loans and other primarily subprime residential
mortgage-backed securities (ABS)(24.0%), real estate investment
trust (REIT) securities (17.0%) and multi-sector collateralized
debt obligation (CDO) securities (8.4%). As of the August 30,
2011 Trustee report, the aggregate Note balance of the
transaction, including preferred shares and Combination Notes,
is $102.3 million from $399.3 million at issuance, with the
paydown now directed to the Class A-2A and A-2B Notes, as a
result of regular amortization of the underlying collateral.
There are four assets with a par balance of $8.9 million (8.7% of
the current pool balance) that are considered Defaulted Securities
as of the August 30, 2011 Trustee report. All of these assets
(100% of the defaulted balance) are ABS. Defaulted Securities that
are not CMBS are defined as assets which are 30 or more days
delinquent in their debt service payment. While there have been no
realized losses to date, Moody's expects significant losses to
occur from the Defaulted Securities 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 2,905 compared to 1,388 at last review. The
distribution of current ratings and credit estimates is: Aaa-Aa3
(33.2% compared to 40.7% at last review), A1-A3 (8.8% compared to
10.3% at last review), Baa1-Baa3 (20.8% compared to 20.7% at last
review), Ba1-Ba3 (7.6% compared to 11.2% at last review), B1-B3
(0.0% compared to 6.0% at last review), and Caa1-C (29.5% compared
to 11.0% 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 2.9 years compared
to 2.7 at last review. The longer WAL is due to amortization of
shorter WAL collateral in the pool since last full 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
35.5% compared to 44.7% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 4.4% compared to 18.0% 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
36% to 26% or up to 46% would result in average rating movement on
the rated tranches of 0 to 2 notches downward and 0 to 2 notches
upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and 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 is "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.
AMERICAN CREDIT: S&P Rates Class D Asset-Backed Notes 'BB'
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to American Credit Acceptance Receivables Trust 2011-1's
$100.00 million asset-backed notes.
The note issuance is an asset-backed securitization backed by
subprime auto loan receivables.
The preliminary ratings are based on information as of Oct. 11,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The availability of approximately 38.82%, 36.43%, 30.20%, and
25.41% of credit support for the class A-3, B, C, and D notes
based on break-even stressed cash flow scenarios (including
excess spread), which provide approximately 2.0x, 1.85x,
1.50x, and 1.25x S&P's expected net loss range of 19.00%-
19.50% for the class A-3, B, C, and D notes.
"The timely interest and principal payments made to the
preliminary rated notes by the assumed legal final maturity
dates under our stressed cash flow modeling scenarios that we
believe are appropriate for the assigned preliminary ratings,"
S&P said.
"Our expectation that under a moderate, or 'BBB' stress
scenario, the ratings on the class A-3 and B notes would
remain within one rating category of our preliminary 'A+ (sf)'
and 'A (sf)' ratings," S&P related.
The collateral characteristics of the subprime automobile
loans securitized in this transaction, including the 10 months
of seasoning.
The backup servicing arrangement with Wells Fargo Bank N.A.
(Wells Fargo).
The transaction's payment and credit enhancement structures,
which include performance triggers; and
The transaction's legal structure.
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 of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111193.pdf
Preliminary Ratings Assigned
American Credit Acceptance Receivables Trust 2011-1
Class Rating Type Interest Amount
rate (mil. $)(i)
A-1 A+ (sf) Senior Fixed 32.20
A-2 A+ (sf) Senior Fixed 40.20
A-3 A+ (sf) Senior Fixed 7.40
B A (sf) Subordinate Fixed 3.40
C BBB (sf) Subordinate Fixed 9.27
D BB (sf) Subordinate Fixed 7.53
ARES VIII: S&P Puts 'BB' Ratings on 3 Tranches on Watch Positive
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 74
tranches from 18 U.S. collateralized debt obligation (CDO)
transactions on CreditWatch with positive implications. "At the
same time, we placed our ratings on 58 tranches from nine U.S. CDO
transactions on CreditWatch with negative implications," S&P said.
The tranches with ratings placed on CreditWatch positive are
from CDO transactions backed by securities issued by corporate
obligors. These tranches had an original issuance amount of
$3.532 billion.
Most of the CreditWatch positive placements affect collateralized
loan obligations (CLOs) and reflect the continued improvement in
the credit quality of the obligors whose loans collateralize the
rated notes. These improvements mainly reflect an increase in
upgrades to the speculative-grade obligors whose loans
collateralize the rated notes and a steep reduction in default
rates. Based on a recent Standard & Poor's Leveraged Commentary &
Data (LCD) report, there was only one default from May through the
end of September in the S&P LSTA Index. For the month of
September, the loan default rate fell to a 45-month low of 0.32%
by principal amount and 0.90% by number of loans, from 0.33% and
1.05% in August. The 12-month trailing default rate for U.S.
speculative-grade obligors declined to 1.94% in September from
2.09% in August.
"We placed our ratings on CreditWatch positive to reflect these
improvements, as well as our view that these tranches may be able
to support higher ratings," S&P related.
"We placed our ratings on 58 tranches from nine transactions on
CreditWatch with negative implications due to deterioration in the
credit quality of each transaction's portfolio. Eight of these
transactions are CDOs backed by commercial mortgage-backed
securities (CMBS), and one is a mezzanine structured finance (SF)
CDO of asset-backed securities (ABS), which is collateralized in
large part by mezzanine tranches of U.S. residential mortgage-
backed securities (RMBS) and other SF securities. The CreditWatch
negative placements reflect the deterioration in the credit
quality of the securities held by these transactions. The tranches
with ratings placed on CreditWatch negative had an original
issuance amount of $2.676 billion," S&P related.
"We will resolve the CreditWatch placements after we complete a
comprehensive cash flow analysis and committee review for each of
the affected transactions. We expect to resolve these CreditWatch
placements within 90 days. We will continue to monitor the CDO
transactions we rate and take rating actions, including
CreditWatch placements, as we deem appropriate," S&P stated.
Ratings Placed On Creditwatch Positive
Ares VIII CLO Ltd.
Rating
Class To From
B-1 A+ (sf)/Watch Pos A+ (sf)
B-2 A+ (sf)/Watch Pos A+ (sf)
C-1 BB+ (sf)/Watch Pos BB+ (sf)
C-2 BB+ (sf)/Watch Pos BB+ (sf)
D-1 BB (sf)/Watch Pos BB (sf)
D-2 BB (sf)/Watch Pos BB (sf)
D-3 BB (sf)/Watch Pos BB (sf)
Atrium II
Rating
Class To From
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
B A (sf)/Watch Pos A (sf)
Aurum CLO 2002-1 Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A (sf)/Watch Pos A (sf)
D-1 B (sf)/Watch Pos B (sf)
D-2 B (sf)/Watch Pos B (sf)
Babson CLO Ltd. 2004-I
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2A AA+ (sf)/Watch Pos AA+ (sf)
A-2B AA+ (sf)/Watch Pos AA+ (sf)
A-2Bv AA+ (sf)/Watch Pos AA+ (sf)
Babson CLO Ltd. 2004-II
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2A AA+ (sf)/Watch Pos AA+ (sf)
A-2Av AA+ (sf)/Watch Pos AA+ (sf)
A-2B AA+ (sf)/Watch Pos AA+ (sf)
A-2C AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C-1 BBB+ (sf)/Watch Pos BBB+ (sf)
C-2 BBB+ (sf)/Watch Pos BBB+ (sf)
D-1 BB+ (sf)/Watch Pos BB+ (sf)
D-2 BB+ (sf)/Watch Pos BB+ (sf)
Canyon Capital CLO 2004-1 Ltd.
Rating
Class To From
A-1-A AA+ (sf)/Watch Pos AA+ (sf)
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2-A AA+ (sf)/Watch Pos AA+ (sf)
A-2-B AA+ (sf)/Watch Pos AA+ (sf)
Carlyle High Yield Partners VI Ltd.
Rating
Class To From
A-1 AA (sf)/Watch Pos AA (sf)
A-3 AA (sf)/Watch Pos AA (sf)
Copper River CLO Ltd.
Rating
Class To From
A-1A A (sf)/Watch Pos A (sf)
A-1B A (sf)/Watch Pos A (sf)
A-2A A+ (sf)/Watch Pos A+ (sf)
A-2B A (sf)/Watch Pos A (sf)
B BBB- (sf)/Watch Pos BBB- (sf)
C BB (sf)/Watch Pos BB (sf)
Foxe Basin CLO 2003 Ltd.
Rating
Class To From
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B BBB (sf)/Watch Pos BBB (sf)
Granite Ventures II Ltd.
Rating
Class To From
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
Knightsbridge CLO 2008-1 Ltd.
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
Landmark III CDO Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA- (sf)/Watch Pos AA- (sf)
A-1LB AA+ (sf)/Watch Pos AA+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
Landmark IV CDO Ltd.
Rating
Class To From
A-2L A+ (sf)/Watch Pos A+ (sf)
A-3L BBB+ (sf)/Watch Pos BBB+ (sf)
B-1L BB+ (sf)/Watch Pos BB+ (sf)
B-2L CCC+ (sf)/Watch Pos CCC+ (sf)
Maps CLO Fund I LLC
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D-1 BB+ (sf)/Watch Pos BB+ (sf)
D-2 BB+ (sf)/Watch Pos BB+ (sf)
E B+ (sf)/Watch Pos B+ (sf)
Market Square CLO Ltd.
Rating
Class To From
A AA (sf)/Watch Pos AA (sf)
B BBB (sf)/Watch Pos BBB (sf)
C BB (sf)/Watch Pos BB (sf)
D CCC+ (sf)/Watch Pos CCC+ (sf)
Octagon Investment Partners VII Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A- (sf)/Watch Pos A- (sf)
B-1L BBB- (sf)/Watch Pos BBB- (sf)
B-2L BB (sf)/Watch Pos BB (sf)
Symphony CLO IV Ltd.
Rating
Class To From
A A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D BB- (sf)/Watch Pos BB- (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Valeo Investment Grade CDO II Ltd.
Rating
Class To From
A-2 BB+ (sf)/Watch Pos BB+ (sf)
RATINGS PLACED ON CREDITWATCH NEGATIVE
Anthracite CDO I Ltd.
Rating
Class To From
C AA (sf)/Watch Neg AA (sf)
C-FL AA (sf)/Watch Neg AA (sf)
D A- (sf)/Watch Neg A- (sf)
D-FL A- (sf)/Watch Neg A- (sf)
E BBB- (sf)/Watch Neg BBB- (sf)
E-FL BBB- (sf)/Watch Neg BBB- (sf)
F B- (sf)/Watch Neg B- (sf)
Anthracite CDO III Ltd.
Rating
Class To From
A A+ (sf)/Watch Neg A+ (sf)
BFL BBB+ (sf)/Watch Neg BBB+ (sf)
BFX BBB+ (sf)/Watch Neg BBB+ (sf)
CFL BB+ (sf)/Watch Neg BB+ (sf)
CFX BB+ (sf)/Watch Neg BB+ (sf)
DFL B+ (sf)/Watch Neg B+ (sf)
DFX B+ (sf)/Watch Neg B+ (sf)
EFL CCC- (sf)/Watch Neg CCC- (sf)
EFX CCC- (sf)/Watch Neg CCC- (sf)
Crest 2002-1 Ltd.
Rating
Class To From
B-1 B+ (sf)/Watch Neg B+ (sf)
B-2 B+ (sf)/Watch Neg B+ (sf)
Crest Exeter Street Solar 2004-1 Ltd.
Rating
Class To From
A-1 AA- (sf)/Watch Neg AA- (sf)
A-2 AA- (sf)/Watch Neg AA- (sf)
B-1 A (sf)/Watch Neg A (sf)
B-2 A (sf)/Watch Neg A (sf)
C-1 BBB- (sf)/Watch Neg BBB- (sf)
C-2 BBB- (sf)/Watch Neg BBB- (sf)
D-1 B (sf)/Watch Neg B (sf)
D-2 B (sf)/Watch Neg B (sf)
G-Star 2002-2 Ltd.
Rating
Class To From
A-3 AA (sf)/Watch Neg AA (sf)
BFL BBB- (sf)/Watch Neg BBB- (sf)
BFX BBB- (sf)/Watch Neg BBB- (sf)
C BB- (sf)/Watch Neg BB- (sf)
N-Star Real Estate CDO II Ltd.
Rating
Class To From
A-1 AAA (sf)/Watch Neg AAA (sf)
A-2A AAA (sf)/Watch Neg AAA (sf)
A-2B AAA (sf)/Watch Neg AAA (sf)
B-1 AA+ (sf)/Watch Neg AA+ (sf)
B-2 AA (sf)/Watch Neg AA (sf)
C-1 A (sf)/Watch Neg A (sf)
C-2A BBB- (sf)/Watch Neg BBB- (sf)
C-2B BBB- (sf)/Watch Neg BBB- (sf)
D CCC+ (sf)/Watch Neg CCC+ (sf)
N-Star Real Estate CDO III Ltd.
Rating
Class To From
A-1 A- (sf)/Watch Neg A- (sf)
A-2A BBB (sf)/Watch Neg BBB (sf)
A-2B BBB (sf)/Watch Neg BBB (sf)
B BB+ (sf)/Watch Neg BB+ (sf)
C-1A BB- (sf)/Watch Neg BB- (sf)
C-1B BB- (sf)/Watch Neg BB- (sf)
C-2A B (sf)/Watch Neg B (sf)
C-2B B (sf)/Watch Neg B (sf)
D CCC+ (sf)/Watch Neg CCC+ (sf)
N-Star Real Estate CDO V Ltd.
Rating
Class To From
A-1 BBB (sf)/Watch Neg BBB (sf)
A-2 BB+ (sf)/Watch Neg BB+ (sf)
B B+ (sf)/Watch Neg B+ (sf)
C B- (sf)/Watch Neg B- (sf)
D CCC+ (sf)/Watch Neg CCC+ (sf)
E CCC (sf)/Watch Neg CCC (sf)
F CCC- (sf)/Watch Neg CCC- (sf)
Palisades CDO Ltd.
Rating
Class To From
A-1A BB (sf)/Watch Neg BB (sf)
A-1B BB (sf)/Watch Neg BB (sf)
A-2 CCC- (sf)/Watch Neg CCC- (sf)
ATRIUM VII: S&P Gives 'BB' Rating on Class F Floating-Rate Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Atrium VII/Atrium VII LLC's up to $365.5 million
floating-rate notes.
The note issuance is a CLO securitization backed by a revolving
pool consisting primarily of broadly syndicated senior secured
loans.
The preliminary ratings are based on information as of Oct. 12,
2011. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria (see "Update To
Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs," published Sept. 17, 2009).
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior secured
term loans.
The asset manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3584% to 12.5332%," 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.
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 of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at
http://standardandpoorsdisclosure-17g7.com/1111194.pdf
Preliminary Ratings Assigned
Atrium VII/Atrium VII LLC
Class Rating Amount
(mil. $)(i)
A AAA (sf) 253.0
B AA (sf) 41.0
C (deferrable) A (sf) 33.0
D (deferrable) BBB (sf) 20.0
E (deferrable) BB+ (sf) 8.5
F (deferrable)(i) BB (sf) Up to 10.0
Subordinated notes NR 41.6
(i)The class F notes are exchangeable with the senior notional
amount of the senior preferred shares, which are pari passu with
class F. NR--Not rated.
N/A -- Not applicable.
BANC OF AMERICA: S&P Lowers Class K Rating to 'D' on Shortfall
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on nine
classes of U.S. commercial mortgage-backed securities (CMBS) from
Banc of America Commercial Mortgage Inc.'s series 2004-6. "In
addition, we affirmed our ratings on seven other classes from the
same transaction. We also withdrew our rating on one additional
class, which paid off in full," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. CMBS conduit/fusion criteria. Our
analysis included a review of the credit characteristics of all
of the loans in the pool, the transaction structure, and the
liquidity available to the trust. The downgrades reflect a
decline in the reported financial performance of several of the
top 10 loans, as well as credit support erosion that we anticipate
will occur upon the resolution of two ($8.7 million; 1.2%) of the
transaction's five specially serviced loans ($100.7 million;
14.5%)," S&P related.
"The downgrades further reflect our analysis of interest
shortfalls that have affected the trust and consequently, reduced
liquidity support available from interest shortfalls related to
the specially serviced loans. As of the Sept. 12, 2011, remittance
report, the trust had experienced monthly interest shortfalls
totaling $138,454, $101,439 of which was due to the modification
of the third-largest loan in the pool, the Simon - Upper Valley
Mall loan ($47.0 million; 6.8%), which is discussed further below.
The monthly interest shortfalls affected class J and all classes
subordinate to it. Class K has had accumulated interest shortfalls
outstanding for the past four consecutive months, and we expect
these shortfalls to remain outstanding for the foreseeable future.
As a result, we lowered our rating on class K to 'D (sf)'," S&P
said.
The affirmations of the ratings on the principal and interest
certificates reflect subordination levels and liquidity that is
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' ratings on the class XC and XP interest-only (IO)
certificates based on our current criteria," S&P related.
"We withdrew our 'AAA (sf)' rating on class A-2 following the full
principal paydown of the class as reflected in the Sept. 12, 2011,
trustee remittance report," S&P said.
"Our analysis included a review of the credit characteristics of
all of the loans in the pool. Using servicer-provided financial
information, we calculated an adjusted debt service coverage (DSC)
of 1.35x and loan-to-value (LTV) ratio of 107.9%. We further
stressed the loans' cash flows under our 'AAA' scenario to yield a
weighted average DSC of 0.98x and an LTV ratio of 139.2%. The
implied defaults and loss severity under the 'AAA' scenario were
82.7% and 35.0%, respectively. The DSC and LTV calculations we
noted above exclude two defeased loans ($19.4 million, 2.8%) and
two ($8.7 million; 1.2%) of the transaction's five specially
serviced loans ($100.7 million; 14.5%). We separately estimated
losses for these loans, which we included in our 'AAA' scenario
implied default and loss severity figures," S&P stated.
Credit Considerations
As of the Sept. 12, 2011, remittance report, five loans
($100.7 million; 14.5%) in the pool were with the special
servicer, Midland Loan Services (Midland). The reported
payment status of these loans as of the Sept. 12, 2011
remittance report is: one is in foreclosure ($9.9 million; 1.4%),
two are 90-plus days delinquent ($8.6 million; 1.3%), and two are
current ($82.2 million; 11.8%). Four loans ($65.6 million; 9.4%)
have appraisal reduction amounts (ARAs) in effect totaling
$30.3 million. Two of the top 10 loans ($82.2 million, 11.8%)
are specially serviced," S&P said.
The Simon - Upper Valley Mall loan ($47.0 million; 6.8%) is the
third-largest loan in the pool and the largest loan with the
special servicer. The loan is secured by 485,619 sq. ft. of a
739,101-sq.-ft. mall in Springfield, Ohio, approximately 20 miles
northeast of Dayton. The property was built in 1971 and renovated
in 2003 and is shadow-anchored by Sears and Macy's and anchored by
J.C. Penney and Elder-Beerman. The loan was transferred to special
servicing on June 16, 2010, due to imminent default. The current
payment status of the loan is current. According to the special
servicer, a loan modification closed on May 3, 2011, and the trust
balance was split into an A/B structure, of which a $20.0 soft
subordinate B note was created. Midland indicated that the
modification terms included, but are not limited to, interest and
principal payments made on the B note to the extent cash flow is
available (and pursuant to the terms of the waterfall) and
nonpayment does not constitute an event of default. As such,
interest shortfalls totaling $101,439 related to the loan
modification affected the trust this period as reflected in the
Sept. 12, 2011 remittance report. In addition, the loan matures on
July 1, 2014, and the borrower was provided two one-year extension
options. The special servicer has indicated that the loan will be
returned to the master servicer shortly. A $26.8 million ARA was
reported for the loan. The reported DSC for year-end 2010 and
reported occupancy as of June 15, 2011, were 0.94x and 83.0%.
The Monument IV at Worldgate loan is the fourth-largest loan in
the pool and the second-largest loan with the special servicer.
The loan, which has a trust balance of $35.2 million (5.0%) and
a whole loan balance of $44.5 million, is secured by a 228,425-
sq.-ft. office building constructed in 2001 in Herndon, Va.,
approximately 20 miles northwest of downtown Washington, D.C. The
loan, which has a reported current payment status, was transferred
to special servicing on April 8, 2011, due to imminent default.
According to the special servicer, at that time, Fannie Mae,
the sole tenant at the property, downsized their space by
approximately 50%. Fannie Mae's current lease is set to expire
in June 2012, at which time the property could become 100% vacant.
Midland indicated that the loan was recently modified. The loan,
which was originally scheduled to mature on Sept. 1, 2011, was
granted a loan maturity extension to Sept. 1, 2013 to provide time
for the borrower to secure new tenancy.
The remaining three loans with the special servicer
($18.5 million; 2.7%) individually represent less than 1.5%
of the total pool balance. All three loans have ARAs in effect,
with an aggregate amount of $3.5 million. "We estimated losses for
two of the loans ($8.7 million, 1.3%), resulting in a weighted-
average loss severity of 24.2. The special servicer has indicated
that they expect the remaining loan to be modified," S&P said.
Transaction Summary
As of the Sept. 12, 2011 remittance report, the transaction
had an aggregate trust balance of $694.1 million (62 loans),
compared with $956.6 million (78 loans) at issuance. Two loans
($19.4 million, 2.8%) are defeased. Bank of America N.A., the
master servicer, provided financial information for 98.5% of the
nondefeased portion of the pool (by balance), the majority of
which reflected full-year 2010 financial data. "We calculated a
weighted-average DSC of 1.45x for the loans in the pool based on
the reported figures. Our adjusted DSC and LTV ratio were 1.35x
and 107.9%. Our adjusted figures exclude the two defeased loans,
as well as two ($8.7 million, 1.2%) of the transaction's five
specially serviced loans. Nineteen loans ($273.8 million; 39.5%)
are on the master servicer's watchlist, including four of the
top 10 loans. Sixteen loans ($206.4 million, 29.7%) had a
reported DSC of less than 1.10x, 13 of which ($141.0 million,
20.3%) had a reported DSC of less than 1.00x," S&P said.
Summary Of Top 10 Loans
The top 10 loans have an aggregate outstanding trust balance of
$397.8 million (57.3%). "Using servicer-reported information, we
calculated a weighted-average DSC of 1.47x for these loans. Our
adjusted DSC and LTV figures for these loans were 1.28x and
119.3%, respectively. Four ($215.1 million, 31.0%) of the top
10 loans are on the master servicer's watchlist," S&P said.
The Post Oak Central loan ($97.5 million, 14.1%) is the largest
loan in the pool. The loan is secured by a 1,280,248-sq.-ft.
office property in Houston that was built in 1974. The loan
appears on the master servicer's watchlist for its pending Dec. 1,
2011 maturity date. As of March 2011, reported occupancy was
88.0%. Reported DSC was 1.73x as of year-end 2010, down from
2.31x a year earlier.
The second-largest loan in the pool, the Steeplegate Mall loan has
a trust balance of $60.2 million (8.7%) and a whole loan balance
of $74.1 million. The loan is secured by a 480,237-sq.-ft. retail
mall in Concord, N.H., that was built in 1990 and renovated in
2003. The loan was placed on the master servicer's watchlist due
to a low reported DSC. For year-end 2010, the reported DSC on the
trust balance and occupancy were 1.06x and 87.5%. Based on a March
2011 rent roll, which reflects an 84.9% occupancy, the master
servicer reported a DSC of 0.77x for the three months ended
March 31, 2011.
The sixth-largest loan in the pool, the Trinity Centre I and
Trinity Centre III loan, consists of two cross-collateralized and
cross-defaulted loans totaling $31.4 million (4.5%). The loan is
secured by two suburban office properties totaling 244,218 sq. ft.
in Centreville, Va. (in Fairfax county). One of the two crossed
loans, the Trinity Centre III loan ($11.9 million, 1.7%), secured
by a 92,289-sq.-ft. office property, is on the master servicer's
watchlist due to a low reported DSC. The reported DSC and
occupancy as of June 30, 2011, were 0.92x and 76.8%.
The seventh-largest loan in the pool, the Sepulveda Center loan
($26.0 million; 3.7%), is secured by a 178,157-sq.-ft. office
building in West Los Angeles that was built in 1982. This loan
was also placed on the master servicer's watchlist due to a low
reported DSC. For year-end 2010, the reported DSC and occupancy
were 0.62x and 87.3%. Based on a March 20, 2011, rent roll, which
reflects an 85.6% occupancy, the master servicer reported a DSC of
0.66x for the three months ended March 31, 2011.
"Standard & Poor's stressed the loans in the pool according to its
criteria. The resultant credit enhancement levels are consistent
with our rating actions," S&P said.
Ratings Lowered
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-6
Rating
Class To From Credit Enhancement
A-J A (sf) AAA (sf) 19.39
B A-(sf) AA+ (sf) 16.63
C BBB+ (sf) AA (sf) 15.25
D BBB (sf) A (sf) 12.67
E BB+ (sf) A- (sf) 11.29
F B+ (sf) BB+ (sf) 9.22
G CCC+ (sf) B+ (sf) 7.85
H CCC- (sf) CCC (sf) 5.95
K D (sf) CCC- (sf) 4.40
Ratings Affirmed
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-6
Class Rating Credit enhancement (%)
A-3 AAA (sf) 27.49
A-4 AAA (sf) 27.49
A-AB AAA (sf) 27.49
A-5 AAA (sf) 27.49
J CCC- (sf) 5.09
XC AAA (sf) N/A
XP AAA (sf) N/A
Rating Withdrawn
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-6
Rating
Class To From Current Balance ($)
A-2 NR AAA (sf) 0
N/A -- Not applicable.
NR -- Not rated.
BEAR STEARNS: DBRS Confirms Classes K, L & M Rating at 'C'
----------------------------------------------------------
DBRS has confirmed these classes of Bear Stearns Commercial
Mortgage Securities Trust 2007-PWR18:
Classes A-1A, A-2, A-3, A-4 A-AB, A-M, AM-A, X-1 and X-2 at AAA
(sf)
Classes K, L and M at C (sf)
DBRS has also downgraded these classes:
Classes A-J and AJ-A to BBB (low) (sf) from BBB (high) (sf)
Class B to BB (low) (sf) from BBB (sf)
Class C to B (sf) from BBB (low) (sf)
Class D to B (low) (sf) from BB (high) (sf)
Class E to B (low) (sf) from BB (sf)
Class F to CCC (sf) from B (high) (sf)
Class G to CCC (sf) from B (low) (sf)
Classes H and J to C (sf) from CCC (sf)
In addition to the rating actions, DBRS has placed Classes A-M and
AM-A on trend Negative. The trend on the remaining classes,
excluding Classes F through M, is Stable.
The downgrades and trend changes are a result of the transfer of
nine additional loans to special servicing since the last DBRS
review in December 2010, in addition to the stagnant performance
of loans that have remained in special servicing for a prolonged
period of time.
One of the original top ten loans in the pool is in special
servicing. The Norfolk Marriott loan (Prospectus ID#8, 2.65% of
the current pool balance) transferred to the special servicer in
September 2010 due to imminent default. The loan has remained
current until recently when it went delinquent; the loan's current
payment status is 30 to 59 days delinquent. Collateral for the
loan is a 405-room full-service hotel in Norfolk, Virginia. Built
in 1999 and renovated in 2007, the property is well located on the
channel and central to downtown. DBRS considers the asset to be
of high quality. DBRS has not received a financial statement for
YE2010; however, according to an October 2010 report published by
Smith Travel Research, Inc., the subject's T-12 ADR and RevPAR
were $110 and $73, respectively. At issuance, the subject's ADR
and RevPAR were reported to be $128 and $100, respectively.
Discussions regarding the workout are ongoing, and there has not
been an appraisal of the property value since issuance given the
loan's payment status. This loan is scheduled to mature in August
2012, and DBRS will continue to communicate with the servicer
regarding the workout strategy. For purposes of this review, DBRS
assumed a loss based on a 35% decline to the original appraised
value.
The trust has realized over $57 million in losses to date. The
greatest contributor to this is the RRI Hotel Portfolio loan
(Prospectus ID#5). This loan was originally structured as a
$78 million pari-passu piece of a $465 million whole loan. It was
secured by 79 Red Roof Inn hotels, located across 24 states and
totaling 9,423 rooms. After more than two years in special
servicing, the loan was liquidated from the trust in September
2011. The trust realized loss associated with this loan totals
$39.6 million, as of the September 2011 remittance.
The total number of loans in special servicing is 19, representing
8.8% of the current pool balance. The average loss severity
assumed on loans within special servicing for this review was 50%
and totals approximately $72 million. There are 50 loans on the
servicer's watchlist, representing 35.6% of the current pool
balance.
Four of the original top ten loans are currently on the servicer's
watchlist. Of particular concern is Southlake Mall (Prospectus
ID#7, 2.94% of the current pool balance). Collateral for this
loan is 273,997 sf of a one million sf regional mall located in
Morrow, Georgia, approximately 15 miles south of the Atlanta CBD.
The mall has space for four anchors; however, only two are
occupied. One of the spaces was dark at issuance, with the
remaining three spaces occupied by Macy's, Sears and JC Penney.
JC Penney has vacated its space following the closure of three of
its Atlanta metro stores. Although the anchors are not included
as collateral for this loan, the dark spaces may have a negative
impact on customer draw, presenting a challenge to the performance
of existing tenants. In-line occupancy was 74%, according to a
June 2011 rent roll.
DBRS performed a detailed analysis of the top fifteen loans, loans
on the servicer's watchlist, loans in special servicing and the
shadow-rated loans as a part of this surveillance review. DBRS
has today removed the investment-grade shadow rating for Westridge
Square Shopping Centre (Prospectus ID#33, 0.94% of the current
pool balance) and now maintains an investment-grade shadow-rating
on only one loan, representing 0.21% of the current pool balance,
of the four original shadow-rated loans.
CARBON CAPITAL: Moody's Affirms 'B3' Rating of Class C Notes
------------------------------------------------------------
Moody's has upgraded the rating of one class and affirmed the
ratings of nine classes of Notes issued by Carbon Capital II Real
Estate CDO 2005-1, Ltd. due to regular amortization to the Class A
Notes and improvement in the weigted average rating factor (WARF).
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 and
collateralized loan obligation (CRE CDO CLO) transactions.
Cl. A, Affirmed at Aaa (sf); previously on Oct 8, 2010 Confirmed
at Aaa (sf)
Cl. B, Upgraded to Baa2 (sf); previously on Oct 8, 2010 Downgraded
to Ba2 (sf)
Cl. C, Affirmed at B3 (sf); previously on Oct 8, 2010 Downgraded
to B3 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on Oct 8, 2010 Downgraded
to Caa3 (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 C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Cl. I, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Cl. J, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
RATINGS RATIONALE
Carbon Capital II Real Estate CDO 2005-1, Ltd. is a static (the
reinvestment period ended in September 2010) CRE CDO CLO
transaction backed by a portfolio of whole loans (57.9% of the
pool balance), B-notes (18.9%), preferred equity (12.5%) and
commercial mortgage backed securities (CMBS) (10.7%). As of the
September 15, 2011 Trustee report, the aggregate Note balance of
the transaction, including preferred shares, has decreased to
$359.6 million from $455 million at issuance, with the paydown
directed to the Class A Notes. The paydown was a result of
amortization of the underlying collateral and interest proceeds
applied as principal due to the failing of the Class A/B Par Value
Test.
There are six assets with a par balance of $118.0 million (70.4%
of the current pool balance) that are considered Defaulted
Interest Securities as of the September 15, 2011 Trustee report.
Four of these assets (82.2% of the defaulted balance) are either
A-Notes or whole loans, and two of these assets are preferred
equity (17.8%). Moody's expects significant losses to occur from
those Defaulted Interest Securities once they are realized. To
date the deal is undercollateralized by $192 million due to
realized losses and the restructuring of certain loan collaterals.
Moody's has identified these 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 7,898 compared to 9,177 at last review. The
distribution of current ratings and credit estimates is as
follows: Ba1-Ba3 (5.6% compared to 0.0% at last review), B1-B3
(10.7% compared to 6.4% at last review), and Caa1-C (83.7%
compared to 93.6% 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 the same as 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
31.2% compared to 17.9% at last review. The greater recovery rate
is due to the amortization of lower recovery assumption assets
such as mezzanine debt.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100.0% the same as at last review. The
high MAC is due to a small number of assets concentrated within
high credit risk profile.
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
31.2% to 21.2% or up to 41.2% would result in average rating
movement on the rated tranches of 0 to 6 notches downward and 0 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.
CIFC FUNDING: Moody's Raises Rating of Class B-1L Notes to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by CIFC Funding 2007-I, Ltd.:
US$25,000,000 Class A-3L Floating Rate Notes Due May 2021,
Upgraded to Baa1 (sf); previously on June 22, 2011 Baa3 (sf)
Placed Under Review for Possible Upgrade;
US$17,000,000 Class B-1L Floating Rate Notes Due May 2021,
Upgraded to Ba1 (sf); previously on June 22, 2011 Ba3 (sf) Placed
Under Review for Possible Upgrade;
US$17,000,000 Class B-2L Floating Rate Notes Due May 2021 (current
outstanding balance of $16,399,907.40), Upgraded to Ba3 (sf);
previously on June 22, 2011 B3 (sf) Placed Under Review for
Possible Upgrade.
In addition Moody's has confirmed the ratings of these notes:
US$38,200,000 Class A-1LB Floating Rate Notes Due May 2021,
Confirmed at Aa1 (sf); previously on June 22, 2011 Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$24,000,000 Class A-2L Floating Rate Notes Due May 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.
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 $390.8 million,
defaulted par of $3.9 million, a weighted average default
probability of 24.23% (implying a WARF of 3116), a weighted
average recovery rate upon default of 49.05%, 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.
CIFC Funding 2007-I, Ltd., issued in February 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. 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 and diversity score. However, as part of
the base case, Moody's considered spread and diversity levels
higher than the covenant levels due to the large difference
between the reported and covenant levels.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates.
CINCINATTI BELL: Moody's Maintains 'B1' Corporate Family Rating
---------------------------------------------------------------
Moody's Investors Service has raised Cincinnati Bell's speculative
grade liquidity rating to SGL-2 from SGL-3, primarily reflecting
the Company's improved liquidity, as it has largely repaid its
revolving credit obligations and has built up a cash cushion to
boltser the ongoing expansion of data center space. In addition,
Moody's recognizes the Company's ability to generate over
$250 million in cash from operations over the next year, which
should leave it in a good liquidity position overall.
As part of the rating action, Moody's upgraded the ratings on
CBB's existing senior unsecured debt to B1 from B2, in accordance
with Moody's Loss Given Default Methodology, given the lower
senior secured debt outstandings and Moody's expectations that the
company's recently amended labor agreement with its primary union
will change future pension obligations. Moody's affirmed the
Company's B1 Corporate Family Rating ("CFR") and the B1
Probability of Default Rating. The outlook is stable.
Moody's has taken these rating actions:
Cincinnati Bell, Inc.
Upgrade: Speculative Grade Liquidity Rating to SGL-2 from SGL-3
Upgrade: Senior Unsecured Rating to B1 (LGD4-53%) from B2 (LGD4-
57%)
Moody's Investor's Service maintains the following ratings on
Cincinnati Bell, Inc. and its affiliates:
Cincinnati Bell, Inc.
LT Corporate Family Rating of B1
Probability of Default Rating of B1
Senior Secured Rating of Ba1 - LGD1-9%
Senior Secured Bank Credit Facility Rating of Ba1 - LGD1-9%
Senior Subordinate Rating of B3 - LGD6 - 91%
Pref. Stock Rating of B3 - LGD6 - 97%
Senior Unsec. Shelf Rating of (P)B1
Cincinnati Bell Telephone Company
Senior Unsecured Rating of Ba1 - LGD1-2%
RATINGS RATIONALE
CBB's B1 corporate family rating reflects the Company's relatively
high leverage for a telecommunications company and very modest
free cash flow generation as the company expands the staged
buildout of its data center business. The company has been
devoting a greater share of its capital budget over the past three
years to grow the data center business, and following the
acquisition of CyrusOne, CBB is significantly growing its business
presence outside the core Ohio, Kentucky and Indiana service
territories. At the same time, Moody's anticipates that downward
pressure on the Company's revenue will persist due to continuing
access line losses in CBB's incumbent wireline territories and
intense competition in the wireless segment. As such, a
substantial amount of free cash flow generation will be consumed
by increased capital expenditures in the data center segment, in
addition to pension contributions over the next two to three
years. The Company's ratings benefit from CBB's solid market
position as an incumbent residential telecommunications provider
and the revenue diversification it derives from its wireless
network and business customer base.
Rating Outlook
The stable outlook is based on Moody's expectations that CBB will
be able to maintain stable EBITDA levels by offsetting access line
losses through increased efficiencies in its incumbent wireline
operations and by growing revenues in data, broadband, and its
expanding data center segment.
What Could Change the Rating Up
Positive rating pressure could develop if CBB can resume
generating consistent positive free cash flow, while EBITDA growth
or debt reduction leads to leverage of under 5.0x (total adjusted
debt-to-EBITDA). Moody's believes in order to achieve this target
leverage, CBB needs to generate meaningful free cash flow growth
and commit the cash flow to debt reduction. However, given
competitive pressures faced by the Company, Moody's believes CBB
faces significant challenges in achieving this goal over the
rating horizon.
What Could Change the Rating Down
Moody's will likely review the rating for a downgrade if the
Company's EBITDA comes under pressure either due to higher-than-
expected access line losses in its ILEC operations, declining
profitability of its wireless operations, or lack of a pick-up in
demand for its data center businesses, such that debt-to-EBITDA
cannot be maintained below 6.0x (Moody's adjusted). The rating
will also likely come under downward pressure if the Company's
liquidity position deteriorates further.
Please see ratings tab on the issuer/entity page on Moodys.com for
the last credit rating action and the rating history.
The principal methodology used in rating Cincinnati Bell was the
Global Telecommunications Industry 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 and the Government-Related Issuers
methodology published in July 2010. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
As the ratings incorporate expectations of the Company generating
modest positive free cash flow, a larger distribution to
shareholders or large capital commitments that could create a free
cash flow deficit over the rating horizon would also negatively
affect ratings.
CITIGROUP COMMERCIAL: S&P Withdraws 'CCC-' 2 Cert. Classes Ratings
------------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 48
classes from 37 commercial mortgage-backed securities (CMBS)
transactions.
"We withdrew our ratings on 43 classes from 36 CMBS transactions
following the repayment of each class' principal balance, as noted
in each transaction's August and September 2011 trustee remittance
report. We withdrew our ratings on four interest-only (IO) classes
from two transactions following the reductions of the classes'
notional balances as noted in each transaction's trustee
remittance report," S&P said.
"We also withdrew our rating on one additional interest-only (IO)
class following the repayment of all principal and interest paying
classes rated 'AA- (sf)' or higher from the CMBS transaction, in
accordance with our criteria for rating IO securities. For further
details, see 'Global Methodology For Rating Interest-Only
Securities,' published April 15, 2010, on RatingsDirect on the
Global Credit Portal, at www.globalcreditportal.com," S&P said.
Ratings Withdrawn Following Repayment Or Reduction Of Principal
Balance
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2001-PB1
Rating
Class To From
E NR AAA (sf)
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2003-2
Rating
Class To From
A-2 NR AAA (sf)
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-4
Rating
Class To From
A-4 NR AAA (sf)
Bank of America N.A.-First Union National Bank Commercial Mortgage
Trust
Commercial mortgage pass-through certificates series 2001-3
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2001-TOP4
Rating
Class To From
C NR AA+ (sf)
D NR AA- (sf)
Bear Stearns Commercial Mortgage Securities Trust 2003-PWR2
Commercial mortgage pass-through certificates
Rating
Class To From
X-2 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16
Commercial mortgage pass-through certificates
Rating
Class To From
A-4 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
Citigroup Commercial Mortgage Trust Series 2006-FL2
Commercial mortgage pass-through certificates series 2006-FL2
Rating
Class To From
E NR AAA (sf)
Citigroup Commercial Mortgage Trust 2007-FL3
Commercial mortgage pass-through certificates series 2007-FL3
Rating
Class To From
THH-1 NR CCC- (sf)
THH-2 NR CCC- (sf)
Commercial Mortgage Asset Trust
Commercial mortgage pass-through certificates series 1999-C1
Rating
Class To From
A-3 NR AAA (sf)
Credit Suisse Commercial Mortgage Trust 2006-C4
Commercial mortgage pass-through certificates series 2006-C4
Rating
Class To From
A-2 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2006-TFL2
Rating
Class To From
BEV-A NR CCC- (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2002-C1
Rating
Class To From
A-2 NR AAA (sf)
A-3 NR AAA (sf)
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2005-FL3
Rating
Class To From
H NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-C1
Rating
Class To From
A-3 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CIBC2
Rating
Class To From
A-3 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From
A-1 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11
Commercial mortgage pass-through certificates series 2007-LDP11
Rating
Class To From
A-1 NR AAA (sf)
JPMorgan Commercial Mortgage Finance Corp.
Commercial mortgage pass-through certificates series 1999-C7
Rating
Class To From
G NR BB+ (sf)
LB-UBS Commercial Mortgage Trust 2005-C1
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class To From
A-2 NR AAA (sf)
LB-UBS Commercial Mortgage Trust 2005-C5
Commercial mortgage pass-through certificates series 2005-C5
Rating
Class To From
A-2 NR AAA (sf)
LB-UBS Commercial Mortgage Trust 2007-C1
Commercial mortgage pass-through certificates series 2007-C1
Rating
Class To From
A-1 NR AAA (sf)
Merrill Lynch Mortgage Investors Inc.
Commercial mortgage pass-through certificates series 1999-C1
Rating
Class To From
E NR CCC (sf)
Merrill Lynch Mortgage Trust 2004-BPC1
Commercial mortgage pass-through certificates series 2004-BPC1
Rating
Class To From
A-2 NR AAA (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1997-WF1
Rating
Class To From
H NR A+ (sf)
Morgan Stanley Capital I Trust 2004-IQ8
Commercial mortgage pass-through certificates series 2004-IQ8
Rating
Class To From
A-3 NR AAA (sf)
PNC Mortgage Acceptance Corp.
Commercial mortgage pass-through certificates series 1999-CM1
Rating
Class To From
B-4 NR BBB (sf)
Prudential Securities Secured Financing Corp.
Commercial mortgage pass-through certificates series KEY2000-C1
Rating
Class To From
G NR A (sf)
Salomon Brothers Commercial Mortgage Trust 2001-C1
Commercial mortgage pass-through certificates
Rating
Class To From
E NR BBB (sf)
Salomon Brothers Commercial Mortgage Trust 2001-C2
Commercial mortgage pass-through certificates series 2001-C1
Rating
Class To From
A3 NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2002-C2
Rating
Class To From
A-2 NR AAA (sf)
A-3 NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-C20
Rating
Class To From
A-5 NR AAA (sf)
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2005-WHALE5
Rating
Class To From
J NR AAA (sf)
K NR A (sf)
L NR BB (sf)
X-1B NR AAA (sf)
X-1C NR AAA (sf)
X-2 NR AAA (sf)
RATING WITHDRAWN FOLLOWING APPLICATION OF CRITERIA FOR IO
SECURITIES
Bear Stearns Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2001-TOP4
Rating
Class To From
X-1 NR AAA (sf)
COMM 2004-LNB2: DBRS Confirms Class H Rating at 'B'
---------------------------------------------------
DBRS has confirmed all these classes of COMM 2004-LNB2:
Classes A-3, A-4, B, C and X-1 at AAA (sf)
Class D at AA (sf)
Class E at A (sf)
Class F at A (low) (sf)
Class G at BBB (sf)
Class H at B (low) (sf)
Classes J and K at CCC (sf)
Classes L, M, N and O at C (sf)
The trend on Classes A-3 through H remains Stable.
This transaction has had 91 months of seasoning and the collateral
has been reduced by approximately 37.5% since issuance. Since the
last DBRS review in November 2010, one loan has liquidated from
the trust, and one loan has been transferred from the special
servicer back to the master servicer as a corrected mortgage loan.
Hawthorne Apartments (ProspectusID#17) was scheduled to mature on
December 1, 2008 and transferred to the special servicer when it
was unable to refinance. The lender took title of the property in
February 2011. The loan liquidated from the trust with the
September 2011 remittance and incurred a realized trust loss of
$2.88 million.
Three loans remain in special servicing, representing 4.75% of
the current pool balance. Two of these loans share the same
sponsor and have been in special servicing for over two years.
1 Northbrook Corporate Center (Prospectus ID#15, 2.30% of the
current pool balance) and Northbrook (Prospectus ID#22, 1.69% of
the current pool balance) are office properties located in the
same business park in Bensalem, Pennsylvania, in the Bucks County
submarket of Philadelphia. The properties have suffered from
occupancy issues, placing negative stress on cash flow; however,
the assets are in good condition, according to recent servicer
site inspections. An appraisal was finalized for 1 Northbrook
Corporate Center (Prospectus ID#15) in June 2011 and indicated a
property value of $9.25 million, which is an improvement over the
asset's July 2009 appraised value of $8.2 million. This property
was valued at $19.2 million at issuance. An updated appraisal has
not been received for the Northbrook loan (Prospectus ID#22), but
a June 2009 appraisal valued the property at $6.25 million. Both
assets became REO in April 2011.
Woodway Pines Apartments (Prospectus ID#42, 0.76% of the current
pool balance) is secured by a 281-unit multifamily property
located in Huntsville, Alabama. This loan was transferred to
special servicing in October 2010 for payment default. According
to servicer commentary, as well as a servicer site inspection
dated December 2010, the property's physical condition is less
than ideal. Issues noted in the inspection include leaking roofs,
mildew growth in some units and water damage to walls and carpets.
A rent roll dated March 2011 indicates the property is 74%
physically occupied. An appraisal dated December 2010 valued the
property at $4.1 million, down from $6.8 million at issuance. The
subject became REO in April 2011.
Fourteen loans are on the servicer's watchlist, as of the
September 2011 remittance, representing 8.6% of the current pool
balance. The pool is highly concentrated in the top ten, with the
largest loan in the pool representing 22.3% of the current pool
balance. The transaction benefits from 22% defeasance. The
average debt yield of the loans reporting cash flow in the top
fifteen is 12.3%, and their average DSCR is 1.56x.
As a part of this surveillance review, DBRS performed detailed
analysis of the top fifteen loans, loans in special servicing,
loans on the servicer's watchlist and the shadow-rated loans.
DBRS maintains investment-grade shadow-ratings on two loans in the
pool, representing 32.9% of the current pool balance.
COMM 2005-C6: S&P Lowers Rating on Class G Certificate to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from COMM
2005-C6, a U.S. commercial mortgage-backed securities (CMBS)
transaction. "Concurrently, we affirmed our ratings on 11 other
classes from the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades further reflect credit support erosion that we
anticipate will occur upon the eventual resolution of eight
($137.5 million, 7.5%) of the 11 assets ($154.0 million, 8.5%)
that are currently with the special servicer, as well as one loan
that we determined to be credit-impaired ($3.0 million, 0.2%). We
also considered the monthly interest shortfalls that are affecting
the trust and potential additional interest shortfalls associated
with the specially serviced assets. We lowered our rating to 'D
(sf)' on the class G certificate because we believe the
accumulated interest shortfalls will remain outstanding 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 X-C and X-P interest-only (IO)
certificates based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.55x and a loan-to-value (LTV) ratio of 94.4%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.99x and an LTV ratio of
125.1%. The implied defaults and loss severity under the 'AAA'
scenario were 76.7% and 30.7%, respectively. The DSC and LTV
calculations exclude three ($28.6 million, 1.6%) defeased loans,
eight ($137.5 million, 7.5%) of the 11 ($154.0 million, 8.5%)
specially serviced assets, and one ($3.0 million, 0.2%) loan that
we determined to be credit-impaired. We separately estimated
losses for the specially serviced and credit-impaired assets, and
included them in our 'AAA' scenario implied default and loss
severity figures," S&P said.
As of the Sept. 12, 2011, trustee remittance report, the trust has
experienced monthly interest shortfalls totaling $202,979,
excluding an appraisal subordinate entitlement reduction (ASER)
recovery of $218,423. The total interest shortfall amount
primarily reflects an aggregate ASER amount of $167,653, as well
as special servicing and workout fees of $35,324. The
interest shortfalls affected all classes subordinate to and
including class H. Class G has had accumulated interest shortfalls
outstanding for 15 consecutive months. "We lowered our rating on
class G to 'D (sf)' because we believe the accumulated interest
shortfalls will remain outstanding for the foreseeable future,"
S&P said.
Credit Considerations
As of the Sept. 12, 2011 trustee remittance report, 11 assets
($154.0 million, 8.5%) in the pool are with the special servicer,
Helios AMC LLC (Helios). The reported payment status of the
specially serviced assets as of the most recent trustee remittance
report is: four are real estate owned (REO; $59.7 million, 3.3%),
one is in foreclosure ($53.4 million, 2.9%), three are 90-plus
days delinquent ($24.4 million, 1.3%), two are in their grace
period ($10.0 million, 0.6%), and one is current ($6.5 million,
0.4%). Appraisal reduction amounts (ARAs) totaling $70.6 million
are in effect for eight of the specially serviced assets. Details
of the two largest specially serviced assets, one of which is a
top 10 asset, are:
The Tropicana Center loan ($53.4 million, 2.9%) is the sixth-
largest nondefeased asset in the pool and the largest asset
with the special servicer. The loan is secured by a 578,051-sq.-
ft. anchored retail center in Las Vegas. The property was built
in 1991. The loan was transferred to the special servicer on
March 11, 2009, due to payment default. Helios indicated that it
is pursuing foreclosure. As of year-end 2010, reported DSC and
occupancy were 0.54x and 65.1%. There is a $34.4 million ARA in
effect against the asset. Standard & Poor's expects a significant
loss upon the eventual resolution of this asset.
The Cornerstone Apartments ($23.5 million, 1.3%), the second-
largest specially serviced asset, comprise 26 multifamily
apartment buildings totaling 430 units in Orlando, Fla. The
asset was transferred to the special servicer on April 6, 2009,
due to a low DSC and became REO on Jan. 22, 2010. Helios has
indicated that the asset is currently being stabilized in
preparation for possible marketing of the asset. As of year-end
2010, the reported DSC and occupancy were 0.47x and 92.0%. There
is a $13.0 million ARA in effect against the asset. Standard &
Poor's expects a significant loss upon the eventual resolution of
this asset.
The nine remaining assets with the special servicer have
individual balances that represent less than 0.9% of the pooled
trust balance. ARAs totaling $23.2 million are in effect against
six of these assets. "We estimated losses for six of these assets,
arriving at a weighted-average loss severity of 40.9%. According
to the special servicer, the remaining three assets have reported
current payment statuses. Helios stated that while one of the
three assets is in the process of being returned to the master
servicer, it is working on a resolution strategy with the borrower
on the other two assts," S&P said.
"In addition to the specially serviced assets, we determined the
Valley Vista MHP loan ($3.0 million, 0.2%) to be credit-impaired.
The loan is secured by a manufactured housing property comprising
137 pads in Lowell, Mich. As of the Sept. 12, 2011 trustee
remittance report, the loan had a reported 30-day delinquent
payment status. No updated financial information was available
for this loan. Given the loan's reported payment status and lack
of financial reporting, we consider this loan to be at an
increased risk of default and loss," S&P related.
Transaction Summary
As of the Sept. 12, 2011 remittance report, the collateral
pool had an aggregate trust balance of $1.82 billion, down from
$2.27 billion at issuance. The pool comprises 118 loans and four
REO assets, down from 137 loans at issuance. The master servicers,
Midland Loan Services and Berkadia Commercial Mortgage LLC,
provided financial information for 96.6% of the nondefeased loans
in the pool, the majority of which reflected full-year 2010 data.
"We calculated a weighted average DSC of 1.53x for the loans
in the pool based on the servicer-reported figures. Our adjusted
DSC and LTV were 1.55x and 94.4%. Our adjusted figures exclude
three ($28.6 million, 1.6%) defeased loans, eight ($137.5 million,
7.5%) of the 11 ($154.0 million, 8.5%) specially serviced assets,
and one ($3.0 million, 0.2%) loan that we determined to be credit-
impaired. Recent financial reporting information was available
for seven of the excluded specially serviced and credit-impaired
assets, which reflected a weighted average DSC of 0.67x. To
date, the transaction has experienced $55.3 million in principal
losses from six assets. Seventeen loans ($199.5 million,
10.9%) in the pool are on the master servicers' combined
watchlist, including one of the top 10 assets. Eighteen loans
($212.0 million, 11.6%) have a reported DSC of less than 1.10x,
14 of which ($174.7 million, 9.6%) have a reported DSC of less
than 1.00x," S&P said.
Summary Of Top 10 Assets
The top 10 assets have an aggregate outstanding balance of
$876.7 million (48.1%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.62x for the top 10 assets.
One of the top 10 assets ($53.4 million, 2.9%) is with the special
servicer, and another ($49.3 million, 2.7%) is on the master
servicers' combined watchlist. Our adjusted DSC and LTV for the
top 10 assets are 1.63x and 93.9%. Our adjusted figures exclude
the aforementioned specially serviced top 10 asset. Recent
financial reporting information was available for this excluded
asset, and reflected a DSC of 0.54x for year-end 2010," S&P
related.
The MacArthur Portfolio loan ($49.3 million, 2.7%) is the seventh-
largest nondefeased asset in the pool and the largest loan on the
watchlist. The loan is secured by seven retail properties
comprising 68,431 sq. ft. in New York City. The properties were
constructed between 1931 and 1963. The loan appears on the master
servicers' combined watchlist because of a low reported DSC. The
loan was classified as current in its debt service payments as of
the Sept. 12, 2011, trustee remittance report. As of year-end
2010, reported DSC and occupancy were 1.12x and 83.7%.
"Standard & Poor's stressed the pool collateral according to its
criteria. The resultant credit enhancement levels are consistent
with our lowered and affirmed ratings," S&P said.
Ratings Lowered
COMM 2005-C6
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
C BB- (sf) BB (sf) 8.97
D B- (sf) B+ (sf) 6.94
E CCC (sf) B (sf) 5.38
F CCC- (sf) CCC (sf) 3.98
G D (sf) CCC- (sf) 2.58
Ratings Affirmed
COMM 2005-C6
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 21.90
A-3 AAA (sf) 21.90
A-4 AAA (sf) 21.90
A-AB AAA (sf) 21.90
A-5A AAA (sf) 21.90
A-5B A+ (sf) 21.90
A-1A A+ (sf) 21.90
A-J BBB (sf) 12.55
B BB+ (sf) 10.06
X-C AAA (sf) N/A
X-P AAA (sf) N/A
N/A -- Not applicable.
CORTS TRUST: Moody's Reviews for Upgrade Rating of Certificates
---------------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
rating of these certificates issued by CorTS Trust for Ford
Debentures:
$300,000,000 7.40% Corporate-Backed Trust Securities (CorTS)
Certificates; Ba3 Placed Under Review for Possible Upgrade;
Previously on October 22, 2010 Upgraded to Ba3
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 7.40% Debentures due November 1, 2046 issued by Ford
Motor Company which were placed on review for upgrade by Moody's
on October 5, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
CREDIT SUISSE: Fitch Affirms 'B-sf' Rating on Class L Notes
-----------------------------------------------------------
Fitch Ratings has affirmed 11 classes of Credit Suisse First
Boston Mortgage Securities Corp., series 2002-CP3 commercial
mortgage pass-through certificates, including all investment grade
classes. Fitch has also downgraded two previously distressed
classes based on greater certainty of losses.
The affirmations of the investment grade classes are due to
stable performance of the transaction. Fitch modeled losses of
3.57% of the outstanding pool, of which 2.1% are from specially
serviced loans. Current cumulative interest shortfalls totaling
$1.9 million are affecting classes J through O.
As of the September 2011 distribution date, the pool's certificate
balance has paid down 21.5% to $703.3 million from $895.7 million.
Fitch has identified 32 (35.8%) Fitch Loans of Concern, of which 2
(4.4%) are specially serviced. In addition, 23 loans (33.1%) have
been defeased.
The largest contributor to Fitch expected losses is a loan (1.63%)
collateralized by a 91,917 square foot (sf) suburban office
building located in Troy, MI. The loan transferred to special
servicing in March 2010 due to declining occupancy and performance
at the property. The special servicer is expected to take the
property via a deed-in-lieu of foreclosure. Special servicer
reports occupancy has been 57% since January 2010. Fitch expects
significant losses upon liquidation of the asset based on property
valuations obtained by the special servicer that reflect current
market conditions and the low occupancy of the property.
The second largest contributor to Fitch expected losses is a loan
(5.49%) collateralized by a 1,083 unit multifamily apartment
complex located in Maryland Heights, MO. The loan is currently
two months delinquent. The property has suffered declining
performance since September 2010. The most recent property report
debt servicer coverage ratio and occupancy is 1.13 times and
90.2%, respectively, as of March 2011. Fitch expects the loan to
transfer to special servicing if the delinquency is not cured.
The third largest contributor to Fitch expected losses is a loan
(2.78%) collateralized by a 390 unit multifamily apartment
building located in Houston, TX. The loan was transferred to
special servicer for imminent default in December 2010. The
property has suffered from poor performance due to both increased
operating expenses and lowered rents to maintain occupancy.
Special servicer reports the borrower has not agreed to a
forbearance agreement and is currently pursuing all rights and
remedies to protect the trust.
Fitch downgrades these classes as indicated:
-- $11.1 million class M to 'CCsf/RR4' from 'CCCsf/RR4';
-- $4.4 million class N to 'Csf/RR6' from 'CCsf/RR6'.
Fitch affirms these classes as indicated:
-- $512.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $34.7 million class B at 'AAAsf'; Outlook Stable;
-- $40.3 million class C at 'AAAsf'; Outlook Stable;
-- $8.9 million class D at 'AAAsf'; Outlook Stable;
-- $10 million class E at 'AAAsf'; Outlook Stable;
-- $14.5 million class F at 'AAAsf'; Outlook Stable;
-- $15.6 million class G at 'Asf'; Outlook Stable;
-- $11.1 million class H at 'BBBsf'; Outlook Stable
-- $17.9 million class J at 'BBsf'; Outlook Stable;
-- $6.7 million class K at 'Bsf'; Outlook Stable;
-- $4.4 million class L at 'B-sf'; Outlook Negative.
Fitch does not rate class O.
Classes A-1, A-2 and A-SP have paid in full.
Fitch has previously withdrawn the rating on the interest-only
class A-X.
CWABS: Moody's Lowers Ratings of $27-Mil. RMBS Transactions
-----------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 16
tranches from 4 CWABS deals issued in 2002. The collateral backing
these deals primarily consists of closed end second lien loans and
HELOCs.
Ratings Rationale
The actions are a result of the downgrade in the ratings of
Countrywide Home Loans (CHL) to Baa1 from A2.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Second Lien RMBS Loss Projection Methodology:
April 2010" published in April 2010.
Tranches from the CWABS 2002-SC1, CWABS 2002-S1, CWABS 2002-S2 and
CWABS 2002-S3 transactions are expected to be protected both by
mortgage insurance and Countrywide Home Loans (CHL) guarantees;
ratings may be higher than Moody's assessment of the individual
credit strength of either of the two. The higher rating is the
result of the application of the joint probability-of-default
analysis, described in detail in Moody's Special Comment, "The
Incorporation of Joint-Default Analysis into Moody's Corporate,
Financial and Government Rating Methodologies," February 2005.
That analysis indicates that the rating on a jointly supported
obligation may be higher than that of either support provider,
because the likelihood of joint default is typically less than the
probability of default of either support provider individually.
Moody's is also typically assuming a rescission rate of 20-40% for
the transactions mentioned above. Moody's expects these tranches
to be protected both by mortgage insurance and the CHL guarantees;
losses on mortgage loans that are rescinded by the mortgage
insurers which would otherwise be a loss to the junior-most
tranches are covered by the CHL guarantees to the extent the
guarantees are sufficient to cover pool losses. Hence, most
ratings on the junior-most tranches in such instances are floored
at the Baa1 rating of CHL.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. 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: CWABS, Inc. Asset-Backed Certificates, Series 2002-S1
Cl. A-4, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-5, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-IO, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-1, Downgraded to Baa1 (sf); previously on Jul 22, 2011
Downgraded to A2 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously on Jul 22, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2002-S2
Cl. A-5, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-IO, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-1, Downgraded to Baa1 (sf); previously on Jul 22, 2011
Downgraded to A2 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously on Jul 22, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2002-SC1
Cl. A-IO, Downgraded to A3 (sf); previously on Jul 22, 2011 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on Jul 22, 2011 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Baa1 (sf); previously on Jul 22, 2011 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: CWABS, Inc., Asset-Backed Pass-Through Certificates,
Series 2002-S3
Cl. A-5, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Negative on Jun 25, 2009)
Underlying Rating: Downgraded to A3 (sf); previously on Jul 22,
2011 Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-IO, Downgraded to A3 (sf); previously on Jul 22, 2011
Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-1, Downgraded to Baa1 (sf); previously on Jul 22, 2011
Downgraded to A2 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-2, Downgraded to Baa1 (sf); previously on Jul 22, 2011 A2
(sf) Placed Under Review for Possible Downgrade
CWCAPITAL COBALT: Moody's Affirms Rating of C. A-1 Notes at Caa3
----------------------------------------------------------------
Moody's has affirmed the ratings of eight classes of Notes
issued by CWCapital Cobalt Vr, Ltd. The affirmations are due
to the key transaction parameters performing within levels
commensurate with the existing ratings levels. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO and ReRemic)
transactions.
CL. A-1, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
CL. A-2, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
CL. B, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
CL. D, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
CL. E, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
CL. F, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
CL. G, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
RATINGS RATIONALE
CWCapital Cobalt Vr, Ltd. is a static cash CRE CDO transaction
backed by a portfolio of commercial mortgage backed securities
(CMBS) (68.6% of the pool balance) and CRE CDO securities (31.4%).
As of the September 26, 2011 Trustee report, the aggregate Note
balance of the transaction, including preferred shares, has
decreased to $3.2 billion from $3.4 billion at issuance, with the
paydowns directed to the Class A1 Notes. Per the Indenture,
interest payments received on Impaired Securities are treated as
principal payments directed to the Notes in order of the priority
of distribution. As a result of this turbo feature, interest
shortfalls have reached Class A2.
Assets with a par balance of $2.6 billion (99.7% of the current
pool balance) are considered Impaired Securities as of the
September 26, 2011 Trustee report. There have been realized losses
on the underlying collateral and Moody's expects further
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 9,707 compared to 9,515 at last review. The
distribution of current ratings and credit estimates is as
follows: Ba1-Ba3 (0.6% compared to 0.7% at last review), B1-B3
(1.7% compared to 3.9% at last review), and Caa1-C (97.7% compared
to 95.3% 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 6.2 years compared
to 6.7 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
0.2% compared to 0.3% 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 99.9%, the same as that at last review.
This high MAC is due to the collateral pool concentrated primarily
in very high risk collateral.
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 from 0.2%
up to 5.2% would result in average modeled rating movement on the
rated tranches of 0 to 2 notches upward.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and 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.
DIVERSIFIED GLOBAL: Moody's Upgrades Class C Notes Rating to 'B3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two classes
of notes issued by Diversified Global Securities Limited II, Ltd.
The notes affected by the rating action are:
US$12,000,000 Class B Fixed Rate Senior Subordinate Notes, Due
December 17, 2017, Upgraded to Baa2 (sf); previously on August 2,
2011 Upgraded to Baa3 (sf) Remaining Under Review for Possible
Upgrade;
US$12,000,000 Class C Floating Rate Subordinate Notes, Due
December 17, 2017, Upgraded to B3 (sf) ; previously on August 2,
2011 Upgraded to Caa2 (sf) Remaining Under Review for Possible
Upgrade.
RATINGS RATIONALE
According to Moody's, the rating action results from credit
improvement in the underlying portfolio. Based on the September
2011 trustee report, the weighted average rating factor has
improved and is currently 2141 compared to 3810 in July 2011.
Since the last review in July 2011, all of the CLO tranches in the
portfolio which were placed on review for possible upgrade have
been resolved and upgraded. Additionally, the Class A, Class B,
and Class C overcollateralization ratios are currently reported at
1631.37%, 261.83%, and 142.34% , and the Class A notes have
amortized by approximately $8 million since December 2009.
Diversified Global Securities Limited II is a collateralized debt
obligation backed primarily by a portfolio of Collateralized Loan
Obligations.
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.
EASTLAND CLO: Moody's Raises Rating of Class C Notes to 'B1'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Eastland CLO, Ltd.:
US$100,000,000 Class A-1 Floating Rate Senior Secured Extendable
Notes Due 2022 (current outstanding balance of $88,830,216.43),
Upgraded to Aaa (sf); previously on June 22, 2011 A3 (sf) Placed
Under Review for Possible Upgrade;
US$825,600,000 Class A-2a Floating Rate Senior Secured Extendable
Notes Due 2022 (current outstanding balance of $710,372,512.72),
Upgraded to Aaa (sf); previously on June 22, 2011 Aa1 (sf) Placed
Under Review for Possible Upgrade;
US$206,000,000 Class A-2b Floating Rate Senior Secured Extendable
Notes Due 2022, Upgraded to Aa1 (sf); previously on June 22, 2011
Baa1 (sf) Placed Under Review for Possible Upgrade;
US$78,500,000 Class A-3 Floating Rate Senior Secured Extendable
Notes Due 2022, Upgraded to Aa3 (sf); previously on June 22, 2011
Ba1 (sf) Placed Under Review for Possible Upgrade;
US$81,500,000 Class B Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2022, Upgraded to Baa1 (sf);
previously on June 22, 2011 Caa2 (sf) Placed Under Review for
Possible Upgrade;
US$68,500,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2022 (current outstanding balance of
$71,377,517.66), Upgraded to B1 (sf), previously on June 22, 2011
C (sf) Placed Under Review for Possible Upgrade;
US$48,000,000 Class D Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2022 (current outstanding balance of
$46,511,273.99), Upgraded to Caa3 (sf); previously on June 22,
2011 C (sf) Placed Under Review for Possible Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of an increase in the
transaction's overcollateralization ratios and de-leveraging of
the senior notes since the rating action in October 2010. Moody's
notes that the Class A-1 Notes have been paid down by
approximately 5.6% or $5.2 million and the Class A-2a Notes have
been paid down by approximately 7.1% or $54.0 since the rating
action in October 2010. Based on the latest trustee report dated
August 31, 2011, the Class A, Class B, Class C and Class D
overcollateralization ratios are reported at 120.02%, 111.63%,
105.43% and 102.02%, respectively, versus August 2010 levels of
113.58%, 106.02%, 100.40% and 96.81%, respectively. However, Class
C and Class D overcollateralization ratios are still out of
compliance. The Class D overcollateralization ratio improved
partly due to the cancellation of $6,741,000 of the Class D Notes.
Moody's notes that the Class B Notes are no longer deferring
interest and all previously deferred interest has been paid in
full. The Class C Notes and Class D Notes still have outstanding
deferred interest and the Class D Notes are currently continuing
to defer interest.
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 $1.3 billion,
defaulted par of $98.7 million, a weighted average default
probability of 22.88% (implying a WARF of 2836), a weighted
average recovery rate upon default of 48.50%, and a diversity
score of 62. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Eastland CLO, Ltd., issued in March 2007, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
2) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which may be
extended due to the manager's decision to reinvest into new issue
loans or other loans with longer maturities and/or participate in
amend-to-extend offerings. Moody's tested for a possible extension
of the actual weighted average life in its analysis.
3) Other collateral quality metrics: The deal is allowed to
reinvest and the manager has the ability to deteriorate the
collateral quality metrics' existing cushions against the covenant
levels. Moody's analyzed the impact of assuming the worse of
reported and covenanted values for weighted average rating factor,
weighted average spread, weighted average coupon, and diversity
score.
FFCA 1999-2: Moody's Raises Rating of Class A-1c Notes to 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has upgraded the Class A-1c note issued
by FFCA 1999-2. The note is backed by a pool of franchise loans
made to fast-food and casual dining restaurants. The complete
rating action is:
Issuer: FFCA Secured Franchise Lending Corporation
Class A-1c, Upgraded to Ba2 (sf); previously on Feb 18, 2009
Downgraded to B1 (sf)
RATINGS RATIONALE
The pool is mainly concentrated in Long John Silver's restaurants
which comprise approximately 65% of the current pool. The assets
are loans to US Realty Advisors who acquired the restaurant
properties and leases them to Long John Silver's under a single
master lease. Payments on the master lease are used to repay
principal and interest due on the loans. Each of the loans
includes a balloon payment due at loan maturity of 35% of the
original loan balance, which is not covered by the lease payments,
but is insured by RVI Group, a provider of residual value
insurance.
YUM! Brands (Baa3), which owns the Long John Silver's brand, has
provided a full payment guaranty of principal and interest due
under the master lease. Since the guaranty only covers lease
payments, it does not hedge against the possibility of default on
the balloon payments due at loan maturity. The guaranty is still a
credit positive for the noteholders however, as it reduces the
probability of default on payment of interest and principal on the
rated notes.
In order to estimate losses on the collateral pool, Moody's
calculates the expected loss given default of the obligors that
have become nonperforming, and also estimates future losses on
performing portion of the pool, all as a percentage of the
outstanding pool. In evaluating the nonperforming loans, key
factors include collateral valuations and expected recovery rates,
volatility around those recovery rates, historical obligor
performance, time until recovery or liquidation on defaulted
obligors, concessions due to restructuring which may negatively
impact the overall cash flow of the trust and/or the collateral,
and future industry expectations. Net losses are then evaluated
against the available credit enhancement provided by
overcollateralization, subordination, and excess spread.
Sufficiency of coverage is considered in light of remaining
borrower concentrations and concepts, remaining bond maturities,
and economic outlook.
While the approach described above was used in analyzing this
transaction, a key driver used in assigning this rating was the
level of support provided by YUM! Brands as a payment guarantor on
the master lease.
The primary source of uncertainty in the performance of these
transactions are the successfulness of workout strategies for
loans requiring special servicing, as well as the current
macroeconomic environment and its impact on casual dining and fast
food restaurants.
FIRST INVESTORS: DBRS Puts 'BB' Rating on Class E
-------------------------------------------------
DBRS has assigned provisional ratings to these classes issued by
First Investors Auto Owner Trust 2011-2:
-- Series 2011-2 Notes, Class A-1 rated R-1 (high) (sf)
-- Series 2011-2 Notes, Class A-2 rated AAA (sf)
-- Series 2011-2 Notes, Class B rated AA (sf)
-- Series 2011-2 Notes, Class C rated A (sf)
-- Series 2011-2 Notes, Class D rated BBB (sf)
-- Series 2011-2 Notes, Class E rated BB (sf)
FLEET LEASING: Moody's Says No Rating Impact From Prog Amendments
-----------------------------------------------------------------
Moody's announced that the amendments to the Master Trust Purchase
Agreement and the Series 2010-2 Supplemental Indenture which
relate to the Fleet Leasing Receivables Trust, Series 2010-2 notes
which were executed on August 31, 2011, in and of itself, will not
result in a reduction, withdrawal, or placement under review for
possible downgrade of the ratings currently assigned to any class
of outstanding notes issued by the Fleet Leasing Receivables Trust
at this time.
However, Moody's ratings address only the credit risks associated
with the transaction. Other non-credit risks have not been
addressed, but may have significant effect on yield and/or other
payments to investors. This press release should not be taken to
imply that there will be no adverse consequence for investors
since in some cases such consequences will not impact the rating.
Key credit metrics considered by Moody's include the weighted
average rating of the lessees, the diversity score (a measure of
the diversity of the pool of lessees) and the break-even recovery
rate on liquidated collateral in the event of a lessee default.
Approximately 53% of the pool by dollar amount consists of lessees
rated by Moody's, and this 53% has an overall weighted average
rating of Baa1. Assuming that the weighted average rating of the
remaining 47% of the pool is B2, then the weighted average rating
of the entire pool would be Ba2. The diversity score for the pool
is 52, meaning the pool of lessees will have a similar default
profile as a pool of 52 independent and equal-sized lessees with
the same rating as the weighted average rating of the pool.
Moody's stresses break-even recovery rates for the various rating
levels. The estimated break-even recovery rate for Class A is
approximately 55% to 61% and for Class B is approximately 58% to
72%.
The confirmation of the notes' existing rating takes into account
the extension in the term of the notes for an additional year and
amendments to certain vehicle type concentration limits which were
minor in nature and do not impact the rating of the notes. Fleet
Leasing Receivables Trust Series 2010-2 shares essentially the
same structure as Fleet Leasing Receivables Trust Series 2010-1
with notable exceptions being the 2010-2 is a revolving
transaction and has modestly looser collateral concentration
limits in the recent amendments. Specifically, the limit on non-
cars and light truck leases has been increased from 25.00% to
27.00%; the limit on medium and heavy-duty truck leases has been
increased from 21.50% to 23.00%; the limit on heavy-duty truck
leases has been increased from 7.50% to 12.00%. The changes in
equipment type concentrations in this case are relatively small.
While the credit risk of the corporate lessees is the primary
credit consideration for fleet lease transactions, equipment type
concentrations can be a concern in the event of lessee default as
certain types of equipment or vehicles may be expected to have
lower recovery rates. This is mitigated by the fact that current
concentrations are generally well below the existing limits and
portfolio concentrations over time have been and are expected to
be relatively stable, regardless of limits.
The variable funding notes are backed by a diversified pool of
open-end fleet leases and related leased vehicles. The lessees
under the leases are corporations and government agencies with a
substantial number of them rated. The historical performance of
the collateral has been extremely good. The net losses on PHH
Canada's entire lease portfolio since 2004 have been minimal.
The leases were originated by PHH Vehicle Management Services Inc.
(PHH Canada), a Canadian corporation and a wholly-owned indirect
subsidiary of PHH Corporation (Ba2, not on watch). PHH Canada, as
servicer, will service the leases and administer the disposition
of vehicles.. PHH Canada provides vehicle leasing and fleet
management services to corporations and government agencies
diversified across industries in Canada. PHH Canada has
substantial experience as a securitization sponsor, having program
assets funded by the ABCP market for over 15 years . PHH Canada
also completed its first term ABS transaction through the Trust in
January 2010.
As further described below, the ratings are based on an assessment
of the quality of the collateral, the credit enhancement in the
deal and the structural features including a cash spread account,
a yield supplement account and a backup servicer arrangement.
METHODOLOGY
The principal methodology used in rating the transaction is
summarized below.
Two approaches were utilized to quantitatively assess the risks to
the transaction. The primary method is the standard Binomial
Expansion Technique (BET). Additional, the CDOROM model was used
in a separate analysis in conjunction with the BET (Hybrid CDOROM
Approach). The Hybrid CDOROM approach provides greater sensitivity
to actual obligor concentration and ratings, thus serving as a
check of the idealized BET approach.
As all the underlying collateral consists of a pool of open-end
leases (i.e. leases where the lessees are responsible for any
residual value losses), the potential credit loss of this
transaction is primarily driven by the default likelihood of the
lessees, the recovery rate when a lessee defaults, and the
diversity of the pool of lessees. An approach similar to that used
in CLO transactions is used. The CLO approach hinges on the idea
of using a 'hypothetical pool' to map the credit and loss
characteristics of an actual pool and then employing a
mathematical technique called binomial expansion to determine the
expected loss of the bond to be rated. Using the binomial
expansion technique, the probability of default of each possible
scenario is calculated based on a mathematical formula, and the
cashflow profile for each scenario is determined based on an
assumed recovery rate. Then each cashflow scenario is fed into a
liability model to determine the actual loss on the bond under
each scenario, and the probability weighted loss or expected loss
of the bond is determined. The expected loss of the bond is then
compared with Moody's Idealized Cumulative Expected Loss Rates
Table to determine a rating for the bond.
The hypothetical pool is characterized by a diversity score. The
diversity score measures the diversity of the actual pool by
mathematically converting the obligor concentrations of the actual
pool into the number of equally-sized uncorrelated obligors which
would represent the same credit risk as the actual pool. This
process is summarized as follows. Each lessee is assigned its
applicable industry category. Lessees in the same industry are
assumed to be correlated with each other, while lessees in
different industries are assumed to be independent. The number of
lessees in the same industry is reduced to reflect the correlation
among them. For example, when calculating the diversity score, six
equal-sized lessees in the same industry are counted as three
independent obligors, while six equal-sized lessees in six
different industries are counted as six independent obligors. The
size of the lessees is also accounted for by reducing the number
of lessees with below average lessee size. In general, the higher
the diversity score, the lower the collateral loss volatility will
be and consequently, the lower the expected loss of a security,
other factors being the same.
Each possible default scenario is determined by both the diversity
score and the average probability of default of the pool. The
weighted average probability of default of the pool is determined
by the probability of default of each lessee or obligor, which is
estimated using the actual lessees' credit ratings, if rated. For
non-rated lessees, the average rating is assumed to be lower than
that of the rated lessees. For example, if the average rating for
the rated lessees is Baa2, Moody's could assume a rating of Baa3
or lower as the average rating for the non-rated lessees. The
estimated weighted average rating for the entire hypothetical pool
is then used to estimate the probability of each default scenario.
The actual net loss on the bonds under each default scenario is
determined taking into consideration of recoveries in case of
default. When a lessee defaults, recoveries are obtained as the
related leased vehicles are reprocessed and sold to repay the
defaulted lease obligation. Moody's conducts detailed recovery
analyses based on the types of vehicles leased and various default
scenarios for lessees. Based on those recovery analyses, Moody's
determines the ratings after considering the breakeven recovery
rates for the different classes of notes at their associated
credit enhancement levels.
FORD MOTOR: Moody's Reviews 'Ba3' Rating on Class A-1 Notes
-----------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
rating of these certificates issued by Corporate Backed Trust
Certificates, Ford Motor Co. Debenture-Backed Series 2001-36
Trust:
Corporate Backed Trust Certificates, Ford Motor Co. Debenture-
Backed Series 2001-36, Class A-1; Ba3, Placed Under Review for
Possible Upgrade; Previously on October 22, 2010 Upgraded to Ba3
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 7.70% Debentures due May 15, 2097 issued by Ford Motor
Company which were placed on review for upgrade by Moody's on
October 5, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
FRANKLIN CLO: S&P Raises Rating on Class E Notes to 'B+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C, D, and E notes from Franklin CLO V Ltd. At the same time, we
affirmed our ratings on the class A-1, A-2, and B notes (see
list). Franklin CLO V Ltd. is a collateralized loan obligation
(CLO) transaction managed by Franklin Advisers Inc.," S&P said.
"The upgrades reflect the improved performance we have observed in
the deal since our last rating action in May 2010. The
affirmations reflect the sufficient credit support available at
the current rating levels," S&P related.
The transaction has used principal proceeds from early
amortization and interest proceeds that were diverted when the
transaction failed its interest reinvestment test to improve the
credit quality of its portfolio through reinvestments. Also,
according to the Sept. 2, 2011, trustee report, the transaction
held $8.89 million in defaulted assets and $18.6 million in 'CCC'
rated assets, down from $13.0 million in defaulted assets and
$22.0 million in 'CCC' rated assets as of the March 3, 2010,
trustee report. The transaction has also paid down the class E
deferred interest that was accrued after the transaction failed
its mezzanine overcollateralization (O/C) coverage test. The
transaction is now passing its interest reinvestment and mezzanine
O/C tests.
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.
Ratings Raised
Franklin CLO V Ltd.
Rating
Class To From
C BBB+ (sf) BB+ (sf)
D BB+ (sf) CCC+ (sf)
E B+ (sf) CCC- (sf)
Ratings Affirmed
Franklin CLO V Ltd.
Class Rating
A-1 AA+ (sf)
A-2 AA+ (sf)
B A+ (sf)
GE COMM 2005-C3: Fitch Junks Ratings on Six Certificate Classes
---------------------------------------------------------------
Fitch Ratings downgrades seven classes of GE Commercial Mortgage
Corporation, series 2005-C3 commercial mortgage pass-through
certificates due to increased expected losses.
The downgrades are the result of an increase in Fitch loss
expectations, largely attributed to specially serviced loans.
Fitch's loss expectations are 7.3%, an increase from 5.2% as of
the last review. Currently, there are seven loans in special
servicing (7.3%), compared to four (5.6%) at last review.
As of the September 2011 distribution date, the pool's aggregate
principal balance has paid down 31.2% to $1.46 billion from
$2.1 billion at issuance. Two loans (1.5%) have defeased. As of
September 2011, cumulative interest shortfalls total $2.4 million
and affect classes M through Q.
The largest contributors to loss are One Main Place (4.5%) and
Garden City Plaza (6.2%).
One Main Place is the second largest loan in special servicing.
The loan is secured by a 1 million square foot (sf) office
building located in downtown Dallas, TX and is currently 90 days
delinquent. Current occupancy is 66%. The borrower continues
efforts to lease up the property, as well as deal with
environmental issues. The borrower and special servicer continue
to negotiate a loan modification. An appraisal reduction based on
an updated valuation has been performed.
The second largest contributor to loss is the Garden City Plaza,
which is collateralized by a four building office complex in
Garden City, NY. The loan remains current; however, occupancy has
declined to 92% per the year end 2010 rent roll from 97.4% at
issuance. Per the most recent site inspection, the property is in
good condition and vacant units are ready for potential tenants.
The second largest Fitch loan of concern is 123 William Street
(5.4%), which is collateralized by a 27 story office property in
downtown Manhattan. Although the year end 2010 debt service
coverage ratio (DSCR) was 1.56 times (x), the loan transferred to
special servicing when the borrower indicated that two major
tenants were vacating their spaces. One tenant who occupied 34%
of the net rentable area (NRA) vacated in March 2011 at lease
expiration. A second tenant occupying 15% of the NRA has indicated
they plan to vacate at their lease expiration in October 2011.
However, some of the vacant space has been released, which results
in approximately 55% occupancy. The loan has been returned to the
master servicer and remains current.
Fitch has downgraded and assigned or revised recovery ratings to
these classes:
-- $31.7 million class J to 'CCCsf/RR1' from B-sf'.
-- $7.9 million class K to 'CCCsf/RR1' from 'B-sf';
-- $7.9 million class L to 'CCCsf/RR1' from 'B-sf';
-- $10.6 million class M to 'CCsf/RR2' from 'CCCsf/RR1';
-- $2.6 million class N to 'Csf'/RR6' from 'CCC/RR2';
-- $7.9 million class O to 'Csf/RR6' from 'CCsf/RR3'.
Fitch downgrades and assigns Rating Outlooks to these classes:
-- $21.2 million class H to 'B-sf' from 'Bsf'; Outlook Negative;
Fitch affirms and maintains the Rating Outlooks on these classes:
-- $56.6 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $118.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $75 million class A-6 at 'AAAsf'; Outlook Stable;
-- $59.4 million class A-AB at 'AAAsf'; Outlook Stable;
-- $386.7 million class A-7A at 'AAAsf'; Outlook Stable;
-- $55.2 million class A-7B at 'AAAsf/'; Outlook Stable;
-- $435.8 million class A-1A at 'AAAf'; Outlook Stable;
-- $161.4 million class A-J at 'AAsf'; Outlook Stable;
-- $13.2 million class B at 'AAsf'; Outlook Stable;
-- $29.1 million class C at 'Asf'; Outlook Stable;
-- $21.2 million class D at 'BBBsf'; Outlook Stable;
-- $34.4 million class E at 'BBB-sf'; Outlook Stable;
-- $18.5 million class F at 'BBsf'; Outlook Stable;
-- $23.8 million class G at 'BBsf'; Outlook Negative.
The $7.9 million class P and $23.8 million class Q are not rated
by Fitch. Classes A-1, A-2, A-3FX and A-3FL have paid in full.
Fitch previously withdrew the ratings on the interest only classes
X-C and X-P.
GE COMM 2006-C1: Fitch Junks Ratings on Six Certificate Classes
---------------------------------------------------------------
Fitch Ratings has downgraded seven classes of GE Commercial
Mortgage Corporation (GECMC) commercial mortgage pass-through
certificates series 2006-C1. The downgrades are due to greater
certainty of expected losses on the specially serviced assets,
many of which have become real estate owned (REO) since Fitch's
last rating action.
Fitch modeled losses of 7.2% of the remaining pool; expected
losses on the original pool balance total 6.7%, including losses
already incurred. The pool has experienced $5 million (0.3% of
the original pool balance) in realized losses to date. Fitch has
designated 23 loans or crossed loan groupings (18.8%) as Fitch
Loans of Concern, which includes nine specially serviced
assets/portfolios (10.5%). Fitch expects classes H through P to
be fully depleted from eventual losses associated with the
specially serviced assets.
As of the September 2011 distribution date, the pool's aggregate
principal balance has been paid down by 7.1% to $1.5 billion from
$1.61 billion at issuance. One loan (0.1%) has defeased since
issuance. Interest shortfalls are currently affecting classes E
through P.
The largest contributor to expected losses is the Beyman
Multifamily Portfolio III (5.5% of the pool), which consists of
three REO multifamily properties totaling 850 units located in
Memphis and Cordova, TN and Charlotte, NC and built between 2001
and 2004. The loan transferred to special servicing in January
2010 for monetary default and the properties became REO in May and
June 2011. The special servicer is working to stabilize the
properties by increasing occupancy and hiring needed maintenance
personnel before listing for sale.
The next largest contributor to expected losses is the Atlanta
Mall Area Portfolio (1.9%), which consists of two REO retail
properties totaling 158,297 square feet (sf) located in two
submarkets of Atlanta. The properties were developed between 2000
and 2004 and are situated adjacent to super-regional malls (The
Mall at Stonecrest and the Mall of Georgia). The loan transferred
to special servicing in January 2010 for imminent default due to
significant vacancy, and the properties became REO in February
2011. The special servicer is working to lease up the properties
before marketing for sale.
The third largest contributor to expected losses is the 33
Washington Street loan (3.6%), which is secured by a 19-story,
approximately 430,000-sf multi-tenanted office building in the
central business district (CBD) of Newark, NJ. As of the
September 2011 remittance, the loan was due for its July 1, 2011
payment. Lease rollover has plagued the property. Per a June 30,
2011 rent roll, the property was just 48.3% leased to nine
tenants. Over half of the largest tenant's space, 13.2% of the
total net rentable area (NRA), is leased on a month-to-month
basis. Furthermore, the second largest tenant's lease expires on
Oct. 31, 2011 and the third largest tenant's lease expired
on Aug. 31, 2011.
In addition, Fitch's analysis included a deterministic test to
assess low-probability/high-loss event risk in the pool. Fitch
identified the second largest loan, the KinderCare Portfolio
(9.4%), as presenting such risk due to its exposure to a single,
nonrated tenant and the nontraditional property type of the
underlying real estate, which may have limited alternative uses.
Fitch downgrades this class and revises the Recovery Rating (RR)
as indicated:
-- $14.1 million class G to 'CCsf/RR4' from 'CCCsf/RR1'.
Fitch downgrades these classes:
-- $14.1 million class H to 'Csf/RR6' from 'CCCsf/RR6';
-- $6 million class J to 'Csf/RR6' from 'CCsf/RR6';
-- $6 million class K to 'Csf/RR6' from 'CCsf/RR6';
-- $6 million class L to 'Csf/RR6' from 'CCsf/RR6';
-- $2 million class M to 'Csf/RR6' from 'CCsf/RR6';
-- $4 million class N to 'Csf/RR6' from 'CCsf/RR6'.
Fitch affirms these classes as indicated:
-- $45.2 million class A-2 at 'AAAsf'; Outlook Stable;
-- $47.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $45.7 million class A-AB at 'AAAsf'; Outlook Stable;
-- $620.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $259.3 million class A-1A at 'AAAsf'; Outlook Stable;
-- $160.9 million class A-M at 'AAAsf'; Outlook Stable;
-- $146.8 million class A-J at 'BBB-sf'; Outlook Stable;
-- $36.2 million class B at 'BBsf'; Outlook Stable;
-- $14.1 million class C at 'BBsf'; Outlook Negative;
-- $24.1 million class D at 'B-sf'; Outlook Negative;
-- $14.1 million class E at 'CCCsf/RR1';
-- $14.1 million class F at 'CCCsf/RR1';
-- $2 million class O at 'Csf/RR6'.
The class A-1 certificates have paid in full. Fitch does not rate
the $13.1 million class P.
GOLDENTREE CAPITAL: Moody's Raises Rating of Cl. E Notes to 'Ba2'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by GOLDENTREE CAPITAL OPPORTUNITIES, L.P.
US$5,294,000 Class X Principal Protected Notes Due 2030, (current
Rated Balance of $2,130,619.33), Upgraded to Aaa (sf); previously
on June 22, 2011 A2 (sf) Placed Under Review for Possible Upgrade;
US$38,500,000 Class B-1 Second Priority Floating Rate Secured
Notes Due 2020, Upgraded to Aa1 (sf); previously on June 22, 2011
Aa2 (sf) Placed Under Review for Possible Upgrade;
US$3,000,000 Class B-2 Second Priority Fixed Rate Secured Notes
Due 2020, Upgraded to Aa1 (sf); previously on June 22, 2011 Aa2
(sf) Placed Under Review for Possible Upgrade;
US$19,400,000 Class C-1 Third Priority Floating Rate Secured
Deferrable Notes Due 2020, Upgraded to Baa1 (sf); previously on
June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade;
US$10,000,000 Class C-2 Third Priority Fixed Rate Secured
Deferrable Notes Due 2020, Upgraded to Baa1 (sf); previously on
June 22, 2011 Baa2 (sf) Placed Under Review for Possible Upgrade;
US$21,200,000 Class D-l Fourth Priority Floating Rate Secured
Deferrable Notes Due 2020, Upgraded to Baa3 (sf); previously on
June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade;
US$5,000,000 Class D-2 Fourth Priority Fixed Rate Secured
Deferrable Notes Due 2020, Upgraded to Baa3 (sf); previously on
June 22, 2011 Ba2 (sf) Placed Under Review for Possible Upgrade;
US$16,800,000 Class E Fifth Priority Secured Deferrable Notes Due
2020, Upgraded to Ba2 (sf); previously on June 22, 2011 B3 (sf)
Placed Under Review for Possible Upgrade.
Ratings Rationale
According to Moody's, the rating actions taken on the notes (with
the exception of the Class X 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 last rating
action in August 2009. Based on the latest trustee report dated
September 2, 2011, the Class A/B, Class C, Class D and Class E
overcollateralization ratios are reported at 149%, 133%, 121% and
114%, respectively compared to 142%, 127%, 116% and 109%,
respectively as reported in the July 2009 trustee report.
The Class X Notes benefit from the deleveraging of the Rated
Balance. The Rated Balance was $3,176,463 at the last rating
action.
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 $357 million,
defaulted par of $6.6 million, a weighted average default
probability of 27% (implying a WARF of 3600) a weighted average
recovery rate upon default of 49%, and a diversity score of 42.
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.
GoldenTree Capital Opportunities, L.P., issued in 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. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are:
1) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
2) 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 coupon, and diversity score. However, as part of
the base case, Moody's considered coupon and diversity levels
higher than the covenant levels due to the large difference
between the reported and covenant levels.
GS MORTGAGE: S&P Lowers Rating on Class E Certificate to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage pass-through certificates from GS
Mortgage Securities Trust 2007-GG10, a commercial mortgage-backed
securities (CMBS) transaction. "We lowered our rating on class
E to 'D (sf)'. In addition we affirmed our ratings on six classes
from the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion criteria. Our
analysis included a review of the credit characteristics
of all of the loans in the pool, the transaction structure,
and the liquidity available to the trust. The downgrades
also reflect credit support erosion we anticipate will
occur upon the resolution of 32 ($1.56 billion, 21.4%) of
the transaction's 35 ($1.70 billion, 23.3%) specially serviced
assets, one loan ($8.55 million, 0.12%) that was transferred to
special servicing subsequent to the September remittance report,
and 5 loans (($93.9 million, 1.3%) we have determined to be
credit-impaired. We also considered 52 ($2.34 billion, 32.0%)
loans in the pool that have a reported DSC of less than 1.10x, of
which 37 ($1.90 billion, 26.0%) have a reported DSC below 1.00x.
In addition, current and potential interest shortfalls, primarily
due to appraisal subordinate entitlement reductions (ASERs),
prompted us to lower our ratings on class E to 'D (sf)'. We expect
these interest shortfalls to continue for the foreseeable future,"
S&P said.
"Our analysis included a review of the credit characteristics
of all of the assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.13x and a loan-to-value (LTV) ratio of 107.4%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.50x and an LTV ratio of
198.7%. The implied defaults and loss severity under the 'AAA'
scenario were 96.6% and 52.2%, respectively. All of the DSC and
LTV calculations exclude 38 ($1.67 billion, 22.8%) of the
transaction's 41 ($1.8 billion, 24.7%) specially serviced and
credit-impaired assets. We separately estimated losses for the
excluded specially serviced and credit-impaired assets and
included them in the 'AAA' scenario implied default and loss
figures," S&P said.
As of the Sept. 12, 2011, remittance report, the trust experienced
monthly interest shortfalls totaling $2.9 million. The shortfalls
were primarily related to ASER amounts totaling $1.8 million
associated with 25 of the specially serviced assets, as well as
shortfalls due to rate modifications ($418,382), special servicing
fees ($356,856), interest not advanced ($309,987), workout fees
($42,737), interest on advances ($6,778), and other shortfall
charges of $13,886. "Class E has experienced shortfalls for one
month and we anticipate that these shortfalls will continue for
the foreseeable future. Consequently, we lowered our rating on
this class to 'D (sf)'. We downgraded class C to 'CCC (sf)' and
class D to 'CCC- (sf)' due to reduced liquidity support available
to these classes, making them susceptible to interest shortfalls
in the future relating to the specially serviced assets," S&P
said.
"We affirmed our ratings on the principal and interest
certificates to reflect subordination levels and liquidity that is
consistent with the outstanding ratings. We affirmed our ratings
on the class X interest-only (IO) certificates based on our
current criteria," S&P related.
Credit Considerations
As of the Sept. 12, 2011, remittance report, 35 ($1.70 billion,
23.3%) assets in the pool were with the special servicer,
CWCapital Asset Management LLC (CWCapital). The Dockside 500 B
note ($3.8 million, 0.05%) was created due to a modification of a
whole loan with the special servicer. The payment status
of the specially serviced assets is: 11 ($293.8 million, 4.0%) are
real estate owned (REO), 12 ($387.5 million, 5.3%) are in
foreclosure, 8 ($236.2 million, 3.2%) are 90-plus-days delinquent,
two ($657.3 million, 9.0%) are less than 30 days delinquent, and
two ($126.3 million, 1.7%) is current. "Appraisal reduction
amounts (ARAs) totaling $479.1 million were in effect for 29
specially serviced assets. Also, on Sept. 28, 2011, CWCapital
notified us that the Hampton Inn Omaha loan ($8.6 million, 0.12%)
transferred into special servicing," S&P said. The three largest
specially serviced loans are:
The Two California Plaza loan ($470.0 million, 6.4%) is the
largest loan with the special servicer and the third-largest loan
in the pool. It is secured by a 1.3 million-sq.-ft., 52-story
class-A office building that includes retail tenants and a five-
level subterranean parking garage in Los Angeles. The loan
was transferred to the special servicer in December 2010 for
imminent monetary default. The special servicer has a dual track
strategy of starting the foreclosure process as well as discussing
possible modification options with the borrower. The most recent
reported DSC and occupancy were 0.89x and 83.6% as of Sept. 30,
2010. The loan's payment status is less than 30 days delinquent.
"We expect any modification to cause a bifurcation of the
whole loan into an A/B note structure," S&P said.
The TIAA RexCorp Plaza loan ($187.3 million, 2.6%), the seventh-
largest in the pool, is secured by two, connected class A, 15-
story office buildings with a total of 1.1 million sq. ft.,
located in Uniondale, N.Y. The loan was transferred to the special
servicer in October 2010 due to imminent monetary default.
According to the special servicer, the largest tenant at the
property has downsized and the borrower is currently in
negotiations for debt service relief. The most recent reported DSC
and occupancy were 0.80x and 88.6% as of Dec. 31, 2009. The
payment status of the loan is less than 30 days delinquent. "Based
on the most recent appraisal, we expect a significant loss upon
the resolution of this asset," S&P related.
The 119 West 40th Street loan ($160.0 million, 2.2%), the ninth-
largest in the pool, is secured by a 332,500-sq.-ft., 22-story
office building located in the West side office submarket of
Midtown Manhattan, N.Y. The asset was transferred to the special
servicer in June 2009 due to imminent monetary default. According
to the special servicer, Cushman & Wakefield was appointed
receiver as of January 2010. The most recent reported DSC was
0.70x as of Sept. 30, 2009. According to CWCAM, occupancy was 73%
as of June 2011. There is an ARA of $77.8 million for this loan.
"We expect a significant loss upon the resolution of this asset,"
S&P said.
The 32 remaining specially serviced assets have individual
balances that represent less than 2% of the total pool balance.
"Our expected losses for 29 of these specially serviced assets
ranged from 18.3% to 100.0%. Weighted by loan balance, the average
loss severity was 45.7%. The three remaining loans were modified
according to the special servicer and were returned to the master
servicer in September 2011. We also expect a significant loss upon
the resolution of the Hampton Inn Omaha asset which transferred to
the special servicer subsequent to the September remittance
report," S&P related.
In addition to the specially serviced assets, we determined five
loans ($93.9 million, 1.3%) to be credit-impaired. The Mini U
Storage loan, secured by a 346 unit self storage facility in
Maryland, is 30 days delinquent. The Horizon Town Center loan,
secured by a 95,136-sq.-ft. retail center in Nevada, is 60 days
delinquent. The most recent reported DSC for both loans were less
than 1.0x as of Dec. 31, 2010. "The three other credit-impaired
loans ($72.2 million, 1.0%) are B notes created due to
modifications on the whole loans that were previously with the
special servicer. As a result, we view these loans to have
increased risk of default and loss," S&P said.
Five loans totaling $780,650,457 (10.7%) were previously with the
special servicer and have since been returned to the master
servicer. Pursuant to the transaction documents, the special
servicer is entitled to a workout fee that is 1% of all future
principal and interest payments should the loans perform and
remain with the master servicer.
Transaction Summary
As of the Sept. 12, 2011 trustee remittance report, the collateral
pool had a trust balance of $7.30 billion, down from $7.56 billion
at issuance. The pool currently includes 186 loans and 11 REO
assets. The master servicer, Wells Fargo Bank N.A., provided
information for 91.5% of the loans in the pool, all of which was
full-year 2009, interim 2010, full-year 2010, or interim 2011
data. "We calculated a weighted average DSC of 1.15x for the pool
based on the reported figures. Our adjusted DSC and LTV ratio were
1.13x and 107.4%, which exclude 38 ($1.67 billion, 22.8%) of the
transaction's 40 ($1.69 billion, 23.1%) specially serviced assets
and credit-impaired loans. We separately estimated losses for
these assets," S&P said.
"To date, the trust has experienced $128.8 million in principal
losses of relating to 10 assets. Fifty-nine ($2.3 billion, 31.3%)
loans, including the largest and the sixth-largest loan in the
pool, are on the master servicer's watchlist. Fifty- two
($2.34 billion, 32.0%) loans in the pool have a reported DSC
of less than 1.10x, of which 37 ($1.90 billion, 26.0%) have a
reported DSC below 1.00x," S&P related.
Summary of Top 10 Loans
The top 10 loans have an aggregate outstanding trust balance of
$3.14 billion (43.0%). "Using servicer-reported numbers, we
calculated a weighted average DSC of 1.07x for the top 10 loans.
Our adjusted DSC and LTV ratio for the top 10 loans were 1.01x and
155.5%. These figures exclude three of the top 10 loans discussed
in the 'Credit Considerations' section," S&P said.
The Shorenstein Portland Portfolio loan ($697.2 million,
9.6%) is the largest loan in the pool and is secured by
16 office properties in the Greater Portland, Ore., area
totaling 3.8 million rentable sq. ft. in 46 individual
buildings. According to the master servicer, the loan
appears on the watchlist because revenue and DSC have been
declining for multiple years. The average occupancy declined
from 94% in 2007 to an average occupancy level of 80% over the
past couple of years. The reported DSC and occupancy for the 12
months ended Dec. 31, 2010, were 1.15x and 80%.
Two Herald Square ($191.3 million, 2.6%) is the sixth-largest loan
in the pool and is secured by fee interest in the land under the
11-story penthouse building with office and retail space in New
York City's Herald Square shopping district. The owners of the
building pay ground lease payment under a 70-year lease term. The
lender also required the borrower to post letters of credit
totaling $6.9 million to cover any debt service shortfalls. The
loan is on the watchlist due to reported DSC of less than 1.0x.
However, according to the master servicer, after April 2012 ground
lease payments are due to increase, which will cause DSC to
increase above 1.0x. The reported DSC for the 12 months ended
Dec. 31, 2010, was 0.87x.
"Standard & Poor's stressed the assets in the pool according to
our criteria, and the analysis is consistent with our lowered and
affirmed ratings," S&P said.
Ratings Lowered
GS Mortgage Securities Trust 2007-GG10
Commercial mortgage pass-through certificates series 2007-GG10
Rating
Class To From Credit enhancement (%)
A-M B+ (sf) BB (sf) 18.95
A-J B- (sf) B+ (sf) 11.83
B CCC+ (sf) B+ (sf) 10.80
C CCC (sf) CCC+ (sf) 9.50
D CCC- (sf) CCC (sf) 8.72
E D (sf) CCC- (sf) 7.95
Ratings Affirmed
GS Mortgage Securities Trust 2007-GG10
Commercial mortgage pass-through certificates series 2007-GG10
Class Rating Credit enhancement (%)
A-2 AAA (sf) 29.31
A-3 AAA (sf) 29.31
A-AB AAA (sf) 29.31
A-4 BBB- (sf) 29.31
A-1-A BBB- (sf) 29.31
X AAA (sf) N/A
N/A -- Not applicable.
GSC INVESTMENT: Moody's Raises Rating of $16-Mil. Notes to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by GSC Investment Corp. CLO 2007, Ltd.:
US$296,000,000 Class A Floating Rate Senior Notes Due 2020,
Upgraded to Aa1 (sf); previously on June 22, 2011 A1 (sf) Placed
Under Review for Possible Upgrade;
US$22,000,000 Class B Floating Rate Senior Notes Due 2020,
Upgraded to A2 (sf); previously on June 22, 2011 Baa2 (sf) Placed
Under Review for Possible Upgrade;
US$14,000,000 Class C Deferrable Floating Rate Notes Due 2020,
Upgraded to Baa2 (sf); previously on June 22, 2011 Ba2 (sf) Placed
Under Review for Possible Upgrade;
US$16,000,000 Class D Deferrable Floating Rate Notes Due 2020,
Upgraded to Ba1 (sf); previously on June 22, 2011 B3 (sf) Placed
Under Review for Possible Upgrade;
US$22,000,000 Class E Deferrable Floating Rate Notes Due 2020
(current balance of $17,960,044), Upgraded to Ba3 (sf); previously
on June 22, 2011 Caa3 (sf) Placed Under Review for Possible
Upgrade.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of applying Moody's revised CLO assumptions
described in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011. The primary changes to the
modeling assumptions include (1) a removal of the temporary 30%
default probability macro stress implemented in February 2009 as
well as (2) increased BET liability stress factors and increased
recovery rate assumptions.
The actions also reflect consideration of credit improvement of
the underlying portfolio and an increase in the transaction's
overcollateralization ratios since the rating action in August
2009. Based on the August 2011 trustee report, the weighted
average rating factor is currently 2636 compared to 3075 in July
2009. Additionally, the Class A/B, Class C, Class D, and Class E
overcollateralization ratios are reported at 125.05%, 119.78%,
114.27%, and 108.66%, respectively, versus July 2009 levels of
120.08%, 115.01%, 109.73%, and 103.20%, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $398 million,
defaulted par balance of $1.0 million, a weighted average default
probability of 24.42% (implying a WARF of 3116), a weighted
average recovery rate upon default of 51.4%, 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.
GSC Investment Corp. CLO 2007, Ltd., issued in January of 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. 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 and diversity levels higher than the covenant levels due to
the large difference between the reported and covenant levels.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates.
GULF STREAM-COMPASS: S&P Raises Rating on Class D Notes to 'B+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and D notes from Gulf Stream-Compass CLO 2005-II Ltd., a
U.S. collateralized loan obligation (CLO) transaction managed by
Gulf Stream Asset Management LLC. "At the same time, we affirmed
our ratings on the class B and C notes, and removed our ratings on
all of the notes from CreditWatch, where we placed them with
positive implications on Aug. 2, 2011," S&P related.
"The upgrades reflect paydowns to the class A-1 and A-2 notes, as
well as improved performance we have observed in the deal's
underlying asset portfolio since we lowered our ratings on all of
the classes on Nov. 17, 2009, 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 $0.14 million and
the class A-2 notes by $9.76 million, pro rata reducing their
balances to approximately 98.76% of their original balance. As of
the Aug. 15, 2011, trustee report, the transaction's asset
portfolio had $3.54 million in defaulted obligations and
approximately $22.15 million in assets from obligors rated in the
'CCC' range. This was a decrease from $13.30 million in defaulted
obligations and approximately $57.85 million in assets from
obligors rated in the 'CCC' range noted in the Sep. 15, 2009,
trustee report, which we used for our November 2009 rating
actions," S&P said.
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. 15, 2011, monthly report:
The class A/B O/C ratio test was 120.97%, compared with a
reported ratio of 115.51% in September 2009;
The class C O/C ratio test was 111.13%, compared with a
reported ratio of 106.14% in September 2009; and
The class D O/C ratio test was 105.02%, compared with a
reported ratio of 100.34% in September 2009.
"The affirmation of the ratings on the class B and C notes
reflects our belief that the credit support available is
commensurate with the current rating levels," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
Rating And Creditwatch Actions
Gulf Stream-Compass CLO 2005-II Ltd.
Rating
Class To From
A-1 AA+ (sf) AA (sf)/Watch Pos
A-2 AA+ (sf) AA (sf)/Watch Pos
B AA- (sf) AA- (sf)/Watch Pos
C BBB+ (sf) BBB+ (sf)/Watch Pos
D B+ (sf) CCC+ (sf)/Watch Pos
LB-UBS 2005-C5: S&P Lowers Ratings on 9 Classes of Certs. to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes of commercial mortgage pass-through certificates from two
LB-UBS U.S. commercial mortgage-backed securities (CMBS)
transactions.
"The downgrades reflect current and potential interest
shortfalls. We lowered our ratings on 10 of these classes to 'D
(sf)' because we expect the accumulated interest shortfalls to
remain outstanding for the foreseeable future. All 10 classes
that we downgraded to 'D (sf)' have had accumulated interest
shortfalls outstanding between five and 13 months," S&P related.
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 loans;
The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
Special servicing fees; and
Interest rate reductions or deferrals resulting from loan
modifications.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. "We
also considered special servicing fees that are likely, in our
view, to cause recurring interest shortfalls," S&P said.
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)' because ARAs based on a principal balance haircuts 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 14 downgraded classes from the two LB-UBS U.S. CMBS
transactions," S&P said.
LB-UBS Commercial Mortgage Trust 2005-C5
"We lowered our ratings on the class G, H, J, K, L, M, N, P, Q,
and S certificates from LB-UBS Commercial Mortgage Trust 2005-C5.
We lowered our ratings to 'D (sf)' on the class H, J, K, L, M, N,
P, Q, and S certificates to reflect accumulated interest
shortfalls outstanding between five and 13 months, resulting
primarily from ASER amounts related to four ($34.9 million,
1.9%) of the six loans ($93.7 million, 5.1%) that are currently
with the special servicer, LNR Partners LLC (LNR), special
servicing fees as well as the partial repayment of workout fees
totaling $2.4 million that were incurred in the August 2011 and
September 2011 trustee remittance reports due to the liquidation
of the Providence Place Mall loan that was previously specially
serviced. We lowered our rating on class G due to reduced
liquidity support available to this class and the potential for
this class to experience interest shortfalls in the future
relating to the specially serviced loans," S&P said.
As of the Sept. 16, 2011 trustee remittance report, ARAs totaling
$14.1 million were in effect for the four loans and the total
reported monthly ASER amount on these loans was $69,742. The
reported monthly interest shortfalls totaled $106,168, and have
affected all of the classes subordinate to and including class H.
LB-UBS Commercial Mortgage Trust 2006-C4
"We lowered our ratings on the class F, G, H, and J certificates
from LB-UBS Commercial Mortgage Trust 2006-C4. We lowered our
rating to 'D (sf)' on class J to reflect accumulated interest
shortfalls outstanding for six months, resulting primarily from
ASER amounts related to 11 ($137.6 million, 7.9%) of the 25
($229.6 million, 13.2%) assets that are currently with the special
servicer, CWCapital Asset Management LLC, and interest not
advanced, as well as special servicing fees ($47,986) and interest
reduction due to rate modification ($15,753). We lowered our
ratings on classes F, G, and H due to reduced liquidity support
available to these classes and the potential for these classes to
experience interest shortfalls in the future relating to the
specially serviced assets. As of the Sept. 16, 2011 trustee
remittance report, ARAs totaling $69.4 million were in effect for
11 assets and the total reported monthly ASER amount on these
assets was $395,111. The master servicer, Wells Fargo Bank N.A.
(Wells Fargo), made a nonrecoverability determination on two other
specially serviced assets. Consequently, Wells Fargo did not
advance interest totaling $156,480 on these two specially
serviced assets. The reported monthly interest shortfalls totaled
$432,293, which was reduced by ASER recoveries of $183,036 in this
reporting period; and have affected all of the classes subordinate
to and including class J," S&P said.
Ratings Lowered
LB-UBS Commercial Mortgage Trust 2005-C5
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
G CCC- (sf) BB- (sf) 6.43 (96,913) 372,691
H D (sf) B+ (sf) 5.16 104,503 521,914
J D (sf) B+ (sf) 4.37 65,319 326,218
K D (sf) B+ (sf) 3.26 96,435 475,779
L D (sf) B (sf) 2.78 34,794 173,768
M D (sf) B (sf) 2.46 23,200 115,865
N D (sf) B- (sf) 1.99 34,794 173,768
P D (sf) B- (sf) 1.83 11,598 57,923
Q D (sf) B- (sf) 1.51 23,196 115,845
S D (sf) CCC+ (sf) 1.19 23,196 182,556
LB-UBS Commercial Mortgage Trust 2006-C4
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
F CCC+ (sf) B (sf) 8.29 0 0
G CCC- (sf) B (sf) 7.15 0 0
H CCC- (sf) B- (sf) 6.30 0 0
J D (sf) CCC- (sf) 4.74 33,089 560,953
LEAF CAPITAL: Moody's Assigns (P)Ba1 Rating to Class E-1 Notes
--------------------------------------------------------------
Moody's has assigned provisional ratings to the notes to be
issued by LEAF Receivables Funding 7, LLC -- Equipment Contract
Backed Notes, Series 2011-2 (LEAF 2011-2). The transaction is
a securitization of small ticket equipment loans and leases
sponsored by LEAF Capital Funding, LLC (LEAF), a wholly owned
subsidiary of LEAF Commercial Capital, Inc. The loans and
leases are backed by various equipment including primarily
office equipment such as copiers, as well as technology,
telecommunications and industrial equipment. The complete
rating action is:
Issuer: LEAF Receivables Funding 7, LLC -- Equipment Contract
Backed Notes, Series 2011-2
Class A-1 Notes, rated (P) Prime-1 (sf)
Class A-2 Notes, rated (P) Aaa (sf)
Class B Notes, rated (P) Aa2 (sf)
Class C Notes, rated (P) A2 (sf)
Class D Notes, rated (P) Baa2 (sf)
Class E-1 Notes, rated (P) Ba1 (sf)
Class E-2 Notes, rated (P) B1 (sf)
RATINGS RATIONALE
The ratings are based primarily on an analysis of the credit
quality of the collateral, the historical performance of similar
collateral, the ability of LEAF Commercial Capital, Inc. as
servicer, the ability of U.S. Bank National Association as back-up
servicer, the ability of financial guarantor Assured Guaranty
Corp. (Assured) as financial guarantor for the Class A Notes and
control party, and the level of credit enhancement available under
the proposed capital structure. Credit enhancement includes
overcollateralization which is initially 5.75%, a non-declining
reserve account that is funded at 1.5% of original collateral
balance, subordination in the case of the Class A , Class B, Class
C, Class D, and Class E-1 notes, and excess spread. This deal
utilizes a sequential pay structure where each class of notes will
receive all principal collections until it is paid in full,
beginning with the Class A-1 notes. Credit enhancement has been
sized without regard to the financial guarantee policy.
Moody's median cumulative net loss expectation for the collateral
pool securitized in LEAF 2011-2 is 4.25%. Moody's Aaa Volatility
Proxy for the deal is 26.00%. The expected loss is based primarily
on an analysis of the collateral's historical performance --
including securitization performance, static pool performance for
annual originations and managed portfolio performance -- adjusted
to reflect differences between the economic conditions underlying
the historical performance and Moody's expectation of future
economic conditions.
The collateral securitized in this deal was originated by LEAF
Capital Funding, LLC (LEAF). It consists primarily of loans and
leases extended to small to mid-sized obligors and secured by
various types of equipment including office equipment (67.92%),
communications (9.09%), and computer equipment (4.61%). The office
equipment category is largely comprised of copiers. The collateral
pool backing the notes consist of 6,789 equipment loans with an
initial balance of $106,406,097. The weighted average contract
balance is $15,673. The weighted average original and remaining
terms to maturity are 51 and 46 months, respectively. All of the
loans in this deal are fixed interest rate contracts and nearly
all are monthly pay contracts.
The Class A-1 and A-2 are supported by a financial guarantee
insurance policy provided by Assured which covers interest and
principal. Under Moody's Global Structured Finance Operational
Risk Guidelines, transactions from sponsor/servicers that are not
rated or not assessed as investment grade require mitigants (such
as a backup servicer) in order to achieve Moody's highest ratings.
Transactions from sponsor/servicers rated or assessed at the low
end of non-investment grade may require further mitigants such as
a master servicer. In some cases, the highest ratings may not be
able to achieved at all. The presence of a highly-rated guarantor
provides a strong form of support in the form of oversight that in
Moody's view goes beyond the actual financial guarantee policy.
This oversight mitigates operational risk in a highly effective
way that is not directly linked to the financial strength rating
of the guarantor. As long as the guarantor remains viable, it will
be motivated to carefully monitor the transaction and to use every
available tool to act to address operational or performance
problems should they arise. As a result, the ratings of the Notes,
including the Class A Notes, would likely be unaffected by even a
multi-notch downgrade of the guarantor. Should however the policy
be terminated or the guarantor be downgraded to low investment
grade or below, Moody's would revisit the role played by the
guarantor in mitigating operational risk as it relates to Moody's
rating of the Notes at that time.
The V Score for this transaction is Medium, which is somewhat
stronger than the score assigned to the U.S. Small Issuer
Equipment Lease and Loan ABS sector. The V Score indicates
"medium" uncertainty about critical assumptions. 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). While the overall score is medium, significant
deviations from the sector within the individual categories
include the following: Issuer/Sponsor/Originator's historical
Performance Variability which is medium versus medium/high due to
the relatively stable performance of the issuer's collateral;
market value sensitivity is medium rather than low/medium due to
the exposure to residuals; experience and oversight of transaction
parties is low/medium versus medium due to the significant
securitization experience of transaction parties with an oversight
role; and back-up servicer arrangement is low/medium versus medium
due to the back-up servicer arrangement with U.S Bank National
Association and the oversight role of Assured.
Moody's Parameter Sensitivities: If the expected cumulative net
loss used in determining the initial rating were changed to 5.25%,
7.15%, or 8.95% the initial model-indicated rating for the Class A
notes might change from Aaa to Aa1, Aa3, and A2, respectively. If
the expected cumulative net loss used in determining the initial
rating were changed to 4.35%, 5.25%, or 6.05%, the initial model-
indicated rating for the Class B notes might change from Aa2 to
Aa3, A2, and Baa1, respectively. If the expected cumulative net
loss used in determining the initial rating were changed to 4.40%,
5.00%, or 5.95%, the initial model-indicated rating for the Class
C notes might change from A2 to A3, Baa2, and Ba1, respectively.
If the expected cumulative net loss used in determining the
initial rating were changed to 4.35%, 5.15%, or 5.95%, the initial
model-indicated rating for the Class D notes might change from
Baa2 to Baa3, Ba2, and B1, respectively. If the expected
cumulative net loss used in determining the initial rating were
changed to 4.45%, 5.15%, or 5.85%, the initial model-indicated
rating for the Class E-1 notes might change from Ba1 to Ba2, B1,
and B3, respectively. If the expected cumulative net loss used in
determining the initial rating were changed to 4.45%, 4.80%, or
5.50%, the initial model-indicated rating for the Class E-2 notes
might change from B1 to B2, B3, and lower than B3, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
PRINCIPAL METHODOLOGY
The principal methodology used in this rating was "Moody's
Approach to Rating Securities Backed by Equipment Leases and
Loans," March 2007.
MERRILL LYNCH: S&P Lowers Ratings on 5 Classes of Certs. to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 11
classes of commercial mortgage pass-through certificates from
Merrill Lynch Mortgage Trust's series 2005-MKB2, 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 said.
"Our rating actions follow our analysis of the transaction
primarily using our U.S. conduit/fusion CMBS criteria. The
downgrades reflect credit support erosion that we anticipate will
occur upon the resolution of the seven loans ($183.8 million,
21.5%) that are currently with the special servicer and two
loans ($6.5 million, 0.7%) that we determined to be credit-
impaired. We also considered the monthly interest shortfalls that
are affecting the trust. We lowered our ratings on classes H, J,
K, L, and M to 'D (sf)' because we expect the accumulated interest
shortfalls will remain outstanding for the foreseeable future,"
S&P said.
"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. We affirmed our 'AAA
(sf)' ratings on the class XC and XP interest-only certificates
based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
the remaining loans in the pool. Using servicer-provided financial
information, we calculated an adjusted debt service coverage (DSC)
of 1.50x and a loan-to-value (LTV) ratio of 86.8%. We further
stressed the loans' cash flows under our 'AAA' scenario to yield a
weighted average DSC of 1.13x and an LTV ratio of 110.7%. The
implied defaults and loss severity under the 'AAA' scenario were
51.9% and 31.2%, respectively. The DSC and LTV calculations
exclude six defeased loans ($183.7 million, 21.5%), seven loans
($183.8 million, 21.5%) that are currently with the special
servicer, and two loans ($6.5 million, 0.7%) that we determined to
be credit-impaired. We separately estimated losses for the nine
specially serviced and credit-impaired loans and included them in
our 'AAA' scenario implied default and loss severity figures," S&P
said.
As of the Sept. 12, 2011 trustee remittance report, the trust
experienced monthly interest shortfalls totaling $204,114
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts of $108,090 and special servicing fees of $60,234.
"The interest shortfalls affected all classes subordinate to and
including class H. Classes H, J, K, L, and M has had cumulative
interest shortfalls outstanding between six and 15 months and we
expect these interest shortfalls to continue in the near term.
Consequently, we downgraded these classes to 'D (sf)'," S&P said.
Credit Considerations
As of the Sept. 12, 2011 trustee remittance report, seven
loans ($183.8 million, 21.5%) in the pool were with the
special servicer, Torchlight Loan Services LLC (Torchlight).
The reported payment status of the specially serviced loans
as of the September 2011 trustee remittance report is: two
are in foreclosure ($43.4 million, 5.1%), two are 90-plus-days
delinquent ($26.1 million, 3.1%), one is 60-days delinquent
($62.5 million, 7.3%), and two are matured balloon loans
($51.8 million, 6.0%). Appraisal reduction amounts (ARAs)
totaling $24.8 million are in effect against four of the
specially serviced loans. Details of the four largest specially
serviced loans, all of which are top 10 nondefeased loans, are:
The Simon-Desoto Square Mall loan ($62.5 million, 7.3%), the
largest nondefeased loan in the pool, is secured by 492,997 sq.
ft. of a 693,094-sq.-ft. regional mall in Bradenton, Fla., and
has a total reported exposure of $63.6 million. The loan was
transferred to the special servicer on Dec. 3, 2010, due to
imminent monetary default. The reported payment status of the loan
is 60-days delinquent. Torchlight stated that it has ordered an
updated appraisal, and the borrower is currently marketing the
property for sale. The reported DSC was 0.93x for the six months
ended June 30, 2011, and the reported occupancy at the property
was 75.5% as of August 2011. "We expect a significant loss upon
the eventual resolution of this loan," S&P related.
The Lodgian Portfolio 3 loan ($41.9 million, 4.9%), the fifth-
largest nondefeased loan in the pool, is currently secured by five
hotel properties totaling 927 rooms in Maryland, Texas, Arkansas,
and Kentucky and has a total reported exposure of $49.4 million.
The matured balloon loan was transferred to the special servicer
on May 11, 2009, due to imminent maturity default.
The loan matured on July 1, 2009. According to Torchlight, three
of the five properties are currently under contract for sale, and
the fourth property, the Holiday Inn-Baltimore Inner Harbor, is in
advance sale negotiations. The remaining property in Houston,
Texas, is in receivership, and Torchlight anticipates marketing
the property for sale in 2012. "We expect a moderate loss upon the
eventual resolution of this loan," S&P said.
The Centennial Ridge Apartments loan ($36.6 million, 4.3%), the
sixth-largest nondefeased loan in the pool, is secured by 39
garden-style apartment buildings totaling 664 units in Roswell,
Ga., and has a total reported exposure of $38.3 million. The loan
was transferred to the special servicer on Sept. 9, 2009, due to
imminent monetary default. Torchlight stated that it is pursuing
foreclosure. According to Torchlight, the property is currently
93.0% occupied. An ARA of $9.2 million is in effect against the
loan. "We expect a moderate loss upon the eventual resolution of
this loan," S&P said.
The Bank One Plaza-Lexington, Ky. loan ($18.7 million, 2.2%),
the eighth-largest nondefeased loan in the pool, is secured
by a 238,653-sq.-ft. office building in Lexington, Ky., and
has a total reported exposure of $21.0 million. The loan,
which has a reported 90-plus-days delinquent payment status,
was transferred to the special servicer on Oct. 21, 2009,
due to imminent maturity default. The loan had an anticipated
repayment date of Nov. 1, 2009, and a final maturity date of
Nov. 1, 2034. "Torchlight informed us that the collateral
property is being marketed for sale and that it is evaluating
an offer. The reported DSC and occupancy were 0.81x and 48.0%
as of July 2011. An ARA of $12.0 million is in effect against
this loan. We expect a significant loss upon the eventual
resolution of this loan," S&P related.
The three remaining specially serviced loans have individual
balances that represent less than 1.2% of the pooled trust
balance. ARAs totaling $3.6 million are in effect against two of
these loans. We estimated losses for the three loans, arriving at
a weighted-average loss severity of 28.7%.
"In addition, we determined two loans ($6.5 million, 0.7%) to
be credit-impaired. The Carriage Crossing Shopping Center loan
($3.8 million, 0.4%), secured by a 29,018-sq.-ft. retail strip
center in South Jordan, Utah, had a reported DSC of 0.28x for
year-end 2010. The Wingate Inn loan ($2.7 million, 0.3%), secured
by a 112-room limited-service hotel in Winston Salem, N.C., had a
reported DSC of 0.05x and 42.0% occupancy as of year-end 2010. We
view both loans to be at an increased risk of default and loss,"
S&P said.
Transaction Summary
As of the Sept. 12, 2011 trustee remittance report, the collateral
pool balance was $856.2 million, which is 75.3% of the balance
at issuance. The pool includes 72 loans, down from 86 loans at
issuance. The master servicer, KeyBank Real Estate Capital
(KeyBank), provided financial information for 91.0% of the loans
in the pool: 63.4% was full-year 2010 data and the remainder was
full-year 2009 and partial-year 2011 data.
"We calculated a weighted average DSC of 1.47x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.50x and 86.8%. Our adjusted DSC and LTV
figures excluded six defeased loans ($183.7 million, 21.5%), seven
loans ($183.8 million, 21.5%) that are currently with the special
servicer, and two loans ($6.5 million, 0.7%) that we determined to
be credit-impaired. If we included the specially serviced and
credit-impaired loans in our calculation, our adjusted DSC and
LTV figures would have be 1.45x and 92.2%. We separately estimated
losses for the nine specially serviced and credit-impaired loans
and included them in our 'AAA' scenario implied default and loss
severity figures. The transaction has experienced $11.4 million
in principal losses from three assets to date. Sixteen loans
($88.2 million, 10.3%) in the pool are on the master servicer's
watchlist. Six loans ($30.5 million, 3.6%) have a reported
DSC of less than 1.00x, and three loans ($11.2 million, 1.3%)
have a reported DSC between 1.00x and 1.10x," S&P related.
Summary of Top 10 Loans Secured By Real Estate
The top 10 loans secured by real estate have an aggregate
outstanding balance of $361.6 million (42.2%). "Using
servicer-reported numbers, we calculated a weighted average
DSC of 1.51x for eight of the top 10 loans. Four of the top 10
loans ($159.7 million, 18.7%), two of which did not have updated
financial information available, are with the special servicer.
Our adjusted DSC and LTV ratio for six of the top 10 loans were
1.58x and 80.6%, respectively. If we include the reported data for
the specially serviced loans, our adjusted DSC and LTV ratio were
1.45x and 89.6%, respectively, for eight of the top 10 loans," S&P
said.
Standard & Poor's stressed the collateral in the pool according to
its current criteria. "The resultant credit enhancement levels are
consistent with our lowered and affirmed ratings," S&P said.
Ratings Lowered
Merrill Lynch Mortgage Trust
Commercial mortgage pass-through certificates series 2005-MKB2
Rating
Class To From Credit enhancement (%)
B A (sf) AA (sf) 14.27
C A- (sf) AA- (sf) 13.11
D BB+ (sf) A- (sf) 10.62
E B- (sf) BBB (sf) 9.13
F CCC- (sf) BB+ (sf) 6.97
G CCC- (sf) BB- (sf) 5.64
H D (sf) B- (sf) 3.98
J D (sf) CCC (sf) 3.15
K D (sf) CCC- (sf) 2.49
L D (sf) CCC- (sf) 1.99
M D (sf) CCC- (sf) 1.49
Ratings Affirmed
Merrill Lynch Mortgage Trust
Commercial mortgage pass-through certificates series 2005-MKB2
Class Rating Credit enhancement (%)
A-2 AAA (sf) 25.23
A-3 AAA (sf) 25.23
A-SB AAA (sf) 25.23
A-4 AAA (sf) 25.23
A-1A AAA (sf) 25.23
AJ AAA (sf) 18.09
XC AAA (sf) N/A
XP AAA (sf) N/A
N/A -- Not applicable.
ML-CFC COMMERCIAL: S&P Cuts Ratings on 2 Classes of Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on six
classes of commercial mortgage pass-through certificates from ML-
CFC Commercial Mortgage Trust 2007-7, a U.S. commercial mortgage-
backed securities (CMBS) transaction. "Concurrently, we affirmed
our ratings on eight other classes from the same transaction," S&P
said.
"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. Our downgrades reflect
credit support erosion that we anticipate will occur upon the
eventual resolution of 30 ($269.8 million, 10.8%) of the
transaction's 41 ($505.9 million, 20.2%) specially serviced assets
and five additional loans ($44.6 million, 1.8%) 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 two classes to 'D (sf)' because we expect
the interest shortfalls to continue for the foreseeable future,"
S&P stated.
The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. "We affirmed our 'AAA
(sf)' rating on the class X interest-only (IO) certificate based
on our current criteria," S&P related.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.27x and a loan-to-value
(LTV) ratio of 120.6%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of 0.80x
and a LTV ratio of 164.4%. The implied defaults and loss severity
under the 'AAA' scenario were 86.6% and 44.8%. The DSC and LTV
calculations exclude one ($13.6 million, 0.5%) defeased loan, 30
($269.8 million, 10.8%) of the transaction's 41 ($505.9 million,
20.2%) specially serviced assets, and five loans ($44.6 million,
1.8%) that we determined to be credit impaired. We separately
estimated losses for the excluded specially serviced and credit
impaired assets and included them in our 'AAA' scenario implied
default and loss figures," S&P stated.
As of the Sept. 14, 2011, trustee remittance report, the trust had
experienced monthly interest shortfalls totaling $922,918,
primarily related to appraisal subordinate entitlement reduction
(ASER) amounts totaling $861,426. The interest shortfalls have
affected all classes subordinate to and including class B. Classes
B and C have had accumulated interest shortfalls outstanding
for two and seven consecutive, months respectively. "We expect
these interest shortfalls to continue in the near term, and
consequently, we lowered our ratings on classes B and C to 'D
(sf)'," S&P related.
Credit Considerations
As of the Sept. 14, 2011, trustee remittance report, 41
($505.9 million, 20.2%) assets in the pool were with the special
servicer, Midland Loan Services Inc. (Midland). The reported
payment status of the specially serviced assets is: one is real
estate owned (REO; $2.0 million, 0.1%), four ($145.3 million,
5.8%) are in foreclosure, 29 ($286.1 million, 11.4%) are 90-plus
days delinquent, one ($18.4 million, 0.7%) is 60 days delinquent,
three ($25.6 million, 1.0%) are late but less then 30 days
delinquent, one ($13.9 million, 0.6%) is in its grace period, and
two ($14.5 million, 0.6%) are current. Appraisal reduction amounts
(ARAs) totaling $212.8 million are in effect for 38 of the
specially serviced assets. Details of the two largest specially
serviced assets, both of which are top 10 loans, are:
The One Pacific Plaza loan ($105.0 million 4.2%), the largest
loan in the pool, is secured by a 428,244-sq.-ft. mixed-use
property primarily consisting of office space located in
Huntington Beach, Calif. The loan was transferred to the special
servicer on Nov. 11, 2009, due to imminent default and foreclosure
was filed on Jan. 21, 2010. Midland indicated that the loan has
since been modified. The modification terms include a full loan
assumption. Reported DSC and occupancy were 0.79x and 66.6% as of
year-end 2010 and July 2011.
The 10 Milk Street loan ($58.0 million, 2.3%) is the third-largest
loan in the pool and the second-largest loan with the special
servicer. The loan is secured by a 229,843-sq.-ft. office property
located in Boston. The payment status of this loan was reported as
90-plus days delinquent. The loan was transferred to the special
servicer on March 15, 2010. According to the recent reporting
comments, this loan has been modified. Midland has indicated that
the modification terms include a note rate reduction for the
period of two years.
The remaining 39 specially serviced assets have balances that
individually represent less than 1.0% of the total pool balance.
"We estimated losses for 30 of these assets, arriving at a
weighted average loss severity of 50.9%. The nine assets for which
we did not forecast losses at this time have either been modified
or are pending modification," S&P said.
"In addition to the specially serviced assets, we determined
five loans ($44.6 million, 1.8%) to be credit impaired. All
five loans appear on the master servicers' combined watchlist
for delinquency, DSC and/or tenant expiration issues. As of the
Sept. 14, 2011, trustee remittance report, the reported payment
status of one ($18.7 million, 0.8%) of the loans was 60 days
delinquent, three ($23.5 million, 0.9%) were 30 days delinquent,
and one ($2.3 million, 0.1%) was in its grace period. The last
loan reported had a year-end 2011 reported DSC of 0.48x. Given
the aforementioned, we view all five of these loans as being at
increased risk of default and loss," S&P related.
Transaction Summary
As of the Sept. 14, 2011 trustee remittance report, the pool
balance was $2.50 billion, which is 89.8% of the pool balance
at issuance. The pool includes 301 loans and one REO asset,
down from 326 loans at issuance. The master servicers, Midland
and Wells Fargo Commercial Mortgage Servicing, provided financial
information for 92.2% of the nondefeased assets in the pool, the
majority of which was full-year 2010 data. "We calculated a
weighted average DSC of 1.24x for the loans in the pool based on
the servicer-reported figures. Our adjusted DSC and LTV ratio were
1.27x and 120.6%. Our adjusted DSC and LTV figures exclude one
($13.6 million, 0.5%) defeased loan, 30 ($269.8 million, 10.8%) of
the transaction's 41 ($505.9 million, 20.2%) specially serviced
assets, and five loans ($44.6 million, 1.8%) that we determined to
be credit impaired. Recent financial reporting information was
available for 25 of the 35 excluded specially serviced and credit
impaired assets, and reflected a weighted average reported DSC of
0.86x. To date, the transaction has experienced $126.1 million in
principal losses in connection with 23 assets. Eighty-five loans
($661.5 million, 26.4%) in the pool are on the master servicers'
combined watchlist. Seventy-four loans ($737.0 million, 29.5%)
have a reported DSC of less than 1.10x, 55 of which
($479.9 million, 19.2%) 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
$530.0 million (21.2%). "Our adjusted DSC and LTV ratio for
the top 10 loans are 1.13x and 152.3%. One of the top 10 loans,
Residence Inn Bethesda ($46.3 million, 1.9%) is scheduled to
mature in mid-2012. According to the year-end 2010 servicer-
reported financials, the DSC for this loan was 1.88x. Three
($111.3 million, 4.5%) of the top 10 loans appear on the master
servicers' combined watchlist. The largest of these is the
Millbridge Apartments loan ($40.0 million, 1.6%), which is the
fifth-largest loan in the pool. The loan, which is secured by an
848-unit apartment complex in Clementon, N.J., appears on the
watchlist due to a covenant compliance violation. The collateral
property was built in 1970. As of June 2011, reported DSC and
occupancy were 1.58x and 91.2%," S&P stated.
The Scottsdale Center loan is the seventh-largest loan in the pool
and the second-largest loan on the master servicers' combined
watchlist, with a trust balance of $38.0 million (1.5%). The loan,
which is secured by a 201,565-sq.-ft. anchored retail center in
Rogers, Ark., appears on the watchlist due to a low reported DSC
as well as a significant decrease in occupancy. The master
servicer reported a 0.90x DSC as of year-end 2010.
Based on the May 2011 rent roll, occupancy was 80.0%, up from
76.9% as of year-end 2010.
The Broadstone Vista Ridge loan is the ninth-largest loan in the
pool and the third-largest loan on the master servicers' combined
watchlist, with a trust balance of $33.3 million (1.3%). The loan,
which is secured by a 372-unit multifamily property in Lewisville,
Texas, is being monitored by the master servicer for delinquency.
The master servicer reported a 1.08x DSC as of 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 lowered and affirmed ratings," S&P said.
Ratings Lowered
ML-CFC Commercial Mortgage Trust 2007-7
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
AM BB (sf) BB+ (sf) 16.87
AM-FL BB (sf) BB+ (sf) 16.87
AJ CCC (sf) B+ (sf) 8.10
AJ-FL CCC (sf) B+ (sf) 8.10
B D (sf) CCC (sf) 5.87
C D (sf) CCC- (sf) 4.76
Ratings Affirmed
ML-CFC Commercial Mortgage Trust 2007-7
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 28.00
A-2FL AAA (sf) 28.00
A-3FL AAA (sf) 28.00
A-SB AAA (sf) 28.00
A-4 A- (sf) 28.00
A-4FL A- (sf) 28.00
A-1A A- (sf) 28.00
X AAA (sf) N/A
N/A -- Not applicable.
MLFA 2007-CANADA: Moody's Affirms Cl. F Notes Rating at 'Ba1'
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
and affirmed 13 classes of Merrill Lynch Financial Assets Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2007-Canada
22:
Cl. A-1, Afffirmed at Aaa (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Afffirmed at Aaa (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Afffirmed at Aaa (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. B, Afffirmed at Aa2 (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aa2 (sf)
Cl. C, Afffirmed at A2 (sf); previously on Jun 20, 2007 Definitive
Rating Assigned A2 (sf)
Cl. D, Afffirmed at Baa2 (sf); previously on Jun 20, 2007
Definitive Rating Assigned Baa2 (sf)
Cl. E, Afffirmed at Baa3 (sf); previously on Jun 20, 2007
Definitive Rating Assigned Baa3 (sf)
Cl. F, Afffirmed at Ba1 (sf); previously on Jun 20, 2007
Definitive Rating Assigned Ba1 (sf)
Cl. G, Downgraded to Ba3 (sf); previously on Jun 20, 2007
Definitive Rating Assigned Ba2 (sf)
Cl. H, Downgraded to B2 (sf); previously on Oct 1, 2009 Downgraded
to B1 (sf)
Cl. J, Downgraded to Caa1 (sf); previously on Dec 2, 2010
Downgraded to B3 (sf)
Cl. K, Afffirmed at Caa2 (sf); previously on Dec 2, 2010
Downgraded to Caa2 (sf)
Cl. L, Afffirmed at Caa3 (sf); previously on Dec 2, 2010
Downgraded to Caa3 (sf)
Cl. XP-1, Afffirmed at Aaa (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. XP-2, Afffirmed at Aaa (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. XC, Afffirmed at Aaa (sf); previously on Jun 20, 2007
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are due to realized and expected losses from
specially serviced and troubled loans.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
2.6% of the current pooled balance as compared to 1.8% at last
review. Moody's stressed scenario loss is 13.2% 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Canadian CMBS" published in May 2000. Please see the Credit
Policy page on www.moodys.com for a copy of these methodologies.
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 13, which is the
same as at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v8.2 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 and
sponsorship. These aggregated proceeds are then 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 December 2, 2010.
DEAL PERFORMANCE
As of the September 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 9% to $396 million
from $434 million at securitization. The Certificates are
collateralized by 63 mortgage loans ranging in size from less than
1% to 22% of the pool, with the top ten loans representing 60% of
the pool. The pool contains less than 1% of defeasance. The pool
does not contain any loans with credit estimates.
Eleven loans, representing 13% 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.
One loan has been liquidated from the pool, resulting in an
aggregate realized loss of $2.5 million (44% loss severity). One
loan, representing less than 1% of the pool, is currently in
special servicing. The specially serviced loan is the Super 8 --
Woodstock Loan ($2 million -- 0.6%), which is secured by a 66 unit
limited service hotel in Woodstock, Ontario. The loan transferred
to special servicing in August 2011. A recent title search
revealed the property had delinquent property taxes and
unauthorized subordinate debt. The servicer has since advanced
funds to pay for the property's taxes, which are no longer
delinquent. The borrower has not provided updated financial
information for over two years. The loan is 30 days delinquent.
The servicer has not yet recognized an appraisal reduction for
this loan, while Moody's expected loss is approximately $800,000
or 34%.
Moody's has assumed a high default probability for four poorly
performing loans representing 4% 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, interest shortfalls
are $18,056 and are contained to the deal's non-rated class.
Moody's does not anticipate that interest shortfalls will be a
significant concern for this transaction. The deal's one specially
serviced loan is its only delinquent loan. 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 69% 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 95% compared to 98% 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%.
Moody's actual and stressed conduit DSCRs are 1.47X and 1.07X,
respectively, compared to 1.45X and 1.04X 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 conduit loans represent 37% of the pool. The
largest conduit loan is the Holiday Portfolio Loan ($86 million --
21.6%), which is a 50% pari passu interest in a $171 million
mortgage. The loan is secured by ten independent living properties
located throughout the provinces of Alberta, British Columbia,
Ontario, Quebec and Saskatchewan. As of December 2010, individual
property occupancies ranged from 80% to 100% and the overall
portfolio was 93% leased. The portfolio was 91% leased at last
review. The loan is full recourse to the borrower. Holiday
Retirement, the sponsor, owns over 300 independent senior living
communities in North America. Moody's LTV and stressed DSCR are
105% and 0.90X, respectively, compared to 102% and 0.92X at last
review.
The second largest conduit loan is the StorageMart Portfolio Loan
($44 million --11.1%) which is secured by seven self-storage
properties located throughout the provinces of Alberta, Ontario,
and Saskatchewan. As of December 2010, individual property
occupancies ranged from 61% to 88%. The overall portfolio was 75%
leased, which is the same as last review. Two of the seven
individual loans are on the watchlist for low DSCR. Moody's LTV
and stressed DSCR are 92% and 1.06X, respectively, compared to
116% and 0.84X at last review.
The third largest conduit loan is the Evton Midtown Office
Portfolio Loan ($20 million -- 5.1%), which was originally secured
by three office buildings, totaling 181,000 SF, located in
Toronto, Ontario. The smallest of the three portfolio properties
was sold in March 2010. The release price was $3.025 million. The
remaining two properties are 90% leased as of March 15, 2011 as
compared to 88% at last review. Moody's LTV and stressed DSCR are
81% and 1.31X, respectively, compared to 89% and 1.18X at last
review.
MLFA 2007-CANADA: Moody's Says Debt Buy Doesn't Affect Ba2 Rating
-----------------------------------------------------------------
Moody's Investors Service said that Constellation Brands'
announcement that it has acquired the additional 50.1% of Ruffino
that it did not already own for approximately Euro 50 million plus
approximately Euro 55 million of acquired debt does not affect the
Ba2 rating or positive outlook.
"Although the purchase will temporarily slow down improvement in
leverage metrics due to the addition of approximately $140 million
in debt, Moody's sees the transaction as a long term positive for
Constellation's business" said Linda Montag, Moody's Senior Vice
President.
Constellation has been the US Distributor of Ruffino wines since
it first acquired a partial stake in the company in December,
2004. Ruffino is now the number three Italian super premium wine
in IRI channels in the US and the number two Chianti in the US
with a 50% share in the over $20 price point in the category,
according to Constellation. Sales of Ruffino are growing at
approximately 9% and the brand is one of STZ's "focus" brands.
Full ownership of the brand gives the company greater control.
This may drive incremental sales and will certainly boost top line
growth, as it will now be fully consolidated rather than accounted
for under the equity method. Consolidation also improves
visibility into the company's results. Importantly, it also
resolves the uncertainty in the dispute with the former owners of
Ruffino over the value of the put of the 50.1% ownership, which
eliminates management distraction over the issue.
The principal methodology used in this rating was Moody's "Global
Alcoholic Beverage Rating Methodology". Other methodologies used
include Loss Given Default for Speculative-Grade Non-Financial
Companies in the U.S., Canada and EMEA published in June 2009.
Headquartered in Victor, New York, Constellation Brands, Inc. is a
leading international wine company with a broad portfolio of
premium brands across the wine, spirits, and imported beer
categories. Major brands in the company's portfolio include Robert
Mondavi, Clos du Bois, Ravenswood, Blackstone, Nobilo, Kim
Crawford, Inniskillin, Jackson-Triggs, Arbor Mist, Black Velvet
Canadian Whisky, and SVEDKA vodka. It imports Corona through the
Crown Imports Joint Venture. On a pro-forma basis excluding the
recently sold Australian and UK businesses, FYE 2/2011 net sales
were approximately $2.6 billion.
MSC 2011-C3: DBRS Puts 'B' Rating on Class G Certificates
---------------------------------------------------------
DBRS has finalized the provisional ratings of these classes of
Commercial Mortgage Pass-Through Certificates, Series 2011-C3
issued by MSC 2011-C3 Mortgage Trust. The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B at AAA (sf)
-- Class A-J at AAA (sf)
-- Class B at AA (sf)
-- Class C at "A" (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BBB (low) (sf)
-- Class G at B (high) (sf)
The collateral consists of 63 fixed-rate loans secured by 76
multifamily, mobile home parks and commercial properties. The
portfolio has a balance of $1,491,988,764. The pool consists of
relatively low-leverage financing, with a DBRS weighted-average
term debt service coverage ratio (DSCR) and debt yield of 1.51
times (x) and 9.9%, respectively, based on the trust amount.
MSC 2011-C3: Moody's Assigns Definitive Ba2 Rating to Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by Morgan Stanley Capital I Trust 2011-
C3, Commercial Mortgage Pass-Through Certificates, Series 2011-C3.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-J, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The Certificates are collateralized by 63 fixed rate loans secured
by 76 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.63X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.14X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 93.2% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated debt) of 97.9% is also considered
when analyzing various stress scenarios for the rated debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is
25.9. The transaction's loan level diversity is higher than the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 27.1. The
transaction's property diversity profile is higher than the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-J to mitigate the potential increased
severity to class A-J.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.04, which is better
than the indices calculated in most multi-borrower transactions
since 2009.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 23%, the model-indicated rating for the currently
rated Super Senior Aaa classes and the rated Aaa A-J class would
be Aaa, Aa1; Aaa, Aa2; and Aa1, A1. 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.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
ONE GREENPOINT: S&P Raises Rating on Class I-A-3 From 'D' to 'CC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on class
I-A-3 from GreenPoint Mortgage Funding Trust 2005-AR4 by raising
it to 'CC (sf)' from 'D (sf)'. "In addition, we lowered our
ratings on two other classes and affirmed our ratings on four
other classes from the same transaction," S&P related.
"On Dec. 17, 2010, we incorrectly downgraded class I-A-3 based on
the trustee's November 2010 remittance report, which had indicated
that this class had experienced a principal write-down. However,
the trustee subsequently issued a revised remittance report, which
removed the realized loss amount previously allocated to this
class," S&P said.
"The 'CC (sf)' rating on class I-A-3 and the downgrades on the two
other classes reflect our view that the current projected credit
support will be insufficient to meet the projected loss amount for
these classes," S&P related.
This is the pool information for GreenPoint Mortgage Funding Trust
2005-AR4 as of Aug. 25, 2011:
Original Lifetime
Balance* Pool Loss Total Severe
(mil $) Factor* Projection* Delinq.* Delinq.*
2,769 20.06% 16.40% 54.79% 50.27%
*Original Balance represents the original pool balance; Pool
Factor represents a percentage of the original pool balance
remaining; Lifetime Loss Projection is a percentage of the
original pool balance; and Total Delinquencies and Severe
Delinquencies are percentages of the current pool balance
"To assess the creditworthiness of each class, we reviewed the
individual delinquency and loss trends of each transaction for
changes, if any, in the ability to withstand additional credit
deterioration. In order to maintain a 'B' rating on a class, we
assessed whether, in our view, a class could absorb the additional
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 the remaining base-case
assumption at a percentage specific to each rating category, up to
150% for a 'AAA' rating. For example, in general, we would assess
whether a 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 and overcollateralization provide credit support for
this transaction. The underlying collateral for this deal consists
of payment option ARM mortgage loans secured by first liens on
one- to four-family residential properties.
Rating Corrected
GreenPoint Mortgage Funding Trust 2005-AR4
Series 2005-AR4
Rating
Class CUSIP Current 12/17/2010 Pre-12/17/2010
I-A-3 39538WBT4 CC (sf) D (sf) CC (sf)
Rating Actions
GreenPoint Mortgage Funding Trust 2005-AR4
Series 2005-AR4
Rating
Class CUSIP To From
II-A-1 39538WBU1 CC (sf) CCC (sf)
III-A-1 39538WBW7 CC (sf) CCC (sf)
Ratings Affirmed
GreenPoint Mortgage Funding Trust 2005-AR4
Series 2005-AR4
Class CUSIP Rating
IV-A-1a 39538WBY3 CCC (sf)
IV-A-1b 39538WBZ04 CCC (sf)
IV-A-2 39538WCA4 CC (sf)
Grantor trust IV-A-1b 39538WCY2 CCC (sf)
PPLUS LMG-3: S&P Raises Ratings on 2 Classes of Certs. to 'BB'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on PPLUS
Trust Series LMG-3's $30.55 million class A and B certificates to
'BB' from 'BB-' and removed them from CreditWatch, where S&P
placed them with positive implications on July 11, 2011.
"Our ratings on the certificates are dependent on our rating on
the underlying security, Liberty Interactive Corp.'s 8.25% senior
unsecured debentures due Feb. 1, 2030 ('BB')," S&P related.
"The upgrades and CreditWatch removals follow our Sept. 29, 2011,
raising of our rating on the underlying security to 'BB' from 'BB-
' and its removal from CreditWatch with positive implications. We
may take subsequent rating actions on the certificates due to
changes in our rating assigned to the underlying security," S&P
said.
PPLUS LMG-4: S&P Raises Ratings on 2 Classes of Certs. to 'BB'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on PPLUS
Trust Series LMG-4's $35 million class A and B certificates to
'BB' from 'BB-' and removed them from CreditWatch, where S&P
placed them with positive implications on July 11, 2011.
"Our ratings on the certificates are dependent on our rating on
the underlying security, Liberty Interactive Corp.'s 8.25% senior
unsecured debentures due Feb. 1, 2030 ('BB')," S&P said.
"The upgrades and CreditWatch removals follow our Sept. 29, 2011,
raising of our rating on the underlying security to 'BB' from
'BB-' and its removal from CreditWatch with positive implications.
We may take subsequent rating actions on the certificates due to
changes in our rating assigned to the underlying security," S&P
related.
PPLUS TRUST: Moody's Reviews Ba3 Rating on $40-Mil. Certificates
----------------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
rating of these certificates issued by PPLUS Trust Series FMC-1:
$40,000,000 PPLUS 8.25% Trust Certificates; Ba3 Placed Under
Review for Possible Upgrade; Previously on October 22, 2010
Upgraded to Ba3
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 7.45% Notes due 2031 issued by Ford Motor Company which
were placed on review for upgrade by Moody's on October 5, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
PREFERREDPLUS TRUST: Moody's Reviews Ba3 Rating; Possible Upgrade
-----------------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
rating of these certificates issued by PREFERREDPLUS Trust Series
FRD-1:
PREFERREDPLUS 7.40% Trust Certificates; Ba3 Placed Under Review
for Possible Upgrade; Previously on October 22, 2010 Upgraded to
Ba3
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 7.40% Debentures due November 1, 2046 issued by Ford
Motor Company which were placed on review for upgrade by Moody's
on October 5, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
PREFERREDPLUS TRUST: S&P Raises Rating on $31-Mil. Certs. to 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on
PreferredPLUS Trust Series LMG-2's $31 million certificates to
'BB' from 'BB-' and removed it from CreditWatch, where S&P placed
it with positive implications on July 11, 2011.
"Our rating on the certificates is dependent on our rating on the
underlying security, Liberty Media Corp.'s 8.5% senior unsecured
notes due July 15, 2029 ('BB')," S&P related.
"The upgrade and CreditWatch removal follows our Sept. 29, 2011,
raising of our rating on the underlying security to 'BB' from
'BB-' and its removal from CreditWatch with positive implications.
We may take subsequent rating actions on the certificates due to
changes in our rating on the underlying security," S&P related.
PREFERREDPLUS TRUST: S&P Raises Rating on $125-Mil. Certs. to 'BB'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on
PreferredPLUS Trust Series LMG-1's $125.875 million certificates
to 'BB' from 'BB-' and removed it from CreditWatch, where S&P
placed it with positive implications on July 11, 2011.
"Our rating on the certificates is dependent on our rating on the
underlying security, Liberty Media Corp.'s 8.25% senior unsecured
debentures due Feb. 1, 2030 ('BB')," S&P stated.
"The upgrade and CreditWatch removal follows our Sept. 29, 2011,
raising of our rating on the underlying security to 'BB' from
'BB-' and its removal from CreditWatch with positive implications.
We may take subsequent rating actions on the certificates due to
changes in our rating on the underlying security," S&P related.
PUBLIC STEERS: Moody's Reviews 'Ba3' Rating for Possible Upgrade
----------------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
ratings of these certificates issued by Public Steers Series 1998
F-Z4 Trust:
US$106,903,000 Initial Principal Amount Class A Trust
Certificates; Ba3 Placed Under Review for Possible Upgrade;
Previously on October 22, 2010 Upgraded to Ba3
US$125,000,000 Principal Amount at Maturity Class B Trust
Certificates; Ba3 Placed Under Review for Possible Upgrade;
Previously on October 22, 2010 Upgraded to Ba3
RATINGS RATIONALE
The transaction is a structured note whose ratings are based on
the rating of the Underlying Securities and the legal structure of
the transaction. The rating actions are a result of the change of
the rating of 7.70% Debentures due May 15, 2097 issued by Ford
Motor Company which were placed on review for upgrade by Moody's
on October 5, 2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
SCHOONER TRUST: DBRS Confirms 'BB' Rating on Class G Certs.
-----------------------------------------------------------
DBRS has confirmed these ratings of 17 classes of Schooner Trust
Commercial Mortgage Pass-Through Certificates, Series 2005-3:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class XP-1 at AAA (sf)
Class XC-1 at AAA (sf)
Class XP-2 at AAA (sf)
Class XC-2 at AAA (sf)
Class B to AA (high) (sf)
Class C to AA (low) (sf)
Class D-1 to BBB (high) (sf)
Class D-2 to BBB (high) (sf)
Class E to BBB (sf)
Class F to BBB (low) (sf)
Class G to BB (high) (sf)
Class H at BB (low) (sf)
Class J at B (high) (sf)
Class K at B (sf)
Class L at B (low) (sf)
In addition to the ratings confirmations, DBRS has changed the
trend on Class J, Class K, and Class L from stable to negative to
appropriately reflect the unique risks associated with the 71
Rexdale Boulevard and the Corner Brook Plaza loans.
The ratings confirmations reflect the increased credit enhancement
from a collateral reduction of approximately 19% since issuance.
Eleven loans have paid out of the pool since issuance. The
weighted-average debt service coverage ratio remains stable at
1.61x.
At issuance, DBRS shadow-rated seven loans, 5.21% of the current
pool balance, as investment-grade. DBRS has confirmed that the
performance of these individual loans remain consistent with
investment-grade loan characteristics.
There are currently four loans on the servicer's watchlist,
representing 1.58% of the current pool balance. These loans
remain current but are reporting performance issues and have been
placed on the servicer's watchlist. One of these loans is
highlighted below.
The White Oak Industrial loan (0.75% of current pool balance) is
secured by a flex industrial/office property in London, Ontario;
approximately 1 km north of the Hwy 401 and 402 interchange. The
loan is on the servicer's watchlist due to a consistently
declining occupancy rate, which was 56% as of May 2011. While the
drop in the occupancy rate is a concern, the YE2010 DSCR was
strong at 1.39x and the leverage point is low at $13 psf.
DBRS has added one loan, 71 Rexdale Boulevard (3.32% of the
current pool balance) to the DBRS HotList because the property is
now vacant. The previous sole tenant exercised its lease
termination option in July 2011. The subject itself is a single
use, cold storage facility, and although the servicer has reported
that the borrower has received interest from prospective tenants,
it may be difficult to sign a new tenant given the specific use of
the property and the specialty build out. The YE2010 DSCR was
1.52x, but it is anticipated that the DSCR will decrease now that
the property is vacant. DBRS will continue to monitor the loan
closely.
DBRS continues to closely monitor the Corner Brook Plaza loan
(5.89% of the current pool balance), which is secured by a
regional shopping mall in Corner Brook, Newfoundland. There is
concern with the subject's competitiveness in what appears to be
an overbuilt retail market. The total trade area has a population
of approximately 77,000 and there are two competing malls, as well
as strip retail centre, which contains Wal-Mart, Canadian Tire,
and Marks Work Warehouse, among other national tenants. The
overbuilding of retail in this trade area, coupled with the fact
that the local economy in Corner Brook is struggling is a concern.
According to StatCan, the Corner Brook unemployment rate was
13.7%, well above the national average of 7.3%. While the loan
has performed well over the term and had a YE2010 DSCR of 1.58x
with a 97% occupancy rate, the sustainability of the performance
in a stressed market could be challenging. DBRS will continue to
monitor this loan closely.
DBRS continues to monitor this transaction on a monthly basis in
the Monthly CMBS Surveillance Report.
SCHOONER TRUST: DBRS Confirms Class F Rating at 'BB'
----------------------------------------------------
DBRS has confirmed these ratings of all 14 classes of Schooner
Trust Commercial Mortgage Pass-Through Certificates, Series 2006-
6:
Class A-1 at AAA (sf)
Class A-2 at AAA (sf)
Class XC at AAA (sf)
Class XP at AAA (sf)
Class B at AA (sf)
Class C at A (sf)
Class D at BBB (sf)
Class E at BBB (low) (sf)
Class F at BB (high) (sf)
Class G at BB (sf)
Class H at BB (low) (sf)
Class J at B (high) (sf)
Class K at B (sf)
Class L at B (low) (sf)
All trends are Stable.
The ratings confirmations reflect the increased credit enhancement
from a collateral reduction of approximately 18% since issuance.
Fourteen loans have paid out of the pool since issuance. The
weighted-average debt service coverage ratio is stable at 1.50x.
There are currently three loans on the servicer's watchlist,
representing 2.85% of the current pool balance. These loans
remain current but are reporting performance issues and have been
placed on the servicer's watchlist. One of these loans is
highlighted below.
The 2150 Islington Avenue loan (2.13% of the current pool balance)
is secured by a Class B office property in northwestern Toronto.
It was placed on the servicer's watchlist due to a low occupancy
rate, which had been approximately 71% from December 2007 through
January 2010. At YE2010 however, the occupancy rate had increased
to 86%, but the DSCR had fallen to 0.98x, down from 1.26x at
YE2009. The drop in the DSCR was attributed to the borrower
offering free rent and rent credits in order to sign new tenants.
Rental income from recently signed tenants is scheduled to be paid
in the latter half of 2011 and should stabilize performance.
DBRS has placed two loans to the DBRS HotList. Both loans are
being added to the DBRS HotList for occupancy issues. Each loan
is discussed in detail below.
The EPCOR Centre loan (4.11% of the current pool balance) is
secured by an office building in the financial district of
downtown Edmonton. The loan is being added to the DBRS HotList
because the namesake tenant, EPCOR Utilities, which occupies 98%
of the NRA, will vacate the property when its lease expires at
YE2011. According to the servicer, the borrower intends to
complete $3 million in renovations to the building upon the
departure of EPCOR and plans to make the building more suitable
for multiple tenants, which should help facilitate leasing
activity. The YE2010 DSCR was stable at 1.56x, but is expected to
fall if new tenants are not signed. The city of Edmonton has yet
to fully rebound from the economic recession which could make
finding new tenants difficult. The loan does benefit from 100%
recourse to GE Canada. DBRS will continue to closely monitor the
loan.
The Northwest Centre loan (3.21% of the current pool balance) is
secured by two Class B office properties in northwestern suburban
Calgary. The loan is being added to the DBRS HotList because one
tenant, Komex International, which occupies 67% of the NRA, will
vacate most of its space upon its lease expiration at YE2011. Of
the approximately 52,500 sf Komex currently occupies, it will only
maintain 4,500 sf, on a month-to-month basis after its lease
expiration. According to the servicer, an existing tenant at the
subject has expressed interest in taking over a portion of the
space to be left vacant by Komex. While DBRS does not give credit
to the potential takeover of the Komex space, it is a positive
sign that existing tenants have expressed interest in expanding
their operations within the building. The YE2010 DSCR was strong
at 1.85x, but is likely to decline if the borrower cannot sign
replacement tenants. DBRS will monitor the loan closely.
DBRS continues to monitor this transaction on a monthly basis in
the Monthly CMBS Surveillance Report, which can provide more
detailed information on the individual loans in the pool.
SEAWALL SPC: Moody's Affirms Caa1 Rating of Series 2008 Notes
-------------------------------------------------------------
Moody's has affirmed the ratings of one class of Notes issued by
Seawall SPC, Series 2008 CMBS CDO-2 (Seawall SPC -- Paired Notes).
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 and synthetic) transactions.
Series 2008 CMBS CDO-2 US$62,125,964 Class A Floating Rate Notes
Due 2049, Affirmed at Caa1 (sf); previously on Dec 17, 2010
Downgraded to Caa1 (sf)
RATINGS RATIONALE
Seawall SPC -- Paired Notes is a static synthetic transaction
backed by a credit default swap on two commercial mortgage backed
securities (CMBS) (100% of the pool balance). The reference
obligations consist of the AJ classes from the BACM 2007-3 and
BSCMS 2007-PWR16 conduit-fusion transactions. The aggregate
reference obligation notional amount is $62.3 million, the same as
that at securitization.
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 2,050, the same as that at
last review. The distribution of current ratings and credit
estimates is as follows: Baa1-Baa3 (50%, the same as that at last
review) and B1-B3 (50%, the same as that at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 5.7
years compared to 5.3 years at last review. The longer WAL is due
to a revised assumption in the payment rate of the underlying
reference bonds.
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 25%, the same as that 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 74.5% at
last review. The low MAC is due to the low diversity and high
credit risk profile of the underlying collateral.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to rating changes within the reference obligation pool.
Holding all other key parameters static, stressing the ratings of
the reference obligation by two notches downward negatively
affects the model results by approximately 1.0 notch downward.
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.
SIGNATURE 7: Moody's Raises Rating of Class C Notes to 'Ba3'
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Signature 7 L.P.:
US$168,090,000 Class A Floating Rate Notes Due July 28, 2019
(current outstanding balance of $27,325,273), Upgraded to Aaa
(sf); previously on June 22, 2011 A1 (sf) Placed Under Review for
Possible Upgrade;
US$15,085,000 Class B Deferrable Floating Rate Notes Due July 28,
2019, Upgraded to A3 (sf); previously on June 22, 2011 B1 (sf)
Placed Under Review for Possible Upgrade;
US$12,930,000 Class C Deferrable Floating Rate Notes Due July 28,
2019 (current outstanding balance of $11,440,026), 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 delevering of the
senior notes since the rating action in August 2010. Moody's notes
that the Class A Notes have been paid down by approximately 47% or
$24.1 million. As a result of the delevering, the
overcollateralization ratios have increased since the rating
action in August 2010. Based on the latest trustee report dated
August 18, 2011, the Class A, Class B and Class C
overcollateralization ratios are reported at 235.19%, 151.54% and
119.34%, respectively, versus July 2010 levels of 156.54%, 125.97%
and 109.72%, respectively. In particular, the Class C
overcollateralization ratio has increased in part due to the
diversion of excess interest to delever the Class C Notes. Since
the rating action in August 2010, $0.2 million of interest
proceeds have reduced the outstanding balance of the Class C Notes
by 1.7%.
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 $63.8 million,
defaulted par of $7.3 million, a weighted average default
probability of 20.52% (implying a WARF of 3125), a weighted
average recovery rate upon default of 31.49%, and a diversity
score of 22. 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.
Signature 7 L.P., issued in July 2004, is a collateralized bond
obligation backed primarily by a portfolio of senior unsecured
bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. This publication incorporates rating criteria that
apply to both collateralized loan obligations and collateralized
bond obligations.
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.
For securities whose default probabilities are assessed through
credit estimates ("CEs"), Moody's applied a 1.0 notch-equivalent
assumed downgrade for CEs last updated between 12-15 months ago.
Additionally, for each security that does not have a Moody's
estimated or public rating, which represented 10.4% of the
portfolio, Moody's assumed the rating equivalent of Caa3 in its
analysis. For each CE where the related exposure constitutes more
than 3% of the collateral pool, Moody's applied a 2-notch
equivalent assumed downgrade (beginning with CEs relating to the
largest single-issuer exposures, but representing in aggregate no
greater than 30% of the pool) in lieu of the aforementioned
stresses. Notwithstanding the foregoing, in all cases the lowest
assumed rating equivalent is Caa3.
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 bond market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
4) Exposure to credit estimates and securities without a Moody's
rating: The deal is exposed to a large number of securities whose
default probabilities are assessed through credit estimates or do
not have an estimated or public Moody's rating. In the event that
Moody's is not provided the necessary information to update the
credit estimates in a timely fashion, the transaction may be
impacted by any default probability stresses Moody's may assume in
lieu of updated credit estimates. For securities without a Moody's
estimated or public rating, Moody's assumed a rating equivalent of
Caa3 in its analysis. Moody's also conducted stress tests to
assess the collateral pool's concentration risk in obligors
bearing a credit estimate that constitute more than 3% of the
collateral pool.
5) The deal has a pay-fixed receive-floating interest rate swap
that is currently out of the money. If fixed rate assets prepay or
default, there would be a more substantial mismatch between the
swap notional and the amount of fixed assets. In such cases,
payments to hedge counterparties may consume a large portion or
all of the interest proceeds, leaving the transaction, even with
respect to the senior notes, with poor interest coverage. Payment
timing mismatches between assets and liabilities may cause
additional concerns. If the deal does not receive sufficient
projected principal proceeds on the payment date to supplement the
interest proceeds shortfall, a heightened risk of interest payment
default could occur. Similarly, if principal proceeds are used to
pay interest, there may ultimately be a risk of payment default on
the principal of the notes.
SORIN REAL ESTATE: Moody's Lowers Rating of Class A1 Notes to B2
----------------------------------------------------------------
Moody's has downgraded the ratings of one class and affirmed the
ratings of six classes of Notes issued by Sorin Real Estate CDO I,
Ltd. The downgrades are due to deterioration in the underlying
collateral as evidenced by the Moody's weighted average rating
factor (WARF). 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 and Re-Remic) transactions.
Class A1 Floating Rate Senior Notes, Downgraded to B2 (sf);
previously on Mar 12, 2009 Downgraded to Ba3 (sf)
Class A2 Floating Rate Senior Notes, Affirmed at Ca (sf);
previously on Nov 11, 2010 Downgraded to Ca (sf)
Class B Floating Rate Senior Notes, Affirmed at Ca (sf);
previously on Mar 12, 2009 Downgraded to Ca (sf)
Class C Floating Rate Subordinate Notes, Affirmed at C (sf);
previously on Nov 11, 2010 Downgraded to C (sf)
Class D Floating Rate Subordinate Notes, Affirmed at C (sf);
previously on Mar 12, 2009 Downgraded to C (sf)
Class E Floating Rate Subordinate Notes, Affirmed at C (sf);
previously on Mar 12, 2009 Downgraded to C (sf)
Class F Fixed Rate Subordinate Notes, Affirmed at C (sf);
previously on Mar 12, 2009 Downgraded to C (sf)
RATINGS RATIONALE
Sorin Real Estate CDO I, Ltd. is a static cash CRE CDO transaction
backed by a portfolio of commercial mortgage backed securities
(CMBS) (50.3% of the pool balance), asset backed securities
including (ABS) (28.3%), B-Notes (11.2%), collateralized debt
obligations (9.5%), whole loans (0.4%) and mezzanine debt (0.3%).
As of the August 31, 2011 Trustee report, the aggregate Note
balance of the transaction, including preferred shares, was
$376.0 million from $403.0 million at issuance, with the paydown
directed to the Class A1 Notes, as a result of amortization of the
underlying collateral and failing the Class A/B Principal Coverage
test.
There are twenty-six assets with a par balance of $91.3 million
(25.8% of the current pool balance) that are considered Defaulted
Securities as of the August 31, 2011 Trustee report. Sixteen of
these assets (45.2% of the defaulted balance) are ABS, eights
assets are CMBS (45.6%), one asset is a CDO (10.9%) and one asset
is a whole loan (1.4%). 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 4,708 compared to 3,465 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (12.6% compared to 16.0% at last review), A1-A3
(2.9% compared to 2.1% at last review), Baa1-Baa3 (19.0% compared
to 24.8% at last review), Ba1-Ba3 (6.7% compared to 16.4% at last
review), B1-B3 (13.5% compared to 13.5% at last review), and Caa1-
C (45.4% compared to 33.4% 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 2.2 years compared
to 2.5 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
20.8% compared to 20.3% at last review, including Defaulted
Securities.
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 11.8% compared to 9.7% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
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 28% to 18% or up to 38% would result in
average rating movement on the rated tranches of 0 to 1 notches
downward and 0 to 1 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of assumption uncertainty
are the current sluggish macroeconomic environment and 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.
STRATA 2005-3: Moody's Assigns 'Ba2' Rating to US$12-Mil. Notes
---------------------------------------------------------------
Moody's Investors Service has assigned a rating to these notes:
US$12,000,000 Floating Rate Notes Due 2017 issued by Strata 2005-3
Limited, Assigned Ba2 (sf).
RATINGS RATIONALE
The proceeds of the sale of the Notes were used on the closing
date of June 23, 2005 to acquire US$12,000,000 of Bank of America
Corporation Floating Rate Notes, (the "Initial Collateral
Assets"). On the closing date, the Issuer also entered into an
interest rate and total return swap agreement (the "Swap
Agreement") with Bank of America, N.A. (the "Swap Provider").
Under the Swap Agreement, the Issuer and the Swap Provider will
exchange certain payments linked to the payments made in respect
of the collateral assets, initially the Initial Collateral Assets,
and the Class C Third Priority Deferrable Floating Rate Notes Due
2017 issued by LCM III Ltd and LCM III Corp (the "Reference
Security"). The Swap Agreement enables the holders of the Notes to
participate in the economic performance of the Reference Security
without having an ownership interest therein.
The holders of the Notes are exposed to three sources of
risks: (i) credit risk and market risk of the Reference Security;
(ii) credit risk and market risk of the collateral assets; and
(iii) credit risk of the Swap Provider. Moody's reviewed the
credit support agreement dated October 5, 2011 entered into by
the Issuer and the Swap Provider, which requires the Swap Provider
to post collateral to secure its obligations under the Swap
Agreement, should its short-term rating falls below P1 or its
long-term, unsecured and unsubordinated rating below A2. This
agreement substantially mitigated the credit risk of the Swap
Provider. As a result, Moody's rating of the Notes primarily
reflects the credit and market risk of the Reference Security,
currently rated at Ba1, and secondarily the credit and market risk
of the Initial Collateral Assets, currently rated at Baa1.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
TRUST CERTIICATES: Moody's Reviews Ba3 Rating of Class A-1 Notes
----------------------------------------------------------------
Moody's Investors Service has placed on review for upgrade the
rating of these certificates issued by Trust Certificates (TRUCs)
Series 2002-1 Trust:
7.70% Class A-1 Certificates due 2097; Ba3 (sf) Placed Under
Review for Possible Upgrade; Previously on October 22, 2010
Upgraded to Ba3 (sf)
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of 7.70% Debentures due 2097 issued by Ford Motor Company
which were placed on review for upgrade by Moody's on October 5,
2011.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
* S&P Puts 'BB-' Ratings on 8 Ford-Related Transactions on Watch
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'BB-' ratings on
eight Ford Motor Co.-related transactions on CreditWatch with
positive implications.
All of the transactions are pass-through structures. The
ratings on each of them are dependent on the ratings on one
of the following underlying securities: Ford Motor Co.'s 7.45%
debentures due July 16, 2031 ('BB-/Watch Pos'); Ford Motor Co.'s
7.7% debentures due May 15, 2097 ('BB-/Watch Pos'); and Ford Motor
Co.'s 7.4% debentures due Nov. 1, 2046 ('BB-/Watch Pos').
"The CreditWatch actions follow our Sept. 29, 2011, placement of
our 'BB-' ratings on the three underlying securities on
CreditWatch positive. We may take subsequent rating actions on
these transactions due to changes in our ratings on the underlying
securities," S&P related.
Ratings Placed On Creditwatch Positive
Corporate Backed Trust Certificates Ford Motor Co.
Debenture-Backed Series 2001-36 Trust
$58.501 million pass-through series 2001-36 due May 15, 2097
(underlying security: Ford Motor Co.'s 7.7% debentures
due May 15, 2097)
Rating
Class To From
A1 BB-/Watch Pos BB-
CorTS Trust For Ford Debentures
$300 million 7.4% pass-through due Nov. 1, 2046
(underlying security: Ford Motor Co.'s 7.4% debentures
due Nov. 1, 2046)
Rating
Class To From
Certs BB-/Watch Pos BB-
CorTS Trust II For Ford Notes
$219.584 million 8% pass-through series 2003-3
due July 16, 2031
(underlying security: Ford Motor Co.'s 7.45% debentures due
July 16, 2031)
Rating
Class To From
Certs BB-/Watch Pos BB-
PPLUS Trust Series FMC-1
$40 million 8.25% pass-through series FMC-1 due July 16, 2031
(underlying security: Ford Motor Co.'s 7.45% debentures
due July 16, 2031)
Rating
Class To From
Certs BB-/Watch Pos BB-
PreferredPlus Trust Series FRD-1
$50 million trust certificates series FRD-1
(underlying security: Ford Motor Co.'s 7.4% debentures
due Nov. 1, 2046)
Rating
Class To From
Certs BB-/Watch Pos BB-
Public STEERS Series 1998 F-Z4 Trust
$231.903 million pass-through series 1998 F-Z4
due Nov. 15, 2018
(underlying security: Ford Motor Co.'s 7.7% debentures
due May 15, 2097)
Rating
Class To From
A BB- (sf)/Watch Pos BB- (sf)
B BB- (sf)/Watch Pos BB- (sf)
SATURNS Trust No. 2003-5
$75.027 million 8.125% pass-through series 2003-5
due July 16, 2031
(underlying security: Ford Motor Co.'s 7.45% debentures
due July 16, 2031)
Rating
Class To From
Units BB-/Watch Pos BB-
Trust Certificates (TRUCs) Series 2002-1 Trust
$32 million 7.7% pass-through series 2002-1 due May 15, 2097
(underlying security: Ford Motor Co.'s 7.7% debentures
due May 15, 2097)
Rating
Class To From
A-1 BB-/Watch Pos BB-
* S&P Cuts Ratings on 1,643 Tranches from 420 U.S. CDOs to 'D'
--------------------------------------------------------------
Standard & Poor's Rating Services lowered its ratings on 1,538
tranches from 379 U.S. cash flow and hybrid collateralized debt
obligation (CDO) transactions and 105 tranches from 41 U.S.
synthetic CDO transactions to 'D (sf)' from 'CC (sf)'. All of
the affected CDOs are collateralized by or reference structured
finance (SF) assets including: mezzanine SF CDOs and high-grade
SF CDOs backed predominantly by residential mortgage-backed
securities (RMBS); CDO of CDO transactions backed predominantly
by tranches of CDO transactions in turn backed by RMBS; and CDOs
of commercial mortgage-backed securities (CMBS).
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_CDO_Downgrades_101111.pdf
"The rating actions follow a review of U.S. CDO transactions
backed predominantly by SF assets that had tranches that we had
previously downgraded to 'CC (sf)'. We downgraded the tranches to
'D (sf)' because they have, in our view, little realistic
prospects of repayment, and many are unlikely to receive any
future principal payments due to the ongoing collateral
deterioration of the RMBS and other assets in these deals. We are
taking these actions given the diminished amount of assets
supporting the outstanding CDO liabilities," S&P related.
* S&P Lowers Ratings on 8 Classes of Certificates to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 21
classes of commercial mortgage pass-through certificates from five
U.S. commercial mortgage-backed securities (CMBS) transactions due
to interest shortfalls.
"The downgrades reflect current and potential interest shortfalls.
We lowered our ratings on eight of these classes to 'D (sf)'
because we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The classes that we
downgraded to 'D (sf)' have had accumulated interest shortfalls
outstanding between three and 10 months," S&P related. The
recurring interest shortfalls for the respective certificates are
primarily due to one or more of these factors:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced loans;
The lack of servicer advancing for loans where the servicer
has made nonrecoverable advance declarations;
Special servicing fees; and
Interest rate reductions or deferrals resulting from loan
modifications.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (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 related.
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 based our decision to
lower our ratings on certain classes to 'D (sf)' primarily on ASER
amounts based on ARAs calculated from MAI appraisals. 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 stated.
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 21 downgraded classes from the five U.S. CMBS
transactions," S&P said.
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-CPN1
"We lowered our ratings on the class D, E, F, G, and H
certificates from Credit Suisse First Boston Mortgage Securities
Corp.'s series 2003-CPN1. We lowered our rating on the class H
certificate to 'D (sf)' to reflect accumulated interest
shortfalls outstanding for four months, primarily due to ASER
amounts related to the six ($120.2 million, 16.6%) loans that
are currently with the special servicer, Midland Loan Services
(Midland), as well as special servicing fees and interest
reduction due to rate modification ($2,674). We lowered our
ratings on classes D, E, F, and G due to reduced liquidity
support available to these classes and their potential to
experience interest shortfalls related to the specially serviced
loans. As of the Sept. 16, 2011, trustee remittance report, ARAs
totaling $64.6 million were in effect for six loans and the total
reported monthly ASER amount on these loans was $194,909. The
reported monthly interest shortfalls totaled $223,809. Class G,
and all classes subordinate to it, had accumulated interest
shortfalls outstanding as of the Sept. 16, 2011, trustee
remittance report," S&P stated.
Credit Suisse Commercial Mortgage Trust Series 2007-C2
"We lowered our ratings on the class C, D, E, F, G, H, and
J certificates from Credit Suisse Commercial Mortgage Trust
Series 2007-C2. We lowered our ratings on classes H and J to 'D
(sf)' to reflect accumulated interest shortfalls outstanding for
four and six months primarily due to ASER amounts related to 13
($656.1 million, 20.3%) of the 21 ($750.9 million, 23.3%) loans
that are currently with the special servicer, Torchlight Investors
LLC (Torchlight), as well as special servicing fees, interest not
advanced on a loan that the servicer has made a nonrecoverable
advance declaration ($13,430), and interest rate reduction from
loan modifications ($176,533). We lowered our ratings on classes
C, D, E, F, and G due to reduced liquidity support available
to these classes and their potential to experience interest
shortfalls related to the specially serviced loans. Classes C
through G have had accumulated interest shortfalls outstanding
between three and four months as of the Sept. 16, 2011, trustee
remittance report. If the classes continue to experience interest
shortfalls, we may lower our ratings on these classes to 'D (sf)'.
As of the Sept. 16, 2011, trustee remittance report, ARAs totaling
$207.5 million were in effect for 14 loans, 13 of which generated
reported monthly ASER amounts totaling $970,692. The reported
monthly interest shortfalls totaled $1.3 million. Class C, and all
classes subordinate to it, had accumulated interest shortfalls
outstanding as of the Sept. 16, 2011, trustee remittance report,"
according to S&P.
ML-CFC Commercial Mortgage Trust 2006-2
"We lowered our ratings on the class E, F, G, and H certificates
from ML-CFC Commercial Mortgage Trust 2006-2. We lowered our
ratings on classes G and H to 'D (sf)' to reflect accumulated
interest shortfalls outstanding for three and eight months
primarily due to ASER amounts related to 15 ($193.8 million,
11.4%) of the 22 ($280.6 million, 16.5%) assets that are
currently with the special servicer, CWCapital Asset Management
LLC, as well as special servicing fees ($60,474), interest
not advanced on a loan for which the servicer has made a
nonrecoverable advance declaration ($42,482), and interest rate
reduction due to a loan modification ($18,336). We lowered our
ratings on classes E and F due to reduced liquidity support
available to these classes and their potential to experience
interest shortfalls related to the specially serviced assets. As
of the Sept. 12, 2011 trustee remittance report, ARAs totaling
$75.2 million were in effect for 19 assets, 15 of which generated
monthly ASER amounts totaling $289,147 (net of ASER recovery in
this reporting period was $153,144). Class G, and all classes
subordinate to it, had accumulated interest shortfalls outstanding
as of the Sept. 12, 2011 trustee remittance report," S&P said.
Merrill Lynch Mortgage Trust 2005-MCP1
"We lowered our ratings on the class G, H, and J certificates from
Merrill Lynch Mortgage Trust 2005-MCP1. We lowered our ratings to
'D (sf)' on the class H and J certificates to reflect accumulated
interest shortfalls outstanding for six and seven months primarily
due to ASER amounts related to six ($44.4 million, 3.4%) of the
nine ($87.2 million, 6.6%) loans that are currently with the
special servicer, Midland, as well as special servicing and
workout fees ($21,794), and interest rate reduction due to a loan
modification ($15,466). We lowered our rating on class G due to
reduced liquidity support available to this class. As of the
Sept. 12, 2011, trustee remittance report, ARAs totaling
$15.8 million were in effect for eight loans, six of which
generated monthly ASER amounts totaling $72,804. The reported
monthly interest shortfalls totaled $91,679 and have affected
all of the classes subordinate to and including class H," S&P
related.
Wachovia Bank Commercial Mortgage Trust Series 2003-C7
"We lowered our ratings on the class N and O certificates from
Wachovia Bank Commercial Mortgage Trust's series 2003-C7. We
lowered our rating on class O to 'D (sf)' to reflect accumulated
interest shortfalls outstanding for 10 months, primarily due to
ASER amounts related to three ($25.2 million, 3.5%) of the four
($58.1 million, 8.1%) loans that are currently with the special
servicer, Torchlight, and special servicing fees. We lowered our
rating on class N due to reduced liquidity support available to
this class and its potential to experience interest shortfalls
related to the specially serviced loans. As of the Sept. 15, 2011,
trustee remittance report, ARAs of $11.1 million were in effect
for three loans and the total reported monthly ASER amounts on
these loans was $50,362. The reported monthly interest shortfalls
totaled $74,691 and have affected classes subordinate to and
including class O," S&P said.
Ratings Lowered
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-CPN1
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
D BBB- (sf) AA- (sf) 15.62 0 0
E BB+ (sf) A+ (sf) 14.24 0 0
F B+ (sf) BBB+ (sf) 12.85 (2,591) 0
G CCC- (sf) BBB- (sf) 10.43 (82,455) 79,282
H D (sf) B+ (sf) 9.04 48,987 154,412
Credit Suisse Commercial Mortgage Trust Series 2007-C2
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
C CCC (sf) B- (sf) 8.98 (16,905) 167,692
D CCC (sf) B- (sf) 8.08 139,944 415,396
E CCC- (sf) B- (sf) 7.57 79,970 295,642
F CCC- (sf) B- (sf) 6.68 139,944 555,343
G CCC- (sf) CCC+ (sf) 5.78 139,944 555,343
H D (sf) CCC+ (sf) 4.38 209,716 838,864
J D (sf) CCC- (sf) 3.23 171,588 1,020,320
ML-CFC Commercial Mortgage Trust 2006-2
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
E CCC (sf) BB (sf) 6.12 0 0
F CCC- (sf) B+ (sf) 4.36 0 0
G D (sf) B (sf) 3.27 (4,657) 63,198
H D (sf) CCC- (sf) 2.05 105,374 693,280
Merrill Lynch Mortgage Trust 2005-MCP1
Commercial mortgage pass-through certificates
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
G CCC- (sf) B- (sf) 2.63 0 0
H D (sf) CCC (sf) 0.98 38,930 88,802
J D (sf) CCC- (sf) 0.48 24,709 166,123
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2003-C7
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
N CCC- (sf) CCC+ (sf) 2.32 0 0
O D (sf) CCC- (sf) 1.79 15,129 105,275
*********
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
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related conferences are encouraged. Send announcements to
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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
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Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
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Copyright 2011. All rights reserved. ISSN: 1520-9474.
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