/raid1/www/Hosts/bankrupt/TCR_Public/120115.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, January 15, 2012, Vol. 16, No. 12
Headlines
1ST FINANCIAL: DBRS Confirms Sr. Cash Collateral Account at 'BB'
5180 CLO: S&P Affirms 'BB' Rating on Class D Deferrable Notes
ALLY AUTO: Moody's Assigns Provisional Ratings to Six Classes
APIDOS CDO: S&P Raises Rating on Class E Notes to 'BB'; Off Watch
ASHFORD CDO: S&P Affirms Rating on Class B-1L Note at 'CCC-'
BACM 2000-2: Moody's Raises Rating of Cl. H to 'Baa1' From 'B1'
BANC OF AMERICA: Fitch Lowers Rating on Nine Certificate Classes
BEAR STEARNS: DBRS Confirms Class J Rating at 'BB'
BEAR STEARNS: DBRS Downgrades Class M to 'D'
BEAR STEARNS: Increased Losses Prompt Fitch to Affirms Ratings
BRASCAN STRUCTURED: S&P Withdraws 'BB' Rating on Class D CDO
BRIDGEPORT CLO: Removes 'BB' Rating on Class D Notes From Watch
BSCMS 2004-PWR4: Moody's Affirms Cl. J Notes Rating at 'Ba1'
CARLYLE HIGH: S&P Raises Class E Note Rating From 'CCC-' to 'B+'
CBA COMMERCIAL: S&P Lowers Rating on Class M-1 Certificate to 'D'
CHESAPEAKE FUNDING: Securitizations Not Affected of VFN Upsize
CLASS V FUNDING: Moody's Confirms Rating of $68-Mil. Notes at Caa2
CONNECTICUT CDO: S&P Affirms 2 Notes Classes Ratings at 'CCC+'
CONNECTICUT CDO III: S&P Affirms 2 Notes Classes Ratings at 'CCC-'
CONNECTICUT CLO: S&P Affirms Class C Notes Rating at 'CCC-'
CORNERSTONE CLO: S&P Raises Rating on Class C Notes to 'BB+'
CSFB 2002-CKP1: Moody's Affirms Rating of Cl. H Notes at 'Ba2'
CSMC 2006-C3: Moody's Reviews 'Ba2' Rating of Cl. D Notes
CVS CREDIT: Moody's Affirms Rating of Series A-2 Notes at 'Ba1'
DBUBS 2011: Fitch Affirms Rating on Two Cert. Classes at Low-B
EATON VANCE: S&P Raises Class D Note Rating From 'CCC-' to 'BB+'
GALE FORCE: S&P Raises Rating on Class E Notes From 'B+' to 'BB'
GCCFC 2003-C2: Moody's Downgrades Rating of Cl. H Notes to 'Ba1'
GCCFC 2004-GG1: Moody's Affirms Rating of Cl. J Notes at 'Ba1'
GECMC 2003-C2: Moody's Affirms Rating of Cl. J Notes at 'Ba1'
GSMS 1999-C1: Moody's Lowers Rating of Cl. F Notes to 'Ba1'
GULF STREAM-SEXTANT: S&P Removes 'BB+' Class D Rating From Watch
INNER HARBOR: Fitch Affirms Junk Rating on Four Note Classes
IRWIN WHOLE: Moody's Corrects Press Release Dated June 30, 2010
IRWIN WHOLE: Moody's Corrects Rating for Class IA-1 to 'B3'
JPMORGAN 2007-CIBC18: S&P Lowers Rating on Class E Certs. to 'CCC'
LANDMARK III: S&P Affirms Rating on Class B-2L Notes at 'CCC-'
LBCMT 1996-C2: Moody's Affirms Rating of Cl. F Notes at 'Caa1'
LBUBS 2000-C3: Moody's Raises Rating of Cl. H Notes to 'B1'
LIGHTPOINT CLO: Moody's Raises Rating on Class E Sec. Notes to B2
LUBBOCK HOUSING: Moody's Affirms 'Ba2' Rating on Refunding Bonds
MACH ONE: DBRS Confirms Class H Rating at 'BB'
MARIAH RE: S&P Lowers Series 2010-1 Note Rating From 'CC' to 'D'
MMCA AUTO OWNER: Moody's Assigns Provisional Ratings to 6 Classes
MORGAN STANLEY: DBRS Confirms Class F Rating at 'CCC'
MORGAN STANLEY: DBRS Confirms Class B Rating at 'B'
MORGAN STANLEY: Fitch Junks Rating on Seven Note Classes
MORGAN STANLEY: S&P Cuts Rating on Class ISrA to 'D'
MORGAN STANLEY: S&P Lowers 2 Note Classes Ratings to 'D'
MSC 1998-CF1: Moody's Raises Rating of Cl. F Notes to 'Ba3'
MSDWC 2001-TOP3: Moody's Lowers Rating of Cl. E Notes to 'B1'
MULTIPLE SECURITY: DBRS Confirms Class J at 'BB'
NAVIGATOR CDO: Moody's Raises Rating on US$6-Mil. Notes to 'Ba2'
NORTH STREET: Moody's Ups Rating on US$26.7-Mil. Notes to 'Caa3'
PALISADES CDO: S&P Lowers Rating on Class A-2 Notes to 'CC'
PARTS PRIVATE: Fitch Puts Rating on Class C Notes at 'CCC'
PMAC 1999-C1: Moody's Affirms Rating of Cl. G Notes at 'Caa2'
PREMIUM LOAN: Moody's Confirms US$11-Mil. Notes Rating at 'Caa1'
ROSEDALE CLO: S&P Lowers Rating on Class E Notes From 'B+' to 'CC'
SACO I: Moody's Raises Rating on Class 3B-3 RMBS to 'B1'
SANTANDER DRIVE: Moody's Gives (P)Ba2 Rating to Class E Notes
SANTADER DRIVE: S&P Gives 'BB+' Rating on Class E Automobile Notes
SATURNS SEARS: Moody's Lowers Rating of $46-Mil. Notes to 'Caa1'
SKYTOP CLO: S&P Withdraws 'CCC+' Rating on Class C Notes
SOUTH CAROLINA: Moody's Lowers Rating of Series A-1 Notes to Caa3
STRIPS III: Moody's Cuts Rating on Class N Notes to 'Ca(sf)'
SYMPHONY VI: S&P Raises Rating on Class D Notes From 'B+' to 'BB'
SYMPHONY III: S&P Ups Rating on Class E Notes From 'CCC+' to 'BB'
TENNESSEE ENERGY: Moody's Ups Series 2006A Bond Rating From Ba3
TOWNSHIP OF WEEHAWKEN: Moody's Raises $5MM Bond Rating from 'Ba1'
UBS-CITIGROUP: DBRS Puts 'BB' Rating on Class F Certs.
VALEO INVESTMENT: Moody's Raises Rating of Class B-1 Notes to Caa1
VENTURE IX: S&P Raises Rating on Class E Notes From 'B-' to 'BB-'
WACHOVIA 2004-C11: S&P Cuts Ratings on 4 Classes of Certs. to 'D'
* Moody's Says 2012 Outlook for U.S. ABCP is Negative
* Moody's Says Challenges to U.S. Private Label RMBS Will Persist
*********
1ST FINANCIAL: DBRS Confirms Sr. Cash Collateral Account at 'BB'
----------------------------------------------------------------
DBRS has assigned ratings to these classes issued by 1st Financial
Credit Card Master Note Trust II (Trust II), Series 2011-A:
-- $83.1 million Series 2011-A Notes, Class A rated AAA (sf)
-- $11.8 million Series 2011-A Notes, Class B rated AA (high)
(sf)
-- $13.4 million Series 2011-A Notes, Class C rated A (high)
(sf)
-- $16.5 million Series 2011-A Notes, Class D rated BBB (high)
(sf)
This transaction represents the first series issued by Trust II in
2011.
In connection with the issuance of Series 2011-A, approximately
$95 million of receivables will be transferred from 1st Financial
Credit Card Master Note Trust III ("Trust III") to 1st Financial
Credit Card Master Note Trust II ("Trust II"). After the
transaction is issued, there will be six series outstanding in
Trust II.
DBRS has also confirmed the exiting ratings in both Trust II and
Trust III. The rating confirmations on the existing series are
due to the ability of the transactions to withstand stressed cash
flow assumptions, the conservative nature of DBRS base case
variables (principal payment rate, charge-offs and yield), the
credit enhancement for each series, rated note and rated Cash
Collateral Accounts, the presence of excess spread triggers with a
3.5% buffer and the current level of excess spread. Current
performance has also been in line with DBRS expectations.
The ratings reflect the ability of the transaction structure to
withstand significant stresses relative to base case losses, yield
stresses and payment rate stresses, as appropriate for the rating
category.
1st Financial Credit Card Master Note Trust II, Series 2009-A
Intermediate Cash Collateral Account Confirmed BB (sf) --
Dec 15, 2011
5180 CLO: S&P Affirms 'BB' Rating on Class D Deferrable Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 5180
CLO L.P.'s $1.22 billion floating-rate notes following the
transaction's effective date as of Dec. 21, 2011.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111262.pdf
Ratings Affirmed
5180 CLO L.P.
Class Rating Amount (mil. $)
A-1 AAA (sf) 600.00
A-2 AA (sf) 63.65
B (deferrable) A (sf) 116.35
C (deferrable) BBB (sf) 64.25
D (deferrable) BB (sf) 48.15
Combination notes(i) BBB- (sf)(pNRi)(ii) 329.00
Income notes NR 120.50
(i)The combination notes comprise $116.35 million of the class B
notes, $64.25 million of the class C notes, $48.15 million of the
class D notes, $74 million of the income notes, and a $26.25
million Treasury security (the notional amount is $50
million).(ii) The 'p' subscript indicates that the rating
addresses only the principal portion of the obligation. 'NRi'
indicates the interest is not rated. NR--Not rated.
ALLY AUTO: Moody's Assigns Provisional Ratings to Six Classes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Ally Auto Receivables Trust (AART) 2012-1.
The complete rating actions are:
Issuer: Ally Auto Receivables Trust 2012-1
Class A-1 Notes, rated (P)Prime-1 (sf)
Class A-2 Notes, rated (P)Aaa (sf)
Class A-3 Notes, rated (P)Aaa (sf)
Class A-4 Notes, rated (P)Aaa (sf)
Class B Notes, rated (P)Aa2 (sf)
Class C Notes, rated (P)A2 (sf)
RATINGS RATIONALE
The principal methodology used in rating the transaction was
Moody's Approach to Rating U.S. Auto Loan-Backed Securities,
ratings methodology published in May 2011.
Moody's median cumulative net loss expectation is 0.75% and the
Aaa Level is 8.00% for the AART 2012-1 pool. Moody's net loss
expectation and Aaa Level for the AART 2012-1 transaction is based
on an analysis of the credit quality of the underlying collateral,
historical performance trends, the ability of Ally Financial, Inc.
to perform the servicing functions, and current expectations for
future economic conditions.
The V Score for this transaction is Low/Medium, which is
consistent with the Low/Medium V score assigned for the U.S. Prime
Retail Auto Loan ABS sector. The V Score indicates "Low/Medium"
uncertainty about critical assumptions. This is the thirteenth
retail loan securitization for Ally Bank and the early performance
for the existing deals has been strong. Securitization experience
for Ally Bank's parent, Ally Financial Inc. (formerly GMAC Inc.),
dates back to the mid-1980's. AART 2012-1 should benefit from this
experience having Ally Financial as the servicer for the
transaction. In addition, early performance of Ally Bank retail
loan securitizations from 2009, 2010, and 2011 is strong to date
which is an important consideration along with conducting a deal-
by-deal comparison of collateral.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed from 0.75% to 3.50%
the initial model-indicated output might change from Aaa to Aa1
for the Class A notes, from Aa2 to Ba3 for the Class B notes, and
from A2 to B2 for the Class C notes. If the net loss were changed
to 6.00% the initial model-indicated output might change to A1 for
the Class A notes and below B3 t for the Class B and Class C
notes. If the net loss were changed to 7.50% the initial model-
indicated output might change to Baa1 for the Class A notes and
below B3 for the Class B and Class C notes.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for
Structured Finance Securities" and "V Scores and Parameter
Sensitivities in the U.S. Vehicle ABS Sector" are also available
on moodys.com.
APIDOS CDO: S&P Raises Rating on Class E Notes to 'BB'; Off Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D and E notes from Apidos CDO IV, a U.S. collateralized loan
obligation (CLO) transaction managed by Apidos Capital Management
LLC. "We also affirmed the ratings on the class A-1 and A-2 notes.
Simultaneously, we removed the ratings on the class C, D and E
notes from CreditWatch, where we placed them with positive
implications on Dec. 20, 2011," S&P said.
"The upgrades reflect an increase in the credit support available
to the notes, primarily due to a decrease in defaults, since we
lowered our ratings on all of the classes in October 2009
following the application of our September 2009 corporate
collateralized debt obligation (CDO) criteria," S&P related.
As of the November 2011 trustee report, the transaction's asset
portfolio had $2.10 million in defaulted assets, down from $14.76
million in the September 2009 trustee report that was used for the
October 2009 analysis. Many of the defaulted assets were sold at
prices that were higher than their assumed recovery.
As a result, the transaction's overcollateralization (O/C) ratios
improved. The trustee reported the following O/C ratios in its
November 2011 monthly report:
The senior OC ratio (measured at the class B level) was
122.07%, compared with a reported ratio of 118.41% in
September 2009;
The mezzanine O/C ratio (measured at the class D level) was
110.34%, compared with a reported ratio of 107.03% in
September 2009; and
The class E junior notes test ratio was 106.58%, compared with
a reported ratio of 103.38% in September 2009.
"In addition, the credit quality of the portfolio has improved
since October 2009. The trustee reports that the portfolio had
$9.38 million par of 'CCC' assets as of November 2011, down from
$20.35 million par of 'CCC' assets as of September 2009," S&P
said.
"Due to an increase in their credit support, we upgraded classes
B, C, D and E and removed the ratings on classes C, D and E from
CreditWatch. We affirmed the ratings on the class A-1 and A-2
notes based on their current levels of available credit support,"
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Apidos CDO IV
Rating
Class To From
B AA- (sf) A+ (sf)
C A- (sf) BBB+ (sf)/Watch Pos
D BBB- (sf) BB+ (sf)/Watch Pos
E BB (sf) B+ (sf)/Watch Pos
Ratings Affirmed
Apidos CDO IV
Class Rating
A-1 AA+ (sf)
A-2 AA+ (sf)
ASHFORD CDO: S&P Affirms Rating on Class B-1L Note at 'CCC-'
------------------------------------------------------------
Standard and Poor's Ratings Services affirmed its ratings on the
five classes of notes issued by Ashford CDO I Ltd., a cash flow
CDO of CDOs transaction managed by Babson Capital Management LLC.
"The affirmations reflect the availability of sufficient credit
support at the current rating levels. We will continue to review
our ratings on the notes and assess whether, in our view, the
ratings remain consistent with the credit enhancement available,"
S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Ashford CDO I Ltd.
Rating
A-1LA BBB+ (sf)
A-1LB BB+ (sf)
A-2L B+ (sf)
A-3L CCC+ (sf)
B-1L CCC- (sf)
BACM 2000-2: Moody's Raises Rating of Cl. H to 'Baa1' From 'B1'
---------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
affirmed one class of Banc of America Commercial Mortgage Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2000-2:
Cl. H, Upgraded to Baa1 (sf); previously on Jun 30, 2010
Downgraded to B1 (sf)
Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
RATINGS RATIONALE
The upgrade is due to overall improved pool financial performance
and increased credit support due to loan payoffs and amortization.
The pool has paid down by approximately 70% since Moody's last
full review.
The affirmed class is an Interest Only certificate. On
November 22, 2011 Moody's released a Request for Comment, in which
the rating agency has requested market feedback on potential
changes to its rating methodology for Interest-Only Securities. If
the revised methodology is implemented as proposed the rating on
Banc of America Commercial Mortgage Inc., Commercial Mortgage
Pass-Through Certificates, Series 2000-2 Class X may be negatively
affected. Please refer to Moody's request for Comment, titled
"Proposal Changing the Global Rating Methodology for Structured
Finance Interest-Only Securities," for further details regarding
the implications of the proposed methodology change on Moody's
rating. Please see the Credit Policy page on www.moodys.com for a
copy of the Request for Comment.
Moody's rating action reflects a cumulative base expected loss of
1.1% of the current balance. At last review, Moody's cumulative
base expected loss was 42.1%. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for the investment
grade class 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 this class.
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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of three compared to eight at Moody's prior
review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated March 23, 2011.
DEAL PERFORMANCE
As of the December 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $30.2
million from $889 million at securitization. The Certificates are
collateralized by eight mortgage loans ranging in size from less
than 1% to 33% of the pool, with the top ten non-defeased loans
representing 81% of the pool. Three loans, representing 20% of the
pool, have defeased and are secured by U.S. Government securities.
One loan, representing 1.4% of the pool, is on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Thirty-two loans have been liquidated from the pool, resulting in
a realized loss of $36 million (18% loss severity overall).
Currently two loans, representing 41% of the pool, are in special
servicing. The largest specially seviced loan is the Rio
Apartments Loan ($10.0 million; 33.2%), which is secured by a 294
unit apartment property located in Miami, Florida. The loan was
transferred to special servicing due to imminent balloon default.
Although the borrower has not yet been able to refinance the loan,
financial performance has been strong. Both specially serviced
loans have a Moody's LTV less than 100%. Moody's is not estimating
any losses for the specially serviced loans.
Moody's was provided with full year 2010 operating results for
100% of the pool. Moody's weighted average LTV is 66% compared to
83% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 15.1% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.0%.
Moody's actual and stressed DSCRs are 1.51X and 2.04X,
respectively, compared to 1.22X and 1.61X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three conduit loans represent 39.6% of the pool. The
largest loan is the Gateway Village Shopping Center Loan ($6.5
million -- 21.6%), which is secured by a 126,285 square foot
retail property located in Glendale, Arizona. As of September 2011
the property was 81% leased, essentially the same as last review.
Performance has improved and the loan benefits from amortization.
Moody's LTV and stressed DSCR are 74% and 1.53X, respectively,
compared to 87% and 1.3X at last review.
The second largest loan is the 500 South Sepulveda Boulevard Loan
($4.9 million -- 16.5%), which is secured by a 43,722 square foot
office property located in Los Angeles, California. As of
September 2011 the property was 100% leased, essentially the same
as last review. Performance has improved and the loan benefits
from amortization. Moody's LTV and stressed DSCR are 69% and
1.51X, respectively, essentially the same as at last review.
BANC OF AMERICA: Fitch Lowers Rating on Nine Certificate Classes
----------------------------------------------------------------
Fitch Ratings has downgraded nine and affirmed 13 classes of Banc
of America Commercial Mortgage Trust (BACM) commercial mortgage
pass-through certificates series 2007-5 due to greater certainty
of expected losses on the specially serviced assets, as well as
increased loss expectations on certain performing loans, including
the largest in the pool.
Fitch modeled losses of 16.7% of the remaining pool; expected
losses on the original pool balance total 16.5%, including losses
already incurred. The pool has experienced $16.3 million (0.88%
of the original pool balance) in realized losses to date. Fitch
has designated 27 loans (34.8%) as Fitch Loans of Concern, which
includes 10 specially serviced assets (7.7%). Fitch expects
classes L through S to be fully depleted from losses associated
with the specially serviced assets.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been paid down by 5.6% to $1.74 billion from
$1.86 billion at issuance. No loans have defeased since issuance.
Interest shortfalls are currently affecting classes H through S.
The largest contributor to expected losses is the Smith Barney
Building loan (5.7% of the pool), which is secured by a 10-story,
approximately 190,000-sf office building located in the La Jolla
submarket of San Diego, CA. The current balance of the 10.5-year
interest-only loan is $99.6 million. Rollover has plagued the
property since issuance, with the two largest tenants having
vacated at their respective lease expirations in 2009 and 2010.
As of October 2011, the property was 62.9% occupied, with
approximately 7,000 sf of net lease-up occurring in 2011. All of
the in-place leases, except one for 3.3% of the net rentable area
(NRA), expire prior to the loan's October 2017 maturity. Net
operating income (NOI) remains sharply down, but despite the
insufficiency of property cash flow to cover debt service, the
loan remains current and with the master servicer.
The next largest contributor to expected losses is the largest
loan in the pool, the Collier Center (8.3%), which is secured by a
leasehold interest in a 24-story office tower located in downtown
Phoenix, AZ. The subject is part of a mixed-use development and
consists of approximately 500,000 sf of office space and 60,000 sf
of retail/restaurants. The current balance of the 10-year
interest-only loan is $144.5 million. The property's second and
third largest tenants both operated on leases through Dec. 31,
2011. The larger tenant leased 13.1% of the NRA and did not renew
and instead relocated to a new, adjacent office tower. The other
tenant, leasing 10.4% of the NRA, renewed for 11 years through
December 2022. However, even prior to the loss of the property's
second largest tenant, performance has trended downward since
issuance.
The third largest contributor to expected losses is the specially-
serviced West Hartford Portfolio (2.1%). The portfolio consists
of 23 apartment buildings built in the 1950s and 1960s totaling
680 units, all located in downtown Hartford, CT. The original
five-year, partial interest-only loan was for $37.2 million. The
borrower fell behind on payments at the start of 2009 and title to
all the properties was obtained via foreclosure in July 2010. The
properties are in the process of being sold, with closing
anticipated early this year.
Fitch downgrades these classes and assigns or revises Recovery
Estimates (REs) as indicated:
-- $185.9 million class A-M to 'Asf' from 'AAsf', Outlook
Stable;
-- $139.4 million class A-J to 'CCCsf' from 'Bsf', RE 50%;
-- $20.9 million class B to 'CCCsf' from 'B-sf', RE 0%;
-- $16.3 million class J to 'CCsf' from 'CCCsf', RE 0%;
-- $18.6 million class K to 'CCsf' from 'CCCsf', RE 0%;
-- $11.6 million class L to 'Csf' from 'CCCsf', RE 0%;
-- $7 million class M to 'Csf' from 'CCCsf', RE 0%;
-- $4.6 million class N to 'Csf' from 'CCsf', RE 0%;
-- $7 million class O to 'Csf' from 'CCsf', RE 0%.
In addition, Fitch affirms these classes and revises REs as
indicated:
-- $67.8 million class A-2 at 'AAAsf', Outlook Stable;
-- $281 million class A-3 at 'AAAsf', Outlook Stable;
-- $48.3 million class A-SB at 'AAAsf', Outlook Stable;
-- $612 million class A-4 at 'AAAsf', Outlook Stable;
-- $187.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $13.9 million class C at 'CCCsf', RE 0%;
-- $20.9 million class D at 'CCCsf', RE 0%;
-- $18.6 million class E at 'CCCsf', RE 0%;
-- $11.6 million class F at 'CCCsf', RE 0%;
-- $18.6 million class G at 'CCCsf', RE 0%;
-- $20.9 million class H at 'CCCsf', RE 0%;
-- $2.3 million class P at 'Csf', RE 0%;
-- $4.6 million class Q at 'Csf', RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the $18.5 million class S.
BEAR STEARNS: DBRS Confirms Class J Rating at 'BB'
--------------------------------------------------
DBRS has confirmed these ratings of 12 classes of Bear Stearns
Commercial Mortgage Securities Trust 2004-PWR5:
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class B at AAA (sf)
-- Class C at AA (high) (sf)
-- Class D at AA (low) (sf)
-- Class E at A (high) (sf)
-- Class F at A (low) (sf)
-- Class G at BBB (sf)
-- Class H at BBB (low) (sf)
-- Class J at BB (high) (sf)
-- Class K at BB (sf)
-- Class X-1 at AAA (sf)
-- Class X-2 at AAA (sf)
In addition, DBRS has downgraded these ratings of four classes:
-- Class L to B (sf) from BB (low) (sf)
-- Class M to CCC (sf) from B (high) (sf)
-- Class N to CCC (sf) from B (sf)
-- Class P to CCC (sf) from B (low) (sf)
DBRS does not rate the first loss piece, Class Q. The trends for
Classes A-4 through L are Stable.
The downgrades to Classes L through P are largely due to the
projected loss associated with the Palmetto Business Park loan
(Prospectus ID#23, 1.44% of the current pool balance). The
collateral for the loan is a 535,000 sf flex industrial property
in Palmetto, Florida. The loan transferred to the special
servicer in March 2011 because of imminent default. The property
currently has an economic vacancy rate of 89% and a physical
vacancy rate of 100% after a former tenant holding 60% of the Net
Rentable Area (NRA) vacated at lease expiry in February 2011. The
property received an updated "as is" appraisal value of $6.75
million in April 2011, which is substantially less than the
current outstanding loan balance of $11.6 million. Although DBRS
does anticipate a loss to the trust associated with this loan, the
loss is expected to be contained to the unrated Class Q.
The ratings confirmations are supported by transaction-level
performance that is consistent with the metrics at the time of the
last DBRS review in December 2010. As of the November 2011
remittance report, there are 108 loans remaining in the pool,
reporting a weighted-average debt service coverage ratio (DSCR) of
1.47 times (x) and a weighted-average debt yield of 14.1%.
Furthermore, eight loans, representing 21.9% of the current pool
balance, are fully defeased. Approximately 34.2% of the
collateral has been reduced since issuance.
DBRS shadow-rates one loan, New Castle Marketplace (Prospectus
ID#19, 1.23% of the current pool balance), as investment grade.
DBRS has confirmed that the performance of this loan remains
consistent with investment-grade loan characteristics.
Since the last annual review in December 2010, one loan previously
in special servicing has been liquidated from the trust. This
loan caused a realized loss of $4.28 million to the trust. The
DBRS liquidation scenario at the time of the last review assumed a
loss to the trust of approximately $5.1 million.
The DBRS analysis for this review included an in-depth look at the
top 15 loans in the transaction, in addition to the loans on the
servicer's watchlist, the shadow-rated loan and the loan in
special servicing. Cumulatively, these loans represent 50.5% of
the current pool balance.
DBRS continues to monitor this transaction on a monthly basis for
changes at the bond and loan level. Although DBRS has projected
losses for the specially serviced and most pivotal loans in the
transaction, we continue to monitor these loans on a monthly basis
for any changes that may affect the losses that those loans may
realize.
DBRS will publish a full report shortly that will provide
additional analytical detail on this rating action. If you are
interested in receiving this report, contact us at info@dbrs.com.
BEAR STEARNS: DBRS Downgrades Class M to 'D'
--------------------------------------------
DBRS has downgraded Class M of Bear Stearns Commercial Mortgage
Securities Trust 2007-PWR18 (the Trust) to D (sf) from C (sf).
The downgrade follows realized losses incurred on the Trust
following the liquidation of The Mix at Southbridge loan
(Prospectus ID#67) in December 2011.
The Mix at Southbridge loan was secured by a 21,000 square foot
(sf) retail center built in 2007 and located in downtown
Scottsdale, Arizona. The property followed a boutique concept,
occupied mainly by independent retailers. The loan originally
transferred to special servicing in October 2008 because of
monetary default. Performance decline was driven by tenant
departures, likely a result of the economic downturn. The most
recently reported occupancy at the subject was 49%, as of July
2011.
At the time of liquidation, the loan had a trust loan balance of
$8.8 million. The most recent appraisal, dated February 2011,
valued the property at $2.9 million. The total realized loss
associated with this loan is approximately $8.3 million, as of the
December 2011 remittance. This loss eliminated the balance
remaining to Class N and reduced the balance of Class M by
approximately 32%. Cumulative realized losses to the Trust now
total over $65 million. The liquidation of this loan also allowed
for the repayment of unpaid interest to Classes H through L;
however, DBRS believes the repayment to be temporary, as a number
of delinquent loans remain in special servicing at this time and
shortfalls are expected to resume. DBRS's current expectations of
losses from the remaining specially serviced loans are contained
to Class H.
BEAR STEARNS: Increased Losses Prompt Fitch to Affirms Ratings
--------------------------------------------------------------
Fitch Ratings has affirmed the super senior and mezzanine classes
of Bear Stearns Commercial Mortgage Securities Trust, 2006-PWR13,
commercial mortgage pass-through certificates, and downgraded
seven junior classes.
The downgrade of the junior classes is due to greater certainty of
losses associated with specially serviced loans and increased
losses from performing loans with performance declines. The
Negative Rating Outlooks reflect the likelihood of a future
downgrade should values deteriorate further on the specially
serviced loans or highly leveraged loans. Thirteen of the top 15
loans have Fitch stressed loan to values greater than 90%. Fitch
modeled losses of 8.5% for the remaining pool; expected losses of
the original pool are at 8.9%, including losses already incurred
to date.
As of the December 2011 distribution date, the pool's aggregate
principal balance has been reduced by approximately 8.8% to $2.65
billion from $2.91 billion at issuance. In total, there are 20
loans (10.8% of the pool) in special servicing including five
loans (1.5%) that are real estate owned (REO) and two of the top
15 loans (5.1%). Realized losses to date have been $35.6 million
(1.2%). The non-rated Class P has nearly been depleted due to
realized losses associated with loan dispositions and restructured
loans.
The largest contributor to expected loss secured by an industrial
warehouse facility located in Phillipsburg, NJ (0.8% of the pool
balance). The loan transferred to special servicing in July 2010
due to monetary default. The most recent reported occupancy was
68% based on a November 2011 rent roll, with significant lease
rollover in 2012. A receiver has been appointed to manage the
property.
The second largest contributor to expected loss is Paces West
(3.1% of the pool), which is also the largest specially serviced
asset in the pool. This loan is secured by a 646,471 sf office
complex located in Atlanta, GA. The loan transferred to special
servicing in February 2010 for imminent default. The most recent
servicer reported occupancy as of September 2011 was 79.8%. The
special servicer continues to negotiate a workout with the
borrower. Given the low occupancy and local market conditions,
Fitch expects a loss if the asset is liquidated.
The largest contributor to expected loss of the loans not in
special servicing is the First Industrial Portfolio (1.8% of the
pool), a portfolio of 21 properties located in two different
business parks in Georgia. As of the September 2011 rent roll,
occupancy was 67% compared with 76% at issuance resulting in
declining cash flow.
Fitch has downgraded and assigned Recovery Estimates (REs) on
these classes as indicated:
-- $29.1 million class C to 'Bsf' from 'BBsf'; Outlook Negative;
-- $40 million class D to 'CCCsf' from 'B-sf'; RE 20%;
-- $29.1 million class E to 'CCCsf' from 'B-sf'; RE 0%;
-- $32.7 million class G to 'CCsf' from 'CCCsf'; RE 0%;
-- $29.1 million class H to 'CCsf' from 'CCCsf'; RE 0%;
-- $18.2 million class J to 'Csf' from 'CCsf'; RE 0%;
-- $3.6 million class K to 'Csf' from 'CCsf'; RE 0%.
Fitch has affirmed these classes and revised Rating Outlooks as
indicated:
-- $30.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $138 million class A-3 at 'AAAsf'; Outlook Stable;
-- $128.1 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1.2 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $332.1 million class A-1A at 'AAAsf'; Outlook Stable;
-- $290.7 million class A-M at 'AAAsf'; Outlook Stable;
-- $232.5 million class A-J at 'BBBsf'; Outlook to Negative from
Stable;
-- $65.4 million class B at 'BBsf'; Outlook to Negative from
Stable;
-- $32.7 million class F at 'CCCsf'; RE 0%;
-- $10.9 million class L at 'Csf'; RE 0%;
-- $7.3 million class M at 'Csf'; RE 0%;
-- $7.3 million class N at 'Csf'; RE 0%;
-- $7.3 million class O at 'Csf'; RE 0%.
Class A-1 has paid in full. Fitch does not rate class P.
BRASCAN STRUCTURED: S&P Withdraws 'BB' Rating on Class D CDO
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 59
classes from 30 commercial mortgage-backed securities (CMBS) and
two commercial real estate-collateralized debt obligations (CRE
CDO) transactions.
"We withdrew our ratings on 52 principal and interest paying
classes from 25 CMBS and two CRE CDO transactions following the
repayment of each class' principal balance, as noted in each
transaction's respective December 2011 trustee remittance report.
We withdrew our ratings on six interest-only (IO) classes from six
CMBS transactions following the reduction of the classes'
notional balances as noted in each transaction's respective
December 2011 trustee remittance report," S&P said.
"We withdrew our rating on one IO class from a CMBS transaction
following the repayment of all principal and interest paying
classes rated 'AA- (sf)' or higher, in accordance with our
criteria for rating IO securities.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Withdrawn Following Repayment Of Principal Balance Or
Reduction Of Notional Balance
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2004-6
Rating
Class To From
XP NR AAA (sf)
Banc of America Large Loan Inc.
Commercial mortgage pass-through certificates series 2005-MIB1
Rating
Class To From
A-2 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6
Commercial mortgage pass-through certificates
Rating
Class To From
A-3 NR AAA (sf)
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12
Commercial mortgage pass-through certificates
Rating
Class To From
A-2 NR AAA (sf)
Brascan Structured Notes 2005-2 Ltd.
Commercial real estate-collateralized debt obligations
Rating
Class To From
D NR BB (sf)
CD 2006-CD2 Mortgage Trust
Commercial mortgage pass-through certificates
Rating
Class To From
VPM-1 NR BBB (sf)
VPM-2 NR BBB- (sf)
Citigroup Commercial Mortgage Trust 2004-C2
Commercial mortgage pass-through certificates
Rating
Class To From
XP NR AAA (sf)
Citigroup Commercial Mortgage Trust 2008-C7
Commercial mortgage pass-through certificates
Rating
Class To From
A-2A NR AAA (sf)
COMM 2004-LNB2
Commercial mortgage pass-through certificates
Rating
Class To From
A-3 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CK6
Rating
Class To From
C NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates Series 2002-CKP1
Rating
Class To From
A-3 NR AAA (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates Series 2004-C5
Rating
Class To From
A-SP NR AAA (sf)
Falcon Trust
Commercial mortgage pass-through certificates series 2002-SMU
Rating
Class To From
C NR AA+ (sf)
D NR A+ (sf)
X NR AAA (sf)
First Union National Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2001-C4
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR AAA (sf)
E NR AAA (sf)
F NR AA+ (sf)
G NR AA (sf)
H NR A (sf)
J NR BBB- (sf)
First Union National Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2002-C1
Rating
Class To From
A-2 NR AAA (sf)
GE Capital Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2002-2
Rating
Class To From
A-2 NR AAA (sf)
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2004-C1
Rating
Class To From
A-2 NR AAA (sf)
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C2
Rating
Class To From
A-2 NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2002-C1
Rating
Class To From
C NR AAA (sf)
D NR AAA (sf)
E NR AA+ (sf)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2002-C3
Rating
Class To From
A-1 NR AAA (sf)
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2004-C3
Rating
Class To From
X-2 NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-C1
Rating
Class To From
C NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2001-CIBC3
Rating
Class To From
A-3 NR AAA (sf)
B NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP9
Commercial mortgage pass-through certificates
Rating
Class To From
A-1S NR AAA (sf)
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18
Commercial mortgage pass-through certificates
Rating
Class To From
A-1 NR AAA (sf)
LB-UBS Commercial Mortgage Trust 2001-C7
Commercial mortgage pass-through certificates
Rating
Class To From
G NR A (sf)
Morgan Stanley Capital I Inc.
Commercial mortgage pass-through certificates series 1999-CAM1
Rating
Class To From
F NR AAA (sf)
Morgan Stanley Capital I Trust 2003-IQ6
Commercial mortgage pass-through certificates
Rating
Class To From
X-2 NR AAA (sf)
Salomon Brothers Commercial Mortgage Trust 2001-C1
Commercial mortgage pass-through certificates
Rating
Class To From
F NR BB+ (sf)
Salomon Brothers Commercial Mortgage Trust 2001-C2
Commercial mortgage pass-through certificates
Rating
Class To From
D NR AA+ (sf)
STRIPs III CDO Ltd.
Commercial real estate-collateralized debt obligations series
2003-1
Rating
Class To From
L NR BB+ (sf)
TW Hotel Funding 2005 LLC
Commercial mortgage pass-through certificates series 2005-LUX
Rating
Class To From
A1 NR AAA (sf)
A2 NR A+ (sf)
B NR A- (sf)
C NR BBB (sf)
D NR BBB- (sf)
E NR BB+ (sf)
F NR BB (sf)
G NR BB- (sf)
H NR B (sf)
J NR CCC (sf)
K NR CCC- (sf)
L NR CCC- (sf)
M NR CCC- (sf)
N NR CCC- (sf)
Rating Withdrawn Due To Repayment Of All Principal And Interest
Paying Classes Rated 'AA- (Sf)' Or Higher
First Union National Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2001-C4
Rating
Class To From
IO-I NR AAA (sf)
BRIDGEPORT CLO: Removes 'BB' Rating on Class D Notes From Watch
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A-1, A-2, B, C, and D notes from Bridgeport CLO II Ltd., a
collateralized loan obligation (CLO) transaction managed by
Deerfield Capital Management LLC. "At the same time, we removed
our ratings on the class A-2, B, C, and D notes from CreditWatch,
where we placed them with positive implications on Dec. 20, 2011,"
S&P said.
"The affirmations reflect current credit support levels that we
believe are sufficient to maintain the current ratings," 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Bridgeport CLO II Ltd.
Rating
Class To From
A-2 A+ (sf) A+ (sf)/Watch Pos
B BBB+ (sf) BBB+ (sf)/Watch Pos
C BBB- (sf) BBB- (sf)/Watch Pos
D BB (sf) BB (sf)/Watch Pos
Rating Affirmed
Bridgeport CLO II Ltd.
Class Rating
A-1 AA+ (sf)
BSCMS 2004-PWR4: Moody's Affirms Cl. J Notes Rating at 'Ba1'
------------------------------------------------------------
Moody's Investors Service affirmed the ratings of sixteen,
confirmed classes of Bear Stearns Commercial Mortgage Securities
Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-
PWR4:
Cl. A-2, Affirmed at Aaa (sf); previously on Jul 21, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Jul 21, 2004 Assigned
Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed at Aa3 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Aa3 (sf)
Cl. D, Affirmed at A2 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned A2 (sf)
Cl. E, Affirmed at A3 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned A3 (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Baa1 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Baa2 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on Jul 21, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. J, Affirmed at Ba1 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Ba1 (sf)
Cl. K, Affirmed at Ba2 (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Ba2 (sf)
Cl. L, Affirmed at B2 (sf); previously on Jan 28, 2011 Downgraded
to B2 (sf)
Cl. M, Affirmed at Caa1 (sf); previously on Jan 28, 2011
Downgraded to Caa1 (sf)
Cl. N, Affirmed at Caa3 (sf); previously on Jan 28, 2011
Downgraded to Caa3 (sf)
Cl. P, Affirmed at Ca (sf); previously on Jan 28, 2011 Downgraded
to Ca (sf)
Cl. X, Affirmed at Aaa (sf); previously on Jul 21, 2004 Definitive
Rating Assigned Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
2.1% of the current balance. At last full review, Moody's
cumulative base expected loss was 2.0%. 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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on Credit Suisse First Boston Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2004-C5
Classes A-X and A-SP may be negatively affected. Please refer to
Moody's request for Comment, titled "Proposal Changing the Global
Rating Methodology for Structured Finance Interest-Only
Securities," for further details regarding the implications of the
proposed methodology change on Moody's rating.
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
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15, same at Moody's prior full review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated January 28, 2011.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to $791.5
million from $954.9 million at securitization. The Certificates
are collateralized by 69 mortgage loans ranging in size from less
than 1% to 16% of the pool, with the top ten loans representing
56% of the pool. Seven loans, representing 13.2% of the pool, have
defeased and are collateralized with U.S. Government securities.
Two loans, representing 26% of the pool, have investment grade
credit estimates.
Twenty-five loans, representing 29% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Two loans have been liquidated from the pool since securitization,
resulting in an aggregate $3.05 million loss (38% loss severity on
average). Currently one loan, representing 1% of the pool, is in
special servicing. The Payson Village Shopping Center loan ($9.7
million - 1.2% of the pool) was transferred into special servicing
in November 2009 due to imminent default resulting from the
bankruptcy filing and rent reduction of the tenant Basha, which
occupies 38% of the property's net rentable area (NRA). The loan
was modified in September 2011 and expected to return to the
master servicer. Moody's has estimated an aggregate loss of $1.8
million (18% expected loss) for the specially serviced loan.
Moody's has assumed a high default probability for three poorly
performing loans representing 4% of the pool and has estimated a
$4.4 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2010 and partial year 2011
operating results for 91% and 86% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 90% compared to 88% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 16% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.37X and 1.23X, respectively, compared to
1.42X and 1.25X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the Shell Plaza Loan
($126.6 million -- 16.0% of the pool), which is secured by two
adjacent Class A office buildings with 1.8 million square feet
(SF), located in downtown Houston, Texas. The major tenants are
Shell Oil Company (Moody's senior unsecured rating Aa2 - stable
outlook; 65% of the NRA; lease expiration December 2015) and Baker
Botts (23% of the NRA; lease expiration December 2027). Shell Oil
Company recently renewed its lease of 1.3 million SF, with a new
lease expiration in 2025. As of September 2011 the property was
97% leased, the same as at last review. The loan sponsor is Hines
Sumisei U.S. Core Office Fund, a partnership between Hines and
Sumitomo Life Realty, a subsidiary of Sumitomo Life. Performance
has been stable. Moody's credit estimate and stressed DSCR are Aaa
and 2.49X, respectively, compared to Aaa and 2.38X at last review.
The second loan with a credit estimate is the GIC Office Portfolio
Loan ($81.9 million -- 10.3% of the pool), which represents a 12%
pari passu interest in a $674.5 million first mortgage loan. The
loan is secured by 12 office properties totaling 6.4 million SF
and located in seven states. The highest geographic concentrations
are Chicago (39% of the NRA), suburban Philadelphia (17% of the
NRA) and San Francisco (12% of the NRA). As of June 2011, the
portfolio was 85% leased compared to 87% at last review.
Performance is in line with last review. The loan matures in
January 2014. Moody's credit estimate and stressed DSCR are Baa3
and 1.47X, respectively, compared to Baa3 and 1.45X at last
review.
The top three performing conduit loans represent 15% of the pool.
The largest loan is the 40 Landsdowne Street Loan ($48.6 million -
- 6.1% of the pool), which is secured by a 215,000 SF Class A
office/biotechnology building located in an industrial park that
abuts the main campus of the Massachusetts Institute of Technology
in Cambridge, Massachusetts. The property is 100% leased to
Millennium Pharmaceuticals, Inc. through July 2020. The property's
performance has been stable, however, Moody's analysis
incorporates a stressed cash flow due to Moody's concerns about
the property's single-tenant occupancy. Moody's LTV and stressed
DSCR are 79% and 1.36X, respectively, compared to 73% and 1.47X,
at last review.
The second largest loan is the One North State Street Loan
($38.9 million -- 4.9% of the pool), which is secured by a 168,000
SF retail condominium unit situated in a 675,000 SF mixed use
property located in downtown Chicago, Illinois. The property was
99% leased as of September 2011, compared to 97% at last review.
Major tenants included TJ Maxx (46% of the NRA; lease expiration
January 2012) and Filene's Basement (38% of the NRA; lease
expiration January 2012). Filene's declared bankruptcy in November
2011 and closed all its stores by year end. Although the property
will experience an increase in vacancy in the near term, Moody's
expects that the prime location and the building's favorable
reputation will facilitate a successful lease-up to market levels.
Moody's LTV and stressed DSCR 104% and 1.04X, respectively,
compared to 108% and 1.00X at last review.
The third largest loan is the Alexandria East Coast Portfolio Loan
($33.1 million -- 4.2% of the pool), which is secured by five
office buildings located in Massachusetts, Pennsylvania and New
Jersey. The portfolio totals 205,000 SF and was 33% leased as of
September 2011 compared to 78% at last review. The portfolio has
had some recent leasing success and Moody's expects that it will
return to a more stabilized occupancy in the near term. The loan
is on the servicer's watchlist due to vacancy. Moody's LTV and
stressed DSCR 101% and 1.09X, respectively, compared to 95% and
1.16X at last review.
CARLYLE HIGH: S&P Raises Class E Note Rating From 'CCC-' to 'B+'
----------------------------------------------------------------
Standard and Poor's Ratings Services raised its ratings on the
class A-1, A-2B, B, C, D, and E notes from Carlyle High Yield
Partners X Ltd., a collateralized loan obligation (CLO)
transaction managed by Carlyle Investment Management LLC. "We also
affirmed our rating on the class A-2A notes," S&P said.
"The upgrades reflect increased credit support available to the
notes since we downgraded the notes on Oct. 23, 2009, following
the application of our September corporate CDO criteria. The
higher credit support includes an increase in the
overcollateralization (O/C) available to support the rated
notes and an improvement in the credit quality of the
transaction's underlying securities. As of the December 2011
trustee report, the class A/B O/C ratio increased to 121.188% from
117.323% in September 2009 (which we used for our October 2009
rating actions), while the balance of defaulted assets decreased
to $3.045 million from $16.777 million," S&P said.
"The affirmations reflect the availability of sufficient credit
support at the current rating level. We will continue to review
our ratings on the notes and assess whether, in our view, the
ratings remain consistent with the credit enhancement available,"
S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Carlyle High Yield Partners X Ltd.
Rating
To From
A-1 AA+ (sf) AA- (sf)
A-2B AA+ (sf) AA- (sf)
B AA- (sf) A+ (sf)
C A- (sf) BBB+ (sf)
D BBB (sf) B+ (sf)
E B+ (sf) CCC- (sf)
Rating Affirmed
Carlyle High Yield Partners X Ltd.
Rating
A-2A AA+ (sf)
CBA COMMERCIAL: S&P Lowers Rating on Class M-1 Certificate to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage pass-through certificates from CBA
Commercial Assets LLC's series 2007-1, a U.S. commercial mortgage
backed securities (CMBS) transaction.
"We lowered our rating on the class M-1 certificate to 'D (sf)' to
reflect a $1,073,239 principal loss, which represents 30.6% of the
original principal balance. The class had a current outstanding
principal balance of $2,435,761 as of the Dec. 27, 2011, trustee
remittance report. The class M-2 certificate also experienced a
principal loss this period that reduced the class' current
outstanding principal balance to zero. We previously lowered our
rating on class M-2 to 'D (sf)'," S&P said.
"We downgraded the class A certificate to 'CCC- (sf)' due to
continued credit support erosion caused by cumulative principal
losses to the trust, adverse collateral pool performance, and high
delinquency levels (90-plus days, foreclosure, and real estate
owned assets)," S&P said.
"As of the Dec. 27, 2011, trustee remittance report, the
collateral pool consisted of 161 assets with an aggregate trust
balance of $81.1 million, down from 237 assets totaling $127.6
million at issuance. To date, the trust has experienced losses
totaling $17.3 million from 33 assets," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
CBA Commercial Assets LLC
Commercial mortgage pass-through certificates series 2007-1
Credit
Rating enhancement
Class To From (%)
A CCC- (sf) CCC+ (sf) 3.00
M-1 D (sf) CCC (sf) 0.00
CHESAPEAKE FUNDING: Securitizations Not Affected of VFN Upsize
--------------------------------------------------------------
Moody's Investors Service stated that none of its ratings on the
fleet lease backed ABS notes issued by Chesapeake Funding LLC
(Issuer), a securitization vehicle sponsored by PHH Corporation
(Ba2 stable) are being downgraded, withdrawn or placed under
review for possible downgrade due to the amendments to the 2010-1
and 2011-1 VFN transactions that increase the size of the
facilities and add an additional non-conduit purchaser to the
facilities. The affected series are Series 2009-1, 2009-2, 2009-3,
2009-4, 2010-1, 2011-1 and 2011-2. The maximum invested amount of
the Class A notes in the 2010-1 transaction will be increased from
$700 million to $875 million. The maximum invested amount of the
Class A notes in the 2011-1 transaction will be increased from
$500 million to $625 million. The respective Class B notes and
reserve accounts for each transaction will be increased in
proportion in order to maintain the same subordination and credit
support percentages as at deal closing. The limited nature of the
amendments do not disturb the various protections including the
transaction's borrowing base requirements to assure that total
outstanding issued or borrowed amounts are backed by sufficient
collateral and cash.
Moody's ratings address only the credit risks associated with the
amendments. 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.
The principal methodology used in Moody's rating analysis is
"Moody's Approach to Rating Fleet Lease-Backed ABS" published in
December 2011.
CLASS V FUNDING: Moody's Confirms Rating of $68-Mil. Notes at Caa2
------------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of one class
of notes issued by Class V Funding II, Limited. The class of notes
affected by the rating actions:
$68,000,000 Class A-1 First Priority Senior Secured Floating Rate
Notes Due 2046 (current balance: 60,282,753), Confirmed at Caa2
(sf), previously on August 26, 2011 Upgraded to Caa2 (sf) and
Remained On Review for Possible Upgrade
RATINGS RATIONALE
According to Moody's, the rating action taken on the notes results
primarily from the uncertainty of the ultimate recovery value to
the Class A-1 Second Priority Senior Secured Floating Rate
Noteholders relating to the pending sale of the underlying
securities.
Pursuant to the December 14, 2011 "Notice of Liquidation
Direction" and in accordance with Section 5.4(a)(ii), Section
5.5(a)(ii) and Section 5.17 of the Indenture, on November 29, 2011
the Trustee received from the holder of at least 66-2/3% of the
aggregate outstanding amount of the Class A-1 Notes, a direction
to sell and liquidate the Collateral at one or more public or
private sales called and conducted in any manner permitted by law.
Class V Funding II, Ltd., is a collateralized debt obligation
backed primarily by a portfolio of CLOs and SF CDOs.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
CONNECTICUT CDO: S&P Affirms 2 Notes Classes Ratings at 'CCC+'
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on five
notes from Connecticut Valley Structured Credit CDO II Ltd., a
U.S. corporate collateralized debt obligation (CDO) of CDO
transaction managed by Babson Capital Management LLC.
"The affirmations reflect current credit support levels that we
believe are sufficient to maintain the current ratings," S&P said.
"Standard & Poor's will continue to review whether, in our view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Connecticut Valley Structured Credit CDO II Ltd.
Class Rating
A-2 BBB (sf)
B-1 B (sf)
B-2 B (sf)
C-1 CCC+ (sf)
C-2 CCC+ (sf)
CONNECTICUT CDO III: S&P Affirms 2 Notes Classes Ratings at 'CCC-'
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on six
notes from Connecticut Valley Structured Credit CDO III Ltd., a
U.S. corporate collateralized debt obligation (CDO) of CDO
transaction managed by Babson Capital Management LLC.
"The affirmations reflect current credit support levels that we
believe are sufficient to maintain the current ratings," S&P said.
"Standard & Poor's will continue to review whether, in our view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Connecticut Valley Structured Credit CDO III Ltd.
Class Rating
A-1 BBB- (sf)
A-2 BB+ (sf)
A-3A B+ (sf)
A-3B B+ (sf)
C-1 CCC- (sf)
C-2 CCC- (sf)
CONNECTICUT CLO: S&P Affirms Class C Notes Rating at 'CCC-'
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on five
notes from Connecticut Valley CLO Funding IV Ltd., a U.S.
corporate collateralized debt obligation (CDO) of CDO transaction
that is managed by Babson Capital Management LLC.
"We affirmed our ratings on the class A-1, A-2, A-3, B, and C
notes to reflect our belief that the credit support available is
commensurate with the current ratings," S&P said.
"Standard & Poor's will continue to review whether, in our view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Affirmed
Connecticut Valley CLO Funding IV Ltd.
Class Rating
A-1 BBB- (sf)
A-2 BB+ (sf)
A-3 B+ (sf)
B B- (sf)
C CCC- (sf)
CORNERSTONE CLO: S&P Raises Rating on Class C Notes to 'BB+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the notes
from Cornerstone CLO Ltd., a collateralized loan obligation (CLO)
transaction backed by U.S. corporate loans managed by Stone Tower
Debt Advisors LLC.
"The upgrades reflect an increase in the overall credit support
available to the rated notes since we last took action on the
notes in November 2009," S&P said.
"The affirmations reflect current credit support levels that we
believe are sufficient to maintain the current ratings," S&P said.
"Since the October 2009 monthly report, which we used for our
November 2009 action, the transaction's assets rated 'CCC+' and
below has decreased to $19.90 million (3.08%) from $49.97 million
(7.88%) as of the November 2011 trustee report, which we used in
our current analysis," S&P said. As a result, the O/C ratios
increased for all classes:
The class A O/C ratio was 117.90% in November 2011, compared
with 116.16% in October 2009;
The class B O/C ratio was 111.02% in November 2011, compared
with 109.38% in October 2009;
The class C O/C ratio was 106.62% in November 2011, compared
with 105.05% in October 2009; and
The class D O/C ratio was 102.97% in November 2011, compared
with 101.45% in October 2009.
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 we deem necessary.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Cornerstone CLO Ltd.
Rating
Class To From
A-1-J AA+ (sf) AA (sf)
A-2 AA- (sf) A+ (sf)
B A- (sf) BBB+ (sf)
C BB+ (sf) CCC+ (sf)
Ratings Affirmed
Cornerstone CLO Ltd.
Class Rating
A-1-S AA+ (sf)
D CCC- (sf)
CSFB 2002-CKP1: Moody's Affirms Rating of Cl. H Notes at 'Ba2'
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of three classes,
downgraded the rating of one class and affirmed the ratings of six
classes of Credit Suisse First Boston Commercial Mortgage Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2002-CKP1:
Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. D, Upgraded to Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aa1 (sf)
Cl. E, Upgraded to Aa1 (sf); previously on Mar 18, 2010 Downgraded
to Aa3 (sf)
Cl. F, Upgraded to A1 (sf); previously on Mar 18, 2010 Downgraded
to A3 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Mar 18, 2010
Downgraded to Baa2 (sf)
Cl. H, Affirmed at Ba2 (sf); previously on Mar 18, 2010 Downgraded
to Ba2 (sf)
Cl. K-Z, Affirmed at Caa2 (sf); previously on Feb 3, 2011
Downgraded to Caa2 (sf)
Cl. L, Downgraded to C (sf); previously on Feb 3, 2011 Downgraded
to Ca (sf)
Cl. A-X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
RATINGS RATIONALE
The upgrades are due to increased credit support due to loan
payoffs and amortization.
The downgrade is due to increases in realized losses from
liquidated loans that were in special servicing. Realized losses
increased from $38.7 million at last review to $51.6 million
currently.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
12.1% of the current balance. At last review, Moody's cumulative
base expected loss was 4.5%. Moody's stressed scenario loss is
18.3% of the current balance. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the current sluggish
macroeconomic environment and performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. The
availability of debt capital continues to improve with terms
returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on Credit Suisse First Boston Commercial Mortgage
Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-
CKP1 Class AX may be negatively affected. Please refer to Moody's
request for Comment, titled "Proposal Changing the Global Rating
Methodology for Structured Finance Interest-Only Securities," for
further details regarding the implications of the proposed
methodology change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19 compared to 27 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 3, 2011.
DEAL PERFORMANCE
As of the December 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $136.5
million from $992.9 million at securitization. The Certificates
are collateralized by 38 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten non-defeased loans
representing 53% of the pool. Three loans, representing 11% of the
pool, have defeased and are secured by U.S. Government securities.
Defeasance at last review represented 23% of the pool.
Nineteen loans, representing 54% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Twenty-eight loans have been liquidated from the pool, resulting
in a realized loss of $51.6 million (46% loss severity on
average). Currently ten loans, representing 22% of the pool, are
in special servicing. The largest specially serviced loan is the
Honeywell Building Loan ($8.6 million -- 6.3% of the pool), which
is secured by a 150,000 square foot (SF) single tenant office
building located in Oak Creek, Wisconsin. The loan was transferred
to special servicing in November 2011 due to imminent default when
the sole tenant, Honeywell International Inc., indicated that they
would vacate most or all of their space at lease maturity in
February 2013. The special servicer is currently reviewing the
loan for various exit strategies.
The remaining nine specially serviced properties are secured by a
mix of property types. Moody's estimates an aggregate $11.9
million loss for the specially serviced loans (41% expected loss
on average).
Moody's has assumed a high default probability for two poorly
performing loans representing 2% of the pool and has estimated an
aggregate $760,000 loss (29% expected loss based on a 58%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 95%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 83% compared to 73% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 13% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.8%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.13X and 1.34X, respectively, compared to
1.45X and 1.51X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 25% of the pool. The largest
conduit loan is the Raytheon Building Loan ($15.6 million -- 11.5%
of the pool), which is secured by a 112,695 SF single-tenant
office building located in El Segundo, California. Raytheon
Company has a lease for the whole building through January 2013.
The loan has an Anticipated Repayment Date (ARD) as of January
2012. Moody's LTV and stressed DSCR are 79% and 1.36X,
respectively, compared to 63% and 1.72X at last full review.
The second largest conduit loan is the Ridge Park Square Loan
($9.5 million -- 6.9% of the pool), which is secured by a 103,368
SF retail center located in Brooklyn, Ohio. The largest tenants
include Marc Glassman Inc (49.1% of the NRA; lease expiration May
2021), Pet Supplies Plus (8.6% of the NRA; lease expiration
December 2016) and Five Below (8.3% of the NRA; lease expiration
July 2015). The property was 100% leased through September 2011,
the same as the prior review. The property saw a drop in NOI in
2010 due to increases in Utilities, Repairs and Maintenance, and
Marketing expenses. Overall, the property is stable and the loan
is benefitting from amortization. Moody's LTV and stressed DSCR
are 90% and 1.14X, respectively, compared to 80% and 1.28X at last
full review.
The third largest conduit loan is the Oak Ridge Office Portfolio
Loan ($8.5 million -- 6.2% of the pool), which is secured by a
161,895 SF office building located in Oak ridge, Tennessee. This
property is part of a multi-building office park that is primarily
leased to government agencies and contractors working for the
Department of Energy. The largest tenant, SAIC (85% of the NRA)
recently renewed their lease through May 2019 at a contract rate
that was 20% lower than their original lease. SAIC has indicated
that they would be interested in taking additional space at the
property in the future. The property was 95% leased through
September 2011 compared to 100% at last review. Overall, the
property is stable and the loan is benefitting from amortization.
Moody's LTV and stressed DSCR are 94% and 1.15X, respectively,
compared to 84% and 1.29X at last full review.
CSMC 2006-C3: Moody's Reviews 'Ba2' Rating of Cl. D Notes
---------------------------------------------------------
Moody's Investors Service placed the ratings of nine CMBS classes
of Credit Suisse Commercial Mortgage Trust Commercial Securities
Pass-Through Certificates, Series 2006-C3:
Cl. A-M, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Jul 6, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-J, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2009 Downgraded to A2 (sf)
Cl. B, Baa2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2009 Downgraded to Baa2 (sf)
Cl. C, Baa3 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2009 Downgraded to Baa3 (sf)
Cl. D, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2009 Downgraded to Ba2 (sf)
Cl. E, B1 (sf) Placed Under Review for Possible Downgrade;
previously on Dec 10, 2009 Downgraded to B1 (sf)
Cl. F, Caa1 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2011 Downgraded to Caa1 (sf)
Cl. G, Caa2 (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2011 Downgraded to Caa2 (sf)
Cl. H, Ca (sf) Placed Under Review for Possible Downgrade;
previously on Feb 9, 2011 Downgraded to Ca (sf)
RATINGS RATIONALE
The classes were placed on review for possible downgrade due to
increased realized and anticipated losses, increased interest
shorfalls as well as decreased loan diversity. Realized losses
have increased from $7.2 million at Moody's last full review to
$27.2 million.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 9, 2011.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
DEAL PERFORMANCE
As of the December 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 86% to $1.82
billion from $1.93 billion at securitization. The Certificates are
collateralized by 146 mortgage loans ranging in size from less
than 1% to 19% of the pool, with the top ten loans representing
57% of the pool. There are no defeased loans or loans with
investment grade credit estimates.
Forty loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Ten loans have been liquidated from the pool, resulting in a
realized loss of $27.2 million (48% loss severity). Currently
fifteen loans, representing 9% of the pool, are in special
servicing.
Moody's review will focus on potential losses from specially
serviced and troubled loans, interest shortfalls and the
performance of the overall pool.
CVS CREDIT: Moody's Affirms Rating of Series A-2 Notes at 'Ba1'
---------------------------------------------------------------
Moody's Investors Service affirmed the rating of CVS Credit Lease
Backed Pass-Through Certificate, Series A-2:
Series A-2, Affirmed at Ba1 (sf); previously on Mar 6, 2007
Confirmed at Ba1 (sf)
RATINGS RATIONALE
The transaction is supported by CVS/Caremark (CVS) lease
obligations on 96 single tenant buildings. The rating of the A-2
Certificate is affirmed at Ba1 based on CVS's rating (senior
unsecured debt rating Baa2, stable outlook) as well as the balloon
risk at the certificate's final distribution date.
This action is the result of Moody's on-going surveillance of
commercial mortgage backed (CMBS) securities.
In rating this transaction, Moody's used its the following
Methodology: "Commercial Real Estate Finance: Moody's Approach to
Rating Credit Tenant Lease Financings" dated November 2, 2011.
There were no models used in the review of this transaction.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions.
DEAL PERFORMANCE
As of the December 10, 2011 distribution date, the transaction's
aggregate Certificate balance was $125 million. The Certificate is
supported by 96 single-tenant, stand-alone retail buildings leased
to CVS. Each building is subject to a fully bondable triple net
lease guaranteed by CVS. Payments on the leases are sufficient to
pay all interest and 44% of the principal of the Class A-2
Certificate by the January 10, 2023 final distribution date. The
remaining principal of the A-2 Certificate is insured under
residual value insurance policies issued by Financial Structures
Limited and reinsured by Royal Indemnity Company (Royal). On
September 28, 2006, Moody's downgraded Royal's financial strength
rating to B2 from Ba3 and subsequently withdrew the rating. The
rating on the A-2 Certificates is notched down from CVS's rating
due to the size of the loan balance at maturity relative to the
value of the collateral assuming the existing tenant is no longer
in occupancy (the dark value).
CVS, headquartered in Woonsocket, Rhode Island, is the largest
provider of prescriptions in the United States. The company fills
or manages more than 1 billion prescriptions annually through
about 7,000 CVS pharmacy stores, its pharmacy benefits management
operation, its mail order and specialty pharmacy division,
Caremark Pharmacy Services, and its on-line pharmacy.
DBUBS 2011: Fitch Affirms Rating on Two Cert. Classes at Low-B
--------------------------------------------------------------
Fitch Ratings has affirmed all ratings to DBUBS 2011-LC1 Mortgage
Trust's Commercial Mortgage Pass-Through Certificates, series
2011-LC1.
Fitch's affirmations are based on the stable performance of the
underlying collateral pool. There have been no delinquent or
specially serviced loans since issuance. As is typical with new
transactions, financial reporting is limited in the first year.
Fitch reviewed 2011 quarterly financial performance for 87.4% of
the transaction in addition to updated rent rolls for the top 15
loans representing 76.9% of the transaction.
As of December 2011 distribution date, the pool's aggregated
principal balance has been reduced by 0.9% to $2.157 billion from
$2.176 billion at issuance.
The largest loan of the pool (10.8%) is secured by a 1.16 million
square feet (SF) regional mall in Cincinnati, OH. The property is
anchored by Dillard's, Macy's, Nordstrom and features over 140 in-
line tenants and kiosks. As of October 2011, the occupancy was
96.7%, compared to 96.4% at issuance. Servicer reported second-
quarter 2011 debt service coverage ratio (DSCR) was 1.75 times
(x), compared to 1.96x at issuance.
The second largest loan of the pool (10.2%) is secured by a 1.18
million SF class A office property in Chicago, IL. As of
September 2011, the property occupancy was 82%, compared to 79.6%
at issuance. Servicer reported second-quarter 2011 DSCR was 1.8x,
compared to 1.46x at issuance.
The seventh largest loan of the pool (5.5%) is secured by a 23-
story office tower totaling 1.05 million SF in Chicago, IL. As of
December 1, 2011, the property occupancy decreased to 87.7% from
97% at issuance. JP Morgan Chase, the largest tenant that
occupied 56.1% of the property, executed its partial termination
option and vacated its space on the 7th and 8th floor of the
building totaling 101,631 SF. Per the master servicer, a
replacement tenant has leased 76% of the vacated space which will
increase occupancy to 95%.
Fitch affirms these classes and maintains the Stable Outlook:
-- $1.1 million Class A-1 at 'AAAsf'; Outlook Stable;
-- $182 million Class A-2 at 'AAAsf'; Outlook Stable;
-- $459.8 million Class A-3 at 'AAAsf'; Outlook Stable;
-- IO Class X-A at 'AAAsf'; Outlook Stable;
-- $70.7 million Class B at 'AAsf'; Outlook Stable;
-- $81.6 million Class C at 'Asf'; Outlook Stable
-- $49 million Class D at 'BBB+sf'; Outlook Stable;
-- $89.8 million Class E at 'BBB-sf'; Outlook Stable;
-- $24.5 million Class F at 'BBsf'; Outlook Stable;
-- $40.8 million Class G at 'Bsf'; Outlook Stable.
Fitch does not rate the interest-only class X-B or the $68 million
class H.
EATON VANCE: S&P Raises Class D Note Rating From 'CCC-' to 'BB+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
D notes from Eaton Vance CDO IX Ltd., a U.S. collateralized loan
obligation (CLO) transaction managed by Eaton Vance Management.
"At the same time, we affirmed our ratings on the class A-1A, A-
1B, A-2, B, and C notes. We removed our ratings on the class B, C,
and D notes from CreditWatch, where we placed them with positive
implications on Dec. 20, 2011," S&P said.
"The upgrades reflect the improved performance we have observed in
the deal's underlying asset portfolio since our last downgrade
actions on Nov. 17, 2009. As of the Dec. 15, 2011, trustee report,
the transaction's asset portfolio had $0.81 million in defaulted
obligations, compared with $38.02 million noted in the Oct. 8,
2009, report which we referenced for our November 2009 rating
actions," S&P said.
"We also observed an increase in the overcollateralization (O/C)
available to support the rated notes," S&P said. The trustee
reported these O/C ratios in the Dec. 15, 2011, monthly report:
The Senior O/C ratio was 120.95%, compared with a reported
ratio of 116.25% in October 2009.
"We affirmed our ratings on the class A-1A, A-1B, A-2, B, and C
notes to reflect our view that the credit support available is
commensurate with the current ratings," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings on the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Eaton Vance CDO IX Ltd.
Rating
Class To From
B A+ (sf) A+ (sf)/Watch Pos
C BBB+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) CCC- (sf)/Watch Pos
Ratings Affirmed
Eaton Vance CDO IX Ltd.
Class Rating
A-1A AAA (sf)
A-1B AA+ (sf)
A-2 AA+ (sf)
GALE FORCE: S&P Raises Rating on Class E Notes From 'B+' to 'BB'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and E notes from Gale Force 2 CLO Ltd., a collateralized
loan obligation (CLO) transaction managed by GSO Capital Partners
L.P. "At the same time, we affirmed our ratings on the class A
and D notes," S&P said.
"The upgrades reflect improved performance we have observed in the
deal's underlying asset portfolio since our December 2009 rating
actions, when we lowered our ratings on the A, B, C, and E notes.
As of the Dec. 2, 2011, trustee report, the transaction held $5.4
million in defaulted assets. This was down from the $21.6 million
in defaulted assets noted in the November 2009 trustee report,
which we referenced for our December 2009 rating actions.
Also, the transaction has maintained overcollateralization (O/C)
ratios at approximately the same levels since November 2009," S&P
said.
"We affirmed our ratings on the class A and D notes to reflect the
availability of credit support at the current rating levels," S&P
said.
"The transaction is still in its reinvestment period and all of
the rated classes have their original principal balances
outstanding," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Gale Force 2 CLO Ltd.
Rating
Class To From
B AA (sf) AA- (sf)
C A (sf) A- (sf)
E BB (sf) B+ (sf)
Ratings Affirmed
Gale Force 2 CLO Ltd.
Rating
A AA+ (sf)
D BBB (sf)
GCCFC 2003-C2: Moody's Downgrades Rating of Cl. H Notes to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of five classes
and affirmed 11 classes of Greenwich Capital Commercial Funding
Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-
C2:
Cl. A-3, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Aug 17, 2006 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Jul 23, 2007 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aa1 (sf); previously on Sep 25, 2008 Upgraded
to Aa1 (sf)
Cl. E, Affirmed at Aa3 (sf); previously on Jul 23, 2007 Upgraded
to Aa3 (sf)
Cl. F, Affirmed at A2 (sf); previously on Jul 23, 2007 Upgraded to
A2 (sf)
Cl. G, Affirmed at Baa1 (sf); previously on Jul 23, 2007 Upgraded
to Baa1 (sf)
Cl. H, Downgraded to Ba1 (sf); previously on Dec 3, 2009 Confirmed
at Baa3 (sf)
Cl. J, Downgraded to B1 (sf); previously on Dec 3, 2009 Confirmed
at Ba1 (sf)
Cl. K, Downgraded to B3 (sf); previously on Feb 3, 2011 Downgraded
to B1 (sf)
Cl. L, Downgraded to Caa2 (sf); previously on Feb 3, 2011
Downgraded to B3 (sf)
Cl. M, Downgraded to Caa3 (sf); previously on Feb 3, 2011
Downgraded to Caa2 (sf)
Cl. N, Affirmed at Ca (sf); previously on Feb 3, 2011 Downgraded
to Ca (sf)
Cl. O, Affirmed at C (sf); previously on Feb 3, 2011 Downgraded to
C (sf)
Cl. XC, Affirmed at Aaa (sf); previously on Jan 14, 2004
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are due to higher expected losses for the pool
resulting from anticipated losses from specially serviced and
troubled loans and higher credit quality dispersion of the conduit
pool.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
7.1% of the current balance. At last full review, Moody's
cumulative base expected loss was 4.2%. 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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on Credit Suisse First Boston Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2004-C5
Classes A-X and A-SP may be negatively affected. Please refer to
Moody's request for Comment, titled "Proposal Changing the Global
Rating Methodology for Structured Finance Interest-Only
Securities," for further details regarding the implications of the
proposed methodology change on Moody's rating.
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
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 15 compared to 17 at Moody's prior full review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 3, 2011.
DEAL PERFORMANCE
As of the December 7, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 44% to $977.1
million from $1.74 billion at securitization. The Certificates are
collateralized by 61 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans representing 51% of
the pool. Fifteen loans, representing 24% of the pool, have
defeased and are collateralized with U.S. Government securities.
Seven loans, representing 23% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Five loans have been liquidated from the pool since
securitization, resulting in an aggregate $19.0 million loss (22%
loss severity on average). Currently five loans, representing 8%
of the pool, are in special servicing. The largest specially
serviced loan is the Morris Business Campus loan ($27.0 million --
2.9% of the pool), which transferred to special servicing in
February 2011 due to imminent default. The largest tenant,
Atlantic Health System (36% of net rentable area (NRA)) has
indicated that it will vacate upon its lease expiration in January
2012. The second largest specially serviced loan, the Minnesota
Center loan ($26.6 million -- 2.7% of the pool), transferred in
January 2010 due to imminent default. The remaining three
specially serviced loans are a mixture of office and industrial
properties. The master servicer has recognized an aggregate $33.7
million appraisal reduction for the specially serviced loans.
Moody's has estimated an aggregate loss of $35.7 million (46%
expected loss on average) for all of the specially serviced loans.
Moody's was provided with full year 2010 and partial year 2011
operating results for 84% and 82% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 99%, same at last full review.
Moody's net cash flow reflects a weighted average haircut of 10%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.7%.
Excluding specially serviced loans, Moody's actual and stressed
DSCRs are 1.47X and 1.12X, respectively, compared to 1.44X and
1.11X at last review. Moody's actual DSCR is based on Moody's net
cash flow (NCF) and the loan's actual debt service. Moody's
stressed DSCR is based on Moody's NCF and a 9.25% stressed rate
applied to the loan balance.
The top three performing conduit loans represent 30% of the pool
balance. The largest loan is the U.S. Bank Tower Loan ($120.2
million -- 12.3% of the pool), which represents a pari passu
interest in a $250 million first mortgage loan. The loan is
secured by a 1.4 million square foot (SF) office tower and
accompanying parking garage located in downtown Los Angeles,
California. The loan sponsor is Maguire Properties (Maguire). The
property was 57% leased as of September 2011 compared to 60% at
last review. The loan had been transferred to special servicing in
March 2011 due to imminent default. However, despite the decline
in performance, the loan remained current and was transferred back
to the master servicer in November 2011. The loan is interest-only
for the entire term. Moody's LTV and stressed DSCR are 129% and
0.77X, respectively, compared to 130% and 0.77X at last full
review.
The second largest loan is the Broadway Mall Loan ($86.5 million -
- 8.9% of the pool), which is secured by the borrower's interest
in a 1.1 million SF regional mall located in Hicksville, New York.
The property was 89% leased as of September 2011 compared to 80%
at last review. The center is anchored by Macy's, IKEA and Target.
Macy's had a lease expiration of July 2011 but recently renewed
its lease until January 2017. The loan is currently on the master
servicer's watchlist due to a decrease in DSCR. Moody's LTV and
stressed DSCR are 91% and 1.10X, respectively, compared 91% and
1.10X at last review.
The third largest loan is Pinnacle Building Loan ($86.1 million --
8.8% of the pool), which is secured by a 393,000 SF Class A office
building located in Burbank, California. The property was 98%
leased as of September 2011, the same as last review. The largest
tenant is Warner Music Group, which leases 50% of the premises
through December 2019. The loan is interest-only for the entire
term. Moody's LTV and stressed DSCR are 78% and 1.29X
respectively, compared to 80% and 1.25X at last review.
GCCFC 2004-GG1: Moody's Affirms Rating of Cl. J Notes at 'Ba1'
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of sixteen classes
of Greenwich Capital Commercial Funding Corp., Commercial Mortgage
Pass-Through Certificates, Series 2004-GG1:
Cl. A-6, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-7, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. D, Affirmed at Aa2 (sf); previously on Feb 16, 2011 Upgraded
to Aa2 (sf)
Cl. E, Affirmed at A1 (sf); previously on Feb 16, 2011 Upgraded to
A1 (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Jun 24, 2004
Definitive Rating Assigned Baa1 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Jun 24, 2004
Definitive Rating Assigned Baa2 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on Jun 24, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. J, Affirmed at Ba1 (sf); previously on Jun 24, 2004 Definitive
Rating Assigned Ba1 (sf)
Cl. K, Affirmed at Ba2 (sf); previously on Jun 24, 2004 Definitive
Rating Assigned Ba2 (sf)
Cl. L, Affirmed at Ba3 (sf); previously on Jun 24, 2004 Definitive
Rating Assigned Ba3 (sf)
Cl. M, Affirmed at B1 (sf); previously on Jun 24, 2004 Definitive
Rating Assigned B1 (sf)
Cl. N, Affirmed at Caa1 (sf); previously on Feb 16, 2011
Downgraded to Caa1 (sf)
Cl. O, Affirmed at Caa2 (sf); previously on Feb 16, 2011
Downgraded to Caa2 (sf)
Cl. XC, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
2.6% of the current balance. At last review, Moody's cumulative
base expected loss was 2.8%. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the current sluggish
macroeconomic environment and performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. The
availability of debt capital continues to improve with terms
returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on GCCFC 2004-GG1 XC may be negatively affected. Please
refer to Moody's request for Comment, titled "Proposal Changing
the Global Rating Methodology for Structured Finance Interest-Only
Securities," for further details regarding the implications of the
proposed methodology change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 29 compared to 32 at Moody's prior full review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 16, 2011.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 45% to $1.45
billion from $2.63 billion at securitization. The Certificates are
collateralized by 101 mortgage loans ranging in size from less
than 1% to 10% of the pool, with the top ten non-defeased or non-
specially serviced loans representing 32% of the pool. Thirteen
loans, representing 32% of the pool, have defeased and are secured
by U.S. Government securities. Defeasance at last review
represented 33% of the pool. The pool contains one loan with an
investment grade credit estimate which represents less than 1% of
the pool.
Twenty-seven loans, representing 20% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Six loans have been liquidated from the pool, resulting in a
realized loss of $20.0 million (1% loss severity overall).
Currently seven loans, representing 3% of the pool are in special
servicing. Moody's has estimated an aggregate $16 million loss
(36% expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for five poorly
performing loans representing 1.3% of the pool and has estimated
an aggregate $3.0 million loss (15% expected loss based on a 30%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 99%
of the pool. Excluding specially serviced, troubled and defeased
loans, Moody's weighted average LTV is 92% compared to 96% at last
review. Moody's net cash flow reflects a weighted average haircut
of 12% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.6%.
Excluding specially serviced, troubled and defeased loans, Moody's
actual and stressed DSCRs are 1.38X and 1.20X, respectively,
compared to 1.34X and 1.15X at last review. Moody's actual DSCR is
based on Moody's net cash flow (NCF) and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The loan with a credit estimate is the 222 East 41st Street Loan
($10.0 million -- 0.7% of the pool), which is secured by the
borrower's interest in a leased fee land parcel in the Grand
Central submarket in New York City. The loan is interest only for
10 years. The land is improved with a 371,000 square foot
(SF)office building constructed in 1999 and leased to the Jones
Day Law firm. The ground lease expires in February 2052. Moody's
current credit estimate and stressed DSCR are Aa2 and 1.20X,
respectively, the same as last review.
The top three performing conduit loans represent 14% of the pool
balance. The largest loan is the Aegon Center Loan ($105.4 million
-- 7.3% of the pool), which is secured by a 634,000 SF Class A
office building located in downtown Louisville, Kentucky. It is
the tallest building in the entire state and is attached to a 5-
level, 791-space garage. As of November 2011, the property was 94%
leased compared to 95% at last review. Major tenants include Aegon
N.V. (Moody's senior unsecured rating A3 - stable outlook; 39% of
the NRA; lease expiration in 2012), Frost Brown Todd (18% of the
NRA; lease expiration in 2020) and Stites and Harbison (16% of the
NRA; lease expiration in 2014). The loan was recently added to the
watch list due to Aegon publicly announcing it's plans to downsize
it's operation to approximately 60,000 SF. The loan's initial 60-
month interest-only period has expired and the loan has amortized
approximately 3% since last review. Moody's LTV and stressed DSCR
are 106% and 1.0X, respectively, compared to 106% and .99X at last
review.
The second largest loan is the Southland Mall Loan ($75.7 million
-- 5.2% of the pool), which is secured by a 1.3 million SF
regional mall (collateral is 1.01 MM SF) located between Oakland
and San Jose in Hayward, California. Ownership is being
transferred to Rouse Properties in a spin-off of non-core assets
by GGP. Anchors include JCPenney, Kohl's, Macy's, and Sears (not
part of collateral, not on the list of recently announced
closings). As of September 2011 in-line space was 92% occupied
compared to 90% at last review. However, specialty leasing
represents 24% of occupied iniline space. The trailing 12-month
Septermber 2011 in-line sales were $290/SF compared to $291/SF at
last review and $333/SF at securitization. Moody's LTV and
stressed DSCR are 75% and 1.33X, respectively, compared to 67% and
1.44X at last review.
The third largest loan is the New Roc City Loan ($58.3 million --
4.0% of the pool), which is secured by a 451,000 SF lifestyle
retail center located in New Rochelle, New York. As of September
2011, the property was 94% leased compared 85% at last review.
Performance had declined during 2008 and 2009 but has stabilized
over last two years with new leases representing $480K/year in
rents beginning May 2011. Moody's LTV and stressed DSCR are 92%
and 1.15X, respectively, compared to 88% and 1.20X at last review.
GECMC 2003-C2: Moody's Affirms Rating of Cl. J Notes at 'Ba1'
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed 18 classes of GE Commercial Mortgage Corporation,
Commercial Mortgage Pass-Through Certificates, Series 2003-C2:
Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. E, Affirmed at Aa1 (sf); previously on Mar 17, 2011 Upgraded
to Aa1 (sf)
Cl. F, Affirmed at Aa3 (sf); previously on Mar 17, 2011 Upgraded
to Aa3 (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Oct 15, 2003
Definitive Rating Assigned Baa2 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on Oct 15, 2003
Definitive Rating Assigned Baa3 (sf)
Cl. J, Affirmed at Ba1 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Ba1 (sf)
Cl. K, Affirmed at Ba2 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Ba2 (sf)
Cl. L, Downgraded to B2 (sf); previously on Oct 15, 2003
Definitive Rating Assigned Ba3 (sf)
Cl. M, Downgraded to Caa2 (sf); previously on Mar 17, 2011
Downgraded to B3 (sf)
Cl. N, Downgraded to Caa3 (sf); previously on Mar 17, 2011
Downgraded to Caa1 (sf)
Cl. O, Downgraded to C (sf); previously on Mar 17, 2011 Downgraded
to Caa3 (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. BLVD-1, Affirmed at Ba2 (sf); previously on Mar 17, 2011
Downgraded to Ba2 (sf)
Cl. BLVD-2, Affirmed at Ba3 (sf); previously on Mar 17, 2011
Downgraded to Ba3 (sf)
Cl. BLVD-3, Affirmed at B1 (sf); previously on Mar 17, 2011
Downgraded to B1 (sf)
Cl. BLVD-4, Affirmed at B2 (sf); previously on Mar 17, 2011
Downgraded to B2 (sf)
Cl. BLVD-5, Affirmed at B3 (sf); previously on Mar 17, 2011
Downgraded to B3 (sf)
RATINGS RATIONALE
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
3.6% of the current balance. At last review, Moody's cumulative
base expected loss was 3.0%. 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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on GE Commercial Mortgage Corporation, Commercial
Mortgage Pass-Through Certificates, Series 2003-C2 Class X1 may be
negatively affected. Please refer to Moody's request for Comment,
titled "Proposal Changing the Global Rating Methodology for
Structured Finance Interest-Only Securities," for further details
regarding the implications of the proposed methodology change on
Moody's rating.
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
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review.
DEAL PERFORMANCE
As of the December 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $797.5
million from $1.2 billion at securitization. The Certificates are
collateralized by 114 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans representing 29%
of the pool. Twenty-nine loans, representing 33% of the pool, have
defeased and are collateralized with U.S. Government securities.
Twenty-two 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) 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.
Four loans have been liquidated from the pool, resulting in an
aggregate realized loss of $7.6 million (36% loss severity
overall). Three loans, representing 3% of the pool, are currently
in special servicing. The master servicer has recognized an
aggregate $11.8 million appraisal reduction for two of the
specially serviced loans. Moody's has estimated an aggregate $13.7
million loss (53% expected loss on average) for the specially
serviced loans.
Moody's has assumed a high default probability for eight poorly
performing loans representing 4% of the pool and has estimated a
$4.7 million aggregate loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full and partial year 2010 and partial
year 2011 operating results for 96% and 64% of the pool's non-
defeased and non-specially serviced loans. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 80%
compared to 81% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 12% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.3%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.56X and 1.36X, respectively, compared to
1.55X and 1.33X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 36 compared to 39 at Moody's prior review.
The top three performing conduit loans represent 13% of the pool
balance. The largest loan is the Boulevard Mall Loan ($40.9
million -- 5.1% of the pool), which is a 50% pari passu interest
in a $81.8 million A Note secured by a 1.2 million square foot
(SF) regional mall located in Las Vegas, Nevada. The shopping
center is anchored by Sears and Macy's, which are not part of the
collateral, and J.C. Penney. The center was 75% leased as of June
2011, the same at the last full review. The in-line was space 79%
leased as of June 2011 compared to 68% at the last full review.
The loan is also encumbered by a $18.9 million B Note, which
secures non-pooled classes BLVD-1, BLVD-2, BLVD-3, BLVD-4, and
BLVD-5. Moody's LTV and stressed DSCR for the A note are 95% and
1.08X, respectively, compared to 82% and 1.25X at last full
review.
The second largest loan is the Prosperity Office Park Loan ($31.2
million -- 3.9% of the pool), which is secured by a 180,000 SF
medical office property located in Fairfax, Virginia. The property
was 95% leased as of June 2011 compared to 100% at last review.
The largest tenants include Commonwealth Orthopedic &
Rehabilitation (14% of the net rentable area (NRA); July 2015
lease expiration), AOR Management Company of Virginia (13% of the
NRA; August 2016 lease expiration) and Children's Hospital (11% of
the NRA; June 2012 lease expiration). Moody's LTV and stressed
DSCR are 64% and 1.59X, respectively, compared to 67% and 1.53X at
last full review.
The third largest loan is the Charleston Commons Loan ($29.8
million -- 3.7% of the pool), which is secured by a power center
located in Las Vegas, Nevada. The largest tenants are Walmart (36%
of the NRA; October 2015 lease expiration), Office Max (9% of the
NRA; December 2015 lease expiration), and 99 Cent Only Store (9%
of the NRA; January 2015 lease expiration). Other non-collateral
tenants include Target and Home Depot. The property was 98% leased
as of September 2011 compared to 97% at last review. Property
performance is stable. Moody's LTV and stressed DSCR are 74% and
1.32X, respectively, compared to 70% and 1.39X at last full
review.
GSMS 1999-C1: Moody's Lowers Rating of Cl. F Notes to 'Ba1'
-----------------------------------------------------------
Moody's Investors Service downgraded and placed on review for
further possible downgrade the rating of one class of Goldman
Sachs Mortgage Securities Corporation II, Commercial Mortgage
Pass-Through Certificates 1999-C1:
Cl. F, Downgraded to Ba1 (sf) and Placed Under Review for Possible
Downgrade; previously on Nov 10, 2011 Downgraded to Baa1 (sf)
RATINGS RATIONALE
The downgrade is due to the expectation of interest shortfalls
impacting Class F on the next payment date, January 19, 2012. The
master servicer, Berkadia Commercial Mortgage, has indicated that
the interest due on all of the certificates and a portion of the
principal payment due to Class F will be used to pay trust
expenses related to three specially serviced loans. Moody's placed
this class on review for future possible downgrades because of the
uncertainty of future interest shortfalls hitting this class.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter, amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
There were no models used in the review of this transaction.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated December 17, 2010.
DEAL PERFORMANCE
As of the December 19, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $45.2
million from $85.9 million at securitization. The Certificates are
collateralized by 33 mortgage loans ranging in size from less than
1% to 18% of the pool, with the top ten loans representing 57% of
the pool. Three loans, representing 22% of the pool, have defeased
and are collateralized with U.S. Government securities.
Based on the most recent remittance statement, Classes G through J
have experienced cumulative interest shortfalls totaling $5.7
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
specially serviced loans and trust expenses. Interest shortfalls
are caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs), extraordinary trust expenses and non-advancing by the
master servicer based on a determination of non-recoverability.
The master servicer has made a determination of non-recoverability
for the four largest loans in special servicing and is no longer
advancing for these loans.
Seven 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) 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.
Forty-five loans have been liquidated from the pool since
securitization, resulting in an aggregate $25.3 million loss (23%
loss severity on average). Currently five loans, representing 39%
of the pool, are in special servicing. Moody's has estimated an
aggregate loss of $10.7 million (60% expected loss on average) for
all of the specially serviced loans.
GULF STREAM-SEXTANT: S&P Removes 'BB+' Class D Rating From Watch
----------------------------------------------------------------
Standard & Poor's Ratings Services raised and removed from
CreditWatch positive its rating on the class C notes from Gulf
Stream-Sextant CLO 2006-1 Ltd., a collateralized loan obligation
(CLO) transaction managed by GSAM Apollo Holdings LLC. "We
affirmed our ratings on six classes of notes, two of which we also
removed from CreditWatch positive," S&P said.
"The upgrades reflect improvements in the overcollateralization
(O/C) available to support the rated notes and in the credit
quality of the transaction's underlying asset portfolio. Before,
we last took rating actions on this deal on Nov. 9, 2009, for
which we referenced the September 2009 trustee report. As of the
December 2011 trustee report, the senior O/C ratio increased to
122.5% from 120.1% in September 2009, while the defaulted
balance decreased to $1.23 million from $15.14 million," S&P said.
"The affirmations reflect the availability of sufficient credit
support at the current rating levels. We will continue to review
our ratings on the notes and assess whether, in our view, the
ratings remain consistent with the credit enhancement available,"
S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Gulf Stream-Sextant CLO 2006-1 Ltd.
Rating
Class To From
C A- (sf) BBB+ (sf)/Watch Pos
Ratings Affirmed And Removed From Creditwatch Positive
Gulf Stream-Sextant CLO 2006-1 Ltd.
Rating
Class To From
B A+ (sf) A+ (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
Ratings Affirmed
Gulf Stream-Sextant CLO 2006-1 Ltd.
Class Rating
A-1-A AAA (sf)
A-1-R AAA (sf)
A-1-B AA+ (sf)
A-2 AA+ (sf)
INNER HARBOR: Fitch Affirms Junk Rating on Four Note Classes
------------------------------------------------------------
Fitch Ratings has affirmed four classes of notes issued by Inner
Harbor CBO 1999-1 Ltd. (Inner Harbor), and revised the Recovery
Estimates (REs) as indicated:
-- $755,425 class A-4A notes affirmed at 'CCCsf'; RE 100%;
-- $269,794 class A-4B notes affirmed at 'CCCsf'; RE 100%;
-- $9,000,000 class B-1L notes affirmed at 'Csf'; RE to 15% from
10%;
-- $5,500,000 class B-2 notes affirmed at 'Csf'; RE 0%.
The affirmation of the class A-4A and A-4B (Class A) notes is
based on the notes being entirely covered by principal cash
collections currently held in collection accounts, which should
result in the notes being paid in full at maturity. However, the
affirmation at 'CCCsf' is due to the fact that Fitch was informed
that the final payment date could be delayed beyond the legal
final maturity date, indicating that default remains a
possibility. Should the notes default at their maturity date, the
class is expected to receive a 100% recovery when payments are
distributed.
The affirmation of the class B-1L and B-2 notes is due to the
significant undercollateralization of the notes. The class B-1L
notes outstanding balance exceeds the expected proceeds from the
remaining portfolio collateral. Ultimate principal distributions
to the notes are expected to be approximately 15%. The class B-2
notes are junior to the class B-1L notes and are not expected to
receive future principal distributions.
The transaction has been in an Event of Default (EOD) since
January 2007 due to the failure of the Class B
overcollateralization (OC) test. As a result of the EOD, the
manager has been unable to sell any portfolio holdings.
Monthly reports are currently unavailable, as pending revisions to
the July 2011 note valuation report remain outstanding. For this
review Fitch was provided with the current portfolio collateral
and cash account balances. Given the current status of the
transaction, Fitch deemed this information to be acceptable for
this analysis.
This review did not utilize Fitch's Global Cash Flow model or
Portfolio Credit Model (PCM) given the short term to maturity.
Inner Harbor 1999-1 is a collateralized bond obligation that
closed on Dec. 21, 1999 and is managed by T. Rowe Price
Associates, Inc. The reinvestment period for this transaction
ended in January 2004 and the final maturity is Jan. 15, 2012.
IRWIN WHOLE: Moody's Corrects Press Release Dated June 30, 2010
---------------------------------------------------------------
In the ratings list for Irwin Whole Loan Home Equity Trust 2002-A
substitute 'Cl. IA-1, Reinstated at B3; previously on June 25,
2010 Withdrawn' for 'Cl. IA-1, Downgraded to Caa3; previously on
Feb 18, 2009 Downgraded to B3'.
IRWIN WHOLE: Moody's Corrects Rating for Class IA-1 to 'B3'
-----------------------------------------------------------
Moody's Investors Service is correcting the rating for Class IA-1
senior notes issued in the Irwin Whole Loan Home Equity Trust
2002-A transaction to B3 (sf) on review for downgrade from Caa3
(sf). When the notes were initially rated, the rating was based on
a financial guaranty insurance policy from MBIA Insurance
Corporation (MBIA). Due to an internal administrative error, on
June 30, 2010, the rating for Class IA-1 was incorrectly
reinstated at Caa3 (sf) even though MBIA was rated at B3. MBIA was
then placed on review for downgrade on December 19, 2011. Moody's
is now correcting the rating history for Class IA-1 to align it
with the rating history of MBIA.
JPMORGAN 2007-CIBC18: S&P Lowers Rating on Class E Certs. to 'CCC'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of commercial mortgage pass-through certificates from
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, a
U.S. commercial mortgage-backed securities (CMBS) transaction. "In
addition, we affirmed our ratings on five 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 criteria. Our analysis
also included a review of the transaction structure and the
liquidity available to the trust. The downgrades reflect credit
support erosion that we anticipate will occur upon the eventual
resolution of 14 ($206.5 million, 5.6%) of the 18 ($430.8 million,
11.8%) assets that are currently with the special servicer. In
addition, we considered the monthly interest shortfalls that are
affecting the trust and the potential for additional interest
shortfalls associated with loan modifications and/or revised
appraisal reduction amounts (ARAs) on the specially serviced
assets," S&P said.
"Our analysis included a review of the credit characteristics of
all of the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.35x and a loan-to-value (LTV) ratio of 118.3%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.80x and an LTV ratio of
174.2%. The implied defaults and loss severity under the 'AAA'
scenario were 91.5% and 45.1%. All of the DSC and LTV calculations
we noted above exclude 14 ($206.5 million, 5.6%) of transaction's
18 ($430.8 million, 11.8%) assets that are currently with the
special servicer. We separately estimated losses for the specially
serviced assets and included them in the 'AAA' scenario implied
default and loss severity figures," S&P said.
"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. We affirmed our 'AAA
(sf)' rating on the class X interest-only (IO) certificate based
on our current criteria," S&P said.
Credit Considerations
As of the Dec. 12, 2011, trustee remittance report, 16 ($343.3
million, 9.4%) assets in the pool were with the special servicer,
C-III Asset Management LLC (C-III). According to the master
servicer, Berkadia Commercial Mortgage LLC (Berkadia), two other
loans, the Presidential Tower loan ($80.0 million, 2.2%) and the
100 Interstate 45 North loan ($7.5 million, 0.2%), were
transferred to the special servicer subsequent to the December
2011 trustee remittance report's record date. The reported payment
status of the specially serviced assets is as follows: six ($69.4
million, 1.9%) are real estate owned (REO), six ($127.6 million,
3.5%) are in foreclosure, two ($9.5 million, 0.3%) are 60-days
delinquent, one ($7.5 million, 0.2%) is 30-days delinquent, two
($136.9 million, 3.7%) are in their grace periods, and one ($80.0
million, 2.2%) is current. ARAs totaling $82.0 million were in
effect for 12 of the specially serviced assets. According to the
master servicer, Berkadia Commercial Mortgage LLC, two loans
($87.5 million, 2.4%) were transferred to the special servicer
subsequent to the December 2011 trustee remittance report's record
date. One ($7.5 million, 0.2%) of these loans is reported as 30
days delinquent, while the other ($80.0 million, 2.2%) is reported
as being current. The three largest specially serviced loans, two
of which are top 10 loans, are:
The Bryant Park Hotel loan is the largest loan with the special
servicer and the sixth-largest loan in the pool with a trust
balance of $87.9 million (2.4%). The loan is secured by a 128-room
full-service hotel in Manhattan. The loan is IO and is due to
mature on Jan. 1, 2017. The loan was transferred to the special
servicer on Oct. 28, 2011, due to imminent payment default. The
reported payment status of the loan is in grace period. The
special servicer is currently awaiting a proposal from the
borrower. The most recent reported DSC and occupancy were 0.70x
and 83.9% as of the trailing-12-months ended March 31, 2011.
The Presidential Tower loan ($80.0 million, 2.2%) is the second-
largest loan with the special servicer and the eighth-largest loan
in the pool. The loan is secured by a 12-story, 332,928-sq.-ft.
office building in the Crystal City area of Arlington, Va. The
loan was transferred to the special servicer in December 2011 due
to imminent default. The reported payment status of the loan is
current. The collateral building was formerly 100% leased to the
General Services Administration, which vacated when its lease
expired on Nov. 30, 2011, due to government cutbacks. This is a
newly transferred loan, so C-III is still reviewing the loan and
property information and deciding on a resolution strategy.
The Golden East Crossing loan ($49.0 million, 1.3%) is secured by
a 461,699-sq.-ft. retail center in Rocky Mount, N.C. The loan was
transferred to the special servicer on Sept. 9, 2011, due to
imminent default after the borrower expressed financial difficulty
operating the property and requested a loan modification. The
loan's payment status was reported as being in its grace period.
The special servicer stated that it is currently monitoring the
loan and is in discussion with the borrower. The most recent
reported DSC and occupancy were 1.17x and 92.0%, respectively, as
of year-to-date June 30, 2011.
"The 15 remaining assets with the special servicer have individual
balances that represent less than 1.4% of the total pool balance.
ARAs totaling $82.0 million are in effect against 12 of these
assets. We estimated losses for 14 of the 15 assets to arrive at a
weighted average loss severity of 45.4%," S&P said.
"According to the master servicer, two loans totaling $27.2 (0.7%)
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 1.0% of all future principal and interest payments if the loans
perform and remain with the master servicer," S&P said.
Transaction Summary
As of the Dec. 12, 2011, trustee remittance report, the collateral
pool had a trust balance of $3.67 billion, down from $3.90 billion
at issuance. The pool currently includes 201 loans and six REO
assets. The master servicer provided financial information for
92.5% of the loans in the pool: 29.7% was partial-year 2011 data
and 62.8% was full-year 2010 data.
"We calculated a weighted average DSC of 1.37x for the pool based
on the reported figures. Our adjusted DSC and LTV ratio were 1.35x
and 118.3%, which exclude 14 ($206.5 million, 5.6%) of the
transaction's 18 ($430.8 million, 11.8%) specially serviced
assets. We separately estimated losses for these assets. To date,
the trust has experienced $89.9 million in principal losses
relating to 22 assets. Sixty loans ($1.09 billion, 29.7%),
including three of the top 10 loans in the pool, are on the master
servicer's watchlist. Forty-eight loans ($992.1 million, 27.0%)
have reported DSC of less than 1.10x, 28 of which ($525.7 million,
14.3%) have reported DSC below 1.00x," S&P said.
Summary Of Top 10 Loans
"The top 10 loans have an aggregate outstanding trust balance of
$1.19 billion (32.5%). Using servicer-reported numbers, we
calculated a weighted average DSC of 1.47x for the top 10 loans.
Our adjusted DSC and LTV ratio for the top 10 loans were 1.32x and
128.0%. Three ($286.9 million, 7.8%) of the top 10 loans are on
the master servicer's watchlist, and two ($167.9 million, 4.6%)
are with the special servicer," S&P said.
The Marriott - Hilton Head Island loan ($116.6 million, 3.2%), the
fourth-largest loan in the pool, is on the master servicer's
watchlist due to a low reported DSC. According to the master
servicer's comments, the low DSC is a result of challenging market
conditions. The loan is secured by a 512-room full-service hotel
in Hilton Head Island, S.C. The reported DSC and occupancy were
1.01x and 57.2% as of the trailing-12-months ended June 30, 2011.
The Hilton - Anchorage loan ($89.3 million, 2.4%), the fifth-
largest loan in the pool, is on the master servicer's watchlist
due to a low reported DSC. According to the master servicer's
comments, the low DSC is due to decreased sales resulting from a
decline in cruise ship bookings, which are instrumental to the
property. The loan is secured by a 606-room full-service hotel in
Anchorage, Alaska. The reported DSC and occupancy were 1.06x and
57.7% as of the trailing-12-months ended Sept. 30, 2011.
The Courtyard by Marriott - Times Square South loan ($81.0
million, 2.2%), the seventh-largest loan in the pool, is on the
master servicer's watchlist due to low reported DSC. According to
the master servicer's comments, the low DSC is due to decreased
room revenue resulting from steep competition in the recovering
New York City market. The loan is secured by a 244-room
full-service hotel in Manhattan. The reported DSC and occupancy
were 0.98x and 92.2% as of the trailing-12-months ended June 30,
2011.
Standard & Poor's stressed the assets in the pool according to its
current criteria, and the analysis is consistent with the lowered
and affirmed ratings.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BBB (sf) BBB+ (sf) 18.81
A-MFL BBB (sf) BBB+ (sf) 18.81
A-J B+ (sf) BB (sf) 9.91
B B (sf) BB- (sf) 7.91
C B (sf) B+ (sf) 7.12
D B- (sf) B+ (sf) 5.52
E CCC (sf) B (sf) 4.46
Ratings Affirmed
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3 AAA (sf) 29.43
A-4 A+ (sf) 29.43
A-1A A+ (sf) 29.43
F CCC- (sf) 2.87
X AAA (sf) N/A
N/A -- Not applicable.
LANDMARK III: S&P Affirms Rating on Class B-2L Notes at 'CCC-'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised and removed from
CreditWatch positive its ratings on the class A-1LB, A-1L, A-2L,
and A-3L notes from Landmark III CDO Ltd., a U.S. collateralized
loan obligation (CLO) transaction managed by Aladdin Capital
Management LLC. "We also affirmed our ratings on the class A-1LA,
B-1L, and B-2L notes," S&P said.
"The upgrades reflect a paydown to the class A-1LA and A-1L notes
and improved performance we have observed in the underlying asset
portfolio since we last upgraded some of the classes on Jan. 28,
2011. As of the Dec. 7, 2011, trustee report, the transaction's
asset portfolio had $8.47 million in defaulted obligations and
approximately $35.95 million in assets from obligors rated in the
'CCC' range. This was down from $17.54 million in defaulted
obligations and from approximately $43.41 million in assets from
obligors rated in the 'CCC' range noted in the Dec. 7, 2010,
trustee report, which we used for our January 2011 rating actions.
Over that same time period, the class A-1LA note balance decreased
by $67.43 million, and the class A-1L note balance decreased by
$35.67 million, leaving the classes at approximately 8.60% and
26.88% of their original balance," S&P said.
"We also observed an increase in the overcollateralization (O/C)
available to support the class A notes," S&P said. The trustee
reported these O/C ratios in the Dec. 7, 2011, monthly report:
The senior class A O/C ratio was 154.03%, compared with a
reported ratio of 123.01% in December 2010; and
The class A O/C ratio was 123.66%, compared with a reported
ratio of 111.08% in December 2010;
"We affirmed our ratings on the class A-1LA, B-1L, and B-2L notes
from Landmark III CDO Ltd. to reflect our belief that the credit
support available is commensurate with the current ratings," S&P
said.
Standard & Poor's will continue to review whether, in its view,
the ratings on the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Landmark III CDO Ltd.
Rating
Class To From
A-1LB AAA (sf) AA+ (sf)/Watch Pos
A-1L AAA (sf) AA+ (sf)/Watch Pos
A-2L AA+ (sf) AA- (sf)/Watch Pos
A-3L A- (sf) BBB+ (sf)/Watch Pos
Ratings Affirmed
Landmark III CDO Ltd.
Class Rating
A-1LA AAA (sf)
B-1L CCC+ (sf)
B-2L CCC-(sf)
LBCMT 1996-C2: Moody's Affirms Rating of Cl. F Notes at 'Caa1'
--------------------------------------------------------------
Moody's Investors Service affirmed the rating of two classes of LB
Commercial Conduit Mortgage Trust II, Multiclass Pass-Through
Certificates, Series 1996-C2:
Cl. F, Affirmed at Caa1 (sf); previously on Mar 10, 2011 Upgraded
to Caa1 (sf)
Cl. IO, Affirmed at Aaa (sf); previously on Oct 30, 1996 Assigned
Aaa (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Moody's current base expected loss for the
affirmed class is sufficient to maintain the current rating.
Additionally, there is only one remaining loan in this
transaction, with a loan maturity in 56 months. While no losses
are expected on this loan; as the sole remaining loan in the deal
-- it is currently supporting all trust expenses. The single
remaining principal class has continued to experience interest
shortfalls despite the strong performance of the remaining loan.
As such, this rating action reflects the negative impact of the
interest shortfalls on the trust.
Moody's rating action reflects a 6.7% loss on the original balance
of the one remaining class in the deal. Cumulative base expected
loss of the current balance (representing one loan within the
remaining class) is 3.3%. At last review, Moody's cumulative base
expected loss was 5.3%.
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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on LBCMT 1996-C2 Class IO may be negatively affected.
Please refer to Moody's request for Comment, titled "Proposal
Changing the Global Rating Methodology for Structured Finance
Interest-Only Securities," for further details regarding the
implications of the proposed methodology change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 1 compared to 2 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.2 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
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated May 20, 2011.
DEAL PERFORMANCE
As of the December 27, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 99.9% to $233,574
from $397.2 million at securitization. The remaining certificate
is collateralized by one mortgage loan representing 100% of the
pool. The loan matures in 56 months.
Moody's was provided with full year 2010 and partial year 2011
operating results for 100% of the pool. Moody's net cash flow
reflects a weighted average haircut of 28% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 10.75%.
The single remaining loan in the trust is the 32nd Street Shops /
Denny's loan ($233,574 -- 100% of the pool), which is secured by a
6-unit neighborhood retail center in Boca Raton, Florida. The
property was 90% leased as of October 2011. The largest tenant,
Denny's, Inc. recently signed a lease renewal at the property,
extending its lease to February 2017. Moody's LTV and stressed
DSCR are 26% and 4.54X, respectively.
LBUBS 2000-C3: Moody's Raises Rating of Cl. H Notes to 'B1'
-----------------------------------------------------------
Moody's Investors Service upgraded the ratings of three classes
and affirmed four classes of LB-UBS Commercial Mortgage Trust
2000-C3, Commercial Mortgage Pass-Through Certificates, Series
2000-C3:
Cl. F, Upgraded to Aaa (sf); previously on Mar 16, 2011 Upgraded
to Aa2 (sf)
Cl. G, Upgraded to Aa3 (sf); previously on May 12, 2010 Confirmed
at A2 (sf)
Cl. H, Upgraded to B1 (sf); previously on May 12, 2010 Downgraded
to B2 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on May 12, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed at C (sf); previously on May 12, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on May 12, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Aaa (sf); previously on May 18, 2000 Definitive
Rating Assigned Aaa (sf)
RATINGS RATIONALE
The upgrades are due to increased credit subordination due to loan
payoffs and amortization. The pool has paid down by 37% since
Moody's last full review.
The affirmations are due to key parameters, including Moody's 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
$16.1 million or 26% of the current balance. At last review,
Moody's cumulative base expected loss was $19.0 million or 20%.
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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on LB-UBS 2000-C3 Class X may be negatively affected.
Please refer to Moody's request for Comment, titled "Proposal
Changing the Global Rating Methodology for Structured Finance
Interest-Only Securities," for further details regarding the
implications of the proposed methodology change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 4 compared to 8 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.2 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
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated March 16, 2011.
DEAL PERFORMANCE
As of the December 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $61.6
million from $1.3 billion at securitization. The Certificates are
collateralized by 11 mortgage loans ranging in size from roughly
2% to 37% of the pool, with the top ten loans representing 82% of
the pool. The pool consists of two defeased loans representing 18%
of the pool, a credit tenant lease component representing 10% of
the pool, three specially serviced loans representing 36% of the
pool and a conduit loan that Moody's considers a troubled loan.
One loan, representing 37% of the pool, is on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Thirty loans have been liquidated from the pool, resulting in a
realized loss of $37.6 million (21% loss severity). Included in
the realized loss, the pool has assumed a $10.6 million write down
in connection with a loan modification on the 270 Peachtree Loan
that is currently on the watchlist. Four loans, representing 36%
of the pool, are in special servicing.
The largest specially-serviced loan is Peacock Center ($7.4
million -- 12.1% of the pool), which is secured by a 73,000
square-foot neighborhood retail center in Mount Airy, Maryland.
The largest tenant, Super Fresh (A&P), with 76% of the net
rentable area (NRA), rejected its lease in June 2011, reducing
occupancy to 17%. The lender is attempting to appoint a receiver.
The second-largest specially-serviced loan is Ballenger Creek
Plaza ($7.3 million -- 11.9% share of the pool), which is secured
by a 76,000 square-foot neighborhood retail center in Frederick,
Maryland. As with Peacock Center, the largest tenant, Super Fresh
(A&P), with 54% of NRA, rejected its lease in June 2011, reducing
occupancy to 29% as of July 2011.
The third-largest specially-serviced loan is Oradell Medical Plaza
($4.3 million -- 7.0% share of the pool), which is secured by a
39,000 square-foot office / medical office property. Foreclosure
has been filed. AG Edwards, the former lead tenant at the
property, has vacated, leaving the property 65% occupied. Moody's
assumed an estimated an aggregate $9.2 million loss (42% expected
loss overall) for the specially serviced loans.
The watchlisted loan is the 270 Peachtree Loan ($23.0 million --
37.3% of the pool), which is secured by a 336,000 square office
building located in downtown Atlanta, Georgia. The loan returned
to master servicer on June 23, 2011. The loan had been in special
servicing after the building lost its largest tenant, Southern
Company. The special servicer and the borrower executed a
modification to the loan agreement in July 2010. Major terms of
the modification include an extension of the maturity date to July
2011 with one, twelve month option to extend, a $10.6 million
write down of the loan (conditional waiver given that the borrower
does not trigger an event of default), 3% interest-only payments,
and additional capital infusion into the TI/LC reserve escrow. The
borrower has performed under the modified loan agreement and has
exercised the twelve month option to extend to July 2012. Moody's
is concerned by the considerable refinance risk associated with
this loan and has assumed an estimated $6.9 million loss (30%
expected loss based on a 75% probability of default) for this
loan.
The CTL component consists of four loans secured by bondable
leases. The corporate credits are CVS Caremark Corp. (Moody's
senior unsecured rating Baa2, Outlook - Stable) and Walgreen Co.
(Moody's senior unsecured rating A2, Ratings Under Review for
Possible Downgrade).
Moody's was provided with full year 2010 or full year 2011
operating results for 40% of the pool.
LIGHTPOINT CLO: Moody's Raises Rating on Class E Sec. Notes to B2
-----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Lightpoint CLO 2004-1,
Ltd.:
US$8,500,000 Class C Deferrable Senior Secured Notes due
February 2014 (current outstanding balance of $8,631,951),
Upgraded to Aa1 (sf); previously on August 1, 2011 Upgraded to
Aa2 (sf) and Remained On Review for Possible Upgrade;
US$8,500,000 Class D Secured Notes due February 2014 (current
outstanding balance of $9,102,628), Upgraded to A1 (sf);
previously on August 1, 2011 Upgraded to A2 (sf) and Remained On
Review for Possible Upgrade;
US$11,000,000 Class E Subordinated Secured Notes due February
2014 (current outstanding balance of $15,173,890), Upgraded to
B2 (sf); previously on August 1, 2011 Upgraded to Caa1 (sf) and
Remained On Review for Possible Upgrade.
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of an increase in the transaction's
overcollateralization ratios and delevering of the senior notes
since the rating action in August 2011. Moody's notes that the
Class A-1-B Notes have been paid down in full and that the Class B
Notes have been paid down by approximately 39% or $10.1 million
since the rating action in August 2011. Based on the latest
trustee report dated November 30, 2011, the Class A/B, Class C,
Class D, and Class E overcollateralization ratios are reported
336.38%, 218.18%, 159.19% and 109.74%, respectively, versus June
2011 levels of 190.49%, 159.00%, 135.58%, and 109.16%,
respectively.
Notwithstanding the positive effect of delevering and improved
overcollateralization coverage for all the notes, Moody's notes
that the amount of interest proceeds was insufficient to cover the
entire portion of the Class X Principal and Interest Amount on the
November 2011 payment date. As a result, the Class X Notes did not
receive the full amount of their scheduled redemption, and the
Class C, Class D, and Class E Notes are all currently deferring
interest. Moody's expects the shortfall between interest receipts
and required payments on the Class X Notes to continue. Moreover,
all principal proceeds will be used to delever the Class B Notes
before any payments to the junior notes are made. As a result,
today's rating actions reflect concerns about the high likelihood
of continued interest deferral on the Class C Notes, Class D
Notes, and Class E Notes.
Additionally, Moody's notes that the credit quality of the
underlying portfolio has deteriorated since the rating action in
August 2011. In particular, the weighted average rating factor is
currently 3009 compared to 2670 in June 2011. Furthermore, Moody's
notes that the underlying portfolio includes a number of
investments in securities that mature after the maturity date of
the notes. Based on Moody's calculation, reference securities that
mature after the maturity date of the notes currently make up
approximately $10.1 million or 17.76% of the underlying reference
portfolio. These investments potentially expose the notes to
market risk in the event of liquidation at the time of the notes'
maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $60.2 million, no
defaulted par, a weighted average default probability of 16.16%
(implying a WARF of 3592), a weighted average recovery rate upon
default of 47.33%, and a diversity score of 20. 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.
Lightpoint CLO 2004-1, Ltd., issued in February 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, where a positive difference corresponds
to lower expected loss), assuming that all other factors are held
equal:
Moody's Adjusted WARF -- 20% (2874)
Class B: 0
Class X: 0
Class C: 0
Class D: 0
Class E: +1
Moody's Adjusted WARF + 20% (4310)
Class B: 0
Class X: 0
Class C: 0
Class D: -1
Class E: -1
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
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. 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.
4) Interest Payments on the Notes: Interest proceeds on the notes
are currently not sufficient to pay the Class X Notes Principal
and Interest Amount and principal proceeds are used to delever the
Class B Notes. As a result, the Class C Notes, Class D Notes, and
Class E Notes continue to defer interest payments. The Class C
Notes, Class D Notes, and Class E Notes will resume interest
payments following the complete repayment of the Class X Notes and
Class B Notes, which are both currently being paid down, but the
timing of the resumption of interest payments remains uncertain.
LUBBOCK HOUSING: Moody's Affirms 'Ba2' Rating on Refunding Bonds
----------------------------------------------------------------
Moody's Investors Service has affirmed Ba2 ratings on the Lubbock
Housing Finance Corporation Multi-family Revenue Refunding Bonds
(Las Colinas, Quail Creek and Parkridge Place Apartment projects),
Series 2002 A&B and Ba3 rating on Subordinate Series 2002C bonds.
Approximately $10.95 million of aggregate debt affected.
This rating action reflects continued sufficient rental revenue
and stabilizing debt service coverage. The positive outlook
reflects the improving operating performance of the projects. All
of the properties were built in 1983 and are located approximately
six miles southwest of the Lubbock central business district. The
neighborhood is largely residential, with development along the
South Loop 289 thoroughfare. Texas Tech University is located
within one to two miles of the submarket.
STRENGTHS
-- Continued sufficient operating performance at the property.
-- Substantial excess contributions made by the owner to the
reserve and replacement fund.
CHALLENGES
-- Continued low occupancy at one of the properties.
-- Small project size, which could lead to volatility in
occupancy and the resulting financial performance.
Outlook
The revised positive outlook reflects our expectation of improving
operating performance at the properties over the near term.
What could change the rating -- UP
-- Continued increase in debt service coverage and
stabilization of the projects.
-- Improved occupancy at the Parkridge project.
What could change the rating -- DOWN
-- Decline in the operating performance of the properties,
resulting in deterioration of the debt service coverage on
the bonds.
PRINCIPAL RATING METHODOLOGY
The principal methodology used in this rating was Global Housing
Projects published in July 2010.
MACH ONE: DBRS Confirms Class H Rating at 'BB'
----------------------------------------------
DBRS has confirmed Class A through Class N of MACH ONE 2005-CDN1,
ULC Canadian Commercial Mortgage-Backed Securities Pass-Through
Certificates (MACH ONE). Following the retirement of the Merrill
Lynch Mortgage Loans Inc., Series 2000-Canada 3 and Merrill Lynch
Financial Assets Inc., Series 2003-Canada 9, the Merrill Lynch
Financial Assets Inc., Series 2001-Canada 6 securitization is now
the only transaction currently experiencing principal repayment to
the contributed classes. Of the original 732 loans in the
underlying Canadian commercial mortgage-backed securities (CMBS)
transactions, 412 remain in the pool as of the November 2011
remittance.
The transaction consists of seasoned Canadian CMBS collateral.
Contributed classes consist of CMBS 2001 through 2005 vintages.
The largest deal concentration is 16.6% of the pool (Merrill Lynch
Financial Assets Inc., Series 2002-Canada 8) and the largest three
deals comprise 44.2% of the pool. Only three loans are in special
servicing, and at this time, DBRS does not anticipate the
resolution of those loans to affect the rated classes of the MACH
ONE transaction.
The positive credit migration within the underlying Canadian CMBS
assets can be attributed to increased defeasance, amortization and
increased credit enhancement as a result of principal repayments
applied to the trust. Since issuance of the MACH ONE transaction,
the transaction has experienced a collateral reduction of
approximately 17%.
DBRS will continue to monitor the MACH ONE transaction and the
underlying Canadian CMBS transactions monthly.
MACH ONE 2005-CDN1, ULC Canadian Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2005-CDN1, Class H
Confirmed BB (high) (sf) Stb Dec 29, 2011
MACH ONE 2005-CDN1, ULC Canadian Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2005-CDN1, Class J
Confirmed BB (sf) Stb Dec 29, 2011
MACH ONE 2005-CDN1, ULC Canadian Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2005-CDN1, Class K
Confirmed BB (low) (sf) Stb Dec 29, 2011
MACH ONE 2005-CDN1, ULC Canadian Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2005-CDN1, Class L
Confirmed B (high) (sf) Stb Dec 29, 2011
MACH ONE 2005-CDN1, ULC Canadian Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2005-CDN1, Class M
Confirmed B (sf) Stb Dec 29, 2011
MACH ONE 2005-CDN1, ULC Canadian Commercial Mortgage-Backed
Securities Pass-Through Certificates, Series 2005-CDN1, Class N
Confirmed B (low) (sf) Stb Dec 29, 2011
MARIAH RE: S&P Lowers Series 2010-1 Note Rating From 'CC' to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its issue credit rating
on the Series 2010-1 notes issued by Mariah Re Ltd. to 'D(sf)'
from 'CC(sf)'.
"We have received notification from the issuer that a loss payment
was made to the cedant, American Family Mutual Insurance Co., for
the full amount of the principal balance on the notes," S&P said.
"We had indicated in our most recent update that a full limit loss
to note holders was the likely outcome," S&P said.
Ratings List
Downgraded
To From
Mariah Re Ltd.
Series 2010-1 notes D(sf) CC(sf)
MMCA AUTO OWNER: Moody's Assigns Provisional Ratings to 6 Classes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by MMCA Auto Owner Trust 2012-A (MMCA 2012-A).
MMCA 2012-A is sponsored by Mitsubishi Motors Credit of America,
Inc.
The complete rating actions are:
Issuer: MMCA Auto Owner Trust 2012-A
Class A-1 Asset Backed Notes, rated (P)Prime-1 (sf)
Class A-2 Asset Backed Notes, rated (P)Aaa (sf)
Class A-3 Asset Backed Notes, rated (P)Aaa (sf)
Class A-4 Asset Backed Notes, rated (P)Aaa (sf)
Class B Asset Backed Notes, rated (P)Aa3 (sf)
Class C Asset Backed Notes, rated (P)Baa1 (sf)
RATINGS RATIONALE
The principal methodology used in rating the transaction was
Moody's Approach to Rating U.S. Auto Loan-Backed Securities,
ratings methodology published in May 2011.
Moody's median cumulative net loss expectation is 2.25% and the
Volatility Proxy Aaa Level is 12.50% for the MMCA 2012-A pool.
Moody's net loss expectation and Aaa Level for the MMCA 2012-A
transaction is based on an analysis of the credit quality of the
underlying collateral, historical performance trends, the ability
of Center One Financial Services LLC (as servicer) and U.S. Bank
N.A. (as master servicer) to perform the servicing functions, and
current expectations for future economic conditions.
The V Score for this transaction is Medium versus the Low/Medium V
score assigned for the U.S. Prime Retail Auto Loan ABS sector. The
difference is driven by the Medium assessment for Quality of
Historical Data and Performance Variability. 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).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial ratings were changed to 4.25%, 6.75%, or
9.00%, the initial model-indicated output for the Class A notes
might change from Aaa to Aa1, A1, and Baa1, respectively; the
initial model-indicated output for the Class B notes might change
from Aa3 to Baa2, B3, and model-indicated output for the Class C notes might change from
Baa1 to Ba3,
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.
MORGAN STANLEY: DBRS Confirms Class F Rating at 'CCC'
-----------------------------------------------------
DBRS has confirmed these classes of Morgan Stanley Capital I
Trust, Series 2007-TOP27:
Classes A-1, A-2, A-3, A-4, A-1A, A-AB, A-M, A-MFL and X at AAA
(sf)
Classes A-J at A (sf)
Class F at CCC (sf)
Classes H, J, K, L, M, N and O at C (sf)
DBRS has also downgraded these classes:
Class B to BBB (low) (sf) from BBB (sf)
Class C to BB (low) (sf) from BB (high) (sf)
Class D to B (low) (sf) from B (high) (sf)
Class E to CCC (sf) from B (sf)
Class G to C (sf) from CCC (sf)
The downgrades are a result of DBRS's increased estimates of
projected losses for the loans in special servicing, in addition
to realized losses that have occurred since December 2010.
Following this action, DBRS considers the trends on Classes A-1
through D to be Stable.
As of the December 2011 remittance, there are ten loans in special
servicing, representing 4.4% of the current pool balance. The
most pivotal loans are Grand Mart Chicago Portfolio (Prospectus
ID#50, 0.53% of the current pool balance), Empire Towers
(Prospectus ID#52, 0.54% of the current pool balance) and Comfort
Suites BWI Airport (Prospectus ID#51, 0.56% of the current pool
balance). DBRS current estimates of losses from loans in special
servicing are expected to be contained to Class G.
The Grand Mart Chicago Portfolio loan is secured by three single-
tenant retail properties located in Chicago's Naperville-Joliet
submarket. All three properties are vacant and formerly housed a
grocery store. This loan has been in special servicing since
March 2009 and the asset is real estate owned (REO). An updated
appraisal dated August 2011 suggests that the value of the
property has declined significantly since issuance, and the
advance-to-value ratio, which is approaching 50% as of the
December 2011 remittance, has led the servicer to deem the asset
non-recoverable for future advances. Based on the information
available, DBRS projects a loss of 87% to the loan.
Empire Towers is a 141,667 square foot (sf) mixed-use property in
Glen Burnie, Maryland, just south of Baltimore. The loan was
transferred to special servicing in May 2009 because of payment
default. An August 2011 servicer site inspection noted that the
retail units at the property had been fully leased at the time of
inspection, but that the office component had above-market vacancy
levels. A foreclosure sale occurred on October 28, 2011, and the
asset is now REO. DBRS is currently projecting a 69% loss to this
loan.
The Comfort BWI Airport loan transferred to special servicing in
January 2010 and is due for the December 2009 and all subsequent
payments according to the terms of the loan. Collateral for the
loan is a 137-key limited service hotel located near the
Baltimore/Washington International Airport (BWI) in Maryland. The
property is well-located, and a recent servicer site inspection
noted the property to be in good condition; however, the hotel
market surrounding BWI is considered highly saturated. A
foreclosure sale occurred on March 15, 2011, and the asset is now
REO. DBRS is currently projecting a 64% loss to this loan.
As of the December 2011 remittance, 215 of the original 225 loans
remain in the pool. The pool is concentrated in the top fifteen
loans, which represent nearly 37% of the current pool balance, and
the top ten loans, which represent nearly 30% of the current pool
balance. The weighted-average debt service coverage ratio (DSCR)
for the top fifteen loans is 1.63 times (x).
In addition to these rating actions, DBRS maintains investment-
grade shadow ratings on 15 loans in the pool.
As part of its review, DBRS analyzed the top fifteen loans, the 15
shadow-rated loans, the servicer's watchlist and the ten specially
serviced loans. Together these account for approximately 71.8% of
the current pool balance.
MORGAN STANLEY: DBRS Confirms Class B Rating at 'B'
---------------------------------------------------
DBRS has confirmed these classes of Morgan Stanley Capital I
Trust, Series 2007-TOP25:
-- Classes A-2, A-3, A-1A, A-AB and X at AAA (sf)
-- Class B at B (sf)
-- Classes D and E at CCC (sf)
DBRS has also downgraded these classes:
-- Class A-M to AA (sf) from AAA (sf)
-- Class A-J to BBB (low) (sf) from BBB (sf)
-- Class C to B (low) (sf) from B (sf)
-- Class F to D (sf) from CCC (sf)
-- Classes G, H, J, K, L, M, N and O to D (sf) from C (sf)
The trend for Classes A-2 through C, including notional Class X,
is Stable.
The downgrades are a result of losses realized by Classes F
through O following the liquidation of five loans from the trust.
The decline in credit enhancement resulting from the realized
losses combined with the performance challenges for the remaining
loans in special servicing resulted in the additional downgrades
to Classes A-M, A-J and C.
Village Square (Prospectus ID#4) was liquidated from the trust as
of the December 2011 remittance with a $51.2 million loss. The
loan originally transferred to special servicing in February 2009
for payment default. Collateral for the loan was a 238,000 square
foot (sf) shopping center anchored by an 18-screen Regal Cinemas
movie theater located in northwest Las Vegas. An appraisal from
July 2010 valued the property at $29 million. This figure
declined further when a June 2011 appraisal indicated a property
value of $18.1 million. The asset was sold on November 16, 2011,
for a purchase price of $17.5 million, according to servicer
reports.
In addition, Country Inn & Suites Dalton (Prospectus ID#77) was
liquidated from the trust this month for a realized trust loss of
$2.9 million. Combined, the losses realized in the December 2011
remittance eliminated Classes G through P, and reduced the balance
of Class F by approximately 3.7%. Recoveries from the
liquidations have resulted in the pay-down of Class A-1, and
interest shortfalls were repaid to all DBRS-rated classes.
Since the last surveillance review in December 2010, three loans
have been able to pay out in full of the pool at maturity. There
are currently 194 of the original 204 loans remaining in the pool.
The pool is concentrated in the top fifteen loans, which represent
nearly 45% of the current pool balance, and the top ten loans,
which represent nearly 38% of the current pool balance. The
weighted-average debt service coverage ratio (DSCR) for the top
fifteen loans is 1.23 times (x).
In addition to these rating actions, DBRS has confirmed its
investment-grade shadow ratings on six loans in the pool.
As part of its review, DBRS analyzed the top fifteen loans, the
six shadow-rated loans, the servicer's watchlist and the ten
specially serviced loans. Together these account for
approximately 79.4% of the current pool balance.
MORGAN STANLEY: Fitch Junks Rating on Seven Note Classes
--------------------------------------------------------
Fitch Ratings has downgraded seven subordinate classes of Morgan
Stanley Capital I Trust (MSCI), series 2008-TOP29.
Fitch modeled losses of 2.62% of the remaining pool. Expected
losses of the original pool are at 3.07%, including losses
realized to date. Fitch designated 21 loans (33.52% of the pool
balance) as Fitch Loans of Concern, which includes one loan
(0.59%) currently in special servicing. Five of the Fitch Loans
of Concern (22.52%) are within the transaction's top 15 loans by
unpaid principal balance.
As of the December 2011 distribution date, the pool's aggregate
principal balance has reduced by approximately 3.24% (including
0.53% in realized losses) to $1.19 billion from $1.23 billion at
issuance. No loans are currently defeased. Interest shortfalls
are affecting the non-rated class P. As of the December 2011
remittance, the weighted averaged debt service coverage ratio
(DSCR) for the pool reported at 1.33 times (x), with 69.70% of the
loans reporting a DSCR greater than 1.20x.
The largest contributor to Fitch modeled losses is secured by a
106,674 square foot (sf) retail center (1.42%) located in
Covington, WA. The property is anchored by Kohl's (92% of the net
rentable area (NRA)) whose lease runs through January 2027. The
property has experienced cash flow issues due to lower than
expected revenues and an increase in expenses. The July 2011 rent
roll reported occupancy at 97%; however, DSCR was 0.93x at year-
to-date (YTD) June 2011 and 0.87x at year end (YE) December 2010.
In addition, historical servicer watch-list comments indicate late
payments on non-anchor tenants (5% NRA) throughout 2009 and 2010.
The loan remains current as of the December 2011 distribution
date.
The second-largest contributor to Fitch-modeled losses is a
140,204 sf grocery anchored retail center (1.19%) in
Fredericksburg, VA. The property, which is anchored by a Giant
Food Store (53% NRA), has experienced cash flow issues due to a
decline in occupancy in 2009 when various tenants had gone dark
and vacated the property prior to lease expirations. The June
2011 rent roll reported occupancy at 82%, relatively flat with
December 2009 at 81%. DSCR for YTD June 2011 and YE December 2010
reported at 0.84x and 0.74x, respectively. The loan is current as
of the January 2011 distribution date.
The third-largest contributor to losses is secured by a 102,323
sf, grocery anchored retail center (1.57%) in Scottsdale, AZ. The
loan was previously transferred to special servicing in January
2010 due to payment default and cash flow issues which resulted
from the property's third-largest tenant at issuance (19% NRA)
filing for bankruptcy and vacating in 2009. The vacated space was
leased to a new tenant in November 2010; the property is currently
100% occupied. While in special servicing the partial interest-
only loan was modified, extending the interest-only period by 27
months with amortization beginning in April 2012, from February
2010 previously. The loan was returned to the master servicer in
April 2011, and has remained current under the modified terms. The
YTD June 2011 DSCR reported at 1.03x.
Fitch downgrades these classes, and assigns Recovery Estimates
(REs) as indicated:
-- $10.8 million class H to 'CCCsf' from 'Bsf'; RE 100%;
-- $1.5 million class J to 'CCCsf', from 'Bsf'; RE 25%;
-- $4.6 million class K to 'CCCsf', from 'B-sf'; RE 0%;
-- $1.5 million class L to 'CCsf', from 'CCCsf'; RE 0%;
-- $1.5 million class M to 'CCsf', from 'CCCsf'; RE 0%;
-- $4.6 million class N to 'Csf', from 'CCsf'; RE 0%;
-- $4.6 million class O to 'Csf', from 'CCsf'; RE 0%.
Fitch also affirms these classes, and revises Ratings Outlooks as
indicated:
-- $12.6 million class A-1 at 'AAAsf'; Outlook Stable;
-- $36.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $64.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $49.2 million class A-AB at 'AAAsf'; Outlook Stable;
-- $629.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $75 million class A-4FL at 'AAAsf'; Outlook Stable;
-- $123.4 million class A-M at 'AAAsf'; Outlook Stable;
-- $72.5 million class A-J1 at 'AAsf'; Outlook Stable;
-- $20.1 million class B at 'Asf'; Outlook to Stable from
Positive;
-- $10.8 million class C at 'Asf'; Outlook Stable;
-- $21.6 million class D at 'BBBsf'; Outlook Stable;
-- $12.3 million class E at 'BBBsf'; Outlook Stable;
-- $13.9 million class F at 'BBsf'; Outlook Stable;
-- $13.9 million class G at 'BBsf'; Outlook to Negative from
Stable.
Fitch does not rate class P, which has been reduced to $8.9
million from $15.2 million due to realized losses.
MORGAN STANLEY: S&P Cuts Rating on Class ISrA to 'D'
----------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the ISrA
tranche from Morgan Stanley Managed ACES SPC's 2007-20 To 'D (sf)'
from 'CCC-(sf)'.
The lowered rating follows recent credit events affecting the
transaction's underlying reference entities that have caused the
ISrA tranche to incur a partial principal loss.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
MORGAN STANLEY: S&P Lowers 2 Note Classes Ratings to 'D'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class IIB and IIIB notes from Morgan Stanley ACES SPC's series
2007-13 to 'D (sf)' from 'CCC- (sf)'.
The lowered ratings follow recent credit events affecting the
transaction's underlying reference entities that have caused the
tranches to incur complete principal losses.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
MSC 1998-CF1: Moody's Raises Rating of Cl. F Notes to 'Ba3'
-----------------------------------------------------------
Moody's Investors Service upgraded the rating of two classes and
affirmed the ratings of three classes of Morgan Stanley Capital I
Inc., Commercial Mortgage Pass-Through Certificates, Series 1998-
CF1:
Cl. D, Affirmed at Aaa (sf); previously on Apr 15, 2009 Upgraded
to Aaa (sf)
Cl. E, Upgraded to Aa1 (sf); previously on Feb 3, 2011 Upgraded to
Aa3 (sf)
Cl. F, Upgraded to Ba3 (sf); previously on Apr 15, 2009 Upgraded
to B2 (sf)
Cl. G, Affirmed at C (sf); previously on Dec 23, 2003 Downgraded
to C (sf)
Cl. X, Affirmed at Aaa (sf); previously on Aug 25, 1998 Assigned
Aaa (sf)
RATINGS RATIONALE
The upgrades are due to overall improved pool financial
performance and increased credit support due to loan payoffs and
amortization.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
2.3% of the current balance. At last review, Moody's cumulative
base expected loss was 8.0%. Realized losses have increased from
7.0% of the original balance to 7.2% since the prior review
(accounts for the decrease in base expected loss since the prior
review). Depending on the timing of loan payoffs and the severity
and timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on Morgan Stanley Capital I Inc., Commercial Mortgage
Pass-Through Certificates, Series 1998-CF1 Class X may be
negatively affected. Please refer to Moody's request for Comment,
titled "Proposal Changing the Global Rating Methodology for
Structured Finance Interest-Only Securities," for further details
regarding the implications of the proposed methodology change on
Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 16 compared to 18 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated February 3, 2011.
DEAL PERFORMANCE
As of the December 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $79.3
million from $1.11 billion at securitization. The Certificates are
collateralized by 39 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten non-defeased loans
representing 52% of the pool. Six loans, representing 19% of the
pool, have defeased and are secured by U.S. Government securities.
Defeasance at last review represented 10% of the pool.
Eight loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Fifty-four loans have been liquidated from the pool, resulting in
a realized loss of $80.1 million (61% loss severity on average).
There are currently no loans in special servicing.
Moody's has assumed a high default probability for two poorly
performing loans representing 3% of the pool and has estimated an
aggregate $635,000 loss (25% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 85%
of the pool. Excluding troubled loans, Moody's weighted average
LTV is 60% compared to 56% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 13% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 10.4%.
Excluding troubled loans, Moody's actual and stressed DSCRs are
1.50X and 2.06X, respectively, compared to 1.55X and 1.95X at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The top three conduit loans represent 27% of the pool. The largest
conduit loan is the Bristol Market Place Loan ($9.2 million --
11.5% of the pool), which is secured by a 99,256 square foot (SF)
retail center located in Santa Ana, California. Financial
performance has improved due to increases in occupancy and rent
bumps from existing tenants. The property was 93% leased through
September 2011 compared to 85% at the last review. Overall, the
property is stable and the loan has benefitted from amortization.
Moody's LTV and stressed DSCR are 67% and 1.53X, respectively,
compared to 72% and 1.44X at full last review.
The second largest conduit loan is the Van Dorn Station Loan ($6.9
million -- 8.7% of the pool), which is secured by a 74,500 SF
retail center located in Alexandria, Virginia. The loan is
currently on the watchlist due to occupancy issues. Comcast, who
occupied 36% of the net rentable area (NRA), vacated its space at
lease maturity in December 2010. The borrower has been marketing
the space for lease but has been unable to secure another tenant.
The loan has amortized over 21% to date which has helped offset
the decrease in cash flow coming from the property due to the loss
of Comcast. Moody's LTV and stressed DSCR are 50% and 2.27X,
respectively, compared to 42% and 2.60X at last review.
The third largest conduit loan is the Pleasanton Square II Loan
($5.5 million -- 7.0% of the pool), which is secured by a 52,019
SF retail center located in Pleasanton, California. The property
was 100% leased through July 2011, the same as at the prior
review. Two tenants, representing 40% of the NRA, have lease
maturities in 2012. The larger of the two tenants agreed to renew
its lease for an additional 10 years while the other tenant
decided to vacate its space at lease maturity. The borrower feels
confident that they will be able to secure a replacement tenant
prior to lease expiration. Overall, the property is stable and
benefitting from amortization. Moody's LTV and stressed DSCR are
58% and 1.86X, respectively, compared to 69% and 1.56X at last
review.
MSDWC 2001-TOP3: Moody's Lowers Rating of Cl. E Notes to 'B1'
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and affirmed four classes of Morgan Stanley Dean Witter Capital I
Inc., Commercial Mortgage Pass-Through Certificates, Series 2001-
TOP3:
Cl. A-4, Affirmed at Aaa (sf); previously on Jul 30, 2001 Assigned
Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Jul 9, 2007 Upgraded to
Aaa (sf)
Cl. C, Downgraded to A3 (sf); previously on May 5, 2010 Downgraded
to A1 (sf)
Cl. D, Downgraded to Baa3 (sf); previously on May 5, 2010
Downgraded to A3 (sf)
Cl. E, Downgraded to B1 (sf); previously on May 5, 2010 Downgraded
to Ba1 (sf)
Cl. F, Downgraded to Caa2 (sf); previously on Apr 22, 2011
Downgraded to B3 (sf)
Cl. G, Downgraded to Ca (sf); previously on Apr 22, 2011
Downgraded to Caa3 (sf)
Cl. H, Downgraded to C (sf); previously on May 5, 2010 Downgraded
to Ca (sf)
Cl. J, Affirmed at C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. X-1, Affirmed at Aaa (sf); previously on Jul 30, 2001 Assigned
Aaa (sf)
RATINGS RATIONALE
The downgrades are due to higher than expected losses from
troubled loans and loans in special servicing along with interest
shortfalls reaching class F and the potential for further interest
shortfalls.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
20.6% of the current balance. At last review, Moody's cumulative
base expected loss was 10.4%. Depending on the timing of loan
payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the current sluggish
macroeconomic environment and performance in the commercial real
estate property markets. While commercial real estate property
markets are gaining momentum, a consistent upward trend will not
be evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. The hotel and multifamily sectors are continuing to show
signs of recovery through the first half of 2011, while recovery
in the non-core office and retail sectors are tied to pace of
recovery of the broader economy. Core office markets are showing
signs of recovery through lending and leasing activity. The
availability of debt capital continues to improve with terms
returning toward market norms. Moody's central global
macroeconomic scenario reflects an overall sluggish recovery as
the most likely scenario through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations, however the downside risks
to the outlook have risen since last quarter.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on MSDWC 2001 TOP3 X1 may be negatively affected.
Please refer to Moody's request for Comment, titled "Proposal
Changing the Global Rating Methodology for Structured Finance
Interest-Only Securities," for further details regarding the
implications of the proposed methodology change on Moody's rating.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.60 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 9 compared to 19 at Moody's prior full review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.1 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated April 22, 2011.
DEAL PERFORMANCE
As of the December 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to $171 million
from $1.03 billion at securitization. Since Moody's prior review,
the certificate balance has decreased by 50% from $341 million and
the pool will continue to face near-term refinance risk as 32% of
the pool matures within six months. The Certificates are
collateralized by 34 mortgage loans ranging in size from less than
1% to 29% of the pool, with the top ten non-defeased or non-
specially serviced loans representing 61% of the pool. Three
loans, representing 3% of the pool, have defeased and are secured
by U.S. Government securities.
Eight 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) 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.
Sixteen loans have been liquidated from the pool, resulting in a
realized loss of $19.5 million (23% loss severity overall).
Currently nine loans, representing 30% of the pool are in special
servicing. The largest specially-serviced loan is the Detroit
Center Tool Building Loan ($13.0 million -- 7.6% of the pool),
which is secured by a 365,000 square foot (SF) industrial property
built in 1971 and located 20 miles north of Detroit in Sterling
Heights, Michigan. The property has been vacant since December
2009. A Phase I and subsequent Phase II environmental assessment
indicated significant environmental concerns and is now part of
Michigan's Baseline Environmental Assessment (BEA) which allows
purchase or operation of a facility without the trust being held
liable for existing contamination. This loan has been determined
non-recoverable and Moody's has estimated a loss of $13.0 million
(100% loss given default) for this loan.
The second largest specially-serviced loan is the Corporate Center
at Centennial Valley Loan ($7.4 million -- 4.3% of the pool),
which is secured by a 73,000 SF office property built in 2000 and
located in Louisville, Colorado, 30 miles north of Denver. The
property was vacated in November 2010 by TransFirst Data which had
subleased the property from Google, however a lease was recently
signed with EMC Corporation.
The third largest specially-serviced loan is the NEXPAK Duluth
Loan ($6.9 million -- 4.0% of the pool), which is secured by a
221,000 SF single-tenant industrial building built in 1991 and
located 25 miles northeast of Atlanta in Duluth, Georgia. The
property has been vacant since September 2009 when the former
tenant, Nexpak Corporation, vacated the property. Moody's has
estimated an aggregate loss of $29.1 million for the specially
serviced loans (63% expected loss on average).
Moody's has assumed a high default probability for two poorly
performing loans representing 9% of the pool and has estimated an
aggregate $3.0 million loss (20% expected loss based on a 40%
probability default) from these troubled loans.
Moody's was provided with full year 2010 operating results for 95%
of the pool. Excluding specially serviced, troubled and defeased
loans, Moody's weighted average LTV is 78% compared to 67% at last
review. Moody's net cash flow reflects a weighted average haircut
of 27% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.8%. The increase in LTV and large haircut is due to additional
stress utilized in the analysis of the largest conduit loan, 140
Kendrick Street, which represents 46% of the conduit.
Excluding specially serviced, troubled and defeased loans, Moody's
actual and stressed DSCRs are 1.25X and 1.59X, respectively,
compared to 1.53X and 1.83X 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. Once again, the
deterioration in DSCR is due to additional stress utilized in the
analysis of the 140 Kendrick Street Loan.
The top three performing conduit loans represent 40% of the pool
balance. The largest loan is the 140 Kendrick Street Loan ($49.0
million -- 29% of the pool) which is secured by three Class A
suburban office buildings that are located ten miles west of
Boston's financial district in Needham, Massachusetts. The
buildings total 381,000 SF and are 100% leased to Parametric
Technology Corporation through November 2022. Parametric has
subleased the space to various tenants with all leases expiring
before loan maturity in July 2013. Due to uncertainty about
Parametric's occupancy through the end of its lease term, Moody's
valuation reflects a dark/lit analysis and reflects current market
rents and occupancy. Moody's LTV and stressed DSCR are 93% and
1.14X, respectively, compared to 78% and 1.35X at last review.
The second largest loan is the Omnicom Building Loan ($10.9
million -- 6% of the pool), which is secured by 111,000 SF office
building located in Marina Del Ray, California. The building is
100% leased to Omnicom Group, Inc (senior unsecured rating Baa1,
stable outlook) through June 2015. Performance has remained stable
since last review. Moody's LTV and stressed DSCR are 57% and
1.86X, respectively, compared to 58% and 1.83X at last review.
The third largest loan is the Page Avenue Loan ($8.3 million -- 5%
of the pool), which is secured by a two-building industrial
property totaling 99,000 SF located in Fremont, California. A
tenant occupying 50% of property did not renew its lease upon
expiration in April 2011 while another tenant occupying 28% of the
property renewed on a six month basis with the next maturity being
June 2012. Moody's analysis is based on re-leasing of the current
vacant space at market rents and occupancy. Moody's considers this
a troubled loan because of Moody's concerns about the property's
significant vacancy. Moody's LTV and stressed DSCR are 187% and
0.58X, respectively, compared to 83% and 1.30X at last review.
MULTIPLE SECURITY: DBRS Confirms Class J at 'BB'
------------------------------------------------
DBRS has upgraded the ratings of these two classes of Commercial
Mortgage-Backed Securities Pass-Through Certificates, Series 2005-
RR4 issued by Multiple Security Asset Trust LP, Series 2005-RR4
(MSAT):
-- Class B to AAA (sf) from AA (sf)
-- Class C to AA (high) (sf) from AA (low) (sf)
In additional, DBRS has confirmed the ratings of these 13 classes
in the transaction:
-- Class A-3 at AAA (sf)
-- Class X-1 at AAA (sf)
-- Class D at "A" (sf)
-- Class E at A (low) (sf)
-- Class F at BBB (high) (sf)
-- Class G at BBB (low) (sf)
-- Class H at BBB (low) (sf)
-- Class J at BB (sf)
-- Class K at B
-- Class L at CCC (sf)
-- Class M at CCC (sf)
-- Class N at CCC (sf)
-- Class O at C (sf)
All trends are Stable, except for Class L, Class M, Class N and
Class O, which do not have trends assigned.
The upgrades are a result of positive credit migration on the
underlying U.S. commercial mortgage-backed securities (CMBS)
assets, attributed to increased defeasance, loan seasoning,
amortization and increased credit enhancement as a result of
successful loan repayments at maturity and recoveries on
liquidated loans. This performance in the underlying U.S. CMBS
has resulted in significant principal repayment to the top of the
MSAT 2005-RR4 capital structure. Since issuance, five
transactions that were contributed to the MSAT 2005-RR4
transaction have paid off in full. Five of the remaining nine
underlying U.S.CMBS transactions are currently experiencing
principal repayment.
While potential losses associated with the underlying U.S. CMBS
specially serviced loans could reduce credit enhancement or affect
the lowest-rated classes, the performance of the overall
transaction has been strong. Since the issuance of the MSAT 2005-
RR4 transaction, Class A-1, Class A-2 and Class X-2 have repaid,
and the $3.9 million of realized losses has been contained to the
unrated Class P-6. The MSAT 2005-RR4 capital structure currently
has $35 million of credit support below the lowest DBRS-rated
class. With this surveillance review, DBRS does not anticipate
losses associated with the underlying specially serviced loans to
affect the DBRS-rated classes in the MSAT 2005-RR4 transaction.
NAVIGATOR CDO: Moody's Raises Rating on US$6-Mil. Notes to 'Ba2'
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Navigator CDO 2004, Ltd.:
US$22,500,000 Class B-1 Floating Rate Secured Deferrable Term
Notes Due 2017, Upgraded to Aa1 (sf); previously on August 2, 2011
Upgraded to Aa2 (sf);
US$7,500,000 Class B-2 Fixed Rate Secured Deferrable Term Notes
Due 2017, Upgraded to Aa1 (sf) ; previously on August 2, 2011
Upgraded to Aa2 (sf);
US$16,500,000 Class C-1 Floating Rate Subordinate Secured Term
Notes Due 2017 (current balance of $13,280,974), Upgraded to Baa1
(sf); previously on August 2, 2011 Upgraded to Baa2 (sf);
US$12,500,000 Class C-2 Fixed Rate Subordinate Secured Term Notes
Due 2017 (current balance of $10,061,344), Upgraded to Baa1 (sf);
previously on August 2, 2011 Upgraded to Baa2 (sf);
US$6,000,000 Class D-1 Floating Rate Junior Subordinate Secured
Term Notes Due 2017 (current balance of $4,761,471), Upgraded to
Ba2 (sf); previously on August 2, 2011 Upgraded to Ba3 (sf);
US$6,000,000 Class D-2 Fixed Rate Junior Subordinate Secured Term
Notes Due 2017 (current balance of $4,761,471), Upgraded to Ba2
(sf); previously on August 2, 2011 Upgraded to Ba3 (sf);
US$5,000,000 Class Q-1 Notes Due 2017 (current rated balance of
$922,982), Upgraded to Aa2 (sf); previously on August 2, 2011
Upgraded to A1 (sf); and
US$18,000,000 Class Q-2 Notes Due 2017 (current rated balance of
$5,909,533), Upgraded to Aa3 (sf); previously on August 2, 2011
Upgraded to A2 (sf).
Ratings Rationale
According to Moody's, the rating action taken on the notes is
primarily a result of delevering of the Class A-1A and A-1B Notes
which have been paid down by approximately 49% or $52 million
since the rating action in August 2011. As a result of the
delevering, the overcollateralization ratios have increased since
the last rating action. Based on the latest trustee report dated
December, 2011, the Class A, the Class B, Class C, and Class D
Principal Coverage ratios are reported at 152.3%, 125.8%, 110.7%,
and 105.6%, respectively, versus July 2011 levels of 129.4%,
116.3%, 107.8%, and 104.7%, respectively.
Notwithstanding the delevering of the transaction, Moody's notes
that the credit quality of the underlying portfolio has
deteriorated since the rating action in August 2011. In
particular, the weighted average factor is currently 2461 compared
to 2366 in July 2011.
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 $215 million,
defaulted par of $11.3 million, a weighted average default
probability of 14.36% (implying a WARF of 2648), a weighted
average recovery rate upon default of 49.79%, 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.
Navigator CDO 2004, Ltd issued in October 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2012 and
2014 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior, 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
A summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2119)
Class A-1A: 0
Class A-1B: 0
Class A-2: 0
Class A-3A: 0
Class A-3B: 0
Class B-1: +1
Class B-2: +1
Class C-1: +2
Class C-2: +2
Class D-1: +1
Class D-2: +1
Class Q-1: +2
Class Q-2: +2
Moody's Adjusted WARF + 20% (3178)
Class A-1A: 0
Class A-1B: 0
Class A-2: 0
Class A-3A: 0
Class A-3B: 0
Class B-1: -1
Class B-2: -1
Class C-1: -2
Class C-2: -2
Class D-1: -1
Class D-2: -1
Class Q-1: -2
Class Q-2: -2
Sources of additional performance uncertainties are:
1)Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2)Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
NORTH STREET: Moody's Ups Rating on US$26.7-Mil. Notes to 'Caa3'
----------------------------------------------------------------
Moody's Investors Service announced the following rating action on
North Street Referenced Linked Notes, 2005-9 Limited, a
collateralized debt obligation transaction (the "Collateralized
Synthetic Obligation" or "CSO").
The CSO, issued in 2005, references a portfolio of synthetic
corporate senior secured and senior unsecured loans.
US$25,000,000 Class C Floating Rate Notes, Upgraded to A2 (sf);
previously on November 22, 2010 Upgraded to A3 (sf);
UD$18,500,000 Class D Floating Rate Notes, Upgraded to Baa2
(sf); previously on November 22, 2010 Upgraded to Ba2 (sf);
US$14,000,000 Class E Floating Rate Notes, Upgraded to Ba3
(sf); previously on November 22, 2010 Upgraded to B3 (sf);
US$26,700,000 Class F Floating Rate Notes, Upgraded to Caa3
(sf); previously on February 27, 2009 Downgraded to Ca (sf).
Ratings Rationale
Moody's rating action is the result of the short time to maturity
and the remaining subordination in the transaction. In addition
there has been some ratings improvement in the lower rated assets
although WARF remains stable. The notes are due to mature in
October 2012. Since inception, the portfolio has experienced 17
credit events. There have been no additional credit events since
the last rating action in November 2010.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:
Market Implied Ratings ("MIRs") are modeled in place of the
corporate fundamental ratings to derive the default probability of
the reference entities in the portfolio. The gap between an MIR
and a Moody's corporate fundamental rating is an indicator of the
extent of the divergence in credit view between Moody's and the
market. The result of this run is comparable to the base case run
for all classes.
In addition to the quantitative factors that are explicitly
modeled, qualitative factors are part of rating committee
considerations. These qualitative factors include the structural
protections in each transaction, the recent deal performance in
the current market environment, the legal environment, and
specific documentation features. All information available to
rating committees, including macroeconomic forecasts, input from
other Moody's analytical groups, market factors, and judgments
regarding the nature and severity of credit stress on the
transactions, may influence the final rating decision.
The principal methodology used in this rating was "Moody's
Approach to Rating Corporate Collateralized Synthetic Obligations"
published in September 2009.
Moody's analysis for this transaction is based on CDOROM v2.8.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.
Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in our assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSO liabilities, thus leading
to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
conditions.
PALISADES CDO: S&P Lowers Rating on Class A-2 Notes to 'CC'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1A, A-1B, and A-2 notes from Palisades CDO Ltd., a cash
flow collateralized debt obligation (CDO) transaction backed
primarily by residential mortgage-backed securities (RMBS) and
other asset-backed securities (ABS), managed by Western Asset
Management Co. "We downgraded the class A-1A and A-1B notes to 'B
(sf)' and downgraded the class A-2 notes to 'CC (sf)'. At the same
time, we removed our ratings on these classes from CreditWatch
with negative implications, where we placed them on Oct. 6, 2011,"
S&P said.
"The lowered ratings reflect the decrease in the class A/B
overcollateralization (O/C) ratio and a decline in the credit
quality of the collateral pool available to support the notes.
According to the November 2011 trustee report, the class A/B O/C
ratio was 55.62%, down from 58.68% in the April 2011 trustee
report, which we used for our May 2011 analysis when we last
affirmed our ratings on the notes. As per the November 2011
trustee report, the class A-1A and A-1B notes are currently backed
by 'CCC' rated assets and the class A-2 notes by 'CC' rated
assets," 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Palisades CDO Ltd.
Rating
Class To From
A-1A B (sf) BB (sf)/Watch Neg
A-1B B (sf) BB (sf)/Watch Neg
A-2 CC (sf) CCC- (sf)/Watch Neg
Other Ratings Outstanding
Palisades CDO Ltd.
Class Rating
B-1 D (sf)
B-2 D (sf)
C-1 D (sf)
C-2 D (sf)
Type II D (sf)
PARTS PRIVATE: Fitch Puts Rating on Class C Notes at 'CCC'
----------------------------------------------------------
Fitch Ratings places three classes of bonds from PARTS Private
Student Loan Trust series 2007-CT1 (PARTS) on Rating Watch
Negative. Fitch recently received six revised quarterly servicing
reports showing significantly worse performance over the last 18
months. Although PARTS revised their reports in August 2011,
Fitch was only recently notified of the revisions. Fitch will
conduct an in-depth analysis on this trust to determine the effect
of this new performance data on the outstanding ratings. Fitch
used its 'Global SF Criteria' and 'U.S. Private SL ABS Criteria'
to review the transaction.
As of the November 2011 distribution, total parity has decreased
to 89.39%. It is expected that parity will continue to decline if
the elevated level of loss accumulation continues. The collateral
securing the notes are private loans originated according to
either TERI or LEARN underwriting guidelines. PHEAA services the
loan portfolio.
Fitch places the rating on Rating Watch Negative:
PARTS Private Student Loan Trust series 2007-CT1
-- Class A 'AAA';
-- Class B 'BBB-';
-- Class C 'CC'.
PMAC 1999-C1: Moody's Affirms Rating of Cl. G Notes at 'Caa2'
-------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
affirmed three classes of Paine Webber Mortgage Acceptance
Corporation V, Commercial Mortgage Pass-Through Certificates,
Series 1999-C1:
Cl. X, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. F, Upgraded to A3 (sf); previously on Feb 28, 2008 Upgraded to
Ba1 (sf)
Cl. G, Affirmed at Caa2 (sf); previously on Jan 29, 2004
Downgraded to Caa2 (sf)
Cl. H, Affirmed at C (sf); previously on Jan 13, 2011 Downgraded
to C (sf)
RATINGS RATIONALE
The upgrade is due to increased credit subordination levels
resulting from paydowns and amortization and overall stable pool
performance. The pool has paid down 33% since Moody's prior
review.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
13.5% of the current balance. At last review, Moody's cumulative
base expected loss was 5.3%. 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 extent of the
slowdown in growth in the current macroeconomic environment and
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 in
recovery and improvements in the office sector continue, with
fundamentals in Gateway cities outperforming their suburban
counterparts. However, office demand is closely tied to
employment, where fundamentals remain weak, so significant
improvement may be delayed. Performance in the retail sector has
been mixed with on-going rent deflation and leasing challenges.
Across all property sectors, the availability of debt capital
continues to improve with monetary policy expected to remain
supportive and interest rate hikes postponed. Moody's central
global macroeconomic scenario reflects an overall downward
revision of forecasts since last quarter , amidst ongoing fiscal
consolidation efforts, household and banking sector deleveraging,
persistently high unemployment levels, and weak housing markets
that will continue to constrain growth.
The methodologies used in this rating were "CMBS: Moody's Approach
to Rating U.S. Conduit Transactions" published in September 2000,
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
In rating this transaction, Moody's used also its credit-tenant
lease ("CTL") financing methodology approach ("CTL" approach) .
Under Moody's CTL approach, the rating of a transaction's
certificates is primarily based on the senior unsecured debt
rating (or the corporate family rating) of the tenant, usually an
investment grade rated company, leasing the real estate collateral
supporting the bonds. This tenant's credit rating is the key
factor in determining the probability of default on the underlying
lease. The lease generally is "bondable", which means it is an
absolute net lease, yielding fixed rent paid to the trust through
a lock-box, sufficient under all circumstances to pay in full all
interest and principal of the loan. The leased property should be
owned by a bankruptcy-remote, special purpose borrower, which
grants a first lien mortgage and assignment of rents to the
securitization trust. The dark value of the collateral, which
assumes the property is vacant or "dark", is then examined to
determine a recovery rate upon a loan's default. Moody's also
considers the overall structure and legal integrity of the
transaction. For deals that include a pool of credit tenant loans,
Moody's currently uses a Gaussian copula model, incorporated in
its public CDO rating model CDOROMv2.8 to generate a portfolio
loss distribution to assess the ratings
Moody's noted that on November 22, 2011, it released a Request for
Comment, in which the rating agency has requested market feedback
on potential changes to its rating methodology for Interest-Only
Securities. If the revised methodology is implemented as proposed
the rating on PMAC 1999-C1 transaction Class X maybe negatively
affected. Please refer to Moody's request for Comment, titled
"Proposal Changing the Global Rating Methodology for Structured
Finance Interest-Only Securities," for further details regarding
the implications of the proposed methodology change on Moody's
rating. Please see the Credit. Policy page on www.moodys.com for a
copy of this methodology and the Request for Comment.
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
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 11, compared to 14 at the Moody's prior review.
In cases where the Herf falls below 20, Moody's employs also the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.2. The large loan model derives
credit enhancement levels based on an aggregation of adjusted loan
level proceeds derived from Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, property type, and sponsorship. These aggregated
proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and
correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated January 13, 2011.
DEAL PERFORMANCE
As of the December 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $59.7
million from $704.8 million at securitization. The Certificates
are collateralized by 28 mortgage loans ranging in size from less
than 1% to 17% of the pool, with the top ten non-defeased loans
representing 76% of the pool. Five loans, representing 47% of the
pool, are secured by credit tenant leases (CTLs). Five loans,
representing 8% of the pool, have defeased and are secured by U.S.
Government securities.
Six loans, representing 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Ten loans have been liquidated from the pool, resulting in an
aggregate realized loss of $9.9 million (33% loss severity on
average). Three loans, representing 15% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Heatherwood Apartments Loan ($5.0 million -- 8.4% of the pool),
which is secured by a 348 unit multifamily property located in
Houston, Texas. The property was sold in December for $4.75
million. The realized loss associated with this loan should be
reflected on the next remittance statement. The other specially
serviced loans are secured by an industrial property and lodging
property which are REO and 30 days delinquent, respectively.
Moody's has estimated an aggregate $2.6 million loss for the
remaining two specially serviced loans (64% expected loss on
average).
Moody's was provided with full year 2010 and partial year 2011
operating results for 100% of the pool, excluding CTL loans,
defeased loans and specially serviced loans. Moody's weighted
average LTV for the conduit component is 45% compared to 66% at
Moody's prior review. Moody's net cash flow reflects a weighted
average haircut of 15% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 11%.
Moody's actual and stressed DSCRs for the conduit component are
1.72X and 3.98X, respectively, compared to 1.48X and 2.28X at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The top three performing conduit loans represent 15% of the pool
balance. The largest loan is the 330-348 East Fordham Road Loan
($5.3 million -- 8.9% of the pool), which is secured by a 13,800
square foot retail property located in Bronx, New York. The
property was 100% leased as of October 2011. The property's
performance has declined since last review due to lower revenues
but it is sill significantly above the level at securitization.
The loan has amortized 18% since securitization. Moody's LTV and
stressed DSCR are 48% and 2.48X, respectively, compared to 41% and
2.93X at last review.
The second largest loan is the Post Haste Plaza Loan ($2.0 million
-- 3.4% of the pool), which is secured by a 44,600 square foot
retail property located in Hollywood, Florida. The property was
73% leased as of June 2011, the same as last review. Net operating
income has improved by 11% since last review. The loan has
amortized 27% since securitization. The loan is on the servicer's
watchlist due to low occupancy. Moody's LTV and stressed DSCR are
53% and 2.25X, respectively, compared to 61% and 1.94X at last
review.
The third largest loan is the Best Western Regent Inn. Loan ($1.5
million -- 2.5% of the pool), which is secured by a 88-room
limited service hotel located in Mansfield Center, Connecticut.
The property's performance has improved since last review. Net
operating income has increased by 27%. The loan is fully
amortizing and has amortized by 45% since securitization. The loan
is on the servicer's watchlist due to low DSCR. Moody's LTV and
stressed DSCR are 106% and 1.22X, respectively, compared to 126%
and 1.03X at last review.
The CTL component consists of five loans, totaling 47% of the
pool, secured by properties leased to five tenants. The largest
exposures are Beckman Coulter Inc. ($10.0 million -- 16.8% of the
pool; Beckman was acquired by Danaher Corporation; senior
unsecured rating A2 -- negative outlook) and Regal Cinemas
Corporation ($7.1 million -- 12.0% of the pool; Regal
Entertainment Group; backed senior unsecured rating B2 -- stable
outlook). Credits representing approximately 80% of the CTL
exposure are publicly rated by Moody's. The bottom-dollar weighted
average rating factor (WARF) for the CTL component is 2,201
compared to 1,795 at last review. WARF is a measure of the overall
quality of a pool of diverse credits. The bottom-dollar WARF is a
measure of the default probability within the pool.
PREMIUM LOAN: Moody's Confirms US$11-Mil. Notes Rating at 'Caa1'
----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of these notes
issued by Premium Loan Trust I, Ltd.:
US$10,000,000 Class B Deferrable Senior Secured Notes Due
October 25, 2014 (current outstanding balance of $10,729,625),
Confirmed at A1 (sf); previously on August 15, 2011 Upgraded to
A1 (sf) and Remained On Review for Possible Upgrade;
US$11,000,000 Class C Secured Notes Due October 25, 2014
(current outstanding balance of $12,335,918), Confirmed at Caa1
(sf); previously on August 15, 2011 Upgraded to Caa1 (sf) and
Remained On Review for Possible Upgrade.
Ratings Rationale
The confirmation of the ratings on the Class B and C Notes
reflects consideration of an increase in the transaction's
overcollateralization ratios and delevering of the senior notes
since the rating action in August 2011, the deferral of interest
on the Class B, C, and D notes as a result of interest and
principal payments to the senior notes, and the portfolio's
exposure to assets that mature after the maturity date of the
notes.
Moody's notes that the Class A Notes have been paid down by
approximately 20% or $3.7 million since August 2011. As a result
of the delevering, certain overcollateralization ratios have
increased. Based on the latest trustee report dated November 30,
2011, the Class A, Class B, and Class C overcollateralization
ratios are reported at 258.64%, 148.97%, and 100.15% respectively,
versus July 29, 2011 levels of 225.04%, 141.87%, and 99.67%,
respectively.
Notwithstanding the positive effect of delevering and improved
overcollateralization coverage for the Class A Notes, Class B
Notes, and Class C Notes, Moody's notes that the amount of
interest proceeds was insufficient to cover the entire portion of
the Class X Notes Principal and Interest Amount on the October
2011 payment date. As a result, the Class X Notes did not receive
the full amount of their scheduled redemption, and the Class B
Notes, Class C Notes, and Class D Notes are all currently
deferring interest. Moody's expects the shortfall between interest
receipts and required payments on the Class X Notes to continue.
Moreover, all principal proceeds will be used to delever the Class
A Notes before any payments to the junior notes are made. As a
result, today's rating actions reflect concerns about the high
likelihood of continued interest deferral on the Class B Notes and
Class C Notes.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on Moody's calculation,
reference securities that mature after the maturity date of the
notes currently make up approximately $2.7 million or 7.2% of the
underlying reference portfolio. These investments potentially
expose the notes to market risk in the event of liquidation at the
time of the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par balance of $42.4 million, defaulted par of $6.0
million, a weighted average default probability of 18.75%
(implying a WARF of 3791), a weighted average recovery rate upon
default of 44.90%, and a diversity score of 20. 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.
Premium Loan Trust I, Ltd., issued in November 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2013 and
2015 which may create challenges for issuers to refinance. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Below is a summary of the impact of different default
probabilities (expressed in terms of WARF levels) on all rated
notes (shown in terms of the number of notches' difference versus
the current model output, where a positive difference corresponds
to lower expected loss), assuming that all other factors are held
equal:
Moody's Adjusted WARF -- 20% (3033)
Class A: 0
Class X: 0
Class B: 0
Class C: +1
Class D: 0
Moody's Adjusted WARF + 20% (4549)
Class A: 0
Class X: 0
Class B: -1
Class C: 0
Class D: 0
Sources of additional performance uncertainties are:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
continue and at what pace. Delevering may accelerate due to high
prepayment levels in the loan market and/or collateral sales by
the manager, which may have significant impact on the notes'
ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. 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) Interest Payments on the Notes: Interest proceeds on the notes
are currently not sufficient to pay the Class X Notes Principal
and Interest Amount and principal proceeds are used to delever the
Class A Notes. As a result, the Class B Notes, Class C Notes, and
Class D Notes continue to defer interest payments. The Class B
Notes, Class C Notes, and Class D Notes will resume interest
payments following the complete repayment of the Class X Notes and
Class A Notes, which are both currently being paid down, but the
timing of the resumption of interest payments remains uncertain.
ROSEDALE CLO: S&P Lowers Rating on Class E Notes From 'B+' to 'CC'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
E notes from Rosedale CLO II Ltd. "In addition, we affirmed our
rating on the class A notes, and placed our ratings on the class
B, C, and D notes on CreditWatch with negative implications. We
reviewed the ratings assigned to Rosedale CLO II Ltd. after
receiving notice from the transaction's collateral manager, JMP
Credit Advisors LLC, that the noteholders have directed the
manager to liquidate the collateral portfolio," S&P said.
"We understand from the collateral manager that a partial
distribution of the proceeds from liquidation was made in December
2011, reducing the principal balance of the class A notes by
$176.34 million, and leaving approximately $37.38 million
outstanding on the class A notes. Further, we understand that the
deal currently holds sufficient cash collections from the
collateral liquidation to pay in full the remaining balance of
principal and accrued interest on the class A notes. Accordingly,
we affirmed our rating of the class A notes," S&P said.
"We understand that additional proceeds (including those from
unsettled trades) will be applied to the remaining notes. While
the collateral manager expects sufficient liquidation proceeds to
pay in full the class B, C, and D notes, we placed the ratings
assigned to these classes on CreditWatch negative as a result of
potential settlement and/or market value risk for the remaining
assets. In part, our analysis relied on a review of our market
value criteria," S&P said.
"The collateral manager has informed us that they expect the class
E notes to realize a loss upon completion of the liquidation.
Based on this information, we downgraded the class E notes to 'CC
(sf)'," S&P said.
"The liquidation follows the execution of an amendment to the
transaction's documents, which allowed for optional liquidation of
the collateral without requiring full repayment of the
transaction's outstanding notes. According to the collateral
manager, the amendment was approved by the sole holder of the
notes. The amendment included a provision waiving the transaction
document's provisions requiring rating agency confirmation. We
were not requested to provide rating agency confirmation for this
amendment," S&P said.
"We may take additional rating actions after completion of the
liquidation and receipt of the final trustee report. Under our
criteria, we would likely lower to 'D (sf)' any rated note, which
realizes a loss upon completion of the liquidation process," S&P
said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the CLO notes remain consistent
with the credit enhancement available to support them and will
take rating actions as it deems necessary.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Rosedale CLO II Ltd.
Rating
Class To From
B AA- (sf)/Watch Neg AA- (sf)
C A- (sf)/Watch Neg A- (sf)
D BBB- (sf)/Watch Neg BBB- (sf)
E CC (sf) B+ (sf)
Rating Affirmed
Rosedale CLO II Ltd.
Class Rating
A AA+ (sf)
SACO I: Moody's Raises Rating on Class 3B-3 RMBS to 'B1'
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches issued by SACO I Series 2000-3. The group 3 collateral
consists of fixed-rate mortgage loans insured by the Federal
Housing Administration (FHA) an agency of the U.S. Department of
Urban Development (HUD) or guaranteed by the Veterans
Administration (VA). SACO I Series 2000-3 is divided into three
loan groups and each group has separate subordinate bonds.
Complete rating actions are as follows:
Issuer: SACO I Inc. Series 2000-3
Cl. 3-A, Upgraded to Baa1 (sf); previously on Apr 1, 2011
Downgraded to B1 (sf)
Cl. 3-B-1, Upgraded to Baa3 (sf); previously on Apr 1, 2011
Downgraded to Caa3 (sf)
Cl. 3-B-2, Upgraded to Ba1 (sf); previously on Apr 1, 2011
Downgraded to Ca (sf)
Cl. 3-B-3, Upgraded to B1 (sf); previously on Apr 1, 2011
Downgraded to Ca (sf)
Ratings Rationale
The rating actions announced result primarily from a correction as
to the methodology used to rate the transaction. In previous
rating actions, the FHA/VA collateral of group 3 was mistakenly
classified as subprime RMBS, leading to the application of Moody's
pre-2005 US RMBS Surveillance Methodology. Today's rating actions
reflect the application of the correct methodology for the group 3
bonds, Moody's FHA VA US RMBS Surveillance Methodology. Because
Group I and group 2 bonds are backed by subprime loans, no change
was required to the methodology previously used to assess the
ratings of those bonds.
The current actions on group 3 bonds are also a result of Moody's
updated loss projection for the RMBS FHA/VA portfolio. The updated
projection accounts for higher potential pool losses due to self-
curtailment of claims by servicers whereby they pass expenses as
deemed reasonable to the trusts instead of submitting them to HUD,
and continued weaknesses in the macro economy and the housing
market.
An FHA guarantee covers 100% of a loan's outstanding principal and
a large portion of its outstanding interest and foreclosure-
related expenses in the event that the loan defaults. A VA
guarantee covers only a portion of the principal based on the
lesser of either the sum of the current loan amount, accrued and
unpaid interest, and foreclosure expenses, or the original loan
amount. HUD usually pays claims on defaulted FHA loans when
servicers submit the claims, but can impose significant penalties
on servicers if it finds irregularities in the claim process later
during the servicer audits. This can prompt servicers to push more
expenses to the trust that they deem reasonably incurred, rather
than submit them to HUD and risk significant penalty. The rating
actions consider the portion of a defaulted loan normally not
covered by the FHA or VA guarantee and other servicer expenses
they deemed reasonably incurred and passed on to the trust.
FHA/VA borrowers, in Moody's-rated transactions, are typically low
income borrowers with poor credit history who have been affected
by the weak economy and housing market. Moody's expects
delinquencies to remain high for this sector at 40%, 35%, and 30%
for the 2004, 2005, and 2006 vintages, respectively as house
prices continue to decline and unemployment rates remain high.
FHA/VA RMBS transactions have had very low losses to date (less
than 1%) despite high delinquency levels due to the FHA and VA
guarantees. However, Moody's expects this trend to change due to
the higher level of self-curtailments by the servicers.
Moody's final rating actions are based on current levels of credit
enhancement, collateral performance and updated pool-level loss
expectations. Moody's took into account credit enhancement
provided by seniority, and other structural features within the
senior note waterfalls.
Moody's Analytics (MA) projects house prices to reach bottom in
the first quarter of 2012, with a 3% further decline from 1Q 2011
prices. MA also expects the unemployment rate to remain at
elevated levels through 2012.
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 3% further decline from 1Q 2011 prices, and
unemployment rate to remain at elevated levels through 2012.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "FHA VA US RMBS Surveillance Methodology"
published in July 2011.
SANTANDER DRIVE: Moody's Gives (P)Ba2 Rating to Class E Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2012-
1 (SDART 2012-1). This is the first public subprime transaction of
the year for Santander Consumer USA Inc. (SC USA).
The complete rating actions are:
Issuer: Santander Drive Auto Receivables Trust 2012-1
Cl. A-1, Assigned (P)P-1 (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa1 (sf)
Cl. C, Assigned (P)A1 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. E, Assigned (P)Ba2 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SC USA as
servicer.
The principal methodology used in rating the transaction is
"Moody's Approach to Rating U.S. Auto Loan-Backed Securities,"
published in May 2011.
Moody's median cumulative net loss expectation for the SDART 2012-
1 pool is 14.0% and total credit enhancement required to achieve
Aaa rating (i.e. Aaa proxy) is 45%. The loss expectation was based
on an analysis of SC USA's portfolio vintage performance as well
as performance of past securitizations, and current expectations
for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of a highly rated
parent, Banco Santander (Aa3 negative outlook/P-1), in addition to
the size and strength of SC USA's servicing platform.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 20%, 25% or 35.0%,
the initial model output for the Class A notes might change from
Aaa to Aa1, Aa2, and A1, respectively; Class B notes might change
from Aa1 to Aa3, A2, and Ba2, respectively; Class C notes might
change from A1 to Baa3, Ba3, and below B3, respectively; Class D
notes might change from Baa2 to B2, below B3, and below B3,
respectively; and Class E notes might change from Ba2 to below B3
in all three scenarios.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for
Structured Finance Securities" and "V Scores and Parameter
Sensitivities in the U.S. Vehicle ABS Sector" are also available
on moodys.com.
SANTADER DRIVE: S&P Gives 'BB+' Rating on Class E Automobile Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Santander Drive Auto Receivables Trust 2012-1's $775.4
million automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Jan. 9,
2012. 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 49.17%, 42.62%, 33.19%, 27.07%, and 23.50%
of credit support for the class A, B, C, D, and E notes based
on stress cash flow scenarios (including excess spread), which
provide coverage of approximately 3.5x, 3.0x, 2.3x, 1.75x, and
1.6x its 11.00%-13.00% expected cumulative net loss.
The timely interest and principal payments made under stress
cash flow modeling scenarios appropriate to the assigned
preliminary ratings.
"Our expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings on the class A and
B notes will remain within one rating category of the assigned
ratings, and our ratings on the class C, D, and E notes will
remain within two rating categories of the assigned ratings,
which is consistent with our credit stability criteria (see
'Methodology: Credit Stability Criteria,' published May 3,
2010)," S&P said.
The originator/servicer's history in the subprime/specialty
auto finance business.
"Our analysis of six years of static pool data on Santander
Consumer USA Inc.'s lending programs," S&P said.
The transaction's payment/credit enhancement and legal
structures.
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/1111370.pdf
Preliminary Ratings Assigned
Santander Drive Auto Receivables Trust 2012-1
Class Rating Type Interest Amount
rate(i) (mil. $)(i)
A-1 A-1+ (sf) Senior Fixed 150.00
A-2 AAA (sf) Senior Fixed 283.00
A-3 AAA (sf) Senior Fixed 58.52
B AA (sf) Subordinate Fixed 80.51
C A (sf) Subordinate Fixed 101.69
D BBB (sf) Subordinate Fixed 76.28
E BB+ (sf) Subordinate Fixed 25.42
(i)The interest rates and actual sizes of these tranches will be
determined on the pricing date.
SATURNS SEARS: Moody's Lowers Rating of $46-Mil. Notes to 'Caa1'
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of these units
issued by SATURNS Sears Roebuck Acceptance Corp. Debenture Backed
Series 2003-1:
$46,808,075 of 7.25% Callable Units due June 1, 2032; Downgraded
to Caa1; Previously on December 8, 2011 Downgraded to B3
RATINGS RATIONALE
The transaction is a structured note whose rating is based on the
ratings of the Underlying Securities and the legal structure of
the transaction. Today's rating action is a result of the change
of the rating of the 7.00% Sears Roebuck Acceptance Corp.
debentures due June 1, 2032, which were downgraded to Caa1 by
Moody's on January 4, 2012.
The principal methodology used in this rating was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
SKYTOP CLO: S&P Withdraws 'CCC+' Rating on Class C Notes
--------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 15
classes of notes from nine collateralized debt obligation (CDO)
transactions.
The withdrawals follow the complete paydown of the notes on their
most recent payment dates.
505 CLO IV Ltd. is a cash flow collateralized loan obligation
(CLO). The transaction paid the class B notes in full on the Nov.
21, 2011, payment date, from an outstanding balance of $25.07
million.
Diversified Global Securities Ltd. II is cash flow CDO of CDO. The
transaction paid the class A notes in full on the Dec. 19, 2011,
payment date, from an outstanding balance of $2.29 million.
Dryden VII-Leveraged Loan CDO 2004 is cash flow CLO. The
transaction paid the class A-1LA notes in full on the Dec. 19,
2011, payment date, from an outstanding balance of $5.85 million.
I-Preferred Term Securities II Ltd. is a cash flow CDO backed by
trust preferred assets. The transaction paid the class A-1 note
down in full on the Nov. 22, 2011, payment date, from an
outstanding balance of $0.96 million.
Peritus I CDO Ltd. is cash flow collateralized bond obligation
(CBO). The transaction paid class A, X, and B notes in full on the
Nov. 25, 2011, payment date, from outstanding balances of $38.46
million, $4.77 million, and $8.00 million.
Skytop CLO Ltd. is a CLO. The transaction paid the class A-1, A-2,
B, and C notes down in full after receiving an optional redemption
notice on Dec. 12, 2011. The notice indicated that a majority of
the income notes had directed a full redemption of the notes. The
transaction paid the class A-1, A-2, B, and C notes down in full
on the Dec. 28, 2011, payment date.
TIAA Real Estate CDO 2002-1 Ltd. is cash flow CDO backed by CMBS
assets. The transaction paid the class I note down in full on the
Nov. 22, 2011, payment date, from an outstanding balance of $16.28
million.
Valeo Investment Grade CDO II Ltd. is a cash flow CBO. The
transaction paid the class A-1 notes down in full on the Dec. 1,
2011, payment date, from an outstanding balance of $22.30 million.
Waveland-Ingots Ltd. is a cash flow CLO. The transaction paid the
class A-1 and A-2 notes down in full on the Dec. 21, 2011, payment
date, from outstanding balances of $2.11 million and $5.32
million.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Withdrawn
505 CLO IV Ltd.
Rating
Class To From
B NR AAA (sf)
Diversified Global Securities Ltd. II
Rating
Class To From
A NR AAA (sf)
Dryden VII- Leveraged Loan CDO 2004
Rating
Class To From
A-1LA NR AAA (sf)
I-Preferred Term Securities II Ltd.
Rating
Class To From
A-1 NR A+ (sf)
Peritus I CDO Ltd.
Rating
Class To From
A NR AAA (sf)
X NR A+ (sf)
B NR A+ (sf)
Skytop CLO
Rating
Class To From
A-1 NR AA+ (sf)
A-2 NR A+ (sf)
B NR BB+ (sf)
C NR CCC+ (sf)
TIAA Real Estate CDO 2002-1 Ltd.
Rating
Class To From
I NR AAA (sf)
Valeo Investment Grade CDO II Ltd.
Rating
Class To From
A-1 NR AAA (sf)
Waveland-Ingots Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
NR -- Not rated.
SOUTH CAROLINA: Moody's Lowers Rating of Series A-1 Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service downgraded four notes issued by the
South Carolina Student Loan 2004 Indenture, administered and
serviced by South Carolina Student Loan Corporation. The
underlying collateral consists of approximately 95% private
student loans and 5% loans originated under the Federal Family
Education Loan Program (FFELP), which are guaranteed by the U.S.
government for a minimum of 97% of defaulted principal and accrued
interest.
RATINGS RATIONALE
The downgrades were based primarily on correction of an input
error that occurred when these notes were downgraded on February
4, 2009, and partially from performance deterioration of the
underlying private loan collateral. Transaction documents include
a feature that increases the interest rate on the bonds from LIBOR
+ 1.5% to LIBOR + 2.5% if the rating of the bonds is lower than
Aa3. However, Moody's did not take this trigger into account and
therefore incorrectly used the LIBOR + 1.5% interest rate when the
bonds were downgraded to A3 on February 4, 2009. The correct
interest rate would have resulted in a significant reduction in
available excess spread.
The current downgrades are also based on deterioration in the
collateral performance and declining parity levels (i.e. the ratio
of total assets to total liabilities). The proportion of private
student loans in this transaction has increased from 57% at the
time of the last issuance to 95% currently. Because the defaults
on private loans are not guaranteed by the US Department of
Education, the increased proportion of private student loans and
higher defaults on the private loan sub-pool eroded the collateral
base and caused a reduction in credit enhancement available to
cover losses. According to Moody's calculations, cumulative
defaults, which include rehabilitated loans, have increased from
4% of the original private student loan balance to 9% over the
past two years. Moody's increased Moody's expected lifetime net
losses to 20%. The increased defaults resulted in a decrease in
parity from 109% to 105% over the same period.
The complete rating actions are:
Issuer: South Carolina Student Loan Corporation (2004 Indenture)
2004-A Series A-1, Downgraded to Caa3; previously on Jul 28, 2011,
A3 Placed Under Review for Possible Downgrade;
2004-A Series A-2, Downgraded to Caa3; previously on Jul 28, 2011,
A3 Placed Under Review for Possible Downgrade;
2006-A Series A-1, Downgraded to Caa3; previously on Jul 28, 2011,
A3 Placed Under Review for Possible Downgrade;
2006-A Series A-2, Downgraded to Caa3; previously on Jul 28, 2011,
A3 Placed Under Review for Possible Downgrade;
The principal methodologies used in these rating actions were
"Moody's Approach to Rating U.S. Private Student Loan-Backed
Securities" published in January 2010 ; "Methodology Update on
Basis Risk in FFELP Student Loan-Backed Securitizations "
published in November 2008, and "Moody's Approach to Rating
Structured Finance Securities in Default" published in March 2009
To assess rating implications of the higher expected losses, each
individual transaction was run through a variety of stress
scenarios using the Structured Finance Workstation(R) (SFW), a
cash flow model developed by Moody's Wall Street Analytics.
Primary sources of uncertainty are the weak economic environment
and the high unemployment rate, which adversely impacts the
income-generating ability of the borrowers. Lower income levels
will effectively force increasing amounts of borrowers into
delinquency and default across all loan types.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of uncertainty with
regard to excess spread are increased basis risk and the failed
remarketing.
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.
STRIPS III: Moody's Cuts Rating on Class N Notes to 'Ca(sf)'
------------------------------------------------------------
Moody's has affirmed the ratings of one class of Notes and
downgraded two classes of Notes issued by STRIPs III Ltd./STRIPs
III Corp. Master Trust, Series 2003-1. The rating action is the
result of Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO) transactions.
Cl. L, Affirmed at Aaa (sf); previously on Dec 15, 2010 Upgraded
to Aaa (sf)
Cl. M, Downgraded to B3 (sf); previously on Dec 15, 2010 Upgraded
to Aaa (sf)
Cl. N, Downgraded to Ca (sf); previously on Dec 15, 2010 Upgraded
to Aaa (sf)
Ratings Rationale
Moody's says that the affirmation is due to key transaction
parameters performing within levels commensurate with the existing
ratings levels. The downgrades are due primarily to much faster
than anticipated paydown and payoffs of certain collateral,
resulting in significantly lower cash flows available going
forward to make coupon payments on as well as to pay down the
outstanding classes of Notes.
STRIPs III Ltd./STRIPs III Corp. Master Trust, Series 2003-1 is a
static resecuritization transaction backed by a portfolio of eight
interest only (IO) certificates from eight CMBS transactions and
six grantor trust certificates secured by a portion of the
interest payments from five CMBS transactions issued from 1999
through 2002 . As of the November 22, 2011 Trustee report, the
aggregate Note balance of the transaction has decreased to $10.3
million from $465.2 million at issuance, with the paydown from
excess interest directed to the rated notes in a senior-sequential
manner after payments are made to the stated coupons on each
outstanding rated tranche.
The downgrade on Class N also reflects a correction from the prior
review, where the shares of contribution of some of the underlying
assets were incorrectly modeled due to an input error. The
corrected modeling, which indicates a rating several notches lower
than that assigned in the last review, has been taken into account
in today's rating action .
Within the resecuritization pool, the identified weighted average
life is one year assuming a 0%/0% constant default and prepayment
rate (CDR/CPR).
Changes in any one or combination of key parameters may have have
rating implications on certain classes of rated notes. However, in
many instances, a change in assumptions of any one key parameter
may be offset by a change in one or more of the other key
parameters. Cash flows to the underlying IO Certificates are
particularly sensitive to changes in recovery rate assumptions for
the underlying CMBS transactions.
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.
The methodological approach used in assigning these ratings are as
follows: Moody's applied ratings-specific cash flow scenarios
assuming different loss timing, recovery and prepayment
assumptions on the underlying pool of mortgages that are the
collateral for the underlying CMBS transaction through Structured
Finance Workstation(R) (SFW), the cash flow model developed by
Moody's Wall Street Analytics. The analysis incorporates
performance variances across the different pools and the
structural features of the transaction including priorities of
payment distribution among the different tranches, tranche average
life, current tranche balance and future cash flows under expected
and stressed scenarios. In each scenario, cash flows and losses
from the underlying collateral were analyzed applying different
stresses at each rating level. The resulting ratings specific
stressed cash flows were then input into the structure of the
resecuritization to determine whether the class total principal
and interest components were satisfied by the commensurate ratings
specific cash flows. The stressed assumptions considered, among
other factors, the underlying transaction's collateral attributes,
past and current performance, and Moody's current negative
performance outlook for commercial real estate.
The other methodology used in this rating was "Moody's Approach to
Rating Repackaged Securities" published in April 2010.
SYMPHONY VI: S&P Raises Rating on Class D Notes From 'B+' to 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, C, and D notes from Symphony CLO VI Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Symphony Asset Management LLC. "At the same time, we affirmed the
rating on the class B notes and removed all of the ratings from
CreditWatch, where we placed them with positive implications on
Dec. 20, 2011," S&P said.
"The upgrades reflect an increase in the credit support available
to the notes, primarily due to a decrease in defaults, since we
lowered our ratings on all of the classes in October 2009
following the application of our September 2009 corporate
collateralized debt obligation (CDO) criteria," S&P said.
"As of the November 2011 trustee report, the transaction's asset
portfolio had $2.44 million in defaulted assets, down from $11.08
million in the September 2009 trustee report that was used for the
October 2009 analysis. Many of the defaulted assets were sold at
prices that were higher than their assumed recovery," S&P said.
As a result, the transaction's overcollateralization (O/C) ratios
improved. The trustee reported the O/C ratios in its November 2011
monthly report:
The class A O/C ratio was 131.0%, compared with a reported
ratio of 129.10% in September 2009;
The class B O/C ratio was 121.91%, compared with a reported
ratio of 120.14% in September 2009;
The class C O/C ratio was 119.05%, compared with a reported
ratio of 117.33% in September 2009; and
The class D O/C ratio test was 114.36%, compared with a
reported ratio of 112.69% in September 2009;
"Due to an increase in credit support, we upgraded the class A-1,
A-2, C, and D notes. We affirmed the rating on the class B note
based on its current levels of available credit support. We
removed all of the ratings from CreditWatch with positive
implications," 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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Symphony CLO VI Ltd.
Rating
Class To From
A-1 AA+ (sf) AA (sf)/Watch Pos
A-2 AA- (sf) A+ (sf)/Watch Pos
B BBB+ (sf) BBB+ (sf)/Watch Pos
C BBB (sf) BB+ (sf)/Watch Pos
D BB (sf) B+ (sf)/Watch Pos
SYMPHONY III: S&P Ups Rating on Class E Notes From 'CCC+' to 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on seven
classes of notes from Symphony CLO III Ltd., a collateralized loan
obligation (CLO) transaction backed by U.S. corporate loans,
managed by Symphony Asset Management LLC. "At the same time, we
removed these ratings from CreditWatch with positive implications
where we placed them on Dec. 20, 2011. We affirmed our rating on
one class and removed it from CreditWatch positive," S&P said.
"The upgrades reflect an increase in the overall credit support
available to the rated notes since we last downgraded all the
notes in October 2009," S&P said.
"The affirmation reflects current credit support levels that we
believe are sufficient to maintain the current rating," S&P said.
"As per the November 2011 monthly report, the transaction had
$1.67 million in defaulted assets, down from $21.96 million as of
the September 2009 trustee report, which we used in our October
2009 analysis," S&P said. As a result, the O/C ratios increased
for all classes:
The class A/B O/C ratio was 125.29% in November 2011, compared
to 120.80% in September 2009;
The class C O/C ratio was 117.22% in November 2011, compared
to 113.02% in September 2009; and
The class D O/C ratio was 111.48% in November 2011, compared
to 107.48% in September 2009.
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.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating And CreditWatch Actions
Symphony CLO III Ltd.
Rating
Class To From
A-1a AA+ (sf) AA+ (sf)/Watch Pos
A-1b AA+ (sf) AA- (sf)/Watch Pos
A-2a AA+ (sf) AA- (sf)/Watch Pos
A-2b AA+ (sf) AA- (sf)/Watch Pos
B AA- (sf) A+ (sf)/Watch Pos
C A- (sf) BBB (sf)/Watch Pos
D BBB- (sf) B+ (sf)/Watch Pos
E BB (sf) CCC+ (sf)/Watch Pos
TENNESSEE ENERGY: Moody's Ups Series 2006A Bond Rating From Ba3
---------------------------------------------------------------
Moody's Investors Service has upgraded to A2 from Ba3 (direction
uncertain) the rating of the Tennessee Energy Acquisition
Corporation Gas Project Revenue Bonds, Series 2006A.
For further information on Moody's approach to the incorporation
of repo provider ratings into ratings on gas prepayment bonds, see
Moody's Methodology Update: "Ratings that Rely on Guaranteed
Investment Contracts" dated December 2008.
The principal methodology used in this rating was Gas Prepayment
Bonds published in December 2008.
TOWNSHIP OF WEEHAWKEN: Moody's Raises $5MM Bond Rating from 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the Township of Weehawken's
general obligation bond rating to Baa3 from Ba1, affecting
$5.04 million of Moody's rated general obligation debt.
Rating Rationale
The upgrade to Baa3 from Ba1 reflects the township's structurally
improved financial operations, reduced reliance on tax
anticipation notes for cash flow, improved liquidity, continued
tax base growth and a change in managerial philosophy with
demonstrated commitment toward gaining additional financial
flexibility. The Baa3 rating also factors in heavy tax base
concentration from Hartz Mountain Corporation and an above-average
debt burden of 2.2% of equalized values.
What Could Move the Rating Up:
-- Augmentation of Current Fund cash and reserve levels
-- Reduced reliance on tax anticipation notes
-- Tax base growth
-- Surplus in annual financial operations
What Could Move the Rating Down:
-- Increase in tax appeals or delinquent taxes, particularly in
relation to Hartz companies
-- Aggressive budgeting practices
-- Unfavorable financial operations resulting in emergency
authorizations or deferred charges
-- Increased reliance on tax anticipation notes
The principal methodology used in this rating was General
Obligation Bonds Issued by U.S. Local Governments published in
October 2009.
UBS-CITIGROUP: DBRS Puts 'BB' Rating on Class F Certs.
------------------------------------------------------
DBRS has finalized the provisional ratings of the classes of
Commercial Mortgage Pass-Through Certificates, Series 2011-C1 (the
Certificates) issued by UBS-Citigroup Commercial Mortgage Trust,
Series 2011-C1. The trends are Stable.
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class A-3 at AAA (sf)
-- Class A-AB at AAA (sf)
-- Class A-S at AAA (sf)
-- Class X-A at AAA (sf)
-- Class X-B 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 BB (sf)
-- Class G at B (sf)
The collateral consists of 32 fixed-rate loans secured by 38
multifamily, mobile home parks and commercial properties. The
portfolio has a balance of $673,920,599. The pool consists of
moderate leverage financing, with a DBRS weighted-average term
debt service coverage ratio and debt yield of 1.35 times and
10.0%, respectively. Of the collateral, 87.5% is located in
suburban or urban locations and benefits from relatively diverse
economies. Underwriting was generally prudent, and the average
DBRS net cash flow variance was -5.6%.
The pool suffers from concentrations of both number of loans and
loan size among the top ten. The 32-loan pool is approximately
half the size of the average conduit deal brought to market in
2011, and the top ten loans represent 63.2% of the pool by cutoff
date balance. DBRS has accounted for these concentration concerns
by applying a pool-wide upward adjustment of probability of
default at each rating category of approximately 10%. The deal is
further challenged by the concentration of hotel loans,
representing 15.4% of the pool balance, including three of the
largest 15 loans in the pool. These riskier property types are
mitigated by applying hotel-specific cash flow volatiles, which
assume between a 31% and 40% cash flow decline for a BBB stress
and a 67% to 85% cash flow decline for a AAA stress.
The ratings assigned to the Certificates by DBRS are based
exclusively on the credit provided by the transaction structure
and underlying trust assets. All classes will be subject to
ongoing surveillance, upgrades or downgrades by DBRS after the
date of issuance.
VALEO INVESTMENT: Moody's Raises Rating of Class B-1 Notes to Caa1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of these notes
issued by Valeo Investment Grade CDO II:
$18,500,000 Class A-2 Floating Rate Senior Subordinated Notes Due
June 1, 2013 (current outstanding balance of $4,539,483), Upgraded
to Aaa (sf); previously on April 8, 2011 Upgraded to Baa2 (sf);
$13,750,000 Class B-1 Floating Rate Senior Subordinated Notes Due
June 1, 2013, Upgraded to Caa1 (sf); previously on April 8, 2011
Upgraded to Caa3 (sf);
$9,000,000 Class B-2 8.697% Fixed Rate Senior Subordinated Notes
Due June 1, 2013, Upgraded to Caa1 (sf); previously on April 8,
2011 Upgraded to Caa3 (sf);
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of delevering of the Class A-1 and A-2 notes
and credit improvement of the underlying portfolio since the
rating action in April 2011. Moody's notes that since the last
rating action in April 2011, the Class A-1 Notes have been paid
down in full and the Class A-2 Notes have been paid down by
approximately 75% or $13.9 million. Based on the latest trustee
report dated December 2011, the Class A and Class B
overcollateralization ratios are reported at 676.48% and 112.53%,
respectively, versus March 2011 levels of 124.41% and 101.8%,
respectively. In addition, the trustee-reported weighted average
rating factor is currently 1763 compared to 2294 in the March 2011
report.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key parameters used by
Moody's in its analysis, such as par and weighted average rating
factor, 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 $30
million, defaulted par of $4 million, and a weighted average
rating factor of 1834.
Valeo Investment Grade CDO II, Limited, issued in May 2001, is a
collateralized bond obligation backed primarily by a portfolio of
corporate bonds.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011. Please see the Credit Policy page on www.moodys.com for
a copy of this methodology
This publication incorporates rating criteria that apply to both
collateralized loan obligations and collateralized bond
obligations.
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. However, the deal has the option to exercise a put
option agreement on two long-dated securities with Credit Suisse
First Boston International. An exercise of the put option before
the deal's maturity would mitigate liquidation risk.
4) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors that are rated below investment grade, especially when
they experience jump to default.
VENTURE IX: S&P Raises Rating on Class E Notes From 'B-' to 'BB-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, C, D, and E notes from Venture IX CDO Ltd., a collateralized
loan obligation (CLO) transaction managed by MJX Asset Management
LLC.
"The upgrades reflect improvements in the overcollateralization
(O/C) available to support the rated notes and in the credit
quality of the transaction's underlying asset portfolio. We last
took rating actions on this transaction on Oct. 23, 2009, for
which we referenced the August 2009 trustee report. As of the
November 2011 trustee report, the class A/B O/C ratio increased to
119.51% from 117.54% in August 2009, while the defaulted balance
decreased to $12.88 million from $26.82 million," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Actions
Venture IX CDO Ltd
Rating
To From
A AA (sf) A+ (sf)
B A+ (sf) BBB+ (sf)
C BBB+ (sf) BB+ (sf)
D BB+ (sf) BB- (sf)
E BB- (sf) B- (sf)
WACHOVIA 2004-C11: S&P Cuts Ratings on 4 Classes of Certs. to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2004-C11
(WBCMT 2004-C11), a U.S. commercial mortgage-backed securities
(CMBS) transaction. "In addition, we affirmed our ratings on nine
other classes from the same transaction and affirmed our 'AA+
(sf)' ratings on three raked certificates from three other WBCMT
deals, all U.S. CMBS transactions," S&P said.
"Our rating actions on the classes from WBCMT 2004-C11 follow our
analysis of the transaction primarily using our U.S.
conduit/fusion CMBS criteria. Our analysis also included a review
of the deal structure and the liquidity available to the trust.
The downgrades in the WBCMT 2004-C11 transaction reflect credit
support erosion that we anticipate will occur upon the eventual
resolution of three ($42.5 million, 5.4%) of the four assets
($48.2 million, 6.1%) that are with the special servicer. We also
considered monthly interest shortfalls affecting the trust and the
potential for additional interest shortfalls due to revised
appraisal reduction amounts (ARAs) on the specially serviced
assets. We lowered our ratings on the class K, L, M, and N
certificates to 'D (sf)' because we believe the accumulated
interest shortfalls will remain outstanding for the foreseeable
future," S&P said.
"The affirmed ratings on the principal and interest certificates
in the WBCMT 2004-C11 transaction reflect subordination and
liquidity support levels that are consistent with the outstanding
ratings. We affirmed our 'AAA (sf)' rating on the class X-C
interest-only certificates in the same transaction based on
our current criteria," S&P said.
"The affirmation of the 'AA+ (sf)' ratings on the class SL raked
certificates (WBCMT 2004-C10), the class MAD raked certificates
(WBCMT 2004-C12), and the class MAD raked certificates (WBCMT
2004-C14) reflect our analysis of the defeased loans according to
our U.S. CMBS defeasance criteria and the long-term credit rating
of the United States of America. Each raked certificate class
derives 100% of its cash flow from loans whose collateral were
defeased with U.S. government obligations and are paying in line
with our expectations. The SL raked certificates derive 100% of
their cash flow from a $21.3 million subordinate nonpooled
component of the Starrett-Lehigh Building loan, while the MAD
raked certificates both derive 100% of their cash flows from
separate $13.0 million subordinate nonpooled components of the 11
Madison Avenue loan," S&P said.
"Our analysis of the WBCMT 2004-C11 transaction 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 1.33x and a loan-to-value
(LTV) ratio of 86.2%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted average DSC of
1.11x and an LTV ratio of 110.0%. The implied defaults and loss
severity under the 'AAA' scenario were 32.1% and 38.6%. The DSC
and LTV calculations exclude six defeased loans ($192.6 million,
24.5%) and three ($42.5 million, 5.4%) of the four assets ($48.2
million, 6.1%) that are with the special servicer. We separately
estimated losses for the three specially serviced assets and
included them in our 'AAA' scenario implied default and loss
severity figures," S&P said.
"As of the Dec. 16, 2011, trustee remittance report for WBCMT
2004-C11, the trust experienced monthly interest shortfalls
totaling $106,984 related to appraisal subordinate entitlement
reduction (ASER) amounts of $83,168, special servicing fees of
$10,059, and workout fees of $13,757. The interest shortfalls
affected all classes subordinate to and including class K.
Although classes K, L, M, and N have experienced accumulative
interest shortfalls for two months, we expect these interest
shortfalls to continue in the near term and accumulative interest
shortfalls to remain outstanding. Consequently, we downgraded
classes K, L, M, and N to 'D (sf)'. In addition, we lowered our
ratings on classes H and J due to reduced liquidity support
available to these classes and their susceptibility to interest
shortfalls in the future relating to the specially serviced
assets," S&P said.
Credit Considerations
As of the Dec. 16, 2011, trustee remittance report for WBCMT 2004-
C11, four assets ($48.2 million, 6.1%) in the pool were with the
special servicer, CWCapital Asset Management LLC (CWCapital). The
reported payment status of the specially serviced assets is: two
are real estate owned (REO; $41.4 million, 5.3%), one is 90-plus-
days delinquent ($1.1 million, 0.1%), and one is current ($5.7
million, 0.7%). ARAs totaling $18.9 million are in effect against
three of the specially serviced assets. Details of the specially
serviced assets, two of which are top 10 assets, are:
The Bay City Mall asset ($22.8 million, 2.9%), the fifth-largest
asset in the WBCMT 2004-C11 pool, consists of 361,194 sq. ft. of a
526,314-sq.-ft. anchored retail center in Bay City, Mich. The
asset has a total reported exposure of $24.6 million. The loan was
transferred to the special servicer on April 22, 2009, because the
borrower filed for bankruptcy and the asset became REO on Feb. 1,
2011. CWCapital stated that it is working on remediating deferred
maintenance items and leasing up vacant space at the property. The
reported occupancy was 77.2% on the inline space as of June 30,
2011. An ARA of $16.2 million is in effect against this asset. "We
expect a significant loss upon the eventual resolution of this
asset," S&P said.
The Essex Place Apartments asset ($18.6 million, 2.4%), the
eighth-largest asset in the pool, consists of a 352-unit
multifamily apartment complex in Overland Park, Kan. The asset has
a total reported exposure of $21.5 million. The loan was
transferred to the special servicer on Jan. 7, 2010, due to
imminent monetary default, and the asset became REO on Aug. 18,
2011. CWCapital indicated that the property is currently
undergoing exterior repairs. The reported occupancy was 95.0% as
of October 2011. An ARA of $2.3 million is in effect against the
asset. "We expect a moderate loss upon the eventual resolution of
this asset," S&P said.
The Plaza 75 Shopping Center loan ($5.7 million, 0.7%) is secured
by a 126,474-sq.-ft. anchored retail center in Phoenix, Ariz. The
loan, which has a reported current payment status, was transferred
to the special servicer on Dec. 8, 2010, due to imminent monetary
default. According to CWCapital, it is working on a loan
modification with the borrower. The reported DSC was 0.76x
for the nine months ended Sept. 30, 2010.
"The Thornydale Self-Storage loan ($1.1 million, 0.1%) is secured
by a 454-unit self-storage facility in Tucson, Ariz. The loan,
which has a reported 90-plus-days delinquent payment status, was
transferred to the special servicer on Sept. 9, 2010, due to
monetary default. The reported DSC was 0.76x for the six months
ended June 30, 2010, and the reported occupancy is currently
68.0%. CWCapital informed us that it is currently working on a
discounted payoff with the borrower. An ARA of $375,299 is in
effect against this loan. We expect a moderate loss upon the
eventual resolution of the loan," S&P said.
According to the master servicer, three loans in the WBCMT 2004-
C11 pool totaling $194.0 million (18.6%) 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 equals 1% of all future
principal and interest payments if the loans perform and remain
with the master servicer.
Transaction Summary
As of the Dec. 16, 2011, trustee remittance report for WBCMT 2004-
C11, the collateral pool balance was $785.2 million, which is
75.4% of the balance at issuance. The pool consists of 45 loans
and two REO assets, down from 54 loans at issuance. The master
servicer, Wells Fargo Bank N.A. (Wells Fargo), provided financial
information for 92.4% of the loans in the pool, 74.1% of which was
partial- or full-year 2010 data, and the remainder was partial-
year 2011 data.
"We calculated a weighted average DSC of 1.44x for the loans in
the WBCMT 2004-C11 pool based on the servicer-reported figures.
Our adjusted DSC and LTV ratio were 1.33x and 86.2%. Our adjusted
DSC and LTV figures excluded six defeased loans ($192.6 million,
24.5%) and three ($42.5 million, 5.4%) of the four assets ($48.2
million, 6.1%) that are with the special servicer. We separately
estimated losses for the three specially serviced assets and
included them in our 'AAA' scenario implied default and loss
severity figures. The transaction has not experienced any
principal losses to date. Ten loans ($158.7 million, 20.2%) in the
pool are on the master servicer's watchlist. Six loans ($51.1
million, 6.5%) have a reported DSC of less than 1.00x, and two
loans ($11.5 million, 1.5%) have a reported DSC between 1.00x and
1.10x," S&P said.
Summary Of Top 10 Assets Secured By Real Estate
The top 10 assets secured by real estate in the WBCMT 2004-C11
pool have an aggregate outstanding balance of $403.7 million
(51.4%). Wells Fargo informed us that the sixth-largest asset in
the pool, the Valley Corporate Center loan ($22.3 million, 2.8%),
was paid off on Dec. 21, 2011, subsequent to the December 2011
trustee remittance report. "Excluding the Valley Corporate Center
loan, using servicer-reported numbers, we calculated a weighted
average DSC of 1.42x for seven of the top 10 assets. The remaining
two top 10 assets ($41.4 million, 5.3%) are currently with the
special servicer. Four ($131.5 million, 16.7%) of the top 10
assets are on the master servicer's watchlist. Our adjusted DSC
and LTV ratio for seven of the top 10 assets were 1.24x and 90.5%
after excluding the two top 10 specially serviced assets and one
top 10 asset that was paid off," S&P said.
The Bank of America Tower loan ($69.6 million, 8.8%), the third-
largest asset in the WBCMT 2004-C11 pool, is secured by a 697,341-
sq.-ft. office building in Jacksonville, Fla. The loan is on Wells
Fargo's watchlist due to a low reported DSC, which was 0.82x for
the six months ended June 30, 2011. Occupancy at the building was
66.7% according to the Sept. 30, 2011, rent roll.
The Amargosa Commons Shopping Center loan ($27.4 million, 3.5%),
the fourth-largest asset in the pool, is secured by a 173,302-sq.-
ft. anchored retail center in Palmdale, Calif. The loan is on the
master servicer's watchlist due to a low reported DSC, which was
0.89x for the nine months ended Sept. 30, 2011. Occupancy at the
center was 77.9% according to the Sept. 30, 2011, rent roll.
The University Mall loan ($17.6 million, 2.2%), the ninth-largest
asset in the pool, is secured by a 653,558-sq.-ft. anchored retail
center in Tuscaloosa, Ala. The loan is on Wells Fargo's watchlist
because the property sustained damage from tornados in April 2011.
The reported DSC was 2.74x for year-end 2010 and occupancy at the
center was 96.2% according to the Sept. 30, 2011, rent roll.
The Cedar Ridge Apartments loan ($8.3 million, 1.1%), one of the
two cross-collateralized and cross-defaulted loans that make up
the 10th-largest asset in the pool, the Stonegate Apartments/Cedar
Ridge Apartments loan ($16.9 million, 2.2%), is on Wells Fargo's
watchlist due to reported deteriorating property condition. The
loan is secured by two multifamily apartment complexes totaling
562 units in Sacramento, Calif. The loan had a reported combined
DSC of 1.77x for the nine months ended Sept. 30, 2011, and the
combined occupancy at the two properties was 97.0% according to
the September and October 2011 rent rolls.
"We stressed the collateral in the WBCMT 2004-C11 pool according
to our current criteria. The resultant credit enhancement levels
are consistent with our lowered and affirmed ratings," S&P said.
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 Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
Ratings Lowered
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C11
Rating
Class To From Credit enhancement (%)
F BBB (sf) BBB+ (sf) 8.62
G BB+ (sf) BBB (sf) 6.96
H B (sf) BBB- (sf) 5.64
J CCC (sf) BB+ (sf) 3.48
K D (sf) BB (sf) 2.82
L D (sf) BB- (sf) 2.49
M D (sf) B+ (sf) 2.16
N D (sf) CCC- (sf) 1.82
Ratings Affirmed
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C11
Class Rating Credit enhancement (%)
A-3 AAA (sf) 20.23
A-4 AAA (sf) 20.23
A-5 AAA (sf) 20.23
A-1A AAA (sf) 20.23
B AA+ (sf) 16.58
C AA (sf) 14.92
D A+ (sf) 11.94
E A (sf) 10.45
X-C AAA (sf) N/A
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C10
Class Rating Credit enhancement (%)
SL AA+ (sf) N/A
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C12
Class Rating Credit enhancement (%)
MAD AA+ (sf) N/A
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2004-C14
Class Rating Credit enhancement (%)
MAD AA+ (sf) N/A
N/A -- Not applicable.
* Moody's Says 2012 Outlook for U.S. ABCP is Negative
-----------------------------------------------------
The credit outlook for US asset-backed commercial paper (ABCP) in
2012 is negative, although the outlook for the credit quality of
assets funded by ABCP is neutral to improving, says Moody's
Investors Service. The volume of outstanding commercial paper will
likely decline this year.
"Our outlook for ABCP is negative primarily because of our
negative outlook for the global banking sector," says Everett
Rutan, a Moody's Senior Vice President. "Furthermore, both the
economy and regulatory uncertainty remain negative factors for
outstandings. The number of conduits and total outstandings are at
best likely to be flat in 2012 and more likely to continue to
decline. In 2011, for example, we rated only two new US conduits
and withdrew the ratings on nine, and there's no pipeline of new
conduits."
The credit quality of the banks is the main driver for the credit
quality of ABCP, because almost all conduits rely on liquidity
facilities from the banks for timely repayment. Moody's credit
outlook for the banking sector worldwide is negative, with only a
few exceptions. "US-based ABCP conduits feature a variety of
sponsors, such as US, European, Canadian, and Japanese banks, and
many European-based ABCP conduits fund in the US ABCP market,"
says Mr. Rutan. "Therefore, there are opportunities out there for
investors to diversify their exposures."
Asset credit quality has generally not been an issue in the multi-
seller ABCP conduits that now dominate the US market, and sponsors
have removed troubled assets from their conduits. More than 50% of
multi-seller conduits consist of consumer debt, with the share of
corporate assets such as trade receivables, equipment loans and
leases, and corporate loans at just over 40%. Securities holdings
continue to amortize and make up the remainder, at nearly 8%.
The level of commercial paper outstanding declined steadily
throughout 2011, although it stabilized somewhat towards the end
of the year. "Facility utilization remains below 40% for the US
multi-sellers," notes Rutan. "Depending on the pace of economic
activity, low utilization could either portend further declines or
facilitate a rapid rise in outstandings if demand increases."
Although regulatory factors have not affected the credit quality
of ABCP conduits, they have raised the costs of programs and led
to changes in conduit structures. In addition, ongoing uncertainty
over the wording, interpretation, and enforcement of new
regulations, such as the Volker rule, will be a negative factor
for both outstandings and new conduit formation. "Sponsors and
originators will be less willing to bear those costs if they don't
know precisely what the rules will be," says Mr. Rutan.
* Moody's Says Challenges to U.S. Private Label RMBS Will Persist
-----------------------------------------------------------------
The credit performance of private label residential mortgage-
backed securities in the US continues to face many challenges in
2012, Moody's Investors Service says in its annual outlook report,
with strategic defaults posing a major risk. The performance of
the loan pools backing outstanding RMBS has been stabilizing,
however, and Moody's 2012 loss expectations for US RMBS are mostly
unchanged.
"Although delays in loan liquidation timelines and an increase in
distressed sales will continue to dampen housing prices and limit
recoveries on delinquent loans, they will not have a material
impact on RMBS recoveries, given our already high loss
expectations on RMBS pools," says Debash Chatterjee, a Moody's
Associate Managing Director.
Delinquency levels among loan pools have been flat or even
dropping largely because of loan modifications. Moody's notes that
re-default rates on modified loans have been declining, largely
because payment reductions in the modifications have gotten
larger.
Strategic defaults will continue to pose a big risk in RMBS in
2012, says Moody's, as housing prices continue to decline. Moody's
perceives the risk as greatest in the prime jumbo sector, where
more than half of the borrowers, who have so far been making their
mortgage payments regularly, are under water on their mortgages, a
proportion that has risen significantly since late 2010.
The subprime sector on the other hand faces the lowest potential
for significant performance deterioration in 2012 because more of
its weaker borrowers already have defaulted, leaving less room for
losses to increase substantially.
Moody's says the risk of performance deterioration in the Alt-A
and option ARM sectors is less than that of the jumbo but greater
than that of the subprime sectors, with option ARM loans facing
greater risk of strategic defaults.
"The practices of the servicers will continue to play a major role
in determining loan performance", says William Fricke, a Moody's
Vice President and Senior Credit Officer. "Although modifications
that include principal forgiveness are a key way to prevent
strategic defaults, we continue to expect servicers to be
reluctant to employ principal forgiveness, given that the GSEs do
not permit it, and that many private label RMBS carry provisions
limiting the practice. "
Servicing is undergoing a transformation, however, as servicers
establish single points of contact for delinquent borrowers, and
increasingly transfer servicing to special servicers, both credit
positives.
Moody's expects the issuance of private label RMBS to be modest in
2012 owing to GSE dominance and regulatory uncertainty. The deals
that do take place will feature more comprehensive reviews of
originators, better quality and more reliable loan level data, and
strong mechanisms for enforcing breaches of representations and
warranties (R&Ws). They will also better address legal issues
relating to foreclosure challenges.
"US Private-Label RMBS and Servicer Quality: 2012 Outlook" and all
of Moody's structured finance 2012 outlooks are available at
http://www.moodys.com/2012sfoutlooks.
*********
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
Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise
Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Carlo Fernandez, Christopher G.
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Copyright 2012. All rights reserved. ISSN: 1520-9474.
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