/raid1/www/Hosts/bankrupt/TCR_Public/120408.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, April 8, 2012, Vol. 16, No. 97
Headlines
AIRPLANES PASS THROUGH: Moody's Reviews 'B1' Class A-9 Rating
BALLYROCK III: S&P Affirms 'B+' Rating on Class D Notes; Off Watch
BANC OF AMERICA 2007-BMB1: S&P Cuts Class K Cert. Rating to 'CCC-'
CNL FUNDING: Moody's Lowers Rating on Class IO Notes to 'B1'
CONNECTICUT VALLEY II: S&P Affirms 'CCC+' Rating on 2 Note Classes
CREST 2004-1: Moody's Cuts Ratings on Seven Note Classes to 'C'
CSMC 2012-CIM1: S&P Gives 'BB' Rating on Class B-4 Certificates
EMAC OWNER 1999-1: Moody's Cuts Ratings on 2 Cert. Classes to Ca
EVERGLADES RE 2012-1: S&P Rates Proposed Class A Notes 'B+(sf)'
ICE GLOBAL CLO: S&P Rates $24-Mil. Class E Notes 'BB'
JERSEY STREET: S&P Affirms 'BB+' Rating on Class D Notes
JUPITER INT'L: Moody's Cuts Rating on EUR19.5MM Notes to 'Caa3'
LIMEROCK CLO: S&P Raises Rating on Class D Notes to 'BB'
MADISON PARK VIII: S&P Rates $19 Million Class E Note 'BB'
MISSOURI HIGHER: S&P Lowers Ratings on 7 Classes of Bonds to 'BB'
MORGAN STANLEY 2012-C4: Moody's Rates Class G Certificates 'B2'
MOUNTAIN CAPITAL: Moody's Lifts Rating on $12MM Notes to 'Ba3'
N-STAR REAL ESTATE: Moody's Affirms Caa3 Ratings on 8 Notes
OMEGA CAPITAL: S&P Withdraws 'D' Rating on Class B-1U Notes
PHH MORTGAGE: S&P Lowers Rating on Class M-3 Certs. to 'B-'
PROSPECT FUNDING: S&P Withdraws 'CC' Rating on Class D-2
RAMP 2003-RZ2: Moody's Confirms 'Ba1' Rating on Cl. M-1 Tranche
REVE SPC: S&P Withdraws 'B-' Rating on Notes
SEAWALL 2007-1: Moody's Lowers Rating on Class A Notes to 'C(sf)'
SPRINGLEAF MORTGAGE: S&P Gives 'BB' Rating on Class B-2 Notes
STONE TOWER: Moody's Raises Rating on Class A-3L Notes to 'B1'
TOYS 'R' US: S&P Lowers Rating on Class A-1 Certificates to 'CCC+'
WACHOVIA BANK 2006-C24: S&P Cuts Ratings on 2 Cert. Classes to 'D'
WESTGATE RESORTS 2012-1: S&P Rates $25MM Class C Notes 'BB'
* S&P Lowers Ratings on 25 Classes From 9 US RMBS Transactions
* S&P Cuts Ratings on Notes from First Marblehead-related Trusts
*********
AIRPLANES PASS THROUGH: Moody's Reviews 'B1' Class A-9 Rating
-------------------------------------------------------------
Moody's Investors Service has placed the B1 (sf) rating of Class
A-9 subclass of Airplanes Pass Through Trust on watch for
downgrade.
The complete rating action is as follows:
Issuer: Airplanes Pass Through Trust, Series 2001 Refinancing
Trust
Subclass A-9, B1 (sf) Placed Under Review for Possible
Downgrade; previously on Jun 28, 2004 Downgraded to B1 (sf)
Ratings Rationale
At closing in 1996, the certificates were backed by a pool of 229
aircraft. As of January 2012, the portfolio comprised 73 aircraft,
8 engines and 1 airframe. This remaining portfolio consists of
old-vintage aircraft, a segment which has experienced accelerated
decline in demand and lease rates as a result of the global
recession. The outstanding principal balance of the Class A notes
has exceeded the adjusted portfolio value for the past few years
and Moody's expects this to likely continue into the lifetime of
this transaction. As a result Moody's expects Class A-9 may not be
fully paid. The current loan-to-value (LTV) ratios on Class A-9 is
over 110% indicating an unlikely chance for full recovery.
During the review period, Moody's will assess lease cashflows,
aircraft values, and servicer strategy, and will project cashflows
to the transaction and the likelihood of paydown to the Class A-9
Certificates.
The principal methodology used in this rating was "Moody's
Approach to Pooled Aircraft-Backed Securitization" published in
March 1999.
BALLYROCK III: S&P Affirms 'B+' Rating on Class D Notes; Off Watch
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
B notes from Ballyrock CLO III Ltd., a U.S. collateralized loan
obligation (CLO) transaction managed by Ballyrock Investment
Advisors LLC. "Simultaneously, we removed our rating on these
notes from CreditWatch, where we placed them with positive
implications on Dec. 20, 2011. At the same time, we affirmed our
ratings on the class A-1, A-2, C, D, and S notes and removed our
ratings on the class C and D notes from CreditWatch with positive
implications," S&P said.
"The upgrades reflect improved performance in the deal's
underlying asset portfolio and an increase in the credit support
available to the notes since we lowered our ratings on all the
classes in January 2010 following the application of our September
2009 corporate collateralized debt obligation (CDO) criteria," S&P
said.
"As of the February 2012 trustee report, the transaction's asset
portfolio had $4.107 million in defaulted assets, down from
$16.302 million in the December 2009 trustee report, which we used
for the analysis in the January 2010 rating actions. Many of the
defaulted assets were sold at prices higher than the assumed
recovery rates. Since December 2009, the transaction has made
paydowns to the class A-1 notes and A-2 notes after its
reinvestment period ended in July 2010. The combination of a
reduction in the defaulted assets and paydowns to the class A-1
and A-2 notes has benefited the overcollateralization (O/C)
ratio tests thereby increasing the O/C available to support the
rated notes," S&P said.
The transaction's O/C ratios have increased since December 2009.
The trustee reported these O/C ratios in its February 2012 monthly
report:
The class B O/C ratio was 124.34%, compared with a reported ratio
of 122.65% in December 2009;
The class C O/C ratio was 116.07% compared with a reported ratio
of 114.67% in December 2009;
The class D O/C ratio was 106.69%, compared with a reported ratio
of 105.59% in December 2009.
Standard & Poor's will continue to review whether, in its opinion,
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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111517.pdf
RATING ACTIONS
Ballyrock CLO III Ltd.
Rating
Class To From
S AAA (sf) AAA (sf)
A-1 AA+ (sf) AA+ (sf)
A-2 AA+ (sf) AA+ (sf)
B AA+ (sf) AA- (sf)/Watch Pos
C BBB+ (sf) BBB+ (sf)/Watch Pos
D B+ (sf) B+ (sf)/Watch Pos
TRANSACTION INFORMATION
Issuer: Ballyrock CLO III Ltd.
Coissuer: Ballyrock CLO III Inc.
Collateral manager: Ballyrock Investment Advisors LLC
Underwriter: Goldman Sachs & Co.
Indenture trustee: The Bank of New York Mellon
Transaction type: Cash flow CDO
BANC OF AMERICA 2007-BMB1: S&P Cuts Class K Cert. Rating to 'CCC-'
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Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-through certificates from Banc
of America Large Loan Trust 2007-BMB1, a U.S. commercial mortgage-
backed securities (CMBS) transaction. "In addition, we raised our
ratings on two classes and affirmed our ratings on eight classes
from the same transaction," S&P said.
"The rating actions follow our analysis of the transaction. Our
analysis included our revaluation of seven of the remaining eight
floating-rate loans, two of which are currently with the special
servicer. The master servicer, Bank of America N.A. (BofA),
indicated that the remaining loan, the OSI Restaurant Portfolio
loan was paid off in full subsequent to the March 2012 trustee
remittance report. We also considered the deal structure, the
liquidity available to the trust, and the refinancing risk
associated with two performing loans ($112.3 million, 9.5% of the
pooled trust balance) that are scheduled to mature in May 2012,"
S&P said.
"The downgrades reflect credit support erosion that we anticipate
will occur upon the eventual resolution of the specially serviced
Simply Self Storage Portfolio loan ($33.4 million, 2.8%) and the
classes' susceptibility to interest shortfalls in the future if
the remaining loans in the pool incur additional trust expenses,"
S&P said.
"We upgraded classes A-2 and A-1A to 'AA+ (sf)' to reflect
increased credit support levels due to deleveraging of the pool
after the third-largest loan in the pool, the OSI Restaurant
Portfolio loan, was paid off in full on March 27, 2012, subsequent
to the March 2012 trustee remittance report. This loan had a trust
balance of $233.1 million (19.6% of the pooled trust balance) and
a whole-loan balance of $466.3 million," 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) certificates based
on our current criteria," S&P said.
"As of the March 15, 2012, trustee remittance report, the trust
consists of eight floating-rate loans indexed to one-month LIBOR
with a pooled trust balance of $1.19 billion and a trust balance
of $1.26 billion. The one-month LIBOR was 0.248% per the March
2012 trustee remittance report," S&P said.
LODGING COLLATERAL
"Lodging properties secure four loans totaling $304.0 million
(25.6% of the pooled trust balance), one of which is currently
with the special servicer, C-III Asset Management LLC (C-III). We
based our analysis, in part, on a review of the borrowers'
operating statements for year-end 2011 and 2010, the borrowers'
2012 budgets, and Smith Travel Research (STR) reports. Details on
the four lodging loans are as set forth," S&P said.
"The Blackstone Hawaii Hotel Portfolio loan, the largest lodging
loan, is the fourth-largest loan in the pool. The loan has a
whole-loan balance of $238.7 million that comprises a $115.7
million senior note (9.7% of the pooled trust balance) and two
subordinate notes totaling $123.0 million held outside the trust.
The loan is secured by two full-service Marriott flagged luxury
resort hotels totaling 1,101 rooms in Wailea and Waikoloa, Hawaii.
The master servicer reported a combined in-trust debt service
coverage (DSC) for the portfolio of 15.94x, occupancy of 76.0%,
and an average daily rate (ADR) of $213.31 for year-end 2011. Our
adjusted valuation, using a weighted average capitalization rate
of 10.30%, yielded an in-trust stressed loan-to-value (LTV) ratio
of 58.4%. According to the master servicer, as part of a June 8,
2009, loan modification, the loan's maturity was extended to June
8, 2010, with three 12-month extension options and the workout and
special servicing fees for the loan were paid by the borrower. The
loan is currently scheduled to mature on June 8, 2012, and has one
12-month extension option remaining," S&P said.
"The MSREF Resort Portfolio loan, the fifth-largest loan in the
pool, has a whole-loan balance of $729.9 million that consists of
a $545.0 million senior participation interest and two nontrust
junior participation interests totaling $184.9 million. In
addition, the equity interests in the borrower of the whole loan
secure four mezzanine loans totaling $265.4 million held outside
the trust. The senior participation interest is further split into
three pari passu pieces, $81.8 million of which makes up 6.9% of
the pooled trust balance. The $381.5 million A-1 note is in Morgan
Stanley Capital I Inc.'s series 2007-XLF9 and the $81.7 million A-
2 note is in UBS Commercial Mortgage Trust 2007-FL1. The loan is
secured by three full-service hotels totaling 2,532 rooms in
Orlando, Fla., and Phoenix, Ariz. BofA reported an overall in-
trust DSC for the portfolio of 5.98x for year-end 2010, occupancy
of 69.3%, and ADR of $198.84 for year-end 2011. Our adjusted
valuation, using a 10.50% capitalization rate yielded an in-trust
stressed LTV ratio of 110.9%. The loan matures on May 9, 2012.
BofA indicated that the borrower is considering refinancing and
other options," S&P said.
"The Larkspur Landing Portfolio loan, the sixth-largest loan in
the pool, has a trust and whole-loan balance of $76.0 million
(6.4%). In addition, the equity interests in the borrower of the
whole loan secure two mezzanine loans totaling $99.7 million held
outside the trust. The loan is secured by 11 extended-stay hotels
totaling 1,278 rooms in California, Oregon, and Washington. BofA
reported an overall in-trust DSC for the portfolio of 21.21x,
occupancy of 75.3%, and ADR of $98.08 for year-end 2011. Our
adjusted valuation, using an 11.50% capitalization rate, yielded
an in-trust stressed LTV ratio of 71.3%. BofA notified us that the
loan was recently transferred to C-III on April 2, 2012, due to
imminent default. The loan matures on July 11, 2012," S&P said.
"The TownePlace Suites Portfolio loan, the smallest loan in the
pool, has a trust balance of $30.5 million (2.6%) and a whole-loan
balance of $59.0 million. The loan is secured by seven extended-
stay hotels totaling 783 rooms in Denver and Colorado Springs,
Colo. BofA reported a combined in-trust DSC for the portfolio of
18.87x, occupancy of 73.7%, and ADR of $76.40 for year-end 2011.
Our adjusted valuation, using an 11.63% capitalization rate,
yielded an in-trust stressed LTV ratio of 72.9%. The loan matures
on May 6, 2012. BofA stated that the borrower is considering
refinancing and other options," S&P said.
"For the remaining three loans ($650.2 million, 54.8%), we based
our analysis, in part, on a review of the borrowers' operating
statements for the trailing-12-months ended Sept. 30, 2011, or
year-end 2011 and 2010, the borrowers' December 2011 rent rolls,
and the borrowers' 2012 budgets. Details on the three remaining
loans in the pool, one of which is with the special servicer, are
as set forth," S&P said.
"The Farallon MHC Portfolio loan, the largest loan the pool, has a
whole-loan balance of $1.46 billion. This balance consists of 45 A
and B notes, of which a $315.3 million senior pooled component
makes up 26.6% of the pooled trust balance and a $72.5 million
nonpooled component provides 100% of the cash flow to the 'FMH'
raked certificates (not rated). The loan is currently secured by
243 manufactured housing communities totaling 52,113 pads in
various states. The loan was transferred to the special servicer,
LNR Partners LLC, on June 25, 2010, due to imminent default.
According to BofA, the loan was modified on Aug. 1, 2010, and
returned to the master servicer on Sept. 30, 2011. The
modification terms include, among other items, extending the
maturity to Aug. 1, 2015, on the floating-rate, five- and seven-
year notes, trapping excess cash flows, and adding Helix MHC
Investment LLC, a sponsor-controlled entity, as an additional
carve-out guarantor. According to the special servicer, the
borrower is not paying the special servicing and workout fees on
this loan. BofA reported an in-trust DSC and occupancy for the
portfolio of 1.88x and 80.3% for the trailing-12-months ended
Sept. 30, 2011. Our adjusted valuation, using a 9.06%
capitalization rate yielded an in-trust stressed LTV ratio of
58.7%," S&P said.
"The Stamford Office Portfolio loan, the second-largest loan in
the pool, has a trust balance of $301.5 million (25.4%) and a
whole-loan balance of $400.0 million. In addition, the equity
interests in the borrower of the whole loan secure mezzanine debt
totaling $400.0 million held outside the trust. The loan is
secured by seven office buildings totaling 1.7 million sq. ft. in
Stamford, Conn. BofA reported an overall in-trust DSC for the
portfolio of 5.03x for year-end 2011 and overall occupancy was
85.1%, according to the Dec. 31, 2011, rent rolls. Our adjusted
valuation, using a 9.0% capitalization rate yielded an in-trust
stressed LTV ratio of 109.6%. According to BofA, the loan was
modified on Aug. 1, 2010, and as part of the modification, the
terms include, but are not limited to, two additional 12-month
extension options beyond the original final maturity date of Aug.
6, 2012, no debt service payments to the mezzanine lenders,
funding various reserve accounts, and the borrower paying the
special servicing and workout fees on the loan. The loan is
currently scheduled to mature on Aug. 6, 2012, and has two 12-
month extension options remaining," S&P said.
"The Simply Self Storage Portfolio loan, the second-smallest loan
in the pool, has a trust balance of $33.4 million (2.8%) and a
whole-loan balance of $61.4 million. The loan is secured by nine
self-storage facilities totaling 5,890 units (586,389 sq. ft.) in
Florida, New Jersey, Illinois, and Puerto Rico. BofA reported an
overall in-trust DSC for the portfolio of 8.22x for year-end 2011
and overall occupancy was 59.0%, according to the Dec. 31, 2011,
rent rolls. Our adjusted valuation, using a 10.16% capitalization
rate yielded an in-trust stressed LTV ratio of 143.2%. The loan
was transferred to C-III on Feb. 23, 2012, due to maturity
default. The loan matures on May 4, 2012. C-III stated that it is
currently evaluating the workout strategies for this loan. We
expect a moderate loss upon the eventual resolution of the loan,"
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
Banc of America Large Loan Trust 2007-BMB1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement %
H B- (sf) BB- (sf) 7.45
J CCC+ (sf) B- (sf) 4.90
K CCC- (sf) CCC (sf) 2.36
RATINGS RAISED
Banc of America Large Loan Trust 2007-BMB1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement %
A-2 AA+ (sf) AA (sf) 27.80
A-1A AA+ (sf) AA (sf) 27.80
RATINGS AFFIRMED
Banc of America Large Loan Trust 2007-BMB1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement %
A-1 AAA (sf) 56.98
B A+ (sf) 24.17
C A- (sf) 20.53
D BBB (sf) 17.62
E BBB- (sf) 15.08
F BB+ (sf) 12.53
G BB (sf) 9.99
X AAA (sf) N/A
N/A - Not applicable.
CNL FUNDING: Moody's Lowers Rating on Class IO Notes to 'B1'
------------------------------------------------------------
Moody's Investors Service has taken final rating action on six
interest-only (IO) securities from ABS transactions backed by
franchise loan and lease receivables. The complete rating action
is as follows:
Issuer: CNL Funding 99-1, LP
Class IO, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: EMAC Owner Trust 2000-1
Class IO Certificates, Downgraded to Caa3 (sf); previously on
Feb 22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Issuer: FFCA Secured Franchise Loan Grantor Trust 2000-1
Class IO, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: MSDWMC Owner Trust 2000-F1
Class X, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Class S, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Peachtree Franchise Loan LLC 1999-A
Class A-X, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
These actions are in direct accordance with the new methodology
which states that for IO securities referencing multiple bonds
that were not all investment grade at closing, the new rating of
the IO security will be the minimum of "Ba3" and the weighted
average current rating of all referenced bonds based on current
balance grossed up for write-downs. During the review period,
Moody's determined that the ratings of the referenced bonds
accurately reflected performance of the underlying transactions.
RATINGS RATIONALE
The methodology addresses expected differences in cash flows to
the IO holder that arise from defaults and losses and maps them to
a credit rating. The methodology is the result of extensive
analysis into the meaning of the IO rating and how to better align
IO ratings with Moody's expected loss (EL) ratings framework. The
ratings framework approach is based on the results of Moody's cash
flow analysis. To arrive at the ratings framework, Moody's tested
various types of IOs using a Monte Carlo approach. Under multiple
scenarios Moody's measured the reduction in cash flow on an IO
security relative to base case scenarios that were run off a
matrix of default and recovery assumptions. The base case
scenarios assumed no credit events on the reference tranches.
Simulations stressed defaults and recoveries, but did not stress
prepayments nor extensions. Prepayments are considered non credit
events. Changes to the ratings or credit estimates of the
referenced bonds or assets will directly impact the ratings of the
IO.
IOs reference one or more bonds or assets. As such, the key rating
parameters that influence the ratings on the referenced bonds will
also influence the ratings on the IO. Key rating parameters for US
ABS include lifetime net losses, and are captured in the ratings
and credit estimates of the referenced bonds or assets.
Changes in the key parameters may have rating implications on
certain classes of rated notes that are referenced by the IO. IO
ratings are sensitive to any rating changes within the reference
pool and/or changes in expected loss.
The performance expectations within a given variable indicate
Moody's forward-looking view of the likely range of performance
over the medium to long 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 referenced securities were issued or
assets were securitized. 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
limited to, the performance metrics.
For franchise ABS, primary sources of assumption uncertainty are
the current macroeconomic environment and its impact on the
various businesses represented in particular transactions,
including restaurant and fast food, gas stations, convenience
stores, and other small franchise businesses.
METHODOLOGY
The principal methodology used in these ratings was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published on February 2012.
CONNECTICUT VALLEY II: S&P Affirms 'CCC+' Rating on 2 Note Classes
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on five
classes of 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 after
reviewing the transaction under our updated criteria," 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)
CREST 2004-1: Moody's Cuts Ratings on Seven Note Classes to 'C'
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of thirteen
classes of Notes issued by Crest 2004-1, Ltd. due to an increase
in realized losses and an increase in interest shortfalls on the
underlying collateral. The rating action is the result of Moody's
on-going surveillance of commercial real estate collateralized
debt obligation (CRE CDO) and Re-Remic transactions.
Cl. A, Downgraded to Ba1 (sf); previously on May 11, 2011
Downgraded to Baa3 (sf)
Cl. B-1, Downgraded to Caa1 (sf); previously on May 11, 2011
Downgraded to B3 (sf)
Cl. B-2, Downgraded to Caa1 (sf); previously on May 11, 2011
Downgraded to B3 (sf)
Cl. C-1, Downgraded to Caa3 (sf); previously on May 11, 2011
Downgraded to Caa1 (sf)
Cl. C-2, Downgraded to Caa3 (sf); previously on May 11, 2011
Downgraded to Caa1 (sf)
Cl. D, Downgraded to Ca (sf); previously on May 11, 2011
Downgraded to Caa2 (sf)
Cl. E-1, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Cl. E-2, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Cl. F, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Cl. G-1, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Cl. G-2, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Cl. H-1, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Cl. H-2, Downgraded to C (sf); previously on May 11, 2011
Downgraded to Caa3 (sf)
Ratings Rationale
Crest 2004-1, Ltd. is a static cash CRE CDO transaction backed by
a portfolio of commercial mortgage backed securities (CMBS) (92.6%
of the pool balance), rake bonds (3.8%), real estate investment
trust (REIT) debt (2.3%) and CRE CDOs (1.3%). As of the February
29, 2012 Trustee report, the aggregate Note balance of the
transaction, including preferred shares, has decreased to $368.7
million from $428.5 million at issuance, with the paydown directed
to the Class A Notes, as a result of amortization of the
underlying collateral as well as redirection of interest proceeds
due to the failure of certain par value tests.
There are 50 assets with a par balance of $128.4 million (37.3% of
the current pool balance) that are considered Defaulted Securities
as of the February 29, 2012 Trustee report. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect significant losses to occur on the Defaulted
Securities once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 5,772 compared to 6,031 at last review. The
distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (3.8% compared to 3.5% at last review), A1-A3
(0.9% compared to 1.0% at last review), Baa1-Baa3 (5.7% compared
to 6.3% at last review), Ba1-Ba3 (12.4% compared to 11.6% at last
review), B1-B3 (17.9% compared to 17.4% at last review), and Caa1-
C (59.3% compared to 60.2% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled a WAL of 2.9 years compared to
3.5 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
6.1% compared to 6.7% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 18.6% compared to 17.2% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
6.1% to 1.1% or up to 11.1% would result in average modeled rating
movement on the rated tranches of 0 to 1 notch downward and 0 to 2
notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, and "Moody's Approach
to Rating Commercial Real Estate CDOs" published in July 2011.
CSMC 2012-CIM1: S&P Gives 'BB' Rating on Class B-4 Certificates
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CSMC
Trust 2012-CIM1's $730.439 million mortgage pass-through
certificates.
The note issuance is a residential mortgage-backed securities
transaction of mostly seasoned prime first-lien, fixed-rate
residential mortgage loans secured by single-family residences.
The ratings reflect S&P's view of:
* "The likelihood that the expected credit enhancement of 8.00%,
6.15%, 4.60%, 2.95%, and 1.55% will be able to withstand our
'AAA', 'AA', 'A', 'BBB', and 'BB' stress scenarios for this
portfolio, which will be secured by residential mortgage loans.
The credit enhancement is strictly subordination," S&P said.
* "The risks and mitigating factors we see based on the results
of our mortgage originator and conduit reviews, third-party
due-diligence review, and representations and warranties review
with respect to the mortgage assets. Although the mortgage
loans are seasoned, we performed a review of DLJ Mortgage
Capital's (DLJ's; the seller's) flow acquisition program," S&P
said.
* "The significance to our ratings of the timing of losses, the
foreclosed properties' recovery value, and our default
assumptions," S&P said.
"We have identified the following factors that we believe
strengthen the series 2012-CIM1 transaction," S&P said:
* "The credit enhancement provided by the capital structure is
greater than our estimated loss coverage," S&P said.
* "DLJ, the seller, purchased a portion of the mortgage pool as
part of its flow acquisition program, and purchased another
portion of the pool as a bulk transaction from MetLife Inc. In
many respects, both pools have characteristics that are, from a
credit perspective, better than our archetypical pool," S&P
said.
* "Although both the primary servicers are ranked 'ABOVE
AVERAGE,' Wells Fargo Bank N.A. will be the master servicer for
the transaction," S&P said.
* "Both the senior and subordinate classes are subject to an
interest rate cap based on the underlying collateral's net
weighted average coupon (although the subordinate classes are
variable-rate certificates tied to the collateral's net
weighted average coupon)," S&P said.
* "Although the transaction is a shifting interest structure, the
potential principal payment to the subordinate classes does not
result in the allocation of losses to any of the tranches under
our cash flow stresses for the reasons: we are not assigning a
rating to the lowest tranche, the credit enhancement provided
is higher than our estimated loss coverage, and the available
funds are allocated 1) to interest and principal on the senior
classes based on their entitled interest and principal amounts
and 2) to the subordinated classes," S&P said.
"We have identified the factors that we believe weaken the series
2012-CIM1 transaction," S&P said:
* Loan modifications may reduce the net weighted average coupon
to a level where the fixed interest rate on the senior
certificates may not receive the full interest amount that is
based on their fixed coupons. However, a mitigant is that each
senior class is subject to an interest rate cap based on the
underlying collateral's net weighted average coupon.
* Loan modifications and the related recovery of outstanding
servicer advances could stress liquidity so that an
unanticipated reduction in available funds may result in an
interest payment that is lower than the collateral's net
weighted average coupon.
"Many servicers have tightened their servicer stop advance
policies over the past two to three years due to higher
delinquencies and declining property values and their impact on
both the volume and recoverability of servicer advances. If
servicer advances are dramatically reduced, it could stress
liquidity and decrease the interest payment to an amount that is
lower than the collateral's net weighted average coupon," 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111517.pdf
RATINGS ASSIGNED
CSMC Trust 2012-CIM1
Class Rating Amount (mil. $)
A-1 AAA (sf) 435.966
A-IO-2 AAA (sf) Notional
A-2 AAA (sf) 246.618
A-IO-1 AAA (sf) Notional
A-IO-S NR N/A
B-1 AA (sf) 13.726
B-2 A (sf) 11.500
B-3 BBB (sf) 12.242
B-4 BB (sf) 10.387
B-5 NR 11.500
R NR N/A
NR - Not rated.
N/A - Not applicable.
EMAC OWNER 1999-1: Moody's Cuts Ratings on 2 Cert. Classes to Ca
----------------------------------------------------------------
Moody's Investors Service downgraded the Class A-2 certificate and
the Class IO certificates issued by EMAC Owner Trust 1999-1 backed
by loans to gas and convenience store operators. The complete
ratings actions are as follows:
Issuer: EMAC Owner Trust 1999-1
Class A-2, Downgraded to Ca (sf); previously on Sep 13, 2002
Downgraded to Caa2 (sf)
Class IO Certificates, Downgraded to Ca (sf); previously on Feb
22, 2012 Downgraded to Ba3 (sf) and Placed Under Review for
Possible Downgrade
Ratings Rationale
The downgrade is the result of continued deterioration of the pool
and the writedown the Class A-2 certificate as a result of losses.
The Class A-2 benefits from no credit enhancement as all
subordinated certificates have been completely written down. As of
the March 15th payment date, cumulative writedowns on the Class A-
2 are approximately $46 million or equivalently 44% of the
original certificate balance. The transaction also suffers from a
high percentage of non-performing loans, with roughly 51% of the
current pool balance in special servicing.
The downgrade of the Class IO certificate was in direct accordance
with the new methodology which states that for IO securities
referencing multiple bonds that were not all investment grade at
closing, the new rating of the IO security will be the minimum of
"Ba3" and the weighted average current rating of all referenced
bonds based on current balance grossed up for write-downs.
Methodology
In order to estimate losses on the collateral pool, Moody's
calculates the expected loss given default of the obligors that
have become nonperforming, and also estimates future losses on
performing portion of the pool, all as a percentage of the
outstanding pool. In evaluating the nonperforming loans, key
factors include collateral valuations and expected recovery rates,
volatility around those recovery rates, historical obligor
performance, time until recovery or liquidation on defaulted
obligors, concessions due to restructuring which may negatively
impact the overall cash flow of the trust and/or the collateral,
and future industry expectations.
Net losses are then evaluated against the available credit
enhancement provided by overcollateralization, subordination, and
excess spread. Sufficiency of coverage is considered in light of
remaining borrower concentrations and concepts, remaining bond
maturities, and economic outlook. The primary sources of
uncertainty in the performance of these transactions are the
successfulness of workout strategies for loans requiring special
servicing, as well as the current macroeconomic environment and
its impact on convenience and gas stores.
The principal methodology used in the rating of the Class IO
certificates was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published on February 2012.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website at www.moodys.com.
EVERGLADES RE 2012-1: S&P Rates Proposed Class A Notes 'B+(sf)'
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 'B+(sf)'
preliminary rating to the Series 2012-1 Class A notes to be issued
by Everglades Re Ltd. The notes cover losses in the state of
Florida from hurricanes on a per-occurrence basis.
"The 'B+(sf)' rating is based on the lower of the implied rating
on the catastrophe risk ('B+'), the rating on the assets in the
collateral account ('AAAm') and the risk of nonpayment by the
reinsured counterparty. Although Standard & Poor's does not
maintain an interactive counterparty, or financial strength rating
on Citizens Property Insurance Corp. (Citizens), we have assessed
the creditworthiness of Citizens and determined that it is capable
of meeting its obligations under the reinsurance agreement in a
timely manner. Standard & Poor's currently maintains issue credit
ratings (A+/Stable) on the senior secured bonds issued by
citizens," S&P said.
Everglades Re is a newly incorporated Bermuda-exempted company to
be licensed as a special purpose reinsurer and is seeking to raise
$[200] million to collateralize an excess of loss reinsurance
agreement with Citizens.
RATINGS LIST
New Rating
Everglades Re Ltd.
Series 2012-1 Class A notes B+(sf)(prelim)
ICE GLOBAL CLO: S&P Rates $24-Mil. Class E Notes 'BB'
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to ICE
Global Credit CLO Ltd./ICE Global Credit CLO Inc.'s $500 million
floating rate notes.
The note issuance is a cash flow emerging market collateralized
loan obligation securitization backed by a revolving pool
consisting of U.S. dollar-denominated senior secured loans, senior
notes, or bonds issued by borrowers located primarily in emerging
markets.
The ratings reflect S&P's view of:
* The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
* "The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(excluding excess spread), and cash flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria," S&P said.
* The transaction's legal structure, which is expected to be
bankruptcy remote.
* "The diversified collateral portfolio, which consists primarily
of speculative-grade senior secured term loans, senior notes,
or bonds issued by borrowers located primarily in emerging
countries," S&P said.
* The portfolio manager's experienced management team.
* "Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.36%-13.63%," S&P said.
* "The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding," S&P said.
* "The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of interest
proceeds to principal proceeds for the purchase of additional
collateral assets during the reinvestment period," S&P said.
"The amount of interest proceeds that will be reclassified will be
limited to 50% of the remaining interest proceeds available after
the payment of the class E coverage tests but prior to the payment
of the subordinated management fees, uncapped administrative
expenses and fees, subordinated hedge termination payments,
portfolio manager incentive fees, and subordinated note payments,"
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 ASSIGNED
ICE Global Credit CLO Ltd./ICE Global Credit CLO Inc.
Class Rating Amount (mil. $)
A AAA (sf) 355.0
B AA (sf) 43.0
C (deferrable) A (sf) 39.0
D (deferrable) BBB (sf) 39.0
E (deferrable) BB (sf) 24.0
Subordinated notes NR 100.0
NR - Not rated.
JERSEY STREET: S&P Affirms 'BB+' Rating on Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class A, B, C, and D notes from Jersey Street CLO Ltd., a
collateralized loan obligation (CLO) transaction with an APEX
revolver feature managed by MFS Investment Management.
"The APEX revolver is available to the transaction during its
reinvestment period to absorb principal losses. Wells Fargo Bank
N.A. is the APEX revolver provider. For our review of the
transaction's performance, we have applied our counterparty
criteria," S&P said.
The APEX revolver remains available to the transaction until the
reinvestment period ends in October 2012.
The affirmations on the class A, B, C, and D notes reflect the
sufficient credit support at the classes' current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
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/1111517.pdf
RATINGS AFFIRMED
Jersey Street CLO Ltd.
Class Rating
A AA+ (sf)
B AA (sf)
C A (sf)
D BB+ (sf)
JUPITER INT'L: Moody's Cuts Rating on EUR19.5MM Notes to 'Caa3'
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of the
following notes issued by Jupiter International 2006-1:
EUR19,500,000 Floating Rate Credit Linked Notes due 2016,
Downgraded to Caa3 (sf); previously on June 25, 2010 Confirmed
at Caa2 (sf).
Ratings Rationale
Jupiter International 2006-1 is a static synthetic SF CDO
transaction. The reference entity in the transaction is no longer
outstanding.
The rating downgrade action taken reflects the collateral risk of
Cloverie 2006-11, where the proceeds from the note issuance by
Jupiter International 2006-1 are invested. Cloverie 2006-11 is
currently rated Caa3 (sf), and is a static synthetic CDO with a
reference pool consisting of corporate assets.
The rating action also takes into account the analysis of the
participation of Citigroup Global Markets Limited as the Swap
Counterparty under the Swap Agreements with the Issuer, evidencing
a credit linked swap transaction and an interest rate swap
transaction relating to the Notes.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
LIMEROCK CLO: S&P Raises Rating on Class D Notes to 'BB'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, A-3b, A-4, B, C, and D notes from Limerock CLO I, a
collateralized loan obligation (CLO) transaction managed by
Invesco Senior Secured Management Inc. "At the same time, we
affirmed the rating on the class A-3a notes," S&P said.
"The transaction will be in its reinvestment phase until April
2014 and it is using all principal proceeds to reinvest in new
collateral. None of the rated notes have paid down since the last
review and all the overcollateralization (O/C) ratios have been in
compliance," S&P said.
"The performance improvements in Limerock CLO I's underlying asset
portfolio since May 2011 have benefited the rated notes. We note a
significant decrease in the amount of 'CCC' rated obligations,
which resulted in an increase in the class A-4, B, C, and D O/C
ratios. Additionally, the spreads available in the transaction,
generated through the underlying assets, are significantly
higher," S&P said.
"We have also provided preliminary rating confirmation for an
amendment which, if it becomes effective, would allow an increase
in the weighted average life of the assets. A preliminary rating
confirmation is our indication that we are willing to provide a
rating confirmation letter on the execution date if there are no
substantive changes to the execution version of the amendment,"
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," 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
Limerock CLO I
Rating
Class To From
A-1 AA+ (sf) AA- (sf)
A-2 AA+ (sf) AA- (sf)
A-3b AA+ (sf) AA- (sf)
A-4 AA- (sf) A+ (sf)
B A (sf) BBB+ (sf)
C BBB (sf) BB+ (sf)
D BB (sf) B+ (sf)
RATING AFFIRMED
Limerock CLO I
Class Rating
A-3a AA+ (sf)
TRANSACTION INFORMATION
Issuer: Limerock CLO I
Collateral manager: Invesco Senior Secured Management Inc.
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
MADISON PARK VIII: S&P Rates $19 Million Class E Note 'BB'
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Madison
Park Funding VIII Ltd./Madison Park Funding VIII LLC's $367.75
million floating-rate notes.
The transaction is a cash flow collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's assessment of:
* The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
* The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
* The transaction's legal structure, which is expected to be
bankruptcy remote.
* The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
* The portfolio manager's experienced management team.
* "Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-12.25%," S&P said.
* The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
* "The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying uncapped
administrative expenses and fees; subordinated hedge
termination payments; portfolio manager incentive fees; and
subordinated note payments, to principal proceeds for the
purchase of additional collateral assets during the
reinvestment period and to reduce the balance of the rated
notes outstanding, sequentially, after the reinvestment
period," 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 ASSIGNED
Madison Park Funding VIII Ltd./Madison Park Funding VIII LLC
Class Rating Amount
(mil. $)
A AAA (sf) 252.20
B AA (sf) 48.50
C (deferrable) A (sf) 27.50
D (deferrable) BBB (sf) 20.25
E (deferrable) BB (sf) 19.00
Subordinated notes NR 45.25
NR - Not rated.
MISSOURI HIGHER: S&P Lowers Ratings on 7 Classes of Bonds to 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes of bonds issued by the Missouri Higher Education Loan
Authority (MOHELA) under its 12th General Student Loan Program
Bond Resolution to 'BB (sf)' from 'A (sf)'. "At the same time, we
removed them from CreditWatch with negative implications, where we
placed them on Aug. 9, 2010, for performance-related reasons," S&P
said.
"The 12th General Student Loan Program Bond Resolution governs a
trust that is a student loan asset-backed securities (ABS) master
trust backed by private student loans originated under MOHELA's
private student loan program and student loans originated under
the U.S. government's Federal Family Education Loan Program
(FFELP) program (which comprised approximately 77.7% and 22.3%,
respectively, of the collateral pool as of December 2011). The
trust issued multiple bonds in 1995, 1996, and 2006," S&P said.
"We lowered our ratings on the bonds to reflect our view of the
shift in collateral composition for this trust, leading to a
moderate deterioration in the credit quality of the pool. At the
time of the trust's most recent issuance in 2006, the collateral
pool consisted of 55% private loans and 45% FFELP loans. Since
then, the collateral pool composition has shifted to a higher
concentration of private loans, which now comprises 78% of the
collateral pool and 22% FFELP loans. The lowered ratings also
reflect our views regarding future collateral performance as well
as parity levels that have remained relatively stagnant. It also
reflects our views regarding the trust's structure, which includes
100% auction rate bonds (ARS), which might lead to an increased
cost of funds to the deal in high interest rate environments. Our
analysis incorporated various cash flow stress scenarios and
secondary credit factors such as credit stability, payment
priority, and sector- and issuer-specific analysis," S&P said.
"Given the effects of the economic landscape and the state of the
job market, we believe that student loan default rates will likely
continue to rise in the near future. As a result, we expect the
collateral performance of private student loans to remain under
pressure," S&P said.
POOL PERFORMANCE
"Since its last issuance in June 2006, this trust has had 22
quarters of performance through the period ended December 2011, at
which time it had a note factor (the principal balance of bonds
currently outstanding as a percent of the original note balance)
of 64.1%. At the same time, MOHELA reports that 63.1% of the FFELP
loans were in repayment, as were 65.8% of the private loans.
However, $21.6 million in defaulted loans, most of which are
private student loans, are included in these reported numbers. Our
calculations, excluding the defaulted loans, show that 73.3% of
nondefaulted private loans were in repayment and 64.0% of
nondefaulted FFELP loans were in repayment," S&P said.
Collateral performance metrics are outlined in table 1.
Table 1
Collateral Performance(i)
December 2011
Reported Adjusted(ii)
FFELP 30+ day delinquencies 21.0%
FFELP 90+ day delinquencies 9.7%
Private 30+ day delinquencies 5.0%
Private 90+ day delinquencies 1.1%
FFELP deferment 19.3% 19.6%
FFELP forbearance 13.6% 13.8%
Private deferment 11.9% 13.3%
Private forbearance 5.1% 5.6%
(i) Delinquencies calculated as a percentage of loans in
repayment. (ii) The reported deferment and forbearance percentages
were calculated including $21.6 million in defaulted loans. "Our
adjusted calculations for deferment and forbearance excluding
these loans are shown in the adjusted column," S&P said.
Private loan defaults remain elevated and continue to rise. As of
December 2011, the cumulative gross defaults among private student
loans reached approximately $20.8 million. Additionally, loans in
deferment have remained at relatively high levels.
"The parity percentage (the sum of the values of all accrued
assets divided by the aggregate principal amount of and accrued
interest on all outstanding bonds, and program and administrative
expenses) has grown modestly from 100% since the most recent
issuance out of the trust. There has been some growth recently,
but that was primarily due to the fact that MOHELA repurchased and
redeemed some of series 2006I bonds in 2011. As of December 2011,
parity, as reported by MOHELA, was 112.77%, which is 4.28% higher
than its value of 108.49% in December 2010. However, these two
parity numbers include $21.6 million (in December 2011) and $17.6
million (in December 2010) in FFELP and private defaulted loans.
We calculated parity, after excluding these defaulted loans, at
104.32% in December 2011 and 102.41% in December 2010," S&P said.
"Approximately 22% of the collateral in this trust is FFELP loans,
which are at least 97% guaranteed by the U.S. Department of
Education. Due to the high concentration of private loans within
this trust, we believe the high recovery rate on FFELP defaults
will have some, but limited effect on mitigating the negative
impact of private loan defaults levels on excess spread," S&P
said.
STRUCTURE
The bonds are all secured equally and ratably under the trust's
indenture.
"The trust was originally structured with a bond insurance policy
from Ambac Assurance Corp. Because we do not rate Ambac, we give
no value to the bond insurance policy it provides to the bonds.
The bonds in the trust have maturities in February and August of
2025 and June of 2046. The transaction documents provide for
certain optional and mandatory redemptions, as well as releases to
the issuer if parity remains above 103% and Ambac Assurance Corp.,
the bond insurer, provides consent," S&P said.
"All of the bonds in the trust are ARS bonds. Since the auction
markets failed in February 2008, these bonds have been paying
interest rates that are based on their respective maximum auction
rate definitions. Approximately 20% of the bonds are tax-exempt
ARS, which means they pay interest based on a floating tax-exempt
interest rate multiplied by a ratings-dependent multiplier. The
rest of the bonds are taxable ARS, which means they generally pay
interest based on the 91-day T-bill rate plus a ratings-dependent
margin, and the maximum auction rate definition for the 2006I and
2006J bonds also provides for these bonds to pay based on a net
loan rate in certain circumstances," S&P said.
DEFAULT EXPECTATIONS AND NET LOSS PROJECTIONS
"Based on our views of the current and projected performance of
the FFELP and private student loans, we determined various
stressed rating level default assumptions. The FFELP loans will
have recovery rates of at least 97%, and we have assumed stressed
levels of servicer reject rates. Our base-case default assumption
for the FFELP collateral is 10.9%, and our base-case default
assumption for the private collateral is 11.6%. We also assumed
future stressed recovery rates of approximately 10% of the dollar
amount of cumulative private defaults," S&P said.
CASH FLOW MODELING ASSUMPTIONS
"We ran a variety of midstream cash flows for this trust under
various rating stress assumptions. We held the defaults of the
FFELP loans constant at our stressed default assumptions for the
FFELP portion of the trust collateral, and we ran break-even
defaults on the private portion of the collateral pool in the
stressed rating scenarios in order to test the trust's ability to
meet full and timely payment of interest and ultimate principal on
the bonds," S&P said. These are some of the major assumptions we
modeled:
* A marginally front-loaded default curve that covered periods of
six years;
* Recovery rates of 10% for the private loans in the pool;
* Recovery rates of at least 97% for the FFELP loans in the pool;
* A rating scenario specific servicer reject rate;
* A prepayment speed starting at approximately 3% constant
prepayment rate (CPR, an annualized prepayment speed stated as
a percent of the current loan balance) and ramping up over five
years to a maximum rate of 7% CPR. "After five years, we held
the maximum rate constant," S&P said.
* Stressed interest rate vectors for the various indices; and
* Auctions failed for the life of each transaction.
"We determined the coupons for ARS based on the applicable
'maximum rate' definition in the transaction documents," S&P said.
CASH FLOW MODELING RESULTS/RATING ACTIONS
"Our cash flow runs indicated that the bonds, given the trust's
current collateral profile and available credit enhancement, is
not able to withstand an investment grade level stressed rating
scenario before a payment default would occur," S&P said.
"Therefore, we lowered our ratings on the bonds to reflect the
trust's current collateral profile and our view that the available
credit enhancement is sufficient to support the bonds at the 'BB
(sf)' rating level," S&P said.
"Standard & Poor's will continue to monitor the performance of the
student loan receivables backing this trust relative to our
revised cumulative default expectations and available credit
enhancement," 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111517.pdf
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Missouri Hgr Ed Ln Auth
$20 mil stud ln rev bnds ser 1995-A due 02/15/2025
Rating
Class CUSIP To From
A 606072DE3 BB (sf) A (sf)/Watch Neg
Missouri Hgr Ed Ln Auth
$55 mil stud ln rev bnds ser 1995-B due 02/15/2025
Rating
Class CUSIP To From
A 606072DF0 BB (sf) A (sf)/Watch Neg
Missouri Hgr Ed Ln Auth
$45 mil stud ln rev bnds ser 1995-C due 02/15/2025
Rating
Class CUSIP To From
A 606072DG8 BB (sf) A (sf)/Watch Neg
Missouri Hgr Ed Ln Auth
$40 mil stud ln rev bnds ser 1995-D due 02/15/2025
Rating
Class CUSIP To From
A 606072DH6 BB (sf) A (sf)/Watch Neg
Missouri Hgr Ed Ln Auth
$55 mil adj rt stud ln rev bnds ser 1996-H due 08/15/2025
Rating
Class CUSIP To From
A 606072DJ2 BB (sf) A (sf)/Watch Neg
Missouri Hgr Ed Ln Auth
$126 mil student loan revenue bonds series 2006-I & 2006-J
Rating
Class CUSIP To From
2006-I 606072JF4 BB (sf) A (sf)/Watch Neg
2006-J 606072JG2 BB (sf) A (sf)/Watch Neg
MORGAN STANLEY 2012-C4: Moody's Rates Class G Certificates 'B2'
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by Morgan Stanley Capital I Trust 2012-
C4, Commercial Mortgage Pass-Through Certificates Series 2012-C4.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Ba3 (sf)
Ratings Rationale
The Certificates are collateralized by 38 fixed rate loans secured
by 77 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.57X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.18X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 90.5% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated debt) of 96.0% is also considered
when analyzing various stress scenarios for the rated debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is
19.2. The transaction's loan level diversity is lower than the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 26.1. The
transaction's property diversity profile is in-line with the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.20, which is in-line
with the indices calculated in most multi-borrower transactions
since 2009.
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 Structured Finance Interest-Only
Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator ver1.0 which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 23%, the model-indicated rating for the currently
rated Super Senior Aaa classes and the rated Aaa A-S class would
be Aaa, Aa1; Aaa,Aa2; and Aa1, Aa2. Parameter Sensitivities are
not intended to measure how the rating of the security might
migrate over time; rather they are designed to provide a
quantitative calculation of how the initial rating might change if
key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
MOUNTAIN CAPITAL: Moody's Lifts Rating on $12MM Notes to 'Ba3'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Mountain Capital CLO IV:
US$21,000,000 Class A-2L Floating Rate Notes due 2018, Upgraded
to Aa2 (sf); previously on August 3, 2011 Upgraded to Aa3 (sf);
US$15,000,000 Class A-3L Floating Rate Notes due 2018, Upgraded
to A2 (sf); previously on August 3, 2011 Upgraded to A3 (sf);
US$13,500,000 Class B-1L Floating Rate Notes due 2018, Upgraded
to Baa3 (sf); previously on August 3, 2011 Upgraded to Ba1 (sf);
US$12,000,000 Class B-2L Floating Rate Notes due 2018 (current
outstanding balance of $11,280,994), Upgraded to Ba3 (sf);
previously on August 3, 2011 Upgraded to B1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes
reflect the benefit of the end of the deal's reinvestment period
in March 2012. In consideration of the reinvestment restrictions
applicable during the amortization period, and therefore limited
ability to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will continue to maintain a
positive "cushion" relative to certain covenant requirements. In
particular, the deal is assumed to benefit from higher diversity
and spread levels compared to the levels assumed at the last
rating action in August 2011.
The rating actions also reflect the increase in the transaction's
overcollateralization ratios since the rating action in August
2011. Based on the latest trustee report dated March 7, 2012, the
Senior Class A, Class A, Class B-1L and Class B2-L
overcollateralization ratios are reported at 123.16%, 115.8%,
109.9%, and 105.41% respectively, versus July 2011 levels of
122.78%, 115.45%, 109.56%, and 105.09% respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $290 million,
defaulted par of $4.9 million, a weighted average default
probability of 18.26% (implying a WARF of 2814), a weighted
average recovery rate upon default of 47.67%, and a diversity
score of 67. 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.
Mountain Capital CLO IV issued in December 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2251)
Class A-2L: +1
Class A-3L: +3
Class B-1L: +3
Class B-2L: +1
Moody's Adjusted WARF + 20% (3409)
Class A-2L: -2
Class A-3L: -2
Class B-1L: -1
Class B-2L: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Delevering: The main source of uncertainty in this transaction
is whether delevering from unscheduled principal proceeds will
begin 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.
N-STAR REAL ESTATE: Moody's Affirms Caa3 Ratings on 8 Notes
-----------------------------------------------------------
Moody's Investors Service has affirmed all classes of Notes issued
by N-Star Real Estate CDO IX, Ltd. due to the key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO and Re-Remic) transactions.
Cl. A-1, Affirmed at Ba3 (sf); previously on March 30, 2011
Downgraded to Ba3 (sf)
Cl. A-2, Affirmed at Caa1 (sf); previously on March 30, 2011
Downgraded to Caa1 (sf)
Cl. A-3, Affirmed at Caa2 (sf); previously on March 30, 2011
Downgraded to Caa2 (sf)
Cl. B, Affirmed at Caa2 (sf); previously on April 28, 2010
Downgraded to Caa2 (sf)
Cl. C, Affirmed at Caa3 (sf); previously on April 28, 2010
Downgraded to Caa3 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on April 28, 2010
Downgraded to Caa3 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on April 28, 2010
Downgraded to Caa3 (sf)
Cl. F, Affirmed at Caa3 (sf); previously on April 28, 2010
Confirmed at Caa3 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on April 28, 2010
Confirmed at Caa3 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on April 28, 2010
Confirmed at Caa3 (sf)
Cl. J, Affirmed at Caa3 (sf); previously on April 28, 2010
Confirmed at Caa3 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on April 28, 2010
Confirmed at Caa3 (sf)
RATINGS RATIONALE
N-Star Real Estate CDO IX, Ltd. is a revolving CRE CDO
transaction; the reinvestment period ending in June 2012. The
collateral pool contains 68.5% commercial mortgage backed
securities (CMBS) of which approximately 86% was issued between
2005 and 2008. The remaining collateral includes CRE CDO (26.5%),
CMBS rake bonds (0.4%), real estate investment trust (REIT) debt
(1.4%), and commercial real estate loans (3.2%).
As of the March 1, 2012 trustee report, the outstanding note
balance was $776 million, $24 million lower than as securitization
solely due to a partial note cancellations of the Class B, Class
D, Class G, and Class H Notes in February 2012. During the current
review, holding all key parameters static, the junior note
cancellations result in slightly higher expected losses and longer
weighted average lives on the senior Notes, while producing
slightly lower expected losses on the mezzanine and junior Notes.
However, this does not cause, in and of itself, a downgrade or
upgrade of any outstanding classes of Notes. The current
collateral par balance has increased to over $1.006 billion
dollars from $1.001 billion at last review. The increase in
overcollateralization is the result of discounted collateral
purchases.
The pool contains 48 assets totaling $292.2 million (29% of the
collateral pool balance) that are listed as defaulted securities
as of the March 1, 2012 trustee report. Seventeen of these assets
(46.9% of the defaulted balance) are CRE CDO, thirty assets are
CMBS (48.8%) and one asset is a commercial real estate loan
(4.3%). While there have been no realized losses to date, Moody's
does expect significant losses to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated assets. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. The current bottom-dollar
WARF, including defaulted securities, is 5,182 compared to 5,198
at last review. Moody's modeled a bottom-dollar WARF of 3,413
compared to 3,822 at last review (excluding defaulted securities).
The distribution of current ratings and credit estimates is as
follows: Aaa-Aa3 (7.1% compared to 3.8% at last review), A1-A3
(5.2% compared to 7.7% at last review), Baa1-Baa3 (12.2% compared
to 19.1% at last review), Ba1-Ba3 (16.9% compared to 19.8% at last
review), B1-B3 (25.2% compared to 12.7% at last review), and Caa1-
C (33.4% compared to 37.0% at last review).
WAL acts to adjust the probability of default of the assets in the
pool for time. Moody's modeled to the covenant WAL of 5.0 years.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR
(excluding defaulted securities) of 18.5% compared to 18.6% at
last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 12.3%, compared to 10.2% at last
review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R) v3.2.1.0, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
18.5% to 8.5% or up to 28.5% would result in average rating
movement on the rated tranches of 0 to 2 notches downward and 0 to
1 notch upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in November 2010, "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
OMEGA CAPITAL: S&P Withdraws 'D' Rating on Class B-1U Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class B-1U and C-1E notes issued by Omega Capital Investments II
PLC's Palladium CDO II series 31, a synthetic corporate
investment-grade collateralized debt obligation (CDO) transaction.
The rating withdrawals follow the repurchase and cancellation of
the notes.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description 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
Omega Capital Investments II PLC
Palladium CDO II series 31
Rating
Class To From
B-1U NR D (sf)
C-1E NR CCC-(sf)
NR - Not rated.
PHH MORTGAGE: S&P Lowers Rating on Class M-3 Certs. to 'B-'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes from PHH Mortgage Trust's series 2007-SL1, a U.S.
residential mortgage-backed securities (RMBS) transaction and
removed all of them from CreditWatch with negative implications.
"Concurrently, we affirmed our ratings on eight classes from this
transaction and three other transactions and removed three of
those ratings from CreditWatch negative. Each of the transactions
in this review has had at least one class that has experienced
interest shortfalls. The transactions in this review are backed by
closed-end second-lien mortgage loans issued from 2002 through
2007," S&P said.
"Over the past several years, interest shortfalls have become more
prevalent within U.S. RMBS. Standard & Poor's attributes this to
several factors that can affect cash flows including: (i) the
reimbursement by servicers of prior advances deemed
nonrecoverable; (ii) the cessation of servicer advances on
delinquent loans; (iii) reimbursements for prior advances when
loans are modified and amounts are capitalized on the loan
balance; and (iv) significant deterioration in credit quality and
the resulting impact on structures that become undercollateralized
and unable to generate sufficient interest to make the applicable
security payments," S&P said.
"We applied the recently updated criteria as set forth in
'Methodology For Assessing the Impact of Interest Shortfalls on
U.S. RMBS,' published March 28, 2012. The updated criteria
continue to impose a maximum rating threshold on classes that have
incurred interest shortfalls. However, for certain classes with
delayed reimbursement provisions, the updates to the criteria
limited the impact of interest shortfalls on the rating. We also
applied the applicable criteria listed below under 'Related
Criteria And Research' contingent on the type of RMBS," S&P said.
"In applying the criteria mentioned above, we look to
reimbursement provisions within each payment waterfall for the
applicable RMBS in order to determine if the reimbursement
provisions are more immediate, or delayed. In instances where the
RMBS has immediate reimbursement provisions, we use the length of
time a shortfall remained unpaid, and the amount of the shortfall
as part of our analysis. In instances where the RMBS does not have
immediate reimbursement provisions, or delayed reimbursement, we
do not factor into our analysis the length of time a shortfall was
outstanding but rather the number of times a shortfall occurred if
certain conditions were met (interest accrues on the outstanding
amount and our projections show reimbursement)," S&P said.
"We lowered our ratings on classes M-1 and M-2 from PHH Mortgage
Trust's series 2007-SL1, which contains delayed reimbursement
provisions, due to interest shortfalls. These classes have not
experienced ongoing interest shortfalls for several months.
However, due to the inability of the transaction to repay prior
shortfalls and the uncertainty about whether they will ever be
repaid, the lowered ratings reflect our view of the current
creditworthiness of each security. If interest shortfalls are
temporary and not expected to recur, Standard & Poor's may raise
the rating once interest shortfalls have been fully reimbursed and
the appropriate credit characteristics are evident," S&P said.
"In addition to applying the appropriate rating threshold based on
our interest shortfall criteria, in order to assess the
creditworthiness of each class, we compared our lifetime loss
projections against each class' projected credit support and its
ability to withstand additional credit deterioration. As a result,
the lowered rating on class M-3 from PHH Mortgage Trust's series
2007-SL1 reflects our belief that projected credit enhancement for
this class will be insufficient to cover the projected loss we
applied at the previous rating level," S&P said.
"The remaining transactions contain classes that have experienced
interest shortfalls due to prepayments or basis risk. Our ratings
do not reflect our view of these types of interest shortfalls;
therefore we affirmed our ratings on these classes. In addition,
the rating affirmations reflect our belief that projected credit
enhancement for these classes will be sufficient to cover our
projected losses at these rating levels," S&P said.
"We reviewed the transactions issued before 2004 in accordance
with our criteria in 'Methodology and Assumptions For U.S. RMBS
Issued Before 2005,' published March 12, 2009. As such, we
subjected delinquent loans to a 100% default likelihood
distributed evenly over a period of six months. We also applied a
loss severity (loss given default) of 100%, which we applied to
all transactions backed predominantly by second liens," S&P said.
"Due to the extended seasoning and longevity of transactions
outstanding that closed in 2004, we also applied the above-
mentioned criteria when reviewing the transaction issued in 2004
in lieu of the criteria described in 'How Standard & Poor's Is
Revising Its Loss Curves For U.S. Closed-End Second-Lien RMBS,'
published Dec. 20, 2007. Due to the length of the loss curve we
typically apply to 2004-vintage transactions, in conjunction with
transaction seasoning, we believe that the application of the pre-
2004 criteria was more appropriate for our review of the
transaction that closed in 2004," S&P said.
"For the remaining transaction within this review issued in 2007,
we used the greater of (i) the losses provided in 'Assumptions:
Revised Lifetime Loss Projections For U.S. Closed-End Second-Lien
And HELOC RMBS Transactions Issued In 2005, 2006, And 2007,'
published Dec. 21, 2009, (ii) the losses projected in accordance
with the criteria applied for 2004 and prior vintages, and (iii)
the losses projected in accordance with the second-lien loss curve
described in 'How Standard & Poor's Is Revising Its Loss Curves
For U.S. Closed-End Second-Lien RMBS,' published Dec. 20, 2007. We
also used the second-lien loss curve for the timing of losses,
regardless of the methodology applied to project the dollar loss,"
S&P said.
"Extended loan seasoning and updated performance data was a
driving factor in the application of different methodologies for
certain transactions. As such, on Dec. 27, 2011, we published
'Advance Notice Of Proposed Criteria Change: Surveillance
Methodology And Assumptions For U.S. RMBS Transactions Backed By
Second-Lien Mortgage Loans,' in which we provided notice that we
expect to update our methodology and assumptions to consider the
extended seasoning of these transactions compared with our
existing methodology. As a result, the application of the
forthcoming criteria update could result in additional ratings
changes for RMBS transactions backed by second-lien loans," S&P
said.
Subordination, overcollateralization (prior to its depletion),
excess spread, and bond insurance, when applicable, provide credit
support for the affected transactions.
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/1111517.pdf
RATING ACTIONS
Home Equity Loan Trust 2002-HS3
Series 2002-HS3
Rating
Class CUSIP To From
A-I-6 76110VKS6 BBB (sf) BBB (sf)/Watch Neg
Home Equity Loan Trust 2004-HS1
Series 2004-HS1
Rating
Class CUSIP To From
A-I-4 76110VQA9 BBB+ (sf) BBB+ (sf)/Watch Neg
PHH Mortgage Trust, Series 2007-SL1
Series 2007-SL1
Rating
Class CUSIP To From
M-1 69337YAB0 BB+ (sf) AA+ (sf)/Watch Neg
M-2 69337YAC8 BB+ (sf) AA+ (sf)/Watch Neg
M-3 69337YAD6 B- (sf) AA (sf)/Watch Neg
Structured Asset Securities Corp.
Series 2003-S1
Rating
Class CUSIP To From
B 86359AV75 BB+ (sf) BB+ (sf)/Watch Neg
RATINGS AFFIRMED
Home Equity Loan Trust 2002-HS3
Series 2002-HS3
Class CUSIP Rating
A-II 76110VKU1 BBB (sf)
Home Equity Loan Trust 2004-HS1
Series 2004-HS1
Class CUSIP Rating
A-I-5 76110VQB7 BBB+ (sf)
A-I-6 76110VQC5 BBB+ (sf)
A-II 76110VQE1 BBB (sf)
PHH Mortgage Trust, Series 2007-SL1
Series 2007-SL1
Class CUSIP Rating
A-1 69337YAA2 AAA (sf)
PROSPECT FUNDING: S&P Withdraws 'CC' Rating on Class D-2
--------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on two
classes from Prospect Funding I LLC, a U.S. market value
collateralized debt obligation (CDO) transaction.
"We withdrew our ratings following the complete paydowns of the
classes on their redemption dates," 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 WITHDRAWN
Prospect Funding I LLC
Rating
Class To From
A-7 NR A- (sf)
D-2 NR CC (sf)
NR - Not rated.
RAMP 2003-RZ2: Moody's Confirms 'Ba1' Rating on Cl. M-1 Tranche
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of seven
tranches, upgraded the ratings of six tranches, and confirmed the
ratings of nine tranches from six RMBS transactions, backed by
Subprime loans, issued by Residential Asset Mortgage Products
(RAMP) RZ trusts.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012 and "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R) (SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (11% for all vintages
2004 and prior). The baseline rates are higher than the average
rate of new delinquencies for larger pools for the respective
vintages.
Once the baseline rate is set, further adjustments are made based
on (1) the number of loans remaining in the pool and (2) the level
of current delinquencies in the pool. The volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
Certain securities are insured by financial guarantors. For
securities insured by a financial guarantor, the rating on the
securities is the higher of (i) the guarantor's financial strength
rating and (ii) the current underlying rating (i.e., absent
consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same
methodology for rating securities that do not have a financial
guaranty and is as described earlier.
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board and Moody's Analytics (MA) still expect a
below-trend growth for the US economy for 2012, with the
unemployment rate remaining high between 8% to 9% and home prices
dropping another 2-3% from the levels seen in 1Q 2011.
Complete rating actions are as follows:
Issuer: RAMP Series 2003-RZ2 Trust
Cl. M-1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2003-RZ4 Trust
Cl. A-6, Upgraded to Baa1 (sf); previously on Mar 30, 2011
Downgraded to Baa3 (sf)
Underlying Rating: Upgraded to Baa1 (sf); previously on Mar 30,
2011 Downgraded to Baa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-7, Upgraded to A3 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
Cl. M-1, Confirmed at B2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to C (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to C (sf); previously on Mar 30, 2011
Downgraded to Ca (sf)
Issuer: RAMP Series 2003-RZ5 Trust
A-6-A, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
A-6-B, Confirmed at Baa2 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Underlying Rating: Confirmed at Baa2 (sf); previously on Jan 31,
2012 Baa2 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
M-1, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2004-RZ1 Trust
A-I-7, Confirmed at Aa2 (sf); previously on Jan 31, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
M-2, Upgraded to B1 (sf); previously on Mar 30, 2011 Downgraded
to Caa3 (sf)
M-3, Upgraded to Caa3 (sf); previously on Mar 30, 2011
Downgraded to C (sf)
Issuer: RAMP Series 2004-RZ3 Trust
Cl. A-I-4, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-5, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-I-6, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-I-1, Upgraded to B3 (sf); previously on Jan 31, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. M-II-3, Upgraded to B2 (sf); previously on Apr 5, 2011
Downgraded to Caa2 (sf)
Issuer: RAMP Series 2004-RZ4 Trust
Cl. M-2, Downgraded to A1 (sf); previously on Apr 14, 2011
Confirmed at Aa2 (sf)
Cl. M-3, Downgraded to Baa2 (sf); previously on Apr 14, 2011
Downgraded to Baa1 (sf)
Cl. M-4, Downgraded to Ba1 (sf); previously on Apr 14, 2011
Downgraded to Baa2 (sf)
Cl. M-5, Downgraded to Ba2 (sf); previously on Apr 14, 2011
Downgraded to Ba1 (sf)
Cl. M-6, Downgraded to B2 (sf); previously on Apr 14, 2011
Downgraded to Ba3 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF279972
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
REVE SPC: S&P Withdraws 'B-' Rating on Notes
--------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
notes issued by REVE SPC, STEERS Thayer Gate CDO Trust Series
2006-8, and Toronto-Dominion Bank.
"We withdrew the ratings after receiving termination and
redemption agreement notices," 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111517.pdf
RATINGS WITHDRAWN
REVE SPC
Series 2007-2
Rating
To From
Nts NR B- (sf)
STEERS Thayer Gate CDO Trust Series 2006-8
Rating
To From
Nts NR CCC- (sf)
Toronto-Dominion Bank
CAD 63.87 mil. Portfolio Credit Linked Notes
Rating
To From
Nts NR CCC- (sf)
NR - Not rated.
SEAWALL 2007-1: Moody's Lowers Rating on Class A Notes to 'C(sf)'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of one class
of Notes issued by Seawall 2007-1 Ltd. due to deterioration in the
underlying collateral as evidenced by the Moody's weighted average
rating factor (WARF), and a reduction of the term asset account
due to payments for credit events on the underlying portfolio of
reference obligation. The affirmations are due to key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO Synthetic) transactions.
Cl. A, Downgraded to C (sf); previously on May 6, 2010 Downgraded
to Ca (sf)
Cl. B, Affirmed at C (sf); previously on May 6, 2010 Downgraded to
C (sf)
Cl. C-1, Affirmed at C (sf); previously on May 6, 2010 Downgraded
to C (sf)
Cl. C-2, Affirmed at C (sf); previously on May 6, 2010 Downgraded
to C (sf)
Cl. D-1, Affirmed at C (sf); previously on May 6, 2010 Downgraded
to C (sf)
Cl. D-2, Affirmed at C (sf); previously on May 6, 2010 Downgraded
to C (sf)
Cl. E-1, Affirmed at C (sf); previously on May 6, 2010 Downgraded
to C (sf)
Cl. E-2, Affirmed at C (sf); previously on May 6, 2010 Downgraded
to C (sf)
Ratings Rationale
Seawall 2007-1 Ltd. is a static synthetic transaction backed by a
reference portfolio of commercial mortgage backed securities
(CMBS) (94.1% of the pool balance) real estate investment trust
(REIT) (5.9%). As of the March 29,2012 Trustee report, the
aggregate Note balance of the transaction, including preferred
shares, reduced to $506 million from $550 million at issuance, due
to protection payments made for credit events. The result was the
balances of the Classes E-1, E-2 and F were reduced.
Four reference obligations with an original notional balance of
$40 million (7.3% of the original pool balance) have experienced
credit events as of the March 29, 2012 Trustee report. All of
these reference obligations are CMBS (100.0%), and two of the four
have experienced full writedown.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated credit estimates for the non-Moody's
rated reference collateral. The bottom-dollar WARF is a measure of
the default probability within a reference collateral. Moody's
modeled a bottom-dollar WARF of 8,931 compared to 8,600 at last
review. The distribution of current ratings and credit estimates
is as follows: Baa1-Baa3 (5.9% compared to 9.1% at last review)
and Caa1-C (94.1% compared to 90.9% at last review).
WAL acts to adjust the probability of default of the reference
collateral in the pool for time. Moody's modeled to a WAL of 3.6
years compared to 4.4 at last review.
WARR is the par-weighted average of the mean recovery values for
the reference collateral in the pool. Moody's modeled a fixed WARR
of 2.0% compared to 3.1% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the reference collateral (i.e. the measure of diversity).
Moody's modeled a MAC of 0.0% compared to 0.0% at last review. The
low MAC is due to the very high credit risk profile of the
reference pool and the small number of names referenced.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Synthetic notes are particularly sensitive
to changes in ratings assumptions. Holding all other key
parameters static, changing the ratings down one notch or up one
notch would result in average rating movement on the rated
tranches of 0 to 0.1 notch downward and 0 to 0.1 notches upward,
respectively.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
commercial real estate property markets. While commercial real
estate property values are beginning to move in a positive
direction, a consistent upward trend will not be evident until the
volume of investment activity increases, distressed properties are
cleared from the pipeline, and job creation rebounds. The hotel
and multifamily sectors continue to show positive signs and
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where unemployment remains above long-term averages and business
confidence remains below long-term averages. Performance in the
retail sector has been mixed with lackluster Holiday sales driven
by sales and promotions. Consumer confidence remains low. Across
all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial
real estate loans supported by a monetary policy of low interest
rates. Moody's central global macroeconomic scenario reflects: an
overall downward revision of real growth forecasts since last
quarter, amidst ongoing and policy-induced banking sector
deleveraging leading to a tightening of bank lending standards and
credit contraction; financial market turmoil continuing to
negatively impact consumer and business confidence; persistently
high unemployment levels; and weak housing markets resulting in a
further slowdown in growth.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in November 2010.
SPRINGLEAF MORTGAGE: S&P Gives 'BB' Rating on Class B-2 Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Springleaf Mortgage Loan Trust 2012-1's $473.01 million
mortgage-backed notes.
The note issuance is a residential mortgage-backed securities
transaction backed by residential mortgage loans.
The preliminary ratings are based on information as of April 5,
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 likelihood that the expected credit enhancement of 45.00%,
35.00%, 27.57%, 21.57%, 16.57%, and 12.57% will be able to
withstand our 'AAA', 'AA', 'A+', 'A-', 'BBB', and 'BB' stress
scenarios, for this portfolio, which will be secured by
residential mortgage loans. The credit enhancement comprises
subordination, an interest shortfall reserve fund, excess
interest, and overcollateralization," S&P said.
* "The risks and mitigating factors we see based on the results
of Standard & Poor's Ratings Services' mortgage originator and
conduit reviews, third-party due-diligence review, and
representations (reps) and warranties review with respect to
the mortgage assets. Although the mortgage loans are seasoned,
we performed a full mortgage originator review of Springleaf
Finance Corp. (Springleaf), which included a review of its
acquisition program, pursuant to which we assigned a 'Middle
Tier' ranking. We also analyzed Springleaf's acquisition
strategy for acquired mortgage collateral," S&P said.
* "The timing of losses, the foreclosed properties' recovery
value, and our default assumptions," 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
PRELIMINARY RATINGS ASSIGNED
Springleaf Mortgage Loan Trust 2012-1
Class Rating Amount
(mil. $)
A AAA (sf) 260.155
M-1 AA (sf) 47.301
M-2 A+ (sf) 35.125
M-3 A- (sf) 28.380
B-1 BBB (sf) 23.650
B-2 BB (sf) 18.921
C NR 59.477
R NR N/A
NR - Not rated.
N/A - Not applicable.
STONE TOWER: Moody's Raises Rating on Class A-3L Notes to 'B1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Stone Tower CDO LTD.:
U.S. $148,000,000 Class A-1LA Floating Rate Notes, Due 2020
(current outstanding balance $30,303,333), Upgraded to Aaa (sf);
previously on September 30, 2011 Upgraded to Aa3 (sf);
U.S. $37,000,000 Class A-1LB Floating Rate Notes, Due 2040,
Upgraded to Aa3 (sf); previously on September 30, 2011 Upgraded to
Baa1 (sf);
U.S. $44,000,000 Class A-2L Floating Rate Notes, Due 2040,
Upgraded to Baa2 (sf); previously on September 30, 2011 Upgraded
to Ba3 (sf);
U.S. $20,000,000 Class A-3L Floating Rate Notes, Due 2040,
Upgraded to B1 (sf); previously on September 30, 2011 Upgraded to
B3 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in September 2011. Moody's notes that the Class
A-1LA Notes have been paid down by approximately 57% or $40
million since the last rating action. Based on the latest trustee
report dated February 20, 2012, the Senior Class A, Class A, and
Class B Overcollateralization ratios are reported at 147.34%,
124.90%, and 95.29%, respectively, versus September 2011 levels of
133.93%, 118.33%, and 84.13%, respectively. Moody's notes that
excess interest is being diverted to pay down the Class A-1LA
Notes due to failure of the Class B Overcollateralization test.
Stone Tower CDO Ltd., issued in December 2004, is a collateralized
debt obligation backed primarily by a portfolio of structured
finance securities.
Moody's also notes that the transaction is exposed to a highly
significant concentration of mezzanine and junior CLO tranches.
Based on the February 2012 trustee report, CLO securities
currently held in the portfolio total about $141 million,
accounting for approximately 88% of the collateral balance.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $161.7 million,
defaulted par of $9.2 million, a weighted average default
probability of 9.63% (implying a WARF of 1970), a weighted average
recovery rate upon default of 28.2%, and a diversity score of 15.
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.
The principal methodologies used in this rating were "Moody's
Approach to Rating SF CDOs" published in November 2010 and
"Moody's Approach to Rating Collateralized Loan Obligations"
published in June 2011.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011. In addition, due to the high
concentration of CLO tranches in the portfolio, CDOROM 2.8 was
used to simulate a default distribution that was then applied as
an input in the cash flow model.
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.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's non-investment-grade rated CLO assets notched up by 2
rating notches:
Class A-1LA: 0
Class A-1LB: 0
Class A-2L: +1
Class A-3L: +1
Class B-1L: +3
Moody's non-investment-grade rated CLO assets notched down by 2
rating notches:
Class A-1LA: 0
Class A-1LB: -1
Class A-2L: -2
Class A-3L: -3
Class B-1L: -2
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) CLO tranches: The deal is exposed to a large concentration of
mezzanine and junior CLO tranches in the underlying portfolio.
These tranches tend to experience volatile returns and extension
risk during periods of market turmoil due to their leveraged
nature and structural subordination. As a result, the deal may be
particularly impacted by the uncertainty in the timing and amount
of cash received as well as the pace of delevering of the
underlying CLO tranches.
3) 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.
TOYS 'R' US: S&P Lowers Rating on Class A-1 Certificates to 'CCC+'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on
Corporate-Backed Trust Certificates Toys 'R' Us Debentures-Backed
Series 2001-31 Trust's $13.09 million class A-1 certificates
to 'CCC+' from 'B'.
"Our rating on the class A-1 certificates is dependent on our
rating on the underlying security, Toys 'R' Us Delaware Inc.'s
8.75% debentures due Sept. 1, 2021 ('CCC+')," S&P said.
"The downgrade reflects the March 23, 2012, lowering of our rating
on the underlying security to 'CCC+' from 'B'. We may take
subsequent rating actions on the notes due to changes in our
rating assigned to the underlying security," 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
WACHOVIA BANK 2006-C24: S&P Cuts Ratings on 2 Cert. Classes 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 2006-C24, a U.S.
commercial mortgage-backed securities (CMBS) transaction. "In
addition, we affirmed our 'AAA (sf)'ratings on five other classes
from the same transaction," S&P said.
"Our rating actions follow our analysis of the transaction
structure and the liquidity available to the trust. The downgrades
primarily reflect credit support erosion that we anticipate will
occur upon the eventual resolution of 13 ($192.2 million, 12.9%)
of the transaction's 14 ($199.5 million, 13.4%) assets that are
with the special servicer. We lowered our ratings on classes F
and G 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
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. We affirmed our 'AAA
(sf)' ratings on the class X-C and X-P interest-only (IO)
certificates based on our current criteria," S&P said.
"Our analysis included a review of the credit characteristics of
all of the remaining assets in the pool. Using servicer-provided
financial information, we calculated an adjusted debt service
coverage (DSC) of 1.32x and a loan-to-value (LTV) ratio of 112.5%.
We further stressed the loans' cash flows under our 'AAA' scenario
to yield a weighted average DSC of 0.83x and an LTV ratio of
158.5%. The implied defaults and loss severity under the 'AAA'
scenario were 87.8% and 43.2%, respectively. All of the DSC and
LTV calculations noted above exclude 13 ($192.2 million, 12.9%) of
the transaction's 14 ($199.5 million, 13.4%) specially serviced
assets. We separately estimated losses for these assets and
included them in the 'AAA' scenario implied default and loss
severity figures," S&P said.
"As of the March 16, 2012, trustee remittance report, the trust
experienced total monthly interest shortfalls of $506,710, due
primarily to appraisal subordinate entitlement reduction (ASER)
amounts ($421,435) and special servicing fees and workout fees
($82,860). The interest shortfalls affected all classes
subordinate to and including class F. We expect that the interest
shortfalls affecting classes F and G will continue for the
foreseeable future, and consequently we lowered our ratings on
these classes to 'D (sf)'," S&P said.
CREDIT CONSIDERATIONS
"As of the March 16, 2012, trustee remittance report, 14 ($199.5
million, 13.4%) assets in the pool were with the special servicer,
LNR Partners LLC (LNR). The reported payment status of these
specially serviced assets is: four ($47.2 million, 3.2%) are real
estate owned (REO); two ($62.2 million, 4.2%) are in foreclosure;
five ($38.2 million, 2.6%) are 90-plus days delinquent; one ($7.3
million, 0.5%) is late, but less than 30 days delinquent; and two
($44.7 million, 3.0%) are current. Appraisal reduction amounts
(ARAs) totaling $98.8 million were in effect for 13 of the
specially serviced assets. Details for the three largest specially
serviced assets are as set forth," S&P said.
"The Woodbridge Hilton Pool loan ($35.2 million, 2.4%), the
largest specially serviced asset, is secured by a property
comprising 198 rooms of lodging space and 124,146 sq. ft. of
office space in Iselin, N.J. The loan was transferred to LNR on
Nov. 22, 2010, and has a reported foreclosure payment status. 2011
financial information was not available for this loan. An ARA of
$10.4 million is in effect against the loan. We anticipate a
moderate loss upon the eventual resolution of the loan," S&P said.
"The Grandeville on Saxon loan ($26.9 million, 1.8%), the second-
largest specially serviced asset, is secured by a 316-unit
multifamily property in Orange City, Fla. The loan was transferred
to LNR on Aug. 23, 2010, and has a reported foreclosure payment
status. Current financial information is not available for this
loan. LNR indicated that it is in discussions with the borrower
while pursuing foreclosure. An ARA of $9.4 million is in effect
against the loan. We anticipate a moderate loss upon the eventual
resolution of the loan," S&P said.
"The Park Plaza II loan ($24.3 million, 1.6%), the third- largest
specially serviced asset, is secured by a 124,220-sq.-ft. office
property in Rockville, Md. The loan's payment status was reported
as being current. The loan was transferred to LNR on July 28,
2011, due to imminent default. LNR stated that it is gathering
information while in discussions with the borrower. The reported
DSC was 1.57x as of December 2010, and the reported occupancy was
86.5% as of August 2011. We anticipate a significant loss upon the
eventual resolution of the loan," S&P said.
"The 11 remaining specially serviced assets have individual
balances that represent less than 1.5% of the total pool balance.
ARAs totaling $79.0 million are in effect against 11 of the
assets. We estimated losses for 10 of the remaining 11 assets,
arriving at a weighted average loss severity of 74.6%. LNR
indicated that the remaining loan was assumed and modified on
Sept. 28, 2011. LNR expects the loan to be returned back to the
master servicer in the near term," S&P said.
TRANSACTION SUMMARY
"As of the March 16, 2012, trustee remittance report, the
transaction had a trust balance of $1.49 billion, down from $2.0
billion at issuance. The pool currently includes 100 loans and
four REO assets. The master servicer, Wells Fargo Commercial
Mortgage Servicing, provided financial information for 92.9%
of the pool (by balance), the majority of which reflected full-
year 2010 or full-year 2011 data," S&P said.
"We calculated a weighted average DSC of 1.37x for the pool based
on the reported figures. Our adjusted DSC and LTV ratio were 1.32x
and 112.5%, which exclude 13 ($192.2 million, 12.9%) of the
transaction's 14 ($199.5 million, 13.4%) specially serviced
assets, for which we separately estimated losses. To date, the
trust has experienced $63.2 million in principal losses related to
10 assets. Twenty-seven loans ($453.8 million, 30.5%), including
three ($241.1 million, 16.2%) of the top 10 loans in the pool, are
on the master servicer's watchlist. Twenty-one ($312.2 million,
21.0%) loans have a reported DSC under 1.10x, 11 ($177.1 million,
11.9%) of which have a reported DSC under 1.00x," S&P said.
SUMMARY OF TOP 10 LOANS
"The top 10 loans have an aggregate outstanding trust balance of
$805.5 million (54.1%). Using servicer-reported numbers, we
calculated a weighted average DSC of 1.29x for the top 10 loans.
Our adjusted DSC and LTV ratio for the top 10 loans were 1.28x and
121.5%. Three ($241.1 million, 16.2%) of the top 10 loans in the
pool are on the master servicer's watchlist," S&P said.
"The 1818 Market Street loan ($120.6 million trust balance, 8.1%,
$130.6 million whole-loan balance), the second-largest loan in the
pool, is secured by a 983,160-sq.-ft. office property in
Philadelphia, Pa. The loan is on the master servicer's watchlist
because the reported DSC declined following the conversion of the
loan's debt service payments from interest-only to amortizing in
April 2011. According to the watchlist comments, for the nine
months ended September 2011, the reported trust balance-based DSC
and whole-loan balance-based DSC were 1.17x and 1.04x (reflecting
six months of amortizing payments). The reported occupancy was
79.2% as of the same period," S&P said.
"The Marriott - Melville, NY loan ($73.2 million, 4.9%), the
fourth-largest loan in the pool, is on the master servicer's
watchlist due to low reported DSC, which was 0.82x as of December
2010. The loan is secured by a 369-room full-service hotel in
Melville, N.Y. The reported occupancy at the property was 67.2% as
of September 2011," S&P said.
"The Marriott Del Mar loan ($47.3 million, 3.2%), the ninth-
largest loan in the pool, is on the master servicer's watchlist
due to low reported DSC, which was 0.78x as of December 2011. The
loan is secured by a 284-room full-service hotel in San Diego,
Calif. The reported occupancy at the property was 71.3% as of
September 2011," S&P said.
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
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C24
Rating Rating
Class To From Credit enhancement (%)
A-M BBB+ (sf) A- (sf) 22.65
A-J BB- (sf) BBB- (sf) 12.90
B B+ (sf) BB+ (sf) 11.72
C B (sf) BB (sf) 10.21
D CCC (sf) BB- (sf) 9.03
E CCC- (sf) B+ (sf) 8.03
F D (sf) CCC- (sf) 6.68
G D (sf) CCC- (sf) 5.34
RATINGS AFFIRMED
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C24
Class Rating Credit enhancement (%)
A-PB AAA (sf) 36.10
A-3 AAA (sf) 36.10
A-1A AAA (sf) 36.10
X-C AAA (sf) N/A
X-P AAA (sf) N/A
N/A - Not applicable.
WESTGATE RESORTS 2012-1: S&P Rates $25MM Class C Notes 'BB'
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Westgate Resorts 2012-1 LLC's $165 million timeshare-
collateralized notes.
The note issuance is an asset-backed securities transaction backed
by deeded vacation ownership interval (timeshare) loans.
The preliminary ratings are based on information as of April 2,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect our opinion of the credit
enhancement available in the form of subordination,
overcollateralization, a reserve account, and available excess
spread; and our view of Westgate Resorts Ltd.'s servicing ability
and experience in the timeshare market," 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
PRELIMINARY RATINGS ASSIGNED
Westgate Resorts 2012-1 LLC
Class Rating Amount
(mil. $)
A A (sf) 110
B BBB (sf) 30
C BB (sf) 25
* S&P Lowers Ratings on 25 Classes From 9 US RMBS Transactions
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 25
classes from nine U.S. residential mortgage-backed securities
(RMBS) transactions and removed 13 of them from CreditWatch with
negative implications. "In addition, we affirmed our ratings on
105 classes from seven of the transactions with lowered ratings
and eight additional transactions and removed 11 of them from
CreditWatch negative," S&P said.
"Due to the nature of this review, we applied the criteria set
forth in 'Methodology For Assessing the Impact of Interest
Shortfalls on U.S. RMBS,' published March 28, 2012, which imposes
a maximum rating threshold on classes that have incurred interest
shortfalls. We also applied the applicable criteria listed in the
Related Criteria And Research section contingent on the RMBS
collateral type," S&P said.
"Over the past several years, interest shortfalls have become more
prevalent within U.S. RMBS. Standard & Poor's attributes this to
several factors that can affect cash flows including: (i) the
reimbursement by servicers of prior advances deemed
nonrecoverable; (ii) the cessation of servicer advances on
delinquent loans; (iii) reimbursements for prior advances when
loans are modified and amounts are capitalized on the loan
balance; and (iv) significant deterioration in credit quality and
the resulting effect on structures that become undercollateralized
and unable to generate sufficient interest to make the applicable
security payments," S&P said.
"In applying the criteria mentioned, we looked to reimbursement
provisions within each payment waterfall for the applicable RMBS
in order to determine if the reimbursement provisions were more
immediate, or delayed. In instances where the RMBS had immediate
reimbursement provisions, we used the length of time a shortfall
remained unpaid and the amount of the shortfall as part of our
analysis. In instances where the RMBS did not have immediate
reimbursement provisions, or delayed reimbursement, we did not
factor into our analysis the length of time a shortfall was
outstanding but rather the number of times a shortfall occurred if
certain conditions were met (interest accrues on the outstanding
amount and our projections show reimbursement)," S&P said.
"While some of the transactions have been experiencing reduced
interest receipts because of out-of-the-money interest-rate swaps
and corresponding interest-only securities, additional interest
cash flow stresses have been attributable to rate reduction loan
modifications and excess loan-level interest losses that have
inhibited cash flows from the interest waterfall," S&P said.
"As a result, certain securities within these transactions have
experienced ongoing interest shortfalls that exceed the tolerance
levels set forth in the applicable criteria," S&P said.
"In some instances, the classes with lowered ratings have not
experienced ongoing interest shortfalls for several months.
However, due to the inability of such transactions to repay prior
shortfalls and the uncertainty about whether they will ever be
repaid, the lowered ratings reflect our view of the current
creditworthiness of each security. If interest shortfalls are
temporary and not expected to recur, Standard & Poor's may raise
the rating once interest shortfalls have been fully reimbursed and
the appropriate credit characteristics are evident," S&P said.
"The 17 RMBS transactions included in our review are backed by
subprime, prime jumbo, and Alternative-A (Alt-A) mortgage loan
collateral. A combination of subordination, overcollateralization,
excess spread, and bond insurance provides credit support for the
affected transactions," S&P said.
"In addition to applying the appropriate rating threshold based on
our interest shortfall criteria, in order to assess the
creditworthiness of each class, we compared our lifetime loss
projections against each class' projected credit support and its
ability to withstand additional credit deterioration. Therefore,
to the extent that interest shortfalls did not contribute to the
lowered rating, the lowered ratings reflect our belief that
projected credit enhancement for the affected classes will be
insufficient to cover the projected losses we applied at the
previous rating levels. Conversely, the rating affirmations
reflect our belief that projected credit enhancement for these
classes will be sufficient to cover our projected losses at these
rating levels," S&P said.
"In order to maintain a 'B (sf)' rating on a class from a prime
jumbo transaction, we assessed whether, in our view, a class could
absorb the remaining base-case loss assumptions we used in our
analysis. In order to maintain a rating higher than 'B (sf)', we
assessed whether a class could withstand losses exceeding the
base-case loss assumptions at a percentage specific to each rating
category, up to 235% of remaining losses for a 'AAA (sf)' rating.
For example, in general, we would assess whether one class could
withstand approximately 127% of our remaining base-case loss
assumption to maintain a 'BB (sf)' rating, while we would assess
whether a different class could withstand approximately 154% of
our remaining base-case loss assumption to maintain a 'BBB (sf)'
rating. Each class that we affirmed at 'AAA (sf)' can, in our
view, withstand approximately 235% of our remaining base-case loss
assumption under our analysis," S&P said.
"In order to maintain a 'B (sf)' rating on a class from an Alt-A
or subprime transaction, we assessed whether, in our view, a class
could absorb the remaining base-case loss assumptions we used in
our analysis. In order to maintain a rating higher than 'B (sf)',
we assessed whether a class could withstand losses exceeding the
base-case loss assumptions at a percentage specific to each rating
category, up to 150% of remaining losses for a 'AAA (sf)' rating.
For example, in general, we would assess whether one class could
withstand approximately 110% of our remaining base-case loss
assumption to maintain a 'BB (sf)' rating, while we would assess
whether a different class could withstand approximately 120% of
our remaining base-case loss assumption to maintain a 'BBB (sf)'
rating. Each class that we affirmed at 'AAA (sf)' can, in our
view, withstand approximately 150% of our remaining base-case loss
assumption under our analysis," S&P said.
"Classes rated 'CCC (sf)' and 'CC (sf)' reflect our assessment
that the credit enhancement for these classes will remain
insufficient to cover projected losses," 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111517.pdf
RATING ACTIONS
American Home Mortgage Investment Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
VI-A 02660TDH3 AAA (sf) AAA (sf)/Watch Neg
Ameriquest Mortgage Securities Inc.
Series 2003-11
Rating
Class CUSIP To From
AV-2 03072SLN3 AA+ (sf) AAA (sf)/Watch Neg
AV-4 03072SMF9 AA+ (sf) AAA (sf)/Watch Neg
AF-5 03072SLT0 AA+ (sf) AAA (sf)/Watch Neg
AF-6 03072SLU7 AA+ (sf) AAA (sf)/Watch Neg
Ameriquest Mortgage Securities Inc.
Series 2004-R8
Rating
Class CUSIP To From
M-2 03072SUA1 BBB (sf) A- (sf)/Watch Neg
Amresco Residential Securities Corp. Mortgage Loan Trust 1997-3
Series 1997-3
Rating
Class CUSIP To From
A-8 03215PCV9 B+ (sf) AAA (sf)
A-9 03215PCW7 B+ (sf) AAA (sf)
M-1A 03215PDD8 AA+ (sf) AAA (sf)/Watch Neg
M-1F 03215PCY3 CCC (sf) A (sf)/Watch Neg
AMRESCO Residential Securities Corp. Mortgage Loan Trust 1998-1
Series 1998-1
Rating
Class CUSIP To From
A-5 03215PDM8 B (sf) AAA (sf)
A-6 03215PDN6 BB (sf) AAA (sf)
M-1F 03215PDP1 CCC (sf) BBB- (sf)
M-1A 03215PDT3 A- (sf) AAA (sf)/Watch Neg
M-2F 03215PDQ9 CC (sf) CCC (sf)
C-BASS Mortgage Loan Asset-Backed Certificates Series 2007-SP2
Series 2007-SP2
Rating
Class CUSIP To From
A-3 1248MHAC6 AAA (sf) AAA (sf)/Watch Neg
CHL Mortgage Pass-Through Trust 2004-7
Series 2004-7
Rating
Class CUSIP To From
5-A-1 12669FXP3 BBB+ (sf) A- (sf)
5-A-3 12669FXR9 BBB+ (sf) A- (sf)
6-A-1 12669FXS7 BB+ (sf) A- (sf)/Watch Neg
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-8
Rating
Class CUSIP To From
D-B-1 22541NZ77 AA+ (sf) AAA (sf)/Watch Neg
First Franklin Mortgage Loan Trust 2005-FF3
Series 2005-FF3
Rating
Class CUSIP To From
M1 86359DBK2 AA+ (sf) AA+ (sf)/Watch Neg
M2 86359DBL0 AA (sf) AA (sf)/Watch Neg
M3 86359DBM8 AA- (sf) AA- (sf)/Watch Neg
First Franklin Mortgage Loan Trust 2005-FF9
Series 2005-FF9
Rating
Class CUSIP To From
A-3 32027NVU2 AAA (sf) AAA (sf)/Watch Neg
GSAMP Trust 2005-WMC2
Series 2005-WMC2
Rating
Class CUSIP To From
A-1A 362341UV9 AA+ (sf) AAA (sf)
A-1B 362341UW7 AA+ (sf) AA+ (sf)/Watch Neg
A-2C 362341UZ0 AA+ (sf) AA+ (sf)/Watch Neg
GSAMP Trust 2006-HE1
Series 2006-HE1
Rating
Class CUSIP To From
A-1 3623414N6 AA+ (sf) AAA (sf)/Watch Neg
A-2C 3623414R7 AA+ (sf) AAA (sf)
A-2D 3623414S5 AA+ (sf) AAA (sf)/Watch Neg
M-1 3623414T3 BB (sf) BB+ (sf)
Long Beach Mortgage Loan Trust 2005-WL1
Series 2005-WL1
Rating
Class CUSIP To From
III-M1 542514MF8 BB (sf) BB (sf)/Watch Neg
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC4
Series 2003-NC4
Rating
Class CUSIP To From
M-1 61746WF54 A (sf) AA+ (sf)/Watch Neg
M-2 61746WF62 CCC (sf) B- (sf)
Renaissance Home Equity Loan Trust 2002-3
Series 2002-3
Rating
Class CUSIP To From
M-1 75970NAB3 BB (sf) BB (sf)/Watch Neg
Salomon Home Equity Loan Trust, Series 2001-1
Series 2001-1
Rating
Class CUSIP To From
MV-2 79550DAJ8 A (sf) A (sf)/Watch Neg
RATINGS AFFIRMED
American Home Mortgage Investment Trust 2005-1
Series 2005-1
Class CUSIP Rating
I-A-1 02660TCZ4 AAA (sf)
I-A-2 02660TDA8 AAA (sf)
I-A-3 02660TEA7 AAA (sf)
II-A-1 02660TDB6 AAA (sf)
II-A-2 02660TDC4 AAA (sf)
IV-A-1 02660TDF7 AAA (sf)
IV-A-2 02660TEB5 AAA (sf)
V-A-1 02660TDG5 AAA (sf)
V-A-2 02660TEC3 AAA (sf)
VII-A-1 02660TDJ9 AAA (sf)
VII-A-2 02660TED1 AAA (sf)
VIII-A-1 02660TDK6 CCC (sf)
VIII-A-2 02660TDL4 CCC (sf)
IX-A 02660TDZ3 CC (sf)
Ameriquest Mortgage Securities Inc.
Series 2003-11
Class CUSIP Rating
AV-1 03072SLM5 AAA (sf)
M-1 03072SLV5 AA- (sf)
M-2 03072SLW3 B- (sf)
M-3B 03072SLZ6 CCC (sf)
M-5 03072SMC6 CC (sf)
M-6 03072SMD4 CC (sf)
M-3 03072SLX1 CCC (sf)
M-4B 03072SMB8 CC (sf)
Ameriquest Mortgage Securities Inc.
Series 2004-R8
Class CUSIP Rating
A-1 03072STU9 AAA (sf)
M-1 03072STZ8 AA+ (sf)
M-3 03072SUB9 CCC (sf)
M-4 03072SUC7 CC (sf)
M-5 03072SUD5 CC (sf)
M-6 03072SUE3 CC (sf)
M-7 03072SUF0 CC (sf)
C-BASS Mortgage Loan Asset-Backed Certificates Series 2007-SP2
Series 2007-SP2
Class CUSIP Rating
A-2 1248MHAB8 AAA (sf)
M-1 1248MHAD4 A (sf)
M-2 1248MHAE2 BB- (sf)
M-3 1248MHAF9 B- (sf)
M-4 1248MHAG7 CCC (sf)
M-5 1248MHAH5 CC (sf)
M-6 1248MHAJ1 CC (sf)
M-7 1248MHAK8 CC (sf)
M-8 1248MHAL6 CC (sf)
M-9 1248MHAM4 CC (sf)
M-10 1248MHAN2 CC (sf)
CHL Mortgage Pass-Through Trust 2004-7
Series 2004-7
Class CUSIP Rating
1-A-1 12669FXH1 A (sf)
2-A-1 12669FXJ7 A (sf)
3-A-1 12669FXK4 A (sf)
4-A-1 12669FXM0 A (sf)
I-M 12669FXV0 B+ (sf)
I-B-1 12669FXW8 CCC (sf)
I-B-2 12669FXX6 CC (sf)
Credit Suisse First Boston Mortgage Securities Corp.
Series 2003-8
Class CUSIP Rating
I-A-1 22541NT58 AAA (sf)
II-A-1 22541NT66 AAA (sf)
III-A-3 22541NT90 AAA (sf)
III-A-4 22541NU23 AAA (sf)
III-A-23 22541NW54 AAA (sf)
III-A-24 22541NW62 AAA (sf)
III-A-25 22541NW70 AAA (sf)
IV-PPA-1 22541NW96 AAA (sf)
V-A-1 22541NX20 AAA (sf)
II-X 22541NY45 AAA (sf)
V-X 22541NY52 AAA (sf)
D-X 22541NY78 AAA (sf)
V-P 22541NY94 AAA (sf)
A-P 22541NZ36 AAA (sf)
C-B-1 22541NZ44 AA- (sf)
C-B-2 22541NZ51 CCC (sf)
D-B-2 22541NZ85 B (sf)
C-B-3 22541NZ69 CCC (sf)
C-B-4 22541N2B4 CC (sf)
C-B-5 22541N2C2 CC (sf)
Equity One Mortgage Pass-Through Trust 2002-5
Series 2002-5
Class CUSIP Rating
M-1 294751BP6 CCC (sf)
M-2 294751BQ4 CCC (sf)
First Franklin Mortgage Loan Trust 2005-FF3
Series 2005-FF3
Class CUSIP Rating
M4 86359DBN6 A+ (sf)
M5 86359DBP1 BBB- (sf)
M6 86359DBQ9 CC (sf)
First Franklin Mortgage Loan Trust 2005-FF9
Series 2005-FF9
Class CUSIP Rating
A1 32027NVS7 A- (sf)
A-4 32027NVV0 BB+ (sf)
M1 32027NVZ1 CC (sf)
GSAMP Trust 2005-WMC2
Series 2005-WMC2
Class CUSIP Rating
M-1 362341VA4 CC (sf)
M-2 362341VB2 CC (sf)
GSAMP Trust 2006-HE1
Series 2006-HE1
Class CUSIP Rating
M-2 3623414U0 CCC (sf)
M-3 3623414V8 CC (sf)
M-4 3623414W6 CC (sf)
Long Beach Mortgage Loan Trust 2005-WL1
Series 2005-WL1
Class CUSIP Rating
I/II-M2 542514LJ1 A- (sf)
I/II-M3 542514LK8 B+ (sf)
I/II-M4 542514LL6 CC (sf)
I/II-M5 542514LM4 CC (sf)
I/II-M6 542514LN2 CC (sf)
III-M2 542514MG6 CCC (sf)
Morgan Stanley Dean Witter Capital I Inc. Trust 2003-NC4
Series 2003-NC4
Class CUSIP Rating
M-3 61746WF70 CCC (sf)
B-2 61746WF96 CC (sf)
B-3 61746WG20 CC (sf)
Renaissance Home Equity Loan Trust 2002-3
Series 2002-3
Class CUSIP Rating
A 75970NAA5 AAA (sf)
M-2 75970NAC1 CC (sf)
Salomon Home Equity Loan Trust, Series 2001-1
Series 2001-1
Class CUSIP Rating
AF-3 79550DAC3 AAA (sf)
MF-1 79550DAD1 B- (sf)
MV-3 79550DAK5 B- (sf)
* S&P Cuts Ratings on Notes from First Marblehead-related Trusts
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 82
classes of notes and certificates and affirmed its ratings on
seven classes of notes from 20 First Marblehead-related private
student loan ABS trusts (14 owner trusts, one master trust, and
five grantor trusts) issued between 2003 and 2007. "At the same
time, we removed these ratings from CreditWatch negative, where we
placed them on Nov. 11, 2011," S&P said.
"The downgrades reflect our view of the higher-than expected
levels of defaults within the collateral pools that have reduced
available credit support, as exhibited by continued declines in
parity levels. Based on the ongoing performance of the First
Marblehead private loan collateral pools, we anticipate further
deterioration in the performance of each transaction that will
exceed our previously revised lifetime gross default expectation
of 30% to 35%. As a result, 's rating actions reflect our revised
views regarding future collateral performance and each trust's
structure. Our analysis incorporated various cash flow stress
scenarios and secondary credit factors such as credit stability,
and payment priority. The affirmations reflect our view of the
relatively short expected remaining life of those classes based on
their remaining balances," S&P said.
Pool Performance
"The performance of the underlying pools of private student loan
collateral for all of the owner trusts and the master trust issued
between 2003 and 2007 continues to deteriorate at an increasing
pace. As of the March 2012 reporting period, these trusts had
collateral pool factors ranging between 52.9% and 89.6%. The
percentage of loans in repayment for these trusts range between
77.6% and 99.7%. Cumulative gross defaults for the trusts
currently range from 20.0% to 30.0%. Lastly, total parity (total
assets divided by total notes) levels for all of the trusts
continues to decline as a result of the poor collateral
performance and now ranges between 81.5% and 89.5%, which has
reduced express spread," S&P said.
Expected Default/Net Loss Projections
"Cumulative defaults continue to increase at a steady pace. At the
time of our last review in 2010, cumulative gross defaults ranged
from 6% to 21%, and pool factors ranged from 62% to 107%, which,
in conjunction with our review of the available information, led
us to expect lifetime gross defaults of 30% to 35% for all of the
trusts. Given the current levels of cumulative gross defaults and
pool factors, we now expect lifetime gross defaults could likely
exceed 40% within the next five years. We have assumed future
stressed recovery rates of approximately 20%, resulting in
expected lifetime net losses of more than 32%," S&P said.
Credit Enhancement
"When each of the owner trusts and the master trust were issued,
an initial deposit was made to the Education Resources Institute's
(TERI's) pledge fund to be used to reimburse the trust for loans
that default. There are no longer any funds remaining in the TERI
pledge funds," S&P said.
"The reserve accounts for each of the trusts are currently at
their respective floors or are amortizing toward their floors.
Also, each transaction is becoming further undercollateralized
because of a high percentage of nonperforming collateral and
compressed excess spread levels. In addition, excess spread levels
have come under pressure for certain trusts that contain auction
rate notes. The coupons on the auction rate notes have been based
on the maximum rate definitions in the transaction indentures
(generally LIBOR plus a rating dependent margin) since the auction
rate market failed, resulting in a high overall cost of funds,"
S&P said.
TABLE 1
Pool
Series Factor Repayment %(i)
2003-1 52.9% 99.7%
2004-1 56.2% 99.5%
2004-2 64.9% 99.2%
2005-1 61.0% 99.2%
2005-2 64.3% 98.8%
2005-3 71.6% 98.6%
2006-1 73.3% 99.0%
2006-2 75.0% 98.7%
2006-3 81.9% 97.3%
2006-4 82.0% 92.2%
2007-1 83.3% 89.5%
2007-2 84.0% 85.3%
2007-3 89.6% 77.6%
2007-4 89.5% 77.8%
NCMSLT I 48.6% 99.2%
(i) As a percent of current collateral balance--does not include
accrued interest.
TABLE 2
Cumulative 12-month
Series Default%(i) Default%(ii)
2003-1 26.8% 2.8%
2004-1 25.2% 3.1%
2004-2 25.6% 4.3%
2005-1 22.4% 3.8%
2005-2 27.5% 5.8%
2005-3 23.4% 6.0%
2006-1 24.8% 6.6%
2006-2 30.0% 8.4%
2006-3 23.3% 7.3%
2006-4 27.6% 8.5%
2007-1 23.8% 7.7%
2007-2 24.9% 8.5%
2007-3 20.0% 8.0%
2007-4 20.0% 7.7%
NCMSLT I 22.0% 2.6%
(i) Calculated since closing as a percent of initial student loans
financed.
(ii) Calculated within the last year as a percent of initial
student loans financed.
TABLE 3
Current Current 12 Months Prior
Senior Mezzanine Total Total
Series Parity(4) Parity(i) Parity(ii) Parity(iii)
2003-1 114.2% 86.1% 89.1%
2004-1 102.2% 82.7% 85.8%
2004-2 110.2% 98.9% 89.5% 92.6%
2005-1 106.7% 96.1% 87.2% 89.7%
2005-2 100.7% 91.5% 83.7% 88.1%
2005-3 103.5% 94.7% 87.2% 91.3%
2006-1 100.2% 92.5% 85.6% 90.3%
2006-2 97.6% 90.8% 82.9% 89.1%
2006-3 106.6% 98.0% 85.2% 90.1%
2006-4 105.0% 96.3% 83.2% 89.4%
2007-1 101.9% 95.6% 83.5% 89.3%
2007-2 105.2% 100.2% 84.1% 90.4%
2007-3 81.5% 81.5% 89.0%
2007-4 81.5% 81.5% 88.8%
NCMSLT I 86.5% 86.5% 91.4%
(i) Defined as total assets/class A notes.
(ii) Defined as total assets/class A and class B notes.
(iii) Defined as total assets/total notes.
Break-Even Cash Flow Modeling Assumptions
"We ran break-even cash flows that maximized cumulative net losses
under various interest rate scenarios and rating stress
assumptions," S&P said. These are some of the major assumptions
S&P modeled:
* Moderately front-loaded five-year default curve;
* Recovery rate of 20% taken evenly over five years;
* Prepayment speeds starting at approximately two constant
prepayment rate (CPR, an annualized prepayment speed stated as
a percent of the current loan balance) and ramping up over 3
three-five years to a maximum rate of 3 CPR to 5 CPR, after
which the applicable maximum rate was held constant;
* Forbearance rates of 10% to 15% for 12 months;
* Stressed interest rate vectors for the various indices; and
* Auctions were failed for the life of each transaction with
auction rate coupons based on a maximum rate definitions in the
transaction indentures.
Break-Even Cash Flow Modeling Results/Rating Actions
"In general, trusts containing auction rate securities yielded the
lowest break-evens due to a compression of excess spread caused by
their higher costs of funds. The higher cost of funds is due to
the increase in the auction rate coupons, which are based on the
respective maximum rate definitions. Currently, the coupons for
the auction rate notes in these First Marblehead-related trusts
are between LIBOR plus 1.50% to LIBOR plus 3.50% depending on the
rating of the security. In addition, this increase in the cost of
funds and the resulting pressure on excess spread has caused
parity to decline as principal collections were used in some
periods to cover interest expenses in our cash flows," S&P said.
"Additionally, the class A notes for trusts with subordinate note
interest triggers were generally able to absorb greater losses
than trusts without subordinate note triggers. When the
subordinate note interest trigger is breached, available funds in
the transaction's payment waterfall are used to make principal
payments to the class A noteholders before paying interest to the
subordinate noteholders. We believe the principal distribution
amount owed to class A noteholders will consume any remaining
available funds, causing interest shortfalls to the subordinate
noteholders. As such, the subordinate note interest triggers offer
additional protection to the class A noteholders," S&P said.
Owner Trust/Grantor Trusts
"The class A notes for all of the owner trusts are able to absorb
cumulative net losses of 0% to 29% before a payment default would
occur. After considering the aforementioned break-evens and
remaining expected net losses, we lowered the rating on most of
the class A notes to a range of 'BB' to 'CCC-' to reflect the
current loss coverage levels," S&P said.
"We affirmed the ratings on seven of the class A notes from owner
trusts associated with current pay senior classes of notes, which
we expect to pay out in the next 12 months," S&P said.
"We downgraded the certificates from the grantor trusts (series
2004-1, 2004-2, 2005-1, 2005-2, and 2005-3) because we lowered our
ratings on the underlying notes from the associated owner trusts.
These transactions are pass-through structures, and the ratings on
the certificates issued out of the related grantor trusts are
linked to the rating of the underlying notes backing the
certificates," S&P said.
"We also reviewed the impact of the nonmonetary events of default
(EODs) on the trusts' payment priorities to determine whether to
treat the subclasses within the class A bonds as a single class of
securities and assign the same rating to each subclass, or
differentiate the ratings within each class A. We published
criteria on March 16, 2010, that provides a global methodology for
assessing structured finance truts that have provisions for
changing the payment priority to subclasses within a specific
class of notes from sequential to pro rata following a nonmonetary
EOD. As outlined in this criteria article, for transactions in
which additional actions are required to change the payment
priority to pro rata from sequential following a nonmonetary EOD,
we evaluate the incentives for the noteholders to take such action
to decide whether or not to differentiate the ratings we assign to
each subclass according to their payment priority. As a result of
our review of the transactions' payment priorities, we have
treated the class A notes from the 2003-1 through 2007-4 trust as
a single class of securities and have assigned the same rating to
each class A note," S&P said.
"The downgrades of the class B notes reflect our view of the
increased likelihood that these notes could experience interest
shortfalls if the trusts breach their class B subordinate note
interest triggers. Given current performance trends, we believe
the trusts could breach these triggers within the next 12 to 18
months and are not likely to receive full principal at legal
final. The series 2003-1, 2004-1, 2007-3, and 2007-4 trusts do not
have subordinate interest triggers. All of the remaining trusts
have class B subordinate note interest triggers with minimum class
A parity and/or maximum cumulative default tests required for
breach (see table)," S&P said.
TABLE 4
Minimum Maximum
Class A Cumulative
Series Parity(i) Defaults(ii)
2003-1 NA NA
2004-1 NA NA
2004-2 100.0% NA
2005-1 100.0% NA
2005-2 100.0% 30.00%
2005-3 100.0% 30.00%
2006-1 100.0% 32.75%
2006-2 100.0% 32.75%
2006-3 100.0% 25.00%
2006-4 100.0% 25.00%
2007-1 100.0% 25.00%
2007-2 100.0% 9.00%
2007-3 NA NA
2007-4 NA NA
NCMSLT I NA NA
(i) Defined as total assets/class A notes.
(ii) Cumulative default % taken since closing as a % of initial
student loans financed.
"We previously lowered our ratings to 'D (sf)' on all of the class
C and class D notes from the owner trusts because the affected
classes are not receiving interest payments because the trusts are
breaching their class C and class D subordinate note interest
triggers," S&P said.
Master Trust
"The master trust transaction (NCMSLT I) contains all class A
notes. Our break-even cash flows assumed a sequential principal
payment structure. The sequential principal payment assumption
yielded break-evens generally around 70% for the current paying
class of notes to as low as 0% for the most junior classes of
notes. Although the break-evens are more robust for the most
senior class A notes, we do not believe that the credit support of
the senior most class A notes with the more robust break-evens can
support ratings higher than 'A' over the long term. This belief
incorporates our view of rating stability as a secondary credit
factor in determining creditworthiness in our rating analysis.
That is, we believe that the potential level of deterioration in
performance related to this trust over the next one-three years
could be high enough to warrant lowered ratings below the maximum
levels in the related time periods for the 'AAA' and 'AA' rating
categories, according to our ratings stability criteria. As a
result, we affirmed our 'A- (sf)' ratings on the most senior class
A notes (AR-8) based on our view of the relatively short remaining
life of these notes (based on the remaining class balances) and
lowered our ratings on the remaining class A notes to 'BBB (sf)'
and 'CCC (sf)' based on their break-even levels and remaining
expected net losses," S&P said.
"According to the transaction documents, the occurrence of
nonmonetary EODs in the master trust do not automatically shift
the payment priority of the class A notes, which currently pay
principal sequentially. That is, additional actions, including
acceleration, are required to shift the payment structure to pro
rata after the occurrence of a nonmonetary EOD. After reviewing
the additional actions required to change the payment priority to
pro rata, we believe it is unlikely at this time that these
actions would occur. As such, we have assumed that all class A
notes will continue to receive principal payments on a sequential
basis. As a result, we have treated each class A note issued out
of this master trust as a separate class of securities in our
analysis and have differentiated the ratings for each class based
on their individual cumulative net loss coverage," S&P said.
"Standard & Poor's will continue to monitor the ongoing
performance of the underlying student loan receivables backing
these trusts relative to our revised cumulative default
expectations and available credit enhancement," 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 AND REMOVED FROM CREDITWATCH NEGATIVE
National Collegiate Student Loan Trust 2003-1
Rating
Class To From
A-7 CCC(sf) B-(sf)/Watch Neg
B-1 CC(sf) CCC(sf)/Watch Neg
B-2 CC(sf) CCC(sf)/Watch Neg
National Collegiate Student Loan Trust 2004-1
Rating
Class To From
A-2 CCC(sf) B-(sf)/Watch Neg
A-3 CCC(sf) B-(sf)/Watch Neg
A-4 CCC(sf) B-(sf)/Watch Neg
B-1 ARC CC(sf) CCC(sf)/Watch Neg
B-2 ARC CC(sf) CCC(sf)/Watch Neg
National Collegiate Student Loan Trust 2004-2
Rating
Class To From
A-3 BB-(sf) BBB(sf)/Watch Neg
A-4 BB-(sf) BBB(sf)/Watch Neg
B CCC(sf) B(sf)/Watch Neg
National Collegiate Student Loan Trust 2005-1
Rating
Class To From
A-3 B-(sf) BB(sf)/Watch Neg
A-4 B-(sf) BB(sf)/Watch Neg
B CCC(sf) B-(sf)/Watch Neg
National Collegiate Student Loan Trust 2005-2
Rating
Class To From
A-3 B-(sf) BBB(sf)/Watch Neg
A-4 B-(sf) BBB(sf)/Watch Neg
B CC(sf) B(sf)/Watch Neg
National Collegiate Student Loan Trust 2005-3
Rating
Class To From
A-3 B-(sf) BBB(sf)/Watch Neg
A-4 B-(sf) BBB(sf)/Watch Neg
B CCC(sf) B(sf)/Watch Neg
National Collegiate Student Loan Trust 2006-1
Rating
Class To From
A-4 B-(sf) BBB(sf)/Watch Neg
A-5 B-(sf) BBB(sf)/Watch Neg
B CCC(sf) B(sf)/Watch Neg
National Collegiate Student Loan Trust 2006-2
Rating
Class To From
A-2 B-(sf) BBB(sf)/Watch Neg
A-3 B-(sf) BBB(sf)/Watch Neg
A-4 B-(sf) BBB(sf)/Watch Neg
B CC(sf) B(sf)/Watch Neg
National Collegiate Student Loan Trust 2006-3
Rating
Class To From
A-2 BB-(sf) BBB(sf)/Watch Neg
A-3 BB-(sf) BBB(sf)/Watch Neg
A-4 BB-(sf) BBB(sf)/Watch Neg
A-5 BB-(sf) BBB(sf)/Watch Neg
B CCC(sf) BB(sf)/Watch Neg
National Collegiate Student Loan Trust 2006-4
Rating
Class To From
A-2 BB-(sf) BBB(sf)/Watch Neg
A-3 BB-(sf) BBB(sf)/Watch Neg
A-4 BB-(sf) BBB(sf)/Watch Neg
B CC(sf) BB(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-1
Rating
Class To From
A-2 B(sf) BBB(sf)/Watch Neg
A-3 B(sf) BBB(sf)/Watch Neg
A-4 B(sf) BBB(sf)/Watch Neg
B CC(sf) B(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-2
Rating
Class To From
A-2 B(sf) BBB(sf)/Watch Neg
A-3 B(sf) BBB(sf)/Watch Neg
A-4 B(sf) BBB(sf)/Watch Neg
B CC(sf) BB(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-3
Rating
Class To From
A-2-AR-3 CCC(sf) B-(sf)/Watch Neg
A-2-AR-4 CCC(sf) B-(sf)/Watch Neg
A-3-L CCC(sf) B-(sf)/Watch Neg
A-3-AR-1 CCC(sf) B-(sf)/Watch Neg
A-3-AR-2 CCC(sf) B-(sf)/Watch Neg
A-3-AR-3 CCC(sf) B-(sf)/Watch Neg
A-3-AR-4 CCC(sf) B-(sf)/Watch Neg
A-3-AR-5 CCC(sf) B-(sf)/Watch Neg
A-3-AR-6 CCC(sf) B-(sf)/Watch Neg
A-3-AR-7 CCC(sf) B-(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-4
Rating
Class To From
A-2-AR-3 CCC(sf) B-(sf)/Watch Neg
A-2-AR-4 CCC(sf) B-(sf)/Watch Neg
A-3-L CCC(sf) B-(sf)/Watch Neg
A-3-AR-1 CCC(sf) B-(sf)/Watch Neg
A-3-AR-2 CCC(sf) B-(sf)/Watch Neg
A-3-AR-3 CCC(sf) B-(sf)/Watch Neg
A-3-AR-4 CCC(sf) B-(sf)/Watch Neg
A-3-AR-5 CCC(sf) B-(sf)/Watch Neg
A-3-AR-6 CCC(sf) B-(sf)/Watch Neg
A-3-AR-7 CCC(sf) B-(sf)/Watch Neg
National Collegiate Master Student Loan Trust I
Rating
Class To From
2002-AR-9 BBB(sf) BBB+(sf)/Watch Neg
2002-AR-10 BB-(sf) BBB(sf)/Watch Neg
2002-AR-11 B+(sf) BB-(sf)/Watch Neg
2002-AR-12 CCC-(sf) B (sf)/Watch Neg
2002-AR-13 CCC-(sf) CCC+(sf)/Watch Neg
2002-AR-14 CCC-(sf) CCC(sf)/Watch Neg
2002-AR-15 CCC-(sf) CCC(sf)/Watch Neg
2002-AR-16 CCC-(sf) CCC(sf)/Watch Neg
NCF Grantor Trust 2004-1-GT1
Rating
Class To From
A-1 CCC(sf) B-(sf)/Watch Neg
A-2 CCC(sf) B-(sf)/Watch Neg
NCF Grantor Trust 2004-2
Rating
Class To From
A-5-1 BB-(sf) BBB(sf)/Watch Neg
NCF Grantor Trust 2005-1
Rating
Class To From
A-5-1 B-(sf) BB(sf)/Watch Neg
A-5-2 B-(sf) BB(sf)/Watch Neg
NCF Grantor Trust 2005-2
Rating
Class To From
A-5-1 B-(sf) BBB(sf)/Watch Neg
A-5-2 B-(sf) BBB(sf)/Watch Neg
NCF Grantor Trust 2005-3
Rating
Class To From
A-5-1 B-(sf) BBB(sf)/Watch Neg
A-5-2 B-(sf) BBB(sf)/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
National Collegiate Student Loan Trust 2003-1
Rating
Class To From
A-6 B-(sf) B-(sf)/Watch Neg
National Collegiate Student Loan Trust 2005-3
Rating
Class To From
A-2 BBB(sf) BBB(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-1
Rating
Class To From
A-1 BBB(sf) BBB(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-2
Rating
Class To From
A-1 BBB(sf) BBB(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-3
Rating
Class To From
A-2-AR-2 B-(sf) B-(sf)/Watch Neg
National Collegiate Student Loan Trust 2007-4
Rating
Class To From
A-2-AR-2 B-(sf) B-(sf)/Watch Neg
National Collegiate Master Student Loan Trust I
Rating
Class To From
2002-AR-8 A-(sf) A-(sf)/Watch Neg
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
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*********
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