/raid1/www/Hosts/bankrupt/TCR_Public/120812.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, August 12, 2012, Vol. 16, No. 223
Headlines
ACAS CLO 2007-1: Fitch Affirms 'Bsf' Rating on $15.5MM Notes
AIRPLANES PASS: Moody's Cuts Rating on Class A-9 Certs. to Caa2
ANTARCTICA CFO I: S&P Retains 'CC' Rating on Class E Notes
AQUILEX LLC: Moody's Assigns 'B3' CFR/PDR; Outlook Stable
BABSON CLO 2006-1: Moody's Raises Rating on Class E Notes to 'Ba2'
BANC OF AMERICA: Moody's Cuts Ratings on Three Tranches to 'C'
BANC OF AMERICA: Moody's Lowers Ratings on 11 Tranches to 'C'
BEAR STEARNS 2005-TOP20: Moody's Keeps C Ratings on 3 Cert Classes
CAPITALSOURCE 2006-A: Fitch Affirms Junk Ratings on 7 Note Classes
CIT GROUP 1995-1: Moody's Upgrades Rating on A-5 Certs. to 'B1'
COLONIAL PROPERTIES: Fitch Affirms 'BB+' IDR; Outlook Positive
COMM 2012-CCRE2: Fitch Issues Presale Report to Cert. Classes
COMM 2012-CCRE2: Moody's Assigns '(P)B2' Rating to Class G Secs.
CREDIT AND REPACKAGED: Moody's Lifts Rating on Secs. From 'Ba1'
CREDIT SUISSE 2003-CPN1: S&P Lowers Rating on Class G to 'D'
CREST 2003-2: Moody's Affirms 'Caa3' Ratings on Two Note Classes
CSFB ADJUSTABLE: Moody's Takes Action on $549.2MM of Alt-A RMBS
CSMC 2010-UD1: Moody's Affirms 'Ba1' Rating on Class B-B Notes
DBUBS COMMERCIAL: Moody's Affirms 'B2' Rating on Cl. F. Secs.
ELLINGTON LOAN: Moody's Lifts Rating on Cl. A-2a1 Tranche to 'Ba1'
FIRST COMMONWEALTH: Fitch Lowers Preferred Stock Rating to 'B+'
FOUR CORNERS III: Moody's Raises Rating on Class E Notes to 'Ba3'
GMAC COMMERCIAL: Fitch Junks Rating on $12.5-Mil. Class E Notes
GREENWICH CAPITAL 2005-FL3: Fitch Keeps Ratings on 6 Cert Classes
GSR MORTGAGE: Moody's Downgrades Ratings on Two Tranches to 'C'
HARBOR SPC 2006-1: S&P Lowers Ratings on 4 Note Classes to 'D'
ING IM 2012-2: S&P Gives 'BB' Rating on Class E Deferrable Notes
JP MORGAN: Moody's Takes Action on $721MM Subprime RMBS
JP MORGAN 2004-CIBC9: Fitch Cuts Rating on $15.5MM Certs to 'Csf'
JP MORGAN 2005-LDP2: Fitch Lowers Rating on $29.8MM Certs to CCCsf
JP MORGAN 2005-CIBC13: Moody's Cuts Rating on Cl. C Certs. to 'Ca'
JP MORGAN 2010-C1: Fitch Affirms 'B-(sf)' Rating on $11.6MM Secs.
MASTR ASSET 2006-HE1: Moody's Lifts Rating on A-4 Secs. to 'Caa1'
MASTR RESECURITIZATION: Moody's Reviews B3 Rating on Cl. N3 Bond
ML-CFC COMMERCIAL: DBRS Lowers Rating on 8 Securities Classes
MORGAN STANLEY 1999-WF1: Moody's Affirms Caa2 Rating on N Certs.
MORGAN STANLEY 2006-7: S&P Lowers Rating on Class IA Notes to 'D'
MORGAN STANLEY 2007-XLF9: Moody's Cuts Rating on X Certs. to 'B2'
MORGAN STANLEY 2012-C5: Moody's Rates Class H Certificates B2(sf)
N-STAR VI: Fitch Affirms Junk Ratings on Seven Note Classes
N-STAR VIII: Fitch Junks Rating on 2 Note Classes from 'Bsf'
NOMURA HOME: Moody's Raises Rating on Cl. M-4 Tranche to 'B3'
PACIFICA CDO VI: S&P Raises Rating on Class D to 'BB'; Off Watch
POTOMAC SYNTHETIC: Moody's Lifts Rating on US$31MM Notes to Caa1
PPLUS TRUST RRD-1: S&P Lowers Ratings on 2 Cert. Classes to 'BB'
RESOURCE REAL 2006-1: Fitch Affirms Junk Rating on 6 Note Classes
RESOURCE REAL 2007-1: Fitch Affirms Junk Rating on 9 Note Classes
RFC CDO 2007-1: Moody's Lifts Ratings on 2 Note Classes to 'Ba3'
SANTANDER DRIVE 2012-5: Moody's Rates Class E Notes '(P)Ba2(sf)'
SANTANDER DRIVE 2012-5: S&P Rates $27.8MM Class E Notes 'BB+'
SBA TOWER: Moody's Assigns Ratings to Class C Securities
SLM STUDENT 2003-12: Fitch Affirms 'BBsf' Rating on Cl. B Notes
SPRINGLEAF MORTGAGE 2012-2: S&P Rates Class B-2 Notes 'B'
SVO 2005-A: Moody's Raises Rating on Class D Notes to 'Ba2'
VENTURE II: Moody's Lifts Rating on US$12MM Class C Notes to 'Ba2'
WACHOVIA BANK 2003-C3: Fitch Cuts Ratng on $9.3MM K Notes to CCsf
WAMU ASSET 2005-C1: Fitch Junks Rating on Two Certificate Classes
WELLS FARGO 2012-C68: Fitch Gives Low-B Ratings on 2 Cert Classes
WFRBS COMMERCIAL: Moody's Assigns 'B2' Rating to Class G Certs.
* Moody's Says Budget Cuts May Hit Military Housing Bond Revenue
* Moody's Takes Rating Actions on $1.5 Billion Subprime RMBS
* S&P Withdraws Ratings on 29 Note Classes From 11 CLO/CBO Deals
* S&P Cuts Ratings on 3 Cert. Classes From 2 CMBS Deals to 'D'
* S&P Cut Ratings on 18 Tranches from 4 U.S. CDO Transactions
* S&P Lowers Ratings on 5 Cert. Classes to 'D' From 3 CMBS Deals
* S&P Cuts Ratings on 21 Classes From LNR CDOs IV & V to 'D'
* S&P Affirms Ratings on 26 Classes From 2 US RMBS Picard Deals
*********
ACAS CLO 2007-1: Fitch Affirms 'Bsf' Rating on $15.5MM Notes
------------------------------------------------------------
Fitch Ratings has affirmed seven classes of notes issued by ACAS
CLO 2007-1 Ltd./Corp.(ACAS CLO 2007-1) as follows:
-- $110,750,000 class A-1 at 'AAAsf'; Outlook Stable;
-- $135,000,000 class A-1-S at 'AAAsf'; Outlook Stable;
-- $33,750,000 class A-1-J at 'AAAsf'; Outlook Stable;
-- $25,000,000 class A-2 at 'AAsf'; Outlook Stable;
-- $22,000,000 class B at 'Asf'; Outlook Stable;
-- $21,000,000 class C at 'BBBsf'; Outlook Stable;
-- $15,500,000 class D at 'Bsf'; Outlook Stable.
The affirmation of the notes is based on the steady credit
enhancement levels for all classes, as well as the stable
performance of the underlying portfolio since Fitch's last rating
action in August 2011. Fitch expects the ratings on the notes to
remain unchanged in the near term and has maintained the Stable
Outlook on all classes of notes.
The current portfolio continues to generate a considerable amount
of excess spread, and all classes of notes are likely to perform
at or above their current ratings under modeled stresses.
However, upgrades are not warranted at this time, since the
transaction remains in its reinvestment period until April 2014
and may be managed to covenanted levels which may negatively
affect the portfolio and future cash flows. In its analysis,
Fitch applied stress scenarios including an increase in the
weighted-average rating factor.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis
in CDOs'. Fitch's modeling results for the class A-2, B, and C
notes indicated a higher passing rating when analyzing with the
current portfolio's characteristics; however, analysis with the
portfolio stressed to higher rating levels indicated that an
upgrade was not warranted for these notes.
ACAS CLO 2007-1 is a cash flow collateralized loan obligation
(CLO) that closed April 26, 2007, and is managed by American
Capital Asset Management, LLC. The current portfolio has a Fitch
weighted-average rating factor of 'B+/B' and is composed of 94%
senior secured loans, with the remaining 6% including senior
unsecured bonds, junior secured/mezzanine debt and structured
finance assets.
Approximately 6.9% of the $378 million collateral is not publicly
rated. Fitch has credit opinions for 3.9% of these performing
loans, and the remaining 3% were treated as 'CCC' by Fitch.
Information for the credit opinions was gathered from financial
statements provided to Fitch by the manager or the public domain.
ACAS CLO 2007-1 is currently in its reinvestment period through
April 20, 2014. During the reinvestment period, failure of the
reinvestment overcollateralization test test will divert up to 50%
of excess interest to invest in additional collateral to build
credit enhancement for the notes.
AIRPLANES PASS: Moody's Cuts Rating on Class A-9 Certs. to Caa2
---------------------------------------------------------------
Moody's Investors Service has downgraded the Class A-9
certificates from Airplanes Pass Through Trust, Series 2001
Refinancing Trust from B1 (sf) to Caa2 (sf). The rating remains
under review for further possible downgrade.
The complete rating action is as follows:
Issuer: Airplanes Pass Through Trust, Series 2001 Refinancing
Trust
Subclass A-9, Downgraded to Caa2 (sf) and Remains On Review for
Possible Downgrade; previously on Apr 2, 2012 B1 (sf) Placed Under
Review for Possible Downgrade
Ratings Rationale
The downgrade was primarily driven by the weakened value of the
aircraft portfolio relative to the previous ratings. The current
portfolio of aircraft backing the certificates consists of old-
vintage aircraft, a segment which has experienced accelerated
declines in demand and lease rates as a result of the global
recession. The outstanding principal balance of the certificates
has exceeded the adjusted portfolio value for the past few years
and Moody's expects this to likely continue for the remaining life
of the transaction. As a result, Moody's expects that the Class A-
9 certificates will not be fully repaid. The current loan-to-
appraisal value ratio on Class A-9 is over 135%. Cash flows from
lease payments have generally declined during the last several
months as dispositions of aircraft from the pool continue. Cash
flows from leases in the second half of 2011 allowed the Class A-9
certificates to amortize at roughly $8.8 million a month. This
compares to approximately $5.8M a month for the first half of
2012, a meaningful decline.
The review for possible further downgrade was primarily driven by
ongoing litigation of the trust. On June 28, 2012, the board of
directors of Airplanes Limited and controlling trustees of
Airplanes U.S. Trust resolved to increase the liquidity reserve
held by way of the Maintenance Reserve Amount to $110 million from
its pre-existing $45 million level as a result of developments in
ongoing litigation between Airplanes Holdings Limited and a prior
lessee. This activity will suspend the payment of principal to the
Class A-9 certificates until the $110 million targeted reserve
balance is achieved. Moody's will monitor the ongoing litigation
associated with this activity during the review period. A
significant distribution of cash for this litigation has the
potential for future downgrades.
Parameter sensitivities: Moody's analyzed an additional scenario
stressing LTV, which is among the key metrics, to determine the
potential ratings impact. Moody's assumed that the associated
stress would decline aircraft values by 10%. In concert with other
factors, this increase in LTV could result in an additional one
notch in the rating downgrade.
The principal methodology used in this rating was Moody's approach
To Pooled Aircraft-Backed Securitization, published in March 1999.
ANTARCTICA CFO I: S&P Retains 'CC' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its 'A- (sf)' rating
on the class B notes from Antarctica CFO I Ltd., a U.S.
collateralized fund obligation (CFO) transaction backed by a
diversified pool of hedge funds, following the class' full paydown
on April 16, 2012.
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 WITHDRAWN
Antarctica CFO I Ltd.
Rating
Class To From
B NR A- (sf)
NR-Not rated.
OTHER RATINGS OUTSTANDING
Antarctica CFO I Ltd.
Class Rating
C B+ (sf)
D CCC- (sf)
E CC (sf)
AQUILEX LLC: Moody's Assigns 'B3' CFR/PDR; Outlook Stable
---------------------------------------------------------
Moody's Investors Service has assigned initial ratings to Aquilex,
LLC, including a B3 corporate family and second lien term loan
ratings. The rating outlook is stable. The B3 corporate family
rating reflects high leverage despite the high degree of debt and
interest reduction that followed Aquilex's February 2012 financial
restructuring, and favorably considers some early success from the
company's new operational initiatives.
Ratings assigned
Corporate family, assigned at B3
Probability of default, assigned at B3
$122.8 million second lien term loan due 2016, assigned at B3,
LGD4, 57%
Rating Outlook, Stable
Ratings Rationale
The B3 corporate family rating incorporates a reasonably steady
demand level stemming from refinery and industrial maintenance
spending, an established +$400 million revenue base, and a book
debt level of $136 million (down from $442 million) that Aquilex
attained through an out-of-court financial restructuring. In the
financial restructuring some of the company's creditors exchanged
their debt for equity and proceeds from an $80 million rights
offering further reduced debt. A lowered annual cash interest
burden (to about $12 million from $39 million) and only $1.2
million of annual debt amortization required until 2016 enhance
debt service prospects.
The rating also considers that besides the reduced debt
obligations, executive management change has begun and an
operational restructuring is underway which could, if successful,
establish favorable longer-term credit prospects. Although early
in its implementation, some performance gains from the operational
initiative hold promise and could yield a steady, profitable
operating position -- a critical rating consideration since
Aquilex has delivered annual operating losses since 2008. Much
decision making previously handled at the corporate level has been
moved down to the company's two operating business segments
including processes around logistical coordination of direct labor
and owned equipment to/from jobs. The recent operating revisions
quickly reduced overhead burden, and improved gross and operating
income margins (excluding restructuring charges). Should this more
decentralized model prove effective, higher direct labor
utilization rates, minimization of transportation and equipment
rental expenses should follow, and with the company's established
+$400 million revenue run rate, could potentially support an
operating profit margin in the 9% range. Such a performance level
would likely be enough to grow the equity base and establish
longer-term resilience. However, the brief period of improved
performance against a history of restructuring charges, still
unstaffed executive positions and the rather tepid U.S. economic
recovery taking hold suggest caution and constrain the rating.
Further, despite the significant debt reduction resulting from the
financial restructuring and the resulting reduction in interest
expense, capital spending needs will likely remain in the $20
million annual range, enough to make near-term free cash flow
potential modest.
The stable rating outlook considers an adequate liquidity profile
which should give Aquilex enough financial flexibility to see
through its initiatives and round out its executive management
team. Liquidity is very much helped by about $30 million of cash
on hand and limited near-term debt amortizations. Good covenant
compliance headroom should exist at least into 2013.
Upward rating momentum would depend on demonstration of debt to
EBITDA approaching 4x, annual FCF to debt approaching the 10%
level and a growing equity base. Downward rating pressure would
mount with debt to EBITDA above 5x and/or weakening liquidity. All
foregoing metrics are calculated on a Moody's adjusted basis which
includes 50% equity credit on the ultimate parent's A and B equity
units (re-classifies about $95 million as debt). The company is
majority owned by affiliates of Centerbridge Partners, LLC.
The principal methodology used in rating Aquilex was the Global
Business & Consumer Service Industry Methodology published in
October 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.
Aquilex, LLC, headquartered in Atlanta, Georgia, is a provider of
service, repair and overhaul services, and industrial cleaning
services to the energy and power generation sectors. Revenues in
2011 were approximately $440 million.
BABSON CLO 2006-1: Moody's Raises Rating on Class E Notes to 'Ba2'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Babson CLO Ltd. 2006-1:
U.S.$51,700,000 Class B Notes Due July 15, 2018, Upgraded to Aa1
(sf); previously on Jul 21, 2011 Upgraded to Aa3 (sf);
U.S.$27,600,000 Class C Notes Due July 15, 2018, Upgraded to A3
(sf); previously on Jul 21, 2011 Upgraded to Baa2 (sf);
U.S.$23,000,000 Class D Notes Due July 15, 2018, Upgraded to Ba1
(sf); previously on Jul 21, 2011 Upgraded to Ba2 (sf);
U.S.$12,100,000 Class E Notes Due July 15, 2018, Upgraded to Ba2
(sf); previously on Jul 21, 2011 Upgraded to B1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes
reflect the conclusion of the deal's reinvestment period in July
2012. In consideration of the reinvestment restrictions applicable
during the amortization period, and therefore limited ability to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive
"cushion" relative to certain covenant requirements. In
particular, the deal is assumed to benefit from lower WARF and
higher spread levels compared to the levels assumed at the last
rating action in July 2011. Moody's also notes that the
transaction's reported overcollateralization ratios are stable
since the last rating action.
Moody's notes that the deal has benefited from an improvement in
the credit quality of the underlying portfolio. Based on the
latest trustee report dated July 3, 2012, the weighted average
rating factor is currently 2564 compared to 2669 in July 2011.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, weighted average spread, 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 $546.3 million, defaulted par of $7.8 million,
a weighted average default probability of 17.40% (implying a WARF
of 2629), a weighted average recovery rate upon default of 51.23%,
a weighted average spread of 3.47%, and a diversity score of 71.
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.
Babson CLO Ltd. 2006-1, issued in May 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The methodologies used in this rating were "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011,
and "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using 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.
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% (2103)
Class A-1: 0
Class A-2: 0
Class A-2B: 0
Class A-3: 0
Class B: +2
Class C: +1
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3155)
Class A-1: 0
Class A-2: 0
Class A-2B: 0
Class A-3: 0
Class B: -1
Class C: -1
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
BANC OF AMERICA: Moody's Cuts Ratings on Three Tranches to 'C'
--------------------------------------------------------------
Moody's Investors Service has downgraded 62 tranches, upgraded 12
tranches and confirmed the ratings on four tranches from 12 RMBS
transactions issued by Banc of America. The collateral backing
these deals primarily consists of first-lien, fixed and/or
adjustable-rate Alt-A residential mortgages. The actions impact
approximately $1.3 billion of RMBS issued from 2005.
Complete rating actions are as follows:
Issuer: Banc of America Alternative Loan Trust 2005-1
Cl. 1-CB-1, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 30-PO, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-1, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. 15-PO, Downgraded to B3 (sf); previously on Apr 26, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Alternative Loan Trust 2005-10
Cl. 1-CB-1, Downgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to B2 (sf)
Cl. 1-CB-2, Downgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to B2 (sf)
Cl. 1-CB-3, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 1-CB-4, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 1-CB-5, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 1-CB-6, Downgraded to C (sf); previously on Apr 26, 2010
Downgraded to Ca (sf)
Cl. CB-IO, Downgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to B2 (sf)
Cl. CB-PO, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 5-A-1, Downgraded to Ba1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Downgraded to B1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. 15-IO, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. 15-PO, Downgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Alternative Loan Trust 2005-2
Cl. 1-CB-1, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 1-CB-2, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. CB-IO, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. A-PO, Downgraded to Caa1 (sf); previously on Apr 26, 2010
Downgraded to B3 (sf)
Cl. 3-A-1, Confirmed at Ba2 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Upgraded to Ba2 (sf); previously on Jul 18, 2011
Downgraded to B1 (sf)
Issuer: Banc of America Alternative Loan Trust 2005-6
Cl. CB-2, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. A-PO, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 2-CB-2, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 4-CB-1, Downgraded to Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Cl. 5-A-1, Upgraded to B3; previously on Apr 26, 2010 Downgraded
to Caa1
Cl. 5-A-3, Upgraded to Caa1; previously on Apr 26, 2010 Downgraded
to Caa2
Cl. 5-A-4, Upgraded to Caa1; previously on Apr 26, 2010 Downgraded
to Caa2
Cl. 5-A-5, Upgraded to Caa1; previously on Apr 26, 2010 Downgraded
to Caa2
Cl. 6-A-1, Confirmed at B1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 7-A-1, Upgraded to B2 (sf); previously on Apr 26, 2010
Downgraded to Caa1 (sf)
Issuer: Banc of America Alternative Loan Trust 2006-2
Cl. 1-CB-1, Downgraded to Caa2 (sf); previously on Dec 7, 2010
Downgraded to Caa1 (sf)
Cl. CB-IO, Downgraded to Caa2 (sf); previously on Dec 7, 2010
Downgraded to Caa1 (sf)
Cl. CB-PO, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Cl. 2-CB-1, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Cl. 5-A-5, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 5-PO, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 6-A-1, Downgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to B2 (sf)
Cl. 15-IO, Downgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to B1 (sf)
Cl. 15-PO, Downgraded to Caa2 (sf); previously on Dec 7, 2010
Downgraded to B3 (sf)
Cl. 7-A-1, Downgraded to B3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Alternative Loan Trust 2006-4
Cl. 1-A-1, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 1-A-2, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 1-IO, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 15-IO, Downgraded to Caa1 (sf); previously on Dec 7, 2010
Downgraded to B1 (sf)
Cl. 15-PO, Downgraded to Caa2 (sf); previously on Dec 7, 2010
Downgraded to Caa1 (sf)
Cl. CB-PO, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Issuer: Banc of America Alternative Loan Trust 2006-5
Cl. CB-10, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Cl. CB-11, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Cl. CB-12, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Cl. CB-IO, Downgraded to Caa3 (sf); previously on Dec 7, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-3, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 3-A-1, Downgraded to B3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. X-PO, Downgraded to Ca (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Issuer: Banc of America Funding 2005-A Trust
Cl. 3-A-1, Downgraded to A1 (sf); previously on May 30, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-2, Upgraded to Baa3 (sf); previously on Jul 8, 2010
Downgraded to Ba3 (sf)
Issuer: Banc of America Funding 2005-B Trust
Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Caa2 (sf)
Cl. 3-A-3B, Confirmed at B2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Issuer: Banc of America Funding 2005-C Trust
Cl. A-2, Upgraded to B2 (sf); previously on May 30, 2012 Caa2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-3A, Downgraded to Ca (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
Cl. A-3B, Downgraded to Ca (sf); previously on Jul 8, 2010
Downgraded to Caa3 (sf)
Issuer: Banc of America Funding 2006-G Trust
Cl. 2-A-1, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-3, Upgraded to Aa3 (sf); previously on May 30, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: Banc of America Funding 2007-4 Trust
Cl. 1-A-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to C (sf); previously on Nov 5, 2010
Confirmed at Ca (sf)
Cl. 1-PO, Downgraded to Caa3 (sf); previously on Nov 5, 2010
Confirmed at Caa1 (sf)
Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Nov 5, 2010
Confirmed at B2 (sf)
Cl. 2-A-4, Downgraded to Caa1 (sf); previously on Nov 5, 2010
Confirmed at B2 (sf)
Cl. 2-A-5, Downgraded to C (sf); previously on Nov 5, 2010
Downgraded to Ca (sf)
Cl. 2-A-7, Downgraded to Caa2 (sf); previously on Nov 5, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-10, Downgraded to Caa2 (sf); previously on Nov 5, 2010
Downgraded to Caa1 (sf)
Cl. 3-IO, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Upgraded to B3 (sf)
Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Nov 5, 2010
Downgraded to Caa1 (sf)
Cl. 4-A-2, Downgraded to Caa2 (sf); previously on Nov 5, 2010
Downgraded to Caa1 (sf)
Cl. S-IO, Upgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale
The actions are a result of the recent performance of Alt-A pools
originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of downgrades and upgrades.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated.
The upgrades are due to significant improvement in collateral
performance, and rapid build-up in credit enhancement due to high
prepayments.
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.
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 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/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 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.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF294149
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
BANC OF AMERICA: Moody's Lowers Ratings on 11 Tranches to 'C'
-------------------------------------------------------------
Moody's Investors Service has downgraded 46 tranches, upgraded 11
tranches and confirmed the ratings on two tranches from eight RMBS
transactions issued by Banc of America Funding. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable-rate prime Jumbo residential mortgages. The actions
impact approximately $893 million of RMBS issued from 2005 to
2007.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2006-1 Trust, Mortgage Pass-
Through Certificates, Series 2006-1
Cl. 2-A-1, Downgraded to B3 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ca (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. X-IO, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Issuer: Banc of America Funding 2006-2 Trust
Cl. 1-A-4, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-19, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 3-A-1, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to Caa3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 4-A-2, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 4-A-3, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 5-A-1, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Cl. 5-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 5-A-3, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Issuer: Banc of America Funding 2006-3 Trust
Cl. 1-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 2-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 3-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 5-A-5, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 5-A-9, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 6-A-1, Downgraded to A3 (sf); previously on May 30, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Funding 2006-5 Trust, Mortgage Pass-
Through Certificates, Series 2006-5
Cl. 1-A-3, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 1-A-10, Upgraded to Ba1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-10, Upgraded to B1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 2-A-13, Upgraded to B1 (sf); previously on Feb 22, 2012
Upgraded to B3 (sf)
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 3-A-2, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Cl. 3-A-3, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. 3-A-4, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 4-A-5, Upgraded to Baa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Issuer: Banc of America Funding 2006-I Trust
Cl. 1-A-1, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Confirmed at Baa3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Issuer: Banc of America Funding 2007-C Trust
Cl. 1-A-3, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 4-A-2, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Confirmed at B3 (sf)
Cl. 4-A-4, Downgraded to C (sf); previously on Jul 17, 2009
Downgraded to Ca (sf)
Cl. 7-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Confirmed at Ca (sf)
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-5
Cl. 1-A-7, Upgraded to Baa3 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-8, Upgraded to Baa3 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 3-A-1, Upgraded to Baa1 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 3-A-2, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-3, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-4, Downgraded to B2 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 3-A-5, Downgraded to B3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-6, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 3-A-7, Upgraded to Baa1 (sf); previously on Feb 22, 2012
Upgraded to Ba3 (sf)
Cl. 3-A-8, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 30-PO, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-7
Cl. 2-A-1, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to B2 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 2-A-4, Downgraded to Ca (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-5, Downgraded to B2 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 2-A-6, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Cl. 2-A-7, Downgraded to Caa3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-16, Downgraded to Ca (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Cl. 3-A-17, Downgraded to Ca (sf); previously on Apr 30, 2010
Downgraded to Caa3 (sf)
Cl. 4-A-6, Upgraded to Baa2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Prime jumbo
pools originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of downgrades and upgrades.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated. The upgrades are due to
significant improvement in collateral performance, and rapid
build-up in credit enhancement due to high prepayments.
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
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.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered 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 8.2% in June 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_SF293822
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_SF196023
BEAR STEARNS 2005-TOP20: Moody's Keeps C Ratings on 3 Cert Classes
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 18 CMBS classes
of Bear Stearns Commercial Mortgage Securities Inc., Commercial
Mortgage Pass-Through Certificates, Series 2005-TOP20 as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Nov 17, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Nov 17, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Nov 17, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4A, Affirmed at Aaa (sf); previously on Nov 17, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4B, Affirmed at Aaa (sf); previously on Nov 17, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at A3 (sf); previously on Dec 2, 2010 Downgraded
to A3 (sf)
Cl. B, Affirmed at Baa1 (sf); previously on Dec 2, 2010 Downgraded
to Baa1 (sf)
Cl. C, Affirmed at Baa2 (sf); previously on Dec 2, 2010 Downgraded
to Baa2 (sf)
Cl. D, Affirmed at Ba1 (sf); previously on Dec 2, 2010 Downgraded
to Ba1 (sf)
Cl. E, Affirmed at B3 (sf); previously on Sep 15, 2011 Downgraded
to B3 (sf)
Cl. F, Affirmed at Caa1 (sf); previously on Sep 15, 2011
Downgraded to Caa1 (sf)
Cl. G, Affirmed at Caa2 (sf); previously on Sep 15, 2011
Downgraded to Caa2 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Dec 2, 2010 Downgraded
to Caa3 (sf)
Cl. J, Affirmed at Ca (sf); previously on Dec 2, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to
C (sf)
Cl. L, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to
C (sf)
Cl. M, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to
C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
RATINGS RATIONALE
The affirmations of the principal classes 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.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
approximately 5.9% of the current pool balance. At last review,
Moody's cumulative base expected loss was approximately 6.5%.
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 assessment 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 assessments
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 43 compared to a Herf of 47 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 September 15, 2011.
DEAL PERFORMANCE
As of the July 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to $1.7 billion
from $2.0 billion at securitization. The Certificates are
collateralized by 201 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 40%
of the pool. The pool includes nine loans with investment-grade
credit assessments, representing 9% of the pool. Two loans,
representing approximately 2% of the pool, are defeased and are
collateralized by U.S. Government securities.
Fifty-seven loans, representing 21% 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 its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Six loans have liquidated from the pool, resulting in an aggregate
realized loss of $27 million (39% average loan loss severity).
Currently, eight loans, representing 14% of the deal balance, are
in special servicing. The largest specially serviced loan is the
Lakeforest Mall Loan ($117 million -- 7% of the pool), which is
secured by a 345,000 square foot interest in a super regional mall
located in Gaithersburg, Maryland. The mall anchors -- Sears,
Roebuck & Co. (Moody's Long Term Rating B3, negative outlook),
Macy's Inc. (Moody's Long Term Rating Baa3, stable outlook), J.C.
Penney Corporation, Inc. (Moody's Senior Unsecured Rating Ba1,
stable outlook), and Lord and Taylor Holdings (Moody's Long Term
Rating B1, stable outlook) -- are not part of the loan collateral.
Following an initial one-year loan extension, the loan was
transferred to special servicing in May 2012 for imminent maturity
default. The loan sponsor, Simon Property Group, Inc. (Moody's
Senior Unsecured Rating A3, stable outlook) declined the
opportunity to further extend the loan and is actively pursuing a
sale of the mall. The property is also encumbered by a $19 million
B-Note, which secures a non-pooled or rake bond held inside the
trust.
The remaining specially serviced loans are secured by a mix of
commercial, retail and manufactured housing property types.
Moody's estimates an aggregate $67 million loss for all specially
serviced loans in the pool.
Moody's has assumed a high default probability for 11 poorly-
performing loans representing 6% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $15 million loss
(15% expected loss severity based on a 50% probability default).
Moody's was provided with full-year 2011 and partial year 2012
operating results for 97% and 53% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 89% compared to 93% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 11.9% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.5%
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.63X and 1.23X, respectively, compared to
1.65X and 1.20X 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 assessment is the 200 Madison
Avenue Loan ($45 million -- 3% of the pool), which represents a
participation interest in the senior component of a $90 million
mortgage loan. The loan is secured by a 674,000 square-foot Class
B office property in Midtown Manhattan. The property was 98%
leased as of December 2011 compared to 99% at Moody's last review.
The largest tenant is PVH Corp., formerly the Phillips-Van Heusen
Corporation (Moody's Senior Unsecured Rating Ba3, stable outlook),
which leases 26% of the net rentable area (NRA) through October
2023. Property performance remains stable. The loan is interest-
only for its term and matures in April 2015. Moody's credit
assessment and stressed DSCR are Aa2 and 1.76X, respectively,
compared to Aa2 and 1.70X at Moody's last review.
The second-largest loan with a credit assessment is the Depot
Business Park Loan ($37 million -- 2% of the pool). The loan is
secured by the borrower's interest in a 2.3 million square-foot
complex of Class B flex, office, and R&D space located in a former
World War II-era US Army base in Sacramento, California. The loan
is on the master servicer's watchlist due to low DSCR and a slow
economy. Occupancy fell to 64% in March 2012 compared to 71% at
Moody's last review. Property NOI for 2011 has also suffered due
to a spike in repairs and maintenance expenses. Moody's analysis
assumes the drop in occupancy will stabilize and operating
expenses will return to normal levels. Moody's current credit
assessment and stressed DSCR are Baa2 and 1.52X, respectively, the
same as at last review.
The third loan with a credit assessment is the 1345 Avenue of the
Americas Loan ($20 million -- 1% of the pool), which represents a
9.1% pari-passu interest in a first mortgage secured by a 1.9
million square foot, 50-story office tower located in Midtown
Manhattan. The property was 100% leased as of December 2011, the
same as at Moody's last review. The property is also encumbered by
a $216 million B-Note that is held outside the trust. Moody's
current credit assessment and stressed DSCR are Aaa and 3.59X
respectively, compared to Aaa and 3.02X at last review.
The remaining six loans with credit assessments represent 4% of
the pool. The six credit assessments are: The 2200 Harbor
Boulevard Loan ($12 million -- 0.6%) -- A2; Park Avenue Plaza Loan
($9 million -- 0.5%) -- Aaa; 60 East End Avenue Coop Loan ($9
million -- 0.5%) -- Aaa; Pride Center Loan ($9 million -- 0.5%) --
Aaa; Queen's Boulevard Office Loan ($8 million -- 0.4%) -- Baa1;
and the 520 East 72nd Street Coop Loan ($7 million -- 0.4%) --
Aaa. Due to a decline in performance and increased leverage,
credit assessment for the 1301 West Highlands Boulevard Loan ($18
million -- 1% of the pool) was removed as part of this review.
The top three performing conduit loans represent 15% of the pool.
The largest loan is the Westin Copley Place Loan ($105 million --
5% of the pool). The loan is secured by a full-service, 803-room
hotel in the Back Bay section of Boston, Massachusetts. Property
performance has improved since last review, with 2011 ADR up to
$235 from $227, and RevPAR up to $181 from $175. Moody's current
LTV and stressed DSCR are 103% and 1.13X, respectively, compared
to 108% and 1.08X at last review.
The second-largest loan is the West Towne Mall Loan ($100 million
-- 6% of the pool), which is secured by a 916,000 square-foot
super regional mall in Madison, Wisconsin. The mall anchors
include J.C. Penney Corporation, Inc. (Moody's Senior Unsecured
Rating Ba1, stable outlook), The Bon Ton Stores, Inc. d.b.a. The
Boston Store (Moody's Senior Unsecured Rating Caa1, negative
outlook), and Sears, Roebuck & Co. (Moody's Long Term Rating B3,
negative outlook). The anchor space is not part of the loan
collateral. Mall occupancy was 99% at year-end 2011 reporting,
compared to 97% at Moody's last review. CBL & Associates, the
Chattanooga, TN-based mall REIT, is the loan sponsor. Moody's
current LTV and stressed DSCR are 70% and 1.32X, respectively,
compared to 76% and 1.20X at last review.
The third-largest loan is the East Towne Mall Loan ($71 million --
4% of the pool), which is secured by a 430,000 square-foot
interest in a Class A super-regional mall located in Madison,
Wisconsin. The mall anchors include J.C. Penney Corporation, Inc.,
The Bon Ton Stores, Inc. d.b.a. The Boston Store, and Sears,
Roebuck & Co. The anchor space is not part of the loan collateral.
Mall occupancy was 99% at year-end 2011 reporting, compared to 97%
at Moody's last review. CBL & Associates, the Chattanooga, TN-
based mall REIT, is the loan sponsor. Moody's current LTV and
stressed DSCR are 81% and, 1.17X respectively, compared to 82% and
1.15X at last review.
CAPITALSOURCE 2006-A: Fitch Affirms Junk Ratings on 7 Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of CapitalSource Real
Estate Loan Trust 2006-A (CapitalSource 2006-A) reflecting Fitch's
base case loss expectation of 29.6%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market value and cash flow declines.
The transaction exited its reinvestment period in January 2012.
Since the last rating action, 21 assets were no longer in the
pool. Four assets were repaid in full, while 17 others were
removed with total realized losses of approximately $29 million.
Eighteen new assets were added to the pool with total built par of
approximately $16 million.
Since the last rating action, total paydown to classes A-1A, A1-R,
and A-2A was $54.4 million. As of the July 2012 trustee report,
all overcollateralization and interest coverage tests were in
compliance.
CapitalSource 2006-A is primarily collateralized by senior
commercial real estate (CRE) debt with 83.7% of the total
collateral consisting of whole loans/A-notes. According to Fitch
categorization, the remaining collateral consisted of term loan
financing (7%), principal cash (4.2%), commercial mortgage-backed
securities (CMBS; 3.1%), and B-notes (2%).
As of the July 2012 trustee report, two whole loan/A-notes (0.4%)
were defaulted. An additional 13 loans (30.9%) were identified as
Loans of Concern, including 12 whole loan/A-notes (30.3%) and one
B-note (0.6%). Fitch modeled significant losses on the defaulted
assets and Loans of Concern.
Under Fitch's surveillance methodology, approximately 70.2% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 6.8%. Fitch estimates that average
recoveries will be at 57.9%.
The largest component of Fitch's base case loss expectation is a
whole loan (8.4%) which was initially secured by the construction
of a hotel property located in Atlantic City, NJ. Construction
has since been completed and the property is fully operational.
Year-end 2011 property cash flow is insufficient to support debt
service. Fitch modeled a term default with a significant loss
under its base case scenario.
The next largest component of Fitch's base case loss expectation
is an A-note (3.5%) secured by over 2,000 acres of land located in
the Pocono Mountains of Pennsylvania. The initial business plan
was to develop the site in multiple phases, but due to economic
downturn, the plan was not realized. Fitch modeled a term default
with a significant loss under its base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'.
Based on this analysis, the breakeven rates for classes A-1A, A-
1R, A-2A, A-2B, and B are generally consistent with the ratings
assigned below.
The ratings for classes C through J are based on a deterministic
analysis that considers Fitch's base case loss expectation for the
pool and the current percentage of defaulted assets and Fitch
Loans of Concern factoring in anticipated recoveries relative to
each class' credit enhancement.
The Stable Outlook on class A-2A reflects the class' senior
position in the capital structure. For classes A-1A, A-1R, A-2B,
and B the Negative Outlook remains, reflecting Fitch's expectation
for further potential negative credit migration of the underlying
collateral.
CapitalSource 2006-A was initially issued as a $1.3 billion
revolving CRE CDO managed by CapitalSource Finance, LLC
(CapitalSource), a subsidiary of CapitalSource, Inc. In the
fourth quarter of 2010, NS Advisors II, LLC (NS Advisors II)
became the delegated collateral manager for the CDO under the
delegation provisions of the Indenture. All collateral manager
responsibilities and fees have been delegated to NS Advisors II.
In addition, an amendment to the servicing agreement replaced the
special servicer of the CDO with NS Servicing, LLC (NS Servicing).
NS Servicing assumed all rights, interests, duties, and
obligations as special servicer under the servicing agreement
previously held by CapitalSource.
Fitch has affirmed the following classes as indicated:
-- $43.5 million class A-1A at 'BB'; Outlook Negative;
-- $175.3 million class A-1R at 'BB'; Outlook Negative;
-- $261.2 million class A-2A at 'BB'; Outlook Stable;
-- $125 million class A-2B at 'BB'; Outlook Negative;
-- $82.9 million class B at 'B'; Outlook Negative;
-- $62.4 million class C at 'CCC'; RE 100%;
-- $30.2 million class D at 'CCC'; RE 0%;
-- $30.2 million class E at 'CCC'; RE 0%;
-- $26.7 million class F at 'CC'; RE 0%;
-- $33.2 million class G at 'CC'; RE 0%;
-- $31.2 million class H at 'C'; RE 0%;
-- $47.5 million class J at 'C'; RE 0%.
CIT GROUP 1995-1: Moody's Upgrades Rating on A-5 Certs. to 'B1'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from three RMBS transactions, backed by manufactured
housing loans, issued by CIT Group Securitization Corp and CSFB
Manufactured Housing Pass-Through Certificates.
Ratings Rationale
The ratings on the affected tranches have been upgraded to B1
based on a corporate guarantee provided by CIT Group, Inc., whose
long-term senior unsecured debt is rated B1.
To estimate losses, Moody's first forecasted losses on the loans
that had a payment deferral based on 65% re-default rates and 85%
severity assumptions. Secondly, losses were projected on the
remaining loans that have not had any payment deferral based on
Moody's annual conditional prepayment rates (CPR), annual constant
default rates (CDR), and 85% severity assumptions.
The CPR rate is derived from the average of actual CPR observed
over the last six months. The CDR rate is based on pipeline
defaults derived from days-aged delinquencies and Moody's
assumptions for default based on days delinquent or REO (15% for
30 days delinquent loans, 30% for 60 days delinquent loans, 90%
for more than 90 days delinquent loans, and 100% for loans in
REO). Moody's has further assumed that both CDR and CPR will
remain constant over the life of each deal. A sudden reversal in
the existing trend of projected prepayments, defaults and losses
is not anticipated for these deals as they are well seasoned.
The losses from loans that had a deferral and those from the
remaining loans based on the CPR-CDR approach are weighed to
calculate the total projected loss for the deal.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Residential Mortgage-Backed Securities"
published in December 2008.
The credit quality of RMBS with a corporate guarantee 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 a corporate guaranty, described
earlier.
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 8.2% in June 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.
Complete rating actions are as follows:
Issuer: CIT Group Securitization Corp II MH 1995-1
A-5, Upgraded to B1 (sf); previously on Sep 23, 2009 Downgraded to
Ca (sf)
Issuer: CSFB ABS Trust Manufactured Housing Pass-Through
Certificates 2001-MH29
Cl. B-2, Upgraded to B1 (sf); previously on Sep 23, 2009
Downgraded to Ca (sf)
Issuer: CSFB Manufactured Housing Pass-Through Certificates,
Series 2002-MH3
Cl. B-2, Upgraded to B1 (sf); previously on Sep 23, 2009
Downgraded to Ca (sf)
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 and updated
estimated pool losses may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF293570
COLONIAL PROPERTIES: Fitch Affirms 'BB+' IDR; Outlook Positive
--------------------------------------------------------------
Fitch Ratings affirms the following credit ratings of Colonial
Properties Trust (NYSE: CLP) and its operating partnership,
Colonial Realty Limited Partnership (collectively, Colonial, or
the company):
Colonial Properties Trust
-- Issuer Default Rating (IDR) at 'BB+'.
Colonial Realty Limited Partnership
-- IDR at 'BB+';
-- Unsecured revolving credit facilities at 'BB+';
-- Senior unsecured notes at 'BB+'.
Additionally, Fitch assigns a rating of 'BB+' to the $400 million
of senior unsecured term loans issued by Colonial Realty Limited
Partnership. Fitch also withdraws the 'BB-' rating on the
preferred operating partnership units issued by Colonial Realty
Limited Partnership, as these units were redeemed in December 2011
and the company currently has no plans to issue additional
preferred shares.
The Rating Outlook remains Positive.
The Positive Outlook reflects healthy fundamentals across
Colonial's multifamily portfolio that are expected to continue
their positive trajectory over the near term and improve the
company's credit metrics. Although metrics continue their
positive momentum, the company has also utilized proceeds from
asset sales principally to fund acquisitions and development as
opposed to repaying debt, stifling the magnitude of improving
metrics. The completion and lease-up of development projects
should further bolster the company's earnings power over the next
12-to-24 months, although leasing assets to stabilization contains
execution risks that could result in cash flow from development
projects occurring on a more protracted basis.
The rating also takes into account CLP's adequate liquidity
position and manageable debt maturity schedule. The rating also
considers credit concerns including moderate levels of secured
debt and an unencumbered asset coverage of unsecured debt ratio
that indicates contingent liquidity consistent with a speculative-
grade credit.
Net debt-to-recurring operating EBITDA (including Fitch's estimate
of recurring cash distributions from partially-owned entities) for
the trailing 12 months (TTM) ended June 30, 2012 was 8.6x,
compared with 8.5x, 9.3x and 9.4x as of Dec. 31, 2011, 2010 and
2009, respectively. Leverage when measured by annualizing second
quarter 2012 (2Q'12) recurring operating EBITDA was 8.3x, and
Fitch projects that leverage will fall to 8.0x in 2013 as
fundamentals remain strong and recurring operating EBITDA benefits
from development completions. In a more adverse case than
anticipated by Fitch, leverage would rise to 10.2x in 2013, which
is more consistent with a 'BB' rating.
Multifamily fundamentals in CLP's markets are mostly experiencing
a strong recovery. CLP's same-property net operating income (NOI)
grew 7.3% in 2Q'12, 8.3% in 1Q'12, and 7.3% in 2011, after
declines of 3.5% in 2010 and 6.9% in 2009. Furthermore, occupancy
is strong at 96.0% and the company continues to push rents. Rates
on new leases and renewals were up 3.9% and 6.6%, respectively, in
2Q'12. Fitch anticipates that fundamentals will remain strong due
to moderate job growth, muted new supply, and favorable
demographics across the Sun Belt region.
Colonial's liquidity position is adequate. Sources of liquidity
(unrestricted cash, availability under the company's credit
facility and expected retained cash flows from operating
activities after dividends), divided by uses of liquidity (pro
rata debt maturities, expected recurring capital expenditures and
development expenditures) for July 1, 2012 to Dec. 31, 2014 result
in a liquidity coverage ratio of 1.1x. Furthermore, the company's
debt maturity schedule is well laddered with less than 12% of debt
maturing annually for the next five years.
Consistent with other multifamily REITs, Colonial has increased
its development pipeline as of late. Construction-in-progress and
land held for development represented 8.4% of total undepreciated
assets as of June 30, 2012, compared with 7.7% and 6.9% as of Dec.
31, 2011 and Dec. 31, 2010, respectively, and down from a peak of
15.1% as of Dec. 31, 2007. The amount remaining to be spent on
active development projects was $126.1 million, or 3.1% of total
assets at June 30, 2012, compared to a high of $573.1 million, or
11.8% of total assets at Dec. 31, 2006.
The company's fixed charge coverage ratio was 1.9x for the TTM
ended June 30, 2012, unchanged from 2011 but an improvement from
1.5x and 1.4x in 2010 and 2009, respectively. Fitch projects
fixed charge coverage will sustain above 2.0x over the next 12
months, driven by projected same-property NOI growth of 7.0% in
2012 and 5.5% in 2013. In a more adverse case than anticipated by
Fitch, in which same-property NOI declines 2% in 2012 and falls
6.6% in 2013, fixed charge coverage would be approximately 1.5x in
2013, which is more consistent with a rating of 'BB+'. Fitch
defines fixed charge coverage as recurring operating EBITDA
including Fitch's estimate of recurring cash distributions from
partially-owned entities less recurring capital expenditures, less
straight line rent adjustments, divided by total interest incurred
and preferred dividends.
The company has contingent liquidity consistent with the 'BB+'
rating. Applying a 7.5% capitalization rate to 2Q'12 annualized
unencumbered NOI, unencumbered assets divided by unsecured debt
results in a ratio of 1.8x.
CLP's assets are concentrated in the Sun Belt region, which
includes areas with limited supply constraints and barriers to
entry given the availability of land combined with lenient zoning
regulations. Fitch expects that the company's same-property NOI
growth will remain strong but will be below that of its higher
barrier to entry, coastal market focused peers over the next few
years.
As part of the company's ongoing strategy, Colonial seeks to
dispose of additional commercial assets to reduce its overall
exposure down to 10% of assets from approximately 14% currently.
The company is also selling older multifamily assets and
reinvesting the proceeds into newer assets with lower recurring
capital needs and better growth profiles via acquisition and
development. While dilutive in the near term, these activities
should increase overall portfolio quality.
The following factors may result in an upgrade of the IDR to
'BBB-':
-- Fitch's expectation of fixed-charge coverage sustaining above
2.0x (as of June 30, 2012, fixed-charge coverage was 1.9x);
-- Fitch's expectation of leverage sustaining below 8.25x (as of
June 30, 2012, net debt to annualized 2Q'12 recurring
operating EBITDA, was 8.3x);
-- More geographical diversification across the multifamily
portfolio into markets with above-average NOI growth
characteristics.
The following factors may result in negative momentum in the
ratings and/or Rating Outlook:
-- Fitch's expectation of fixed-charge coverage sustaining below
1.5x;
-- Fitch's expectation of leverage sustaining above 9.0x;
-- A sustained liquidity coverage ratio below 1.0x.
COMM 2012-CCRE2: Fitch Issues Presale Report to Cert. Classes
-------------------------------------------------------------
Fitch Ratings has issued a presale report on COMM 2012-CCRE2
Commercial Mortgage Pass-Through Certificates.
Fitch expects to rate the transaction and assign Outlooks as
follows:
-- $81,982,000 class A-1 'AAAsf'; Outlook Stable;
-- $94,591,000 class A-2 'AAAsf'; Outlook Stable;
-- $100,000,000a class A-3 'AAAsf'; Outlook Stable;
-- $546,255,000 class A-4 'AAAsf'; Outlook Stable;
-- $101,979,000 class A-SB 'AAAsf'; Outlook Stable;
-- $77,629,000 class A-M 'AAAsf'; Outlook Stable;
-- $52,834,000ab class A-M-PEZ 'AAAsf'; Outlook Stable;
-- $37,341,000 class B 'AAsf'; Outlook Stable;
-- $25,414,000ab class B-PEZ 'AAsf'; Outlook Stable;
-- $25,549,000 class C 'Asf'; Outlook Stable;
-- $17,389,000ab class C-PEZ 'Asf'; Outlook Stable;
-- $1,055,270,000c class X-A 'AAAsf'; Outlook Stable;
-- $23,120,000ab class D 'BBB+sf'; Outlook Stable;
-- $51,195,000a class E 'BBB-sf'; Outlook Stable;
-- $23,120,000a class F 'BBsf'; Outlook Stable;
-- $23,120,000a class G 'Bsf'; Outlook Stable.
a Privately placed pursuant to Rule 144A.
b The class A-M-PEZ, class B-PEZ, class C-PEZ and class D
Certificates may be exchanged for class PEZ certificates, and
class PEZ certificates may be exchanged for class A-M-PEZ, class
B-PEZ, class C-PEZ and class D certificates.
c Notional amount and interest only.
The expected ratings are based on information provided by the
issuer as of Aug. 3, 2012. Fitch does not expect to rate the
$105,000,000 exchangeable class PEZ, the $265,882,967 interest-
only class X-B or the $39,634,967 class H.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 64 loans secured by 98 commercial
properties having an aggregate principal balance of approximately
$1.32 billion as of the cutoff date. The loans were contributed
to the trust by Cantor Commercial Real Estate Lending, L.P.,
German American Capital Corporation, and Ladder Capital Finance
LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 80.4% of the properties
by balance, cash flow analysis of 86.5%, and asset summary reviews
on 86.5% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.25 times (x), a Fitch stressed loan-to-value (LTV) of
93.8%, and a Fitch debt yield of 9.6%. Fitch's aggregate net cash
flow represents a variance of 7.1% to issuer cash flows.
The master servicer and special servicer will be Wells Fargo Bank,
National Association and Midland Loan Services, a Division of PNC
Bank, National Association, rated 'CMS2' and 'CSS1', respectively,
by Fitch.
COMM 2012-CCRE2: Moody's Assigns '(P)B2' Rating to Class G Secs.
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
eighteen classes of CMBS securities, issued by COMM 2012-CCRE2
Mortgage Trust.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-SB, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-M, Assigned (P)Aaa (sf)
Cl. A-M-PEZ, Assigned (P)Aaa (sf)*
Cl. B, Assigned (P)Aa2 (sf)
Cl. B-PEZ, Assigned (P)Aa2 (sf)*
Cl. C, Assigned (P)A2 (sf)
Cl. C-PEZ, Assigned (P)A2*
Cl. PEZ, Assigned (P)A2*
Cl. D, Assigned (P)Baa1 (sf)*
Cl. E, Assigned (P)Baa3 (sf)
Cl. F, Assigned (P)Ba2 (sf)
Cl. G, Assigned (P)B2 (sf)
Cl. X-A, Assigned (P)Aaa (sf)**
Cl. X-B, Assigned (P)Ba3 (sf)**
* Classes A-M-PEZ, B-PEZ, C-PEZ, PEZ, and D are exchangeable
classes.
**Class X-A and Class X-B are interest-only classes.
Ratings Rationale
The Certificates are collateralized by 64 fixed rate loans secured
by 98 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
(1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.58X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.06X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 95.9% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio, (inclusive of subordinated debt) of 97.0% is also
considered when analyzing various stress scenarios for the rated
debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
(includes cross collateralized and cross defaulted loans)
Herfindahl Index is 22.6. The transaction's loan level diversity
is similar to Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 23.1. The
transaction's property diversity profile is similar to the indices
calculated in most multi-borrower transactions issued since 2009.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 1.92, which is lower
than the indices calculated in most multi-borrower transactions
since 2009.
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 analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator version 1.0 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, and 23%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
CREDIT AND REPACKAGED: Moody's Lifts Rating on Secs. From 'Ba1'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Credit and Repackaged Securities Limited
Series 2006-14 and Series 2007-11, leveraged super senior
collateralized debt obligation transactions (the "Collateralized
Synthetic Obligations" or "CSOs") referencing the same portfolio
of synthetic corporate senior unsecured bonds.
Issuer: CARS 2006-14
US $268,750,000 Single Tranche Notes due December 20, 2016,
Upgraded to Baa2 (sf); previously on December 21, 2011 Upgraded to
Ba1 (sf);
Issuer: Credit and Repackaged Securities, Limited 2007-11
US $268,750,000.00 CARS 2007-11 Notes, Upgraded to Baa2 (sf);
previously on December 21, 2011 Upgraded to Ba1 (sf).
Ratings Rationale
Moody's rating action is the result of lower weighted average
spreads in the underlying portfolio and the shortened time-to-
maturity of the CSOs.
Since the last rating action in December 2011, the weighted
average spread of the portfolio has improved, decreasing from 216
bps to 175 bps. Due to this and the shorter time-to-maturity, the
distance to spread trigger in the CSOs has increased from 674 bps
to 688 bps.
Offsetting these positive factors is an increase in losses from
the credit event on Residential Capital LLC. As a result, total
portfolio loss has increased to 1.8% from 1.1% since the last
rating action. Mitigating this loss is an increase in the loss
cushion by 0.5% since the last rating action. The 10-year weighted
average rating factor remains stable at 920 versus 924 in December
2011, excluding settled credit events.
These CSOs have a remaining life of 4.4 years.
The methodologies used in these ratings were "Moody's Approach to
Rating Corporate Collateralized Synthetic Obligations" published
in September 2009, and "Moody's Approach to Monitoring Leveraged
Super Senior Transactions" published in August 2008.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:
* Market Implied Ratings ("MIRS") are modeled in place of the
corporate fundamental ratings to derive the default probability of
the reference entities in the portfolio. The gap between an MIR
and a Moody's corporate fundamental rating is an indicator of the
extent of the divergence in credit view between Moody's and the
market. The result of this run is comparable to the base case.
* Moody's performs a stress analysis consisting of defaulting all
entities rated Caa1 and below. The result of this run is two
notches lower than the base case.
* To test the combined effects of credit deterioration and the
passage of time, Moody's performs a stress analysis consisting of
defaulting all entities rated Caa1 and below and shortening the
time-to-maturity by six months. The result of this run is one
notch lower than the base case.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of these CSOs is also dependent on
on-going decisions made by one or several parties, including the
Trustee. Although the impact of these decisions is mitigated by
structural constraints, anticipating the quality of these
decisions necessarily introduces some level of uncertainty in
Moody's assumptions. Given the tranched nature of CSO liabilities,
rating transitions in the reference pool may have leveraged rating
implications for the ratings of the CSOs' liabilities, thus
leading to a high degree of volatility. All else being equal, the
volatility is likely to be higher for more junior or thinner
liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSOs' ratings will change to reflect the new economic
developments.
CREDIT SUISSE 2003-CPN1: S&P Lowers Rating on Class G to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from Credit Suisse First Boston Mortgage Securities
Corp.'s series 2003-CPN1, a commercial mortgage-backed securities
(CMBS) transaction, and removed them from CreditWatch with
negative implications. "We lowered one of these ratings to 'D
(sf)'. In addition, we affirmed our ratings on five other classes
from the same transaction and removed our ratings on three of
these classes from CreditWatch with negative implications," S&P
said.
"The rating actions reflect our review of the continued and
increased amount of interest shortfalls affecting the trust, as
well as our analysis of the remaining loans in the pool, six of
which are with the special servicer. We previously placed our
ratings on seven classes on CreditWatch negative to reflect
projected shortfalls. We attributed these shortfalls to the
reimbursement of advances to the master servicer on one specially
serviced loan that the servicer previously deemed nonrecoverable,"
S&P said.
"The July 17, 2012, trustee remittance report detailed current
interest shortfalls totaling $384,560, which primarily consisted
of recovery of servicer advances ($247,560) for the Northgate Mall
loan ($19.1 million, 3.7%), appraisal subordinate entitlement
reduction (ASER) amounts of ($120,368) related to five ($46.4
million, 9.0%) of the six ($65.7 million, 12.7%) loans that are
currently with the special servicer, Midland Loan Services Inc.
(Midland), and special servicing and workout fees ($13,957). The
Northgate Mall loan was subject to a March 23, 2012, loan
modification, the terms of which included but were not limited to
a principal write-down of $53.8 million and a 27-month extension
of the loan term. According to Midland, as of the July 17, 2012,
trustee remittance report, a $1.8 million balance in recoupable
advances is left to be reimbursed to the master servicer, also
Midland. Midland has indicated that they will recoup the remaining
advances over an extended period of time. The current interest
shortfalls affected all classes subordinate to and including the
class D certificates. To date, classes D, E, F, and G have had
accumulated interest shortfalls outstanding between one and three
months. We expect these accumulated shortfalls to remain
outstanding for an extended period for the class G certificates,
regardless of the recoupment schedule associated with the
Northgate mall. Consequently, we lowered our rating on class G to
'D (sf)'," S&P said.
"We downgraded classes D and E to 'CCC- (sf)' and affirmed our
'CCC- (sf)' rating on class F due to accumulated interest
shortfalls outstanding between one and three months. We also
considered the projected liquidity support after the advances on
the Northgate Mall loan have been fully reimbursed. If classes
D, E, and F continue to experience interest shortfalls for an
extended period of time subsequent to the full reimbursement of
those advances, we may further lower our ratings on these classes.
"We lowered our rating on class C due to reduced liquidity support
available to this class. We also considered the near-term (through
2013) maturity of 47 ($293.6 million, 56.9%) of the performing,
nondefeased, and noncooperative (co-op) loans. We believe the
upcoming maturities of these loans could also increase the
interest shortfalls affecting the trust if the loans do not pay
off at maturity and are subsequently transferred to the special
servicer, at which time we will take further rating actions if
necessary," S&P said.
"We affirmed our ratings on the class A-2 and B principal and
interest certificates to reflect subordination levels and
liquidity support that are consistent with the outstanding
ratings. We also considered the timing of the recovery of advances
for the Northgate Mall loan. We affirmed our 'AAA (sf)'ratings on
the class A-X and A-Y interest-only (IO) certificates based on
our current criteria," S&P said.
"Using servicer-provided financial information, we calculated an
adjusted debt service coverage (DSC) of 1.42x and a loan-to-value
(LTV) ratio of 80.1%. We further stressed the loans' cash flows
under our 'AAA' scenario to yield a weighted-average DSC of 1.21x
and an LTV ratio of 96.8%. The implied defaults and loss severity
under the 'AAA' scenario were 31.3% and 34.1%. The DSC and LTV
calculations noted above exclude 19 ($110.2 million, 22.5%)
defeased loans, 42 ($40.4 million, 7.8%) loans secured by co-op
housing properties, and four ($30.5 million, 5.9%) of the six
($65.7 million, 12.7%) loans that are currently with the special
servicer. We separately estimated losses for the excluded
specially serviced loans and included them in our 'AAA' scenario
implied default and loss severity figures. The co-op loans did
not default under our 'AAA' scenario due to extremely low
leverage," S&P said.
SPECIALLY SERVICED LOANS
"As of the July 17, 2012, trustee remittance report, six ($65.7
million, 12.7%) loans in the pool were with the special servicer,
Midland. The payment statuses of the specially serviced loans are
as follows: four ($45.0 million, 8.7%) are 90-plus-days
delinquent, one ($1.5 million, 0.3%) is 30 days delinquent, and
one ($19.1 million, 3.7%) is current. Appraisal reduction amounts
(ARAs) totaling $22.4 million were in effect for five of the
specially serviced loans. The three largest specially serviced
loans are discussed," S&P said.
"The Michigan Equities C Portfolio loan ($25.9 million balance,
5.0%) is the largest loan in the pool. The loan has a total
reported exposure of $30.2 million. The loan is secured by 16
condominium office properties totaling 367,025 sq. ft. in Lansing,
Mich. The loan was transferred to the special servicer on May 12,
2008, and the loan status as of the July 17, 2012, report is 90-
plus-days delinquent. According to Midland, they have marketed and
accepted a bid on the note and are currently in the process of
negotiating the purchase contract. An ARA of $13.5 million is
currently in effect for this loan. We expect a significant loss
upon the resolution of this loan," S&P said.
"The Northgate Mall loan ($19.1 million, 3.7%) is the second-
largest specially serviced loan and fourth-largest loan secured by
real estate in the pool. The loan is secured by 575,561 sq. ft. of
collateral space in a 1.1 million-sq.-ft. regional mall in
Cincinnati, Ohio. The loan transferred to the special servicer on
Aug. 24, 2009, for imminent monetary default and was modified on
March 23, 2012. The modification terms included a 27-month
extension of the loan term and a principal write down, which
resulted in a $52 million loss to the trust. The most recent
reported DSC and occupancy were 0.64x and 87.2%, respectively, as
of the 12 months ended Nov. 30, 2011. Midland indicated that the
loan is being monitored and pending return to the master
servicer," S&P said.
"The Signature Place Apartments loan ($15.9 million, 3.1%) is the
third-largest specially serviced loan and seventh-largest loan
secured by real estate in the pool. The loan is secured by a 414-
unit apartment complex in Marietta, Ga., a suburb of Atlanta. The
loan, which has a reported exposure of $16.4 million, transferred
to the special servicer on Sept. 17, 2009, for imminent monetary
default. According to the special servicer, a modification
proposal has been accepted and expected to be finalized in the
near term. An ARA of $5.0 million is in effect against this loan,"
S&P said.
"The remaining three specially serviced loans have balances that
individually represent less than 0.4% of the total pool balance.
ARAs totaling $1.5 million are in effect against the three loans.
We estimated losses for the three loans, arriving at a weighted
average loss severity of 35.5%," S&P said.
TRANSACTION SUMMARY
"As of the July 17, 2012, trustee remittance report, the
collateral pool had a trust balance of $516.1 million, down from
$1.01 billion at issuance. The pool currently includes 97 loans
secured by real estate and 19 ($110.2 million, 22.5%) defeased
loans. The master servicers, Midland and NCB, FSB, provided
information for 97.5% of the nondefeased loans in the pool the
majority of which was full-year 2011 data," S&P said.
"We calculated a weighted average DSC of 1.34x for the pool based
on the reported figures. Our adjusted DSC and LTV ratio were 1.42x
and 80.1%, and exclude four ($30.5 million, 5.9%) of the
transaction's six ($65.7 million, 6.7%) specially serviced loans,
19 ($110.2 million, 22.5%) defeased loans, and 42 ($40.4 million,
7.8%) co-op loans. Our adjusted DSC and LTC ratio also reflect our
analysis of updated financial information for the top 10 loans
secured by real estate. We separately estimated losses for the
four excluded specially serviced loans. To date, the trust has
experienced $71.0 million in principal losses relating to seven
assets, which include the $53.8 million principal write down of
the Northgate Mall loan. Forty loans ($141.7 million, 27.5%) in
the pool are on the master servicers' combined watchlist, three of
which are top 10 loans. Thirty-four loans secured by real estate
($147.2 million, 28.5%) have a reported DSC of less than 1.10x, 24
of which ($93.4 million, 18.1%) have a reported DSC of less than
1.00x," S&P said.
SUMMARY OF TOP 10 LOANS SECURED BY REAL ESTATE
"The top 10 loans secured by real estate have an aggregate
outstanding trust balance of $184.5 million (35.7%). Using
servicer-reported numbers, we calculated a weighted average DSC of
1.21x for the top 10 loans. Our adjusted DSC and LTV ratio for
nine of the top 10 loans, were 1.33x and 74.7%, and reflect our
analysis of updated financial information. Three of the top 10
loans in the pool are on the master servicers' combined
watchlist," S&P said.
"The Fairfax Building loan ($24.9 million, 4.8%) is the second-
largest loan in the pool and is on the master servicers' combined
watchlist due to a low DSC. The loan is secured by a 199,666-sq.-
ft. suburban office property located in Vienna, Va. in the
Northern Virginia submarket. The reported DSC as of Dec. 31, 2011,
was 1. 04x and occupancy was 74.6% as of the March 31, 2012, rent
Roll," S&P said.
"The South Street Cerritos Shopping Center loan ($15.7 million,
3.1%) is the eighth-largest nondefeased loan in the pool and is on
the master servicers' combined watchlist due to imminent lease
expirations and its impending Nov. 11, 2012, maturity date. The
reported DSC as of Dec. 31, 2011, was 1.51x and occupancy was
98.7% as of the March 2012 rent roll," S&P said.
"The Indian Lookout Apartments loan ($12.0 million, 2.3%) is the
ninth-largest nondefeased loan in the pool and is on the master
servicers' combined watchlist due to a low DSC and its impending
Oct. 11, 2012, maturity date. The loan is secured by a 320-unit
apartment complex located in West Carrolton, Ohio, seven miles
south of Dayton. The reported DSC as of Dec. 31, 2011, was 1.09x
and occupancy was 92.2% as of the March 2012 rent roll," S&P said.
"Standard & Poor's stressed the loans in the pool according to its
current criteria, and the analysis is consistent with the lowered
and affirmed ratings," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-CPN1
Rating
Class To From Credit enhancement (%)
C A (sf) AA (sf)/Watch Neg 17.44
D CCC- (sf) BB- (sf)/Watch Neg 11.59
E CCC- (sf) CCC+ ( sf)/Watch Neg 9.64
G D (sf) CCC- (sf)/Watch Neg 4.28
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-CPN1
Rating
Class To From Credit enhancement (%)
A-2 AAA (sf) AAA (sf)/Watch Neg 25.24
B AA+ (sf) AA+ (sf)/Watch Neg 19.39
F CCC- (sf) CCC- (sf)/Watch Neg 7.69
RATINGS AFFIRMED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-CPN1
Class Rating Credit enhancement (%)
A-X AAA (sf) N/A
A-Y AAA (sf) N/A
N/A-Not applicable.
CREST 2003-2: Moody's Affirms 'Caa3' Ratings on Two Note Classes
----------------------------------------------------------------
Moody's Investors Service has affirmed all classes of Notes issued
by Crest 2003-2, Ltd. due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-Remic) transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed at Aa2 (sf); previously on Oct 27, 2010
Downgraded to Aa2 (sf)
Cl. A-2, Affirmed at Aa2 (sf); previously on Oct 27, 2010
Downgraded to Aa2 (sf)
Cl. A-3, Affirmed at Aa2 (sf); previously on Oct 27, 2010
Downgraded to Aa2 (sf)
Cl. B-1, Affirmed at Baa2 (sf); previously on Oct 27, 2010
Downgraded to Baa2 (sf)
Cl. B-2, Affirmed at Baa2 (sf); previously on Oct 27, 2010
Downgraded to Baa2 (sf)
Cl. C-1, Affirmed at Ba2 (sf); previously on Oct 27, 2010
Downgraded to Ba2 (sf)
Cl. C-2, Affirmed at Ba2 (sf); previously on Oct 27, 2010
Downgraded to Ba2 (sf)
Cl. D-1, Affirmed at Caa1 (sf); previously on Aug 17, 2011
Downgraded to Caa1 (sf)
Cl. D-2, Affirmed at Caa1 (sf); previously on Aug 17, 2011
Downgraded to Caa1 (sf)
Cl. E-1, Affirmed at Caa3 (sf); previously on Oct 27, 2010
Downgraded to Caa3 (sf)
Cl. E-2, Affirmed at Caa3 (sf); previously on Oct 27, 2010
Downgraded to Caa3 (sf)
Ratings Rationale
Crest 2003-2, Ltd. is a static CRE CDO transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (88.6%
of the pool balance), real estate investment trust (REIT) debt
(5.3%), credit tenant leases (CTL) (3.6%) and one CRE CDO class
(2.3%). As of the June 28, 2012 Trustee report, the aggregate Note
balance of the transaction has decreased to $258.9 million from
$325.0 million at issuance, with the paydown directed to the Class
A-1, Class A-2 and Class A-3 Notes.
There are six assets with a par balance of $24.5 million (9.6% of
the current pool balance) that are considered credit risk
securities and seventeen assets with a par balance of $61.2
million (24.0% of the current pool balance) that are considered
defaulted securities as of the June 28, 2012 Trustee report. While
there have been minimal realized losses to date, Moody's does
expect significant losses to occur to the credit risk and
defaulted securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 3,829 compared to 3,351 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (4.2%
compared to 3.6% at last review), A1-A3 (2.8% compared to 5.8% at
last review), Baa1-Baa3 (16.1% compared to 18.8% at last review),
Ba1-Ba3 (27.2% compared to 30.4% at last review), B1-B3 (14.5%
compared to 14.8% at last review), and Caa1-C (35.2% compared to
26.7% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.3 compared to 1.9
at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
13.1% compared to 14.7% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 7.7% compared to 8.9% at last review.
Moody's review incorporated CDOROM(R)v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R)v3.2.1.2, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
13.1% to 3.1% or up to 23.1% would result in average rating
movement on the rated tranches of 0 to 2 notches downward and 0 to
2 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the 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.
CSFB ADJUSTABLE: Moody's Takes Action on $549.2MM of Alt-A RMBS
---------------------------------------------------------------
Moody's Investors Service has downgraded 10 tranches, upgraded 25
tranches and confirmed the ratings on five tranches from nine RMBS
transactions issued by Credit Suisse First Boston. The collateral
backing these deals primarily consists of first-lien, fixed and
adjustable-rate Alt-A residential mortgages. The actions impact
approximately $549.2 million of RMBS issued from 2005 to 2006.
Complete rating actions are as follows:
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-1
Cl. 2-A-2-1, Upgraded to A1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. 5-M-1, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-2
Cl. 5-A-3, Downgraded to Ca (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Downgrade
Cl. 6-M-1, Confirmed at A1 (sf); previously on May 30, 2012 A1
(sf) Placed Under Review for Possible Upgrade
Cl. 6-M-2, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-3
Cl. 3-A-1, Downgraded to Caa3 (sf); previously on May 4, 2010
Downgraded to Caa2 (sf)
Cl. 7-A-1, Downgraded to Caa3 (sf); previously on May 4, 2010
Downgraded to Caa1 (sf)
Cl. 8-A-1-2, Upgraded to A1 (sf); previously on May 30, 2012 A3
(sf) Placed Under Review for Possible Upgrade
Cl. 8-A-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. 8-A-3-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. 8-A-4, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-4
Cl. 5-A-1, Upgraded to Caa3 (sf); previously on May 4, 2010
Downgraded to Ca (sf)
Cl. 6-A-1, Upgraded to Caa3 (sf); previously on May 4, 2010
Downgraded to Ca (sf)
Cl. 7-A-1-1, Upgraded to A1 (sf); previously on May 30, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-1-2, Upgraded to Baa3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-2, Upgraded to A1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-3-2, Upgraded to A1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-4, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. 7-M-1, Upgraded to Ca (sf); previously on May 4, 2010
Downgraded to C (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-5
Cl. 3-A-2-1, Upgraded to Baa1 (sf); previously on May 4, 2010
Downgraded to B2 (sf)
Cl. 6-A-1-1, Confirmed at A2 (sf); previously on May 30, 2012 A2
(sf) Placed Under Review for Possible Upgrade
Cl. 6-A-1-2, Upgraded to Ba1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 6-A-2-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. 6-A-2-2, Upgraded to Ba1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 6-M-1, Upgraded to Ca (sf); previously on May 4, 2010
Downgraded to C (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-7
Cl. 3-A-1, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 7-A-1-1, Upgraded to Ba2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-1-2, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-2-1, Upgraded to B2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-2-2, Upgraded to Caa2 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-8
Cl. 4-A-2-1, Downgraded to Caa1 (sf); previously on May 30, 2012
B1 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2-2, Downgraded to C (sf); previously on May 4, 2010
Downgraded to Ca (sf)
Cl. 7-A-2, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. 7-A-3-2, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Adjustable Rate Mortgage Trust 2006-3
Cl. 3-A-1, Downgraded to Caa3 (sf); previously on Sep 16, 2010
Downgraded to Caa2 (sf)
Cl. 4-A-3-2, Confirmed at Caa1 (sf); previously on May 30, 2012
Caa1 (sf) Placed Under Review for Possible Upgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-6
Cl. I-A-2, Downgraded to A3 (sf); previously on Jul 13, 2010
Downgraded to A1 (sf)
Cl. I-A-3, Downgraded to Caa3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-3, Confirmed at B1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. VII-A-1, Downgraded to Caa3 (sf); previously on Jul 13, 2010
Downgraded to Caa2 (sf)
Ratings Rationale
The actions are a result of the recent performance of Alt-A pools
originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of downgrades,upgrades and
confirmations.The downgrades are a result of deteriorating
performance and structural features resulting in higher expected
losses for certain bonds than previously anticipated. The upgrades
are due to significant improvement in collateral performance,
and/or rapid build-up in credit enhancement due to high
prepayments.
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 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.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered the volatility of the
projected losses and timeline of the expected defaults.
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.
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 8.3% in July 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_SF294157
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
CSMC 2010-UD1: Moody's Affirms 'Ba1' Rating on Class B-B Notes
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of all classes
of Notes issued by CSMC 2010-UD1. The affirmation is due to key
transaction parameters performing within levels commensurate with
the existing ratings levels. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO and Re-REMIC)
transactions.
Moody's rating action is as follows:
Cl. A, Affirmed at Aaa (sf); previously on Oct 28, 2010 Assigned
Aaa (sf)
Cl. A-A, Affirmed at Aaa (sf); previously on Oct 28, 2010 Assigned
Aaa (sf)
Cl. A-B, Affirmed at Aa1 (sf); previously on Oct 28, 2010 Assigned
Aa1 (sf)
Cl. B, Affirmed at Baa3 (sf); previously on Oct 28, 2010 Assigned
Baa3 (sf)
Cl. B-A, Affirmed at A2 (sf); previously on Oct 28, 2010 Assigned
A2 (sf)
Cl. B-B, Affirmed at Ba1 (sf); previously on Oct 28, 2010 Assigned
Ba1 (sf)
Ratings Rationale
CSMC 2010-UD1 is a static cash CRE CDO transaction backed by a
portfolio of 8 super senior commercial mortgage backed securities
(CMBS) certificates from 7 separate transactions (100.0% of the
pool balance). The CMBS collateral are from pools securitized in
2007 (85%) and 2008 (15%). The five largest CMBS exposures are
CWCI 2007-C3 (30.2%), CSMC 2007-C3 (27.0%), CMLT 2008-LS1 (10.5%),
CSMC 2007-C4 (9.9%) and MSC 2007-IQ14 (9.9%). As of the June 29,
2012 Trustee report, the aggregate Note balance of the transaction
is $275.9 million, the same as at issuance.
Class A-A and Class A-B are exchangeable REMIC certificates that
can be exchanged for Class A exchangeable certificates and vice-
versa. Class B-A and Class B-B are exchangeable REMIC certificates
that can be exchanged for Class B exchangeable certificates and
vice-versa.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. The bottom-dollar WARF is a measure of the
default probability within a collateral pool. Moody's modeled a
bottom-dollar WARF of 31 compared to 23 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (90.1%
compared to 100.0% at last review) and A1-A3 (9.9% compared to
0.0% at last review).
WAL acts to adjust the probability of default of the reference
obligations in the pool for time. Moody's modeled to a WAL of 4.7
years compared to 5.6 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
66.4% compared to 68.9% 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 69.6% compared to 70.9% at last review.
Moody's review incorporated CDOROM(R)v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R)v3.2.1.2, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
66.4% to 56.4% or up to 76.4% would result in average rating
movement on the rated tranches of 0 to 2 notches downward and 0 to
1 notch upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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.
DBUBS COMMERCIAL: Moody's Affirms 'B2' Rating on Cl. F. Secs.
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of twelve classes
of DBUBS Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2011-C3 as follows:
Cl. A-1, Affirmed at Aaa (sf); previously on Sep 1, 2011
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Sep 1, 2011
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Sep 1, 2011
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Sep 1, 2011
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on Sep 1, 2011
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Sep 1, 2011 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed at A2 (sf); previously on Sep 1, 2011 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed at Baa3 (sf); previously on Sep 1, 2011 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed at Ba2 (sf); previously on Sep 1, 2011 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed at B2 (sf); previously on Sep 1, 2011 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed at Aaa (sf); previously on Sep 1, 2011
Definitive Rating Assigned Aaa (sf)
Cl. X-B, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
RATINGS RATIONALE
The affirmations of the principal classes 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.
The ratings of the IO Classes, Class X-A and X-B, are consistent
with the expected credit performance of their referenced classes
and thus are affirmed.
Moody's rating action reflects a cumulative base expected loss of
2.4% of the current balance. 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 and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published 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 assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment 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 assessment
level, is incorporated for loans with similar credit assessments
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 assessments; 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's loan level Herf score is 19, the same as at securitization.
This score is within the band of Herf scores found in most multi-
borrower transactions issued since 2009. The pool's property level
Herf score is 23. The large loan methodology was not used based on
the property level Herf.
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 review at
securitization is summarized in a press release dated September 1,
2011.
DEAL PERFORMANCE
As of the July 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.39 billion
from $1.40 billion at securitization. The Certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans representing 63% of
the pool. Two loans, representing 11% of the pool, have investment
grade credit assessments.
One loan, representing 1% 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 its ongoing
monitoring of a transaction, Moody's reviews the watchlist to
assess which loans have material issues that could impact
performance.
There are no loans in special servicing and no liquidated loans to
date.
Moody's was provided with full year 2011 and partial year 2012
operating results for 98% and 78% of the performing pool,
respectively. Moody's weighted average LTV is 99% compared to 100%
at securitization. Moody's net cash flow reflects a weighted
average haircut of 11% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed DSCRs are 1.43X compared to 1.41X at
securitization. Moody's actual DSCR is based on Moody's net cash
flow (NCF) and the loan's actual debt service.
The largest loan with a credit estimate is the Columbia Sussex
Hotel Portfolio Loan ($99.1 million -- 7.1% of the pool), which is
secured by a 8 cross-collateralized, cross-defaulted full service
hotels containing 2,342 rooms in eight states (CA, NM, AK, TX, FL,
OH, MA, AL). Hotel brands include JW Marriott, Marriott,
Courtyard, Hilton, and Doubletree. As of December 2011, the
portfolio had an occupancy rate of 59% and revenue per available
room (RevPAR) of $83, compared to 61% and $77 at securitization.
Although occupancy levels have dropped slightly, performance
improved since securitization due to an increase in ADR. Moody's
current credit assessment and stressed DSCR are A1 and 2.47X,
respectively, compared to A1 and 2.43X at securitization.
The second loan with a credit assessment is the Ridgeway Shopping
Center Loan ($48.8 million -- 3.5% of the pool), which is secured
by secured by two retail buildings, a pad site, and a 5-story
parking garage located on Summer Street in Stamford, Connecticut.
The property was 99% leased as of December 2011 compared to 98% at
securitization. Property performance has improved since
securitization slightly due to lower operating expenses. Moody's
current credit assessment and stressed DSCR are Baa1 and 1.89X,
respectively, compared to Baa1 and 1.83X at securitization.
The top three performing conduit loans represent 30% of the pool
balance. The largest loan is the Three Allen Center Loan ($162.9
million -- 11.7% of the pool), which is a 50-story, Class A office
building in a 4-building complex (called Allen Center) located in
the central business district (CBD) of Houston, Texas. Buildings
in the complex are connected by skywalks and offer access to
parking, health clubs, hotels, restaurants, retail shops, &
services. The property was 92% leased as of March 2012, the same
as at securitization. However, a significant portion of leases,
including largest tenant, Plains Marketing L.P. (17% of net
rentable area (NRA)), roll within the next year. Property
performance has declined since securitization due to an increase
in operating expenses. Moody's LTV and stressed DSCR are 101% and
0.99X, respectively, compared to 97% and 1.04X at securitization.
The second largest loan is the Times Square Hotel Portfolio Loan
($139.8 million -- 10.1% of the pool), which is secured by a two
adjacent 33-story limited service hotels, the Fairfield Inn Times
Square and Four Points Sheraton Times Square, and a 5,000 SF
rooftop lounge in New York City. As of March 2012, the portfolio
had an occupancy rate of 91% and RevPAR of $202, compared to 87%
and $179 at securitization. Performance improved since
securitization due to increase in both occupancy and average daily
rate (ADR). Moody's LTV and stressed DSCR are 103% and 1.10X,
respectively, compared to 110% and 1.03X at securitization.
The third largest loan is the Quadrus Office Park Loan ($112.0
million -- 8.1% of the pool), which is secured by a eight Class A
office buildings located on Sand Hill Road in Menlo Park,
California. The property was 75% leased as of March 2012, compared
to 77% at securitization, with a majority of the tenants in the
financial services sector. One of the buildings, comprising 14% of
the NRA, is currently 100% vacant and is undergoing a gut
renovation. Property performance declined since securitization due
to a drop in occupancy rate and increase in operating expenses.
Moody's LTV and stressed DSCR are 110% and 0.86X, respectively,
compared to 100% and 0.95X at last review.
ELLINGTON LOAN: Moody's Lifts Rating on Cl. A-2a1 Tranche to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two tranches
and confirmed the ratings on four tranches from one subprime RMBS
transactions issued by Ellington Loan Acquisition Trust 2007-1.
Complete rating actions are as follows:
Issuer: Ellington Loan Acquisition Trust 2007-1
Cl. A-1, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2a1, Upgraded to Ba1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. A-2a2, Upgraded to Ba1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. A-2b, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2c, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. A-2d, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
RATINGS RATIONALE
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades in the rating action are
a result of improving performance and/or structural features
resulting in lower expected losses for certain bonds than
previously anticipated.
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 Moody's current
views 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.
To assess the rating implications of the updated loss levels on
subprime 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
comprising 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 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also 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_SF294320
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
FIRST COMMONWEALTH: Fitch Lowers Preferred Stock Rating to 'B+'
---------------------------------------------------------------
Fitch Ratings has downgraded the Issuer Default Ratings (IDRs) for
First Commonwealth Financial Corp. (FCF) and its lead bank
subsidiary, First Commonwealth Financial Bank to 'BBB-/F3' from
'BBB/F2'. The Outlook is Stable. The ratings are removed from
Rating Watch Negative where they were placed on Jan. 30, 2012.
Fitch had initially placed FCF on Rating Watch Negative following
unexpectedly high credit costs and the departure of CEO John Dolan
in the fourth quarter of 2011 (4Q'11). The Watch reflected
uncertainty as to the quality of the loan portfolio as well as
over the future risk appetite and strategic direction under a new
CEO.
Since then, FCF has named Thomas M. Price as CEO and has reported
two consecutive quarters of largely positive asset quality
development. The new CEO remains committed to a conservative
capital position and Fitch does not anticipate any notable changes
to strategy or risk appetite.
The positive trends in asset quality and the commitment to
continued conservative capital maintenance eased Fitch's most
significant concerns and removed the risk of a multiple-notch
downgrade.
The downgrade primarily reflects FCF's relatively weak peak
operating performance compared to rated peers. Performance, as
measured by return on assets (ROA), was .26%, .37% and (.31%) in
each of the last three years, significantly less than 'BBB' rated
peers. Although Fitch acknowledges the relative capital strength
amongst larger community banking peers, Fitch believes earnings
and profitability will lag peers. Moreover, FCF has had
relatively higher asset quality issues to contend with.
Non-performing loans (NPLs) have trended down from a peak of 4.87%
of total loans at the end of 3Q'11 to their current level of
2.49%. Similar trends have emerged in net charge-offs (NCOs) and
classified assets. Fitch expects the positive trajectory in asset
quality to continue in the near term while recognizing the risks
of quarterly spikes in non-accruals and losses inherent in the
bank's loan portfolio which has large single-name exposure.
Fitch recognizes the recovery in asset quality that the bank has
reported over the last two quarters. However, until management
establishes a longer track record of stabilized asset quality
metrics, ratings are constrained at their current level given the
large single-name exposure in the loan book.
Ratings Drivers and Sensitivities
Incorporated in Fitch's action is the view that credit quality
issues have stabilized. Therefore, any material increase in non-
performing or charge-off rates could put further pressure on the
ratings. Conversely, ratings could be positively affected should
FCF improve its operating performance, on a sustainable basis and
in line with higher rated community bank peers.
Headquartered in Indiana, PA, FCF provides a full range of
financial services including commercial and retail banking via 112
branches and two loan production offices across Western and
Central Pennsylvania. The majority of FCF's branches are
concentrated within the greater Pittsburgh metropolitan area in
Alleghany, Butler, Washington, and Westmoreland counties, with the
remainder located throughout smaller more rural counties.
The following ratings have been downgraded. The Outlook is
Stable:
First Commonwealth Financial Corp.
-- Long-term IDR to 'BBB-' from 'BBB';
-- Short-Term IDR to 'F3' from 'F2';
-- Viability Rating to 'bbb-' from 'bbb';
First Commonwealth Bank
-- Long-term IDR to 'BBB-' from 'BBB';
-- Long-term Deposit to 'BBB' from 'BBB+';
-- Short-Term IDR to 'F3' from 'F2';
-- Viability Rating to 'bbb-' from 'bbb';
First Commonwealth Capital Trust
-- Preferred stock to 'B+' from 'BB-'.
The following ratings have been affirmed, with a Stable Outlook:
First Commonwealth Financial Corp.
-- Support Floor at 'NF'
-- Support at '5'.
First Commonwealth Bank
-- Short-Term Deposit at 'F2';
-- Support Floor at 'NF';
-- Support at '5'.
FOUR CORNERS III: Moody's Raises Rating on Class E Notes to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Four Corners CLO III, Ltd.:
U.S.$9,000,000 Class B Floating Rate Notes Due 2020, Upgraded to
Aa1 (sf); previously on August 5, 2011 Upgraded to Aa3 (sf).
U.S.$18,000,000 Class C Deferrable Floating Rate Notes Due 2020,
Upgraded to A3 (sf); previously on August 5, 2011 Upgraded to
Baa1;
U.S.$9,000,000 Class D Deferrable Floating Rate Notes Due 2020,
Upgraded to Ba1 (sf); previously on August 5, 2011 Upgraded to
Ba2; and
U.S.$9,600,000 Class E Deferrable Floating Rate Notes Due 2020,
Upgraded to Ba3 (sf); previously on August 5, 2011 Upgraded to B1.
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in October 2012. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive
"cushion" relative to certain covenant requirements. In
particular, the deal is assumed to benefit from higher spread
levels compared to the levels assumed at the last rating action in
August 2011. Moody's modeled a WAS of 3.35% compared to 2.75% at
the time of the last rating action. Moody's also notes that the
transaction's reported overcollateralization ratio are stable
since the last rating action.
In addition, Moody's notes that the credit quality of the
underlying portfolio has deteriorated since the last rating
action. Based on the July 2012 trustee report, the weighted
average rating factor is currently 2425 compared to 2251 in July
2011.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $242 million,
zero defaulted par, a weighted average default probability of
17.40% (implying a WARF of 2568), a weighted average recovery rate
upon default of 50.73%, and a diversity score of 49. The default
and recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Four Corners CLO III, Ltd., issued in September 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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.
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% (2054)
Class A: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3082)
Class A: 0
Class B: -1
Class C: -1
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016 which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
Deleveraging: The main source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds will
commence 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.
GMAC COMMERCIAL: Fitch Junks Rating on $12.5-Mil. Class E Notes
---------------------------------------------------------------
Fitch Ratings downgrades one distressed class of GMAC Commercial
Mortgage Securities, Inc., series 2004-C3, commercial mortgage
pass-through certificates.
The downgrade is a result of increased certainty of losses on the
specially serviced assets since Fitch's last rating action. Fitch
modeled losses of 10.7% of the remaining pool; expected losses of
the original pool balance are 8.95%, including 3% in losses
incurred to date.
As of the July 2012 distribution date, the pool's collateral
balance has paid down 45% to $691.7 million from $1.25 billion at
issuance. Three loans (3%) have defeased. Fitch has identified
22 Loans of Concern (41%), including 11 assets in special
servicing (24%).
The largest contributor to loss is secured by a 302,992 square
foot (sf), 11 story office building (4.8%) located in Chicago, IL
(approximately 15 miles NW of the CBD). The loan has been
specially serviced since April 2009 when it transferred due to a
technical default. A major tenant vacated at lease expiration in
May 2007 which triggered a monthly rollover reserve escrow
payment. The triggered payment was not implemented until February
2009. Loan modification discussions failed and a receiver was
appointed in August 2010. The special servicer took title through
foreclosure on Jan. 13, 2011. The property was 70% occupied as of
May 2012 which includes new leases totaling 35,378 sf signed
during 2011. A major capital improvement program is currently
underway to address common area upgrades and several deferred
maintenance issues.
The second largest contributor to loss is secured by two four-
story buildings (2.1%) which are part of a three building student
housing property located near Winthrop University in Rock Hill,
SC. The two buildings are comprised of 124 units with a total of
432 beds. The loan remains in special servicing since September
2009 when it transferred due to monetary default. The loan was
foreclosed upon and the Trust took title to the property in
February 2012. As of June 2012, the property was 91% occupied for
the 2011-2012 school year.
The third largest contributor to loss is secured by a 268 unit
apartment building (2.4%) located in Pensacola, FL. The loan has
been in special servicing since October 2009 when it transferred
for imminent maturity default prior to the November 2009 maturity.
Foreclosure was completed in April 2012. As of June 2012, the
property is 81% occupied. The special servicer continues to hold
the property until it stabilizes.
Fitch downgrades and revises Recovery Estimate on the following
class as indicated:
-- $12.5 million class E to 'Csf' from 'CCsf'; RE to 0% from
60%.
Fitch also affirms, Revises Rating Outlooks and Recovery Estimates
(RE) classes on the following classes as indicated:
-- $242.7 million class A-1A at 'AAAsf'; Outlook Stable;
-- $58.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $39.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $138.6 million class A-5 at 'AAAsf'; Outlook Stable;
-- $82.9 million class A-J at 'BBBsf'; Outlook Stable;
-- $31.3 million class B at 'BBsf'; Outlook revised to Negative
from Stable;
-- $14.1 million class C at 'Bsf'; Outlook revised to Negative
from Stable;
-- $20.3 million class D at 'CCCsf; RE to 80% from 100%';
-- $15.6 million class F at 'Csf; RE 0%';
-- $10.9 million class G at 'Csf; RE 0%';
-- $20.3 million class H at 'Csf; RE 0%';
-- $3.1 million class J at 'Csf; RE 0%';
-- $903,483 class K at 'Dsf; RE 0%'.
Classes L, M, N, and O remain at 'Dsf/RE 0%' due to principal
losses incurred. Classes A-1, A-2, and A-3 have been paid in
full. Class P is not rated by Fitch. Fitch had previously
withdrawn the ratings of the interest only classes X-1 and X-2.
GREENWICH CAPITAL 2005-FL3: Fitch Keeps Ratings on 6 Cert Classes
-----------------------------------------------------------------
Fitch Ratings has upgraded two classes of Greenwich Capital
Commercial Funding Corp. commercial mortgage pass-through
certificates, series 2005-FL3.
The upgrades reflect the improved performance of the remaining
loan since Fitch's last review. The affirmations of the junior
pooled and non-pooled certificates are warranted as Fitch expects
minimal, if any, losses to the certificates based on the quality
and location of the underlying asset and the overall improvement
in the hospitality industry.
The remaining loan in the transaction is the $41 million Lowell
Hotel loan: a $27.3 million pooled note and a $13.7 million non-
pooled rake. There is additional debt held outside the trust.
Fitch analyzed servicer reported operating statements, in addition
to other information received from the master servicer as the loan
returned to master servicing after being modified.
The Lowell Hotel is a 17-story full-service luxury hotel located
on 63rd Street between Madison and Park Avenues in New York City.
There are 70 rooms with a high percentage of suites and suites
with fireplaces. Amenities include two restaurants, the Post
House located on the ground floor and the Pembroke Room located on
the second floor. The special servicer has modified the loan to
include two additional one-year extension options and pay down of
the loan. T he borrower utilized the first extension option and
paid down the trust debt by $2 million and is expected to exercise
the second extension option with an extended maturity date of
September 2013.
The property financial performance has improved along with the
Manhattan hospitality industry. While occupancy and net operating
income are below issuance levels, revenue per available room
(RevPAR) remains strong compared to issuance. The servicer
reported that YE 2011 occupancy and RevPAR were 67.6% and $598,
respectively, compared to issuance levels (as of trailing 12
months October 2005) of 81.8% and $511.
Fitch upgrades and revises Rating Outlooks as indicated:
-- $5.6 million class J to 'AAAsf' from 'AA+sf'; Outlook Stable;
-- $4.4 million class K to 'AAsf' from 'A+sf'; Outlook to Stable
from Negative
Fitch affirms and revises Rating Outlooks of the pooled and non-
pooled certificates as follows:
-- $5.1 million class L at 'BBBsf'; Outlook to Stable from
Negative;
-- $12.2 million class M at 'CCCsf'; RE 100%;
-- $5.4 million class H-LH at 'CCCsf'; RE 90%;
-- $3.6 million class K-LH at 'CCCsf'; RE 90%;
-- $3.6 million class M-LH at 'CCCsf'; RE 90%;
-- $1.1 million class N-LH at 'CCCsf'; RE 90%.
Classes A-1 through H, X-1, and various non-pooled classes related
to individual loans have paid in full.
GSR MORTGAGE: Moody's Downgrades Ratings on Two Tranches to 'C'
---------------------------------------------------------------
Moody's Investors Service has downgraded 77 tranches, upgraded
seven tranches and confirmed the rating on one tranche from eight
RMBS transactions issued by GSR Mortgage Loan Trust. The
collateral backing these deals primarily consists of first-lien,
fixed and adjustable-rate prime Jumbo residential mortgages. The
actions impact approximately $821 million of RMBS issued from 2005
to 2007.
Complete rating actions are as follows:
Issuer: GSR Mortgage Loan Trust 2005-3F
Cl. 1A-2, Upgraded to Aa3 (sf); previously on May 30, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Issuer: GSR Mortgage Loan Trust 2005-AR2
Cl. 2A1, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B2 (sf)
Cl. 5A1, Downgraded to B3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. 1B1, Downgraded to C (sf); previously on Apr 27, 2010
Downgraded to Ca (sf)
Issuer: GSR Mortgage Loan Trust 2005-AR3
Cl. 1A1, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. 2A1, Upgraded to Baa3 (sf); previously on May 30, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. X, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf)
Placed Under Review for Possible Upgrade
Issuer: GSR Mortgage Loan Trust 2006-7F
Cl. 1A-1, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. A-X, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Cl. 2A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-3, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-4, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-5, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-6, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-7, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-8, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-9, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-10, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-11, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-12, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 3A-1, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-3, Downgraded to C (sf); previously on Jul 1, 2009
Downgraded to Ca (sf)
Cl. 3A-5, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-2, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-3, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-5, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-7, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-8, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-10, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 4A-12, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-13, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-14, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Issuer: GSR Mortgage Loan Trust 2006-8F
Cl. 3A-4, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-5, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 3A-6, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 3A-8, Upgraded to Caa2 (sf); previously on Jul 1, 2009
Downgraded to Ca (sf)
Cl. 3A-9, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 3A-10, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Cl. 3A-11, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Cl. 4A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 4A-7, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-8, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-12, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 4A-13, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-14, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-17, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-18, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-19, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-20, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 5A-1, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 5A-2, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Issuer: GSR Mortgage Loan Trust 2007-1F
Cl. 1A-1, Upgraded to B3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 3A-6, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Cl. 3A-7, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B3 (sf)
Issuer: GSR Mortgage Loan Trust 2007-2F
Cl. 1A-1, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 1A-4, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-1, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-7, Downgraded to Caa1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-9, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-10, Downgraded to Caa1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. 3A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-3, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-7, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-9, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-10, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 4A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-2, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. A-X, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B2 (sf)
Issuer: GSR Mortgage Loan Trust 2007-3F
Cl. 1A-1, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-2, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-3, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-7, Confirmed at B2 (sf); previously on May 30, 2012 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. 2A-9, Downgraded to Caa1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. 2A-10, Upgraded to B1 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 3A-3, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 4A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. A-X, Downgraded to Caa1 (sf); previously on Apr 27, 2010
Downgraded to B2 (sf)
Ratings Rationale
The actions are a result of the recent performance of Prime jumbo
pools originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of a number of downgrades and upgrades.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated. The upgrades are due to
improvement in collateral performance, or rapid build-up in credit
enhancement due to high prepayments.
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.
When assigning the final ratings to bonds, in addition to the
approach described above, Moody's considered 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 8.2% in June 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_SF293438
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_SF196023
HARBOR SPC 2006-1: S&P Lowers Ratings on 4 Note Classes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
from 'CCC-(sf)' on the class A, B, C, and D notes from HARBOR
SPC's series 2006-1, a synthetic collateralized debt obligation
(CDO) transaction.
"We downgraded these classes due to the nonpayment of interest due
to the classes on the June 20, 2012, payment date," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms
available to investors and a description of how they differ from
the representations, warranties and enforcement mechanisms in
issuances of similar securities. The Rule applies to in-scope
securities initially rated (including preliminary ratings) on or
after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
HARBOR SPC
Series 2006-1
Rating
Class To From
A D (sf) CCC- (sf)
B D (sf) CCC- (sf)
C D (sf) CCC- (sf)
D D (sf) CCC- (sf)
ING IM 2012-2: S&P Gives 'BB' Rating on Class E Deferrable Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to ING IM CLO 2012-2 Ltd./ING IM CLO 2012-2 LLC's $321.75
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 Aug. 9,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The 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 primarily
comprises broadly syndicated speculative-grade senior-secured
term loans," S&P said.
The collateral 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
0.47%-13.84%," S&P said.
"The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding," S&P said.
The transaction's interest diversion test, a failure of which
will lead to the reclassification of excess interest proceeds
that are available prior to paying uncapped administrative
expenses; deferred senior, subordinated, and incentive
management fees; hedge payments; and subordinated note
payments into principal proceeds for the purchase of
additional collateral assets during 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 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
ING IM CLO 2012-2 Ltd./ING IM CLO 2012-2 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 222.50
B AA (sf) 36.00
C (deferrable) A (sf) 30.50
D (deferrable) BBB (sf) 17.75
E (deferrable) BB (sf) 15.00
Subordinated notes NR 40.07
NR - Not rated.
JP MORGAN: Moody's Takes Action on $721MM Subprime RMBS
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings on four
tranches, upgraded the ratings on twelve tranches and confirmed
the ratings on seven tranches from eight subprime RMBS
transactions issued by JP Morgan Mortgage Acquisition Trust.
Complete rating actions are as follows:
Issuer: JP Morgan Mortgage Acquisition Corp 2005-FLD1
Cl M-4, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf)
Placed Under Review for Possible Upgrade
Issuer: JP Morgan Mortgage Acquisition Corp 2005-FRE1
Cl AI, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3 (sf)
Placed Under Review for Possible Upgrade
Cl AII-V-2, Downgraded to Ba1 (sf); previously on Jul 14, 2010
Downgraded to Baa2 (sf)
Cl AII-V-3, Confirmed at B3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl M-1, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: JP Morgan Mortgage Acquisition Corp 2005-OPT1
Cl M-2, Upgraded to B1 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl M-3, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: JP Morgan Mortgage Acquisition Trust 2006-CH1
Cl A-4, Upgraded to Ba3 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl A-5, Upgraded to B3 (sf); previously on May 30, 2012 Caa1 (sf)
Placed Under Review for Possible Upgrade
Cl M-1, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: JP Morgan Mortgage Acquisition Trust 2006-CW2
Cl AF-2, Downgraded to B3 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl AF-3, Downgraded to Ca (sf); previously on Nov 5, 2010
Downgraded to Caa3 (sf)
Cl AV-4, Downgraded to B3 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Downgrade
Issuer: JP Morgan Mortgage Acquisition Trust 2006-NC2
Cl A-3, Upgraded to A1 (sf); previously on May 30, 2012 Baa2 (sf)
Placed Under Review for Possible Upgrade
Cl A-4, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl A-5, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: JP Morgan Mortgage Acquisition Trust 2007-CH1, Asset-
Backed Pass-Through Certificates, Series 2007-CH1
Cl AV-1, Upgraded to Baa2 (sf); previously on Dec 28, 2010
Upgraded to Ba1 (sf)
Cl AV-3, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl AV-4, Upgraded to Baa3 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl AV-5, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba3 (sf)
Placed Under Review for Possible Upgrade
Cl MV-1, Upgraded to B2 (sf); previously on May 30, 2012 Caa1 (sf)
Placed Under Review for Possible Upgrade
Cl MV-3, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: JP Morgan Mortgage Acquisition Trust 2007-CH2, Asset-
Backed Pass-Through Certificates, Series 2007-CH2
Cl AV-5, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades/downgrades in the rating
action are a result of improving/deteriorating performance and/or
structural features resulting in lower/higher expected losses for
certain bonds than previously anticipated.
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.
Moody's adjusts the methodologies noted above for Moody's current
views 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.
To assess the rating implications of the updated loss levels on
subprime 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
comprising 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 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also 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_SF294292
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
JP MORGAN 2004-CIBC9: Fitch Cuts Rating on $15.5MM Certs to 'Csf'
-----------------------------------------------------------------
Fitch Ratings has downgraded three classes and revised the Outlook
of one class of J.P. Morgan Chase Commercial Mortgage Securities
Corp.'s commercial mortgage pass-through certificates, series
2004-CIBC9.
The downgrades are primarily the result of higher certainty of
losses from the specially serviced loans. Fitch modeled losses of
5.14% of the remaining pool. Fitch designated 16 loans (17.2%) as
Fitch Loans of Concern, which include eight specially serviced
loans (8.11%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has been reduced by 36.8% (including 5.5% of
realized losses) to $696.8 million from $1.1 billion at issuance.
Interest shortfalls are affecting classes G through NR. Six loans
in the pool (6.7%) are currently defeased.
The largest contributor to Fitch's modeled losses is the
specially-serviced loan, Dean Commerce Building (0.6% of the
pool), located in Baton Rouge, LA. The 97,422 square foot (sf)
eight story vacant office building was built in 1960 within the
central business district (CBD). The loan was transferred to the
special servicer in August 2011 for imminent payment default and
continues to work with the borrower on a resolution, including a
potential sale of the property. If finalized, the sale is
expected to close in August.
The second largest contributor to Fitch's model losses is a real
estate owned (REO) 204 unit multi-family complex, Bellaire Garden
Apartments (0.7%), located in Houston, TX. The loan was
transferred to the special servicer in July 2011 due to maturity
default. The special servicer completed a number of capital
improvements before marketing the building for sale.
The third largest contributor to Fitch's modeled losses, the Dean
Office Portfolio (0.9% of the pool), consists of three buildings
totaling 153,654 sf in Baton Rouge, LA. The buildings were built
between 1912 and 1965 are located in the CBD within walking
distance of the capital building and the surrounding amenities.
The portfolio transferred to the special servicer in August 2011
for imminent payment default. The special servicer continues to
use a dual track process and will post for foreclosure.
Concurrently, there are on-going negotiations with a third party
to purchase Dean Tower and the borrower has submitted a
preliminary offer for the two remaining buildings. The special
servicer is concentrating on completing an agreement for Dean
Tower before agreeing to a purchase price for the State and Romain
buildings.
Fitch downgrades the following classes and updates the recovery
estimates:
-- $20.7 million class D to 'CCCsf' from 'B-sf'; RE100%;
-- $11 million class E to 'CCsf' from 'CCCsf'; RE30% from RE100%
-- $15.15 million class F to 'Csf' from 'CCCsf'; RE0% from
RE100%;
Fitch affirms, revises Rating Outlooks and maintains recovery
estimates to the following classes:
-- $12.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $466.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $125.4 million class A1-A at 'AAAsf'; Outlook Stable;
-- $27.5 million class B at 'BBB-sf'; Outlook Stable from
Negative;
-- $13.8 million class C at 'BBsf'; Outlook Negative;
-- $4.6 million class G at 'Dsf'; RE0%;
-- $0.0 million class H at 'Dsf'; RE0%;
-- $0.0 million class J at 'Dsf'; RE0%;
-- $0.0 million class K at 'Dsf'; RE0%;
-- $0.0 million class L at 'Dsf'; RE0%;
-- $0.0 million class M at 'Dsf'; RE0%;
-- $0.0 million class N at 'Dsf'; RE0%;
-- $0.0 million class P at 'Dsf'; RE0%..
Classes A-1 and A-2 have repaid in full. Fitch does not rate
class NR. The rating on class X was previously withdrawn.
JP MORGAN 2005-LDP2: Fitch Lowers Rating on $29.8MM Certs to CCCsf
------------------------------------------------------------------
Fitch Ratings has downgraded two classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp.'s commercial mortgage pass-
through certificates, series 2005-LDP2.
The downgrade reflects Fitch expected losses across the pool.
Fitch modeled losses of 8.4% of the original pool balance,
including losses incurred to date. There are currently 17
specially-serviced loans (13.8%) in the pool.
As of the July 2012 distribution date, the pool's aggregate
principal balance has been reduced by 36.2% (including 3.7% of
realized losses) to $1.9 billion from $3 billion at issuance.
Eight loans in the pool (2.1%) are currently defeased. Interest
shortfalls are affecting classes J, K and N through NR.
The largest contributor to Fitch-modeled losses is secured by a
898,564 square foot (sf) mixed-use development consisting of five
office buildings, a mixed-use building, and a retail building
located in Creve Coeur, MO (6.1%). The loan was transferred to
special servicing in April 2012 for maturity default. The special
servicer is in discussions with the borrower.
The second-largest contributor to Fitch-modeled losses is secured
by a 236,961 sf office plaza located in Piscataway, NJ (1.4%).
Occupancy decreased when the largest tenant (61.19%) vacated at
the end of their lease in June 2010. Occupancy was 59% as of
March 2012.
The third-largest contributor to Fitch-modeled losses is secured
by two office properties located in Atlanta, GA and Southfield, MI
(1.9%). The loan transferred to special servicing in March 2011
for imminent default. The Atlanta property became real-estate
owned (REO) in June 2012, and the special servicer is pursuing
foreclosure on the Michigan property. Neither property is listed
for sale at this time.
Fitch downgrades the following classes:
-- $26.1 million class E to 'Bsf' from 'BBsf'; Outlook to Stable
from Negative;
-- $29.8 million class F to 'CCCsf' from 'Bsf'; RE 95%.
In addition, Fitch affirms the following classes:
-- $244 million class A-1A at 'AAAsf'; Outlook Stable;
-- $192.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $62.7 million class A-3A at 'AAAsf'; Outlook Stable;
-- $561.3 million class A-4 at 'AAAsf'; Outlook Stable;
-- $58.3 million class A-SB at 'AAAsf'; Outlook Stable;
-- $247.9 million class A-M at 'AAAsf'; Outlook Stable;
-- $50 million class A-MFL at 'AAAsf'; Outlook Stable;
-- $216 million class A-J at 'Asf'; Outlook Stable;
-- $18.6 million class B at 'Asf'; Outlook Stable;
-- $41 million class C at 'BBB-sf'; Outlook Stable;
-- $26.1 million class D at 'BBsf'; Outlook Stable;
-- $26.1 million class G at 'CCCsf'; RE 0%;
-- $44.7 million class H at 'CCCsf'; RE 0%;
-- $29.8 million class J at 'Csf'; RE 0%;
-- $26.5 million class K at 'Dsf'; RE 0%;
-- Class L at 'Dsf'; RE 0%;
-- Class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0%;
-- Class O at 'Dsf'; RE 0%;
-- Class P at 'Dsf'; RE 0%;
-- Class Q at 'Dsf'; RE 0%.
Classes A-1 and A-2 have repaid in full. Fitch does not rate
class NR. The ratings on classes X-1 and X-2 were previously
withdrawn.
JP MORGAN 2005-CIBC13: Moody's Cuts Rating on Cl. C Certs. to 'Ca'
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed 16 classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 2005-CIBC13 as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Dec 7, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-2FL, Affirmed at Aaa (sf); previously on Dec 7, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-2FX, Affirmed at Aaa (sf); previously on Aug 3, 2010
Assigned Aaa (sf)
Cl. A-3A1, Affirmed at Aaa (sf); previously on Dec 7, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-3A2, Affirmed at Aaa (sf); previously on Dec 7, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Dec 17, 2010
Confirmed at Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Dec 7, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 17, 2010
Confirmed at Aaa (sf)
Cl. A-M, Downgraded to Baa1 (sf); previously on Dec 17, 2010
Downgraded to A1 (sf)
Cl. A-J, Downgraded to B3 (sf); previously on Dec 17, 2010
Downgraded to B1 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Dec 17, 2010
Downgraded to Caa2 (sf)
Cl. C, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. D, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. E, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Jan 28, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. X-2, Affirmed at Aaa (sf); previously on Dec 7, 2005
Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are due to higher realized losses and anticipated
losses from specially service and troubled loans.
The affirmations of the 14 principal bonds 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.
The ratings of the IO Classes, Class X-1 and X-2, are consistent
with the expected credit performance of their referenced classes
and thus are affirmed.
Moody's rating action reflects a cumulative base expected loss of
13.1% of the current balance. At last review, Moody's cumulative
base expected loss was 11.9%. 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, 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 assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment 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 assessment
level, is incorporated for loans with similar credit assessments
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 assessments; 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 53 compared to 51 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 August 11, 2011.
DEAL PERFORMANCE
As of the July 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 20% to $2.17
billion from $2.72 billion at securitization. The Certificates are
collateralized by 206 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten loans representing 34%
of the pool.
Sixty one loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
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 an aggregate realized loss of $91.9
million (50% average loss severity) compared to $52.9 million at
last review. Nineteen loans, representing 24% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Southeast Office Portfolio Loan ($181 million -- 8.3%
of the pool), which is secured by a portfolio of 16 suburban
office properties containing a total of 1.5 million square feet
(SF). The properties are located in Florida (12), North Carolina
(2) and Maryland (2). The loan was transferred to special
servicing in November 2009 and the entire portfolio is now REO.
The master servicer has recognized a $110.9 million appraisal
reduction for this portfolio.
The second largest specially serviced loan is the Shore Club A-
Note Loan ($105.4 million -- 4.9% of the pool), which is secured
by a 322-room full-service boutique hotel located in Miami Beach,
Florida. The Shore Club also has an $11.5 million B-Note that is
held outside of the Trust, which brings the property's total debt
to $116.9 million. The Shore Club A-Note Loan was transferred to
special servicing in September 2009 and is currently in the
foreclosure process. The master servicer recognized a $39.1
million appraisal reduction for this loan.
The remaining specially serviced loans are secured by a mix of
commercial and multifamily property types. The master servicer has
recognized an aggregate $218.7 million appraisal reduction for 14
of the 19 specially serviced loans. Moody's has estimated an
aggregate $237.1 million loss (46% expected loss on average) for
the specially serviced loans.
Moody's has assumed a high default probability for 19 poorly
performing loans representing 5% of the pool and has estimated a
$16.7 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes B through
NR have experienced cumulative interest shortfalls totaling $31.1
million compared to $21.5 million at last review. Moody's
anticipates that the pool will continue to experience interest
shortfalls because of the high exposure to specially serviced and
troubled loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
subordinate entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
Moody's was provided full year 2011 operating results for 94% of
the pool's loans, excluding specially serviced loans. Excluding
specially serviced and troubled loans, Moody's weighted average
LTV is 97% compared to 103% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 11% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 8.9%.
Moody's actual and stressed conduit DSCRs are 1.41X and 1.12X,
respectively, compared to 1.33X and 1.0X 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 loans represent 9% of the pool balance.
The largest loan is Marriott Myrtle Beach Loan ($71.8 million --
3.3% of the pool), which is secured by a 405 room full service
hotel located in Myrtle Beach, South Carolina. The collateral's
2011 occupancy (63%) and RevPAR ($99) have been essentially stable
since last review. Moody's LTV and stressed DSCR are 83% and
1.44X, respectively, compared to 82% and 1.45X at last review.
The second largest loan is the 270 Madison Avenue Loan ($65.0
million -- 3.0% of the pool), which is secured by 19-story Class B
office building located in Manhattan, New York. The property was
93% leased as of March 2012 compared to 99% at last review.
Performance is inline with the expectations. The loan is interest
only for its entire term. Moody's LTV and stressed DSCR are 124%
and 0.76X, respectively, essentially the same as at last review.
The third largest loan is the Datran Center Loan ($65.0 million --
3.0% of the pool), which is secured by two office buildings
located in Miami, Florida. The properties were 72% leased as of
December 2011. Performance has declined since last review due to
lower revenues. The loan is interest only for its entire term.
Moody's LTV and stressed DSCR are 128% and 0.76X, respectively,
compared to 117% and 0.83X at last review.
JP MORGAN 2010-C1: Fitch Affirms 'B-(sf)' Rating on $11.6MM Secs.
-----------------------------------------------------------------
Fitch Ratings has affirmed all classes of JP Morgan Chase
Commercial Mortgage Securities Trust commercial mortgage pass
through certificates, series 2010-C1.
The affirmations are due to stable performance of the collateral
and sufficient credit enhancement to the Fitch rated classes.
Fitch modeled losses of 1.7% of the current pool. The pool has
experienced no realized losses to date. Fitch has not designated
any loans as Fitch Loans of Concern, and no loans are in special
servicing.
As of the July 2012 distribution date, the pool's certificate
balance has paid down 2.5% to $698.2 million from $716.3 million
at issuance. There are currently 36 loans collateralized by 96
properties. No loans have defeased since issuance.
The largest loan (14.2%) in the pool is secured by a 623,972
square foot (sf) retail property in downtown Salt Lake City, UT.
The property is anchored by Dick's Sporting Goods, Barnes & Noble
and Gateway Theaters. As of March 2012, the property was 85.5%,
down from 93% at YE2011 primarily due to tenants vacating upon
lease expirations. The property has lost several tenants to a
newly developed mixed-use property opened in 2012 that is located
0.5 mile away. Servicer reported debt service coverage ratio
(DSCR) at year-end 2011 was 1.7 times (x).
The second largest loan (6.6%) is secured by a portfolio of four
multi-tenanted retail properties totaling 469,000 sf. The
properties are located in Virginia, California, New Jersey and
Texas. As of December 2011, the servicer reported occupancy was
91% and the YE 2010 DSCR was 1.53x.
Fitch affirms the following classes as indicated:
-- $397.9 million class A-1 at 'AAAsf'; Outlook Stable;
-- $131.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $61.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- Interest Only class X-A at 'AAAsf'; Outlook Stable.
-- $16.1 million class B at 'AAsf'; Outlook Stable;
-- $26.9 million class C at 'A-sf'; Outlook Stable;
-- $14.3 million class D at 'BBBsf'; Outlook Stable;
-- $9 million class E at 'BBB-sf'; Outlook Stable;
-- $7.2 million class F at 'BBsf'; Outlook Stable;
-- $6.3 million class G at 'B+sf'; Outlook Stable;
-- $11.6 million class H at 'B-sf'; Outlook Stable;
Fitch does not rate classes NR and X-B.
MASTR ASSET 2006-HE1: Moody's Lifts Rating on A-4 Secs. to 'Caa1'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on one
tranche, upgraded the ratings on two tranches and confirmed the
ratings on two tranches from four subprime RMBS transactions
issued by MASTR Asset Backed Securities Trust.
Complete rating actions are as follows:
Issuer: MASTR Asset Backed Securities Trust 2005-FRE1
Cl. A-5, Confirmed at A3 (sf); previously on May 30, 2012 A3 (sf)
Placed Under Review for Possible Upgrade
Issuer: MASTR Asset Backed Securities Trust 2006-HE1
Cl. A-3, Upgraded to Ba2 (sf); previously on May 5, 2010
Downgraded to B1 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: MASTR Asset Backed Securities Trust 2006-NC1
Cl. A-4, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: MASTR Asset Backed Securities Trust 2007-HE1
Cl. A-1, Downgraded to B2 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades/downgrades in the rating
action are a result of improving/deteriorating performance and/or
structural features resulting in lower/higher expected losses for
certain bonds than previously anticipated.
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.
Moody's adjusts the methodologies noted above for Moody's current
views 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.
To assess the rating implications of the updated loss levels on
subprime 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
comprising 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 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also 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_SF294073
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
MASTR RESECURITIZATION: Moody's Reviews B3 Rating on Cl. N3 Bond
----------------------------------------------------------------
Moody's Investors Service has placed on upgrade review the rating
of Class N3 issued by MASTR Resecuritization 2006-1CI.
Complete rating action is as follows:
Issuer: MASTR Resecuritization 2006-1CI
Cl. N3, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 9, 2011 Confirmed at B3 (sf)
Ratings Rationale
The action is a result of faster paydown on the Class N3 bond than
previously expected, resulting in higher credit enhancement as
compared to the loss expectations on the pools of mortgages
backing the underlying certificates. The Class N3 bond currently
receives payments sequentially to the other Classes N4 and N5
issued by the resecuritization and has received over $1.6 million
in payments over the past year and has a current outstanding
balance of $1.8 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 three underlying bonds -- 1AX,
3AX, and 5AX issued by Impac Secured Assets Corp. Mortgage Pass-
Through Certificates, Series 2005-1. The underlying bonds are
backed primarily by Option Arm loans.
Moody's ratings on the resecuritization notes are based on:
1. The updated expected loss on the pools of loans backing the
underlying certificates and the updated ratings on the underlying
certificates,
2. The credit enhancement available to underlying certificates,
and
3. The structure of the resecuritization transaction.
The principal methodology used in determining the ratings of the
underlying bond is described in the Monitoring and Performance
Review section in "Moody's Approach to Rating US Residential
Mortgage-Backed Securities" published in December 2008.
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 8.2% in June 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 the underlying transactions and hence
the resecuritizations.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF293470
ML-CFC COMMERCIAL: DBRS Lowers Rating on 8 Securities Classes
-------------------------------------------------------------
DBRS has downgraded eight classes of the ML-CFC Commercial
Mortgage Trust, Series 2006-1 (the Trust) as follows:
Class AJ from A(high)(sf) to A(low)(sf)
Class AN-FL from A(high) (sf) to A(low)(sf)
Class B from BBB(sf) to BBB(low)(sf)
Class C from BBB(low)(sf) to BB(low(sf)
Class D from BB(sf) to B(sf)
Class E from B(sf) to CCC(sf)
Class F from CCC(sf) to C(sf)
Class G from CCC(sf) to C(sf)
DBRS has also placed Class D on trend Negative. Classes AJ, AN-
FL, B and C have Stable trends. Trends are not assigned for
classes rated CCC and below. Class F, Class G, Class H and Class
J remain designated as Interest in Arrears.
Nine rated classes in the transaction were confirmed with Stable
trends as follows:
Class A-1A at AAA(sf)
Class A-2 at AAA(sf)
Class A-3 at AAA(sf)
Class A-3FL at AAA(sf)
Class A-3B at AAA(sf)
Class A-4 at AAA(sf)
Class A-SB at AAA(sf)
Class A-M at AAA(sf)
Class X at AAA(sf)
In addition, two classes were confirmed with no trends as follows:
Class H at C sf)
Class J at C(sf)
Of the original 152 loans at issuance, 128 remain in the pool,
with a weighted-average DSCR for the trust loans of 1.27 times (x)
and a weighted-average debt yield of 8.49%, as calculated on the
outstanding trust balances as of the July 2012 remittance report
and the most recent year-end NCF figures available for each of the
trust loans.
The rating actions taken as part of this review reflect the most
recent performance of the largest loans on the servicer's
watchlist and the outlook for the remaining loans in special
servicing. There are 37 loans (35.74% of the pool) on the
servicer's watchlist as of the July 2012 remittance report; seven
of those loans, representing 24.56% of the pool, are in the top
fifteen loans in the pool. Two of the loans in the top fifteen on
the watchlist are performing loans that are being monitored for
the upcoming maturities in August and September 2012. Excluding
those two loans, the weighted-average DSCR for the other 35 loans
on the watchlist was 0.53x with a weighted-average debt yield of
3.82%, as calculated on the most recent year-end NCF figures for
each loan as of the July 2012 remittance report. The weighted-
average NCF decline from the issuer's underwritten figure is high
for those 35 loans, at approximately -20.26%.
There were 12 delinquent loans as of the July 2012 remittance
report, representing 8.36% of the pool; 11 of those loans (8.0% of
the pool) are in special servicing. As of the July 2012
remittance report, cumulative losses since issuance totaled $54.04
million, with 15 loans liquidated since issuance. Eight of those
loans have been liquidated within the last 12 months, at a
weighted-average loss severity of 53.68% as of the July 2012
remittance report. The largest of those loans is Prospectus ID
#18, Colonial Mall Glynn Place. As a result of the liquidation of
that loan in April 2012, the trust experienced a loss of $15.29
million (with a loss severity of 58.27%).
The largest loan in special servicing is Prospectus ID #8,
Inglewood Park (1.78% of the pool). At issuance, this loan was
collateralized by seven buildings (five office/industrial flex
buildings and two mid-rise office buildings) located in Largo,
Maryland, approximately ten miles east of Washington, D.C. The
combined occupancy for the portfolio was low at issuance, at 67%,
with a $5.2 million holdback that was to be released once lease-up
hurdles were met. The loan transferred to the special servicer in
2009, and as the occupancy never improved to the required levels,
the loan balance was paid down by the amount of the holdback in
early 2010. After the loan's transfer, one of the original seven
buildings was sold to its single tenant in December 2010,
resulting in an additional $5.3 million in proceeds that was
applied to the outstanding principal balance.
A receiver has been in place since early 2011, assuming property
management duties, directing lease-up efforts and overseeing
capital improvement projects. According to the servicer, the
remaining six properties had a combined leased rate of 57.7% as of
the June 2012 rent roll, with over 15 leases signed to new and
renewing tenants since early 2011. The servicer has recently
invested significantly in capital improvements to the properties
as part of necessary roof repairs and other property upgrades.
The servicer has also funded tenant improvements for GSA, who
recently signed a lease for approximately 40,700 sf through 2021.
As of the July 2012 remittance report, the servicer's outstanding
advances were relatively significant, at $12.96 million.
According to the servicer, approximately $6.0 million of those
advances were made to complete improvement projects and the
remainder is outstanding for taxes, interest and legal fees. The
July 2010 appraisal valued the property at $29.55 million and the
most recent appraisal, from October 2011, showed an improvement to
$35.75 million (approximately $75 psf). Given the trust's
exposure of approximately $42.28 million as of the July 2012
remittance report, there is potential for significant loss on the
asset unless further stabilization is achieved over the near term.
The largest loan on the servicer's watchlist for performance
issues is Prospectus ID #8, CNL Cirrus MOB Portfolio (II) (3.40%
of the pool). This loan is secured by a portfolio of six medical
office properties located across three states. Four properties
are located in Texas and the other two are in Missouri and
Arizona. In Q3 2011, the portfolio was sold and the trust loan
was assumed by the new owner. The loan was added to the
servicer's watchlist in October 2011 for a low DSCR. The decline
in cash flow can be partially attributed to tenant departures; the
YE2011 combined occupancy rate was 77%, down from 81% at YE2010.
The Missouri property, located in the St. Louis suburb of Creve
Coeur, represents 34.90% of the allocated loan balance. That
property lost a significant tenant in late 2010, causing occupancy
to decline to 49%, down from previous levels that hovered near
90%. Additionally, the servicer reports that the Denton, Texas
(suburb of Dallas) property, which represents 25.80% of the
allocated loan balance, is suffering from a dispute among the
physicians occupying the property, resulting in a decline in
referrals and a drop in the overall property performance. The
allocated DSCR for the Creve Coeur and Denton properties was 0.11x
and 0.32x at YE2011, respectively. The overall DSCR at YE2011 was
0.53x, down from 1.26x at YE2010 and the issuer's underwritten
DSCR of 1.38x, with a NCF decline of -61.78% since issuance for
this loan. The loan was structured with an interest-only period
for the first five years of the ten-year term, resulting in a
relatively high trust exposure of approximately $170 psf as of the
July 2012 remittance report.
MORGAN STANLEY 1999-WF1: Moody's Affirms Caa2 Rating on N Certs.
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed five classes of Morgan Stanley Capital I Inc., Commercial
Mortgage Pass-Through Certificates, Series 1999-WF1 as follows:
Cl. H, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. J, Affirmed at Aaa (sf); previously on Sep 29, 2011 Upgraded
to Aaa (sf)
Cl. K, Upgraded to Aaa (sf); previously on Sep 29, 2011 Upgraded
to Aa3 (sf)
Cl. L, Upgraded to Baa2 (sf); previously on Sep 29, 2011 Upgraded
to Ba2 (sf)
Cl. M, Affirmed at B3 (sf); previously on Feb 24, 1999 Assigned B3
(sf)
Cl. N, Affirmed at Caa2 (sf); previously on Feb 24, 1999 Assigned
Caa2 (sf)
Cl. X, Affirmed at B2 (sf); previously on Feb 22, 2012 Downgraded
to B2 (sf)
Ratings Rationale
The upgrades are due to increased credit support due to
amortization. The pool has paid down by 8% since Moody's last full
review. The affirmations of the rincipal classes 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.
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
6.2% of the current balance. At last review, Moody's cumulative
base expected loss was 4.5%. Moody's provides a current list of
base and stress scenario 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 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 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 assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment 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 assessment
level, is incorporated for loans with similar credit assessments
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 assessments; 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 15, the same as 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 8.4 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 full review is
summarized in a press release dated September 29, 2011.
DEAL PERFORMANCE
As of the July 16, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $52.5
million from $968.5 million at securitization. The Certificates
are collateralized by 35 mortgage loans ranging in size from less
than 1% to 14% of the pool, with the top ten non-defeased loans
representing 71% of the pool. Five loans, representing 3% of the
pool, have defeased and are secured by U.S. Government securities.
Eight loans, representing 24% 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 its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Six loans have been liquidated from the pool, resulting in a
realized loss of $3.2 million (30% loss severity). Currently one
loan, representing 8% of the pool, is in special servicing. It is
the Spring Hill Market Place Loan ($4.4 million), which is secured
by four retail properties totaling 108,416 square feet (SF) and
located in Carpentersville, IL. The loan was transferred to
special servicing on June 4, 2010 due to payment default. A loan
modification was approved however the borrower did not close on
it. The borrower subsequently filed for bankruptcy in April 2011
which was dismissed in July 2011. The borrower was performing
under a forebearance agreement while pursuing refinancing and sale
options however the agreement expired on July 22, 2012. Moody's
has assumed a $2.0 million loss for this loan.
Moody's was provided with full year 2011 operating results for 74%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 36% compared to 38% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 9% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.80X and 3.57X, respectively, compared to
1.82X and 3.26X 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 loans represent 30% of the pool. The largest loan is
the Ward Office / Retail Portfolio ($7.1 million -- 13.6% of the
pool), which is secured by five properties located in Bel Air,
Maryland (3 suburban office, 2 unanchored retail). The largest
tenants include Gucci (20% of the NRA; lease expiration November
2027), Chanel (20% of the NRA; lease expiration October 2027) and
Tiffany & Co. (12% of the NRA; lease expiration October 2027). The
properties were 97% leased overall as of March 2012 as compared to
95% at the prior review. Moody's LTV and stressed DSCR are 35% and
3.01X, respectively, compared to 40% and 2.76X at last review.
The second largest loan is the Silver Creek Shopping Center Loan
($4.6 million -- 8.7% of the pool), which is secured by 63,365 SF
retail property located in San Jose, California. The property was
74% leased as of March 2012. Moody's LTV and stressed DSCR are 49%
and 2.50X, respectively, compared to 38% and 3.22X at last review.
The third largest loan is the Vista Oaks Apartment Loan ($4.2
million -- 8.0%), which is secured by a 108 unit multifamily
property located in Martinez, California. The property is 94%
leased as March 2012. Moody's LTV and stressed DSCR are 44% and
2.34X, respectively, compared to 50% and 2.04X at last review.
MORGAN STANLEY 2006-7: S&P Lowers Rating on Class IA Notes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
IA notes issued by Morgan Stanley Managed ACES SPC 2006-7, a
synthetic corporate investment-grade CDO.
The downgrade follows a number of credit events of underlying
reference entities, which have caused the notes to incur principal
losses.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING LOWERED
Morgan Stanley Managed ACES SPC Series 2006-7
Rating
Class To From
IA D (sf) CCC- (sf)
OTHER RATING OUTSTANDING
Morgan Stanley Managed ACES SPC Series 2006-7
Rating
IIA D (sf)
MORGAN STANLEY 2007-XLF9: Moody's Cuts Rating on X Certs. to 'B2'
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of seven classes,
downgraded the ratings of one class, and affirmed six classes of
Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through
Certificates, Series 2007-XLF9. Moody's rating action is as
follows:
Cl. A-2, Upgraded to Aa2 (sf); previously on Nov 10, 2011
Downgraded to A1 (sf)
Cl. B, Upgraded to A1 (sf); previously on Nov 10, 2011 Downgraded
to A3 (sf)
Cl. C, Upgraded to A3 (sf); previously on Nov 10, 2011 Downgraded
to Baa2 (sf)
Cl. D, Upgraded to Baa1 (sf); previously on Nov 10, 2011
Downgraded to Baa3 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Nov 10, 2011
Downgraded to Ba2 (sf)
Cl. F, Upgraded to Ba2 (sf); previously on Nov 10, 2011 Downgraded
to B1 (sf)
Cl. G, Upgraded to B1 (sf); previously on Nov 10, 2011 Downgraded
to B3 (sf)
Cl. H, Affirmed at Caa1 (sf); previously on Nov 10, 2011
Downgraded to Caa1 (sf)
Cl. J, Affirmed at Caa2 (sf); previously on Nov 10, 2011
Downgraded to Caa2 (sf)
Cl. K, Affirmed at Caa3 (sf); previously on Nov 10, 2011 Confirmed
at Caa3 (sf)
Cl. L, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. M-RND, Affirmed at C (sf); previously on Dec 17, 2010
Downgraded to C (sf)
Cl. N-RND, Affirmed at C (sf); previously on Dec 17, 2010
Downgraded to C (sf)
RATINGS RATIONALE
The upgrades were due to the payoff of six loans since last review
and future anticipated payoffs. The downgrade was due to the
rating of the interest only class that measures the credit quality
of the pool or WARF which has decreased since last review due to
the loan payoffs at the top of the capital stack. The affirmations
are due to key parameters, including Moody's loan to value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR),
remaining within acceptable ranges.
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 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 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. The model
incorporates the CMBS IO calculator ver1.0 that 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 CMBS IO calculator ver1.0 would provide both a
Baa3 (sf) and Ba1 (sf) IO indication for consideration by the
rating committee.
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
Remittance Statements. 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
presale report dated November 10, 2011.
DEAL PERFORMANCE
As of the July 16, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 58% to $537 million
from $1.3 billion at securitization. Since last review six loans
(50% of the pool balance) paid off in full. The Certificates are
collateralized by six floating-rate mortgage loans ranging in size
from 4% to 72% of the pool.
The pool has not experienced losses to date. As of the July
remittance report, interest shortfalls totaled $729,516 for the
pool hitting Classes J, K, and L. Interest shortfalls to the rake
Classes M-RND and N-RND total $331,372. Interest shortfalls are
caused by special servicing fees, including workout and
liquidation fees, appraisal subordinate entitlement reductions
(ASERs) and extraordinary trust expenses.
Moody's weighed average pooled loan to value (LTV) ratio is 101%
compared to 127% at last review and 66% at securitization. Moody's
pooled stressed DSCR is 1.15X, compared to 1.07X at last review
and 1.58X at securitization.
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. Large
loan transactions generally have a Herf of less than 20. The pool
has a Herf of 1.9, compared to 5.4 at last review.
There are currently four loans in special servicing (90% of pooled
balance) which are the MSREF Resort Portfolio loan (72%), the
Great River Entertainment Complex loan (9%), the Reunion Land loan
(5%), and the Hyatt Place Portfolio loan (4%).
The largest loan, MSREF Resort Portfolio loan ($381.5 million; 72%
of the pooled trust balance) transferred to special servicing in
May 2012 due to the borrower's inability to secure financing upon
maturity (5/9/2012). There is additional debt in the form of two
pari passu components both of 15% securitized in UBS 2007-FL1 and
MS 2007-XLF9 transactions as well as junior non-trust component
and mezzanine debt. The loan is secured by three full-service
resort hotels. Two of the properties, JW Marriott Grand Lakes and
the Ritz-Carlton Grand Lakes, are located in Orlando, Florida on
the same 325 acre grounds and represent 57% of the loan by
allocated balance. The third property, the JW Marriott Desert
Ridge is located in Phoenix, Arizona and represents 43% of the
loan by allocated balance. Total Net cash flow from the portfolio
for 2011 was approximately $33 million, virtually unchanged from
that of 2010. Moody's credit assessment for this loan is Caa3.
The second largest loan is the Great River Entertainment Complex
loan ($48.1 million; 9% of the pooled trust balance) which
transferred to special servicing in April of 2012 due to the
borrower's inability to secure financing upon maturity (6/9/2012).
The loan has been extended until December 2012. The loan is
secured by a 23,700 SF land based casino complex, a Riverboat
casino (1,079 slots, 36 tables); a 250,000 SF amusement park and
185 hotel rooms. A May 2012 appraisal values the collateral at
$70.24 million. There is additional a junior non-trust component
outside of the trust. Moody's pooled LTV is over 100% and stressed
DSCR is 1.22X. Moody's current credit assessment is Caa3.
The Reunion Land loan ($26.6 million; 5% of the pooled trust
balance) was collateralized by approximately 430 acres of land
plus a private 18-hole Traditions golf course of a 2,225 acre
master planned community known as Reunion Resort, located in
Orlando, Florida. However in 2011, the collateral sold for $1.5
million and 25% of the future net proceeds of the sale of the
land. Though the collateral for the Reunion Land loan has been
sold, the note will remain in the trust as a Hope Note through
2015. The loan will incur interest shortfalls for debt service so
long as the notes are outstanding. Moody's credit assessment is C.
Non-pooled Classes M-RND and N-RND are secured by the junior
portion of the Reunion Land Development loan.
The fourth specially serviced loan is the Hyatt Place Portfolio
loan ($22.0 million; 4% of the pooled trust balance) which
transferred to special servicing in February 2010. The loan is
collateralized by four hotels which include the Hyatt Place San
Antonio Airport; Hyatt Place Bush Intercontinental Airport; Hyatt
Place Dallas North Arlington Grand Prairie; and Hyatt Place Austin
Arboretum. The borrower filed for bankruptcy and the plan was
confirmed in April 2011. Moody's pooled LTV is 83.0% and stressed
DSCR is 1.53X. Moody's current credit assessment is B3.
The two remaining loans in the pool are the Westchester Marriott
loan ($28.75 million; 5% of the pooled trust balance) that has a
modified final maturity date of July 2014 and the Herekles Data
Center Loan ($22.9 million; 4% of the pooled trust balance) which
is due December 2012.
MORGAN STANLEY 2012-C5: Moody's Rates Class H Certificates B2(sf)
-----------------------------------------------------------------
Moody's Investors Service has assigned ratings to sixteen classes
of CMBS securities, issued by Morgan Stanley Bank of America
Merrill Lynch Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-C5.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. X-A*, Definitive Rating Assigned Aaa (sf)
Cl. X-B*, Definitive Rating Assigned Aa2 (sf)
Cl. X-C*, Definitive Rating Assigned B1 (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. PST**, Definitive Rating Assigned A1 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned Ba3 (sf)
Cl. H, Definitive Rating Assigned B2 (sf)
* Interest Only Classes
** Class PST represents an interest in 50% of each of the
Class A-S, Class B and Class C trust components
Ratings Rationale
The Certificates are collateralized by 72 fixed rate loans secured
by 98 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.55X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.01X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 102.0% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio, (inclusive of subordinated debt) of 113.0% is also
considered when analyzing various stress scenarios for the rated
debt.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
(includes cross collateralized and cross defaulted loans)
Herfindahl Index is 22.9, which is in-line with other multi-
borrower pools rated by Moody's since 2009. The score is in-line
with previously rated conduit and fusion transactions but higher
than previously rated large loan transactions.
With respect to property level diversity, the pool's property
level Herfindahl score is 23.7. Seven loans (10.8% of the pool
balance) are secured by multiple properties. Loans secured by
multiple properties benefit from lower cash flow volatility given
that excess cash flow from one property can be used to augment
another's cash flow to meet debt service requirements. These loans
also benefit from the pooling of equity from each underlying
property.
Moody's assigned an credit assessment for two loans. Silver Sands
Factory Stores, representing approximately 7.4% of the pool
balance, was assigned a credit assessment of Baa3 and 635 Madison
-- Leased Fee, representing approximately 4.7% of the pool balance
was assigned a credit assessment of Baa3. Loans assigned
investment grade credit assessments are not expected to contribute
any loss to a transaction in low stress scenarios, but are
expected to contribute minimal amounts of loss in high stress
scenarios.
In terms of structure, the transaction contains a unique class.
The initial certificate balance of the class PST certificates is
equal to 50% of the aggregate initial certificate balances of the
Classes A-S, B and C. Moody's considers the probability of
certificate default as well as the estimated severity of loss when
assigning a rating. As a thick vertical tranche, Class PST has the
default characteristics of the lowest rated component certificate
((P) A2), but a very high estimated recovery rate if a default
occurs given the certificate's thickness. Considering both
probability of default and recovery, Moody's provisional
assessment of expected loss for the PST certificate is
commensurate with an A1 rating.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The weighted
average grade for the pool is 1.99, which is better than the
indices calculated in most multi-borrower transactions since 2009.
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 analysis employs the excel-based CMBS Conduit Model v2.61
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator version 1.0 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, or 22%, the model-indicated rating for the currently
rated junior Aaa class would be Aaa, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Moody's Investors Service received and took into account one or
more third party due diligence reports on the underlying assets or
financial instruments in this transaction and the due diligence
reports had a neutral impact on the rating.
N-STAR VI: Fitch Affirms Junk Ratings on Seven Note Classes
-----------------------------------------------------------
Fitch Ratings has affirmed all classes of N-Star REL CDO VI,
Ltd./LLC (N-Star VI) reflecting Fitch's base case loss expectation
of 44.8%. Fitch's performance expectation incorporates
prospective views regarding commercial real estate market value
and cash flow declines.
Since the last rating action, three assets were no longer in the
pool. One loan was repaid in full, while two others were removed
with total realized losses of approximately $12 million. Total
paydown to classes A-1 and A-R was $15.7 million. As of the June
2012 trustee report, all overcollateralization and interest
coverage tests were in compliance.
The commercial real estate loan portion of the collateral pool is
made up of 40% of whole loans/A-notes, 19.8% mezzanine debt, 13.2%
B-notes, and 4.5% preferred equity. The rated securities portion
of the collateral pool comprises 11.4% commercial real estate
collateralized debt obligations (CRE CDO) and 7.7% commercial
mortgage-backed securities (CMBS). The weighted average Fitch-
derived rating of the rated securities has remained at 'B-/CCC+'
since the last rating action.
Defaulted assets make up 4.7% of the pool and include two CMBS
bonds (3.4%) and two preferred equity positions (1.3%). An
additional five loans (11.1%) were identified as Loans of Concern
and include three whole loans/A-notes (8.2%), one B-note (2.4%),
and one mezzanine loan (0.5%). Fitch modeled significant to full
losses on the defaulted assets and Loans of Concern.
Under Fitch's surveillance methodology, approximately 62.5% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 7.1% from, generally, year-end 2011 or
trailing 12-month first quarter 2012. Fitch estimates that average
recoveries will be low at 28.3%.
The largest component of Fitch's base case loss expectation is the
modeled loss on the rated securities portion of the collateral
(19.1% of the pool).
The next largest component of Fitch's base case loss expectation
is an A-note (5.1%) secured by over 2,000 acres of land located in
the Pocono Mountains of Pennsylvania. The initial business plan
was to develop the site in multiple phases, but due to economic
downturn, the plan was not realized. Fitch modeled a term default
with a significant loss under its base case stress scenario.
The third largest component of Fitch's base case loss expectation
is a B-note (3.5%) secured by a 480-unit multifamily property
located in Atlanta, Georgia. The property has lagged the market
in terms of occupancy and rent. Current property cash flow is
insufficient to cover debt service. Fitch modeled a term default
with a significant loss under its base case stress scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'.
Based on this analysis, the breakeven rates for classes A-1, A-R,
and A-2 are generally consistent with the ratings assigned below.
The Stable Outlooks on classes A-1 and A-R reflect the classes'
senior position in the capital structure. The Negative Outlook on
class A-2 reflects the expectation for further potential negative
credit migration of the underlying collateral.
The 'CCC' ratings for classes B through H are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern factoring in anticipated
recoveries relative to each class' credit enhancement.
N-Star VI was initially issued as a $450 million CRE CDO managed
by NS Advisors, LLC. The transaction had a five-year reinvestment
period during which principal proceeds may be used to invest in
substitute collateral that ended in June 2011. In November 2009,
$8 million of notes were surrendered to the trustee for
cancellation.
Fitch has affirmed the following classes as indicated:
-- $163,606,848 class A-1 at 'BBsf; Outlook Stable;
-- $65,517,616 class A-R at 'BBsf; Outlook Stable;
-- $27,225,000 class A-2 at 'Bsf'; Outlook Negative;
-- $21,825,000 class B at 'CCCsf'; RE 25%;
-- $11,775,000 class C at 'CCCsf'; RE 0%;
-- $10,000,000 class D at 'CCCsf; RE 0%;
-- $10,125,000 class E at 'CCCsf; RE 0%;
-- $7,650,000 class F at 'CCCsf; RE 0%;
-- $6,900,000 class G at 'CCCsf; RE 0%;
-- $6,075,000 class H at 'CCCsf; RE 0%.
N-STAR VIII: Fitch Junks Rating on 2 Note Classes from 'Bsf'
------------------------------------------------------------
Fitch Ratings has downgraded three and affirmed 12 classes of N-
Star REL CDO VIII, Ltd./LLC (N-Star VIII) reflecting Fitch's base
case loss expectation of 47.4%. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market value and cash flow declines.
The transaction exited its reinvestment period in February 2012.
Since the last rating action, six assets were no longer in the
pool. One asset was repaid in full, while five others were
removed with total realized losses of approximately $48 million.
Eleven new assets were added to the pool with total built par of
approximately $37 million.
Since the last rating action, total paydown to classes A-1 and A-R
was $4.4 million. As of the July 2012 trustee report, all
overcollateralization and interest coverage tests were in
compliance.
The commercial real estate loan portion of the collateral pool is
made up of 54.3% whole loans/A-notes, 24.1% mezzanine debt, 7.7%
preferred equity, and 2.5% B-notes. The rated securities portion
of the collateral pool comprises 7.8% commercial real estate
collateralized debt obligations (CRE CDO) and 2.6% commercial
mortgage-backed securities (CMBS). The rated securities have a
weighted average Fitch-derived rating of 'CCC+/CCC' compared to
'CCC/CCC-' at the last rating action.
Defaulted assets make up 3% of the pool and include one CMBS bond
(2.4%) and one CRE CDO bond (0.7%). An additional 14 loans
(39.4%) were identified as Loans of Concern and include eight
whole loans/A-notes (29.5%), two B-notes (2%), and four mezzanine
loans (7.9%). Fitch modeled significant to full losses on the
defaulted assets and Loans of Concern.
Under Fitch's surveillance methodology, approximately 86.8% of the
portfolio is modeled to default in the base case stress scenario,
defined as the 'B' stress. In this scenario, the modeled average
cash flow decline is 7.4% from, generally, year-end 2011 or
trailing 12-month first quarter 2012). Fitch estimates that
average recoveries will be moderate at 45.3%.
The largest component of Fitch's base case loss expectation is the
modeled loss on the rated securities portion of the collateral
(10.4% of the pool).
The next largest component of Fitch's base case loss expectation
is a mezzanine loan (6.2%) secured by interests in a 2.2 million
square foot office complex located in Chicago, Illinois. Although
current occupancy is greater than 90% and performance has been
relatively stable, the property cash flow does not support debt
service on a stressed basis. Fitch modeled a term default with a
full loss under the base case stress scenario.
The third largest component of Fitch's base case loss expectation
is a mezzanine loan (4.2%) secured by interests in a portfolio of
12 retail properties located in Phoenix, Arizona. Fitch modeled a
term default with a full loss under its base case scenario due to
the loan's high leverage under Fitch's base case stress scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'. Based
on this analysis, the breakeven rates for classes A-1, A-R, A-2,
and B are generally consistent with the ratings assigned below.
The Negative Outlook on classes A-1, A-R, A-2, and B reflects the
expectation for further potential negative credit migration of the
underlying collateral.
The 'CCC' and below ratings for classes C through N are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern factoring in anticipated
recoveries relative to each class' credit enhancement.
N-Star VIII was initially issued as a $900 million CRE CDO managed
by NS Advisors, LLC. The transaction has a five-year reinvestment
period during which principal proceeds may be used to invest in
substitute collateral. The reinvestment period ends in February
2012. In November 2009, $31.1 million of notes were surrendered
to the trustee for cancellation.
Fitch has downgraded the following classes as indicated:
-- $60,300,000 class B to 'Bsf' from 'BBsf'; Outlook Negative;
-- $24,300,000 class C to 'CCCsf' from 'Bsf'; RE 0%;
-- $17,100,000 class D to 'CCCsf' from 'Bsf'; RE 0%;
In addition, Fitch has affirmed the following classes as
indicated:
-- $98,778,422 class A-1 at 'BBBsf'; Outlook Negative;
-- $256,823,897 class A-R at 'BBBsf'; Outlook Negative;
-- $103,050,000 class A-2 at 'BBsf'; Outlook Negative;
-- $22,050,000 class E at 'CCCsf'; RE 0%;
-- $25,200,000 class F at 'CCCsf'; RE 0%;
-- $9,100,000 class G at 'CCCsf'; RE 0%;
-- $20,700,000 class H at 'CCCsf'; RE 0%;
-- $12,000,000 class J at 'CCCsf'; RE 0%;
-- $18,900,000 class K at 'CCCsf'; RE 0%;
-- $22,050,000 class L at 'CCCsf'; RE 0%;
-- $14,850,000 class M at 'CCCsf'; RE 0%;
-- $22,500,000 class N at 'CCCsf'; RE 0%.
NOMURA HOME: Moody's Raises Rating on Cl. M-4 Tranche to 'B3'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on two tranches
and confirmed the rating on one tranche from two subprime RMBS
transactions issued by Nomura Home Equity Loan Trust.
Complete rating actions are as follows:
Issuer: Nomura Home Equity Loan Trust 2005-HE1
Cl. M-3, Upgraded to Baa2 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to B3 (sf); previously on May 30, 2012 Caa2 (sf)
Placed Under Review for Possible Upgrade
Issuer: Nomura Home Equity Loan Trust 2006-HE1
Cl. A-4, Confirmed at Baa3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades in the rating action are
a result of improving performance and/or structural features
resulting in lower expected losses for certain bonds than
previously anticipated.
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.
Moody's adjusts the methodologies noted above for Moody's current
views 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.
To assess the rating implications of the updated loss levels on
subprime 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
comprising 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 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.1% in June 2011 to 8.2% in June 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also 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_SF294302
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
PACIFICA CDO VI: S&P Raises Rating on Class D to 'BB'; Off Watch
----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on the
class A-1a and A-1c notes issued by Pacifica CDO VI Ltd., a U.S.
collateralized loan obligation (CLO), by lowering them to 'AA+
(sf)'. "Due to an error, we had raised these ratings to 'AAA (sf)'
from 'AA (sf)' on Feb. 9, 2011, instead of to 'AA+ (sf)'. In
addition, we raised our ratings on the class A-2, B, C-1, C-2, and
D notes and removed the ratings on the class B, C-1, C-2, and D
notes from CreditWatch, where we placed them with positive
implications on April 18, 2012. We affirmed our rating on the
class A-1b notes," S&P said.
"The upgrades of the class A-2, B, C-1, C-2, and D notes reflect
improving credit support, primarily due to a $10.13 million
increase in the total par of assets backing the rated liabilities.
In addition, we have seen stronger credit quality of the assets
since our February 2011 rating actions. The rating affirmation
reflects sufficient credit enhancement at the current rating
level," S&P said.
"As of the June 29, 2012, monthly report, the transaction's
portfolio had $13.69 million in 'CCC' rated assets, down from
$27.54 million in the Jan. 3, 2011, monthly report, which we used
for the February 2011 rating actions. When calculating the
overcollateralization (O/C) ratios, the O/C numerator is haircut
by a portion of the 'CCC' rated collateral that exceed the
threshold specified in the transaction documents. The transaction
has not breached this threshold during the time since our February
2011 rating actions. Therefore, there is no haircut in the June
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 June 2012 trustee report, the transaction held
$9.51 million in defaulted assets, down from $12.82 million in the
January 2011 trustee report," S&P said.
In addition, there has been a $10.13 million increase in total par
backing the rated liabilities since January 2011.
"As a result, the transaction has seen an improvement in the class
A, B, C, and D O/C ratio tests over this same period, and the
weighted average spread has increased by 0.46%," S&P said.
"Standard & Poor's notes that the transaction is currently passing
its reinvestment O/C test and is in its reinvestment period until
August 2013. The transaction is structured such that failure of
this test will, during the transaction's reinvestment period,
divert a specified amount of excess interest proceeds - equal to
the lesser of 50.00% of the available interest proceeds and the
amount necessary to cure the test. This amount is to be deposited
into the principal collection account as principal proceeds, which
may be used to reinvest into additional collateral. The
transaction has not failed this test in the period since our
February 2011 rating actions. According to the June 2012 trustee
report, the reinvestment O/C test result was 104.95%, compared
with a required minimum of 102.10%," 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," 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 CORRECTED
Pacifica CDO VI Ltd.
Rating
Class To From
A-1a AA+ (sf) AAA (sf)
A-1c AA+ (sf) AAA (sf)
RATING AND CREDITWATCH ACTIONS
A-2 AA+ (sf) AA (sf)
B A+ (sf) A- (sf)/Watch Pos
C-1 BBB- (sf) BB+ (sf)/Watch Pos
C-2 BBB- (sf) BB+ (sf)/Watch Pos
D BB (sf) CCC- (sf)/Watch Pos
RATING AFFIRMED
Pacifica CDO VI Ltd.
Class Rating
A-1b AAA (sf)
POTOMAC SYNTHETIC: Moody's Lifts Rating on US$31MM Notes to Caa1
----------------------------------------------------------------
Moody's Investors Service took the following rating action on
Potomac Synthetic CDO 2007-1, a collateralized debt obligation
transaction (the "Collateralized Synthetic Obligation" or "CSO").
The CSO references a portfolio of synthetic corporate bonds.
U.S. $31,000,000 Class 10B-1 Floating Rate Notes Due 2017,
Upgraded to Caa1 (sf); previously on Oct 28, 2009 Downgraded to
Caa3 (sf)
Ratings Rationale
Moody's rating action is the result of the shortened time to
maturity of the CSO and the level of credit enhancement remaining
in the transaction. Furthermore, since the last rating action in
October 2009, there had been two credit events, CIT Group Inc. and
Cemex, S.A.B. de C.V., for which the transaction recovered higher
than assumed in the last rating action. In addition to these
positive factors are the stable credit quality of the reference
portfolio and the decrease in the percentage of Caa1 and below
reference entities. Currently, 1.64% of the reference pool is
rated Caa1 and below, compared to 4.53% at the last rating action.
Since the last rating review in October 2009, the ten year
weighted average rating factor (WARF) of the portfolio marginally
increased from 602 to 637, excluding settled credit events. The
credit quality of the portfolio continues to remain stable with
6.56% of the portfolio rated B1 or below, compared to 9.33% from
the last review. 17.6% of reference entities have a negative
outlook compared to 6.4% that are positive, and 4.7% of reference
entities on watch for downgrade compared to none on watch for
upgrade.
The portfolio has experienced eight credit events, equivalent to
8.5% of the portfolio based on the portfolio notional value at
closing. Since inception, the subordination of the rated tranche
has been reduced by 3.79% due to credit events on Cemex, S.A.B. de
C.V., CIT Group Inc., Federal Home Loan Mortgage Corporation,
Federal National Mortgage Association, Glitnir banki hf,
Landsbanki Islands hf, Lehman Brothers Holdings Inc. and
Washington Mutual, Inc.
The CSO has a remaining life of 4.9 years.
The principal methodology used in this rating was "Moody's
Approach to Rating Corporate Collateralized Synthetic Obligations"
published in September 2009.
Moody's analysis for this transaction is based on CDOROM v2.8.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are given in terms
of the number of notches' difference versus the base case, where
higher notches correspond to lower expected losses, and vice-
versa:
* Moody's reviews a scenario consisting of reducing the maturity
of the CSO by six months, keeping all other things equal. The
result of this run is comparable to that of the base case.
* Market Implied Ratings ("MIRS") are modeled in place of the
corporate fundamental ratings to derive the default probability of
the reference entities in the portfolio. The gap between an MIR
and a Moody's corporate fundamental rating is an indicator of the
extent of the divergence in credit view between Moody's and the
market. The result of this run is two notches lower than in the
base case.
* Moody's performs a stress analysis consisting of defaulting all
entities rated Caa3 and below. The result of this run is
comparable to that of the base case.
* Moody's conducts a sensitivity analysis consisting of notching
down by one the ratings of reference entities in the Banking,
Finance, and Real Estate sectors. The result from this run is one
notch below the one modeled under the base case.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Corporate Synthetic
Obligations", key model inputs used by Moody's in its analysis may
be different from the manager/arranger's reported numbers. In
particular, rating assumptions for all publicly rated corporate
credits in the underlying portfolio have been adjusted for "Review
for Possible Downgrade", "Review for Possible Upgrade", or
"Negative Outlook".
Moody's does not run a separate loss and cash flow analysis other
than the one already done by the CDOROM model. For a description
of the analysis, refer to the methodology and the CDOROM user's
guide on Moody's website.
Moody's analysis of CSOs is subject to uncertainties, the primary
sources of which include complexity, governance and leverage.
Although the CDOROM model captures many of the dynamics of the
Corporate CSO structure, it remains a simplification of the
complex reality. Of greatest concern are (a) variations over time
in default rates for instruments with a given rating, (b)
variations in recovery rates for instruments with particular
seniority/security characteristics and (c) uncertainty about the
default and recovery correlations characteristics of the reference
pool. Similarly on the legal/structural side, the legal analysis
although typically based in part on opinions (and sometimes
interpretations) of legal experts at the time of issuance, is
still subject to potential changes in law, case law and the
interpretations of courts and (in some cases) regulatory
authorities. The performance of this CSO is also dependent on on-
going decisions made by one or several parties, including the
Manager and the Trustee. Although the impact of these decisions is
mitigated by structural constraints, anticipating the quality of
these decisions necessarily introduces some level of uncertainty
in Moody's assumptions. Given the tranched nature of CSO
liabilities, rating transitions in the reference pool may have
leveraged rating implications for the ratings of the CSO
liabilities, thus leading to a high degree of volatility. All else
being equal, the volatility is likely to be higher for more junior
or thinner liabilities.
The base case scenario modeled fits into the central macroeconomic
scenario predicted by Moody's of a sluggish recovery scenario in
the corporate universe. Should macroeconomics conditions evolve,
the CSO ratings will change to reflect the new economic
developments.
PPLUS TRUST RRD-1: S&P Lowers Ratings on 2 Cert. Classes to 'BB'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on PPLUS
Trust Series RRD-1's $60 million class A and B trust certificates
to 'BB' from 'BB+'.
"Our ratings on the class A and B trust certificates depend on our
rating on the underlying security, R.R. Donnelley & Sons Co.'s
6.625% debentures, due April 15, 2029 ('BB')," S&P said.
"The rating actions reflect the Aug 1, 2012, lowering of the
underlying security to 'BB' from 'BB+'. We may take subsequent
rating actions on the units due to changes in our rating on the
underlying security," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RESOURCE REAL 2006-1: Fitch Affirms Junk Rating on 6 Note Classes
-----------------------------------------------------------------
Fitch Ratings has upgraded four classes of Resource Real Estate
Funding CDO 2006-1 Ltd./LLC (RRE 2006-1) reflecting Fitch's base
case loss expectation of 37.4%. The upgrades are due to increases
in credit enhancement for the more senior classes and the addition
of assets with higher recovery rates. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market values and cash flow declines.
Since Fitch's last ratings action and as of the July 2012 trustee
report, the disposal of three assets resulted in minimal realized
losses to par of $1.4 million. Per the current trustee reporting,
the transaction passes all interest coverage and
overcollateralization tests.
Per Fitch categorizations, commercial real estate loans (CREL)
comprise approximately 89% of the collateral of the CDO.
Approximately 78% of the CREL are whole loans or A-notes with the
remainder B-notes or mezzanine loans. CMBS/CDO collateral
represents 11% of the total collateral. Since Fitch's last rating
action, the weighted average Fitch-derived rating for the
underlying rated collateral remained unchanged at 'B-/CCC+'.
Defaulted assets (including both CREL and CMBS/CDO collateral)
totaled 3.4%, while assets of concern totaled 30.9%.
Under Fitch's methodology, approximately 85% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 8.6% from generally the trailing 12 months ended March
31, 2012. Modeled recoveries have improved from Fitch's last
rating action to approximately 56%.
The largest contributor to Fitch's base case loss expectation is a
junior mezzanine position (9.4%) associated with a portfolio of 12
luxury resorts and hotels consisting of 4,742 keys located in
beachfront and waterfront locations, including Puerto Rico,
Jamaica, Florida, Arizona, and California. Three of the hotels
within the portfolio are located in Puerto Rico and contain a
casino/gaming component. Performance overall is significantly
below issuance expectations and the loan transferred to the
special servicer in April 2012 in advance of its June 2012
maturity. The special servicer has entered into a 90-day
forbearance agreement which is set to expire today, Aug. 9, 2012.
Fitch modeled a full loss in its base case scenario.
The next largest component of Fitch's base case loss expectation
is the modeled losses on the CMBS/CDO bond collateral, nearly all
of which is rated speculative grade.
The transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'. The
breakeven rates for classes A-1 through D notes are generally
consistent with the ratings listed below. Fitch also performed a
sensitivity analysis, which assumed all loans experience a term
default, as well as applied additional cash flow stresses. Under
this scenario, the credit enhancement for the classes was
consistent with the ratings listed below.
The 'CCC' and 'CC' ratings for classes E through K are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to the credit enhancement of each class.
The Stable Outlooks on classes A-1 through D reflect the classes'
senior position in the capital structure and the substantial
credit enhancement to the classes.
Resource Real Estate, Inc. is the collateral asset manager for the
transaction. The CDO's reinvestment period ended in August 2011.
Fitch upgrades the following classes as indicated:
-- $106.2 million class A-1 to 'Asf' from 'BBBsf'; Outlook
Stable;
-- $5 million class A-2 FX to 'BBBsf' from 'BBsf'; Outlook
Stable;
-- $17.4 million class A-2 FL to 'BBBsf' from 'BBsf'; Outlook
Stable;
-- $13 million class C to 'BBsf' from 'Bsf'; Outlook Stable.
Fitch affirms the following classes and revises Recovery Estimates
(REs) as indicated:
-- $10 million class D at 'Bsf'; Outlook Stable;
-- $13.7 million class E at 'CCCsf'; RE 100%;
-- $14.6 million class F at 'CCCsf'; RE 60%;
-- $17.3 million class G at 'CCCsf'; RE 0%;
-- $12.9 million class H at 'CCCsf'; RE 0%;
-- $14.7 million class J at 'CCCsf'; RE 0%;
-- $28.5 million class K at 'CCsf'; RE 0%.
Fitch previously withdrew its ratings of class B following the
full surrender of those certificates. Fitch does not rate the
$36.3 million preferred shares.
RESOURCE REAL 2007-1: Fitch Affirms Junk Rating on 9 Note Classes
-----------------------------------------------------------------
Fitch Ratings has affirmed the remaining classes of Resource Real
Estate Funding CDO 2007-1 Ltd./LLC (RRE 2007-1), reflecting
Fitch's base case loss expectation of 33.1%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market values and cash flow declines.
In June 2012, the balance of the class A-1R notes was reduced to
zero. The class was a revolving class with $50 million available,
which was not drawn upon; the class was subsequently retired.
Since Fitch's last ratings action and as of the July 2012 trustee
report, the disposal of 10 assets resulted in minimal realized
losses to par of $1.2 million. In addition, 12 assets were added,
which included eight whole loans (par balance of $100.3 million)
and four investment-grade CMBS positions (par balance of $20
million). Per the current trustee reporting, the transaction
passes all interest coverage and overcollateralization tests.
Per Fitch categorizations, commercial real estate loans (CREL)
comprise approximately 80% of the collateral of the CDO.
Approximately 90% of the CREL are whole loans or A-notes with the
remainder mostly mezzanine loans. CMBS collateral represents 20%
of the total collateral. Since Fitch's last ratings action, the
weighted average Fitch derived rating for the underlying rated
collateral remained effectively unchanged at 'B+', compared with
'B+/B' at Fitch's last review. Defaulted assets (including both
CREL and CMBS collateral) totaled 2.7%, while assets of concern
totaled 11.2%.
Under Fitch's methodology, approximately 75% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. In this scenario, the modeled average cash flow
decline is 12.9% from generally the trailing-12 months ended March
31, 2012. Modeled recoveries have improved from Fitch's last
ratings action to approximately 56%.
While the largest component of Fitch's base case loss expectation
is the modeled losses on the CMBS collateral, the second largest
component is a whole loan (6.8%) secured by a multifamily property
in Renton, WA. While occupancy at the property continues to
improve, cash flow remains insufficient to cover debt service.
Despite this, shortfalls have been funded by the borrower and the
loan remains current. Fitch modeled a substantial loss in its base
case scenario on this loan.
The next largest contributor to Fitch's base case loss expectation
is a whole loan (4%) secured by a multi-tenanted office building
in Phoenix, AZ. Occupancy at the property suffered after a failed
conversion to condominiums. Fitch modeled a substantial loss in
its base case scenario on this loan.
The transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'.
The breakeven rates for class A-1 did not pass the cash flow model
under the various scenarios at the rating listed below due in part
to hedge payments comprising a significant portion of available
interest proceeds and in part because several new assets were run
at higher cash flow stresses given limited reported operating
history. Fitch anticipates at next review these assets will have
demonstrated track records. The breakeven rates for classes A-2
through C generally pass the cash flow model at the ratings listed
below. The Outlook remains Negative on classes A-1 through C due
to uncertainty regarding the future cash flow from the new assets.
Fitch also performed a sensitivity analysis, which assumed all
loans experience a term default, as well as applied additional
cash flow stresses. Under this scenario, the credit enhancement
for the classes was generally consistent with the ratings listed
below.
The 'CCC' and 'CC' ratings for classes D through M are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to the credit enhancement of each class.
Resource Real Estate, Inc. is the collateral asset manager for the
transaction. The CDO's reinvestment period ended in June 2012.
Fitch affirms the following classes and revises Recovery Estimates
(REs) as indicated:
-- $179.5 million class A-1 at 'BBBsf'; Outlook Negative;
-- $57.5 million class A-2 at 'BBsf'; Outlook Negative;
-- $15 million class B at 'Bsf'; Outlook Negative;
-- $7 million class C at 'Bsf'; Outlook Negative;
-- $26.8 million class D at 'CCCsf'; RE 0%;
-- $11.9 million class E at 'CCCsf'; RE 0%;
-- $5.4 million class F at 'CCCsf'; RE 0%;
-- $5 million class G at 'CCCsf'; RE 0%;
-- $625,000 class H at 'CCCsf'; RE 0%;
-- $11.3 million class J at 'CCCsf'; RE 0%;
-- $10 million class K at 'CCCsf'; RE 0%;
-- $18.8 million class L at 'CCCsf'; RE 0%;
-- $28.8 million class M at 'CCsf'; RE 0%.
Fitch has withdrawn its rating on class A-1R since the balance of
the class was reduced to zero. Fitch does not rate the $41.3
million preferred shares.
RFC CDO 2007-1: Moody's Lifts Ratings on 2 Note Classes to 'Ba3'
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Moody's Investors Service has upgraded two and affirmed 12 classes
of Notes issued by RFC CDO 2007-1 Ltd. (f/k/a CBRE Realty Finance
CDO 2007-1, LTD.). The upgrades are due to greater than expected
amortization resulting in approximately $157.8 million of paydown
to the top two classes since last review. Additionally, the
underlying collateral performance has been relatively stable as
evidenced by transition in Moody's weighted average rating factor
(WARF) and weighted average recovery rate (WARR) since last
review. The affirmations are due to key transaction parameters
performing within levels commensurate with the existing ratings
levels. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation and collateralized loan obligation (CRE CDO CLO)
transactions.
Moody's rating action is as follows:
Cl. A-1, Upgraded to Ba3 (sf); previously on Sep 9, 2010
Downgraded to B2 (sf)
Cl. A-1R, Upgraded to Ba3 (sf); previously on Sep 9, 2010
Downgraded to B2 (sf)
Cl. A-2, Affirmed at Caa3 (sf); previously on Sep 9, 2010
Downgraded to Caa3 (sf)
Cl. A-2R, Affirmed at Caa3 (sf); previously on Sep 9, 2010
Downgraded to Caa3 (sf)
Cl. B, Affirmed at Ca (sf); previously on Sep 9, 2010 Downgraded
to Ca (sf)
Cl. C, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. D, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. E, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. F, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. G, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. H, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. J, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Cl. L, Affirmed at C (sf); previously on Sep 9, 2010 Downgraded to
C (sf)
Ratings Rationale
RFC CDO 2007-1 Ltd. is a static CRE CDO transaction backed by a
portfolio A-Notes and whole loans (40.3% of the pool balance), B-
Notes (16.2%), commercial mortgage backed securities (CMBS)
(37.6%), CRE CDO (0.9%), mezzanine loans (3.9%), and asset backed
securities (1.1%). As of the July 9, 2012 payment date, the
aggregate Note balance of the transaction, including Incoime Notes
and deferred interest, has decreased to $696.8 million from $1
billion at issuance, with the paydown directed to the Class A-1
and A-1R Notes, as a result of the combination of principal
repayment of collateral, resolution and sales of defaulted
collateral and credit risk collateral, and failing the par value
tests. Currently, the transaction is under-collateralized by
$232.0 million (23.2% of original aggregate note balance, compared
to 18% at last review) primarily due to realized losses.
There are thirty-five assets with par balance of $289.9 million
(62.4% of the current pool balance) that are considered defaulted
interest as of the July 9, 2012 payment date (two of those
defaulted interests (11.4%) were returned to the master servicer
after loan modifications), compared to thirty-one defaulted
interest totaling $294.5 million par amount at last review.
Moody's does expect significant losses to occur from these
Defaulted Interest once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: 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 assessments for the non-Moody's rated
collateral. The bottom-dollar WARF is a measure of the default
probability within a collateral pool. Moody's modeled a bottom-
dollar WARF of 7,392 compared to 7,778 at last review. The current
distribution of Moody's rated collateral and assessments for non-
Moody's rated collateral is as follows: Aaa-Aa3 (3.0% compared to
0.0% at last review), Baa1-Baa3 (0.5% compared to 0.4% at last
review), Ba1-Ba3 (1.5% compared to 1.4% at last review), B1-B3
(8.2% compared to 2.4% at last review), and Caa1-Ca/C (86.8%
compared to 95.8% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 3.3 years compared
to 2.7 at last review. The current WAL assumption is based on the
assumption about extensions.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed 24.5%
WARR compared to 29.4% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100%, the same as at last review.
Moody's review incorporated CDOROM(R)v2.8, one of Moody's CDO
rating models, which was released on January 24, 2011.
The cash flow model, CDOEdge(R)v3.2.1.2, 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. Holding all
other key parameters static, changing the recovery rate assumption
down from 24.5% to 14.5% or up to 34.5% would result in average
rating movement on the rated tranches of 0 to 2 notches downward
and 0 to 10 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of 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.
SANTANDER DRIVE 2012-5: Moody's Rates Class E Notes '(P)Ba2(sf)'
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Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2012-
5 (SDART 2012-5). This is the fifth public subprime transaction of
the year for Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2012-5
Cl. A-1, Assigned (P)P-1 (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa1 (sf)
Cl. C, Assigned (P)A1 (sf)
Cl. D, Assigned (P)Baa2 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Ratings Rationale
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SCUSA as
servicer.
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. Auto Loan-Backed Securities," published in
May 2011.
Moody's median cumulative net loss expectation for the SDART 2012-
5 pool is 14.50% and the Aaa level is 48.00%. The loss expectation
was based on an analysis of SCUSA's portfolio vintage performance
as well as performance of past securitizations, and current
expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of the investment
grade rated parent, Banco Santander (Baa2 rating under review for
possible downgrade /P-2 rating under review for possible
downgrade). In addition, the securitization documents include a
provision that requires the appointment of a back-up servicer in
the event that the rating on Banco Santander is downgraded below
Baa3.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 19.5%, 26.0% or
29.5%, the initial model output for the Class A notes might change
from Aaa to Aa1, A1, and Baa1, respectively. If the net loss used
in determining the initial rating were changed to 15.5%, 19.5% or
22.5%, the initial model output for the Class B notes might change
from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used
in determining the initial rating were changed to 14.75%, 17.0% or
20.75%, the initial model output for the Class C notes might
change from A1 to A2, Baa2, and Ba2, respectively. If the net loss
used in determining the initial rating were changed to 14.75%,
17.5% or 20.0%, the initial model output for the Class D notes
might change from Baa2 to Baa3, Ba3, and B3 respectively. If the
net loss used in determining the initial rating were changed to
14.75%, 17% or 18.25%, the initial model output for the Class E
notes might change from Ba2 to Ba3, B3, and
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Additional research including a pre-sale report for this
transaction is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for
Structured Finance Securities" and "V Scores and Parameter
Sensitivities in the U.S. Vehicle ABS Sector" are also available
on moodys.com.
SANTANDER DRIVE 2012-5: S&P Rates $27.8MM Class E Notes 'BB+'
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Standard & Poor's Ratings Services assigned its preliminary
ratings to Santander Drive Auto Receivables Trust 2012-5's
$827.12 million automobile receivables-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of Aug. 6,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
- The availability of 50.33%, 43.64%, 35.12%, 29.69%, and 26.22%
of credit support for the class A, B, C, D, and E notes, based
on stress cash flow scenarios (including excess spread), which
provide coverage of more than 3.5x, 3.0x, 2.3x, 1.75x, and
1.6x S&P's 13.00%-14.00% expected cumulative net loss.
- The timely interest and principal payments made under stress
cash flow modeling scenarios appropriate to the assigned
preliminary ratings.
- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings on the class A, B,
and C notes will remain within one rating category of the
assigned preliminary ratings during the first year, and S&P's
ratings on the class D and E notes will remain within two
rating categories of the assigned preliminary ratings, which
is within the outer bounds of S&P's credit stability
criteria.
- The originator/servicer's history in the subprime/specialty
auto finance business.
- S&P's analysis of six years of static pool data on Santander
Consumer USA Inc.'s lending programs.
- The transaction's payment/credit enhancement and legal
structures.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111758.pdf
Preliminary Ratings Assigned
Santander Drive Auto Receivables Trust 2012-5
Class Rating Type Interest Amount
rate(i) (mil. $)(i)
A-1 A-1+ (sf) Senior Fixed 122.80
A-2 AAA (sf) Senior Fixed 265.00
A-3 AAA (sf) Senior Fixed 136.50
B AA (sf) Subordinate Fixed 97.18
C A (sf) Subordinate Fixed 108.47
D BBB (sf) Subordinate Fixed 70.05
E BB+ (sf) Subordinate Fixed 27.12
(i) The interest rates and actual sizes of these tranches will be
determined on the pricing date.
SBA TOWER: Moody's Assigns Ratings to Class C Securities
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Moody's Investors Service has assigned definitive ratings to the
Series 2012-1, Class C Secured Tower Revenue Securities (the 2012
Securities), issued by SBA Tower Trust (the Issuer or the Trust).
The transaction sponsor is SBA Communications Corporation (SBA,
Ba3), one of the leading non-carrier owner/operators of wireless
tower assets in the United States. The 2012 Securities have an
anticipated repayment date (ARD) in December 2017 and a final
distribution date in December 2042. In addition, Moody's announced
that the issuance of the 2012 Securities and certain amendments to
the Loan Agreement and the Management Agreement, at this time, in
and of themselves, will not result in a reduction, withdrawal, or
placement under review for possible downgrade of the ratings
currently assigned to any outstanding series of certificates
issued by the Issuer.
The complete rating actions are as follows:
Issuer: SBA Tower Trust
$610,000,000 Class C Secured Tower Revenue Securities, Series
2012-1, rated A2 (sf)
The Issuer has the ability to issue multiple series of securities,
and to date has issued four series other than the 2012 Securities,
of which two are still outstanding: $680,000,000 Series 2010-1,
Class C Securities with an ARD of April 2015 and $550,000,000
Series 2010-2, Class C Securities, with an ARD of April 2017
(together, the Existing Securities, and together with the 2012
Securities, the Securities). The 2012 Securities rank pari passu
with the Existing Securities.
RATINGS RATIONALE
The Securities represent interests in a Mortgage Loan made by the
Issuer to the Borrowers, all wholly owned indirect subsidiaries of
SBA. The Borrowers own tower sites that are leased to a variety of
users, primarily major wireless telephony carriers. The cash flows
from those leases will be used to repay the Mortgage Loan and
therefore the Securities. Following the issuance of the 2012
Securities the total amount of the Mortgage Loan is
$1,840,000,000. As of closing, the Borrowers own 5,152 tower
sites, of which 1,534 tower sites were added in conjunction with
the issuance of the 2012 Securities. As of June 2012 this tower
pool had an annualized run rate net cash flow of approximately
$276.4 million.
The ratings of the 2012 Securities are derived from an assessment
of the present value of the net cash flow that the tower pool is
anticipated to generate from space licenses (leases) on the
towers, compared to the cumulative debt being issued at each
rating category. Moody's assessed value for the tower pool was
approximately $2.925 billion. The cumulative-loan-to-value (CLTV)
ratio of all outstanding Class C securities was approximately
62.9%. The CLTV ratio reflects the CLTV ratio of the combined
amounts of the 2012 Securities and the Existing Securities. See
Principal Methodology below for details on the assumptions applied
to arrive at Moody's assessed value.
Finally, it should be noted that Moody's ratings address only the
credit risks associated with the transaction. Other non-credit
risks, such as those associated with repayment on the ARD, the
timing of any principal prepayments, the payment of prepayment
penalties and the payment of Post-ARD Additional Interest have not
been addressed and may have a significant effect on yield to
investors.
LOAN AND SECURITY AGREEMENT AND MANAGEMENT AGREEMENT AMENDED
In addition, in conjunction with the Issuance of the 2012
Securities, the Issuer amended the Loan and Security Agreement
governing the Mortgage Loan underlining the Securities.
Specifically, the amendment allow three of the borrowers, which
are currently incorporated in Florida, to convert to a Delaware
limited liability companies and to do so without the need to
obtain a further rating agency confirmation for such conversion at
that time, subject to certain conditions and so long as the
conversion take place prior to January 31, 2013. Finally, the
Issuer amended the Management Agreement so that "Operating
Revenue" which are the basis for the manager's fee would exclude
operating revenue received from a tenant as reimbursement for
operating expenses. This latter amendment is being made to address
net lease towers acquired from Mobilitie, under which the tenant
reimburses the tower owner for operating expenses.
In assessing the potential impact of each of the amendments,
Moody's focused on the following factors. For the amendment of the
Loan Agreement Moody's reviewed the form of the Delaware LLC
incorporation documents which are consistent with other Delaware
LLC bankruptcy remote documents; Moody's considered the fact that
prior to the conversion, relevant legal opinions will be delivered
to the Lender and the conversion is contingent on those opinions
being deemed reasonably satisfactory to the Lender; this means
that either the Trustee or Midland as Servicer will make such
determination. Moody's notes that while this amendment did not
impact the transaction at closing as no conversion took place,
there is a possibility that when the borrowers convert to Delaware
LLCs Moody's would conclude that the opinions delivered in
conjunction with the conversion are not satisfactory to us; if the
latter happened Moody's would then need to assess whether the
deficiencies have impact on the ratings of the Securities. For the
amendment to the Management Agreement Moody's notes that the
change is necessary to reflect the changes to the transaction's
cash flows due to the addition of about 1,000 net rent tenant
lease sites. Under a net rent tenant lease a tenant is responsible
for certain expenses. Nevertheless, some of those expenses may
initially be incurred by a borrow or the Issuer. In those cases
the tenant would be required to reimburse the borrower or the
Issuer. As such, the reimbursement payments would not constitute
"Operating Revenue", and should be excluded for the determination
of the management compensation.
RATINGS OF EXISTING SERIES UNAFFECTED
Moody's announced that the issuance of the 2012 Securities and the
above-referenced amendments to the Loan and Security Agreement and
the Management Agreement, at this time, in and of themselves, will
not result in a reduction, withdrawal, or placement under review
for possible downgrade of the ratings currently assigned to any
outstanding series of securities issued by the Issuer.
As mentioned, the 2012 Securities and the Existing Securities are
ranked pari passu and supported by the same tower pool. As such,
Moody's believes that the Issuance of the 2012 Securities, and the
amendments to the Loan and Security Agreement and Management
Agreement, do not have an adverse effect on the credit quality of
the Existing Securities such that the Moody's ratings are
impacted. Moody's does not express an opinion as to whether the
discussed amendments and/or the Issuance of the 2012 Securities
could have other, non credit-related effects, and 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.
MOODY'S V-SCORE AND PARAMETER SENSITIVITIES
V Score - The V Score for this transaction is Medium or Average.
The V Score indicates "Average" structure complexity and
uncertainty about critical assumptions.
The Medium or Average score for this transaction is driven by a
variety of factors. While historic collateral performance has been
good, and there have been no downgrades to date in this sector,
the sector's data dates back only fifteen years or so, while
securitization data go back only about seven years. Hence, the
past experience does not include a period of significant stress
such as a default by a major wireless carrier or bankruptcy of a
cell tower operator. Additionally, SBA has limited experience in
securitizations having done only three such transactions to date
and it has a corporate ratings in the mid speculative ratings
(Ba3).
Moody's Parameter Sensitivities -- In the ratings analysis Moody's
uses various assumptions to assess the present value of the net
cash flow that the tower pool is anticipated to generate. Based on
these cash flows, the quality of the collateral and the
transaction's structure, the total amount of debt that can be
issued at a given rating level is determined. Hence, a material
change in the assessed net present value could result in a change
in the ratings. Therefore Moody's focuses on the sensitivity to
this variable in the parameter sensitivity analysis.
Specifically, if the net cash flows that the tower pool is
anticipated to generate is reduced by 5%, 10% and 15% compared to
the Base Case net cash flows used in determining the initial
rating. The potential model-indicated ratings for the 2012
Securities rated (P) A2 (sf) would change as follow: Base Case A2
(0), Baa1 (2), Baa3(4) and Ba2 (6) respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the transaction has
not aged. Furthermore, parameter Sensitivities only reflects the
ratings impact of each scenario from a quantitative/model-
indicated standpoint. Qualitative factors are also taken into
consideration in the ratings process, so the actual ratings that
would be assigned in each case could vary from the information
presented in the Parameter Sensitivity analysis.
PRINCIPAL METHODOLOGY
The methodologies used in this rating was Moody's Approach to
Rating Wireless Towers- Backed Securitizations published in
September 2005 and amended in February 2011 to reflect the change
in discount rates.
As described therein, Moody's derives an asset value for the
collateral which in turn is compared to the proposed bond issuance
amounts. In deriving the value of the assets, Moody's viewed the
historical operating performance of SBA, the historical
performance of the underlying tower pool, evaluated and analyzed
comparable public company data and market information from various
third party sources.
The following are the key assumptions used in the quantitative
analysis: (i) Revenue Growth -- for wireless voice/data two
sources of revenue growth were assumed: first, lease escalators
which were based on the tenants' contractual obligations were
assumed to be fixed at 3.4% for the first 15 years, 3% for the
following 5 years, and 2% from year 21 onward; second, organic
growth that resulted in the addition of approximately 0.4 tenant
per tower in total over a period of four years. This number takes
into account the termination of some leases by Sprint as it shut
off its iDEN sites; this number also take into account the
Mobilitie Sites for which only 50% of the collocation revenue goes
to the transaction. Revenues from broadcasting were assumed to
decline on a continuous basis over a 15 year period to a third of
current levels, and data/other revenues were assumed to decline to
zero based on a triangular distribution ranging from five to ten
years. (ii) Operating Expenses -- were assumed to vary such that
net tower cash flow margins (not factoring management fee and
maintenance capital expenditure) ranged from 65% to 83% based on a
triangular distribution. (iii) Maintenance Capital Expenditures --
were assumed to be $750 per tower per annum, and to increase by 2%
to 4% every year. (iv) Tenants' Probability of Default (wireless
voice/data tenants) - Moody's "Idealized" default rate table was
applied, using the actual ratings of the Tenants who were rated
and assuming near-default ratings for others; (v) Recovery Upon
Wireless Tenant Default -- were assumed to be zero the year
following the default and recover to 80% for large carriers and to
50% or 60% for small carriers of pre-default revenues over the
next two years; (vi) Discount Rate - the discount rate applied to
the net cash flow was assumed to vary between 8.5% and 13.00%;
(vii) Finally, adjustments were made to the total amount of debt
that can be issued at the requested rating levels. This is mainly
because the Securities effectively comprise a single senior
tranche of debt with lower severity of loss risk, compared to
transactions with multiple tranches.
SLM STUDENT 2003-12: Fitch Affirms 'BBsf' Rating on Cl. B Notes
---------------------------------------------------------------
Fitch Ratings affirms both the senior and subordinate student loan
notes at 'AAAsf' and 'BBsf' issued by SLM Student Loan Trust 2003-
12. The Rating Outlook on the senior notes, which is tied to the
sovereign rating of the U.S. government, remains Negative while
the Rating Outlook on the subordinate note remains Stable. Fitch
used its 'Global Structured Finance Rating Criteria', and 'Rating
U.S. Federal Family Education Loan Program Student Loan ABS' to
review the ratings.
The ratings on the senior and subordinate notes are affirmed based
on the sufficient level of credit to cover the applicable risk
factor stresses. Credit enhancement for the senior notes consists
of overcollateralization, projected minimum excess spread and
subordination provided by the class B note, while the subordinated
notes only benefit from future excess spread.
Fitch has taken the following rating actions:
SLM Student Loan Trust 2003-12:
-- Class A-4 affirmed at 'AAAsf'; Outlook Negative;
-- Class A-5 affirmed at 'AAAsf'; Outlook Negative;
-- Class A-6 affirmed at 'AAAsf'; Outlook Negative;
-- Class B affirmed at 'BBsf'; Outlook Stable.
SPRINGLEAF MORTGAGE 2012-2: S&P Rates Class B-2 Notes 'B'
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Springleaf Mortgage Loan Trust 2012-2's $858.480 million mortgage-
backed notes series 2012-2.
The note issuance is a residential mortgage-backed securities
transaction backed by seasoned first-lien, fixed-rate, and
adjustable-rate, residential mortgage loans secured by one- to
four-family residences, manufactured housing, land, and packages
of multiple real properties to subprime borrowers.
The ratings reflect S&P's view of:
- The likelihood that the credit enhancement of 49.50%, 41.25%,
36.50%, 31.25%, 27.90%, 23.00%, and 18.45% will be able to
withstand its 'AAA', 'AA', 'A+', 'A-', 'BBB', 'BB', and 'B'
stress scenarios, respectively, for this portfolio, which is
secured by residential mortgage loans. The credit enhancement
comprises subordination, an interest shortfall reserve fund,
excess interest, and overcollateralization.
- The risks and mitigating factors it sees based on the results
of its mortgage originator and conduit reviews, third-party
due-diligence review, and representations (reps) and
warranties review with respect to the mortgage assets.
Pursuant to earlier transactions, S&P performed a full
mortgage originator review of Springleaf Finance Corp., which
included a review of its acquisition program and an onsite
review. S&P had previously assigned a 'Middle Tier' ranking
to Springleaf. Given that the originator has since exited the
origination business and less than 1% of the loans in this
transaction were originated in the last two years, S&P will
rely solely on the originator's historical loan performance to
inform its credit enhancement factor.
- The timing of losses, the foreclosed properties' recovery
value, and S&P's default assumptions.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
Springleaf Mortgage Loan Trust 2012-2
Class Rating Amount
(mil. $)
A AAA (sf) 532.549
M-1 AA (sf) 78.572
M-2 A+ (sf) 55.292
M-3 A- (sf) 47.532
M-4 BBB (sf) 36.861
B-1 BB (sf) 53.352
B-2 B (sf) 54.322
C NR 111.554
R NR N/A
NR-Not rated.
N/A-Not applicable.
SVO 2005-A: Moody's Raises Rating on Class D Notes to 'Ba2'
-----------------------------------------------------------
Moody's Investors Service upgraded the Class D note from SVO 2005-
A VOI Mortgage Corp, and the Class C and Class D notes from SVO
2006-A VOI Mortgage Corp, which are both sponsored by Starwood
Vacation Ownership Portfolio Services, Inc. (Starwood). Moody's
has also confirmed the ratings of the Class A and Class B notes
from SVO 2006-A VOI Mortgage Corp. The underlying collateral
consists of timeshare loan receivables serviced by Starwood.
The completed rating actions are as follow:
Issuer: SVO 2005-A VOI Mortgage Corp.
Cl. D, Upgraded to Ba2 (sf); previously on May 11, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: SVO 2006-A VOI Mortgage Corp.
Cl. A, Confirmed at Aa1 (sf); previously on May 11, 2012 Aa1 (sf)
Placed Under Review for Possible Upgrade
Cl. B, Confirmed at A1 (sf); previously on May 11, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Baa1 (sf); previously on May 11, 2012 Baa2 (sf)
Placed Under Review for Possible Upgrade
Cl. D, Upgraded to Ba2 (sf); previously on May 11, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
The rating actions are driven by the improvement in collateral
performance, and credit enhancement available to noteholders
relative to the existing ratings. The 6 month and 12 month average
gross charge-off rates in both the 2005-A and 2006-A transactions
have reduced dramatically from their peak recessionary levels and
continue to decline. 60+ day past due delinquencies also remain
stable within a range of 2-3% of the outstanding pool balance.
Moody's new expected losses for the remaining life of the
transactions are 17% for the 2005-A transaction and 16% for the
2006-A transaction.
Overcollateralization as a percentage of the outstanding pool
balance has reached its target level of 7.25% in the 2005-A
transaction and 6.0% in the 2006-A transaction. The reserve
accounts in both deals are also at their target floor 0.5% of
original pool balance and are non-declining.
The primary source of uncertainty in these transactions is the
macro economy. The recreational nature of the timeshare properties
makes the underlying collateral very susceptible to leading macro
economic factors. A slowdown in income growth or an increase in
unemployment will likely result in higher defaults in both
collateral pools, and with both transactions near their
substitution limits for defaulted loans, losses will begin to
erode the available credit enhancement protecting noteholders. For
this reason, Moody's has decided to confirm the Class A and Class
B notes from the 2006-A transation which were previously placed on
review for possible upgrade.
Parameter sensitivities: If Moody's increases Moody's remaining
expected losses by 10% to 15% on the 2005-A and 2006-A
transactions, the ratings of these deals may be considered for
downgrade.
Methodology
The principal methodology used in these ratings was "Moody's
Approach to Rating Vacation Timeshare Loan Securitizations,"
published in September, 2011.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics. Primary sources of uncertainty with
regard to expected losses are the weak economic environment, which
adversely impacts the income-generating ability of the borrowers.
VENTURE II: Moody's Lifts Rating on US$12MM Class C Notes to 'Ba2'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Venture II CDO 2002 Ltd.:
U.S.$9,000,000 Class B Notes Due 2014, Upgraded to Aaa (sf);
previously on December 29, 2011, Upgraded to A1 (sf);
U.S.$12,250,000 Class C Notes Due 2014, Upgraded to Ba2 (sf);
previously on August 1, 2011 Upgraded to B1 (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 December 2011. Moody's notes that the Class
A-1 Notes have been paid down by approximately 85% or $28.3
million since the last rating action. Based on the latest trustee
report dated July 3, 2012, the Class A and Class B
overcollateralization ratios are reported at 176.6% and 140.1%
respectively, versus December 2011 levels of 155.0% and 131.8%
respectively. The July 2012 trustee reported overcollateralization
ratios do not reflect principal paydown made on the July payment
date.
Notwithstanding benefits of the deleveraging, Moody's notes that
the credit quality of the underlying portfolio has deteriorated
since the last rating action. Based on the July 2012 trustee
report, the weighted average rating factor is currently 3640
compared to 3498 in December 2011.
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 July 2012 trustee report,
securities that mature after the maturity date of the notes
currently make up approximately 14.2% of the underlying 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 $46.3 million,
defaulted par of $13.4 million, a weighted average default
probability of 15.5% (implying a WARF of 3462), a weighted average
recovery rate upon default of 49%, and a diversity score of 33.
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.
Venture II CDO 2002 Ltd, issued in November 2002, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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.
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% (2770)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +1
Moody's Adjusted WARF + 20% (4154)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of speculative-grade debt maturing between 2014 and
2016, which may create challenges for issuers to refinance. CLO
notes' performance may also be impacted by 1) the manager's
investment strategy and behavior and 2) divergence in legal
interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) 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) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
WACHOVIA BANK 2003-C3: Fitch Cuts Ratng on $9.3MM K Notes to CCsf
-----------------------------------------------------------------
Fitch Ratings downgrades one class and revises the Outlook of
three classes of Wachovia Bank Commercial Mortgage Trust, series
2003-C3 commercial pass-through certificates.
The downgrade is the result of increased certainty of losses on
the loan in special servicing. The affirmations are a result of
continued overall stable performance of the pool as well as
increased credit enhancement due to amortization.
Fitch modeled losses of 3.42% for the remaining pool; expected
losses as a percentage of the original pool balance are at 5.87%,
including losses already incurred to date (3.94%). Fitch has
designated 11 loans (14.2%) as Fitch Loans of Concern, which
includes one specially serviced loan (2.02%).
As of the July 2012 distribution date, the pool's aggregate
principal balance has been reduced by approximately 43.6% to $529
million from $937.3 million at issuance. Cumulative outstanding
interest shortfalls total $1.7 million and affect classes L
through P. Currently, 21 loans (29.1% of the pool) have defeased.
The largest contributor to modeled losses, is secured by a 228,755
square foot (sf) industrial site consisting of seven single story
buildings (2% of the pool). The loan was transferred to the
special servicer in June 2011 due to payment default. The complex
is 59% leased with two major tenant leases, comprising 30% of the
leased space, expiring in the next two years. The special
servicer is in active negotiations with the borrower and
monitoring leasing activities as it evaluates workout options.
The second-largest contributor to modeled losses is 108,738 sf
office building located in San Diego, CA (1.4%). As of year-end
2011, the building's occupancy was 56%. The sponsor has been
actively marketing the space and is in active renewal negotiations
with a number of tenants. The economic outlook in the area has
improved and the building has experienced increased prospective
tenant interest in their available space.
Fitch downgrades the following classes and updates the recovery
estimates:
-- $9.3 million class K to 'CCsf' from 'CCCsf'; RE55% %.
Fitch affirms, revises Rating Outlooks and Recovery Estimates to
the following classes:
-- $477.8 million class A-2 at 'AAAsf'; Outlook Stable;
-- $36.3 million class B at 'AAAsf'; Outlook Stable;
-- $12.8 million class C at 'AAAsf'; Outlook Stable;
-- $25.7 million class D at 'AAAsf'; Outlook Stable from
Positive;
-- $12.8 million class E at 'AAsf'; Outlook Stable from
Positive;
-- $10.5 million class F at 'Asf'; Outlook Stable from Positive;
-- $12.8 million class G at 'BBBsf'; Outlook Stable;
-- $12.8 million class H at 'BBsf'; Outlook Stable;
-- $22.2 million class J at 'CCCsf'; RE100%;
-- $7 million class L at 'Dsf'; RE0%;
-- $0.6 million class M at 'Dsf'; RE0%;
-- $0.0 million class N at 'Dsf'; RE0%;
-- $0.0 million class O at 'Dsf'; RE0%.
Classes A-1 and IO-II have repaid in full. Fitch does not rate
class P. The class IO-I notes were previously withdrawn.
WAMU ASSET 2005-C1: Fitch Junks Rating on Two Certificate Classes
-----------------------------------------------------------------
Fitch Ratings downgrades two classes of Washington Mutual Asset
Securities Corporation (WAMU) commercial mortgage pass-through
certificates, series 2005-C1.
The downgrades are the result a greater certainty of loss
expectations primarily associated with the specially serviced
assets since Fitch's last rating action. Fitch modeled losses of
9.52% of the remaining pool; expected losses of the original pool
balance are 0.89%, including 0.03% in losses incurred to date.
As of the July 2012 distribution date, the pool's collateral
balance has paid down 90% to $58.8 million from $649.5 million at
issuance. Two loans (21%) are currently in special servicing.
Fitch has identified 10 loans (37%) as Fitch loans of concern
including the two (21%) specially serviced loans.
The largest specially serviced loan is secured by a 51,616 square
foot (sf) single-tenant office building (11.7%) located in
Seattle, WA. The loan transferred to special servicing in August
2011 due to imminent default. The property remains 100% vacant as
of July 2011 when the single tenant, McCann-Erickson USA, vacated
at lease expiration. The asset is now real estate owned (REO).
The asset is currently listed for sale and the broker has received
several offers.
The second largest specially serviced loan is secured by a 60,448
sf office building (9.2%) located in Bothell, WA. The loan
transferred to special servicing in February 2011 due to a
maturity default. The borrower continues to make the monthly debt
service payments. The borrower is working on refinancing the loan
and the special servicer expects the loan to be paid in full. The
property is 90% occupied as of August 2012.
Fitch has identified a 33,112 sf office property located in San
Diego, CA (3.6%) as a loan of concern. The largest tenant, Sharp
Hospital (52%), renewed their lease until Aug. 31, 2015 with an
expansion clause giving them the option to move into free space
vacated in December 2011 by the second largest tenant (48%). As a
result, the year-end (YE) 2011 debt service coverage ratio (DSCR)
declined to 0.98x with occupancy declining to 52.
Fitch downgrades, assigns and revises Recovery Estimates (RE) as
indicated:
-- $2.4 million class K to 'CCCsf' from 'Bsf'; RE 100%;
-- $2.4 million class L to 'Csf' from 'CCsf'/ RE 0%.
Fitch also affirms and revises Rating Outlooks on the following
classes as indicated:
-- $6.9 million class B at 'AAAsf'; Outlook Stable;
-- $13 million class C at 'AAAsf'; Outlook Stable;
-- $4.1 million class D at 'AAAsf'; Outlook Stable;
-- $5.7 million class E at 'AAAsf'; Outlook Stable;
-- $4.9 million class F at 'AAsf'; Outlook Stable;
-- $5.7 million class G at 'Asf'; Outlook Stable;
-- $8.1 million class H at 'BBBsf'; Outlook to Negative from
Stable;
-- $3.3 million class J at 'BBsf'; Outlook Negative;
-- $812,000 class M at 'Csf'; RE 0%.
The $1.4 million class N remains at 'D'; RE 0%.
Classes A-1, A-2, and A-J are paid in full.
WELLS FARGO 2012-C68: Fitch Gives Low-B Ratings on 2 Cert Classes
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings to Wells Fargo
Bank, National Association WFRBS Commercial Mortgage Trust 2012-C8
commercial mortgage pass-through certificates:
-- $97,008,000 class A-1 'AAAsf'; Outlook Stable;
-- $187,668,000 Class A-2 'AAAsf'; Outlook Stable;
-- $414,057,000 Class A-3 'AAAsf'; Outlook Stable;
-- $96,932,000 Class A-SB 'AAAsf'; Outlook Stable;
-- $115,000,000a Class A-FL 'AAAsf'; Outlook Stable;
-- $0 Class A-FX 'AAAsf'; Outlook Stable;
-- $113,833,000 Class A-S 'AAAsf'; Outlook Stable;
-- $1,024,498,000a* Class X-A 'AAAsf'; Outlook Stable;
-- $66,674,000a* Class X-B 'AAsf'; Outlook Stable;
-- $66,674,000 Class B 'AAsf'; Outlook Stable;
-- $43,907,000 Class C 'Asf'; Outlook Stable;
-- $26,019,000a Class D 'BBB+sf'; Outlook Stable;
-- $45,533,000a Class E 'BBB-sf'; Outlook Stable;
-- $22,767,000a Class F 'BBsf'; Outlook Stable;
-- $26,019,000a Class G 'Bsf'; Outlook Stable.
*Notional amount and interest only
(a)Privately placed pursuant to Rule 144A
Fitch does not rate the $45,533,580 class H.
Wells Fargo Bank, N.A. will be the swap counterparty for the
floating rate class A-FL. In the event that any swap breakage
costs are due to the swap counterparty from the trust, any
breakage costs will only be paid after all payments on the class
A-FL certificates have been paid in full. The aggregate balance
of the class A-FL may be adjusted as a result of the exchange of
all or a portion of the class A-FL certificates for the non-
offered class A-FX.
WFRBS COMMERCIAL: Moody's Assigns 'B2' Rating to Class G Certs.
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to 15 classes of
CMBS securities, issued by WFRBS Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2012-C8.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Definitive Rating Assigned Aaa (sf)
Cl. A-FL, Definitive Rating Assigned Aaa (sf)
Cl. A-FX, Definitive Rating Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aa2 (sf)
Cl. A-S, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
RATINGS RATIONALE
The Certificates are collateralized by 80 fixed rate loans secured
by 122 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.58X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.05X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 101.9% is lower than the 2007
conduit/fusion transaction average of 110.6%.
Moody's considers both loan level diversity and property level
diversity when selecting a ratings approach. With respect to loan
level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is
24.8. The transaction's loan level diversity is in-line with the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 31.5. The
transaction's property diversity profile is higher than the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.29, which is in-line
with the indices calculated in most multi-borrower transactions
since 2009.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005, and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship, and diversity. Moody's
analysis also uses the CMBS IO calculator ver1.0, which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 3.9%, 11.3%, and 17.9%, the model-indicated rating for the
currently rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; for the most junior Aaa rated class A-S would be
Aa1, Aa1, and A1, respectively. Parameter Sensitivities are not
intended to measure how the rating of the security might migrate
over time; rather they are designed to provide a quantitative
calculation of how the initial rating might change if key input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
* Moody's Says Budget Cuts May Hit Military Housing Bond Revenue
----------------------------------------------------------------
Privatized military housing credits -- bonds that finance
construction and renovation of on-base military housing --
continue to demonstrate stable credit quality although possible
federal budget cuts could weaken revenue, says Moody's Investors
Service in a new report.
"The overall credit quality of our rated portfolio has remained
resilient during the course of the economic downturn due to the
strong market position of the projects," said Moody's Analyst
Carlos A. Calderon, author of the report. "The reliability of the
basic allowance for housing -- the BAH -- as the primary revenue
stream and management's ability to control operating expense
growth have also been positive factors."
According to the report, "Credit Trends: Privatized Military
Housing Sector Shows Stability," most of the financings are
strengthened by robust financial performance of most projects due
to solid occupancy and controlled expense growth; consistent
lifetime growth in BAH rates; and the competitive advantage of on-
base, newly constructed or renovated housing.
"Construction risk for about half of the portfolio has also been
eliminated by completion of their IDPs -- the initial development
phases," said Mr. Calderon. "Support from the military has added
strength to the projects, including additional equity, units, or
land."
While Moody's expects these trends to continue, expected military
budget cuts and proposed base realignment and closures could
affect the housing projects' future occupancy levels, reduce
revenue streams through cuts in BAH stipends, and limit the
Department of Defense's flexibility for providing additional forms
of discretionary financial support. Commencement of bond principal
amortization post-IDP may also cause financial strain, according
to the rating agency.
Moody's maintain 54 ratings for 24 privatized military housing
projects with approximately 87,000 housing units under management.
The related transactions carry approximately $9.56 billion in
outstanding debt and have a median rating of Baa1 by number of
ratings and A2 by dollar volume. The bonds are secured primarily
by project rental revenues, which consist of BAH stipends.
Moody's subscribers can access the report on regulated facilities
at http://is.gd/8ANBvo
* Moody's Takes Rating Actions on $1.5 Billion Subprime RMBS
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on 7
tranches, upgraded the ratings on 12 tranches and confirmed the
ratings on 15 tranches from fifteen subprime RMBS transactions
issued by various financial institutions. The collateral backing
these transactions are subprime residential mortgage loans.
Complete rating actions are as follows:
Issuer: ABFC Asset Backed Certificates, Series 2005-WF1
Cl. A-2C, Downgraded to Aa3 (sf); previously on Jul 15, 2011
Downgraded to Aa1 (sf)
Cl. M-1, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Asset Backed Funding Corporation Asset-Backed
Certificates, Series 2006-OPT1
Cl. A-2, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-3C1, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-3C2, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. A-3D, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Centex Home Equity Loan Trust 2005-A
Cl. M-2, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Centex Home Equity Loan Trust 2005-B
Cl. AF-4, Downgraded to Aa3 (sf); previously on May 30, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Centex Home Equity Loan Trust 2005-C
Cl. AF-5, Downgraded to Aa3 (sf); previously on May 30, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. AF-6, Downgraded to Aa3 (sf); previously on May 30, 2012 Aaa
(sf) Placed Under Review for Possible Downgrade
Issuer: Centex Home Equity Loan Trust 2005-D
Cl. M-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to B1 (sf); previously on May 30, 2012 Caa1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa2 (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. M-4, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded
to C (sf)
Issuer: Centex Home Equity Loan Trust 2006-A
Cl. AV-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series
2005-1
Cl. A-1, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-2c, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: IXIS Real Estate Capital Trust 2005-HE4
Cl. M-1, Downgraded to Caa2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Issuer: Nationstar Home Equity Loan Trust 2006-B
Cl. AV-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. AV-4, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: Nationstar Home Equity Loan Trust 2007-A
Cl. AV-2, Upgraded to A2 (sf); previously on May 30, 2012 Ba2 (sf)
Placed Under Review for Possible Upgrade
Cl. AV-3, Upgraded to Caa2 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Cl. AV-4, Confirmed at Ca (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Saxon Asset Securities Trust 2005-1
Cl. M-1, Downgraded to A2 (sf); previously on May 30, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Saxon Asset Securities Trust 2006-2
Cl. A-1, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. A-3C, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. A-3D, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Saxon Asset Securities Trust 2007-4
Cl. A-1, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
Issuer: Wachovia Mortgage Loan Trust 2005-WMC1
Cl. A-4, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. M-1, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Subprime
pools originated after 2005 and reflect Moody's updated loss
expectations on these pools. The upgrades/downgrades in the rating
action are a result of improving/deteriorating performance and/or
structural features resulting in lower/higher expected losses for
certain bonds than previously anticipated.
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.
Moody's adjusts the methodologies noted above for Moody's 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 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. 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 sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.0% in May 2011 to 8.2% in May 2012. Moody's
forecasts a further drop to 7.8% by the end of 2Q 2013. Moody's
expects housing prices to remain stable through the remainder of
2012 before gradually rising towards the end of 2013. Performance
of RMBS continues to remain highly dependent on servicer activity
such as modification-related principal forgiveness and interest
rate reductions. Any change resulting from servicing transfers or
other policy or regulatory change can also 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_SF294219
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/researchdocumentcontentpage.aspx?docid=PBS_SF198689
* S&P Withdraws Ratings on 29 Note Classes From 11 CLO/CBO Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 29
classes of notes from 11 transactions.
Ten transactions are collateralized loan obligations (CLOs) and
one is a collateralized bond obligation (CBO).
Standard & Poor's notes that the following transactions redeemed
their classes in full after providing notice to us that the
issuers directed an optional redemption:
Armstrong Loan Funding Ltd.;
CSAM Funding I;
FIRST 2004-I CLO Ltd.; and
Galaxy CLO 2003-1 Ltd.
The withdrawals follow the complete paydown of the notes on their
most recent payment dates.
RATINGS WITHDRAWN
Armstrong Loan Funding, Ltd
Rating
Class To From
B NR AAA (sf)
C NR AAA (sf)
D NR AA (sf)
E NR A+ (sf)
F NR BBB- (sf)
CSAM Funding I
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B-1 NR AA+ (sf)
B-2 NR AA+ (sf)
DFR Middle Market CLO Ltd.
Rating
Class To From
A-1B NR AAA (sf)
FIRST 2004-I CLO, Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
B NR AAA (sf)
C NR A+ (sf)
Galaxy CLO 2003-1, Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AA+ (sf)
C-1 NR BB+ (sf)
C-2 NR BB+ (sf)
LCM XI Limited Partnership
Rating
Class To From
X NR AAA (sf)
Marathon CLO I, Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
MCG Commercial Loan Trust 2006-1
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
Sargas CLO II, Ltd.
Rating
Class To From
C NR A (sf)
Stedman Loan Fund II Ltd.
Rating
Class To From
A-2 NR AAA (sf)
Sutter CBO 2000-2, Ltd.
Rating
Class To From
B-1 NR B (sf)
B-1L NR B (sf)
NR-Not rated.
* S&P Cuts Ratings on 3 Cert. Classes From 2 CMBS Deals to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from two
U.S. commercial mortgage-backed securities (CMBS) transactions due
to current and potential interest shortfalls. "We lowered our
ratings on three of these classes to 'D (sf)' because we expect
the accumulated interest shortfalls to remain outstanding for the
foreseeable future," S&P said.
The five downgraded classes have had accumulated interest
shortfalls outstanding between one and 16 months. S&P said the
recurring interest shortfalls for the respective certificates are
primarily due to one or more of these factors:
- Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
- The lack of servicer advancing for assets for which the
servicer has made nonrecoverable advance declarations;
- Interest shortfalls due to loan modifications; and
- Special servicing fees.
Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. S&P
also considered servicer nonrecoverable advance declarations,
interest shortfalls due to loan modifications, and special
servicing fees that are likely, in S&P's view, to cause recurring
interest shortfalls.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each respective transaction's terms. Typically,
these terms call for the automatic implementation of an ARA equal
to 25% of the stated principal balance of a loan when a loan is 60
days past due and an appraisal or other valuation is not available
within a specified timeframe. We primarily considered ASER amounts
based on ARAs calculated from MAI appraisals when deciding which
classes from the affected transactions to downgrade to 'D (sf)'.
This is because ARAs based on a principal balance haircut are
highly subject to change, or even reversal, once the special
servicer obtains the MAI appraisals," S&P said.
"Servicer nonrecoverable advance declarations can prompt
shortfalls due to a lack of debt service advancing, the recovery
of previously made advances deemed nonrecoverable, or the failure
to advance trust expenses when nonrecoverable declarations have
been determined. Trust expenses may include, but are not limited
to, property operating expenses, property taxes, insurance
payments, and legal expenses," S&P said.
"We detail the five downgraded classes from the two U.S. CMBS
transactions," S&P said.
GMAC Commercial Mortgage Securities Inc. Series 2005-C1
"We lowered our ratings to 'D (sf)' on the class D and E
certificates from GMAC Commercial Mortgage Securities Inc.'s
series 2005-C1 due to accumulated interest shortfalls outstanding
for 16 months. We lowered the ratings on the class B and C
certificates to 'CCC+ (sf)' and 'CCC- (sf)' due to interest
shortfalls that we expect to affect those classes for the
foreseeable future. These interest shortfalls were primarily due
to ASER amounts ($284,870) related to eight($107.9 million, 13.0%)
of the 13 ($147.6 million, 17.7%) assets that are currently with
the special servicer, Situs Holdings LLC., interest shortfalls due
to rate modifications ($143,182), interest not advanced due to the
master servicer's nonrecoverable determination ($70,272), and
special servicing fees ($32,916). As of the July 10, 2012, trustee
remittance report, ARAs totaling $70.7 million were in effect for
nine assets with the special servicer. The reported monthly
interest shortfalls, netted against other interest proceeds due
the bonds of $97,582, totaled $502,996. The master servicer,
Berkadia Commercial Mortgage LLC, communicated to us that the
other interest proceeds due the bonds is due to recoveries of cash
flow to offset losses being incurred by loan modifications and
will be recurring, which we considered in our analysis. Interest
shortfalls have affected all of the classes subordinate to and
including class B," S&P said.
J.P. Morgan Chase Commercial Mortgage Securities Trust
Series 2007-LDP12
"We lowered our rating to 'D (sf)' on the class J certificates
from J.P. Morgan Chase Commercial Mortgage Securities Trust Series
2007-LDP12 due to accumulated interest shortfalls outstanding for
nine months. These interest shortfalls were primarily due to ASER
amounts ($202,707) related to two ($65.9 million, 2.9%) of the 13
($335.9 million, 14.9%) assets that are currently with the special
servicer, C-III Asset Management LLC. (C-III), interest shortfalls
due to rate modifications ($100,327), interest not advanced due to
the master servicer's nonrecoverable determination ($34,253), and
special servicing fees ($71,273). As of the July 16, 2012, trustee
remittance report, the reported monthly interest shortfalls,
netted against $136,680 of recovered ASER interest due the bonds,
totaled $295,761 and affected all of the classes subordinate to
and including class J," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2005-C1
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
B CCC+ (sf) B+ (sf) 12.21 75,319 75,319
C CCC- (sf) B (sf) 10.77 49,813 49,813
D D (sf) CCC- (sf) 7.89 101,065 292,120
E D (sf) CCC- (sf) 5.97 68,643 1,098,290
J.P. Morgan Chase Commercial Mortgage Securities Trust
Commercial mortgage pass-through certificates series 2007-LDP12
Reported
Rating Credit interest shortfalls
Class To From enhcmt(%) Current Accumulated
J D (sf) CCC- (sf) 2.79 57,512 1,213,744
* S&P Cut Ratings on 18 Tranches from 4 U.S. CDO Transactions
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 18
tranches from four U.S. collateralized debt obligation (CDO)
transactions backed by pools of structured finance (SF)
securities, including residential mortgage-backed securities
(RMBS) and commercial mortgage-backed securities (CMBS). The
downgraded tranches have a total issuance amount of $1.40 billion.
"At the same time, we raised our rating on one tranche from one
transaction and affirmed our ratings on 30 tranches from 15
transactions. In addition, we removed 15 of these affirmed ratings
from CreditWatch with negative implications," S&P said.
"The rating actions reflect the application of our updated
criteria for ratings CDOs backed predominantly by pools of SF
securities. The updated criteria include changes to the parameters
used for SF securities within our CDO Evaluator credit model,
including an increase in the assumptions used for default
probability, correlation, and industry classification.
Additionally, the criteria updates our assumptions on SF assets,
including lower recovery rate parameters, different maturity
assumptions, and the addition of supplemental stress tests (the
largest obligor and the largest industry default tests) and
additional default patterns," S&P said.
"In addition to the application of the updated criteria, our
rating actions reflect general credit deterioration in the
portfolio backing the affected notes. Some of the SF CDO
transactions' underlying credit quality has deteriorated, as
evidenced by the increased levels of defaulted and 'CCC' rated
obligations that the transactions hold in their portfolios from
the time of our last review," S&P said.
"We upgraded the class A-1 note from ACA ABS 2004-1 Ltd. primarily
due to significant principal paydowns of the notes, which have
increased collateralization for the notes," S&P said.
"We affirmed our ratings on the 30 tranches to reflect our opinion
that the current credit support available is commensurate with
current rating levels," 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
ACA ABS 2002-1 Ltd.
Rating
Class To From
A AA(sf) AA(sf)/Watch Neg
ACA ABS 2004-1 Ltd.
Rating
Class To From
A-1 A+(sf) BBB(sf)
A-2 BB-(sf) BB-(sf)/Watch Neg
Ajax Two Ltd.
Rating
Class To From
B A(sf) A(sf)/Watch Neg
Anthracite CDO II Ltd.
Rating
Class To From
A AAA(sf) AAA(sf)/Watch Neg
B A+(sf) AA+(sf)/Watch Neg
B-FL A+(sf) AA+(sf)/Watch Neg
C BB+(sf) A(sf)/Watch Neg
C-FL BB+(sf) A(sf)/Watch Neg
D CCC+(sf) BBB(sf)/Watch Neg
E CCC-(sf) BB+(sf)/Watch Neg
F CCC-(sf) BB-(sf)/Watch Neg
G CC(sf) B-(sf)/Watch Neg
CAMBER 3 plc
Rating
Class To From
S A(sf) A(sf)/Watch Neg
Crest 2002-1 Ltd.
Rating
Class To From
A AA+(sf) AA+(sf)/Watch Neg
B-1 CCC-(sf) CCC-(sf)/Watch Neg
B-2 CCC-(sf) CCC-(sf)/Watch Neg
Davis Square Funding V Ltd.
Rating
Class To From
S A(sf) A(sf)/Watch Neg
Diversified Asset Securitization Holdings III L.P.
Rating
Class To From
A-1L BB+(sf) BB+(sf)/Watch Neg
A-2 BB+(sf) BB+(sf)/Watch Neg
Glacier Funding CDO I Ltd.
Rating
Class To From
A-1 A+(sf) A+(sf)/Watch Neg
Helios Series I Multi Asset CBO Ltd.
Rating
Class To From
B CCC-(sf) CCC-(sf)/Watch Neg
Independence I CDO Ltd.
Rating
Class To From
A BB+(sf) BB+(sf)/Watch Neg
Independence II CDO Ltd.
Rating
Class To From
A BBB(sf) BBB(sf)/Watch Neg
Newcastle CDO V Ltd.
Rating
Class To From
I B-(sf) BBB-(sf)/Watch Neg
II-FL Def CCC-(sf) B+(sf)/Watch Neg
III-FL Def CCC-(sf) CCC+(sf)/Watch Neg
IV-FL Def CC(sf) CCC-(sf)/Watch Neg
IV-FX Def CC(sf) CCC-(sf)/Watch Neg
Newcastle CDO VI Ltd.
Rating
Class To From
I-B CC(sf) CCC-(sf)/Watch Neg
IMMLT CCC(sf) BB+(sf)/Watch Neg
N-Star Real Estate CDO V Ltd.
Rating
Class To From
A-1 CCC+(sf) BB+(sf)/Watch Neg
A-2 CCC-(sf) B(sf)/Watch Neg
B CC(sf) CCC-(sf)/Watch Neg
RATINGS AFFIRMED
ACA ABS 2002-1 Ltd.
Rating
B CC(sf)
ACA ABS 2004-1 Ltd.
Rating
B CC(sf)
C-1 CC(sf)
C-2 CC(sf)
Ajax Two Ltd.
Rating
C CC(sf)
CAMBER 3 plc
Rating
A-1 CC(sf)
Crest 2002-1 Ltd.
Rating
C CC(sf)
Diversified Asset Securitization Holdings III L.P.
Rating
A-3L CC(sf)
Helios Series I Multi Asset CBO Ltd
Rating
A BB-(sf)
Newcastle CDO V Ltd.
Rating
V Def CC(sf)
Newcastle CDO VI Ltd.
Rating
II Def CC(sf)
N-Star Real Estate CDO V Ltd.
Rating
C CC(sf)
D CC(sf)
E CC(sf)
F CC(sf)
OTHER OUTSTANDING RATINGS
ACA ABS 2002-1 Ltd.
Rating
C D(sf)
CAMBER 3 plc
Rating
A-2 D(sf)
B D(sf)
C D(sf)
D D(sf)
Crest 2002-1 Ltd.
Rating
Pfd Shares D(sf)
Davis Square Funding V Ltd.
Rating
A-1-a D(sf)
A-1-b D(sf)
A-2 D(sf)
B D(sf)
C D(sf)
D D(sf)
E D(sf)
Diversified Asset Securitization Holdings III L.P.
Rating
B-1L D(sf)
Glacier Funding CDO I Ltd.
Rating
A-2 D(sf)
B D(sf)
C D(sf)
Pref Shrs D(sf)
Newcastle CDO VI Ltd.
Rating
III-FL Def D(sf)
III-FX Def D(sf)
IV-FL Def D(sf)
IV-FX Def D(sf)
V-Def D(sf)
* S&P Lowers Ratings on 5 Cert. Classes to 'D' From 3 CMBS Deals
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 11
classes of commercial mortgage pass-through certificates from
three U.S. commercial mortgage-backed securities (CMBS)
transactions due to interest shortfalls.
"The downgrades reflect current and potential interest shortfalls.
We lowered our ratings on five of these classes to 'D (sf)'
because we expect the accumulated interest shortfalls to remain
outstanding for the foreseeable future. The five classes that we
downgraded to 'D (sf)' had accumulated interest shortfalls
outstanding between two and eight months. The recurring interest
shortfalls for the respective certificates are primarily due to
one or more of these factors," S&P said:
Appraisal subordinate entitlement reduction (ASER) amounts in
effect for specially serviced assets;
The lack of servicer advancing for assets where the servicer
has made nonrecoverable advance declarations;
Special servicing fees; and
Interest rate reductions or deferrals resulting from loan
modifications.
"Standard & Poor's analysis primarily considered the ASER amounts
based on appraisal reduction amounts (ARAs) calculated using
recent Member of the Appraisal Institute (MAI) appraisals. We also
considered servicer nonrecoverable advance declarations, special
servicing fees, and interest rate reductions and deferrals
resulting from loan modifications that are likely, in our view, to
cause recurring interest shortfalls," S&P said.
"The servicer implements ARAs and resulting ASER amounts in
accordance with each transaction's terms. Typically, these terms
call for the automatic implementation of an ARA equal to 25% of
the stated principal balance of a loan when it is 60 days past due
and an appraisal, or other valuation, is not available within a
specified timeframe. We primarily considered ASER amounts based on
ARAs calculated from MAI appraisals when deciding which classes
from the affected transactions to downgrade to 'D (sf)'. This is
because ARAs based on a principal balance haircut are highly
subject to change, or even reversal, once the special servicer
obtains the MAI appraisals," S&P said.
"Servicer nonrecoverable advance declarations can prompt
shortfalls due to a lack of debt service advancing, the recovery
of previously made advances deemed nonrecoverable, or the failure
to advance trust expenses when nonrecoverable declarations have
been determined. Trust expenses may include, but are not limited
to, property operating expenses, property taxes, insurance
payments, and legal expenses," S&P said.
"We detail the 11 downgraded classes from the three U.S. CMBS
transactions," S&P said.
LB-UBS Commercial Mortgage Trust 2003-C5
"We lowered our ratings on the class K, L, and M, certificates
from LB-UBS Commercial Mortgage Trust 2003-C5. We lowered our
ratings on the class L and M certificates to 'D (sf)' due to
accumulated interest shortfalls outstanding for eight months. We
expect these accumulated shortfalls to remain outstanding for the
foreseeable future. The shortfalls were primarily due to the
recovery of $117,549 in previous advances related to The Mall at
Steamtown loan by the master servicer, Wells Fargo Commercial
Mortgage Servicing (Wells Fargo), a $92,826 shortfall due to rate
modification of The Mall at Steamtown loan, and special servicing
fees of $9,176. We do not expect the recovery of $117,549 in
prior advances or recovered ASER interest of $49,358 to be
ongoing. We downgraded class K to 'CCC+ (sf)' due to reduced
liquidity support available to this class. While the July 17,
2012, trustee remittance report noted an ARA of $18.3 million for
The Mall at Steamtown loan, no monthly ASER amount has been
reported because Wells Fargo previously determined advances on the
loan to be nonrecoverable. The reported net monthly interest
shortfalls totaled $170,479. Accumulated interest shortfalls have
affected all of the classes subordinate to and including class K.
On a going forward basis, we estimate monthly interest shortfalls
will affect all classes subordinate to and including class N," S&P
said.
Merrill Lynch Mortgage Trust 2005-LC1
"We lowered our ratings on the class H, J, and K certificates from
Merrill Lynch Mortgage Trust 2005-LC1. We lowered our ratings on
classes J and K to 'D (sf)' to reflect accumulated interest
shortfalls outstanding for eight months. We expect these
accumulated shortfalls to remain outstanding for the foreseeable
future. The shortfalls were primarily due to ASER amounts of
$55,376 related to four ($33.3 million, 2.6%) of the eight assets
($80.3 million, 6.2%) that are currently with the special
servicer, interest not advanced of $16,381 associated with the
Pasadena MHP loan (which had been deemed nonrecoverable by the
master servicer Berkadia Commercial Mortgage and was subsequently
sold at auction on July 16, 2012), and special servicing fees
of $33,774. We lowered our rating on the class H due to the
reduced liquidity available to this class. As of the July 12,
2012, trustee remittance report, Berkadia reported ARAs totaling
$15.1 million for five assets and a total reported monthly ASER
amount of $55,376. Accumulated interest shortfalls have affected
all of the classes subordinate to and including class H," S&P
said.
Wachovia Bank Commercial Mortgage Trust 2003-C7
"We lowered our ratings on the class J, K, L, M, and N
certificates from Wachovia Bank Commercial Mortgage Trust 2003-C7.
We lowered our rating on class N to 'D (sf)' to reflect
accumulated interest shortfalls outstanding for two months and our
expectation that these shortfalls will remain outstanding for the
foreseeable future. We lowered our rating on the class J, K, L and
M classes due to the reduced liquidity available to these classes.
The interest shortfalls were primarily due to an ASER amounts of
$20,953 related to one ($7.6 million, 1.1%) of the four loans
($110.5 million, 16.5%) that are currently with the special
servicer, interest shortfall due to rate modification of $9,946,
special servicing fees of $33,801 and the recovery of $144,885 in
prior advances by master servicer, Wells Fargo associated with the
modification of the Six Sentry Parkway loan which has been
returned to the master servicer. According to Wells Fargo, they
will recover approximately the same amount monthly through October
2012. As of the July 16, 2012, trustee remittance report, Wells
Fargo reported ARAs totaling $8.5 million in effect for two assets
and a total reported monthly ASER amount of $20,953. Accumulated
interest shortfalls have affected all of the classes subordinate
to and including class J," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
LB-UBS Commercial Mortgage Trust 2003-C5
Commercial mortgage pass-through certificates series 2003-C5
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
K CCC+ (sf) B- (sf) 7.98 (2,888) 397,670
L D (sf) CCC (sf) 5.76 50,549 404,391
M D (sf) CCC- (sf) 4.82 21,664 173,315
Merrill Lynch Mortgage Trust
Commercial Mortgage pass-through certificates series 2005-LC1
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
H CCC- (sf) CCC+ (sf) 2.09 (924) 2,491
J D (sf) CCC- (sf) 1.49 31,724 220,053
K D (sf) CCC- (sf) 1.04 23,806 190,445
Wachovia Bank Commercial Mortgage Trust
Commercial Mortgage pass-through certificates series 2003-C7
Credit Reported
Rating enhancement interest shortfalls ($)
Class To From (%) Current Accumulated
J B+ (sf) BB (sf) 5.75 33,396 71,280
K CCC+ (sf) BB- (sf) 4.80 28,313 56,690
L CCC (sf) B+ (sf) 3.86 28,313 56,985
M CCC- (sf) B (sf) 3.10 22,652 45,630
N D (sf) CCC- (sf) 2.34 22,652 45,933
* S&P Cuts Ratings on 21 Classes From LNR CDOs IV & V to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 21 classes from LNR CDO IV Ltd.'s series 2006-1 (LNR CDO IV)
and LNR CDO V's series 2007-1, both U.S. commercial real estate
collateralized debt obligation (CRE CDO) transactions.
"The downgrades reflect our analysis of the transactions following
the termination of their interest rate swaps, and our expectation
that the classes are unlikely to be repaid in full," S&P said.
"The original hedge termination amounts for LNR CDO IV and LNR CDO
V are $84.8 million and $53.7 million, respectively. Hedge
termination payments in both transactions are due at the top of
the waterfall after payment of taxes and fees, and precede
payments to note holders. For this reason and based on our cash
flow model outputs, it is our expectation that the classes are
unlikely to be repaid in full," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
LNR CDO IV Ltd.
Series 2006-1
Rating
Class To From
C-FL D (sf) CC (sf)
C-FX D (sf) CC (sf)
D-FL D (sf) CC (sf)
D-FX D (sf) CC (sf)
E D (sf) CC (sf)
F-FL D (sf) CC (sf)
F-FX D (sf) CC (sf)
G D (sf) CC (sf)
H D (sf) CC (sf)
J D (sf) CC (sf)
K D (sf) CC (sf)
LNR CDO V
Series 2007-1
Rating
Class To From
C-FL D (sf) CC (sf)
C-FX D (sf) CC (sf)
D D (sf) CC (sf)
E D (sf) CC (sf)
F D (sf) CC (sf)
G D (sf) CC (sf)
H D (sf) CC (sf)
J D (sf) CC (sf)
K D (sf) CC (sf)
L D (sf) CC (sf)
* S&P Affirms Ratings on 26 Classes From 2 US RMBS Picard Deals
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 26
classes from two residential mortgage-backed securities (RMBS)
resecuritized real estate mortgage investment conduit (re-REMIC)
transactions, Picard Funding 3 Ltd. and Picard Funding 5 Ltd.,
issued in 2009. Both transactions in this review pay interest and
principal sequentially.
"We intend our ratings on the re-REMIC classes to address the
timely payment of interest and ultimate payment of principal. We
reviewed the interest and principal amounts due on the underlying
securities, which are then passed through to the applicable re-
REMIC classes. We applied our loss projections and assumptions to
the underlying collateral to identify the principal and interest
amounts that could be passed through from the underlying
securities under our rating scenario stresses. We stressed our
loss projections at various rating categories to assess whether
the re-REMIC classes could withstand the stressed losses
associated with their ratings while receiving timely payment of
interest and principal consistent with our criteria," S&P said.
"The affirmations reflect our assessment that the re-REMIC classes
will receive timely interest and the ultimate payment of principal
under the applicable stressed assumptions for the current
ratings," S&P said.
Picard Funding 3 Ltd. and Picard Funding 5 Ltd. are backed by 55
and 51 underlying securities, respectively, that are backed by
Alternative-A and prime jumbo mortgage loan collateral.
Both transactions within this review contain subordinate classes
that provide credit support to more senior classes.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Picard Funding 3 Ltd.
Series 3
Class CUSIP Rating
A 71953AAA3 AAA (sf)
B 71953AAB1 AA (sf)
C 71953AAC9 AA- (sf)
D 71953AAD7 A+ (sf)
E 71953AAE5 A (sf)
F 71953AAF2 A- (sf)
G 71953AAG0 BBB+ (sf)
H 71953AAH8 BBB (sf)
I 71953AAJ4 BBB- (sf)
J 71953AAK1 BB+ (sf)
K 71953AAL9 BB (sf)
L 71953AAM7 BB- (sf)
M 71953AAN5 B- (sf)
Picard Funding 5 Ltd.
Series 5
Class CUSIP Rating
A 71953BAA1 AAA (sf)
B 71953BAB9 AA (sf)
C 71953BAC7 AA- (sf)
D 71953BAD5 A+ (sf)
E 71953BAE3 A (sf)
F 71953BAF0 A- (sf)
G 71953BAG8 BBB+ (sf)
H 71953BAH6 BBB (sf)
I 71953BAJ2 BBB- (sf)
J 71953BAK9 BB+ (sf)
K 71953BAL7 BB (sf)
L 71953BAM5 BB- (sf)
M 71953BAN3 B- (sf)
*********
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.
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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
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liabilities delivered to nation's bankruptcy courts. The list
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Monthly Operating Reports are summarized in every Saturday edition
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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
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2012. All rights reserved. ISSN: 1520-9474.
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