/raid1/www/Hosts/bankrupt/TCR_Public/120603.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, June 3, 2012, Vol. 16, No. 153
Headlines
AMMC CLO X: S&P Gives 'BB-' Rating on $7-Mil. Class F Notes
ANDERSON MEZZANINE: S&P Cuts Rating on Class S Notes to 'CCC-'
ANTHRACITE 2004-HY1: Fitch Affirms Junk Rating on Six Note Classes
ANTHRACITE 2006-HY3: Moody's Cuts Ratings on 4 Note Classes to 'C'
AVERY STREET: S&P Affirms 'CCC+' Rating on Class E Notes
BANC OF AMERICA: Moody's Affirms Rating on Class X Certs. at Caa3
BANC OF AMERICA: Moody's Raises Rating on Class J Certs. to Caa1
BAYVIEW COMMERCIAL: Moody's Cuts Ratings on Small Business ABS
BLUEMOUNTAIN CLO 2012-1: S&P Gives 'BB' Rating on $17.4MM E Notes
CIT CLO I: S&P Raises Rating on Class E Notes to 'BB-'; Off Watch
CIT HOME: Moody's Confirms 'Ca1' Rating on Cl. M-2 Tranche
COMM 2012-CCRE1: Fitch Assigns 'Bsf' Rating on $15MM Certificates
CONSECO FINANCE: Moody's Confirms 'Caa1' Rating on Cl. M-2 Notes
CONTINENTAL AIR: Moody's Keeps Ba2 Rating on Series 2012-B Certs.
CREDIT SUISSE 2001-CK1: Pay Down Prompts Fitch to Upgrade Ratings
DIAMOND LAKE: S&P Raises Rating on Class B-2L Notes to 'BB-'
DISTRIBUTION FINANCIAL: Fitch Affirms Junk Rating on Class D Notes
ECP CLO 2012-4: S&P Gives 'BB' Rating on Class D Deferrable Notes
EMBARCADERO AIRCRAFT 2000-1: S&P Cuts Rating on A-1 Notes to 'CC'
EMERSON PLACE: S&P Affirms 'CCC+' Rating on Class E Notes
GALLATIN CLO III: S&P Raises Rating on Class B-2L Notes to 'B+'
GE CAPITAL: Moody's Affirms Rating on Class X Certs. at 'Caa3'
GE COMMERCIAL 2006-C1: Fitch Downgrades Rating on 12 Note Classes
GMAC COMMERCIAL 2001-C2: Fitch Lowers $10.8MM Secs. Rating to CCC
GREENWICH CAPITAL: Moody's Cuts Rating on Class N Certs. to 'C'
GSAA HOME: Moody's Cuts Rating on Class A4 Certificates to 'C'
HARCH CLO III: S&P Raises Rating on Class D Notes From 'BB+'
HERTZ VEHICLE: Cap Amendment No Impact on Moody's ABS Ratings
HUNTINGTON CDO: S&P Lowers Ratings on 2 Classes of Notes to 'CCC-'
JPMORGAN 1999-C7: Fitch Affirms 'BB-sf' Rating on Class H Certs.
JPMORGAN 2004-PNC1: S&P Affirms 'CCC-' Rating on Class G Certs.
LB COMMERCIAL 2007-C3: Moody's Corrects April 26 Ratings Release
LB-UBS COMMERCIAL 2001-C2: Fitch Affirms 'D' Ratings on 4 Notes
LCM II: Moody's Upgrades Rating on Class E-1 Notes from 'Ba1'
LIME STREET CLO: S&P Raises Rating on Class E Notes to 'B+'
LONG BEACH 2002-1: Moody's Raises Rating on Cl. M2 Tranche to Ca
MASTR RESECURITIZATION: Moody's Reviews 'Ca' Rating on N-2 Notes
MILLERTON ABS: S&P Lowers Rating on Class A-1 Notes to 'CC(sf)'
MORGAN STANLEY 2003-IQ5: Fitch Keeps Ratings on 13 Cert. Classes
MORGAN STANLEY 2007-IQ14: Moody's Retains 'C' Ratings on 8 Certs.
NAVIGATOR CDO: Moody's Lifts Rating on Class C-2 Notes From 'Ba1'
PACIFIC COAST CDO: S&P Affirms 'CCC+' Rating on Class A Notes
PANGAEA CLO 2007-1: S&P Lowers Rating on Class D Notes to 'CCC+'
RALI SERIES: Moody's Downgrades Ratings on Two Tranches to 'C'
RALI SERIES: Moody's Downgrades Ratings on 26 Tranches to 'Ca'
RAMP SERIES: Moody's Cuts Ratings on 10 Tranches of Subprime RMBS
ROSEDALE CLO II: S&P Lowers Rating on Class E Notes to 'D(sf)'
SARGAS CLO I: S&P Affirms 'BB' Rating on Class D Notes
SASCO 2003-AL2: Moody's Lowers Rating on Class B3 Tranche to 'C'
SEAWALL SPC: S&P Withdraws Ratings on Series 2008 CDO Notes
STRUCTURED ASSET: Moody's Raises Rating on Cl. M5 Tranche to 'Ca'
SUGAR CREEK: Moody's Assigns 'Ba2' Rating on $10.25MM Cl. E Notes
SUGAR CREEK: S&P Gives 'BB+' Rating on $10.25MM Class E Notes
TABERNA PREFERRED IX: S&P Lowers Ratings on 2 Classes to 'CCC-'
TRIBUNE LTD: S&P Lowers Rating on Class Aspen-B2 Notes to 'D'
TRIMARAN CLO IV: S&P Raises Rating on Class B-2L Notes to 'B-'
TRITON AVIATION: S&P Affirms 'B-(sf)' Rating on Class A-1 Notes
UNISON GROUND: Fitch Affirms 'BBsf' Rating on $41.5MM Notes
WACHOVIA BANK 2005-C16: Moody's Affirms 'Ca' Rating on O Certs.
WACHOVIA BANK 2007-WHALE8: S&P Withdraws 'D' Rating on AP-4 Certs.
WFRBS 2012-C7: Fitch Issues Presale Report on Several Certificates
* Fitch Takes Rating Actions on 30 SF CDOs
* Moody's Takes Rating Actions on 2005-08 US Prime Jumbo RMBS
* Moody's Takes Rating Actions on 2005-08 US Option ARM RMBS
* Moody's Takes Rating Actions on 2005-08 US Subprime RMBS
* Moody's Takes Rating Actions on 2005-10 U.S. Alt-A RMBS
* Moody's Takes Ratings Actions on $318 Million Subprime RMBS
* Moody's Says US CMBS Loss Severity Declines Slightly in 1st Qtr
* S&P Lowers Ratings on 414 Classes From 267 US RMBS Transactions
* S&P Lowers Ratings on 30 Classes From 12 US RMBS Transactions
*********
AMMC CLO X: S&P Gives 'BB-' Rating on $7-Mil. Class F Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on AMMC
CLO X Ltd./AMMC CLO X Corp.'s $372.1 million floating-rate notes
following the transaction's effective date as of April 12, 2012.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral.
"On the closing date, the collateral manager typically covenants
to purchase the remaining collateral within the guidelines
specified in the transaction documents to reach the target level
of portfolio collateral. Typically, the CLO transaction documents
specify a date by which the targeted level of portfolio collateral
must be reached. The 'effective date' for a CLO transaction is
usually the earlier of the date on which the transaction acquires
the target level of portfolio collateral, or the date defined in
the transaction documents. Most transaction documents contain
provisions directing the trustee to request the rating agencies
that have issued ratings upon closing to affirm the ratings issued
on the closing date after reviewing the effective date portfolio
(typically referred to as an 'effective date rating
affirmation')," S&P said.
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio," S&P said.
"Our analysis relies on the use of CDO Evaluator to estimate a
scenario default rate at each rating level based on the effective
date portfolio, full cash flow modeling to determine the
appropriate percentile break-even default rate at each rating
level, the application of our supplemental tests, and the
analytical judgment of a rating committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111635.pdf
RATINGS AFFIRMED
AMMC CLO X Ltd./AMMC CLO X Corp.
Class Rating Amount
(mil. $)
A AAA (sf) 267.6
B AA (sf) 42.0
C A (sf) 22.0
D BBB (sf) 15.9
E BB+ (sf) 17.6
F BB- (sf) 7.0
Subordinated notes NR 37.9
NR-Not rated.
ANDERSON MEZZANINE: S&P Cuts Rating on Class S Notes to 'CCC-'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
S notes from Anderson Mezzanine Funding 2007-1 Ltd., a
collateralized debt obligation of asset-backed securities
transaction. "At the same time, we removed the rating on the class
S notes from CreditWatch with negative implications, where we
placed it on Feb. 10, 2012," S&P said.
"We downgraded the class S notes to 'CCC- (sf)' due to credit
deterioration. We noted that all the underlying assets were
defaulted according to the most recent trustee report as of May 8,
2012," S&P said.
"The class S notes pay $34,583 as per a schedule on each payment
date until the July 2013 maturity date. On the May 14, 2012,
current payment date, the notes only paid $14,097.61 of principal,
which is less than the expected scheduled payment. Any scheduled
principal payment that is missed can be paid back on following
payment dates," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as we deem necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTION
Anderson Mezzanine Funding 2007-1 Ltd.
Rating
Class To From
S CCC- (sf) B (sf)/Watch Neg
OTHER RATINGS OUTSTANDING
Anderson Mezzanine Funding 2007-1 Ltd.
Class Rating
A-1a D (sf)
A-1b D (sf)
A-2 D (sf)
B D (sf)
C D (sf)
D D (sf)
ANTHRACITE 2004-HY1: Fitch Affirms Junk Rating on Six Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed six classes issued by Anthracite 2004-
HY1 Ltd./Corp (Anthracite 2004-HY1).
Since Fitch's last rating action in June 2011, approximately 6.3%
of the collateral has been downgraded. Currently, 100% of the
portfolio has a Fitch derived rating below investment grade and
87.2% has a rating in the 'CCC' category and below. As of the
March 31, 2012 trustee report, approximately 77.4% of the
underlying collateral is experiencing interest shortfalls. Since
Fitch's last rating action, the portfolio has realized losses of
approximately $56.2 million.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. The Rating Loss Rates (RLR)
were then compared to the credit enhancement of the classes.
Fitch also analyzed the structure's sensitivity to the assets that
are distressed, experiencing interest shortfalls, and those with
near-term maturities.
For the class A through F notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class A notes have been affirmed at 'CCCsf', indicating that
default is possible. Similarly, the class B notes have been
affirmed at 'CCsf', indicating that default is probable, and the
class C through F notes at 'Csf', indicating that default is
inevitable. Fitch does not assign Outlooks to classes rated 'CCC'
and below.
Anthracite 2004-HY1 is a commercial real estate collateralized
debt obligation (CRE CDO) that closed on Nov. 9, 2004. The
collateral is composed of 15 assets from eight obligors of which
all are commercial mortgage backed securities (CMBS) from the 1998
through 2004 vintages.
Fitch has affirmed the following classes as indicated:
-- $23,791,000 class A notes at 'CCCsf';
-- $28,117,000 class B notes at 'CCsf';
-- $21,628,000 class C notes at 'Csf';
-- $19,898,000 class D notes at 'Csf';
-- $33,048,000 class E notes at 'Csf';
-- $17,995,000 class F notes at 'Csf'.
ANTHRACITE 2006-HY3: Moody's Cuts Ratings on 4 Note Classes to 'C'
------------------------------------------------------------------
Moody's has affirmed six and downgraded four classes of Notes
issued by Anthracite CRE CDO 2006-HY3. The affirmations are due to
key transaction parameters performing within levels commensurate
with the existing ratings levels. The downgrades are due to
additional under-collaterization and expectation of sustained
interest shortfalls to certain classes since last review. 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, Affirmed at Caa3 (sf); previously on Jun 3, 2011 Downgraded
to Caa3 (sf)
Cl. B-FL, Affirmed at Ca (sf); previously on Jun 4, 2010
Downgraded to Ca (sf)
Cl. B-FX, Affirmed at Ca (sf); previously on Jun 4, 2010
Downgraded to Ca (sf)
Cl. C-FL, Affirmed at Ca (sf); previously on Jun 4, 2010
Downgraded to Ca (sf)
Cl. C-FX, Affirmed at Ca (sf); previously on Jun 4, 2010
Downgraded to Ca (sf)
Cl. D, Affirmed at Ca (sf); previously on Jun 4, 2010 Downgraded
to Ca (sf)
Cl. E-FL, Downgraded to C (sf); previously on Jun 4, 2010
Downgraded to Ca (sf)
Cl. E-FX, Downgraded to C (sf); previously on Jun 4, 2010
Downgraded to Ca (sf)
Cl. F, Downgraded to C (sf); previously on Jun 4, 2010 Downgraded
to Ca (sf)
Cl. G, Downgraded to C (sf); previously on Jun 4, 2010 Downgraded
to Ca (sf)
Ratings Rationale
Anthracite CRE CDO 2006-HY3, Ltd. is a static CRE CDO transaction
backed by a portfolio commercial mortgage backed securities (CMBS)
(64.3% of the pool balance), B-note debt (9.8%), and Mezzanine
loan debt (25.9%). As of the April 17, 2012 Trustee report, the
aggregate Note balance of the transaction, including Preferred
Shares, has decreased to $546.1 million from $645.4 million at
issuance, with the paydown directed to Class A to Class G Notes.
The paydown was mainly due to principal repayment of underlying B-
note and Mezzanine loans collateral. Also, as of the April 17,
2012 Trustee report, the current par balance of the collateral
assets is $265.3 million, which represents a 43.5% under-
collateralization to the transaction, compared to 20.0% under-
collateralization at last review. In addition, Class E-FL, Class
E-FX, Class F, and Class G did not received full interest payments
as of the April 17, 2012 payment cycle.
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), 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 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 of7,678 compared to 8,284 at last review. The
distribution of current ratings and credit estimates is as
follows: Ba1-Ba3 (3.5% compared to 5.5% at last review), B1-B3
(0.9% compared to 0.5% at last review), and Caa1-Ca/C (95.7%
compared to 94.0% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.7 years compared
to 6.0 at last review. The current WAL assumption is based on the
current performing collateral pool and assumption about
extensions, if any.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Due to the speculative-grade
collateral, Moody's modeled a fixed 0.4% WARR compared to 0.3% at
last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100.0%, the same as 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) v3.2.1.1, 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. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. However, in
light of the performance indicators noted above, Moody's believes
that it is unlikely that the ratings announced on May 31 are
sensitive to further change, especially in the upward direction.
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 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
AVERY STREET: S&P Affirms 'CCC+' Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of notes from Avery Street CLO Ltd., a collateralized loan
obligation (CLO) transaction backed by corporate loans. "Feingold
O'Keeffe Capital LLC manages the transaction. At the same time, we
affirmed our ratings on four other classes from the transaction,"
S&P said.
"This transaction is currently in its amortization phase and the
reinvestment period ended in March 2012. The upgrades reflect the
improvement in the credit quality of the transaction's portfolio
since our February 2010 rating actions. According to the May 2012
trustee report, the amount of defaulted assets within the asset
portfolio decreased to $6.70 million from $8.26 million reported
in the January 2010 trustee report, which we used for our February
2010 actions. Over the same time period, the amount of 'CCC' rated
assets decreased to $13.39 million from $15.05 million," S&P said.
The affirmations reflect credit support commensurate with the
current rating levels.
"Our rating on the class E notes reflects the application of the
largest obligor default test, a supplemental stress test we
introduced as part of our September 2009 corporate criteria
update," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Avery Street CLO Ltd.
Rating
Class To From
B Fixed A+ (sf) A- (sf)
B Floating A+ (sf) A- (sf)
C BBB (sf) BBB- (sf)
RATINGS AFFIRMED
Avery Street CLO Ltd.
Class Rating
A AA+ (sf)
A-2 AA+ (sf)
D BB (sf)
E CCC+ (sf)
BANC OF AMERICA: Moody's Affirms Rating on Class X Certs. at Caa3
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed three classes of Banc of America Commercial Mortgage Inc.
Commercial Mortgage Pass-Through Certificates, Series 2000-1 as
follows:
Cl. H, Upgraded to B2 (sf); previously on Jun 2, 2011 Upgraded to
Caa2 (sf)
Cl. K, Upgraded to Caa2 (sf); previously on Oct 21, 2010
Downgraded to C (sf)
Cl. L, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale
The upgrades are due to increased credit support as the result of
paydowns from amortization and loan payoffs . The affirmations of
the principal classes are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed DSCR and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings.
The rating of the IO Class, Class X, is consistent with the
expected credit performance of its reference classes and thus is
affirmed.
Moody's rating action reflects a cumulative base expected loss of
38.0% ($13.6 million) of the current balance compared to 29.5 %(
$20.0 million) at last review. Moody's provides a current list of
base expected losses for conduit and fusion CMBS transactions on
moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
The conduit model includes an IO calculator, which uses 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 the IO type corresponding to an IO type as
defined in the published methodology. The calculator then returns
a calculated IO rating based on both a target and mid-point. For
example, a target rating basis for a Baa3 (sf) rating is a 610
rating factor. The midpoint rating basis for a Baa3 (sf) rating is
775 (i.e. the simple average of a Baa3 (sf) rating factor of 610
and a Ba1 (sf) rating factor of 940). If the calculated IO rating
factor is 700, the CMBS IO calculator version 1.0 would provide
both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by
the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5 compared to 6 at last review.
In cases where the Herf falls below 20, Moody's employs the large
loan/single borrower methodology. This methodology uses the excel-
based Large Loan Model v 8.4. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, property type, and sponsorship. These aggregated
proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and
correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 2, 2011.
DEAL PERFORMANCE
As of the May 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $35.9
million from $771.2 million at securitization. The Certificates
are collateralized by ten mortgage loans ranging in size from less
than 1% to 30% of the pool. One loan, representing 9% of the pool,
has defeased and is secured by U.S. government securities. There
are no loans with investment grade credit estimates.
One loan, representing 6% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of Moody's
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Eighteen loans have been liquidated from the pool since
securitization resulting in $23.5 million loss (average loss
severity of 22%). Two loans, representing 55% of the pool, are
currently in special servicing. The largest specially serviced
loan is the 350 Route 3 West Loan ($10.6 million -- 29.6% of the
pool), which is secured by a 151 room full-service hotel located
in Secaucus, New Jersey. The property has changed flags a number
of times since securitization and is currently operating under a
La Quinta flag. The loan was transferred to special servicing in
May 2009 due to delinquency and became Real Estate Owned (REO) in
September 2010. The collateral is currently listed for sale with
Hunter Realty.
The second largest specially serviced loan is the Lahser Medical
Complex Buildings II, III & Office Loan ($9.1 million -- 25.3% of
the pool), which is secured by three medical office buildings,
comprising approximately 80,000 square feet. The properties are
located in Southfield, Michigan. The property was 54% leased as of
March 2012; the same as at last review. The loan transferred into
special servicing in September 2008 due to imminent maturity
default and became REO in August 2009. The collateral is currently
listed for sale with Friedman Real Estate Group, Inc.
Moody's has assumed an aggregate expected loss of $12.9 million
(65% expected loss on average) for the specially serviced loans.
Moody's has assumed a high default probability for one poorly
performing loan representing 6% of the pool and has estimated a
$600,000 loss (25% expected loss based on a 50% probability
default) from this troubled loan.
Moody's was provided with full year 2010 and partial year 2011
operating results for 100% and 58% of the performing pool
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 68% compared to 63% at last
review. Moody's net cash flow reflects a weighted average haircut
of 12.7% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.25X and 2.27X, respectively, compared to
1.69X and 2.54X, respectively, at last full review. Moody's actual
DSCR is based on Moody's net cash flow (NCF) and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stressed rate applied to the loan balance.
The top three performing loans represent 23% of the pool balance.
The largest loan is the Huntersville Square Loan ($3.1 million --
8.7% of the pool), which is secured by an 85,000 square foot
retail center located in Huntersville, North Carolina. The largest
tenants are Food Lion (48% of the Net Rentable Area (NRA); lease
expiration October 2025) and Tuesday Morning Inc. (11% of the NRA;
lease expiration July 2013). As of December 2011, the property was
94% leased compared to 98% at last review. Performance has
declined due to the decrease in occupancy. Moody's LTV and
stressed DSCR are 54% and 1.89X, respectively, compared to 48% and
2.15X at last review.
The second largest loan is the Bainbridge Market Place Loan ($2.8
million -- 7.9% of the pool), which is secured by a 46,000 square
foot retail center located in Chesapeake, Virginia. As of December
2011, the property was 91% leased. The two largest tenants are
Food Lion (82% of the NRA; lease expiration February 2019) and
Check into Cash (3% of the NRA; lease expiration September 2012).
Moody's LTV and stressed DSCR are 80% and 1.36X, compared to 83%
and 1.30X at last review.
The third largest loan is the Barnes and Noble/Chili's Land Lease
Loan ($2.2 million -- 6.2% of the pool), which is secured by a
47,000 square foot retail property located in Burlington,
Massachusetts. Barnes and Noble (84% of the NRA; lease expiration
May 2018) and Chili's Bar and Grill (16% of the NRA; lease
expiration July 2014) occupy the property. The loan is currently
on the watchlist due to a decline in performance as the result of
increased expenses. Moody's LTV and stressed DSCR are 145% and
0.73X, respectively, compared to 103% and 1.03X at last review.
BANC OF AMERICA: Moody's Raises Rating on Class J Certs. to Caa1
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed four CMBS classes of Banc of America Commercial Mortgage
Inc. Commercial Mortgage Pass-Through Certificates, Series 2001-1
as follows:
Cl. H, Upgraded to B1 (sf); previously on Sep 16, 2010 Downgraded
to B2 (sf)
Cl. J, Upgraded to Caa1 (sf); previously on Sep 16, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed at Ca (sf); previously on Sep 16, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale
The upgrades of Class J and K are due to a significant increase in
subordination due to amortization and loan payoffs. Based on
Moody's current base expected loss, the credit enhancement levels
for the affirmed classes are sufficient to maintain their current
ratings. The rating of the IO class, Class X, is affirmed because
its rating is consistent with the credit profile of its referenced
classes.
Moody's rating action reflects a cumulative base expected loss of
approximately 47% of the current deal balance. At last review,
Moody's cumulative base expected loss was approximately 30%. On a
percentage basis the base expected loss has increased
significantly due to the 35% paydown since last review. However,
on a numerical basis, the base expected loss has only increased by
$721,400. Moody's provides a current list of base expected losses
for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the underlying rating level, is
incorporated for loans with similar credit estimates in the same
transaction.
The conduit model includes an IO calculator, which uses 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 as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 4, compared to a Herf of 7 at Moody's prior
review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.2 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 9, 2011.
DEAL PERFORMANCE
As of the May 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $45 million
from $948 million at securitization. The Certificates are
collateralized by seven mortgage loans ranging in size from less
than 3% to 31% of the pool. The pool contains no defeased loans
and no loans with investment-grade credit estimates. There are no
loans on the master servicer's watchlist.
Fifty-two loans have liquidated from the pool, resulting in an
aggregate realized loss of $41 million (16% average loan loss
severity). Currently, six loans, representing 97% of the pool, are
in special servicing. The largest specially-serviced loan is the
Waretech Industrial Park Loan ($14 million -- 31% of the pool).
The loan is secured by a 700,000 square foot industrial facility
located in Grand Blanc, Michigan, that was formerly occupied by
General Motors. The loan transferred to special servicing in 2009
due to imminent monetary default. The servicer foreclosed on the
loan, and the loan became REO in May 2011. The property has seen
recent leasing activity and is now 92% leased. The property is
currently being marketed for sale.
The second largest loan in special servicing is the Freeport
Office Center IV Loan ($12 million -- 27% of the pool). The loan
is secured by a 160,000 square foot Class A office complex located
in Irving, Texas near the Dallas-Fort Worth airport. The property
had been 100% leased to Ford Motor Company until lease maturity in
2010. Ford subsequently downsized to approximately 40% of net
rentable area (NRA). A new lease was signed by Metropolitan Life
Insurance Company for 10% of the property NRA, bringing building
occupancy up to 50%. The remaining space is being marketed for
lease by Cassidy Turley. The servicer is simultaneously pursuing
foreclosure and possible loan workout options.
The third largest loan in special servicing is the Willows
Corporate Center Loan ($9 million -- 20% of the pool), which is
secured by a 50,000 square foot office property in Redmond,
Washington, a northern suburb of Seattle. American Telephone &
Telegraph had occupied 100% of the property until lease expiration
in February 2011. The property has been vacant since AT&T's
departure. The property is being marketed for sale.
The remaining three specially serviced loans are secured by a mix
of commercial and mobile home property types. Moody's estimates an
aggregate $21 million loss (49% expectected loss overall) for all
specially serviced loans.
The sole performing loan in the pool is the Downtown Mini Storage
Loan ($1 million -- 2.7% of the pool). The loan is secured by a
100,000 square foot self storage facility located near downtown
Los Angeles, California. Moody's was provided with full-year 2010
and 2011 operating results for this loan. The loan has been a
consistent strong performer. Moody's current LTV and stressed DSCR
are 16% and 6.65X, respectively, compared to 21% and 4.97X at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
BAYVIEW COMMERCIAL: Moody's Cuts Ratings on Small Business ABS
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on 237
tranches in 24 securitizations of small business loans issued by
Bayview Commercial Asset Trusts and Bayview Commercial Mortgage
Pass-Through Trusts.
Rating Rationale
Three factors prompted the downgrades: 1) persistently high
delinquency levels, high volumes of modified loans with higher
delinquency rates than non-modified loans, and increased loss
severities, which together have prompted Moody's upward revision
to its loss expectations; 2) a decrease in credit enhancement
resulting from losses on loans; and 3) ongoing interest shortfalls
in ten of the securitizations.
These downgrades also reflect the correction of an error in
previous rating actions taken on the Bayview Commercial Asset
Trust 2006-4, 2007-1, 2007-2, 2007-3, and 2007-4 securitizations.
For these securitizations, the subordination calculation of the
Class A-1 tranche did not include subordination credit from the
Class A-2 tranche, thereby understating credit enhancement. The
actions correct this error by including the Class A-2 tranche in
the calculation of subordination for Class A-1.
Moody's raised its loss projections for these pools to reflect the
persistently poor performance. Delinquency levels have been high
and increasing despite loan liquidations, indicating that new
delinquencies are still occurring, which will lead to further
losses. As of a year ago, delinquencies of 60 days or more,
including loans in foreclosure and REO, were generally declining
for Bayview small business ABS deals; however, since then,
delinquencies reversed their decline and began to increase, now
typically constituting between 15% and 25% of outstanding pool
balances. Severities have also been high, reaching about 90%
during 2011 and remaining at this level through to today, versus
about 80% seen in 2010, and less than 70% in previous years.
Despite a modest rebound, commercial property values in non-major
markets are far from peak levels and are still contributing to 1)
high delinquency rates as a result of borrowers' continued
negative equity position and 2) high severity rates.
A key factor in Moody's updated loss projections is its evaluation
and treatment of modified loans. Bayview Loan Servicing has
modified approximately 35% to 50% of the loans it now classifies
as current in its 2005 to 2008 small business loan pools (in 2003
and 2004 pools, approximately 20% to 30% of current loans have
been modified). Most of these loans had performance problems and
were delinquent before modification and are therefore more likely
to become delinquent in the future than non-modified loans.
Moody's evaluation of loan-level data shows that these current,
modified loans are at least twice as likely to become delinquent
and default compared to current, non-modified loans. Moody's
accounted for this likelihood in its loss projection methodology
described below.
High losses over the past year have eroded the credit enhancement
available to protect bondholders from future collateral losses,
with declines in credit enhancement to senior notes from
subordination, reserve accounts, and overcollateralization from an
average of about 34% a year ago to 29% today.
Ten of the deals subject to the actions have had or continue to
have interest shortfalls. Interest shortfalls occur when the
interest from the collateral pool is insufficient to cover the
interest due on the notes. In these deals, high volumes of
interest rate reduction loan modifications and delinquent loans
for which the servicer does not always advance interest cause a
reduction in interest income available to pay interest on the
bonds. In addition, swap payments and payments to IO tranches rank
senior to Class A noteholders for interest distribution. In
Bayview Commercial Asset Trusts 2005-3, 2006-4, 2007-2, 2008-1 and
2008-4, interest shortfalls have either recently corrected
themselves or are likely to do so within a year, and ratings were
generally reduced to at least A1 to reflect expectations for
short-term interest shortfalls. In Bayview Commercial Asset Trusts
2007-4, 2007-5, 2007-6, 2008-2 and 2008-3, the interest shortfalls
will persist for a longer period, in which case Moody's has not
maintained investment-grade ratings.
Methodology
For tbe actions, Moody's evaluated the sufficiency of credit
enhancement by first analyzing the loans to determine an expected
lifetime net loss for each collateral pool. Moody's compared these
net losses with the available credit enhancement, consisting of
subordination and excess spread, as well as a reserve account or
overcollateralization. Moody's evaluated the sufficiency of loss
coverage provided by credit enhancement in light of 1) the
magnitude and projected variability of losses on the collateral
and 2) servicer quality.
In forecasting expected losses, Moody's has evaluated the roll
rate behavior of loans in the Bayview small business ABS pools and
has generally assumed the same behavior will continue for about 18
months, the amount of time Moody's projects a continued stressful
environment for these loans. After this stress period, Moody's has
assumed that roll rates and severities will improve to levels more
consistent with historical norms. This approach generally assumes
that the modification strategy pursued by Bayview Loan Servicing
will continue to be viable and will continue to prevent losses on
some loans that would otherwise default. On the other hand, to
reflect the uncertainty of ultimate success of the modifications,
in determining the Aaa level for each deal, which is the level of
credit enhancement that would be consistent with a Aaa (sf) rating
for the given asset pool, Moody's assumed a higher degree of
volatility for these pools than would be assumed for pools with no
modified loans.
To forecast expected losses for the Bayview small business ABS
collateral pools, Moody's evaluated each pool according to the
delinquency and modification status of the underlying loans,
applying different roll rates to default to loans according to
each status. In order to determine the roll rates to default,
Moody's first assessed the past 12 months of monthly roll rate
behavior for loans according to their modification and delinquency
status. Then, to translate this recent historical data into
lifetime default rates, Moody's applied the recent roll rates to
each delinquency and modification category for the 18-month stress
period. Moody's then decreased the monthly roll rates to more
stable historical norms for the remainder of the period over which
Moody's calculates the loss, typically until the pool of loans
pays down to 5% to 10% of its original balance.
This approach leads to a wide range of lifetime default rates. For
modified current loans, the lifetime default rate was 20%, double
the lifetime default rate estimate of 10% for non-modified current
loans. For delinquent loans, the lifetime default rates range from
30% to 75% depending on delinquency and modification status. For
loans in foreclosure or REO, the lifetime default rates are
roughly 55% to 80% and 95% to 100%, respectively, depending on
vintage and modification status.
For loss severities, Moody's generally applied recent severities
for the 18-month stress period of the loss calculation. Recent
severities have been over 90% for non-modified loans and about 75%
for modified loans. For the period after 18 months, Moody's
applied severities ranging from 65% to 75%. The resulting,
remaining expected losses are generally in the range of 15% to
24%, as a percentage of outstanding pool balances.
Because the ultimate re-default risk of small business loan
modifications and the success of Bayview's modification program is
unknown, Moody's considers the potential volatility of expected
losses for these pools to be higher than pools with no
modifications. As a result, the Aaa level for most of the Bayview
small business ABS deals impacted by the rating actions was 48% to
58%, a multiple of 2.4 to 3.2 times the expected remaining loss.
Although Moody's expected losses for these Bayview deals are
generally not higher than they would be for comparable deals
without modifications, the Aaa multiples are higher than for
comparable deals without modifications.
Moody's assigned the ratings for the tranches of the Bayview
Commercial Asset Trusts and Bayview Commercial Mortgage Pass-
Through Trusts in accordance with the methodology in the preceding
paragraphs. Moody's rated the interest-only bonds in accordance
with "Moody's Approach to Rating Structured Finance Interest-Only
Securities."
The master servicer is Wells Fargo Bank. Commercial real estate
primarily secures the loans. The largest property types in these
deals are multifamily, retail, mixed use, and office.
The primary factors for assumption uncertainty are the general
economic environment, commercial property values, and the ability
of small businesses to recover from the recession. If the
remaining expected losses increase by 10%, then the senior
tranches may be downgraded.
Other methodologies and factors that Moody's may have considered
in the process of rating these transactions appear on Moody's
website.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286301
A list of updated estimated pool losses and Aaa levels may be
found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286592
BLUEMOUNTAIN CLO 2012-1: S&P Gives 'BB' Rating on $17.4MM E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to BlueMountain CLO 2012-1 Ltd./BlueMountain CLO 2012-1
LLC's $369.2 million floating-rate notes.
The note issuance is a cash flow collateralized loan obligation
securitization of a revolving pool consisting primarily of broadly
syndicated senior-secured loans.
The preliminary ratings are based on information as of May 29,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's assessment of:
- The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
- 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.
- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.16%-13.80%.
- 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 and
synthetic security termination payments, portfolio manager
incentive fees, and subordinated note payments to principal
proceeds for the purchase of additional collateral assets
during 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
PRELIMINARY RATINGS ASSIGNED
BlueMountain CLO 2012-1 Ltd./BlueMountain CLO 2012-1 LLC
Class Rating Amount (mil. $)
A AAA (sf) 253.9
B AA (sf) 43.7
C (deferrable) A (sf) 34.8
D (deferrable) BBB (sf) 19.4
E (deferrable) BB (sf) 17.4
Subordinated notes NR 40.6
NR-Not rated.
CIT CLO I: S&P Raises Rating on Class E Notes to 'BB-'; Off Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E notes from CIT CLO I Ltd., a U.S. collateralized
loan obligation (CLO) managed by CIT Asset Management LLC.
"Simultaneously, we affirmed our rating on the class A notes and
removed the ratings on the class C, D, and E notes from
CreditWatch, where we placed them with positive implications on
April 18, 2012," S&P said.
"The upgrades reflect an improvement in credit support, primarily
due to an improvement in the credit quality of the assets and a
lower level of defaults, since we lowered most of the ratings in
February 2010 following the application of our September 2009
corporate collateralized debt obligation (CDO) criteria. We
affirmed our rating on the class A notes to reflect sufficient
credit support at the current rating level," S&P said.
"As of the March 29, 2012, month report, the trustee reported that
the transaction's portfolio had $32.16 million in 'CCC' rated
assets, down from $78.10 million in the Dec. 29, 2009, monthly
report, which we used for the February 2010 rating actions. When
calculating the overcollateralization (O/C) ratios, the trustee
haircuts from the O/C numerator a portion of the 'CCC' rated
collateral that exceed the threshold specified in the transaction
documents. Though this threshold was breached in the 2009 trustee
report, the current level of 'CCC' rated collateral is less than
the threshold. Therefore, there is no haircut in the March 2012
O/C calculations as a result of this metric," S&P said.
"Similarly, the amount of defaulted obligations held in the
transaction's underlying portfolio declined during this period.
According to the March 2012 trustee report, the transaction held
$3.57 million in defaulted assets, down from $6.41 million in the
December 2009 trustee report," S&P said.
Finally, the transaction's class A/B, C, D, and E O/C ratio tests
have improved over the same period, and the weighted average
spread has increased by 0.47%.
"Standard & Poor's notes that the transaction is currently passing
its interest diversion O/C test. The transaction is structured
such that failure of this test will, during the reinvestment
period of the transaction, divert excess interest proceeds--equal
to lesser of 70.00% of the available interest proceeds and the
amount necessary to cure the test--to be deposit into the
principal collection account for reinvestment. The transaction has
not failed this test in the period since our February 2010 rating
actions. Based on the March 2012 trustee report, the interest
diversion O/C test result was 105.24%, compared with a required
minimum of 104.50%," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111635.pdf
RATING AND CREDITWATCH ACTIONS
CIT CLO I Ltd.
Rating
Class To From
B AA+ (sf) AA- (sf)
C A+ (sf) BBB+ (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
E BB- (sf) B+ (sf)/Watch Pos
RATING AFFIRMED
CIT CLO I Ltd.
Class Rating
A AA+ (sf)
CIT HOME: Moody's Confirms 'Ca1' Rating on Cl. M-2 Tranche
----------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche,
and confirmed the ratings of four tranches from CIT Home Equity
Loan Trust 2003-1 backed by subprime loans.
Rating 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 this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 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.
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 still expects below-trend growth for the US
economy for 2012, with the unemployment rate remaining high
between 8% and 9% and home prices dropping another 1% from their
4Q 2011 levels.
Complete rating actions are as follows:
Issuer: CIT Home Equity Loan Trust 2003-1
Cl. A-4, Upgraded to A2 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-5, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Cl. A-6, Confirmed at A2 (sf); previously on Jan 31, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286344
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
COMM 2012-CCRE1: Fitch Assigns 'Bsf' Rating on $15MM Certificates
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and outlooks to
the COMM 2012-CCRE1 commercial mortgage pass-through certificates:
-- $54,970,000 class A-1 'AAAsf'; Outlook Stable;
-- $116,746,000 class A-2 'AAAsf'; Outlook Stable;
-- $409,198,000 class A-3 'AAAsf'; Outlook Stable;
-- $72,060,000 class A-SB 'AAAsf'; Outlook Stable;
-- $95,614,000 class A-M 'AAAsf'; Outlook Stable;
-- $748,588,000* class X-A 'AAAsf'; Outlook Stable;
-- $43,143,000 class B 'AAsf'; Outlook Stable;
-- $32,648,000 class C 'Asf'; Outlook Stable;
-- $50,139,000a class D 'BBB-sf'; Outlook Stable;
-- $2,332,000a class E 'BBB-sf'; Outlook Stable;
-- $13,993,000 a class F 'BBsf'; Outlook Stable;
-- $15,158,000 a class G 'Bsf'; Outlook Stable.
* Notional amount and interest only.
a Privately placed pursuant to Rule 144A.
Fitch does not rate the $184,232,147 interest-only class X-B, or
the $26,819,147 class H.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 54 loans secured by 76 commercial
properties having an aggregate principal balance of approximately
$932.8 million as of the cutoff date. The loans were contributed
to the trust by German American Capital Corporation and Cantor
Commercial Real Estate.
CONSECO FINANCE: Moody's Confirms 'Caa1' Rating on Cl. M-2 Notes
----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of four
tranches from two RMBS transactions, backed by Subprime loans,
issued by Conseco Finance Home Equity Loan 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, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 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.
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.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
Macroeconomic Board still expects below-trend growth for the US
economy for 2012, with the unemployment rate remaining high
between 8% and 9% and home prices dropping another 1% from their
4Q 2011 levels.
Complete rating actions are as follows:
Issuer: Conseco Finance Home Equity Loan Trust 2001-D
Cl. M-2, Confirmed at Caa1 (sf); previously on Jan 31, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Issuer: Conseco Finance Home Equity Loan Trust 2002-A
Cl. A-5, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at A2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Confirmed at B1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://moodys.com/viewresearchdoc.aspx?docid=PBS_SF286486
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
CONTINENTAL AIR: Moody's Keeps Ba2 Rating on Series 2012-B Certs.
-----------------------------------------------------------------
Moody's Investors Service affirmed its ratings on the Series 2012-
1A and 2012-1B Enhanced Equipment Trust Certificates ("EETC") of
Continental Airlines, Inc. upon the replacement of the Liquidity
Provider for these financings. Natixis S.A., acting through its
New York Branch has replaced Credit Suisse AG, New York Branch as
the provider of the separate liquidity facilities that support
each of these EETC tranches. Moody's long-term rating of Natixis
is (P)Aa3, which meets the Threshold Rating Requirement of the
transactions' terms. Moody's rating on Natixis is under review for
possible downgrade.
The following EETC Tranche ratings have been affirmed and remain
in force:
Continental Airlines, Inc.
Series 2012-1A, at Baa2
Series 2012-1B, at Ba2
Ratings Rationale
The principal methodology used in the rating was the Global
Passenger Airlines Industry Methodology published in March 2009
and the Enhanced Equipment Trust And Equipment Trust Certificates
Methodology published in December 2010. Other methodologies used
include Loss Given Default for Speculative-Grade Non-Financial
Companies in the U.S., Canada and EMEA published in June 2009.
United Continental Holdings, Inc. is the holding company for both
United Airlines and Continental Airlines. United Airlines and
United Express operate an average of 5,605 flights a day to 375
airports on six continents from their hubs in Chicago, Cleveland,
Denver, Guam, Houston, Los Angeles, New York/Newark Liberty, San
Francisco, Tokyo and Washington, D.C.
CREDIT SUISSE 2001-CK1: Pay Down Prompts Fitch to Upgrade Ratings
-----------------------------------------------------------------
Fitch Ratings upgrades one class of Credit Suisse First Boston
Mortgage Securities Corp., series 2001-CK1 (CSFB 2001-CK1)
commercial mortgage pass-through certificates.
The upgrade is the result of increased credit enhancement due to
pay down and defeasance. Fitch modeled losses of 12.9% of the
remaining pool; expected losses of the original pool are at 4.23%,
including losses already incurred to date. Fitch has designated
five loans (67.1%) as Fitch Loans of Concern, which includes the
five specially serviced loans (67.1%).
As of the May 2012 distribution date, the pool's aggregate
principal balance has been paid down by approximately 94% to $59.9
million from $997.1 million at issuance. Interest shortfalls are
affecting classes J through O with cumulative unpaid interest
totaling $3.1 million. One loan (17.4%) has defeased since
issuance.
The largest contributor to Fitch modeled losses is a 322-unit
multifamily property located in Dallas, TX. The loan transferred
to special servicing on May 4, 2010 due to monetary default. The
loan was modified in January 2012 and is currently being monitored
before being transferred back to the special servicer as a
corrected loan. The modification terms include extending the
maturity date until April 2014 and increasing the interest rate
from 7.87% to 8.5%. Occupancy at the property has increased from
84% in December 2010 to 99.4% as of April 2012.
The second largest contributor to Fitch modeled losses is a
126,627 sf retail property located in Albuquerque, NM. The
property became REO on March 30, 2011 and is currently 60%
occupied. The special servicer continues working to stabilize the
property by actively marketing the vacant spaces with reduced
rents and concessions. Additionally, improvements such as
landscaping, painting and stone work are currently being
completed.
Fitch has upgraded the following class:
-- $2.1 million class G to 'AAAsf' from 'AA+sf'; Outlook Stable.
Fitch also affirms the following classes and assigns Recovery
Estimates (RE) as indicated:
-- $17.5 million class H at 'A-sf'; Outlook Stable;
-- $27.4 million class J at 'B-sf'; Outlook Stable;
-- $7.5 million class K at 'Csf'; RE 70%;
-- $5.5 million class L at 'Dsf'; RE 0%.
Fitch does not rate classes M, N, and O certificates. Classes A-1
through F have paid in full.
DIAMOND LAKE: S&P Raises Rating on Class B-2L Notes to 'BB-'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of notes from Diamond Lake CLO Ltd., a collateralized loan
obligation (CLO) transaction managed by Babson Capital Management
LLC. "We also affirmed our ratings on two classes from the same
transaction," S&P said.
"The upgrades reflect positive rating migration in the underlying
portfolio since our February 2010 rating action. As of the April
2012 trustee report, the balance of defaulted assets decreased to
$4.01 million from $10.02 million in December 2009, while the
balance of 'CCC' rated assets decreased to $8.20 million from
$28.11 million. This led to an increase in the class B-2L
overcollateralization (O/C) test to 105.48% from 104.56% during
the same period," S&P said.
"This transaction is in its reinvestment period until December
2012. Currently, there are no long dated assets in the portfolio.
None of our rating actions are driven by the supplemental tests we
introduced in our corporate CDO criteria update," S&P said.
"We affirmed our ratings on the class X and A-1L notes to reflect
the availability of sufficient credit support at their current
rating levels," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Diamond Lake CLO Ltd.
Rating
To From
A-2L AA (sf) A+ (sf)
A-3L A (sf) BBB+ (sf)
B-1L BBB (sf) BB+ (sf)
B-2L BB- (sf) B+ (sf)
RATINGS AFFIRMED
Diamond Lake CLO Ltd.
Rating
X AAA (sf)
A-1L AA+ (sf)
DISTRIBUTION FINANCIAL: Fitch Affirms Junk Rating on Class D Notes
------------------------------------------------------------------
Fitch Ratings affirms class C and class D of Distribution
Financial Services RV/Marine Trust 2001-1. In addition, the class
C notes are removed from Rating Watch Negative and assigned a
Negative Rating Outlook. The rating actions are as follows:
-- Class C notes affirmed at 'BBsf'; assigned a Negative
Outlook;
-- Class D notes affirmed at 'C/RE0%'.
The transaction continues to generate negative excess spread and
the class D is currently undercollateralized. Fitch believes the
trust will be able to pay the principal in full on the class C
note and has removed it from Rating Watch Negative. However, the
Outlook on the class C note is Negative due to the volatile loss
performance in the pool.
Fitch's analysis incorporated anticipated losses on defaulted
collateral given Fitch's recovery expectations, which are based on
collateral-specific cash flow expectations. The resulting
anticipated collateral losses were then applied to the transaction
structure, enabling Fitch to assess the impact of the losses on
the securities and available credit enhancement. Fitch will
continue to closely monitor the performance of the transaction.
ECP CLO 2012-4: S&P Gives 'BB' Rating on Class D Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to ECP CLO 2012-4 Ltd./ECP CLO 2012-4 LLC's $275.1 million
fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of May 30,
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 credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
- The transaction's legal structure, which is expected to be
bankruptcy remote.
- The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior secured
term loans.
- The collateral manager's experienced management team.
- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which the
ratings agency assessed using its cash flow analysis and
assumptions commensurate with the assigned preliminary ratings
under various interest-rate scenarios, including LIBOR ranging
from 0.34%-12.81%.
- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding..
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
ECP CLO 2012-4 Ltd./ECP CLO 2012-4 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 201.20
A-2 AA (sf) 13.50
B floating-rate (deferrable) A (sf) 19.10
B fixed-rate (deferrable) A (sf) 12.00
C (deferrable) BBB (sf) 15.40
D (deferrable) BB (sf) 13.90
Subordinated notes NR 36.36
NR-Not rated.
EMBARCADERO AIRCRAFT 2000-1: S&P Cuts Rating on A-1 Notes to 'CC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 notes from Embarcadero Aircraft Securitization Trust's
(EAST's) series 2000-1 to 'CC (sf)' from 'CCC (sf)'. The notes are
backed by lease revenues and sale proceeds generated by a
portfolio of commercial aircraft.
"The downgrade reflects our view of the class A-1 notes' high
likelihood of payment default," S&P said.
"As of April 15, 2012, only eight aircraft remained in the
portfolio. Three of the eight aircraft were off-lease. The
appraised base value of the eight aircraft as of June 30, 2011,
was $49.4 million, well below the class A-1 notes' remaining
balance ($99.7 million as of May 15, 2012). The servicer has
entered letters of intent to sell five aircraft and plans to sell
the remaining three aircraft in 2012. In our view, the disposition
proceeds from the aircraft portfolio will most likely be
insufficient to repay the class A-1 notes' remaining principal
balance when the transaction is terminated early after the sale of
aircraft," S&P said.
Standard & Poor's will continue monitoring the rating on this
transaction and will take rating actions as it deems appropriate.
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/1111639.pdf
EMERSON PLACE: S&P Affirms 'CCC+' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
classes of notes from Emerson Place CLO Ltd., a collateralized
loan obligation (CLO) transaction managed by Feingold O'Keefe
Capital LLC. "At the same time, we affirmed our ratings on three
classes from the same transaction," S&P said.
"The upgrades reflect positive rating migration within the
transaction's underlying pool of performing collateral since our
February 2010 rating actions. The rating affirmations on the class
C, D, and E notes reflect the availability of sufficient credit
support at the current ratings," S&P said.
"As of the May 2012 trustee report, the balance of assets with
'CCC' ratings from Standard & Poor's had decreased to $8.40
million from $15.86 million in January 2010. This has increased
the credit support for the class A and B notes," S&P said.
"Despite the improved credit quality among the transaction's
performing collateral, the balance of defaulted assets increased
from $4.34 million to $8.97 million during the same time period.
This contributed to a decline in the transaction's
overcollateralization (O/C) ratios, as noted in the May trustee
report. The class E O/C ratio decreased to 102.93% from 103.58%.
As was the case in our February 2010 review, the top obligor test
continues to drive the ratings for the class D and E notes," S&P
said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Emerson Place CLO Ltd.
Rating
Class To From
A AA (sf) AA- (sf)
B A (sf) A- (sf)
RATING AFFIRMED
Emerson Place CLO Ltd.
Class Rating
C BBB- (sf)
D B+ (sf)
E CCC+ (sf)
GALLATIN CLO III: S&P Raises Rating on Class B-2L Notes to 'B+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
classes of notes from Gallatin CLO III 2007-1 Ltd., a
collateralized loan obligation (CLO) transaction managed by
UrsaMine Credit Advisors. "We also affirmed our ratings on three
classes from the same transaction," S&P said.
"The upgrades reflect positive rating migration within the
transaction's underlying accet portfolio since our February 2010
rating action. The rating affirmations on the class X, A-1L, and
A-1LR notes reflect the availability of sufficient credit support
at the current ratings," S&P said.
"As of the May 2012 trustee report, the balance of defaulted
assets had decreased to $0 from $17.31 million in December 2009,
while the balance of 'CCC' rated assets had decreased to $13.65
million from $47.17 million. This increased the class B-2L
overcollateralization (O/C) ratio to 105.13% from 103.99% in
December 2009. As a result of this improvement, the class B-2L
note is no longer failing the top obligor test at the 'CCC' rating
category," S&P said.
"This transaction will be in its reinvestment period until May
2013. There are currently no structured finance or long-dated
assets in the asset portfolio," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Gallatin CLO III 2007-1 Ltd.
Rating
To From
A-2L AA (sf) A+ (sf)
A-3L A (sf) BBB+ (sf)
B-1L BBB (sf) BB+ (sf)
B-2L B+ (sf) CCC- (sf)
RATING AFFIRMED
Gallatin CLO III 2007-1 Ltd.
Rating
X AAA (sf)
A-1L AA+ (sf)
A-1LR AA+ (sf)
GE CAPITAL: Moody's Affirms Rating on Class X Certs. at 'Caa3'
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of two classes of
GE Capital Commercial Mortgage Corporation, Commercial Mortgage
Pass-Through Certificates, Series 2000-1 as follows:
Cl. H, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale
The rating for Class H is affirmed at C based on realized and
anticipated losses from specially serviced loans. The rating of
the IO class, Class X, is consistent with the expected credit
performance of its referenced classes and thus is affirmed.
Moody's rating action reflects a cumulative base expected loss of
37.4% of the current balance. At last full review, Moody's
cumulative base expected loss was 19.9%. The increase in expected
loss measured as a percentage of the outstanding pool balance is
due to paydowns totallling 57% since last review. On a dollar
amount basis, the cumulative base expected loss actually decreased
to $10.0 million from $12.4 million at last review. Moody's
provides a current list of base expected losses for conduit and
fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012 and "Commercial Real Estate
Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
The conduit model includes an IO calculator, which uses 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 as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 5 compared to 4 at Moody's prior full review.
Moody's did not employ its large loan/single borrower methodology
for this deal despite the low Herfindahl Index because most of the
pool is non-performing and is in special servicing.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 2, 2011.
DEAL PERFORMANCE
As of the May 17, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $26.77
million from $707.33 million at securitization. The Certificates
are collateralized by eight mortgage loans ranging in size from
less than 3% to 37% of the pool. One loan, representing 3% of the
pool, has defeased and is collateralized with U.S. Government
securities.
The pool contains a CTL component, representing 15% of the pool,
which is comprised of four retail properties leased to CVS
Caremark (senior unsecured rating of Baa2, stable outlook.) The
average store size is 10,515 square feet and the leases run
through 2019, 2020 and 2027.
There are no loans on the master servicer's watchlist. Fifteen
loans have been liquidated from the pool since securitization,
resulting in an aggregate $37.7 million loss (37% loss severity on
average). Currently, the remaining three loans, representing 82%
of the pool, that are not CTLs and not defeased, are in special
servicing. The master servicer has recognized an aggregate $5.1
million appraisal reduction for the specially serviced loans.
Moody's has estimated an aggregate loss of $10.0 million (46%
expected loss on average) for all of the specially serviced loans.
The largest specially serviced loan is the Cypress Point Loan
($9.89 million -- 37.0% of the pool), which is secured by a
153,000 square foot (SF) office property located in Denver,
Colorado. The loan was transferred to special servicing in March
2010 as a result of monetary default. The property was foreclosed
on in January 2011 and is currently under contract for sale.
The second specially serviced loan is the River Point Office
Buildings Loan ($7.16 million -- 26.8% of the pool), which is
secured by a 158,000 SF office property located in Des Moines,
Iowa. The property is currently 87% leased. The lease for the
largest tenant, Wells Fargo (68% of net rentable area (NRA)),
expired in 2011 but was extended through September 2012. The loan
was transferred to special servicing in November 2010 as a result
of maturity default. The loan was performing under a Forbearance
Agreement through February 2012 but was refinance at the end of
the period. The loan is in the process of foreclosure.
The third specially serviced loan is the Mercantile Row Shopping
Center Loan ($4.85 million -- 18.1% of the pool), which is secured
by a 99,000 SF office property located in Dinuba, California. The
loan was initially transferred to special servicing in January
2011 as a result of maturity default. The loan maturity was
extended to January 2012 and the loan was returned to the master
servicer in August 2011. The loan was then transferred back to
special servicing in January 2012 as a result of maturity default.
The special servicer has determined that a note sale will be the
likely strategy.
GE COMMERCIAL 2006-C1: Fitch Downgrades Rating on 12 Note Classes
-----------------------------------------------------------------
Fitch Ratings has downgraded 12 classes and affirmed eight classes
of GE Commercial Mortgage Corporation (GECMC) commercial mortgage
pass-through certificates series 2006-C1. The downgrades are due
to realized losses that impacted several subordinate classes in
May, as well as a higher Fitch loss expectation on the now largest
specially serviced loan.
Five downgraded classes were taken to 'D', as the bonds incurred
full or partial principal write-downs in May due to the
liquidation of the Beyman Multifamily Portfolio III. The real
estate owned (REO) assets were liquidated at a 37% loss severity
based on the original $82.85 million loan amount. The original
crossed loans represented the third largest concentration in the
pool. The affected classes were all previously rated 'Csf' with
Recovery Estimates (REs) of 0%, which indicates that Fitch
considered defaults to those classes as imminent with no expected
recoveries.
In addition, Fitch raised its loss expectation on the now largest
specially serviced loan, 33 Washington (3.9% of the pool), based
on a recent appraisal. The loan, which is backed by an
approximately 430,000-square foot (sf) multi-tenanted office
building in Newark, NJ, transferred to special servicing in
November 2011 for monetary default. The property has suffered
from the loss of a major tenant and continues to be plagued by
high rollover. At the start of the year, the property was
reported as just 40% leased. The borrower is continuing leasing
efforts, while the special servicer considers various resolution
strategies.
Fitch modeled losses now total 8.7% of the remaining pool.
Fitch downgrades the following classes and assigns or revises
Rating Outlooks and REs as indicated:
-- $146.8 million class A-J to 'BBsf' from 'BBB-sf'; Outlook to
Negative from Stable;
-- $36.2 million class B to 'CCCsf' from 'BBsf'; RE 85%;
-- $14.1 million class C to 'CCsf' from 'BBsf'; RE 0%;
-- $24.1 million class D to 'Csf' from 'B-sf'; RE 0%;
-- $14.1 million class E to 'Csf' from 'CCCsf'; RE 0%;
-- $14 .1 million class F to 'Csf' from 'CCCsf'; RE 0%;
-- $14.1 million class G to 'Csf' from 'CCsf'; RE 0%;
-- $1.2 million class K to 'Dsf' from 'Csf'; RE 0%;
-- $0 class L to 'Dsf' from 'Csf'; RE 0%;
-- $0 class M to 'Dsf' from 'Csf'; RE 0%;
-- $0 class N to 'Dsf' from 'Csf'; RE 0%;
-- $0 class O to 'Dsf' from 'Csf'; RE 0%.
Fitch affirms the following classes as indicated:
-- $37.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $47.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $35.3 million class A-AB at 'AAAsf'; Outlook Stable;
-- $620.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $206.8 million class A-1A at 'AAAsf'; Outlook Stable;
-- $160.9 million class A-M at 'AAAsf'; Outlook Stable;
-- $14.1 million class H at 'Csf'; RE 0%;
-- $6 million class J at 'Csf'; RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class P certificates. Fitch previously withdrew the rating on
the interest-only class X-W certificates.
GMAC COMMERCIAL 2001-C2: Fitch Lowers $10.8MM Secs. Rating to CCC
-----------------------------------------------------------------
Fitch Ratings has downgraded and removed from Rating Watch
Negative three classes of GMAC Commercial Mortgage Securities,
Inc.'s mortgage pass-through certificates, series 2001-C2. In
addition, Fitch has affirmed and removed one class from Rating
Watch Negative.
The downgrades are due to previously incurred interest shortfalls
from servicer advance recoveries, higher expected losses on
specially serviced loans, as well as increased concentration and
adverse selection of the remaining pool.
Fitch modeled losses of 29.0% of the remaining pool. Eleven
(62.2%) of the remaining 15 loans are in special servicing. Five
loans (47.5%) are real-estate owned (REO). As of the May 2012
distribution date, the pool's aggregate principal balance has been
reduced 80.81% to $181.8 million from $754.9 million at issuance.
Realized losses to date are 3.61% of the original pooled balance.
As of the May 2012 remittance, interest shortfalls are reaching up
to class J.
The largest contributor to Fitch's modeled loss is a REO property
(19.2% of the pool balance) located in Earth City, MO. The
283,000 square foot (sf) two-building office property is
approximately 19 miles northwest of the St. Louis CBD. The
servicer-reported occupancy was 86% as of February 2012. The
special servicer is currently negotiating a sale of the properties
with anticipated closing date in August 2012.
The second largest contributor to modeled losses is the
Lichtenstein Pennsylvania Office Portfolio (18.1% of the pool).
The original pool totaled approximately 347,000 sf, with
properties situated in Allentown, Mechanicsburg and Wyomissing.
The special servicer recently sold two of the properties in early
2012 and continues to explore workout options for the remaining
assets.
The third-largest contributor to modeled losses, Princeton Park
Corporate Center (12.0% of the pool), is a 177,000 sf three-story
office building located in South Brunswick, NJ. The collateral
was transferred to the special servicer in April 2008 for monetary
default. A receiver was appointed after a settlement agreement
could not be reached. The foreclosure process remains ongoing.
Fitch has downgraded and removed from Rating Watch Negative the
following classes:
-- $9.4 million class E to 'Asf', from 'AAsf'; Outlook Stable;
-- $15.1 million class F to 'BBsf' from 'BBB-sf'; Outlook to
Stable;
-- $10.8 million class G to 'CCCsf' from 'Bsf'; RE 100%.
Fitch has affirmed and removed from Rating Watch Negative the
following class:
-- $15.1 million class D at 'AAAsf'; Outlook Stable;
Fitch affirms the following classes as indicated:
-- $32.5 million class B at 'AAAsf'; Outlook Stable;
-- $11.3 million class C at 'AAAsf'; Outlook Stable;
-- $9.4 million class H at 'Csf', RE 85%;
-- $23.6 million class J at 'Csf', RE 0%;
-- $5.7 million class K at 'Csf' RE 0%;
-- $5.7 million class L at 'Csf', RE 0%.
Classes M, N, O and P remain at 'Dsf', RE 0% due to realized
losses.
Class A-1, A-2 and the interest-only class X-2 have paid in full.
Fitch does not rate class Q and class X-1 was previously
withdrawn.
GREENWICH CAPITAL: Moody's Cuts Rating on Class N Certs. to 'C'
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed 11 classes of Greenwich Capital Commercial Funding
Corp. Commercial Mortgage Pass-Through Certificates, Series 2002-
C1 as follows:
Cl. A-4, Affirmed at Aaa (sf); previously on Dec 30, 2002 Assigned
Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Aug 2, 2006 Upgraded to
Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Oct 23, 2006 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Oct 23, 2006 Upgraded
to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Oct 23, 2006 Upgraded
to Aaa (sf)
Cl. F, Affirmed at Aaa (sf); previously on Dec 20, 2007 Upgraded
to Aaa (sf)
Cl. G, Affirmed at Aa2 (sf); previously on Dec 20, 2007 Upgraded
to Aa2 (sf)
Cl. H, Affirmed at A3 (sf); previously on Oct 23, 2006 Upgraded to
A3 (sf)
Cl. J, Affirmed at Baa1 (sf); previously on Oct 23, 2006 Upgraded
to Baa1 (sf)
Cl. K, Downgraded to Ba2 (sf); previously on Dec 30, 2002
Definitive Rating Assigned Ba1 (sf)
Cl. L, Downgraded to Caa1 (sf); previously on Oct 13, 2010
Downgraded to B2 (sf)
Cl. M, Downgraded to Caa3 (sf); previously on Oct 13, 2010
Downgraded to Caa1 (sf)
Cl. N, Downgraded to C (sf); previously on Oct 13, 2010 Downgraded
to Ca (sf)
Cl. O, Affirmed at C (sf); previously on Oct 13, 2010 Downgraded
to C (sf)
Cl. XC, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades are due to anticipated and realized losses from
loans in special servicing and troubled loans. The affirmations of
the principal classes are due to key parameters, including Moody's
loan to value (LTV) ratio, Moody's stressed DSCR and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings.
The rating of the IO Class, Class XC, is consistent with the
expected credit performance of its reference classes and thus is
affirmed.
Moody's rating action reflects a cumulative base expected loss of
4.5% of the current balance compared to 3.3% at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying rating of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit estimates in
the same transaction.
The conduit model includes an IO calculator, which uses 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 the IO type corresponding to an IO type as
defined in the published methodology. The calculator then returns
a calculated IO rating based on both a target and mid-point. For
example, a target rating basis for a Baa3 (sf) rating is a 610
rating factor. The midpoint rating basis for a Baa3 (sf) rating is
775 (i.e. the simple average of a Baa3 (sf) rating factor of 610
and a Ba1 (sf) rating factor of 940). If the calculated IO rating
factor is 700, the CMBS IO calculator version 1.0 would provide
both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by
the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 18 compared to 28 at last review.
In cases where the Herf falls below 20, Moody's employs the large
loan/single borrower methodology. This methodology uses the excel-
based Large Loan Model v 8.4. The large loan model derives credit
enhancement levels based on an aggregation of adjusted loan level
proceeds derived from Moody's loan level LTV ratios. Major
adjustments to determining proceeds include leverage, loan
structure, property type, and sponsorship. These aggregated
proceeds are then further adjusted for any pooling benefits
associated with loan level diversity, other concentrations and
correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 2, 2011.
DEAL PERFORMANCE
As of the May 11, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 50% to $581.9
million from $1.162 billion at securitization. The Certificates
are collateralized by 55 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten conduit loans
representing 47% of the pool. Ten loans, representing 28% of the
pool, have defeased and are secured by U.S. government securities.
There are no loans with investment grade credit estimates.
Twenty-two loans, representing 26% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Nine loans have been liquidated from the pool since securitization
resulting in $31.9 million loss (average loss severity of 34%).
Six loans, representing 5% of the pool, are currently in special
servicing. Moody's has estimated an aggregate $15.5 million loss
(52% expected loss) for the all of the specially serviced loans.
Moody's has assumed a high default probability for seven poorly
performing loans representing 5% of the pool and has estimated a
$4.4 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2010 and partial year 2011
operating results for 74% and 52% of the performing pool
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 76% compared to 74% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 11.8% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.8%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.40X and 1.47X, respectively, compared to
1.77X and 1.75X, respectively, at last full review. Moody's actual
DSCR is based on Moody's net cash flow (NCF) and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stressed rate applied to the loan balance.
The top three performing loans represent 23% of the pool balance.
The largest loan is the Jamaica Center Loan ($52.3 million -- 9.0%
of the pool), which is secured by a 215,000 square foot retail
center with a 155,000 square foot attached parking garage, located
in Queens New York. The center is located in the center of the
downtown Jamaica retail and commercial district. The largest
tenants are National Amusement, Inc. (39% of the Net Rentable Area
(NRA); lease expiration in May 2022),Queens Educational
Opportunity Center (17% of the NRA; lease expiration November
2012) and The Gap Inc. (14% of the NRA, lease expiration in May
2012). Occupancy as of December 2012 was 100%, the same as last
review. Moody's LTV and stressed DSCR are 83% and 1.17X,
respectively, compared to 75% and 1.30X at last review.
The second largest loan is the Price Self Storage Portfolio ($41.3
million -- 7.1% of the pool), which is secured by three cross-
collateralized and cross-defaulted self-storage properties, two of
which are located in San Diego County (San Diego and Solana Beach)
and the other is in Azusa California, a suburb of Los Angeles. The
properties were built between 1985 and 2001, and 185 of the units
are RV storage spaces. As of December 2011, the occupancy was 84%,
the same as at last review. Performance has remained stable.
Moody's LTV and stressed DSCR are 75% and 1.41X, the same as at
last review.
The third largest loan is the Cumberland Mall Loan ($39.1 million
-- 6.7% of the pool), which is secured by an 891,000 square foot
(504 square feet of collateral) regional mall located in Vineland,
New Jersey, about 40 miles south of Philadelphia. Major tenants
include Burlington Coat Factory, J.C. Penny, and Regal Cinemas. As
of January 2012 the mall was 94% occupied overall, the same as at
last review, with in-line occupancy of 91%. Moody's LTV and
stressed DSCR are 74% and 1.36X, respectively, compared to 74% and
1.35X at last review.
GSAA HOME: Moody's Cuts Rating on Class A4 Certificates to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of Classes A-
2 and A-4, issued by GSAA 2007-8 securitization.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2007-8
Cl. A2, Downgraded to Caa3 (sf); previously on Jan 26, 2011
Downgraded to Caa2 (sf)
Cl. A4, Downgraded to C (sf); previously on Jan 26, 2011 Upgraded
to Caa3 (sf)
Ratings Rationale
The downgrades are a result of an amendment to the Section 4.01(c)
of the Trust Agreement for this transaction causing a change to
the principal distribution on the senior classes A-1 through A-4
after the subordinate certificates are depleted. Per the
amendment, principal payments will be first made pro rata to
Classes A1, A2 and A3 and then sequentially to Class A4 if a
Sequential Trigger Event is in effect and there is no
overcollateralization or subordinate bonds outstanding. The
original Trust Agreement allowed for the principal payments to
made pro-rata amongst Classes A1, A2, A3 and A4. Moody's has
adjusted its ratings to reflect this change. The actions also
reflect the recent performance of the transaction and Moody's
updated loss expectations on the underlying pool.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for its current view
on loan modifications. As a result of an extension of the Home
Affordable Modification Program (HAMP) to 2013 and an increased
use of private modifications, Moody's is extending its previous
view that loan modifications will only occur through the end of
2012. It is now assuming that the loan modifications will continue
at current levels until the end of 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.1% in April 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286591
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://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
HARCH CLO III: S&P Raises Rating on Class D Notes From 'BB+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C and D notes from Harch CLO III Ltd., a U.S. collateralized loan
obligation (CLO) transaction managed by Harch Capital Management
LLC. "At the same time, we affirmed our ratings on the class A-1,
A-2, B, and E notes," S&P said.
"The upgrades reflect further paydowns to the class A-1 notes
since we raised our ratings on the class A-2, B, and C notes on
March 22, 2012.We affirmed our ratings on the class A-1, A-2, B,
and E notes to reflect the availability of credit support at the
current rating levels," S&P said.
"The upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes,
primarily due to the aforementioned paydowns to the class A-1
notes since the time of the last rating actions. Since that time,
the transaction has paid down the class A-1 notes by $18 million,
reducing the outstanding note balance to 31.84% of its original
balance at issuance," S&P said.
Using the April 20, 2012 trustee report data to reflect the
additional paydowns to the class A-1 notes on the April 30, 2012,
distribution date, S&P calculated these O/C ratios:
- A calculated class A/B O/C ratio of 141.17%, compared with a
reported ratio of 136.66% in February 2012;
- A calculated class C O/C ratio of 124.36%, compared with a
reported ratio of 121.96% in February 2012;
- A calculated class D O/C ratio of 111.73%, compared with a
reported ratio of 110.66% in February 2012; and
- A calculated class E O/C ratio of 103.43%, compared with a
reported ratio of 103.11% in February 2012.
"Though the transaction will technically be in its reinvestment
period until April 2013, it has not been able to readily
participate in certain forms of trading activity for some time
because some of the tranche ratings were lowered below their
levels at issuance. Following the upgrades, the transaction will
again reclaim its original capacity to make trades within the
underlying asset portfolio, as allowed by the transaction's
governing documents," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Harch CLO III Ltd.
Rating
Class To From
C AA- (sf) A+ (sf)
D BBB- (sf) BB+ (sf)
RATINGS AFFIRMED
Harch CLO III Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
B AA+ (sf)
E CCC+ (sf)
TRANSACTION INFORMATION
Issuer: Harch CLO III Ltd.
Coissuer: Harch CLO III Inc.
Collateral manager: Harch Capital Management LLC
Underwriter: Goldman Sachs & Co.
Trustee: Deutsche Bank Trust Co. Americas
Transaction type: Cash flow CDO
HERTZ VEHICLE: Cap Amendment No Impact on Moody's ABS Ratings
-------------------------------------------------------------
Moody's Investors Service has reviewed the Amended and Restated
Confirmation, dated as of May 25, 2012 ('Amended Cap Confirm'),
relating to an interest rate cap owned by Hertz Vehicle Financing
LLC (Issuer), acquired in connection with the Series 2009-1
Variable Funding Rental Car Asset-Backed Notes. The execution of
the Amended and Restated Confirmation will not cause a downgrade
or withdrawal of the current rating on the Series 2009-1 rental
car asset-backed notes issued by the Issuer at this time. Hertz
Vehicle Financing LLC is a special purpose entity wholly owned by
The Hertz Corporation (Hertz, B1 on review for downgrade), which
is the master servicer for the transaction.
The Amended Cap Confirm revised the prior interest rate cap
agreement between Hertz and the cap counterparty, Credit Agricole
Corporate and Investment Bank, to increase the notional amount by
$250 million to match a like increase in the maximum variable
funding amount of the Series 2009-1 Notes, which increase was also
executed on May 25, 2012. The Amended Cap Confirm and the increase
in the Series 2009-1 Notes maximum funding amount are credit
neutral. The larger cap addresses the potential incremental
interest rate exposure associated with the greater maximum
variable funding amount. The additional borrowing availability
under the Series 2009-1 Notes may only be accessed if, among other
things, the Issuer has sufficient collateral to meet the borrowing
base requirements.
Moody's ratings address only the credit risks associated with the
transaction. Other non-credit risks have not been addressed, but
may have significant effect on yield and/or other payments to
investors. This press release should not be taken to imply that
there will be no adverse consequence for investors since in some
cases such consequences will not impact the rating.
Principal Methodology
The principal methodology used in this rating was "Moody's Global
Approach to Rating Rental Car ABS and Rental Truck ABS," published
in July 2011.
HUNTINGTON CDO: S&P Lowers Ratings on 2 Classes of Notes to 'CCC-'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1A and A-1B notes from Huntington CDO Ltd. and removed
them from CreditWatch with negative implications. "At the same
time, we affirmed our ratings on the class A-2 and B notes.
Huntington CDO Ltd. is a structured finance mezzanine
collateralized debt obligation (CDO) transaction that closed in
March 2005," S&P said.
"We placed the ratings on classes A-1A and A-1B on CreditWatch
negative on March 19, 2012, in connection with our update to the
criteria and assumptions we use to rate CDO transactions backed by
SF securities. The downgrades reflect the updated criteria and
assumptions, as well as the credit deterioration of the portfolio.
We note that the percentage of defaulted assets has increased
since our September 2010 rating actions," S&P said.
"The affirmations of the 'CC (sf)' ratings for the class A-2 and B
notes reflect our opinion that they will continue to remain
current on interest but are unlikely to receive their entire
remaining principal balance," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
RATING ACTIONS
Huntington CDO Ltd.
Rating
Class To From
A-1A CCC- (sf) B- (sf)/Watch Neg
A-1B CCC- (sf) B- (sf)/Watch Neg
RATINGS AFFIRMED
Huntington CDO Ltd.
Class Rating
A-2 CC (sf)
B CC (sf)
OTHER OUTSTANDING RATINGS
Huntington CDO Ltd.
Class Rating
C-1 D (sf)
C-2 D (sf)
JPMORGAN 1999-C7: Fitch Affirms 'BB-sf' Rating on Class H Certs.
----------------------------------------------------------------
Fitch Ratings has affirmed one class of J.P. Morgan Commercial
Mortgage Finance Corporation 1999-C7, commercial mortgage pass-
through certificates.
The affirmation is due to sufficient credit enhancement to the
remaining Fitch rated class.
As of the May 2012 distribution date, the pool's certificate
balance has paid down 96.7% to $9.7 million from $801.3 million.
The expected losses of the original pool are at 2.11%, which
includes 2.05% to date. In addition, cumulative interest
shortfalls totaling $1.1 million are affecting class NR.
There are eight remaining loans from the original 145 loans at
issuance. There are no defeased or specially serviced loans.
Fitch affirms the following class:
-- $2 million class H at 'BB-sf'; Outlook Stable.
Fitch does not rate class NR.
Classes A-1, A-2, B, C, D, E, F and G have paid in full.
Fitch has previously withdrawn the rating on the interest-only
class X.
JPMORGAN 2004-PNC1: S&P Affirms 'CCC-' Rating on Class G Certs.
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes from JPMorgan Chase Commercial Mortgage Securities Corp.'s
series 2004-PNC1, a U.S. commercial mortgage-backed securities
(CMBS) transaction. "In addition, we affirmed our ratings on seven
other classes from the same transaction," S&P said.
"The rating actions follow our analysis of the credit
characteristics of the remaining collateral in the pool, the
transaction structure, and the liquidity available to the trust.
The upgrades reflect increased credit enhancement due to the
deleveraging of the pool balance and liquidity levels that provide
adequate support through various stress scenarios," S&P said.
"The affirmed ratings on the principal and interest certificates
reflect subordination and liquidity support levels that are
consistent with the outstanding ratings. We affirmed our 'AAA
(sf)' rating on the class X interest-only (IO) certificate based
on our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.69x and a loan-to-value
(LTV) ratio of 82.4%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted-average DSC of 1.17x
and an LTV ratio of 105.2%. The implied defaults and loss severity
under the 'AAA' scenario were 47.6% and 14.9%. The DSC and LTV
calculations exclude 17 ($210.1 million, 27.5%) defeased loans and
four ($25.2 million, 3.3%) loans that are currently with the
special servicers. We separately estimated losses for the excluded
specially serviced assets and included them in our 'AAA' scenario
implied default and loss severity figures," S&P said.
TRANSACTION SUMMARY
As of the May 14, 2012, trustee remittance report, the collateral
pool balance was $764.0 million, which is 69.6% of the balance at
issuance. The pool includes 87 loans, down from 100 loans at
issuance. The master servicer, Midland Loan Services Inc.
(Midland), provided financial information for 99.2% of the
nondefeased loan balance, 65.8% of which was interim or full-year
2011 data and 33.2% was full-year 2010 data.
"We calculated a weighted average DSC of 1.81x for the loans in
the pool based on the servicer-reported figures. Our adjusted DSC
and LTV ratio were 1.69x and 82.4%. Our adjusted DSC and LTV
figures exclude 17 ($210.1 million, 27.5%) defeased loans and four
($25.2 million, 3.3%) specially serviced loans. The reported
weighted average DSC for the four specially serviced loans was
0.75x. The transaction has experienced $43.8 million in principal
losses from five assets to date. Fourteen loans ($95.9 million,
12.6%) in the pool are on the master servicer's watchlist,
including two of the top 10 loans in the pool. Sixteen loans
($71.3 million, 9.3%) have a reported DSC of less than 1.10x, 11
of which ($50.6 million, 6.6%) have reported a DSC below 1.00x,"
S&P said.
SUMMARY OF THE TOP 10 LOANS SECURED BY REAL ESTATE
"The top 10 loans secured by real estate have an aggregate
outstanding balance of $296.3 million (38.8%). Using servicer-
reported numbers, we calculated a weighted average DSC of 2.24x
for nine of the top 10 loans. The remaining top 10 loan ($12.1
million, 1.6%) is with one of the special servicers. Our adjusted
DSC and LTV ratio for nine of the top 10 loans, excluding the
specially serviced loan, were 1.87x and 84.6%. Two of the top 10
loans ($32.0 million, 4.2%) are on the master servicer's
watchlist," S&P said.
"The Belvidere Industrial Portfolio loan ($20.2 million, 2.6%) is
the third-largest nondefeased loan in the pool and was placed on
the master servicer's watchlist after a major tenant comprising
255,000 sq. ft. of space vacated upon its lease expiration in July
2010. This loan is secured by six industrial properties totaling
652,800 sq. ft. in Belvidere, Ill., about 70 miles east of
Chicago. According to the Jan. 19, 2012, rent roll, two new
tenants leased the 255,000 sq. ft. of vacant space in 2011 until
2016. Occupancy was 94.9% according to the January 2012 rent roll.
However, Midland indicated that another major tenant comprising
70,000 sq. ft. recently vacated the property. The borrower has
identified several prospective tenants and is in preliminary lease
negotiations. The DSC was 1.46x as of year-end 2011," S&P said.
"The Tri County Crossing loan ($11.8 million, 1.6%) is the ninth-
largest nondefeased loan in the pool and was placed on the master
servicer's watchlist due to a low reported DSC. The loan is
secured by a 146,279-sq.-ft. retail property in Springdale, Ohio,
about 20 miles north of Cincinnati. The master servicer indicated
that the decrease in DSC is due to significantly reduced rental
rates at the property. The reported DSC was 1.05x for the nine
months ending Sept. 30, 2011, and the property was 100% occupied
by three tenants according to the September 2011 rent roll," S&P
said.
CREDIT CONSIDERATIONS
"As of the May 14, 2012, trustee remittance report, four loans
($25.2 million, 3.3%) in the pool were with the special servicers,
Midland and NS Servicing II LLC (NS), one of which is a top 10
loan. The reported payment status of the specially serviced loans
is: two are 90-plus-days delinquent ($11.8 million, 1.5%); one is
60-days delinquent ($1.3 million, 0.2%); and one is a matured
balloon loan ($12.1 million, 1.6%). Appraisal reduction amounts
(ARAs) totaling $6.3 million are in effect against two of the four
specially serviced loans. Details on the two largest loans with
the special servicers are as set forth," S&P said.
"The Palm Harbor Shopping Village loan ($12.1 million, 1.6%) is
secured by a 172,758-sq.-ft. anchored shopping center in Palm
Coast, Fla., and is the largest specially serviced loan and
seventh-largest nondefeased loan in the pool. The loan was
transferred to the special servicer (NS) on April 25, 2011, due to
imminent maturity default. The loan matured on May 1, 2011.
According to NS, the borrower has continued to fund the debt
service payments as it continues lease negotiations with a major
tenant in order to eventually obtain financing for the loan. The
reported DSC was 1.52x as of year-end 2011. However, occupancy was
52.1% according to the March 2012 rent roll. Standard & Poor's
anticipates a minimal loss upon the eventual disposition of this
loan," S&P said.
"The 101 Corporate Center loan ($8.7 million, 1.1%) is the second-
largest specially serviced loan. The loan was transferred to
special servicing on Nov. 13, 2009, due to monetary default and
the current reported payment status is 90-plus-days delinquent.
The collateral for the loan is a 77,952-sq.-ft. office property in
Phoenix, Ariz., and Midland indicated that a sale is pending. An
ARA of $4.8 million is in effect against this loan. Standard &
Poor's anticipates a significant loss upon the eventual
disposition of this loan," S&P said.
"The remaining two specially serviced loans have individual
balances that represent less than 0.45% of the total pool balance.
An ARA totaling $1.5 million is in effect against one of the
loans. Standard & Poor's estimated losses for the two remaining
specially serviced loans, representing a weighted average loss
severity of 54.0%," S&P said.
"Standard & Poor's stressed the collateral in the pool according
to its current criteria. The resultant credit enhancement levels
are consistent with our raised and affirmed ratings," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
RATINGS RAISED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-PNC1
Rating
Class To From Credit enhancement (%)
B AA+ (sf) AA- (sf) 11.33
C AA- (sf) A+ (sf) 9.53
D BBB+ (sf) BBB (sf) 7.20
RATINGS AFFIRMED
JPMorgan Chase Commercial Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2004-PNC1
Class Rating Credit enhancement (%)
A-1A AAA (sf) 15.10
A-3 AAA (sf) 15.10
A-4 AAA (sf) 15.10
E BB+ (sf) 5.76
F B (sf) 3.60
G CCC- (sf) 2.17
X AAA (sf) N/A
N/A-Not applicable.
LB COMMERCIAL 2007-C3: Moody's Corrects April 26 Ratings Release
----------------------------------------------------------------
Moody's Investors Service issued a correction to the April 26,
2012 ratings release of LB Commercial Mortgage Trust 2007-C3
Commercial Mortgage Pass-Through Certificates, Series 2007-C3.
Moody's downgraded the ratings of nine classes, confirmed four
classes and affirmed 11 classes LB Commercial Mortgage Trust 2007-
C3 Commercial Mortgage Pass-Through Certificates, Series 2007-C3
as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-2FL, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-4B, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
Cl. A-4FL, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Mar 9, 2011
Confirmed at Aaa (sf)
Cl. A-M, Downgraded to A1 (sf); previously on Feb 1, 2012 Aa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-MB, Downgraded to A1 (sf); previously on Feb 1, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-MFL, Downgraded to A1 (sf); previously on Feb 1, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-J, Downgraded to B2 (sf); previously on Feb 1, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. A-JFL, Downgraded to B2 (sf); previously on Feb 1, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to B3 (sf); previously on Feb 1, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. C, Downgraded to Caa1 (sf); previously on Feb 1, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Cl. D, Downgraded to Caa2 (sf); previously on Feb 1, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Caa3 (sf); previously on Feb 1, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. F, Confirmed at Ca (sf); previously on Feb 1, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. G, Confirmed at Ca (sf); previously on Feb 1, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. H, Confirmed at Ca (sf); previously on Feb 1, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. J, Affirmed at C (sf); previously on Oct 22, 2009 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Oct 22, 2009 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Oct 22, 2009 Downgraded
to C (sf)
Cl. X, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Rating Rationale
On February 1, 2012, 12 CMBS classes were placed on review for
possible downgrade. This review concludes the action.
The downgrades are due to projected interest shortfalls from
specially serviced loans and the deterioration in the credit
support caused by realized and anticipated losses from specially
serviced and troubled loans.
The confirmation and affirmations are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
11.1% of the current balance. At last review, Moody's cumulative
base expected loss was 10.7%. Moody's stressed scenario loss is
25.9% of the current balance. Realized losses have increased to
2.5% of the original balance from 0.6% since the prior review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of the
slowdown in growth in the current macroeconomic environment and
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 Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating Large Loan/Single Borrower
Transactions" published in July 2000 and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
The conduit model includes an IO calculator, which uses 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 calculator then returns a
calculated IO rating based on both a target and mid-point. For
example, a target rating basis for a Baa3 (sf) rating is a 610
rating factor. The midpoint rating basis for a Baa3 (sf) rating is
775 (i.e. the simple average of a Baa3 (sf) rating factor of 610
and a Ba1 (sf) rating factor of 940). If the calculated IO rating
factor is 700, the IO calculator would provide both a Baa3 (sf)
and Ba1 (sf) IO indication for consideration by the rating
committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19 compared to 21 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.3 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output. The rating
action is a result of Moody's on-going surveillance of commercial
mortgage backed securities (CMBS) transactions. Moody's monitors
transactions on a monthly basis through a review utilizing
MOST(R)(Moody's Surveillance Trends) Reports and a proprietary
program that highlights significant credit changes that have
occurred in the last month as well as cumulative changes since the
last full transaction review. On a periodic basis, Moody's also
performs a full transaction review that involves a rating
committee and a press release. Moody's prior transaction review is
summarized in a press release dated February 24, 2011.
DEAL PERFORMANCE
As of the April 17, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 12% to $2.83
billion from $3.23 billion at securitization. The Certificates are
collateralized by 107 mortgage loans ranging in size from less
than 1% to 15% of the pool, with the top ten loans representing
57% of the pool. Loan representing 98% of the pool are either full
or partial term interest-only. The pool's weighted average
maturity (WAM) is 60 months. The pool contains two loans with
investment-grade credit estimates, representing 2% of the pool.
Twenty-one loans, representing 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
The liquidation of eight loans at an overall 66% loss severity and
principle write-downs of two modified loans generated an aggregate
realized loss of $82.1 million since securitization. Thirty-six
loans, representing 25% of the pool, are currently in special
servicing. The largest specially serviced loan is the 237 Park
Avenue Loan ($419.6 million -- 14.8% of the pool), which is
secured by a 1.1 million square foot (SF) Class A office building
located in the Grand Central office sub-market of New York City.
At securitization the loan was also encumbered by a $225.4 million
B-Note and $225.0 million in mezzanine debt. The loan transferred
to special servicing in January 2010 due to imminent default. The
loan was modified to allow full monthly payment on the A-note debt
service, building expenses and partial payment of the B-note debt
service to the extent that cash is available. The A-note is
current. As of January 2012, the building was 82% leased compared
to 89% at last review. The largest tenants are JW Thompson (23% of
the net rentable area (NRA)), Credit Suisse (23% of the NRA) and
JPMorgan Chase (22% of the NRA). Moody's NCF at securitization
incorporated significant revenue growth based on the strength of
the New York's office market and the expectation that the
property's cash flow would increase as leases rolled. As of
December 2011, the property's net operating income was $38.3
million compared to $41.2 million at securitization. A 2010
appraisal report indicates a value of $618.0 million, or $522 per
square foot. Moody's does not estimate a loss from this loan at
the moment.
The second largest specially serviced loan is the Larken Portfolio
Loan ($172.0 million -- 6.1% of the pool), which is secured by a
portfolio comprised of 20 office, retail and industrial properties
located in New Jersey. The loan was transferred to special
servicing in May 2009 due to imminent default. As of January 2012,
the portfolio was 82% leased compared to 79% at last review and
99% at securitization. The servicer is discussing a loan
modification with the borrower.
The third largest specially serviced loan is the Westshore Cove
Loan ($50.0 million -- 1.8% of the pool), which is secured by a
689-unit, multi-family apartment complex in Tampa, Florida. The
loan was transferred to special servicing in September 2008 for
payment default. As of December 2009, the property was 85% leased.
The property is REO and the servicer anticipates listing it for
sale shortly.
The remaining specially serviced properties are secured by a mix
of property types. The master servicer has recognized an aggregate
$117.5 million appraisal reduction for 33 of the specially
serviced loans. Moody's has estimated an aggregate $128.9 million
loss (46% expected loss on average) for 35 of the specially
serviced loans.
Based on the most recent remittance statement, Classes B through G
have experienced cumulative interest shortfalls totaling $26.3
million. Moody's anticipates that the pool will continue to
experience interest shortfalls because of the high exposure to
modified and specially serviced loans. Interest shortfalls are
caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs), extraordinary trust expenses and non-advancing by the
master servicer based on a determination of non-recoverability.
Moody's has assumed a high default probability for 12 poorly
performing loans representing 12% of the pool and has estimated an
aggregate $63.5 million loss (33% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2010 and 2011 operating
results for 91% and 95%, respectively, of the non-specially
serviced loans in the pool. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 108%, essentially
the same as at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 7.0% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 8.9%.
Excluding special serviced and troubled, Moody's actual and
stressed DSCRs are 1.40X and 0.94X, respectively, compared to
1.44X and 0.96X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
Currently, there are two loans with investment-grade credit
estimates in the pool. The 315 Hudson Street Loan ($35.0 million -
- 1.2% of the pool) is secured by a 10-story, 447,000 SF Class B
office property located in the Tribeca section of New York City.
Performance remains stable. Moody's credit estimate and stressed
DSCR are Aaa and 2.43X, essentially the same as at last review.
The 133 East 58th Street Loan ($25.0 million -- 0.9% of the pool)
is secured by a 14-story, 129,000 SF Class B office property with
ground-floor- retail located on 58th Street and Lexington Avenue
in New York City. The property's performance has continued to
improve since 2008 due to higher revenues. Moody's credit estimate
and stressed DSCR are Aa3 and 1.86X, respectively, compared to A2
and 1.74X at last review.
The top three performing conduit loans represent 21% of the pool.
The largest loan is the Rosslyn Portfolio Loan ($310.0 million --
10.9% of the pool), which is secured by two office properties,
totaling 1.4 million SF, located on Wilson Boulevard in the
Rosslyn/Ballston sub-market of Arlington, Virginia. The properties
are in close proximity to the Pentagon and Georgetown. The
property is also encumbered by a $257.7 million B-note. As of
March 2012, the two properties were 87% leased compared to 93% at
last review. The largest tenant is the General Service
Administration (GSA), which leases 19% of the NRA. In light of the
implementation of the 2005 Base Realignment and Closure (BRAC)
initiative, the GSA recently renewed many of the leases in the
property, except for approximately 6,200 SF that is due to expire
in June 2012. The second largest tenant in the property is
Northrop Grumman (Moody's senior unsecured rating of Baa1; stable
outlook), which leases approximately 10% of the NRA. The tenant
has confirmed that they it will vacate the premises upon lease
expiration in December 2012. Per the most recent CBRE Economic
Advisors sub-market report, the average asking office rent in the
Rosslyn market is $38.20 per square foot. Data from both Cushman
and Wakefield and Grubb & Ellis indicate asking office rents
between $42 and $45 with vacancy rate between 11% and 12%. The
sub-market vacancy rate is projected to rise due to the effects of
BRAC and new office space coming to the market. Moody's cash flow
analysis incorporated a stabilized occupancy of 86% with current
market tenant improvement (TIs) expenditure of $40 per square
foot. The sponsor is Monday Properties. Moody's LTV and stressed
DSCR are 75% and 1.26X, respectively, compared to 70% and 1.35X at
last review.
The second largest loan is the 110 William Street Loan ($156.6
million -- 5.5% of the pool), which is secured by a 32-story,
868,000 SF Class A office building located in the City Hall sub-
market in New York City. As of March 2012, the building was 91%
leased compared to 93% at last review. Approximately 58% of the
property is occupied by New York City and State government
agencies. As of December 2011, the property's performance has
improved since 2008 due to higher base revenues. According to CBRE
Economic Advisors, the average sub-market asking office rent is
$33.65 per square foot with a vacancy rate of 5%. Recent office
rent comparables range from $32 to $45 per square foot. The loan
is on the watchlist due to pending maturity in June 2012. At
securitization, the loan was structured as five-year, interest-
only loan. The sponsor is Swig Equities. Moody's LTV and stressed
DSCR are 120% and 0.81X, respectively, compared to 130% and 0.77X
at last review.
The third largest loan is the 300 West 6th Street Loan ($127.0
million -- 4.5% of the pool), which is secured by a 23-story,
454,000 SF Class A office building located in the Central Business
District of Austin, Texas. The property is in close proximity to
the State Capital Building, the Federal Courthouse and the
University of Texas campus. As of March 2012, the property was 93%
leased compared to 87% in 2010. The largest tenants are Akin,
Gump, Strauss, Hauer and Feld (19% of the NRA; lease expiration in
2014), Green Mountain Energy (18% of the NRA; various lease
expiration through to 2023) and Facebook (13% of the NRA; lease
expiration in 2016.) Historically, the property's performance had
been declining since 2008 due to lower base revenues and expenses
re-imbursements. With the improvement in occupancy due to new
leases and tenant expansions, overall performance is anticipated
to improve in 2012. However, free rent concessions, higher tenant
improvement and leasing commissions expenditure will partially
offset the increase in revenues. According to CBRE Economic
Advisors, the sub-market average office asking rent is $21.29 per
square foot with a vacancy rate of 14%. The loan is on the watch
list for low DSCR. At securitization, the loan was structured as a
ten-year, interest-only loan. The sponsor is the Thomas Propreties
Group. Moody's LTV and stressed DSCR are 140% and 0.71X,
respectively, essentially the same as at last review.
LB-UBS COMMERCIAL 2001-C2: Fitch Affirms 'D' Ratings on 4 Notes
---------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of LB-UBS Commercial
Mortgage Trust 2001-C2 commercial mortgage pass-through
certificates, series 2001-C2, as follows:
-- $6.4 million class D notes at 'AAAsf'; Outlook Stable;
-- $13.2 million class E notes at 'AAAsf'; Outlook Stable;
-- $19.8 million class F notes at 'AA-sf'; Outlook Stable;
-- $16.5 million class G notes at 'BBBsf'; Outlook Stable;
-- $23.1 million class H notes at 'Bsf'; Outlook Negative;
-- $14.8 million class J notes at 'Csf'; RE 50%;
-- $3.4 million class K notes at 'Dsf'; RE 0%;
-- Class L notes at 'Dsf'; RE 0%;
-- Class M notes at 'Dsf'; RE 0%;
-- Class N notes at 'Dsf'; RE 0%;
-- Class P notes at 'Dsf'; RE 0%.
As of the May 2012 remittance report the transaction balance has
been reduced by 92.6% to $97.3 million from $1.3 billion at
issuance. Six loans remain in the transaction, of which three
loans (26.8%) are in special servicing. Fitch modeled additional
losses of 11.4% of the remaining pool for a total, including
losses to date, of 5% of the original balance.
Fitch stressed the cash flow of the remaining loans by applying a
5% reduction to 2011 or 2010 fiscal year-end net operating income,
and applying an adjusted market cap rate between 8.1% and 9% to
determine value. All the loans also underwent a refinance test by
applying an 8% interest rate and 30-year amortization schedule to
the stressed cash flow. Only one of the loans was modeled to pay
off at maturity, and could refinance to a debt-service coverage
ratio (DSCR) above 1.25x. While the credit enhancement of the
class F through H notes has improved, an upgrade is not warranted
given the increasing concentration and expected pool losses.
The largest loan in the portfolio (66.1% of the remaining pool
balance) is secured by 1,168,681 square foot (sf) mall located 12
miles south east of Oakland, CA. The loan has maintained high
occupancy for the past few years but has experienced declining
income due to lower rental rates. Additionally, one of the
original anchors recently vacated the property. The loan was not
modeled to experience a loss.
The largest contributor to modeled losses is secured by three
office buildings (12.7%) that total 197,000 sf located 15 miles
north of Atlanta, GA. The loan transferred to special servicing
on Feb. 2, 2010 for imminent default, and was foreclosed on Sept.
7, 2010. The special servicer is marketing the property for sale
and working to maintain occupancy.
The second largest contributor to modeled losses is a 106,000 sf
office property (9.6%) in Carrolton, TX. The special servicer
foreclosed on the property on June 7, 2011 and is working to
stabilize the asset.
Fitch does not rate the class Q notes and previously withdrew the
ratings on the X notes. Classes A-1, A-2, B, and C notes have
paid in full.
LCM II: Moody's Upgrades Rating on Class E-1 Notes from 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by LCM II:
U.S. $13,500,000 Class C Floating Rate Deferrable Interest Notes
due 2016, Upgraded to Aaa (sf); previously on August 8, 2011,
Upgraded to Aa3 (sf);
U.S. $21,000,000 Class D Floating Rate Deferrable Interest Notes
due 2016, Upgraded to Baa1 (sf); previously on August 8, 2011,
Upgraded to Baa3 (sf);
U.S. $4,800,000 Class E-1 Floating Rate Deferrable Interest Notes
due 2016 (current outstanding balance of $1,818,218), Upgraded to
Baa3 (sf); previously on August 8, 2011, Upgraded to Ba1 (sf); and
U.S. $4,200,000 Class E-2 Fixed Rate Deferrable Interest Notes due
2016 (current outstanding balance of $1,590,941), Upgraded to Baa3
(sf); previously on August 8, 2011, Upgrade to Ba1 (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 August 2011. Moody's notes that the Class A
Notes have been paid down by approximately 39% or $70.4 million
since the rating action in August 20011. In addition, excess
interest proceeds have reduced the outstanding balance of the
Class E-1 Notes and Class E-2 Notes by $306K and $268K,
respectively. As a result of the deleveraging, the
overcollateralization ratios have increased. Based on the latest
trustee report dated May 16, 2012, the Class A/B, Class C, Class D
and Class E overcollateralization ratios are reported at 151.45%,
136.00%, 117.37% and 114.82%, respectively, versus July 2012
levels of at 125.30%, 118.70%, 109.71% and 108.05%, respectively.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on the April 2012 trustee
report, reference securities that mature after the maturity date
of the notes currently make up approximately 24% of the underlying
reference portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $180 million,
defaulted par of $0, a weighted average default probability of
14.36% (implying a WARF of 2506), a weighted average recovery rate
upon default of 52.46%, and a diversity score of 41. 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.
LCM II, issued in November 2004, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
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% (2005)
Class A: +0
Class B: +0
Class C: + 0
Class D: +3
Class E-1: +2
Class E-2: +2
Moody's Adjusted WARF + 20% (3007)
Class A: -0
Class B: -0
Class C: -1
Class D: -1
Class E-1: -1
Class E-2: -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. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
LIME STREET CLO: S&P Raises Rating on Class E Notes to 'B+'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A and E notes from Lime Street CLO Ltd., a U.S. collateralized
loan obligation (CLO) transaction managed by Feingold O'Keeffe
Capital LLC. "Simultaneously, we affirmed the ratings on the class
B, C, and D notes," S&P said.
"The upgrades mainly reflect an improvement in the performance of
the transaction's underlying credit quality since February 2010,
when we downgraded the class A and B notes following the
application of our September 2009 corporate collateralized debt
obligation (CDO) criteria," S&P said.
"According to the April 5, 2012 trustee report, the 'CCC' rated
assets were $12.74 million or 3.28% of the total portfolio. This
was down from $31.87 million or 8.20% of the total portfolio noted
in the Jan. 12, 2010, trustee report, which we used for the
February 2010 rating actions. In addition, the weighted average
spread has increased by 0.76% since January 2010," S&P said.
The transaction is currently in its reinvestment period until
September 2013.
"We affirmed our ratings on the class B, C, and D notes to reflect
the credit support available is commensurate with their current
rating levels," S&P said.
"Lastly, the application of the largest obligor default test drove
the rating on the class E notes. The test is a supplemental stress
test we introduced as part of our 2009 corporate criteria update,"
S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
RATING ACTIONS
Lime Street CLO Ltd.
Rating
Class To From
A AA+ (sf) AA (sf)
E B+ (sf) B- (sf)
RATINGS AFFIRMED
Lime Street CLO Ltd.
Class Rating
B A+ (sf)
C BBB+ (sf)
D BB+ (sf)
LONG BEACH 2002-1: Moody's Raises Rating on Cl. M2 Tranche to Ca
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches, upgraded the rating of one tranche, and confirmed the
ratings of two tranches from two RMBS transactions, backed by
Subprime loans, issued by Long Beach Mortgage Loan 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, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 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).
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 still expects below-trend growth for the US
economy for 2012, with the unemployment rate remaining high
between 8% and 9% and home prices dropping another 1% from their
4Q 2011 levels.
Complete rating actions are as follows:
Issuer: Long Beach Mortgage Loan Trust 2001-4, Asset Backed
Certificates, Series 2001-4
Cl. II-A1, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. II-A3, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Long Beach Mortgage Loan Trust 2002-1
Cl. II-M1, Confirmed at B3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. M2, Upgraded to Ca (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. M3, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286413
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
MASTR RESECURITIZATION: Moody's Reviews 'Ca' Rating on N-2 Notes
----------------------------------------------------------------
Moody's Investors Service has placed on upgrade review the rating
of Class N2 issued by MASTR Resecuritization 2005-4CI.
Complete rating actions are as follows:
Issuer: MASTR Resecuritization 2005-4CI
Cl. N-2, Ca (sf) Placed Under Review for Possible Upgrade;
previously on Jun 9, 2011 Downgraded to Ca (sf)
RATINGS RATIONALE
The action is a result of faster paydown on the Class N2 bond than
previously expected, resulting in higher credit enhancement as
compared to the loss expectations on the pools of mortgages
backing the underlying certificate. The Class N2 bond currently
receives payments sequentially to the other Classes N3 to N7
issued by the resecuritization and has received over $2.4 million
in payments over the past year and has a current outstanding
balance of $5.2 million.
The principal methodology used in this rating was "Moody's
Approach to Rating US Resecuritized Residential Mortgage-Backed
Securities" published in February 2011.
The resecuritization is backed by one outstanding underlying
interest-only bond - Class X issued by WaMu 2005-AR6 Trust. The
underlying certificate is backed primarily by Option Arm loans and
is currently rated Caa3.
Moody's ratings on the resecuritization notes are based on:
1. The updated expected loss on the pools of loans backing the
underlying certificate and the updated rating on the underlying
certificate,
2. The credit enhancement available to the underlying certificate,
and
3. The structure of the resecuritization transaction.
The principal methodology used in determining the ratings of the
underlying bonds is described in the Monitoring and Performance
Review section in "Moody's Approach to Rating US Residential
Mortgage-Backed Securities" published in December 2008. For other
methodologies used for estimating losses on Option Arm pools,
please refer to the methodology publication "2005 -- 2008 US RMBS
Surveillance Methodology" published in July 2011. The methodology
Moody's uses in rating interest-only securities is "Moody's
Approach to Rating Structured Finance Interest-Only Securities,"
published in February 2012.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. Moody's expects growth in the US
to remain below trend for the rest of 2012, and then pick up again
in 2013. The unemployment rate fell from 9.1% in April 2011 to
8.2% in March 2012. Moody's forecasts a further drop to 7.8% for
2013. House prices are expected to drop another 1% from their
4Q2011 levels before gradually rising towards the end of 2013.
Performance of RMBS continues to remain highly dependent on
servicer procedures; any change due to servicing transfers or
other policy/regulatory change can impact the performance of the
transaction.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF285763
MILLERTON ABS: S&P Lowers Rating on Class A-1 Notes to 'CC(sf)'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 notes from Millerton ABS CDO Ltd., a collateralized debt
obligation (CDO) transaction backed by mezzanine structured
finance assets, to 'CC (sf)' from 'CCC+ (sf)'. "Simultaneously, we
removed the rating from CreditWatch with negative implications
where we placed it on Feb. 10, 2012. At the same time, we affirmed
our rating on the class A-2 notes," S&P said.
"We lowered our rating on the class A-1 notes to 'CC (sf)' and
removed it from CreditWatch with negative implications based on
our review of the underlying collateral and the increased
likelihood that the class A-1 notes will not receive their full
payment of principal. On Feb. 10, 2012, we placed our rating on
class A-1 on CreditWatch with negative implications due to
deterioration in the credit quality of the transaction's portfolio
since our previous rating action on Aug. 30, 2010. According to
the April 30, 2012, trustee report, the transaction currently
holds collateral with a par value of $155.94 million, $88.14
million of which is defaulted," S&P said.
"We affirmed the rating on the class A-2 notes because
transaction's credit quality is commensurate with the current
rating level," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
RATING AND CREDITWATCH ACTION
Millerton ABS CDO Ltd.
Rating
Class To From
A-1 CC (sf) CCC+ (sf)/Watch Neg
RATINGS AFFIRMED
Millerton ABS CDO Ltd.
Class Rating
A-2 CC (sf)
OTHER RATINGS OUTSTANDING
Millerton ABS CDO Ltd.
Class Rating
B D (sf)
C D (sf)
MORGAN STANLEY 2003-IQ5: Fitch Keeps Ratings on 13 Cert. Classes
----------------------------------------------------------------
Fitch Ratings affirms 13 classes of Morgan Stanley Capital I Trust
commercial mortgage pass through certificates, series 2003-IQ5.
The affirmations are due to the stable performance of the pool and
minimal expected losses as there are no loans currently in special
servicing. Despite increased credit enhancement of the classes,
affirmations reflect the high concentration of loans maturing in
2013 and exposure to single-tenant properties with refinance risk.
Positive Outlooks reflect increased credit enhancement to senior
classes as a result of paydown and defeasance. Any incurred losses
will be absorbed by the non-rated O class.
As of the May 2012 distribution date, the pool's aggregate
principal balance has been paid down by 51.0% to $381.8 million
from $778.8 million at issuance.
There are 60 remaining loans from the original 86 loans at
issuance. Of the remaining loans, seven loans (17.9%) have
defeased.
Fitch affirms the following classes as indicated:
-- $273.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $22.4 million class B at 'AAAsf; Outlook Stable;
-- $30.2 million class C at 'AA+sf'; Outlook Positive;
-- $7.8 million class D at 'AA-sf'; Outlook Positive;
-- $5.8 million class E at 'A+sf'; Outlook Stable;
-- $6.8 million class F at 'A-sf'; Outlook Stable;
-- $7.8 million class G at 'BBBsf'; Outlook Stable;
-- $5.8 million class H at 'BBB-sf'; Outlook Stable;
-- $2.9 million class J at 'BB+sf'; Outlook Stable;
-- $4.9 million class K at 'BBsf'; Outlook Stable;
-- $2.9 million class L at 'B+sf'; Outlook Stable;
-- $1.9 million class M at 'Bsf'; Outlook Stable;
-- $1 million class N at 'B-sf'; Outlook Stable.
Fitch does not rate class O. Classes A-1, A-2 and A-3 have paid
in full. Additionally, Fitch has previously withdrawn the ratings
of the interest only classes X-1 and X-2 (For additional
information, see 'Fitch Revises Practice for Rating IO & Pre-
Payment Related Structured Finance Securities', dated June 23,
2010.)
MORGAN STANLEY 2007-IQ14: Moody's Retains 'C' Ratings on 8 Certs.
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of five classes,
confirmed five classes and affirmed 13 classes of Morgan Stanley
Capital I Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-IQ14 as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Jun 26, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-2FL, Affirmed at Aaa (sf); previously on Jun 26, 2007
Assigned Aaa (sf)
Cl. A-2FX, Affirmed at Aaa (sf); previously on Sep 17, 2010
Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Jun 26, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Aug 12, 2010
Confirmed at Aaa (sf)
Cl. A-4, Downgraded to A3 (sf); previously on May 18, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to A3 (sf); previously on May 18, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-1A, Downgraded to A3 (sf); previously on May 18, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-M, Downgraded to Ba2 (sf); previously on May 18, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-MFL, Downgraded to Ba2 (sf); previously on May 18, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-J, Confirmed at Caa2 (sf); previously on May 18, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-JFL, Confirmed at Caa2 (sf); previously on May 18, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. B, Confirmed at Ca (sf); previously on May 18, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on May 18, 2012 Ca (sf)
Placed Under Review for Possible Downgrade
Cl. D, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. E, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Aug 12, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Sep 3, 2009 Downgraded to
C (sf)
Cl. X, Confirmed at B1 (sf); previously on May 18, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The downgrades are due primarily to higher realized and expected
losses from specially serviced and troubled loans.
The confirmations and affirmations are due to key parameters,
including Moody's LTV ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining
within acceptable ranges. Based on Moody's current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
approximately 17% of the current deal balance. At last review,
Moody's cumulative base expected loss was approximately 13%.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the underlying rating level, is
incorporated for loans with similar credit estimates in the same
transaction.
The conduit model includes an IO calculator, which uses 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 as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 34 compared to 32 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior full
transaction review is summarized in a press release dated May 25,
2011.
DEAL PERFORMANCE
As of the May 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 13% to $4.26
billion from $4.90 billion at securitization. The Certificates are
collateralized by 379 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
41% of the pool. The pool contains no loans with investment-grade
credit estimates. Three loans, representing less than 1% of the
pool, are defeased and are collateralized by U.S. Government
securities.
There are 114 loans, representing 23% of the pool, on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Thirty-five loans have liquidated from the pool, resulting in an
aggregate realized loss of $124 million (54% average loan loss
severity). Including liquidated loans and principal write-downs
from modifed loans, total trust losses equal $146 million compared
to $53.3 million at last review. Currently, 35 loans, representing
27% of the pool, are in special servicing. The largest specially
serviced loan is the Beacon Seattle and DC Portfolio Loan ($529
million -- 12 % of the pool). The loan represents a participation
interest in $1.31 billion loan secured by a portfolio of 12 office
properties in Seattle, Washington, Washington, DC, and Northern
Virginia. The loan is pari passu with five other securitizations
and was originally collateralized by 17 properties and excess cash
flow pledges on three additional properties. The portfolio is also
encumbered by a B-Note, which exists outside the trust. The loan
transferred to special servicing in April 2010 due to imminent
payment default. A loan modification was approved in December
2010, which included a 5-year extension and a coupon reduction
from a 5.8% rate to 3%. Beacon Capital Partners is the loan
sponsor. Beacon is currently marketing for sale all properties
that remain in the portfolio. The sponsor strategy is to
deleverage the portfolio over the course of the five-year loan
extension to a point where refinance will be feasible. The
Washington area portfolio is 91% occupied and the Seattle
portfolio is 78% occupied.
The second largest loan in special servicing is the New York City
Apartment Portfolio Loan ($195 million -- 5% of the pool). The
loan is secured by a portfolio of 37 multifamily properties
located in the East Harlem section of Manhattan, New York City.
The loan transferred to special servicing in September 2008 after
the borrower declared bankruptcy. The portfolio is 85% occupied. A
bulk sale of the entire portfolio is being contemplated by the
servicer.
The remaining 34 specially serviced loans are secured by a mix of
commercial, retail and hotel property types. Moody's estimates an
aggregate $477 million loss (42% expected loss overall) for all
specially serviced loans.
Moody's has assumed a high default probability for 52 poorly-
performing loans representing 16% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $147 million loss
(21% expected loss based on a 65% probability default).
Moody's was provided with full-year 2010 and partial year 2011
operating results for 93% and 58% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 109% compared to 111% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 9% to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.32X and 0.96X, respectively, compared to
1.32X and 0.94X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 14% of the pool.
The largest loan is the Tabor Center and US Bank Tower Loan ($300
million -- 7% of the pool). The loan is secured by two Class A
office properties located in downtown Denver, Colorado.
Performance has improved and occupancy has risen to 88% from 84%
at Moody's last review. Moody's current LTV and stressed DSCR are
139% and 0.70X, respectively, compared to 137% and 0.71X at last
review.
The second-largest loan is the PDG Portfolio Loan ($212 million
-- 5% of the pool). The loan is secured by a portfolio of 11
cross-collateralized and cross-defaulted retail properties located
in suburban Phoenix, Arizona. The loan transferred to special
servicing in October 2010 due to imminent monetary default.
Portfolio occupancy was 68% in September 2011. The portfolio is
expected to face stiff headwinds in the form of a weak Phoenix-
area retail market which is expected to limit the upside potential
for lease-up of the portfolio over the next several years. The
loan was modified in November 2011, whereby the interest rate was
lowered from 5.8% to 4.25% through January 2013, at which point
the interest rate will rise to 4.5% until loan maturity in May
2017. The loan modification also included several capital event
provisions which allow for partial forgiveness of loan principal
if certain conditions are met. Moody's analysis includes an
assumption that one of these provisions will be triggered, and the
loan will take a loss equivalent to 35% of the current balance.
Moody's current LTV and stressed DSCR are 182% and 0.56X,
respectively, compared to 204% and 0.50X at last review.
The third-largest loan is the New Crow Industrial Portfolio Loan
($100 million -- 2.3% of the pool). The loan is a portfolio of
nine cross-collateralized and cross-defaulted loans, secured by
nine adjacent industrial properties located in Commerce,
California, a prominent industrial district ten miles southeast of
downtown Los Angeles. The properties are well-located near
Interstate 5 and Interstate 710. Recent lease rollover has caused
a modest drop in occupancy to 89% from 91% at Moody's last review,
and down from 99% at securitization. Moody's current LTV and
stressed DSCR are 130% and 0.73X respectively, compared to 107%
and 0.89X at last review.
NAVIGATOR CDO: Moody's Lifts Rating on Class C-2 Notes From 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Navigator CDO 2005, Ltd.:
U.S. $26,000,000 Class A-2 Floating Rate Senior Secured Term Notes
due 2017, Upgraded to Aaa (sf); previously on August 12, 2011,
Upgraded to Aa1 (sf);
U.S. $15,500,000 Class B-1 Floating Rate Secured Deferrable Term
Notes due 2017, Upgraded to Aa1 (sf); previously on August 12,
2011, Upgraded to A3 (sf);
U.S. $15,000,000 Class B-2 Fixed Rate Secured Deferrable Term
Notes due 2017, Upgraded to Aa1 (sf); previously on August 12,
2011, Upgraded to A3 (sf);
U.S. $21,500,000 Class C-1 Floating Rate Subordinate Secured
Deferrable Term Notes due 2017 (current balance of $14,786,662),
Upgraded to Baa2 (sf); previously on August 12, 2011, Upgraded to
Ba1 (sf);
U.S. $8,000,000 Class C-2 Fixed Rate Subordinate Secured
Deferrable Term Notes due 2017 (current balance of $5,502,013),
Upgraded to Baa2 (sf); previously on August 12, 2011, Upgraded to
Ba1 (sf);
U.S. $20,000,000 Class Q-2 Notes due 2017 (current rated balance
of $12,785,898), Upgraded to Aaa (sf); previously on August 12,
2011, Upgraded to A2 (sf);
U.S. $8,000,000 Class Q-3 Notes due 2017 (current rated balance of
$1,881,312), Upgraded to A1 (sf); previously on August 12, 2011,
Upgraded to Baa3 (sf);
U.S. $5,000,000 Class Q-4 Notes due 2017 (current rated balance of
$3,288,736), Upgraded to Aaa (sf); previously on August 12, 2011,
Upgraded to A2 (sf); and
U.S. $14,000,000 Class Q-5 Notes due 2017 (current rated balance
of $7,935,752), Upgraded to Aaa (sf); previously on August 12,
2011, Upgraded to A3 (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 August 2011. Moody's notes that the Class A-1
Notes have been paid down by approximately 47% or $152.6 million
since the amortization period began in October 2011. Based on the
latest trustee report dated May 2012, the Class A, Class B and
Class C overcollateralization ratios are reported at 143.30 %,
123.99 %, and 113.79% respectively, versus July 2011 levels of
126.66%, 115.59% and 109.23%, respectively.
The rating upgrades also reflect a correction to Moody's modeling
of the rated balances for the Class Q-2, Q-3, Q-4, and Q-5 notes
("Combination Notes") in its cash flow analysis. Due to an input
error, previous rating actions were based on rated balances for
the Combination Notes that had been modeled incorrectly. Moody's
has reconciled the rated balances with the trustee, and the model
inputs have been adjusted. The rating actions take into account
the correct rated balances for the Combination Notes.
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 $268 million,
defaulted par of $19 million, a weighted average default
probability of 12.97% (implying a WARF of 2579), a weighted
average recovery rate upon default of 51.12%, and a diversity
score of 51. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Navigator CDO 2005, Ltd., issued in July 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using the Binomial Expansion
Technique, as described in Section 2.3.2.1 of the "Moody's
Approach to Rating Collateralized Loan Obligations" rating
methodology published in June 2011.
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% (2063)
Class A-1A: +0
Class A-1B: +0
Class A-2: +0
Class B-1: +1
Class B-2: +1
Class C-1: +3
Class C-2: +3
Class Q-2: +0
Class Q-3: +3
Class Q-4: +0
Class Q-4: +0
Moody's Adjusted WARF + 20% (3095)
Class A-1A: -0
Class A-1B: -0
Class A-2: -0
Class B-1: -2
Class B-2: -2
Class C-1: -1
Class C-2: -1
Class Q-2: -1
Class Q-3: - 2
Class Q-4: -2
Class Q-4: -2
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. CDO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CDO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Delevering may accelerate
due to high prepayment levels in the loan market and/or collateral
sales by the manager, which may have significant impact on the
notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates.
PACIFIC COAST CDO: S&P Affirms 'CCC+' Rating on Class A Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its rating on the
class A and B notes from Pacific Coast CDO Ltd., a collateralized
debt obligation (CDO) transaction backed by mezzanine structured
finance assets. Pacific Investment Management Co. LLC manages the
transaction. "At the same time, we removed the rating on class A
from CreditWatch with negative implications, where we placed it on
March 19, 2012," S&P said.
"This transaction entered its amortization phase in October 2004
and has paid $51.09 million to the class A notes since our August
2010 rating actions. The class A balance is now $49.53 million,
which is 11.01% of its original balance. Although the class A has
continued to pay down its balance, the deal still has $16.26
million of 'CCC' rated assets and $57.69 million of defaulted
assets according to the April 2012 trustee report. The
affirmations reflect credit support that is commensurate with the
current ratings," S&P said.
"This transaction trigged an event of default (EOD) in October
2004 when the A/B overcollateralization (O/C) test dropped below
100%. The majority of the controlling class voted to accelerate
the transaction in May 2009. Acceleration does not alter the
payment waterfall in this transaction but allows the noteholders
to direct the trustee to take particular actions with respect to
the notes," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
RATING ACTION
Pacific Coast CDO Ltd.
Rating
Class To From
A CCC+ (sf) CCC+ (sf)/Watch Neg
RATING AFFIRMED
Pacific Coast CDO Ltd.
Class Rating
B CC (sf)
OTHER RATINGS OUTSTANDING
Pacific Coast CDO Ltd.
Class Rating
C-1 D (sf)
C-2 D (sf)
PANGAEA CLO 2007-1: S&P Lowers Rating on Class D Notes to 'CCC+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and B notes from Pangaea CLO 2007-1 Ltd. "At the same
time, we lowered our rating on the class D notes and affirmed our
rating on the class C notes. Pangaea CLO 2007-1 Ltd. is a
collateralized loan obligation (CLO) transaction that closed in
September 2007," S&P said.
"The transaction's reinvestment period ends in July 2014. 's
upgrades reflect the improved credit quality of the transaction's
underlying asset portfolio since our February 2010 review. We also
note that the amount of 'CCC' rated obligations held in the
portfolio has decreased over the same period. As a result, the
'CCC' obligation haircut in the overcollateralization (O/C) test
has also decreased, and the class A, B, C, and D
overcollateralization (O/C) ratios have increased," S&P said.
"The application of the largest obligor test drove the rating
actions on the class C and D notes. The test is a supplemental
stress test we introduced as part of our corporate CDO criteria
update," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
RATING ACTIONS
Pangaea CLO 2007-1 Ltd.
Rating
Class To From
A-1 AA+ (sf) AA- (sf)
A-2 AA (sf) A+ (sf)
B A- (sf) BBB (sf)
D CCC+ (sf) B- (sf)
RATING AFFIRMED
Pangaea CLO 2007-1 Ltd.
Class Rating
C BB+ (sf)
RALI SERIES: Moody's Downgrades Ratings on Two Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 27
tranches, upgraded the ratings of 9 tranches and confirmed the
ratings of 12 tranches from 9 RMBS transactions, backed by Alt-A
loans, issued by RALI.
Ratings Rationale
The actions are a result of the recent performance review of Alt-A
pools originated before 2005 and reflect Moody's updated loss
expectations on these pools.
Moody's previous rating actions on the RALI-QS transactions were
based on an incorrect allocation of losses to the senior
certificates from the related group after subordinate classes were
depleted. These losses were allocated without regard to any loss
allocation limit. However, the Pooling and Servicing Agreement
states that losses will not be allocated to the certificates if by
such allocation the balance of these certificates becomes lower
than the balance of the related loan group. Moody's has confirmed
with the Trustee that it is interpreting this language as a loss
allocation limit that provides protection to senior certificates
backed by stronger performing groups. As such, limits will be
placed on the losses allocated to all senior certificates from the
related collateral group, and Moody's has adjusted the ratings
accordingly.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities was
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
The downgrades are also a result of deteriorating performance
and/or structural features resulting in higher expected losses for
certain bonds than previously anticipated. For example, for
shifting interest structures, back-ended liquidations could expose
the seniors to tail-end losses. In Moody's current approach,
Moody's captures this risk 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 variances across the different pools and
the structural nuances 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 (10%, 5% and 3% for
the 2004, 2003 and 2002 and prior vintage respectively). The
baseline rates are higher than the average rate of new
delinquencies for larger pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans from the 2004 vintage,
the adjusted rate of new delinquency would be 10.10%. 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 0.5 to 2.0 for current delinquencies ranging from less than
2.5% to greater than 30% 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).
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: RALI Series 2003-QS17 Trust
A-I-1, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
A-I-2, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
A-P, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa1 (sf)
A-V, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf) and Placed Under Review for Possible Downgrade
CB-5, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
CB-6, Downgraded to Baa3 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
NB-1, Upgraded to A1 (sf); previously on Mar 30, 2011 Downgraded
to A3 (sf)
NB-2, Upgraded to A1 (sf); previously on Mar 30, 2011 Downgraded
to A3 (sf)
Issuer: RALI Series 2003-QS19 Trust
A-I, Downgraded to Baa1 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
A-P, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to A3 (sf)
A-V, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf) and Placed Under Review for Possible Downgrade
CB, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
NB-1, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to A3 (sf)
NB-2, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
NB-4, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to A3 (sf)
NB-6, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
NB-7, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa1 (sf)
Placed Under Review for Possible Downgrade
Issuer: RALI Series 2003-QS20 Trust
Cl. A-I, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. A-V, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. CB, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: RALI Series 2004-QA3 Trust
Cl. CB-I, Downgraded to B3 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. NB-I-1, Downgraded to B3 (sf); previously on Mar 30, 2011
Downgraded to B2 (sf)
Cl. NB-I-2, Downgraded to B3 (sf); previously on Mar 30, 2011
Downgraded to B2 (sf)
Cl. M-1, Downgraded to C (sf); previously on Mar 30, 2011
Downgraded to Ca (sf)
Issuer: RALI Series 2004-QA4 Trust
Cl. NB-I, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. NB-II-2, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Ba1 (sf)
Cl. NB-II-3, Downgraded to B2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. NB-III, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to C (sf); previously on Mar 30, 2011
Downgraded to Ca (sf)
Issuer: RALI Series 2004-QA5 Trust
Cl. A-II, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-III-2, Downgraded to B1 (sf); previously on Mar 30, 2011
Downgraded to Ba3 (sf)
Cl. A-III-3, Downgraded to Caa3 (sf); previously on Jan 31, 2012
B2 (sf) Placed Under Review for Possible Downgrade
Issuer: RALI Series 2004-QS13 Trust
Cl. A-P, Downgraded to B1 (sf); previously on Mar 30, 2011
Downgraded to Ba1 (sf)
Cl. A-V, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. CB, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Cl. NB, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Issuer: RALI Series 2004-QS2 Trust
Cl. A-I-1, Upgraded to Baa2 (sf); previously on Mar 30, 2011
Downgraded to Ba3 (sf)
Cl. A-I-2, Upgraded to Baa2 (sf); previously on Mar 30, 2011
Downgraded to Ba3 (sf)
Cl. A-I-3, Upgraded to Baa2 (sf); previously on Mar 30, 2011
Downgraded to Ba3 (sf)
Cl. A-I-4, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. A-I-5, Upgraded to Ba1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. A-P, Upgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to B1 (sf)
Cl. A-V, Confirmed at Ba3 (sf); previously on Feb 22, 2012 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. CB, Upgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to B1 (sf)
Issuer: RALI Series 2004-QS3 Trust
Cl. A-I-1, Downgraded to Ba2 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-II, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-V, Confirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Cl. CB, Confirmed at Baa3 (sf); previously on Jan 31, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286541
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://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
RALI SERIES: Moody's Downgrades Ratings on 26 Tranches to 'Ca'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 37
tranches, upgraded the ratings of 3 tranches and has placed the
ratings of 17 tranches on review, direction uncertain from 9 RMBS
transactions, backed by Alt-A loans, issued by RALI.
Ratings Rationale
Moody's previous rating actions on these transactions were based
on an incorrect allocation of losses to the senior certificates
from the related group after subordinate classes were depleted.
These losses were allocated without regard to any loss allocation
limit. However, the Pooling and Servicing Agreement states that
losses will not be allocated to the certificates if by such
allocation the balance of these certificates becomes lower than
the balance of the related loan group. Moody's has confirmed with
the Trustee that it is interpreting this language as a loss
allocation limit that provides protection to senior certificates
backed by stronger performing groups As such, limits will be
placed on the losses allocated to all senior certificates from the
related collateral group. The Trustee is in the process of
adjusting the balances of certain bonds that were inaccurately
allocated losses after the credit support depletion date, despite
having overcollateralization with respect to their related groups.
Moody's has adjusted the ratings accordingly, and certain tranches
that due to loss allocation limits are not currently receiving
losses but received them in the past will remain on watch with
direction uncertain pending the completion of the balance
correction by the Trustee.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
The methodology used in rating Interest-Only Securities was
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
To assess the rating implications of the updated loss levels on
Alt-A RMBS, each individual pool was run through a variety of
scenarios in the Structured Finance Workstation(R) (SFW), the cash
flow model developed by Moody's Wall Street Analytics. This
individual pool level analysis incorporates performance variances
across the different pools and the structural features of the
transaction including priorities of payment distribution among the
different tranches, average life of the tranches, current balances
of the tranches and future cash flows under expected and stressed
scenarios. The scenarios include ninety-six different combinations
comprised of six loss levels, four loss timing curves and four
prepayment curves. The volatility in losses experienced by a
tranche due to extended foreclosure timelines by servicers is
taken into consideration when assigning ratings.
The above mentioned approach is adjusted slightly when estimating
losses on pools left with a small number of loans to account for
the volatile nature of small pools. Even if a few loans in a small
pool become delinquent, there could be a large increase in the
overall pool delinquency level due to the concentration risk. To
project losses on pools with fewer than 100 loans, Moody's first
estimates a "baseline" average rate of new delinquencies for the
pool that varies from 10% to 21% on average. The baseline rates
are higher than the average rate of new delinquencies for larger
pools for the respective vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The fewer the number of
loans remaining in the pool, the higher the volatility in
performance. Once the loan count in a pool falls below 75, the
rate of delinquency is increased by 1% for every loan less than
75. For example, for a pool with 74 loans with a base rate of new
delinquency of 10.00%, the adjusted rate of new delinquency would
be 10.10%. in addition, if current delinquency levels in a small
pool are low, future delinquencies are expected to reflect this
trend. To account for that, the rate calculated above is
multiplied by a factor ranging from 0.2 to 2.0 for current
delinquencies ranging from less than 2.5% to greater than 80%
respectively. Delinquencies for subsequent years and ultimate
expected losses are projected using the approach described in the
"2005 -- 2008 US RMBS Surveillance Methodology" publication.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary source of assumption uncertainty is the current
macroeconomic environment, in which unemployment levels remain
high, and weakness persists in the housing market. Moody's
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: RALI Series 2005-QS13 Trust
Cl. I-A-1, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Cl. I-A-2, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Cl. I-A-3, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Cl. I-A-5, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Cl. I-A-6, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Cl. I-A-7, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Cl. II-A-3, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Issuer: RALI Series 2005-QS14 Trust
Cl. I-A-1, Downgraded to Caa1 (sf); previously on Jul 19, 2011
Confirmed at B3 (sf)
Cl. I-A-P, Downgraded to Caa2 (sf); previously on Jul 19, 2011
Confirmed at B3 (sf)
Cl. I-A-V, Downgraded to Caa1 (sf); previously on Jul 19, 2011
Confirmed at B3 (sf)
Issuer: RALI Series 2005-QS15
Cl. I-A, Downgraded to Ca (sf); previously on Jun 7, 2010
Downgraded to Caa3 (sf)
Cl. III-A, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Jun 7, 2010 Downgraded to Caa3 (sf)
Cl. A-V, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Jun 7, 2010 Downgraded to Caa3 (sf)
Cl. A-P, Downgraded to Ca (sf); previously on Jun 7, 2010
Downgraded to Caa3 (sf)
Issuer: RALI Series 2005-QS7 Trust
Cl. A-P, Downgraded to Caa3 (sf); previously on Jun 7, 2010
Downgraded to Caa2 (sf)
Issuer: RALI Series 2006-QS11 Trust
Cl. I-A-1, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-2, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-3, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-4, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-7, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-8, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. A-V, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Issuer: RALI Series 2006-QS3 Trust
Cl. I-A-1, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-2, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-3, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-5, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-6, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-7, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-8, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-9, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-10, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-11, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-12, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Cl. I-A-14, Caa3 (sf) Placed Under Review Direction Uncertain;
previously on Dec 23, 2010 Downgraded to Caa3 (sf)
Issuer: RALI Series 2006-QS9 Trust
Cl. I-A-1, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-2, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-3, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-4, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-5, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-6, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-7, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-8, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-9, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-10, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-11, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-12, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-13, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-14, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-15, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-16, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Cl. I-A-V, Downgraded to Ca (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Issuer: RALI Series 2007-QA5 Trust
Cl. III-A-1, Upgraded to Caa2 (sf) and Placed Under Review
Direction Uncertain; previously on Dec 14, 2010 Downgraded to Ca
(sf)
Issuer: RALI Series 2007-QS4 Trust
Cl. V-A-1, Upgraded to B3 (sf) and Placed Under Review Direction
Uncertain; previously on Dec 23, 2010 Confirmed at Caa1 (sf)
Cl. V-A-2, Upgraded to B3 (sf) and Placed Under Review Direction
Uncertain; previously on Dec 23, 2010 Confirmed at Caa1 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286539
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://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
RAMP SERIES: Moody's Cuts Ratings on 10 Tranches of Subprime RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of ten
tranches, upgraded the rating of one tranche, and confirmed the
ratings of four tranches from six RMBS transactions, backed by
Subprime loans, issued by Residential Asset Mortgage Products
(RAMP) trusts.
Rating 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, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities was
"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 still expects below-trend growth for the US
economy for 2012, with the unemployment rate remaining high
between 8% and 9% and home prices dropping another 1% from their
4Q 2011 levels.
Complete rating actions are as follows:
Issuer: RAMP Series 2002-RS3 Trust
Cl. A-II-1, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-II-S, Confirmed at Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf) and Placed Under Review for Possible
Downgrade
Cl. M-I-1, Downgraded to C (sf); previously on Mar 30, 2011
Downgraded to Ca (sf)
Issuer: RAMP Series 2002-RS6 Trust
Cl. A-I-5, Downgraded to Caa2 (sf); previously on Mar 30, 2011
Downgraded to Caa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-II, Upgraded to Caa1 (sf); previously on Jan 31, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RAMP Series 2003-RS11 Trust
A-I-6A, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
A-I-6B, Downgraded to B1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to B1 (sf); previously on Jan 31,
2012 Baa1 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
A-I-7, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
M-I-1, Downgraded to Ca (sf); previously on Jan 31, 2012 Caa1 (sf)
Placed Under Review for Possible Downgrade
M-II-1, Confirmed at A3 (sf); previously on Jan 31, 2012 A3 (sf)
Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2003-RS5 Trust
A-II-A, Downgraded to Caa1 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
A-II-B, Confirmed at B1 (sf); previously on Jan 31, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: RAMP Series 2003-RS9 Trust
Cl. M-II-1, Confirmed at Ba3 (sf); previously on Jan 31, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Issuer: RAMP Series 2004-RS6 Trust
Cl. M-I-1, Downgraded to Ba3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-I-2, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286414
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
ROSEDALE CLO II: S&P Lowers Rating on Class E Notes to 'D(sf)'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
E notes from Rosedale CLO II Ltd. to 'D (sf)' from 'CC (sf)', a
collateralized loan obligation (CLO) transaction managed by JMP
Credit Advisors LLC.
"We lowered our rating on the class E notes to 'D (sf)' based on
our review of the underlying collateral and the likelihood that
the class E will not receive its ultimate payment of principal.
This class has an outstanding balance of $11.57 million," S&P
said.
"We previously lowered our rating on the class E notes to 'CC
(sf)' on Jan. 10, 2012, based on information indicating that the
collateral manager expected a principal loss on the class E notes
after the liquidation," S&P said.
According to the April 30, 2012, trustee report, the transaction
currently holds collateral with a par value of $5.34 million,
$3.84 million of which is defaulted.
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/1111639.pdf
SARGAS CLO I: S&P Affirms 'BB' Rating on Class D Notes
------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Sargas CLO I Ltd., a U.S. collateralized loan
obligation (CLO) transaction managed by Pangaea Asset Management
LLC. "At the same time, we affirmed the ratings on the class A-1,
A-2A, A-2B, and D notes," S&P said.
"The transaction is currently in its reinvestment period, which
ends in August 2012. We raised the ratings on the class B and C
notes to reflect improved credit support since our last rating
actions in February 2010. We affirmed our ratings on the class A-
1, A-2A, A-2B, and D notes to reflect our belief that the credit
support available is commensurate with the current ratings," S&P
said.
"According to the April 17, 2012, trustee report, the transaction
holds $6.03 million in defaulted assets, down from $16.48 million
at the time of our February 2010 rating actions, which were based
on the Jan. 14, 2010, trustee report," S&P said.
"The reduction in defaults, combined with other factors, has
improved the transaction's overcollateralization (O/C) ratios. For
instance, the April 2012 trustee report noted that the class A O/C
ratio improved to 128.93% from 127.65% in January 2010. Similar
improvements were seen in the other O/C ratios. In addition, the
weighted average spread increased over the same time period to
4.41% from 3.78%," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Sargas CLO I Ltd.
Rating
Class To From
B A (sf) A- (sf)
C BBB (sf) BBB- (sf)
RATINGS AFFIRMED
Sargas CLO I Ltd.
Class Rating
A-1 AA+ (sf)
A-2A AA (sf)
A-2B AA (sf)
D BB (sf)
SASCO 2003-AL2: Moody's Lowers Rating on Class B3 Tranche to 'C'
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches issued by SASCO 2003-AL2. The collateral backing the
transaction consists of loans originated by the Small Business
Administration to borrowers who have experienced property losses
in disasters recognized by the United States federal government.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corporation Assistance Loan
Trust 2003-AL2
Cl. A, Downgraded to Ba1 (sf); previously on Jun 29, 2011
Downgraded to Baa3 (sf)
Cl. APO, Downgraded to Ba2 (sf); previously on Jun 29, 2011
Downgraded to Ba1 (sf)
Cl. AIO, Downgraded to B2 (sf); previously on Jun 29, 2011
Downgraded to Baa3 (sf)
Cl. B1, Downgraded to B3 (sf); previously on Jun 29, 2011
Downgraded to B1 (sf)
Cl. B2, Downgraded to Ca (sf); previously on Jun 29, 2011
Downgraded to Caa1 (sf)
Cl. B3, Downgraded to C (sf); previously on Jun 29, 2011
Downgraded to Ca (sf)
Ratings Rationale
The actions were prompted by the deteriorated collateral credit
performance and increase in loss expectation on the SASCO 2003-AL2
transaction.
The Class A-IO interest-only tranche downgraded in the action is
linked to a single reference pool as provided by the applicable
Pooling and Servicing Agreement. When Moody's took action on this
IO tranche in February 2012, the rating was incorrectly linked to
the rating of a single bond instead of to the rating of a single
pool. Moody's methodology for rating IO bonds that are linked to a
single bond specifies taking the current rating of the referenced
bond, whereas for IO tranches referencing a single pool, the
rating is determined to be the lowest of i) Ba3 (sf); ii) the
highest current tranche rating on outstanding bonds backed by the
referenced pool; or iii) the rating corresponding to the pool
expected loss. Moody's has corrected the rating on this IO tranche
to reflect the correct linkage to the pool as a whole.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "Second Lien RMBS Loss Projection Methodology:
April 2010" published in April 2010, and "Pre-2005 US RMBS
Surveillance Methodology" published in January 2012. The
methodology used in rating Interest-Only Securities was "Moody's
Approach to Rating Structured Finance Interest-Only Securities"
published in February 2012.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. Moody's expects growth in the US
to remain below trend for the rest of 2012, and then pick up again
in 2013. The unemployment rate fell from 9.1% in April 2011 to
8.2% in March 2012. Moody's forecasts a further drop to 7.8% for
2013. House prices are expected to drop another 1% from their
4Q2011 levels before gradually rising towards the end of 2013.
Performance of RMBS continues to remain highly dependent on
servicer procedures; any change due to servicing transfers or
other policy/regulatory change can impact the performance of these
transactions.
As part of the sensitivity analysis, Moody's stressed the updated
expected loss on the pool by an additional 10% and found that the
model implied ratings of the tranches would remain stable.
A list of these actions including CUSIP identifiers, sensitivity
analysis, and updated estimated pool losses may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286480
SEAWALL SPC: S&P Withdraws Ratings on Series 2008 CDO Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
notes from 11 Seawall SPC series. Seawall SPC is a U.S. synthetic
collateralized debt obligation (CDO) transaction.
"We withdrew our ratings on the notes after receiving the
redemption notices from the trustee in May 2012," 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/1111635.pdf
RATINGS WITHDRAWN
Seawall SPC
Series 2008 CMBS CDO-1
Rating
Class To From
Notes NR (sf) B+ (sf)
Seawall SPC
Series 2008 CMBS CDO-3
Rating
Class To From
Notes NR (sf) B+ (sf)
Seawall SPC
Series 2008 CMBS CDO-4
Rating
Class To From
Notes NR (sf) B+ (sf)
Seawall SPC
Series 2008 CMBS CDO-5
Rating
Class To From
Notes NR (sf) CCC+ (sf)
Seawall SPC
Series 2008 CMBS CDO-6
Rating
Class To From
Notes NR (sf) B (sf)
Seawall SPC
Series 2008 CMBS CDO-7
Rating
Class To From
Notes NR (sf) B (sf)
Seawall SPC
Series 2008 CMBS CDO-8
Rating
Class To From
Notes NR (sf) CCC+ (sf)
Seawall SPC
Series 2008 CMBS CDO-9
Rating
Class To From
Notes NR (sf) CCC (sf)
Seawall SPC
Series 2008 CMBS CDO-10
Rating
Class To From
Notes NR (sf) CCC+ (sf)
Seawall SPC
Series 2008 CMBS CDO-11
Rating
Class To From
Notes NR (sf) CCC- (sf)
Seawall SPC
Series 2008 CMBS CDO-12
Rating
Class To From
Notes NR (sf) B (sf)
NR-Not rated.
STRUCTURED ASSET: Moody's Raises Rating on Cl. M5 Tranche to 'Ca'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches, upgraded the rating of one tranche, and confirmed the
ratings of four tranches from three RMBS transactions, backed by
Subprime loans, issued by Structured Asset Investment Loan (SAIL)
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, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 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).
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 still expects below-trend growth for the US
economy for 2012, with the unemployment rate remaining high
between 8% and 9% and home prices dropping another 1% from their
4Q 2011 levels.
Complete rating actions are as follows:
Issuer: Structured Asset Investment Loan Trust 2003-BC7
Cl. 1-A2, Downgraded to A1 (sf); previously on Jan 31, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A2, Downgraded to Aa3 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M5, Upgraded to Ca (sf); previously on Mar 4, 2011 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2004-10
Cl. A2, Confirmed at Aa1 (sf); previously on Jan 31, 2012 Aa1 (sf)
Placed Under Review for Possible Downgrade
Cl. A4, Confirmed at Aa2 (sf); previously on Jan 31, 2012 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. A7, Confirmed at Aa3 (sf); previously on Jan 31, 2012 Aa3 (sf)
Placed Under Review for Possible Downgrade
Cl. A9, Confirmed at Aaa (sf); previously on Jan 31, 2012 Aaa (sf)
Placed Under Review for Possible Downgrade
Issuer: Structured Asset Investment Loan Trust 2004-9
Cl. M1, Downgraded to B3 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286411
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
SUGAR CREEK: Moody's Assigns 'Ba2' Rating on $10.25MM Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned the following ratings to
notes issued by Sugar Creek CLO, Ltd.:
U.S. $180,000,000 Class A Senior Secured Floating Rate Notes due
July 2022, Definitive Rating Assigned Aaa (sf);
U.S. $12,500,000 Class D Secured Deferrable Floating Rate Notes
due July 2022, Definitive Rating Assigned Baa3 (sf); and
U.S. $10,250,000 Class E Secured Deferrable Floating Rate Notes
due July 2022, Definitive Rating Assigned Ba2 (sf).
Ratings Rationale
Moody's ratings of the Notes address the expected losses posed to
noteholders. The ratings reflect the risks due to defaults on the
underlying portfolio of loans, the transaction's legal structure,
and the characteristics of the underlying assets.
Sugar Creek CLO is a managed cash flow CLO. The issued notes are
collateralized primarily by broadly syndicated first-lien senior
secured corporate loans. At least 95% of the portfolio must be
invested in senior secured loans or eligible investments and up to
5% of the portfolio may consist of second-lien loans, bonds and
senior secured notes. At closing, the underlying collateral pool
is approximately 83% ramped and is expected to be 100% ramped
within three months thereafter.
40|86 Advisors, Inc. (the "Manager") will direct the selection,
acquisition and disposition of collateral on behalf of the Issuer
and may engage in trading activity during the transaction's three-
year reinvestment period, including discretionary trading.
Thereafter, sales of securities that are defaulted, credit
improved, or credit risk are allowed but purchases of additional
collateral obligations are not permitted.
In addition to the Class A, Class D and Class E Notes rated by
Moody's, the Issuer will issue three other tranches, including
subordinated notes. The transaction incorporates interest and par
coverage tests which, if triggered, divert interest and principal
proceeds to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount of $275,733,000
Diversity of 45
WARF of 2300
Weighted Average Spread of 3.30%
Weighted Average Coupon of 7.0%
Weighted Average Recovery Rate of 44.0%
Weighted Average Life of 8.5 years.
The Notes' performance is subject to uncertainty. The Notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The Manager's investment decisions and management
of the transaction will also affect the Notes' performance.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis which was an
important component in determining the ratings assigned to the
Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Class A
Notes, Class D Notes and the Class E Notes (shown in terms of the
number of notch difference versus the current model output,
whereby a negative difference corresponds to higher expected
losses), assuming that all other factors are held equal:
Moody's WARF + 15% (2645)
Class A Notes: 0
Class D Notes: -1
Class E Notes: -1
Moody's WARF +30% (2990)
Class A Notes: -1
Class D Notes: -2
Class E Notes: -2.
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V score
assigned for the global cash flow CLO sector, as described in the
special report titled, "V Scores and Parameter Sensitivities in
the Global Cash Flow CLO Sector," dated July 6, 2009, available on
www.moodys.com.
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.
Further details regarding Moody's analysis of this transaction may
be found in the related pre-sale report, available on Moodys.com.
The principal methodology used in rating the Notes was "Moody's
Approach to Rating Collateralized Loan Obligations," published in
June 2011.
SUGAR CREEK: S&P Gives 'BB+' Rating on $10.25MM Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Sugar Creek CLO Ltd./Sugar Creek CLO LLC's up to
$250.25 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of May 25,
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 credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread) and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
Ratings Services' CDO Evaluator model, as assessed by Standard
& Poor's using the assumptions and methods outlined in its
corporate collateralized debt obligation (CDO) 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 preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.34%-11.88%," 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 75% 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.
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/1111635.pdf
PRELIMINARY RATINGS ASSIGNED
Sugar Creek CLO Ltd./Sugar Creek CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 180.00
B AA+ (sf) 28.00
C (deferrable) A+ (sf) 19.50
D (deferrable) BBB+ (sf) 12.50
E (deferrable) BB+ (sf) 10.25
Equity NR 33.25
NR-Not rated.
TABERNA PREFERRED IX: S&P Lowers Ratings on 2 Classes to 'CCC-'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from Taberna Preferred Funding IX Ltd., a U.S.
collateralized debt obligation (CDO) transaction backed by REIT
trust preferred securities, and managed by Taberna Capital
Management LLC. "At the same time, we affirmed our 'CC (sf)'
ratings on the class B-1L and B-2L notes," S&P said.
"According to the trustee report for the May 8, 2012, payment
date, the transaction used all available interest collections to
pay scheduled fees and hedge payments, causing it to pay accrued
interest due on the class A-1 notes with unscheduled principal
collections. We lowered the ratings on the class A-1LAD and A-1LA
to reflect the uncertainty that there will be sufficient interest
and principal available to pay the scheduled interest payments.
The downgrades of the class A-1LB, A-2LA, A-2LB, A-3LA, and A-3LB
and our affirmations of class B-1L and B-2L reflect our view that
the cash flow from the remaining collateral is insufficient to pay
the notes in full," S&P said.
"As of the May 1, 2012 trustee report, the transaction's
overcollateralization (O/C) and interest coverage (I/C) tests are
failing, causing six classes of notes to defer interest. The class
A-2L O/C and I/C ratios were 95.5% and -66.6%. As of April 1,
2012, the transaction had just $476 million in collateral backing
$649 million in rated liabilities," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111639.pdf
RATING ACTIONS
Taberna Preferred Funding IX Ltd.
Rating
Class To From
A-1LAD CCC- (sf) CCC+ (sf)
A-1LA CCC- (sf) CCC+ (sf)
A-1LB CC (sf) CCC- (sf)
A-2LA CC (sf) CCC- (sf)
A-2LB CC (sf) CCC- (sf)
A-3LA CC (sf) CCC- (sf)
A-3LB CC (sf) CCC- (sf)
RATINGS AFFIRMED
Taberna Preferred Funding IX Ltd.
Rating
B-1L CC (sf)
B-2L CC (sf)
TRIBUNE LTD: S&P Lowers Rating on Class Aspen-B2 Notes to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on one
tranche from Tribune Ltd.'s series 26, a synthetic collateralized
debt obligation (SCDO), to 'D (sf)' following principal losses to
the notes. "In addition, we withdrew our ratings on eight tranches
from six SCDO transactions," S&P said.
"We lowered the rating on the class Aspen-B2 notes from Tribune
Ltd.'s series 26 to 'D (sf)' from 'CCC- (sf)' due to losses from
credit events in the reference portfolio that caused principal
losses on the notes. According to a recent principal amount
reduction notice, the principal balance of the class Aspen-B2
notes was reduced to zero," S&P said.
"We withdrew our ratings on eight tranches from two corporate-
backed synthetic CDO transactions, three synthetic CDO
transactions referencing commercial mortgage-backed securities,
and one synthetic CDO with a direct link to a residential
mortgage-backed security due to redemptions or terminations of the
transactions," 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/1111635.pdf
RATING LOWERED
Tribune Ltd.
Series 26
Rating
Class To From
Aspen-B2 D (sf) CCC- (sf)
RATINGS WITHDRAWN
Calculus SCRE Trust 2006-11
Series 2006-11
Rating
Class To From
Trust Unit NR CC (sf)
Calculus SCRE Trust
Series 2007-1
Rating
Class To From
Var Tr Lnk NR CC (sf)
Maclaurin SPC
Series 2007-2
Rating
Class To From
A1 NR CC (sf)
B2 NR CC (sf)
B NR CC (sf)
PARCS Master Trust
Series 2006-7 SAVOY II
Rating
Class To From
Trust Unit NR CCC- (sf)
PARCS Master Trust
Series 2007-3 CALVADOS
Rating
Class To From
Trust Unit NR CCC- (sf)
PARCS-R Master Trust
Series 2007-15
Rating
Class To From
Trust Unit NR CC (sf)
TRIMARAN CLO IV: S&P Raises Rating on Class B-2L Notes to 'B-'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1L, A-2L, A-3L, B-1L, and B-2L notes from Trimaran CLO IV Ltd.,
a U.S. collateralized loan obligation (CLO) transaction managed by
Trimaran Advisors LLC.
"The upgrades reflect improved credit performance and principal
paydowns we have observed in the underlying asset pool since our
Feb. 19, 2010, rating actions, for which we referenced the
December 2009 trustee report," S&P said.
"The transaction is currently in its amortizing phase. Since Dec.
1, 2009, the transaction has paid down the class A-1L notes by
$6.15 million to reduce the balance to 97.62% of the notes'
original balance. The transaction paid down the class X notes in
full on the December 2010 payment date. The various paydowns have
increased the transaction's subordination levels and the class
A, B-1L, B-2L, and senior A overcollateralization ratios (O/C).
For example, class A O/C increased to 117.78% in April 2012 from
115.61% in December 2009," S&P said.
"The credit quality of the transaction's underlying asset
portfolio has improved since our last rating actions, as evidenced
by a decrease in obligations that are defaulted and rated in the
'CCC' range. Based on the April 20, 2012, trustee report, which
was used for the current analysis, the transaction had no exposure
to 'CCC' rated assets, compared with an exposure of $2.72 million
at the time of our last rating action. The portfolio's defaulted
securities, which totaled $16.20 million in February 2009, have
decreased by $12.79 million and are at $3.42 million currently,"
S&P said.
"The rating on the class B-1L rating is driven by the application
of the largest obligor default test, a supplemental stress test we
introduced as part of our September 2009 corporate criteria
update," S&P said.
Standard & Poor's also notes that the transaction is currently
passing its additional collateral requirement. If the transaction
fails this requirement, it will divert 35% of the amount necessary
to cure the test to pay down B-2L and 65% of the cure amount to
pay down the other notes sequentially following payment sequence,"
S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings on the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Trimaran CLO IV Ltd.
Rating
Class To From
A-1L AAA (sf) AA+ (sf)
A-2L AA+ (sf) A+ (sf)
A-3L AA- (sf) A- (sf)
B-1L BBB+ (sf) BB+ (sf)
B-2L B- (sf) CCC+ (sf)
TRITON AVIATION: S&P Affirms 'B-(sf)' Rating on Class A-1 Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its 'B-(sf)' rating on
the class A-1 notes from Triton Aviation Finance (TAF). The notes
are backed by lease rentals and sale proceeds generated by a
portfolio of 29 aircraft.
"The affirmation primarily reflects our view that the class A-1's
72% loan-to-value (LTV) ratio and $20 million available reserve
are consistent with its current rating level," S&P said.
"A significant portion of TAF's aircraft fleet were designed in
the 1980s and early 1990s. Based on Dec. 31, 2011, appraised base
value, 29% of the portfolio is B737-300, 20% is B737-400, and 17%
is B757-200 aircraft. The aircraft portfolio's weighted average
age is about 20.5 years, which we believe will continue to
adversely affect lease revenue generation over time," S&P said.
"As of May 15, 2012, seven aircraft (8% of the portfolio based on
the Dec. 31, 2011, appraised base value) were off-lease. The
remaining 22 aircraft were leased to 17 lessees, 13 of which were
in arrears. The 16 aircraft on lease to the 13 lessees in arrears
represented 71% of the total portfolio based on the Dec. 31, 2011,
appraised base value. The total arrears were approximately $7
million," S&P said.
"Overall, we believe that the aircraft portfolio's ability to
generate future lease revenue is weak, and it will likely face a
higher risk of value decline. However, the class A-1 notes' 72%
LTV and $20 million available reserve remain consistent with our
'B- (sf)' rating," S&P said.
Standard & Poor's will continue monitoring the rating on this
transaction and will take rating actions as it deems appropriate.
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/1111639.pdf
UNISON GROUND: Fitch Affirms 'BBsf' Rating on $41.5MM Notes
-----------------------------------------------------------
Fitch Ratings has affirmed Unison Ground Lease Funding, LLC
Secured Cellular Site Revenue Notes commercial mortgage pass-
through certificates, series 2010-1 and 2010-2 as follows:
-- $67,000,000 Series 2010-1, Class C at 'Asf'; Outlook Stable;
-- $87,500,000 Series 2010-2, Class C at 'Asf'; Outlook Stable;
-- $41,500,000 Series 2010-2, Class F at 'BBsf'; Outlook Stable.
The affirmations are due to the stable performance of the
collateral since issuance as evidenced by run rate net cash flow
growth.
The certificates represent beneficial ownership interest in the
trust, primary assets of which are 1,393 wireless communication
sites securing one fixed-rate loan. As of the April 2012
distribution date, the aggregate principal balance of the notes
remains unchanged at $196 million since issuance. The notes are
interest only for the entire seven-year period for Series 2010-1,
Class C and 10 years for classes C and F of Series 2010-2.
The ownership interest in the cellular sites consists primarily of
perpetual and limited long-term easements of land, rooftops, or
other structures on which site space is allocated to wireless
service providers (WSP) and independent tower operators. Hence,
unlike typical cell tower securitizations in which the towers
serve as collateral, the collateral for this securitization
generally consists of easements and the revenue stream from the
payments the owner of the tower and/or tenants of the site pay to
Unison.
As part of its review, Fitch analyzed the financial information
provided by the master servicer, Midland Loan Services, but is
waiting on additional information. Fitch obtained current net
cash flow and revenue information used in the analysis. As of
April 15, 2012, aggregate TTM ground lease revenue increased 15.6%
year-over-year to $28.0 million and TTM run rate net cash flow
improved 14.9% in the same period.
As of April 2012, the site acquisition account was fully depleted.
The increase in net cash flow resulting from newly acquired sites
is in-line with expectations at issuance.
WACHOVIA BANK 2005-C16: Moody's Affirms 'Ca' Rating on O Certs.
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 20 classes of
Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2005-C16 as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Apr 19, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Apr 19, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-PB, Affirmed at Aaa (sf); previously on Apr 19, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Apr 19, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 19, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aaa (sf); previously on Apr 19, 2005
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Jun 26, 2008 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aa2 (sf); previously on Jun 26, 2008 Upgraded
to Aa2 (sf)
Cl. D, Affirmed at A1 (sf); previously on Jun 26, 2008 Upgraded to
A1 (sf)
Cl. E, Affirmed at A3 (sf); previously on Apr 19, 2005 Definitive
Rating Assigned A3 (sf)
Cl. F, Affirmed at Baa2 (sf); previously on Aug 12, 2010
Downgraded to Baa2 (sf)
Cl. G, Affirmed at Baa3 (sf); previously on Aug 12, 2010
Downgraded to Baa3 (sf)
Cl. H, Affirmed at B1 (sf); previously on Aug 12, 2010 Downgraded
to B1 (sf)
Cl. J, Affirmed at B2 (sf); previously on Jun 2, 2011 Upgraded to
B2 (sf)
Cl. K, Affirmed at B3 (sf); previously on Jun 2, 2011 Upgraded to
B3 (sf)
Cl. L, Affirmed at Caa1 (sf); previously on Jun 2, 2011 Upgraded
to Caa1 (sf)
Cl. M, Affirmed at Caa2 (sf); previously on Jun 2, 2011 Upgraded
to Caa2 (sf)
Cl. N, Affirmed at Caa3 (sf); previously on Jun 2, 2011 Upgraded
to Caa3 (sf)
Cl. O, Affirmed at Ca (sf); previously on Jun 2, 2011 Upgraded to
Ca (sf)
Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations are due to key parameters, including Moody's LTV
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings.
Moody's rating action reflects a cumulative base expected loss of
approximately 3% of the current deal balance, the same as at
Moody's last review. Moody's provides a current list of base
losses for conduit and fusion CMBS transactions on moodys.com at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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 along with a
rise in investment activity and stabilization in core property
type performance, a consistent upward trend will not be evident
until the volume of investment activity steadily increases,
distressed properties are cleared from the pipeline, and job
creation rebounds. The hotel sector is performing strongly and the
multifamily sector continues to show increases in demand. Moderate
improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending. 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 healthier growth in the US and US growth
decoupling from the recessionary trend in the euro zone, while a
mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home
prices, 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, any or all of which
will continue to constrain growth.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the underlying rating level, is
incorporated for loans with similar credit estimates in the same
transaction.
The conduit model includes an IO calculator, which uses 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 as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 32 compared to a Herf of 30 at Moody's prior
review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R)(Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 2, 2011.
DEAL PERFORMANCE
As of the May 17, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 37% to $1.29
billion from $2.06 billion at securitization. The Certificates are
collateralized by 139 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten loans (excluding
defeasance) representing 37% of the pool. The pool includes one
loan with an investment-grade credit estimate, representing 4% of
the pool. Twenty-seven loans, representing approximately 22% of
the pool, are defeased and are collateralized by U.S. Government
securities.
Eighteen loans, representing 13% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Four loans have liquidated from the pool, resulting in an
aggregate realized loss of $3.9 million (20% average loan loss
severity). Currently, six loans, representing 5% of the pool, are
in special servicing. The largest specially serviced loan is the
Westgate Business Center Loan ($33 million -- 3% of the pool),
which is secured by a 580,000 square foot mixed-use property
located in San Leandro, California. Tenants include several
national big-box and discount retailers. The property was 85%
leased as of the 3rd quarter 2011, the same as at Moody's last
review. The special servicer is in discussions with the borrower
about a loan modification and extension.
The remaining five specially serviced loans are secured by a mix
of commercial, retail and hotel property types. Moody's estimates
an aggregate $19 million loss (28% expected loss on average) for
all the specially serviced loans.
Moody's has assumed a high default probability for five poorly-
performing loans representing 2% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $4 million loss
(15% expected loss based on a 50% probability default).
Moody's was provided with full-year 2010 and partial year 2011
operating results for 96% and 21% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 87% compared to 92% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 7.3% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.47X and 1.16X, respectively, compared to
1.39X and 1.10X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit estimate is the Cameron Village
Loan ($47 million -- 4% of the pool), which is secured by a high-
end grocery-anchored retail center located in Raleigh, North
Carolina. Harris Teeter is the anchor. Other tenants include
Eckerd Corporation, Chico's, Pier 1 Imports, Inc. and Richey & Co.
Shoes. Harris Teeter and Eckerd Corporation have recently renewed
their leases. Moody's credit estimate and stressed DSCR are Baa3
and 1.42X, respectively, compared to Baa3 and 1.34X at last
review.
The top three performing conduit loans represent 17% of the pool.
The largest loan is the 175 West Jackson Loan ($106 million -- 8%
of the pool), which represents a participation interest in a $263
million loan. The property is also encumbered by a $53 million B-
Note and $50 million of mezzanine debt. The loan is secured by a
1.5 million square-foot Class A office tower located in Chicago,
Illinois. The second-largest tenant, AON Corporation, recently
vacated 135,000 square feet following its lease expiration in
April 2012. Nearly half the AON space has been re-tenanted, with
the balance of the space currently under lease negotiation.
Moody's current A-Note LTV and stressed DSCR are 69% and 1.37X,
respectively, compared to 66% and 1.43X at last review.
The second-largest loan is the AON Office Building Loan ($59
million -- 5% of the pool). The loan is secured by a Class A
office complex located in Glenview, Illinois, a northern suburb of
Chicago. A new tenant recently signed a lease for 2% of the
building NRA, bringing occupancy up to 100%. Property performance
has been stable. AON Corporation (Moody's senior unsecured rating
Aa2, stable) is the lead tenant, leasing 98% of net rentable ara
(NRA) through April 2017. Moody's current LTV and stressed DSCR
are 83% and 1.19X, respectively, compared to 86% and 1.15X at last
review.
The third-largest loan is the 17 Battery Place North Loan ($53
million -- 4% of the pool). The loan is secured by a 22-story,
400,000 square-foot office building located in New York City's
Financial District. The property faces considerable lease rollover
risk with the upcoming lease expiration of the lead tenant, The
City of New York (60% of NRA; lease expiration December 2012;
Moody's senior-most tax-backed rating Aa2, stable). The City of
New York lease expiration will nearly coincide with the expected
loan maturity date of November 15, 2012. Moody's current LTV and
stressed DSCR are 96% and 1.04X, respectively, compared to 106%
and 0.95X at last review.
WACHOVIA BANK 2007-WHALE8: S&P Withdraws 'D' Rating on AP-4 Certs.
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating class AP-4
commercial mortgage pass-through certificates from Wachovia Bank
Commercial Mortgage Trust's series 2007-WHALE8, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'D (sf)'
and simultaneously withdrew it. "In addition, we withdrew our
ratings on the class AP-1, AP-2, and AP-3 raked certificates from
the same transaction," S&P said.
The downgrade on class AP-4 reflects principal losses totaling
$474,387, as detailed in the revised May 23, 2012, trustee
remittance report.
"The rating withdrawals on the class 'AP' raked certificates
reflect the repayment or reduction of the classes' principal
balances to zero, as detailed in the revised May 23, 2012, trustee
remittance report. The class 'AP' raked certificates derive 100%
of their cash flow from a subordinate nonpooled component of the
Ashford Hospitality Pool 7 loan," S&P said.
"According to the master servicer, Wells Fargo Bank N.A. (Wells
Fargo), the specially serviced Ashford Hospitality Pool 7 loan,
which had a reported beginning whole-loan balance of $94.9 million
and was split into a $78.8 million senior pooled component and a
$16.1 million subordinate nonpooled component that supported the
'AP' raked certificates, was paid off in May 2012," S&P said.
"It is our understanding from the special servicer for this loan,
Five Mile Capital Real Estate Advisors LLC (FMCREA), that all
excess funds from the property were collected into a curtailment
reserve account (which totaled $22.8 million as of Feb. 14, 2012)
that also served as additional security for the trust. Per FMCREA,
the curtailment reserve account was not intended for the purpose
of paying liquidation fees or any other additional expenses
associated with the loan being in special servicing. As such, the
remaining balance in the curtailment reserve account were credited
in full to the borrower at the time of payoff. Since the loan was
with the special servicer at the time of payoff, FMCREA remitted a
liquidation fee of $474,387, which resulted in a 38.5% principal
loss to class AP-4's $1.2 million opening balance," 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/1111639.pdf
RATING LOWERED AND WITHDRAWN
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-WHALE8
Rating
Class To Interim From
AP-4 NR D (sf) B (sf)
RATINGS WITHDRAWN
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-WHALE8
Class To From
AP-1 NR BB+ (sf)
AP-2 NR BB (sf)
AP-3 NR B+ (sf)
NR-Not rated.
WFRBS 2012-C7: Fitch Issues Presale Report on Several Certificates
------------------------------------------------------------------
Fitch Ratings has issued a presale report on WFRBS 2012-C7
Commercial Mortgage Pass-Through Certificates. Fitch expects to
rate the transaction and assign Outlooks as follows:
-- $189,518,000 class A-1 'AAAsf'; Outlook Stable;
-- $493,237,000 class A-2 'AAAsf'; Outlook Stable;
-- $90,000,000#a class A-FL 'AAAsf'; Outlook Stable;
-- $855,551,000*a class X-A 'AAAsf'; Outlook Stable;
-- $82,796,000 class A-S 'AAAsf'; Outlook Stable;
-- $57,956,000 class B 'AAsf'; Outlook Stable;
-- $41,398,000 class C 'Asf'; Outlook Stable;
-- $27,598,000a class D 'BBB+sf'; Outlook Stable;
-- $48,298,000a class E 'BBB-sf'; Outlook Stable;
-- $19,319,000a class F 'BBsf'; Outlook Stable;
-- $19,319,000a class G 'Bsf'; Outlook Stable.
# Floating Rate.
* Notional amount and interest only.
a Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of May 29, 2012. Fitch does not expect to rate the
$248,386,065 interest-only class X-B or the $34,498,065 class H.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 61 loans secured by 80 commercial
properties having an aggregate principal balance of approximately
$1.104 billion as of the cutoff date. The loans were contributed
to the trust by The Royal Bank of Scotland, Wells Fargo Bank,
National Association, Basis Real Estate Capital II LLC, Liberty
Island Group I LLC, and C-III Commercial Mortgage LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 87.1% of the properties
by balance, cash flow analysis of 89.9%, and asset summary reviews
on 89.9% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.35 times (x), a Fitch stressed loan-to-value (LTV) of
92.3%, and a Fitch debt yield of 10.3%. Fitch's aggregate net
cash flow represents a variance of 7.4% to issuer cash flows.
The Master Servicer and Special Servicer will be Wells Fargo Bank,
N.A. and Torchlight Loan Services, LLC, rated 'CMS2' and 'CSS2',
respectively, by Fitch.
* Fitch Takes Rating Actions on 30 SF CDOs
------------------------------------------
Fitch Ratings has affirmed 107 classes and downgraded four classes
of notes from 30 structured finance collateralized debt
obligations (SF CDOs) with exposure to various structured finance
assets.
The rating action report, titled 'Fitch Takes Various Rating
Actions on 30 SF CDOs', dated May 25, 2012, details the individual
rating actions for each rated CDO. It can be found on Fitch's
website at http://is.gd/195wSE
The review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. None of the
reviewed transactions have been analyzed within a cash flow model
framework, as the impact of structural features and excess spread,
or conversely, principal proceeds being used to pay CDO
liabilities and hedge payments, was determined to be minimal in
the context of these CDO ratings.
For transactions where expected losses from distressed and
defaulted assets in the portfolio (rated 'CCsf' and lower) already
significantly exceed the credit enhancement (CE) level of the most
senior class of notes, Fitch believes that the probability of
default for all classes of notes can be evaluated without
factoring potential further losses from the remaining portion of
the portfolios. Therefore, these transactions were not modeled
using the Structured Finance Portfolio Credit Model (SF PCM).
For four transactions where expected losses from distressed assets
did not significantly exceed the credit enhancement (CE) level of
the senior class of notes, Fitch used the SF PCM to project future
losses from the transaction's entire portfolio and compared credit
enhancement of the classes to those loss rates.
The two classes downgraded to 'Dsf' and 14 classes affirmed at
'Dsf' are non-deferrable classes that have experienced or are
expected to continue experiencing interest payment shortfalls.
Fitch does not assign Outlooks to classes rated 'CCCsf' and below.
* Moody's Takes Rating Actions on 2005-08 US Prime Jumbo RMBS
-------------------------------------------------------------
Moody's Investors Service has placed ratings on 216 tranches on
review for upgrade and ratings on 176 tranches on review for
downgrade from 134 residential mortgage-backed securities (RMBS)
transactions backed by prime jumbo loans securitized between 2005
and 2008. Moody's rates a total of 4716 tranches from 349 prime
jumbo RMBS transactions issued from 2005-08.
Ratings Rationale
The actions reflect the recent performance of individual prime
jumbo transactions and Moody's updated loss expectations on these
pools. The rating actions include placing on review ratings on 216
bonds for upgrade and 176 bonds for downgrade. The upgrade reviews
are due to faster-than-expected pay-down on certain bonds owing to
prepayments and/or improvement in collateral performance. The
downgrade reviews are primarily due to deteriorating collateral
performance.
Although individual transaction performance varies, the overall
performance of prime jumbo RMBS remains weak. Average 60-plus
delinquencies of prime jumbo loans have increased to 14% of
outstanding balance currently from 12% a year earlier. The annual
rate of new delinquencies among always-current loans at 5%
currently, is down from its peak level of 9% in 2009, but has seen
little improvement over the past year. However, due to low
mortgage interest rates, voluntary prepayment rates on prime jumbo
loans continue to be high, averaging 15% over the past year. As a
result, in some transactions, certain bonds with payment priority
have paid down faster than Moody's had previously projected,
resulting in the upgrade reviews.
Moody's is placing on review for downgrade ratings of prime jumbo
RMBS with underlying pool performance weaker than previous
expectations or with credit enhancement lower than prior
projections.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating interest-
only securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for (1) Moody's
current view on loan modifications (2) small pool volatility and
(3) bonds that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and pool factor of greater than 5%. Moody's can withdraw
its rating when the pool factor drops below 5% and the number of
loans in the deal declines to 40 loans or lower. If, however, a
transaction has a specific structural feature, such as a credit
enhancement floor, that mitigates the risks of small pool size,
Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on prime jumbo pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For prime jumbo pools, Moody's
first applies a baseline delinquency rate of 3.5% for 2005, 6.5%
for 2006 and 7.5% for 2007. Once the loan count in a pool falls
below 76, this rate of delinquency is increased by 1% for every
loan fewer than 76. For example, for a 2005 pool with 75 loans,
the adjusted rate of new delinquency is 3.54%. Further, to account
for the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 2.0 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures
reflect the higher of the credit quality of the guarantor or the
RMBS without the benefit of the guarantee. As a result, the rating
on the security is the higher of (1) the guarantor's financial
strength rating and (2) the current underlying rating, which is
what the rating of the security would be absent consideration of
the guaranty. The principal methodology Moody's uses in
determining the underlying rating is the same methodology for
rating securities that do not have financial guaranty, described
earlier.
To determine tranches to place on review, Moody's compared the
model-implied assessments to the current rating. To determine the
model-implied assessments, Moody's applied the methodologies
described above to all the transactions and their associated
tranches through an automated process. Moody's is placing tranches
on review that have model-implied assessments that differ
significantly from their current ratings. In certain cases,
Moody's performed additional analysis to confirm the review.
Over the coming weeks, Moody's will perform individual detailed
transaction-specific analysis and conclude the review on these
tranches. When assigning the final ratings to bonds, in addition
to the approach described above, Moody's will consider the
volatility of the projected losses and timeline of the expected
defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.1% in April 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of the affected Credit Ratings is available at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286084
* Moody's Takes Rating Actions on 2005-08 US Option ARM RMBS
------------------------------------------------------------
Moody's Investors Service has placed ratings on 42 tranches on
review for upgrade and ratings on 13 tranches on review for
downgrade from 30 residential mortgage-backed securities (RMBS)
transactions backed by Option ARM loans securitized between 2005
and 2008. Moody's rates a total of 4424 tranches from 348 Option
ARM RMBS transactions issued from 2005-08.
Ratings Rationale
The actions reflect the recent performance of individual Option
ARM transactions and Moody's updated loss expectations on these
pools. The rating actions include placing on review ratings on 42
bonds for upgrade and 13 bonds for downgrade. The upgrade reviews
are due to significant improvement in collateral performance
and/or faster-than-expected pay-down on certain bonds owing to
either liquidations or prepayments. The downgrade reviews are
primarily due to deteriorating collateral performance.
Although individual transaction performance varies, the overall
performance of Option ARM RMBS has improved over the past year,
leading to the upgrade reviews. While the average level of
delinquencies remains high with reported 60-plus delinquencies at
42% of outstanding balance, the growth rate of new delinquencies
is steadily falling. The rate of new delinquencies among loans
that have always been current, has fallen to about 15% in April
from 18% one year prior. In some transactions, delinquencies have
declined at a faster pace than Moody's had forecast. Also, in some
transactions, some bonds with payment priority have paid down
faster than Moody's had previously projected.
Moody's is placing on review for downgrade ratings of Option ARM
RMBS with underlying pool performance weaker than previous
expectations or with credit enhancement lower than prior
projections.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating interest-
only securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for (1) Moody's
current view on loan modifications, (2) small pool volatility, and
(3) bonds that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss for to account for the higher loss volatility
of such pools. For small pools, a few loans becoming delinquent
would greatly increase the pools' delinquency rate.
To project losses on Option ARM pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Option ARM pools, Moody's
first applies a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. Once the loan count in a pool falls below
76, this rate of delinquency is increased by 1% for every loan
fewer than 76. For example, for a 2005 pool with 75 loans, the
adjusted rate of new delinquency is 10.1%. Further, to account for
the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 1.8 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures
reflect the higher of the credit quality of the guarantor or the
RMBS without the benefit of the guarantee. As a result, the rating
on the security is the higher of (1) the guarantor's financial
strength rating and (2) the current underlying rating, which is
what the rating of the security would be absent consideration of
the guaranty. The principal methodology Moody's uses in
determining the underlying rating is the same methodology for
rating securities that do not have financial guaranty, described
earlier.
To determine tranches to place on review, Moody's compared the
model-implied assessments to the current rating. To determine the
model-implied assessments, Moody's applied the methodologies
described above to all the transactions and their associated
tranches through an automated process. Moody's is placing tranches
on review that have model-implied assessments that differ
significantly from their current ratings. In certain cases,
Moody's performed additional analysis to confirm the review.
Over the coming weeks, Moody's will perform detailed individual
transaction-specific analysis and conclude the review on these
tranches. When assigning the final ratings to bonds, in addition
to the approach described above, Moody's will consider the
volatility of the projected losses and timeline of the expected
defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.1% in April 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of the review actions associated with this announcement may
be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286060
* Moody's Takes Rating Actions on 2005-08 US Subprime RMBS
----------------------------------------------------------
Moody's Investors Service has placed ratings on 724 tranches on
review for upgrade and ratings on 87 tranches on review for
downgrade from 414 residential mortgage-backed securities (RMBS)
transactions backed by subprime loans securitized between 2005 and
2008. Moody's rates a total of 8815 tranches from 1030 subprime
RMBS transactions issued from 2005-08.
Ratings Rationale
The actions reflect the recent performance of individual subprime
transactions and Moody's updated loss expectations on these pools.
The rating actions include placing on review ratings on 724 bonds
for upgrade and 87 bonds for downgrade. The upgrade reviews are
due to significant improvement in collateral performance and/or
faster-than-expected pay-down on certain bonds owing to either
liquidations or prepayments. The downgrade reviews are primarily
due to deteriorating collateral performance.
Although individual transaction performance varies, the overall
performance of subprime RMBS has improved over the past year,
leading to the upgrade reviews. While the average level of
delinquencies remains high with reported 60-plus delinquencies at
42% of outstanding balance, the growth rate of new delinquencies
is steadily falling. The rate of new delinquencies among loans
that have always been current, has fallen substantially, to about
13% in April from 17% one year prior. In some transactions,
delinquencies have declined at a faster pace than Moody's had
forecast. Also, in some transactions, some bonds with payment
priority have paid down faster than Moody's had previously
projected.
Moody's is placing on review for downgrade ratings of subprime
RMBS with underlying pool performance weaker than previous
expectations or with credit enhancement that is lower than prior
projections.
The methodologies Moody's uses in these ratings are "Moody's
Approach to Rating US Residential Mortgage-Backed Securities,"
published in December 2008 and "2005 -- 2008 US RMBS Surveillance
Methodology," published in July 2011.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility and 3)
bonds that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on subprime pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For subprime pools, Moody's
first applies a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. Once the loan count in a pool falls below
76, this rate of delinquency is increased by 1% for every loan
fewer than 76. For example, for a 2005 pool with 75 loans, the
adjusted rate of new delinquency is 10.1%. Further, to account for
the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.80
to 1.8 for current delinquencies that range from 10% to greater
than 50% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
Bonds insured by financial guarantors
The credit quality of a RMBS that a financial guarantor insures
reflect the higher of the credit quality of the guarantor or the
RMBS without the benefit of the guarantee. As a result, the rating
on the security is the higher of 1) the guarantor's financial
strength rating and 2) the current underlying rating, which is
what the rating of the security would be absent consideration of
the guaranty. The principal methodology Moody's uses in
determining the underlying rating is the same methodology for
rating securities that do not have financial guaranty, described
earlier.
To determine tranches to place on review, Moody's compared the
model-implied assessments to the current rating. To determine the
model-implied assessments, Moody's applied the methodologies
described above to all the transactions and their associated
tranches through an automated process. Moody's is placing tranches
on review that have model-implied assessments that differ
significantly from their current ratings. In certain cases,
Moody's performed additional analysis to confirm the review.
Over the coming weeks, Moody's will perform individual detailed
transaction-specific analysis and conclude the review on these
tranches. When assigning the final ratings to bonds, in addition
to the approach described above, Moody's will consider the
volatility of the projected losses and timeline of the expected
defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.1% in April 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of the Affected Credit Ratings is available at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286207
* Moody's Takes Rating Actions on 2005-10 U.S. Alt-A RMBS
---------------------------------------------------------
Moody's Investors Service has placed ratings on 206 tranches on
review for upgrade and ratings on 108 tranches on review for
downgrade from 146 residential mortgage-backed securities (RMBS)
transactions backed by Alt-A loans securitized between 2005 and
2010. Moody's rates a total of 11939 tranches from 930 Alt-A RMBS
transactions issued from 2005-10.
Ratings Rationale
The actions reflect the recent performance of individual Alt-A
transactions and Moody's updated loss expectations on these pools.
The rating actions include placing on review ratings on 206 bonds
for upgrade and 108 bonds for downgrade. The upgrade reviews are
due to significant improvement in collateral performance and/or
faster-than-expected pay-down on certain bonds owing to either
liquidations or prepayments. The downgrade reviews are primarily
due to deteriorating collateral performance.
Although individual transaction performance varies, the overall
performance of Alt-A RMBS has improved over the past year, leading
to the upgrade reviews. While the average level of delinquencies
remains high with reported 60-plus delinquencies at 28% of
outstanding balance, the growth rate of new delinquencies is
steadily falling. The rate of new delinquencies among loans that
have always been current, has fallen, to about 7% in April from
10% one year prior. In some transactions, delinquencies have
declined at a faster pace than Moody's had forecast. Also, in some
transactions, some bonds with payment priority have paid down
faster than Moody's had previously projected.
Moody's is placing on review for downgrade ratings of Alt-A RMBS
with pool performance weaker than previous expectations or with
credit enhancement that is lower than prior projections.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating interest-
only securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility and 3)
bonds that financial guarantors insure.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
The above RMBS approach only applies to structures with at least
40 loans and a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Alt-A pools, Moody's first
applies a baseline delinquency rate of 10% for 2005, 19% for 2006
and 21% for 2007. Once the loan count in a pool falls below 76,
this rate of delinquency is increased by 1% for every loan fewer
than 76. For example, for a 2005 pool with 75 loans, the adjusted
rate of new delinquency is 10.1%. Further, to account for the
actual rate of delinquencies in a small pool, Moody's multiplies
the rate calculated above by a factor ranging from 0.20 to 2.0 for
current delinquencies that range from less than 2.5% to greater
than 50% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
Bonds insured by financial guarantors
The credit quality of RMBS that a financial guarantor insures
reflect the higher of the credit quality of the guarantor or the
RMBS without the benefit of the guarantee. As a result, the rating
on the securities is the higher of 1) the guarantor's financial
strength rating and 2) the current underlying rating, which is
what the rating of the security would be absent consideration of
the guaranty. The principal methodology Moody's uses in
determining the underlying rating is the same methodology for
rating securities that do not have financial guaranty, described
earlier.
To determine tranches to place on review, Moody's compared the
model-implied assessments to the current rating. To determine the
model-implied assessments, Moody's applied the methodologies
described above to all the transactions and their associated
tranches through an automated process. Moody's is placing tranches
on review that have model-implied assessments that differ
significantly from their current ratings. In certain cases,
Moody's performed additional analysis to confirm the review.
Over the coming weeks, Moody's will perform individual detailed
transaction-specific analysis and conclude the review on these
tranches. When assigning the final ratings to bonds, in addition
to the approach described above, Moody's will consider the
volatility of the projected losses and timeline of the expected
defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 8.1% in April 2012. Moody's forecasts a
further drop to 7.8% for 2013. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
A list of the review actions associated with the announcement
appears at http://is.gd/0xoZCy
* Moody's Takes Ratings Actions on $318 Million Subprime RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 19
tranches, upgraded the ratings of two tranches, and confirmed the
ratings of 17 tranches from 13 RMBS transactions backed by
Subprime loans issued by various issuers.
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, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The methodology used in rating Interest-Only Securities is
"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: Aames Mortgsge Trust 2001-3
Cl. A-1, Downgraded to A1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: ABFC Mortgage Loan Asset-Backed Certificates, Series 2001-
AQ1
Cl. A-6, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. A-7, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at Caa2 (sf); previously on Jan 31, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC5
Cl. M1, Confirmed at Ba1 (sf); previously on Jan 31, 2012 Ba1 (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC6
Cl. A1, Upgraded to Baa2 (sf); previously on Mar 18, 2011
Downgraded to Ba2 (sf)
Cl. A2, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf)
Placed Under Review for Possible Downgrade
Cl. A4, Confirmed at Ba2 (sf); previously on Jan 31, 2012 Ba2 (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to C (sf); previously on Mar 18, 2011
Downgraded to Ca (sf)
Issuer: Amortizing Residential Collateral Trust, Series 2002-BC7
Cl. A1, Downgraded to Aa1 (sf); previously on Jan 31, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. A-SIO, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf) and Placed Under Review for Possible
Downgrade
Issuer: Bear Stearns ABS Trust Certificates, Series 2001-3
Cl. A-1, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa2 (sf); previously on Mar 11, 2011
Downgraded to A1 (sf)
Cl. A-3, Downgraded to Baa3 (sf); previously on Jan 31, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2002-CB1
Cl. B-1, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Downgraded to C (sf); previously on Mar 10, 2011
Confirmed at Ca (sf)
Issuer: CDC Mortgage Capital Trust 2004-HE1
Cl. M-1, Downgraded to B1 (sf); previously on Jan 31, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa3 (sf)
Cl. B-1, Downgraded to C (sf); previously on Mar 18, 2011
Confirmed at Ca (sf)
Issuer: Centex Home Equity Loan Trust 2001-B
Cl. A-5, Downgraded to Ba1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to Baa2 (sf); previously on Jan 31, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-7, Upgraded to Aa3 (sf); previously on Jan 31, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
Series SPMD 2000-C
Cl. AF-5, Downgraded to Caa3 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Downgraded to B3 (sf); previously on Jan 31, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. AV, Confirmed at B2 (sf); previously on Jan 31, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD
2001-A
AF-5, Downgraded to Caa3 (sf); previously on Jan 31, 2012 Ba3 (sf)
Placed Under Review for Possible Downgrade
AF-6, Downgraded to B3 (sf); previously on Jan 31, 2012 Ba2 (sf)
Placed Under Review for Possible Downgrade
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, SPMD
2004-B
Cl. A-II-3, Confirmed at Baa1 (sf); previously on Jan 31, 2012
Baa1 (sf) Placed Under Review for Possible Upgrade
Issuer: New Century Home Equity Loan Trust, Series 2004-A
Cl. A-I-6, Confirmed at Baa1 (sf); previously on Jan 31, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-II-6, Confirmed at B2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at B2 (sf); previously on Jan 31,
2012 B2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-7, Confirmed at B3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at B3 (sf); previously on Jan 31,
2012 B3 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-8, Confirmed at B3 (sf); previously on Jan 31, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at B3 (sf); previously on Jan 31,
2012 B3 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-II-9, Confirmed at B2 (sf); previously on Jan 31, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Confirmed at B2 (sf); previously on Jan 31,
2012 B2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. M-II, Confirmed at Ca (sf); previously on Jan 31, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. M-III, Downgraded to Caa1 (sf); previously on Mar 18, 2011
Downgraded to B1 (sf)
Cl. B-II, Confirmed at C (sf); previously on Jan 31, 2012 C (sf)
Placed Under Review for Possible Upgrade
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286545
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
* Moody's Says US CMBS Loss Severity Declines Slightly in 1st Qtr
-----------------------------------------------------------------
The historical weighted average loss severity for all conduit
loans backing commercial mortgage-backed securities in the US that
were liquidated at a loss was 40.5% in first-quarter 2012, down
from 41.0% in the prior quarter, says Moody's Investors Service in
"US CMBS Loss Severities, Q1 2012 Update." Excluding loans with de
minimis losses (defined as losses of less than 2%), the historical
weighted average loss severity was 52.2% in the first quarter,
down from 52.6% the previous quarter.
From April 1, 2011, to March 15, 2012, a total of $14.7 billion of
CMBS debt was liquidated, up $2.3 billion over the same period the
previous year, says Moody's.
Loans backed by retail properties had the highest weighted average
loss severity, at 45.2%, while loans backed by office properties
had the lowest weighted average loss severity, at 35.8%.
"During the quarter, there was a minimal increase in the severity
for industrial and retail properties, while the loss severity of
the three other major property types declined slightly from the
previous quarter," says Keith Banhazl, a Moody's Vice President
and Senior Credit Officer.
Of the ten metropolitan statistical areas (MSAs) with the highest
dollar losses, New York had the lowest severity, at 23.1%, while
Detroit had the highest, at 57.1%.
The three vintages with the highest loss severities are 2008, at
54.4%, 2007, at 49.4% and 2006, at 47.6%. These vintages
constitute 57.0% of CMBS collateral and 72.6% of delinquent loans.
For the troubled 2005, 2006, and 2007 vintages, Moody's now
expects aggregate losses of 7.2% to 11.8% of the total balance at
issuance, with most of the losses yet to be realized, given that
the aggregate loss for those vintages is currently below 2.5%.
Total cumulative realized losses from the 1998-2008 vintages rose
by 18 basis points in the first quarter, to 1.86% from 1.68% the
previous quarter.
Moody's quarterly US CMBS Loss Severities report tracks loan loss
severities upon liquidation and cumulative deal losses in US
commercial mortgage backed securities (CMBS) conduit and fusion
transactions. This quarterly report details loss severities across
the 1998 through 2008 vintages based on liquidations from January
1, 2000 through March 15, 2012.
* S&P Lowers Ratings on 414 Classes From 267 US RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 414
classes of mortgage pass-through certificates from 267 U.S.
residential mortgage-backed securities (RMBS) transactions to 'D
(sf)'. The transactions within this review were issued between
2002 and 2008.
The complete rating list is available for free at:
http://bankrupt.com/misc/S&P_RMBS_RA_5_25_12.pdf
"The downgrades reflect our assessment of the impact that
principal write-downs had on the affected classes during recent
remittance periods. Prior to 's rating actions, all of the
downgraded classes in this review had 'CCC (sf)' or 'CC (sf)'
ratings," S&P said.
Approximately 74.15% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or prime jumbo
mortgage loan collateral. The 414 defaulted classes consist of:
- 189 classes from Alt-A transactions (45.65% of all defaults);
- 118 from prime jumbo transactions (28.50%);
- 96 from subprime transactions (23.19%);
- Five from resecuritized real estate mortgage investment
conduit (re-REMIC) transactions;
- Two from small balance commercial loan transactions;
- Two from RMBS first-lien high loan-to-value (LTV)
transactions;
- One from an RMBS Federal Housing Administration/Veterans
Affairs transaction; and
- One from an RMBS 'Outside the Guidelines' transaction.
A combination of subordination, excess spread, and
overcollateralization (where applicable) provide credit
enhancement for all of the transactions in this review.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and it will
adjust its ratings as it considers appropriate in accordance with
its criteria.
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/1111635.pdf
* S&P Lowers Ratings on 30 Classes From 12 US RMBS Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 30
classes from 12 U.S. residential mortgage backed securities (RMBS)
transactions, and removed three of them from CreditWatch with
negative implications. "We also upgraded five classes from two
transactions, and affirmed our ratings on 47 classes from 16
transactions and removed one of them from CreditWatch negative.
Additionally, we withdrew our rating on one class from one of the
transactions following the application of our interest-only (IO)
criteria. The 17 transactions in this review are backed by
adjustable and fixed-rate, first-lien mortgage loans secured by
small-balance commercial properties, including, but not limited
to, multifamily, office, motel, restaurant, warehouse, and
retail," S&P said.
"In accordance with our published criteria, these rating actions
reflect our view of the recent performance of the collateral
backing these transactions, our current projected losses, the
timing of the projected defaults and losses, and the projected
credit support to cover those losses. The actions also reflect our
view of structural features, such as cross collateralization,
payment allocations, and super-senior/subordinate senior
relationships," S&P said.
"The downgrades reflect our belief that projected credit
enhancement for the affected classes will be insufficient to cover
the projected losses we applied at the applicable rating stresses
and/or, where applicable, the application of our interest
shortfall criteria. We lowered our ratings on eight classes from
four transactions based on our interest shortfall criteria. These
classes can be identified in the table below by an asterisk and
accompanying footnote," S&P said.
"Among other factors, the upgrades reflect our view of decreased
delinquencies within the structures associated with the affected
classes. This has reduced the remaining projected losses for these
structures, allowing these classes to withstand more stressful
scenarios. The upgrades to 'B- (sf)', 'B (sf)', and 'BB (sf)' from
'CCC (sf)' reflect our opinion that these classes are no longer
projected to default based on the credit enhancement available to
cover our projected losses. In addition, each upgrade reflects our
assessment that the projected credit enhancement for each affected
class will be more than sufficient to cover projected losses at
the revised rating levels; however, we are limiting the extent of
the upgrades to reflect our view of ongoing market risk," S&P
said.
"The affirmations reflect our belief that projected credit
enhancement available for the affected classes will be sufficient
to cover our projected losses at the current rating levels," S&P
said.
"We withdrew the rating on class IO from Bayview Commercial Asset
Trust 2006-4 to reflect the application of our IO criteria," S&P
said.
"When projecting losses for these transactions, we applied our
methodology and assumptions as outlined in 'Surveillance
Methodology And Assumptions For U.S. Small-Balance Commercial
Transactions,' published March 1, 2010, on RatingsDirect.
Generally, we applied our monthly default vectors (MDR) that are
obtained from both the existing delinquency pipeline and change in
performance over the prior six-month period. These MDRs were then
applied on a period-by-period basis over a certain time frame in
order to identify if each class could survive the applicable
stress scenario," S&P said.
"When stressing losses, we will generally increase our MDR and
loss severity stresses proportionately as we stress different
rating scenarios. For example, our base-case 'B' MDR and loss
severity assumptions will be applied based on our methodology and
assumptions, while a 'AAA' scenario may be derived by stressing
both the base-case MDR and loss severity assumptions by a factor
of 1.225x. Rating category stresses between 'B' and 'AAA' are
dispersed linearly based on the 1.225x factors. By applying the
stressed MDR and loss severity assumptions, the 'AAA' loss would
generally be close to 1.5x the base-case loss assumption, and will
vary depending on the default and CPR assumptions we apply in our
analysis," S&P said.
Subordination, overcollateralization, and excess interest
generally provide credit support for the classes within these
small balance commercial 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/1111639.pdf
RATING ACTIONS
Bayview Commercial Asset Trust 2005-1
Series 2005-1
Rating
Class CUSIP To From
A-1 07324SBE1 AA+ (sf) AAA (sf)/Watch Neg*
B-2 07324SBK7 B (sf) B (sf)/Watch Neg
B-3 07324SBL5 B- (sf) CCC (sf)
Bayview Commercial Asset Trust 2005-2
Series 2005-2
Rating
Class CUSIP To From
IO 07324SBM3 AA+ (sf) AAA (sf)*
A-1 07324SBN1 AA+ (sf) AAA (sf)/Watch Neg*
M-5 07324SBU5 B- (sf) B (sf)/Watch Neg
B-2 07324SBX9 CC (sf) CCC (sf)
B-3 07324SBY7 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2005-3
Series 2005-3
Rating
Class CUSIP To From
IO 07324SCN0 AA+ (sf) AAA (sf)*
A-1 07324SCB6 AA+ (sf) AAA (sf)*
Bayview Commercial Asset Trust 2005-4
Series 2005-4
Rating
Class CUSIP To From
B-2 07324SDA7 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
B-3 07324SDQ2 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2006-2
Series 2006-2
Rating
Class CUSIP To From
B-2 07324YAL3 CC (sf) CCC (sf)
B-3 07324YAM1 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2006-4
Series 2006-4
Rating
Class CUSIP To From
IO 07325BAA6 NR AAA (sf)
A-1 07325BAB4 BBB+ (sf) AAA (sf)
B-1 07325BAK4 CC (sf) CCC (sf)
B-2 07325BAL2 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2006-SP2
Series 2006-SP2
Rating
Class CUSIP To From
B-2 07325KAJ7 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2007-1
Series 2007-1
Rating
Class CUSIP To From
B-1 07325MAJ3 CC (sf) CCC (sf)
Bayview Commercial Asset Trust 2007-3
Series 2007-3
Rating
Class CUSIP To From
IO 07325YAM0 AA+ (sf) AAA (sf)*
SIO 07325YAN8 AA+ (sf) AAA (sf)*
A-1 07325YAA6 AA+ (sf) AAA (sf)*
B-2 07325YAK4 CC (sf) CCC (sf)
Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Series 2006-SP1
Rating
Class CUSIP To From
M-3 07324MAF2 BB (sf) CCC (sf)
M-4 07324MAG0 BB (sf) CCC (sf)
B-1 07324MAH8 B (sf) CCC (sf)
B-2 07324MAJ4 B- (sf) CCC (sf)
C-BASS 2006-SC1 Trust
Series 2006-SC1
Rating
Class CUSIP To From
M-2 12498SAC6 BBB (sf) A (sf)
M-3 12498SAD4 BB (sf) BBB (sf)
M-4 12498SAE2 B (sf) BBB (sf)
M-5 12498SAF9 B- (sf) B (sf)
C-Bass 2007 MX-1 Trust
Series 2007 MX-1
Rating
Class CUSIP To From
A-3 1248MPAC8 CCC (sf) B (sf)
A-4 1248MPAD6 CCC (sf) B (sf)
M-5 1248MPAJ3 CC (sf) CCC (sf)
M-6 1248MPAK0 CC (sf) CCC (sf)
B-1 1248MPAL8 CC (sf) CCC (sf)
RATINGS AFFIRMED
Bayview Commercial Asset Trust 2003-2
Series 2003-2
Class CUSIP Rating
A 07324SAF9 AAA (sf)
IO 07324SAE2 AAA (sf)
M-1 07324SAG7 AA (sf)
M-2 07324SAH5 A (sf)
B 07324SAJ1 BBB (sf)
Bayview Commercial Asset Trust 2004-1
Series 2004-1
Class CUSIP Rating
A 07324SAL6 AAA (sf)
IO 07324SAK8 AAA (sf)
M-1 07324SAM4 AA (sf)
M-2 07324SAN2 A (sf)
B 07324SAP7 BBB (sf)
Bayview Commercial Asset Trust 2005-2
Series 2005-2
Class CUSIP Rating
M-6 07324SBV3 CCC (sf)
B-1 07324SBW1 CCC (sf)
Bayview Commercial Asset Trust 2005-3
Series 2005-3
Class CUSIP Rating
B-1 07324SCK6 CCC (sf)
B-2 07324SCL4 CCC (sf)
B-3 07324SCM2 CCC (sf)
Bayview Commercial Asset Trust 2005-4
Series 2005-4
Class CUSIP Rating
A-1 07324SCR1 A (sf)
B-1 07324SCZ3 CCC (sf)
Bayview Commercial Asset Trust 2006-1
Series 2006-1
Class CUSIP Rating
IO 07324SDD1 AAA (sf)
A-1 07324SDE9 AAA (sf)
B-1 07324SDN9 CCC (sf)
B-2 07324SDP4 CCC (sf)
Bayview Commercial Asset Trust 2006-2
Series 2006-2
Class CUSIP Rating
IO 07324YAA7 AAA (sf)
A-1 07324YAB5 AAA (sf)
B-1 07324YAK5 CCC (sf)
Bayview Commercial Asset Trust 2006-3
Series 2006-3
Class CUSIP Rating
A-1 07324NAA1 BBB (sf)
Bayview Commercial Asset Trust 2006-SP2
Series 2006-SP2
Class CUSIP Rating
B-1 07325KAH1 CCC (sf)
Bayview Commercial Asset Trust 2007-1
Series 2007-1
Class CUSIP Rating
IO 07325MAM6 AAA (sf)
SIO 07325MAN4 AAA (sf)
A-1 07325MAA2 AAA (sf)
Bayview Commercial Asset Trust 2007-3
Series 2007-3
Class CUSIP Rating
B-1 07325YAJ7 CCC (sf)
Bayview Commercial Mortgage Pass-Through Trust 2006-SP1
Series 2006-SP1
Class CUSIP Rating
IO 07324MAA3 AAA (sf)
A-1 07324MAB1 AAA (sf)
B-3 07324MAK1 CCC (sf)
Bayview Financial Asset Trust 2008-A
Series 2008-A
Class CUSIP Rating
A 07326PAA4 AAA (sf)
C-BASS 2006-SC1 Trust
Series 2006-SC1
Class CUSIP Rating
A 12498SAA0 AAA (sf)
M-1 12498SAB8 A (sf)
B-1 12498SAG7 CCC (sf)
B-2 12498SAH5 CCC (sf)
B-3 12498SAJ1 CCC (sf)
C-Bass 2007 MX-1 Trust
Series 2007 MX-1
Class CUSIP Rating
A-1 1248MPAA2 BB- (sf)
A-2 1248MPAB0 B (sf)
M-1 1248MPAE4 CCC (sf)
M-2 1248MPAF1 CCC (sf)
M-3 1248MPAG9 CCC (sf)
M-4 1248MPAH7 CCC (sf)
B-2 1248MPAM6 CC (sf)
* Based on application of interest shortfall criteria
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
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A list of Meetings, Conferences and Seminars appears in each
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related conferences are encouraged. Send announcements to
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On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
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interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
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Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise
Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo
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Editors.
Copyright 2012. All rights reserved. ISSN: 1520-9474.
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