/raid1/www/Hosts/bankrupt/TCR_Public/120902.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, September 2, 2012, Vol. 16, No. 244
Headlines
ACAS CLO 2012-1: S&P Gives 'BB-' Rating on Class E Notes
ALEXANDER PARK I: S&P Lowers Rating on Class A-1 Notes to 'CCC-'
ALEXANDER PARK I: S&P Withdraws 'D' Ratings on 5 Note Classes
ARCAP 2004-1: Fitch Lowers Ratings on Seven Note Classes
ARES XXIV: S&P Gives 'BB' Rating on Class D Deferrable Notes
BEAR STEARNS 2005-PWR7: Fitch Junks Rating on 4 Sub. Note Classes
BOMBARDIER CAPITAL: S&P Lowers Ratings on 2 Cert. Classes to 'B-'
CAPITAL TRUST 2004-1: Fitch Junks Rating on $29-Mil. Class B Notes
CAPITAL TRUST 2005-1: Fitch Affirms Junk Rating on 7 Note Classes
CARLYLE HIGH VII: S&P Raises Ratings on 2 Classes to 'BB+'
CENT CLO 16: S&P Gives 'BB' Rating on Class D Deferrable Notes
CITIGROUP MORTGAGE: Moody's Takes Action on $279MM Alt-A RMBS
COMM 2006-C8: Fitch Lowers Rating on 5 Distressed Cert. Classes
COMM 2012-CCRE2: Moody's Assigns 'B2' Rating to Cl. G Securities
CONTIMORTGAGE HOME: Moody's Corrects August 21 Rating Release
CSAB MORTGAGE 2006-2: Moody's Cuts Rating on A-2 Tranche to 'Ca'
CWALT INC: Moody's Lowers Ratings on Two RMBS Tranches to 'C'
CWCAPITAL COBALT: Moody's Affirms 'C' Ratings on 7 Note Classes
DEUTSCHE BANK 2010-C1: Fitch Affirms 'B-' Rating on Cl. G Certs
DOUBLE OAK: S&P Lowers Ratings on 4 Trust Series to 'BB'
EATON VANCE II: S&P Lowers Rating on Class A Notes to 'D'
ECP CLO 2012-3: S&P Affirms 'BB' Rating on Class D Notes
FLAGSHIP CLO VI: S&P Raises Rating on Class E Notes to 'BB'
GALAXY VII: Moody's Upgrades Rating on Class E Notes to 'Ba1'
GE COMMERCIAL 2005-C3: Fitch Junks Rating on 3 Cert. Classes
GLACIER FUNDING: Fitch Affirms Junk Ratings on Five Note Classes
GMAC MORTGAGE: Fitch Keeps Neg. Watch Rating on 17 RMBS Classes
GREENPOINT MORTGAGE: Moody's Cuts Rating on Cl. I-A-3 RMBS to 'C'
GSAA HOME 2005-3: Moody's Cuts Ratings on Two Tranches to 'C'
GSR MORTGAGE: Moody's Lowers Rating on Class 3-A-1 RMBS to 'Ca'
GULF STREAM-COMPASS 2007: S&P Ups Rating on Class E Notes to 'BB'
INDYMAC INDX: Moody's Lowers Ratings on Two Tranches to 'Caa3'
ING IM 2012-2: Moody's Assigns 'Ba2' Rating to Class E Notes
ING IM 2012-2: S&P Gives 'BB' Rating on Class E Deferrable Notes
JP MORGAN: Moody's Lowers Ratings on 4 Tranches to 'C'
JP MORGAN 2012-FL2: Fitch Rates $9.3-Mil. Class E Notes 'BB+'
JP MORGAN 2012-FL2: Moody's Rates Class E Certs. '(P)Ba2'
LATAM TRUST 2007-105: Fitch Cuts Rating on CLP5MM Notes to 'BB+'
KKR FINANCIAL: Moody's Raises Rating on Class F Notes to 'Ba1'
LEHMAN XS: Moody's Upgrades Rating on Class 3-A5A RMBS to 'Caa2'
MASTR ADJUSTABLE: Moody's Cuts Ratings on Two Tranches to 'Caa1'
MAXIM HIGH II: Fitch Cuts Rating on Two Class Notes to 'Dsf'
MUIR WOODS: S&P Gives 'B' Rating on Class F Deferrable Notes
METROFINANCIERA SAPI: Fitch Withdraws 'D' National LT Ratings
MORGAN STANLEY 2006-IQ11: Fitch Cuts Rating on Eight Cert. Classes
MORGAN STANLEY 2006-TOP23: Fitch Junks Rating on 6 Cert. Classes
N-STAR REAL II: Moody's Cuts Rating on Class C-1 Notes to 'B2'
N-STAR REAL VII: Moody's Affirms 'C' Ratings on 3 Note Classes
NATIONAL COLLEGIATE 2007-1: S&P Lowers Rating on B Notes to 'D'
NELNET STUDENT 2008-4: Moody's Cuts Rating on Cl. B Notes to Ba1
NEWSTAR 2006-1: Fitch Affirms 'BB' Rating on $13.75MM Cl. E Notes
NEWSTAR 2007-1: Fitch Affirms 'BB' Rating on $29.1MM Cl. E Notes
ORCHID STRUCTURED II: S&P Lowers Rating on Class A-1 Notes to 'D'
POPULAR ABS: Moody's Corrects August 21 Rating Release on Trusts
PPM GRAYHAWK: S&P Hikes Rating on Class D Notes to 'B-'; Off Watch
RAMPART CLO 2006-I: S&P Raises Rating on Class C Notes to 'BB+'
ROBECO HG: Fitch Lowers Rating on Two Note Classes to 'D'
SEQUOIA MORTGAGE 2011-2: Fitch Affirms 'BB' Rating on B-4 Notes
SHACKLETON I: S&P Gives 'BB' Rating on Class E Deferrable Notes
STREETERVILLE ABS: Moody's Cuts Rating on Cl. A-1 Secs. to 'Caa3'
TALMAGE STRUCTURED: Moody's Lifts Rating on Cl. B Notes to 'Caa3'
VERTICAL CRE 2006-1: S&P Lowers Rating on Class A Notes to 'D'
WACHOVIA BANK 2005-C17: Fitch Affirms Rating on All Cert. Classes
* Moody's Takes Rating Actions on $1.1-Bil. Alt-A RMBS Tranches
* Moody's Takes Rating Actions on $92MM Resecuritized RMBS
* S&P Raises Ratings on 11 Tranches From 8 CDO Deals; Off Watch
* S&P Lowers Ratings on 64 Tranches From 22 US CDO Transactions
* S&P Lowers Ratings on 442 Classes From 296 RMBS Deals to 'D'
* S&P Lowers Ratings on 53 Tranches From 18 US CDO Transactions
* S&P Withdraws Ratings on 35 Note Classes From 14 CDO Deals
*********
ACAS CLO 2012-1: S&P Gives 'BB-' Rating on Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to ACAS CLO 2012-1 Ltd./ACAS CLO 2012-1 LLC's $319.50
million floating- and fixed-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
"The preliminary ratings are based on information as of Aug. 28,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings," S&P said.
The preliminary ratings reflects 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
(excluding excess spread) and cash-flow structure, which can
withstand the default rate projected by Standard & Poor's CDO
Evaluator model, as assessed by Standard & Poor's using the
assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior-secured term
loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash-flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.34%-11.19%.
-- The transaction's overcollateralization (o/c) and interest
coverage tests, a failure of which will lead to the diversion
of interest and principal proceeds to reduce the balance of
the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/937.pdf.
PRELIMINARY RATINGS ASSIGNED
ACAS CLO 2012-1 Ltd./ACAS CLO 2012-1 LLC
Class Rating Amount (Mil. $)
A-1 AAA (sf) 208.50
A-2 AAA (sf) 10.00
B AA (sf) 48.00
C (deferrable) A (sf) 19.50
D (deferrable) BBB (sf) 17.00
E (deferrable) BB- (sf) 16.50
Subordinated notes NR 42.73
ALEXANDER PARK I: S&P Lowers Rating on Class A-1 Notes to 'CCC-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 notes to 'CCC- (sf)' from 'B (sf)' from Alexander Park CDO I
Ltd., a collateralized debt obligation (CDO) transaction backed by
mezzanine structured finance assets.
"According to a July 25, 2012, liquidation notice, the appropriate
noteholders in the transaction voted to liquidate the remaining
assets in the portfolio. We lowered our rating on the class A-1
notes to 'CCC- (sf)' based upon our assessment of the market value
of the collateral and the expectation that the tranche may not
receive its full payment of principal following liquidation," 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
ALEXANDER PARK I: S&P Withdraws 'D' Ratings on 5 Note Classes
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on the
class A-1, A-2, B, C, D-1, and D-2 notes from Alexander Park CDO I
Ltd., a collateralized debt obligation (CDO) transaction
previously backed by mezzanine structured finance assets.
"We received a notice and final note valuation report dated Aug.
24, 2012, indicating that the transaction had liquidated.
According to the note valuation report, the class A-1 noteholders
were paid in full; however, following payment in full of the class
A-1 notes, the proceeds from liquidation were not sufficient to
pay the full principal balance due to any other rated notes," 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 WITHDRAWN
Alexander Park CDO I Ltd.
Rating
Class To From
A-1 NR CCC- (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D-1 NR D (sf)
D-2 NR D (sf)
NR--Not rated.
ARCAP 2004-1: Fitch Lowers Ratings on Seven Note Classes
--------------------------------------------------------
Fitch Ratings downgrades five classes and affirms all investment
grade classes of Banc of America Commercial Mortgage Inc. (BACM)
commercial mortgage pass-through certificates series 2005-4.
The downgrades are the result of an increase in expected losses
associated with the specially serviced loans. Fitch modeled
losses of 10.5% for the remaining pool; expected losses of the
original pool balance are 9.7%, including 2.5% of realized losses.
As of the August 2012 distribution date, the pool's aggregate
principal balance has paid down by 31% to $1.18 billion, from
$1.59 billion at issuance. Twenty-three loans (19.3%) are
currently in special servicing. Fitch has identified fifty-four
loans (49%) as loans of concern, inclusive of loans in special
servicing. The transaction currently has $6 million in cumulative
interest shortfalls affecting classes G through P.
The largest contributor to Fitch modeled losses (1.1%) is a loan
secured by a 99,819 square foot (sf) office property located in
Hoffman Estates, IL, built in 1992. The loan was transferred to
the special servicer in November 2009 for payment default after a
considerable drop in occupancy. The special servicer is pursuing
foreclosure, and with litigation surrounding the loan, the
foreclosure process will likely face delays. The loan had been
previously modified; however, the modification agreement expired
in December 2011. The property is currently 56.1% occupied.
The second largest contributor to losses (2.3%) is a loan secured
by a 188,040 sf office building located in San Juan Capistrano,
CA. The top three tenants are Digibeam Corporation (7%) lease
expiry March 2013, Los Golondrinas Mex. Food/Arturo Galindo Jr.
(4%) lease expiry January 2019, and Semi Conductor Technology
Associates Inc. (3%) lease expiry December 2013. Approximately
(52%) of the tenant base expires within the next two years: 2012 -
20%, 2013 - 32%. No other tenant represents more than 2% of the
total NRA. The decline in performance is a result of declining
base rent due to low occupancy, coupled with an increase in
utilities. The year-end (YE) 2011 net operating income (NOI)
declined 5% from YE 2010 and 32% since issuance. The property is
performing below market in terms of occupancy, which was 73.4% as
of June 2012. Average in-place rents for the same period are
$15.41 sf. Per REIS, as of 2Q'2012, the Southern County market of
Orange County, CA vacancy rate is 19.3% with an asking rent
of$26.84 sf. The loan remains current.
The third largest contributor to losses (1.3%) is secured by a
250,153 sf retail property in Sandusky, OH, built in 1990. The
loan was transferred to special servicing in February 2011 due to
imminent default. The decline in performance is attributed to the
loss of one of the three major tenants (a former movie theatre)
which vacated at the end of 2010. Major tenants Staples and Lowes
requested lease modifications, which were approved. The borrower
remained current on payments until April 2012, when a modification
was requested due to limited finances for future debt service
payments. The borrower offered a discounted payoff which was
rejected by the special servicer. The loan matured on Aug. 1,
2012. The special servicer has filed for foreclosure. The
property is 76% occupied as of March 2012 with no leasing activity
in recent months.
Fitch downgrades, revises Outlook and Assigns and Revises Recovery
Ratings to the following classes as indicated below:
-- $15.9 million class C to 'Bsf' from 'BBsf'; Outlook revised
to Negative from Stable;
-- $29.7 million class D to 'CCCsf' from 'B-sf '; RE 60%;
-- $17.8 million class E to 'CCsf' from 'CCCsf'; RE 0%
-- $19.8 million class F to 'CCsf' from 'CCCsf'; RE 0%;
-- $17.8 million class G to 'Csf' from 'CCsf'; RE 0%.
Fitch also affirms the following classes as indicated below:
-- $72.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $70.0 million class A-4 at 'AAAsf'; Outlook Stable;
-- $40.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $485.9 million class A-5A at 'AAAsf'; Outlook Stable;
-- $69.4 million class A-5B at 'AAAsf'; Outlook Stable;
-- $162.7 million class A-1A at 'AAAsf'; Outlook Stable;
-- $97.1 million class A-J at 'BBB-sf''; Outlook Stable;
-- $31.7 million class B at 'BBsf'; Outlook Stable;
-- $23.8 million class H at 'Csf'; RE 0%;
-- $7.9 million class J at 'Csf'; RE 0%';
-- $7.9 million class K at 'Csf'; RE 0%';
-- $7.9 million class L at 'Csf'; RE 0%';
-- $1.8 million class M at 'Dsf'; RE 0%'.
Classes N and O have been depleted due to principal losses
incurred and remain at 'Dsf'; RE 0% due to principal losses
incurred.
The non-rated class P has also been depleted due to losses.
Classes A-1 and A-2 are paid in full.
ARES XXIV: S&P Gives 'BB' Rating on Class D Deferrable Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Ares XXIV CLO Ltd./Ares XXIV CLO LLC's $367.40 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. 27,
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 consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
-- The asset manager's experienced management team.
-- S&P's 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
0.3439%-12.6500%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/935.pdf
PRELIMINARY RATINGS ASSIGNED
Ares XXIV CLO Ltd./Ares XXIV CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 247.6
A-2 AA (sf) 45.4
B (deferrable) A (sf) 36.0
C (deferrable) BBB (sf) 20.5
D (deferrable) BB (sf) 17.9
Subordinated notes NR 43.7
NR-Not rated.
BEAR STEARNS 2005-PWR7: Fitch Junks Rating on 4 Sub. Note Classes
-----------------------------------------------------------------
Fitch Ratings has downgraded four subordinate classes of Bear
Stearns Commercial Mortgage Securities Trust (BSCMSI), series
2005-PWR7, and affirmed all investment grade classes.
The downgrades reflect an increase in actual and expected losses
across the pool since last review. Fitch modeled losses of 4.41%
of the outstanding pool. The expected losses of the original pool
are 5.38%, which includes 2.27% in losses realized to date. Fitch
designated 26 loans (35.07% of the pool balance) as Loans of
Concern, which include four specially serviced loans (7.67%).
Seven of the Fitch Loans of Concern (22.94%) are within the
transaction's top 15 loans by unpaid principal balance.
As of the August 2011 distribution date, the pool's aggregate
principal balance has been reduced by 29.46% (including realized
losses) to $793 million from $1.12 billion at issuance. Six loans
(5.07%) are currently defeased. Interest shortfalls are affecting
classes H through Q.
The largest contributor to Fitch-modeled losses is the Quintard
Mall loan (4.10% of pool balance) which is secured by 375,486
square foot (sf) of a 621,752sf regional mall located in Oxford,
AL, approximately 60 miles east of Birmingham. The property is
anchored by JC Penny (32% of the net rentable area [NRA]) with a
lease expiring in 2014, with three five-year extension options
remaining. Non-collateral anchors include Dillards (126,000sf)
and Sears (120,266sf), which have operating agreements in place
that expire in 2015 and 2020. Occupancy reported at 96% as of
March 2012.
Although occupancy has been stable, the property has experienced
cash flow issues in recent years due to base rental revenue
declines from decreased rents, rent concessions, and reduced
percentage income. Due to a reduction in expenses, the year-end
(YE) December 2010 debt service coverage ratio (DSCR) had slightly
improved to 1.11 times (x) from 0.98x at YE 2009. However the YE
2011 DSCR had fallen to 0.97x due to continued declines in rental
revenues. The loan remains current as of the August 2012
distribution date.
The next largest contributor to Fitch-modeled losses is the Shops
at Boca Park loan (5.2%), which was originally secured by 140,415
square feet (sf) of retail space and a 139,000sf ground lease
anchor pad within a lifestyle center located in Summerlin, NV,
northwest of Las Vegas. The property is shadow anchored by Target
Greatland and Vons.
The loan transferred to special servicing in October 2009 due to
imminent default. The borrower initially discussed modification
and forbearance options with the special servicer, but filed for
Chapter 11 bankruptcy protection on June 17, 2010. A cash
collateral order is in place as of August 2010 that requires the
borrower to make monthly payments. In June 2011, the ground lease
pad was sold while in special servicing with proceeds from the
sale applied towards the outstanding principal balance. The
lender and sponsor have negotiated a consensual plan and are in
the process of documentation. The Disclosure Statement hearing
and Confirmation Plan hearing are scheduled to occur within the
next few months.
The third largest contributor to Fitch-modeled losses is secured
by a 121,294sf industrial property located in Carlstadt, NJ
(1.31%). The property has experienced cash flow issues due to the
vacancy of a large tenant (73% NRA) in May 2010. The borrower was
able to release the entire vacated space to a new single tenant
with a 15 year lease beginning March 2011, however, at a
significantly lower rent than the previous tenant. Despite
occupancy improving to 96% as of December 2011, compared to 23%
one year prior, the NOI DSCR remains low reporting at 0.50x and
0.46x for YE December 2011 and YE 2010, respectively. The loan
remains current as of the August 2012 distribution date.
Fitch downgrades the following classes and assigns Recovery
Estimates (REs) as indicated:
-- $11.2 million class F to 'CCCsf' from 'B-sf'; RE 100%;
-- $9.8 million class G to 'CCsf' from 'CCCsf'; RE 35%;
-- $12.7 million class H to 'CCsf' from 'CCCsf'; RE 0%;
-- $4.2 million class J to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch affirms the following classes:
-- $11.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $54.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $527.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $85.7 million class AJ at 'AAsf'; Outlook Stable;
-- $33.7 million class B at 'BBBsf'; Outlook Stable;
-- $8.4 million class C at 'BBB-sf'; Outlook Stable;
-- $15.5 million class D at 'BBsf'; Outlook Stable;
-- $11.2 million class E at 'Bsf'; Outlook Stable;
-- $4.2 million class K at 'Csf'; RE 0%;
-- $2.6 million class L at 'Dsf'; RE 0%;
-- Class M at 'Dsf'; RE 0%;
-- Class N at 'Dsf'; RE 0%;
-- Class P at 'Dsf'; RE 0%.
Class A-1 has paid in full. The balances for classes M, N, P and
the unrated class Q have been reduced to zero due to realized
losses.
Fitch had previously withdrawn the rating on the interest-only
classes X-1 and X-2.
BOMBARDIER CAPITAL: S&P Lowers Ratings on 2 Cert. Classes to 'B-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of pass-through certificates from Bombardier Capital
Mortgage Securitization Corp.'s series 1998-C and 1999-A. These
transactions are manufactured housing contract asset-backed
securities (ABS) transactions backed by fixed-rate manufactured
housing loans originated by Bombardier Capital Inc. "At the same
time, our ratings on seven certificates issued from these trusts
remain 'D (sf)'," S&P said.
"The lowered ratings reflect our view that the available credit
enhancement is no longer sufficient to support our previous
ratings given our expected cumulative net losses," S&P said.
"We differentiated the class A ratings in series 1999-A to reflect
our view that the class A-2 and A-3 certificates are vulnerable to
nonpayment of full principal by their stated legal final maturity
date of Feb. 15, 2015. and Jan. 15, 2018, respectively. Due to the
high cumulative net losses, the transaction has not been
generating enough collections to pay the scheduled principal
distribution to the class A certificates. Because of this, the
class A certificates have accumulated an unpaid principal
shortfall amount. Based on the transactions' payment waterfalls,
the unpaid principal shortfall is being distributed pro rata to
the class A certificates prior to any normal sequential payment
distribution. Given the impact of net losses, the speed of the
principal pay down and the expectation that the pro rata principal
payments will continue, we believe it is unlikely that the class
A-2 certificate will pay out by its legal final maturity in
February 2015, which would result in a principal default. We also
believe class A-3 is vulnerable to a principal default by its
final maturity despite the later date of January 2018. Classes A-4
and A-5 have a greater likelihood of payment of full principal as
their legal final maturity dates are further out at March 2029,"
S&P said.
"Our ratings on classes M-1, M-2, and B-1 from series 1998-C and
M-1, M-2, B-1, and B-2 from series 1999-A remain 'D (sf)' to
reflect continued interest shortfalls," S&P said.
"Although both transactions have performed worse than our initial
expectations (see table 1), the pace of losses over the past few
years has remained stable. As such, we are maintaining our
lifetime cumulative net loss expectations from our review in July
2010 (see table 2)," S&P said.
Table 1
Collateral Performance (5)
As of the August 2012 distribution
Series Mos.since issuance Pool Factor 90+ day delinquencies
1998-C 165 19.30% 1.71%
1999-A 163 20.07% 1.46%
Table 2
Cumulative Net Loss
Series Current CNL Maintained lifetime CNL
1998-C 38.97% 45.00%-48.00%
1999-A 39.39% 45.00%-48.00%
CNL-cumulative net loss
"Both transactions were initially structured with
overcollateralization (O/C) and subordination. However, O/C has
been completely depleted and all classes below the M-1 class have
been completely written down, resulting in no subordination to the
mezzanine or subordinate classes. While excess spread is available
to cover losses, very little excess spread is being generated,"
S&P said.
"Table 3 shows the current hard credit support as a percent of the
current pool balance for the class A notes in each transaction.
Although losses have slowed in recent years, the classes
subordinate to class A continue to experience principal write
downs. However, the pace of class A principal payments still
outpaces the speed of write downs on class M-1, the class
currently being written down for each series. As such, this has
helped maintain sufficient credit enhancement as a percent of the
amortizing collateral balance at the respective rating levels,"
S&P said.
Table 3
Hard Credit Support (%)
As of the August 2012 performance month (i)
Series Class Current hard credit support (*) (% of current)
1998-C A 35.38
1999-A A 29.72
(*)Consists of M-1 subordination only for the class A tranche.
"Our analysis of each transaction incorporated the review of
current and historical performance to estimate future performance.
The various scenarios included forward looking assumptions on
defaults and recoveries that we believe are appropriate given the
transactions' current performance," S&P said.
"Standard & Poor's will continue to monitor the performance of the
transactions relative to their cumulative net loss expectations
and the available credit enhancement. We will take rating actions
as we consider appropriate," 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 are available at :
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Bombardier Capital Mortgage Securitization Corp.
Rating
Series Class To From
1998-C A B (sf) B+ (sf)
1999-A A-2 CCC (sf) B (sf)
1999-A A-3 CCC+ (sf) B (sf)
1999-A A-4 B- (sf) B (sf)
1999-A A-5 B- (sf) B (sf)
OTHER RATINGS OUTSTANDING
Bombardier Capital Mortgage Securitization Corp.
Series Class Rating
1998-C M-1 D (sf)
1998-C M-2 D (sf)
1998-C B-1 D (sf)
1999-A M-1 D (sf)
1999-A M-2 D (sf)
1999-A B-1 D (sf)
1999-A B-2 D (sf)
CAPITAL TRUST 2004-1: Fitch Junks Rating on $29-Mil. Class B Notes
------------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed six classes of
Capital Trust RE CDO 2004-1 (Capital Trust 2004-1) reflecting
Fitch's base case loss expectation of 75.4%. Fitch's performance
expectation incorporates prospective views regarding commercial
real estate market value and cash flow declines.
CT 2004-1 is a CRE collateralized debt obligation (CDO) managed by
CT Investment Management Co., LLC (CTIMCO). As of the August 2012
trustee report, the CDO was invested as follows: B-notes (90%) and
CMBS (10%). Since Fitch's last rating action, the capital
structure has paid down by $27 million. Realized losses over the
same period were approximately $17 million. As of the August 2012
trustee report, the C/D/E overcollateralization test was failing.
The transaction is highly concentrated with only 11 assets
remaining in the portfolio. Approximately 50.6% of the pool is
currently defaulted while a further 32.1% are considered assets of
concern. Fitch expects significant losses on most of the assets
as they are generally highly leveraged subordinate positions.
Under Fitch's methodology, approximately 89.5% 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 18.2% from, generally, year-end 2011 or trailing 12-
month first quarter 2012. Modeled recoveries are low at 15.7%.
The largest component of Fitch's base case loss expectation is a
defaulted B-note (20.1% of the pool) secured by a full service
hotel located near Waikiki Beach in Hawaii. The loan defaulted in
May 2012 at loan maturity, and the special servicer has since
filed a foreclosure action. Fitch modeled a substantial loss in
its base case scenario on this overleveraged position.
The next largest component of Fitch's base case loss expectation
is a defaulted B-note (14.1%) secured by a portfolio of office
properties located in San Diego and Los Angeles, CA. As of April
2012, portfolio occupancy had declined to 64.5% with an additional
29% of the space expiring by the end of 2014. The loan defaulted
in August 2011 at loan maturity. Fitch modeled a substantial loss
in its base case scenario on this overleveraged position.
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'. The
breakeven rates for class A-2 are consistent with the rating
listed below.
The Stable Outlook on class A-2 generally reflects the class's
seniority in the capital stack and expectation of continued
further paydown over the near term.
The ratings for classes B through G 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 classes credit enhancement.
Fitch downgrades the following class as indicated:
-- $29,167,000 class B to 'CCCsf' from 'Bsf'; RE 60%;
Fitch affirms the following classes as indicated:
-- $21,832,586 class A-2 at 'BBsf'; Outlook Stable;
-- $19,444,000 class C at 'CCsf'; RE 0%;
-- $21,065,000 class D at 'Csf'; RE 0%;
-- $3,241,000 class E at 'Csf'; RE 0%;
-- $6,481,000 class F at 'Csf'; RE 0%;
-- $16,204,000 class G at 'Csf'; RE 0%.
CAPITAL TRUST 2005-1: Fitch Affirms Junk Rating on 7 Note Classes
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed seven classes
of Capital Trust RE CDO 2005-1 (Capital Trust 2005-1). Fitch's
base case loss expectation for the transaction is 44%. Fitch's
performance expectation incorporates prospective views regarding
commercial real estate market value and cash flow declines.
On March 20, 2012, the Trustee declared an event of default (EOD)
due to non-payment of full and timely accrued interest to the
class B notes. The class B notes are a non-deferrable class and
are downgraded to 'Dsf' due to default in the timely payment of
their accrued interest. Noteholders had not given direction to
accelerate the notes or liquidate the portfolio at the time of
this review.
The CDO's current high default rate (45.6%) and additional assets
with interest shortfalls (10.5%) has led to a decreasing amount of
available interest proceeds. In recent payment periods, interest
was insufficient to pay timely interest; the availability of
future proceeds cannot be accurately predicted at this time.
Class A notes are affirmed at 'CCCsf' due to the possibility of
missed timely interest in the future, which would constitute a
default. However, ultimate recoveries to the class could be
significant.
Capital Trust 2005-1 is a CRE collateralized debt obligation (CDO)
managed by CT Investment Management Co., LLC (CTIMCO). As of the
August 2012 trustee report, the CDO was invested as follows: B-
notes (62.1%), mezzanine debt (14.3%), CMBS (9.8%) and CDOs
(13.7%). Since Fitch's last rating action, the capital structure
has paid down by $50.7 million. Realized losses over the same
period were approximately $44.6 million. As of the August 2012
trustee report, all overcollateralization (OC) and interest
coverage (IC) tests are failing their respective triggers.
The transaction is concentrated with only 16 assets remaining in
the portfolio. Approximately 45.6% of the pool is currently
defaulted while a further 19% are considered assets of concern.
Under Fitch's methodology, approximately 64.4% 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 15.1% from, generally, year-end 2011 or trailing 12-
month first quarter 2012. Modeled recoveries are 31.7%.
The largest component of Fitch's base case loss expectation is a
defaulted B-note (9.6% of the pool) secured by a full service
hotel located in Long Beach, CA. The loan defaulted at loan
maturity in July 2012. Despite an increase to the cash flow since
the last review, the loan continues to be overleveraged. Fitch
modeled a substantial loss in its base case scenario.
The next largest component of Fitch's base case loss expectation
is a defaulted B-note (3.8%) secured by two hotel gaming
properties in Tunica, MS totaling 439 rooms. Two other properties
were released. The loan was foreclosed on Nov. 2011 and two
properties remain REO. Fitch modeled a substantial loss in its
base case scenario due to its overleveraged position. 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 ratings for classes C 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 classes credit enhancement.
Fitch downgrades the following class:
-- $39,309,000 class B to 'Dsf' from 'CCsf'; RE 60%;
Fitch affirms the following classes:
-- $67,782,497 class A at 'CCCsf'; RE 100%;
-- $21,110,000 class C at 'Csf'; RE 0%;
-- $14,354,000 class D at 'Csf'; RE 0%;
-- $15,199,000 class E at 'Csf'; RE 0%;
-- $6,755,000 class F at 'Csf'; RE 0%;
-- $6,755,000 class G at 'Csf'; RE 0%;
-- $10,133,000 class H at 'Csf'; RE 0%.
CARLYLE HIGH VII: S&P Raises Ratings on 2 Classes to 'BB+'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-3, B, C, D-1, and D-2 notes from Carlyle High Yield
Partners VII Ltd., a collateralized loan obligation (CLO)
transaction managed by Carlyle Investment Management LLC, and
removed them from CreditWatch, where S&P placed them with positive
implications on June 18, 2012. "At the same time we affirmed the
'AAA (sf)' rating on the A-2-A notes. In addition, we affirmed the
'AAA (SF)' rating on the Metropolis II LLC Series 2010-2 class A
notes, a CDO Retranching of the A-2-A notes of Carlyle High Yield
Partners VII Ltd.," S&P said.
"Carlyle High Yield Partners VII Ltd. ended its reinvestment
period in September 2011 and has commenced paying down the A-1, A-
2, and A-3 notes. In the event of a coverage test failure, the
transaction pays down portions owed to the A-3 notes to the A-2
notes; otherwise the payment is prorated to all the A notes. On
account of earlier coverage test failures, the A-2 notes have been
paid down to a larger extent than the A-1 and A-3 notes. As of the
June 2012 payment date, the A-1 notes have been paid out to 68.83%
of their original balance while corresponding numbers for the A-2
notes and A-3 notes are 68.58% and 70.47%. Currently all the
overage tests are passing and the transaction is making prorated
payments to all the class A notes," S&P said.
"As per the Aug. 3, 2012, monthly report, the trustee noted that
the transaction currently has $1.46 million in defaulted assets,
down from $7.03 million noted in the Sept. 20, 2010, report, which
we used for our analysis in our October 2010 rating actions," S&P
said.
"Based on the above improvements, we raised our ratings on six
classes that were previously on CreditWatch positive due to an
increase in the credit support since our last upgrade in October
2010 and affirmed the rating on the A-2-A notes," S&P said.
"Metropolis II LLC Series 2010-2 is a CDO retranching of the A-2-A
notes of Carlyle High Yield Partners VII Ltd. All principal
payments received by the A-2-A notes of Carlyle High Yield
Partners VII Ltd. pay down the class A notes of the retranche. As
a result, the class A notes of the retranche have paid down to
62.80% of their original balance and can maintain their current
rating of 'AAA (sf)'," S&P said.
"Standard & Poor's will continue to review whether, in our view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Carlyle High Yield Partners VII Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-3 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA- (sf)/Watch Pos
C A (sf) BBB+ (sf)/Watch Pos
D-1 BB+ (sf) B+ (sf)/Watch Pos
D-2 BB+ (sf) B+ (sf)/Watch Pos
RATING AFFIRMATIONS
Carlyle High Yield Partners VII Ltd.
Class Rating
A-2-A AAA (sf)
Metropolis II, LLC
Series 2010-2
Class Rating
A AAA (sf)
TRANSACTION INFORMATION
Issuer: Carlyle High Yield Partners VII Ltd.
Coissuer: Carlyle High Yield Partners VII Inc.
Collateral manager: Carlyle Investment Management LLC
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
Issuer: Metropolis II, LLC
Transaction type: CDO Retranching
CENT CLO 16: S&P Gives 'BB' Rating on Class D Deferrable Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Cent CLO 16 L.P./Cent CLO 16 Corp.'s $368.0 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. 29,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's 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 consists primarily
of broadly syndicated speculative-grade senior-secured term
loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3439%-12.6500%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
-- The transaction's interest reinvestment test, a failure of
which during the reinvestment period will lead to the
reclassification of excess interest proceeds that are
available prior to paying subordinated management fees,
uncapped administrative expenses, and limited partnership
certificate payments to principal proceeds for the purchase of
collateral assets or, at the collateral manager's discretion,
to reduce the balance of the rated notes outstanding
sequentially.
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/938.pdf.
PRELIMINARY RATINGS ASSIGNED
Cent CLO 16 L.P./Cent CLO 16 Corp.
Class Rating Amount
(mil. $)
A-1a AAA (sf) 245.50
A-1b AAA (sf) 10.00
A-2 AA (sf) 45.50
B (deferrable) A (sf) 31.00
C (deferrable) BBB (sf) 19.00
D (deferrable) BB (sf) 17.00
L.P. certificates NR 45.15
L.P.-Limited partnership.
NR-Not rated.
CITIGROUP MORTGAGE: Moody's Takes Action on $279MM Alt-A RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded 24 tranches, upgraded 5
tranches and confirmed the rating on one tranche from 10 RMBS
transactions issued by Citi. The collateral backing these deals
primarily consists of first-lien, Alt-A residential mortgages. The
actions impact approximately $279 million of RMBS issued from 2005
to 2007.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust Series 2005-8
Cl. III-A1, Downgraded to B3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. III-XS, Downgraded to B3 (sf); previously on Nov 19, 2010
Downgraded to B1 (sf)
Cl. III-PO, Downgraded to Caa1 (sf); previously on Nov 19, 2010
Downgraded to B1 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-1
Cl. III-A1, Downgraded to B2 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. III-A2, Downgraded to B3 (sf); previously on Dec 14, 2010
Downgraded to Ba1 (sf)
Cl. III-XS, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. III-PO, Downgraded to B2 (sf); previously on Dec 14, 2010
Downgraded to Baa3 (sf)
Cl. III-B1, Downgraded to Ca (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-2
Cl. II-A1-1, Downgraded to Ba1 (sf); previously on Nov 19, 2010
Downgraded to Baa2 (sf)
Cl. I-A4, Downgraded to Caa1 (sf); previously on Nov 19, 2010
Downgraded to B3 (sf)
Cl. II-PO1, Downgraded to Ba2 (sf); previously on Nov 19, 2010
Downgraded to Baa3 (sf)
Cl. II-A1-2, Downgraded to Ba2 (sf); previously on Nov 19, 2010
Downgraded to Baa2 (sf)
Cl. II-A2, Downgraded to Baa3 (sf); previously on Nov 19, 2010
Downgraded to Baa1 (sf)
Cl. II-PO2, Downgraded to Ba1 (sf); previously on Nov 19, 2010
Downgraded to Baa2 (sf)
Cl. II-B1, Downgraded to Caa3 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. II-B2, Downgraded to C (sf); previously on Nov 19, 2010
Downgraded to Ca (sf)
Issuer: CitiMortgage Alternative Loan Trust 2006-A1
Cl. IIA-1, Downgraded to Baa2 (sf); previously on May 30, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Issuer: Citigroup Mortgage Loan Trust, Series 2005-WF2
Cl. AF-4, Downgraded to Caa1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. MV-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. MV-2, Upgraded to Caa1 (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: CitiMortgage Alternative Loan Trust 2006-A6
Cl. IIA-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-IO, Downgraded to Caa1 (sf); previously on Dec 14, 2010
Confirmed at B3 (sf)
Issuer: CitiMortgage Alternative Loan Trust 2007-A1
Cl. IIA-1, Confirmed at B3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiMortgage Alternative Loan Trust 2007-A5
Cl. IIA-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. IIA-IO, Downgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to B2 (sf)
Cl. A-PO, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Downgraded to C (sf)
Issuer: CitiMortgage Alternative Loan Trust 2007-A6
Cl. IIA-1, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. IIA-IO, Upgraded to Caa1 (sf); previously on Dec 14, 2010
Downgraded to Caa2 (sf)
Issuer: CitiMortgage Alternative Loan Trust Series 2007-A7
Cl. IIIA-1, Downgraded to Ba1 (sf); previously on May 30, 2012
Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. IIIA-2, Downgraded to Ba3 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Downgrade
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 upgrades, downgrades,
confirmations.
The upgrades are due to significant improvement in collateral
performance, and rapid build-up in credit enhancement due to high
prepayments.
The downgrades are a result of deteriorating performance and
structural features resulting in 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. 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 8.2% 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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF295995
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
COMM 2006-C8: Fitch Lowers Rating on 5 Distressed Cert. Classes
---------------------------------------------------------------
Fitch Ratings has downgraded five distressed classes of COMM 2006-
C8 commercial mortgage pass-through certificates and revised the
Rating Outlook of class A-M to Negative from Stable.
The downgrades are the result of an increase in expected losses
from both the remaining and newly transferred specially serviced
loans since Fitch's last rating action in September 2011. The
Negative Outlook for class A-M is due to uncertainty regarding the
final resolution of several specially serviced loans and potential
performance deterioration of other Fitch Loans of Concerns.
Fitch modeled losses of 10.8% of the remaining pool. Actual and
modeled losses of the original pool balance are at 13.7%. As of
the August 2012 distribution date, the pool's aggregate principal
balance has decreased 21.1% to $3.02 billion from $3.78 billion at
issuance, including 5% of realized losses to-date.
Fitch has designated 39 loans (32.1%) as Fitch Loans of Concern,
including 21 specially serviced loans (13.8%). Three of the
specially serviced loans (4.9%) are within the top 15 loans of the
pool (by unpaid principal balance). The second largest loan (8%)
has defeased. Interest shortfalls are affecting classes D through
S, with cumulative interest shortfalls totaling $21.9 million.
The largest contributor to modeled losses is secured by a pari
passu portion of a portfolio of 48 self-storage facilities (5%).
The facilities are located in six states, with the largest
concentration in Michigan (50% of allocated loan amount). At
issuance, the loan was underwritten to a stabilized cash flow
based on increased occupancy at market rents. The most recent
servicer reported combined occupancy as of June 2012 is 78.8%,
compared to 76.8% at issuance. The servicer-reported year-end
(YE) 2011 debt service coverage ratio (DSCR) is 1.13x. As of YE
2011, $1.7 million remains in the debt service reserve, which
cannot be released until the property achieves a trailing six-
month DSCR of 1.20x. The loan remains current and with the master
servicer.
The second largest contributor to modeled losses (2.6%) consists
of 405,000 square feet (sf) of a 689,601 sf regional mall located
in Clovis, CA. Property performance deteriorated due to the
bankruptcy and subsequent store closings of Mervyn's and
Gottschalk in 2009, which together represented 27.3% of the
center's net rentable area (NRA). The Mervyn's pad was under a
ground lease, which was subsequently purchased by Kohl's.
Occupancy as of July 2012 is 72% compared to 77% at YE 2011, well
below 87.9% at issuance. The servicer-reported DSCR as of YE 2011
is 0.99x, compared to 1.37x at issuance.
The third largest contributor to modeled losses (1.2%) is a
130,268 sf office property located in Las Vegas, NV. The loan was
transferred to special servicing for imminent default in August
2011 and became a real estate owned asset (REO) in June 2012
through foreclosure. The property occupancy rate as of April 2012
was 72%. The largest tenant is University of Phoenix (28.4%) with
a lease expiring at YE 2012. The most current appraisal value
provided by the special servicer indicates losses upon liquidation
of the asset.
Fitch has downgraded the following classes and revised Recovery
Estimates (RE) to the following classes as indicated:
-- $28.3 million class B to 'CCsf' from 'CCCsf'; RE 0%;
-- $42.5 million class C to 'CCsf' from 'CCCsf'; RE 0%;
-- $37.8 million class D to 'CCsf' from 'CCCsf'; RE 0%;
-- $23.6 million class E to 'Csf' from 'CCsf'; RE 0%;
-- $28.3 million class F to 'Csf' from 'CCsf'; RE 0%;
Fitch has affirmed the following classes and revised Rating
Outlooks as indicated:
-- $145.1 million class A-2B at 'AAAsf'; Outlook Stable;
-- $244.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $92.5 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1.1 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $666.5 million class A-1A at 'AAAsf'; Outlook Stable;
-- $377.6 million class A-M at 'AAsf'; Outlook to Negative from
Stable;
-- $302.1 million class A-J at 'CCCsf'; RE80%;
-- $51.9 million class G at 'Csf'; RE 0%;
-- $37.8 million class H at 'Csf'; RE 0%;
-- $12.5 million class J at 'Dsf'; RE 0%.
Classes A-1 and A-2A have paid in full. Classes K through S have
been depleted due to recognized losses. Classes K through O
remain at 'Dsf/RE0%'. Fitch does not rate classes P through S.
Fitch withdrew the ratings on the interest-only classes, X-P and
X-S at prior review.
COMM 2012-CCRE2: Moody's Assigns 'B2' Rating to Cl. G Securities
----------------------------------------------------------------
Moody's Investors Service has assigned ratings to eighteen classes
of CMBS securities, issued by COMM 2012-CCRE2 Mortgage Trust.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. A-M, Definitive Rating Assigned Aaa (sf)
Cl. A-M-PEZ, Definitive Rating Assigned Aaa (sf)*
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. B-PEZ, Definitive Rating Assigned Aa2 (sf)*
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. C-PEZ, Definitive Rating Assigned A2 (sf)*
Cl. PEZ, Definitive Rating Assigned A2 (sf)*
Cl. D, Definitive Rating Assigned Baa1 (sf)*
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)**
Cl. X-B, Definitive Rating Assigned Ba3 (sf)**
* 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.
CONTIMORTGAGE HOME: Moody's Corrects August 21 Rating Release
-------------------------------------------------------------
Moody's Investors Service issued a correction to the August 21,
2012 rating release on ContiMortgage Home Equity Loan Trust 1996-4
A-11IO.
Moody's Investors Service has affirmed 92 tranches from 57 deals
and downgraded three tranches from three RMBS transactions backed
by Jumbo, Alt-A, Option ARMs, Subprime, and Scratch and Dent,
Resecuritizations, and Manufactured Housing issued between 1995
and 2007 due to the application of a global methodology for rating
structured finance IO securities.
Complete rating actions are as follows:
Issuer: GSR Mortgage Loan Trust 2004-5
Cl. 1AX, Affirmed at B3 (sf); previously on Apr 21, 2011
Downgraded to B3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-9
Cl. AX, Affirmed at C (sf); previously on Dec 7, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Securities Corp Trust 2003-38
Cl. 2-A3, Affirmed at Baa1 (sf); previously on Jul 5, 2012
Confirmed at Baa1 (sf)
Issuer: Structured Asset Securities Corporation Trust 2007-9
Cl. AXP, Downgraded to Ca (sf); previously on Feb 24, 2011
Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6
Trust
Cl. X, Affirmed at Caa3 (sf); previously on Dec 3, 2010
Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR15
Cl. X, Affirmed at Caa3 (sf); previously on Dec 3, 2010
Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR19
Cl. X, Affirmed at Caa3 (sf); previously on Dec 3, 2010
Downgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR1
Cl. X, Affirmed at C (sf); previously on Dec 3, 2010 Downgraded
to C (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR15
Cl. 1X-PPP, Affirmed at Ca (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Cl. 2X-PPP, Affirmed at Ca (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR3
Cl. X, Affirmed at C (sf); previously on Dec 3, 2010 Downgraded
to C (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2007-OA4
Cl. 1X-PPP, Affirmed at Caa3 (sf); previously on Dec 3, 2010
Confirmed at Caa3 (sf)
Cl. 2X-PPP, Affirmed at Ca (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2005-AR1 Trust
Cl. X-4, Affirmed at Ca (sf); previously on Dec 7, 2010
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2006-AR1 Trust
Cl. X-2, Affirmed at Ca (sf); previously on Dec 7, 2010
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series
2007-OA4 Trust
Cl. X-PPP, Affirmed at Ca (sf); previously on Dec 22, 2010
Confirmed at Ca (sf)
Issuer: American Home Mortgage Assets Trust 2007-5
Cl. X-P, Affirmed at Ca (sf); previously on Dec 22, 2010
Confirmed at Ca (sf)
Issuer: Banc of America Alternative Loan Trust 2003-2
Cl. CB-6, Affirmed at Aa3 (sf); previously on Mar 15, 2011
Downgraded to Aa3 (sf)
Issuer: Banc of America Alternative Loan Trust 2005-6
Cl. CB-8, Affirmed at Caa2 (sf); previously on Apr 26, 2010
Downgraded to Caa2 (sf)
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-F
Cl. 1-X, Affirmed at C (sf); previously on Dec 14, 2010
Downgraded to C (sf)
Issuer: Bella Vista Mortgage Trust 2005-1
Cl. I-A-X, Affirmed at C (sf); previously on Dec 14, 2010
Downgraded to C (sf)
Cl. B-X, Affirmed at C (sf); previously on Dec 14, 2010
Downgraded to C (sf)
Issuer: CHL Mortgage Pass-Through Trust 2005-11
Cl. 3-X, Affirmed at C (sf); previously on Dec 5, 2010 Downgraded
to C (sf)
Cl. 4-X, Affirmed at C (sf); previously on Dec 5, 2010 Downgraded
to C (sf)
Issuer: CHL Mortgage Pass-Through Trust 2005-HYB1
Cl. 2-A-X, Affirmed at C (sf); previously on Dec 5, 2010
Downgraded to C (sf)
Issuer: CHL Mortgage Pass-Through Trust 2007-4
Cl. 1-A-29, Affirmed at Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-70, Affirmed at Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2003-UP2
Cl. S-1, Affirmed at Aa2 (sf); previously on Mar 14, 2011
Downgraded to Aa2 (sf)
Issuer: ContiMortgage Home Equity Loan Trust 1995-04
A-13IO, Affirmed at Caa2 (sf); previously on Mar 7, 2011
Downgraded to Caa2 (sf)
Underlying Rating: Affirmed at Caa2 (sf); previously on Mar 7,
2011 Downgraded to Caa2 (sf)
Issuer: ContiMortgage Home Equity Loan Trust 1996-4
A-11IO, Current Rating: B3 (sf); previously on Dec 19, 2011 B3
(sf) placed on review for possible downgrade
Underlying Rating: Affirmed at Caa2 (sf); previously on Mar 7,
2011 Downgraded to Caa2 (sf)
Issuer: CSFB Adjustable Rate Mortgage Trust 2005-6A
Cl. 2-X, Affirmed at C (sf); previously on Dec 17, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-14
Cl. 2-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 3-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 4-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-16
Cl. X-1, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. X-2, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-17
Cl. 1-X-1, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 1-X-2, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 1-X-3, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 2-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-24
Cl. 1-A-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 2-A-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. II-A-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-36
Cl. I-A-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-38
Cl. X, Affirmed at C (sf); previously on Nov 23, 2010 Downgraded
to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-51
Cl. 2-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 3-X-1, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 3-X-2, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 4-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Cl. 1-X, Affirmed at C (sf); previously on Nov 23, 2010
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-56
Cl. 1-X, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded
to C (sf)
Cl. 2-X-1, Affirmed at C (sf); previously on Dec 9, 2010
Downgraded to C (sf)
Cl. 2-X-2, Affirmed at C (sf); previously on Dec 9, 2010
Downgraded to C (sf)
Cl. 3-X, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded
to C (sf)
Cl. 4-X, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded
to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J6
Cl. 1-A-7, Affirmed at Caa1 (sf); previously on Feb 16, 2012
Downgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-OA9
Cl. X-1, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded
to C (sf)
Cl. X-2, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded
to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-AL1
Cl. X-P, Affirmed at C (sf); previously on Feb 19, 2009
Downgraded to C (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2007-OA11
Cl. X-P, Affirmed at C (sf); previously on Dec 9, 2010 Downgraded
to C (sf)
Issuer: IndyMac IMSC Mortgage Loan Trust 2007-HOA1
Cl. AXPP, Affirmed at Ca (sf); previously on Dec 1, 2010
Confirmed at Ca (sf)
Issuer: ContiMortgage Home Equity Loan Trust 1997-1
A-10IO, Downgraded to Caa1 (sf); previously on Mar 7, 2011
Downgraded to Ba2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2005-5
Cl. II-X, Affirmed at B1 (sf); previously on Feb 16, 2012
Downgraded to B1 (sf)
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS1
Cl. A-X, Affirmed at Ca (sf); previously on May 24, 2011
Downgraded to Ca (sf)
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS4
Cl. A-X, Affirmed at Caa2 (sf); previously on May 12, 2011
Downgraded to Caa2 (sf)
Issuer: Deutsche Mortgage Securities, Inc. REMIC Trust
Certificates, Series 2008-RS1
Cl. 2-A-X, Affirmed at Aaa (sf); previously on Aug 2, 2011
Confirmed at Aaa (sf)
Cl. 3-A-X, Affirmed at C (sf); previously on May 14, 2009
Downgraded to C (sf)
Cl. 4-A-X, Affirmed at C (sf); previously on May 14, 2009
Downgraded to C (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR10
Cl. A-X, Affirmed at C (sf); previously on Dec 1, 2010 Downgraded
to C (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR14
Cl. B-X, Affirmed at C (sf); previously on Feb 20, 2009
Downgraded to C (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR4
Cl. A-X-2, Affirmed at C (sf); previously on Dec 1, 2010
Downgraded to C (sf)
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR6
Cl. A-X-2, Affirmed at C (sf); previously on Dec 1, 2010
Downgraded to C (sf)
Issuer: Lehman ABS Manufactured Housing Contract
Senior/Subordinate Asset-Backed Certificates, Series 2001-B
Cl. A-IOC, Downgraded to Caa2 (sf); previously on Dec 15, 2011
Downgraded to Baa1 (sf)
Issuer: Lehman XS Trust Series 2007-15N
Cl. 4-A1IA, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1IB, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1IC, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1ID, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1IF, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1F, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1IG, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Cl. 4-A1IH, Affirmed at Caa3 (sf); previously on Oct 22, 2010
Downgraded to Caa3 (sf)
Issuer: Luminent Mortgage Trust 2006-1
Cl. X, Affirmed at Ca (sf); previously on Dec 14, 2010 Downgraded
to Ca (sf)
Issuer: RALI Series 2004-QR1 Trust
Cl. A-5, Affirmed at Ba2 (sf); previously on Jun 9, 2011
Downgraded to Ba2 (sf)
Issuer: RALI Series 2005-QO5 Trust
Cl. X, Affirmed at C (sf); previously on Dec 1, 2010 Downgraded
to C (sf)
Issuer: RALI Series 2007-QH8 Trust
Cl. X, Affirmed at Ca (sf); previously on Dec 14, 2010 Downgraded
to Ca (sf)
Issuer: RALI Series 2007-QH9 Trust
Cl. X, Affirmed at Ca (sf); previously on Dec 14, 2010 Confirmed
at Ca (sf)
Issuer: RALI Series 2007-QS1 Trust
Cl. I-A-V, Affirmed at Caa3 (sf); previously on Dec 23, 2010
Downgraded to Caa3 (sf)
Issuer: SASCO FHA/VA, Series 1998-RF3
Cl. A-IO, Affirmed at B3 (sf); previously on Oct 14, 2010
Downgraded to B3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-13
Cl. A-IO, Affirmed at Ba1 (sf); previously on Mar 10, 2011
Downgraded to Ba1 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-18
Cl. MX, Affirmed at C (sf); previously on Mar 10, 2011 Downgraded
to C (sf)
Cl. B1X, Affirmed at C (sf); previously on Mar 10, 2011
Downgraded to C (sf)
Cl. B3X, Affirmed at C (sf); previously on Mar 10, 2011
Downgraded to C (sf)
Cl. B5X, Affirmed at C (sf); previously on Mar 10, 2011
Downgraded to C (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-14
Cl. 1-AX, Affirmed at C (sf); previously on Dec 7, 2010
Downgraded to C (sf)
Cl. 2-AX, Affirmed at C (sf); previously on Dec 7, 2010
Downgraded to C (sf)
Ratings Rationale
In the action, Moody's has corrected the ratings on all of the
affected tranches due to an internal administrative error, these
tranches were not included in the February 22, 2012 rating action
on certain RMBS interest-only securities. The methodologies used
in these ratings were "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012, and
"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 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.
Notional balances of Option ARM IOs are linked to either a single
pool, multiple pools, single tranche or multiple tranches and
contain a principal-only (PO)component. The balance of the PO
component increases based on the amount of deferred interest
allocable to the IO class. Option ARM IOs ratings are based on the
WARF rating of the IO component rating using this methodology and
the principal-only (PO) component rating using the RMBS
methodology for Option ARMs.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF295745
CSAB MORTGAGE 2006-2: Moody's Cuts Rating on A-2 Tranche to 'Ca'
----------------------------------------------------------------
Moody's Investors Service has downgraded four tranches from CSAB
Mortgage-Backed Trust 2006-2. The collateral backing this deal
primarily consists of first-lien, fixed Alt-A residential
mortgages. The actions impact approximately $236.6 million of RMBS
issued in 2006.
Complete rating actions are as follows:
Issuer: CSAB Mortgage-Backed Trust 2006-2
Cl. A-2, Downgraded to Ca (sf); previously on Feb 7, 2011
Downgraded to Caa3 (sf)
Cl. A-3-A, Current Rating: Aa3 (sf) On Review for Possible
Downgrade; previously on Mar 21, 2012 Aa3 (sf) Placed Under Review
for Possible Downgrade
Underlying Rating: Downgraded to Ca (sf); previously on Feb 7,
2011 Confirmed at Caa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3 placed
on review for possible downgrade on Mar 20, 2012)
Cl. A-3-B, Downgraded to Ca (sf); previously on Feb 7, 2011
Confirmed at Caa3 (sf)
Cl. A-4, Current Rating: Aa3 (sf) On Review for Possible
Downgrade; previously on Mar 21, 2012 Aa3 (sf) Placed Under Review
for Possible Downgrade
Underlying Rating: Downgraded to Ca (sf); previously on May 30,
2012 Caa3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Assured Guaranty Municipal Corp (Aa3 placed
on review for possible downgrade on Mar 20, 2012)
Ratings Rationale
The actions are a result of the recent performance of the mortgage
pool and reflect Moody's updated loss expectations on the pool.
Moody's has also downgraded the underlying rating on the Class A-4
bond. Class A-4 underlying rating was placed on watch for possible
downgrade as part of the May 30, 2012 rating action in which
Moody's placed a large number of bonds on watch due to the
deteriorating collateral performance. The modeling used in the May
2012 action incorrectly provided for principal payment to be
distributed to Class A-4 at the bottom of the waterfall, after all
of the other seniors tranches had paid down, rather than providing
for pro-rata principal payment distribution to Class A-4 and the
other senior tranches, as reflected in the Pooling and Servicing
Agreement. The cash-flow modeling has now been corrected, and the
rating action reflects this change.
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 (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
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_SF295655
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
CWALT INC: Moody's Lowers Ratings on Two RMBS Tranches to 'C'
-------------------------------------------------------------
Moody's Investors Service has downgraded 48 tranches, upgraded 14
tranche and confirmed the ratings on two tranches from nine RMBS
transactions issued by Countrywide. The collateral backing these
deals primarily consists of first-lien, Alt-A residential
mortgages. The actions impact approximately $1.04 billion of RMBS
issued from 2005 to 2006.
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-IM1
Cl. A-2, Confirmed at A2 (sf); previously on May 30, 2012 A2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-2M, Upgraded to Ba1 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-3, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Cl. A-3M, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Cl. A-4, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-20CB
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-3, Upgraded to Baa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 3-A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 3-A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 4-A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-4
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)
Cl. 1-A-2, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)
Cl. 1-A-3, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)
Cl. 1-A-4, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-5, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-6, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)
Cl. 2-A-1, Downgraded to C (sf); previously on May 5, 2010
Downgraded to Ca (sf)
Cl. 2-A-2, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-3, Downgraded to Caa2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-5, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-6, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-7, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)
Cl. 2-A-8, Downgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to B3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-7CB
Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Oct 1, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-2, Downgraded to Caa3 (sf); previously on May 30, 2012
Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Caa2 (sf); previously on Oct 1, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-4, Upgraded to Baa3 (sf); previously on Oct 1, 2010
Downgraded to Ba3 (sf)
Cl. 2-A-5, Downgraded to Caa2 (sf); previously on Oct 1, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-6, Downgraded to Caa2 (sf); previously on Oct 1, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-7, Downgraded to Caa2 (sf); previously on Oct 1, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-8, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-9, Downgraded to C (sf); previously on Oct 1, 2010
Downgraded to Ca (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J1
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-3, Current rating: B3 (sf) On Review for Possible
Downgrade; previously on Dec 19, 2011 B3 (sf) Placed Under Review
for Possible Downgrade
Underlying Rating: Downgraded to Caa2 (sf); previously on Apr 12,
2010 Downgraded to Caa1 (sf)
Financial Guarantor: MBIA Insurance Corporation (B3 placed on
review for possible downgrade on Dec 19, 2011)
Cl. 1-A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-7, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. 4-A-1, Confirmed at B1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 5-A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 5-A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. 6-A-1, Downgraded to B3 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)
Cl. PO-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. PO-C, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. PO-D, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. X-A, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. X-C, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. X-E, Downgraded to B3 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J14
Cl. A-1, Downgraded to B3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to B3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. PO, Downgraded to Caa3 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J4
Cl. M-1, Upgraded to Ba1 (sf); previously on May 30, 2012 Ba3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Ca (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J7
Cl. 1-A-3, Upgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-1, Downgraded to B3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. PO-B, Downgraded to B3 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Cl. X-A, Upgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. X-B, Downgraded to B3 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-HY12
Cl. A-1, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-2, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2
(sf) Placed Under Review for Possible Upgrade
Cl. A-3, Upgraded to Baa3 (sf); previously on May 30, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. A-5, Upgraded to Caa1 (sf); previously on Aug 13, 2010
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.
Moody's has downgraded the rating on the Class 2-A-1 bond from
CWALT, Inc. Mortgage Pass-through Certificates, Series 2005-J7.
Due to cash-flow modeling inconsistencies, this tranche was
erroneously included in the May 30, 2012 rating action in which
Moody's placed a large number of bonds on watch for possible
upgrade. The modeling used in the May 2012 action was based on
limitation of loss, which led to an understatement of losses for
the Class 2-A-1 bond because this bond is backed by an over-
collateralized pool. The cash-flow modeling has now been
corrected, and the rating action reflects this change.
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://moodys.com/viewresearchdoc.aspx?docid=PBS_SF295883
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
CWCAPITAL COBALT: Moody's Affirms 'C' Ratings on 7 Note Classes
---------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of all classes
of Notes issued by CWCapital Cobalt Vr, Ltd. The affirmations are
due to the key transaction parameters performing within levels
commensurate with the existing ratings levels. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation (CRE CDO and Re-remic)
transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed at Caa3 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. A-2, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. B, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. C, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. D, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. E, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Dec 15, 2010 Downgraded
to C (sf)
Ratings Rationale
CWCapital Cobalt Vr Ltd. is a static cash CRE CDO transaction
backed by a portfolio of commercial mortgage backed securities
(CMBS) (65.4% of the pool balance) and CRE CDO (34.6%). As of the
August 27, 2012 Trustee report, the aggregate Note balance of the
transaction, including preferred shares, has decreased to $3.2
billion from $3.5 billion million at issuance, with the paydown
directed to the Class A-1 Notes, as a result of reclassification
of interest proceeds from impaired securities as principal.
Assets with a par balance of $2.2 billion (99.7% of the current
pool balance) are considered impaired securities as of the August
27, 2012 Trustee report. There have been realized losses on the
underlying collateral and Moody's expects further significant
losses to occur on the impaired securities once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated 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 9,679 compared to 9,707 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Ba1-Ba3 (0.7%
compared to 0.6% at last review), B1-B3 (1.4% compared to 1.7% at
last review), and Caa1-C (97.9% compared to 97.7% 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 5.6 years compared
to 6.2 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
0.1% compared to 0.2% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100.0%, the same as that 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 up from
0.1% to 5.1% would result in average rating movement on the rated
tranches of 0 to 1 notch upward.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the 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.
DEUTSCHE BANK 2010-C1: Fitch Affirms 'B-' Rating on Cl. G Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities
COMM 2010-C1 commercial mortgage pass-through certificates.
The affirmations are due to stable performance of the collateral
and sufficient credit enhancement to the Fitch-rated classes. As
of the August 2012 distribution date, the pool's certificate
balance has paid down 2% to $839.5 million from $856.6 million at
issuance.
The transaction is collateralized by 42 loans and 63 underlying
properties. As of August 2012, no loans were in specially
servicing. The following loans within the top 15 of the pool have
changes from issuance.
The largest loan in the pool is the Fashion Outlets of Niagara
Falls (14.3%), which is secured by a 525,663 square foot (sf)
outlet center with a diverse tenant mix located in Niagara Falls,
NY. The loan was assumed in July 2011 and is now sponsored by The
Macerich Company. Physical occupancy has improved from 90.5% at
issuance to 94.2% as of March 2012. In addition, servicer-reported
2011 net operating income (NOI) improved by 3.8% year-over-year.
While rollover is fairly evenly distributed over the next 10
years, the largest rollover concentrations occur in 2014 and 2015
when approximately 17% and 17.8% of the space rolls, respectively.
The ninth largest loan in the pool, Atrium III (3.7%), is secured
by a 455,577 sf office property located in Secaucus, NJ. The
property is part of a larger 550-acre mixed-use development also
owned by the sponsor that includes retail stores, restaurants,
seven hotels, and an 88,000 sf convention center. As discussed in
Fitch's presale report, Bucks Consultants was in negotiations with
the sponsor to re-sign a lease for a smaller amount of space and
has since vacated 84,360 sf (18.5% of NRA). Occupancy has since
increased to 74.6% but it remains below the 79.8% occupancy at
issuance.
Two loans, outside the pool's top 15, were considered Fitch Loans
of Concern (LOC). The first LOC is a 34 unit mixed use property
located in Boulder, CO. The servicer-reported NOI as of year-end
2011 was approximately 35% below the issuer's original
underwritten amounts. The second LOC is a 105,000 sf anchored
retail center located in Highland Heights, OH. The servicer
reported NOI improved through 2011 but remains 13% below the
issuer's original underwritten amounts.
Fitch has affirmed the following classes:
-- $397.6 million class A-1 at 'AAAsf', Outlook Stable;
-- $38.5 million class A-1D at 'AAAsf', Outlook Stable;
-- $75.1 million class A-2 at 'AAAsf', Outlook Stable;
-- $179.5 million class A-3 at 'AAAsf', Outlook Stable;
-- $321.4 million class XP-A at 'AAAsf', Outlook Stable;
-- $345.3 million class XS-A at 'AAAsf', Outlook Stable;
-- $345.3 million class XW-A at 'AAAsf', Outlook Stable;
-- $24.6 million class B at 'AAsf', Outlook Stable;
-- $28.9 million class C at 'Asf', Outlook Stable;
-- $45 million class D at 'BBB-sf', Outlook Stable;
-- $7.5 million class E at 'BBB-sf', Outlook Stable;
-- $12.8 million class F at 'BBsf', Outlook Stable;
-- $12.9 million class G at 'B-sf', Outlook Stable.
Fitch does not rate the interest-only class XW-B or the $17.1
million class H.
DOUBLE OAK: S&P Lowers Ratings on 4 Trust Series to 'BB'
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its issue credit
ratings and its Standard & Poor's Underlying Ratings (SPUR) on the
Double Oak Capital Trusts I, II, III, and IV to 'BB(sf)' from 'A-
(sf)'. "The current rating is higher than our rating on MBIA
Insurance Corp. (B/negative/-), which has provided a financial
guaranty insurance policy covering interest and principal
payments," S&P said.
"The ratings on the notes reflect the performance to date, and
expected performance of the underlying universal life insurance
policies with secondary guarantees, as well as the investment
performance of the trust assets and increased funding costs. As a
result of the updated assumptions reflecting historical
performance, there is an increased likelihood that future payments
will be made from MBIA," S&P said.
"In addition, the rating reflects a qualitative assessment as to
our view of the relative importance of this transaction to
Protective Life Corp., and the ability for Protective and MBIA to
make certain limited modifications to the asset portfolio. These
modifications could enable the structure to meet its interest and
principal payments, though we realize making them is not a simple
Process," S&P said.
"When the transaction was initially rated, the portfolio was
stressed for certain assumptions, including adverse actuarial
experience and decreased spread income. Since the transaction
closed, the actuarial experience has been less favorable than
anticipated and has exceeded our stress scenarios, and the spread
income on the trust assets has been less than expected as well,"
S&P said.
"Accordingly, we have applied projections to reflect certain
assumption changes for the underlying life policies based on
experience since transaction inception. The impact of these
changes, which we stressed and assessed, was to increase the
'AXXX' reserve requirement," S&P said.
"We lowered our historical assumptions on the net investment
spread to be earned on the assets held in the trust account as
well. The Series I-III notes are auction-rate securities. Since
August 2007, these notes have been paying a failed auction rate
based on the rating on MBIA. Since June 2008, they have been
paying the maximum rate of one-month LIBOR plus 2.00%. The failed
auctions resulted in a negative spread between the assets and
liabilities. The negative spread will increase in 2019 as the rate
on the Series IV will increase to 2.00% from 0.30% over one month
LIBOR," S&P said.
"Before changing assumptions for 2012's projection updates, the
modeling results with no additional stress applied indicated that
there would be no payments from MBIA prior to maturity. The
modeling results based on the updated assumptions with no
additional stress applied indicate an interest payment would be
due from MBIA Insurance Corp. in 2026, as well as a significant
principal repayment from MBIA at maturity. Additional stress tests
such as decreased lapses indicate an interest payment would be due
from MBIA in 2024," S&P said.
"Rather than lower the rating to 'B(sf)' which would be based on
our rating on MBIA, we lowered the rating to 'BB(sf)'. This rating
takes into account certain qualitative aspects and financial
flexibility. We believe maintaining access to various sources of
funding its 'XXX' and 'AXXX' reserves is important to Protective.
There is the potential for a refinancing some time in the future,
especially beginning in 2019 when all the notes are expected to
pay a spread of 2.00%. However, this is a nonrecourse transaction
to Protective and it is under no obligation to engage in any
refinancing. Protective has not indicated any intention to do so,"
S&P said.
"In addition, this is a long-tail liability and assumptions can
move significantly over time. If actuarial experience were to
improve (come closer to initial expectations) or spread income
increases, we could upgrade the notes. Conversely, if actuarial
experience were to decline or lower spread income was to be
earned, we could lower the ratings," S&P said.
RATINGS LIST
Downgraded To From
Double Oak Capital Trust I
Double Oak Capital Trust II
Double Oak Capital Trust III
Double Oak Capital Trust IV
BB(sf) A-(sf)
EATON VANCE II: S&P Lowers Rating on Class A Notes to 'D'
---------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A notes from Eaton Vance CDO II Ltd. to 'D (sf)' from 'CC (sf)'.
Eaton Vance CDO II Ltd. is a collateralized bond obligation (CBO)
transaction.
"According to the July 16, 2012, payment date report (July 16 was
also the final payment date for the transaction), the available
proceeds were insufficient to pay the class A noteholders in full.
Therefore, we lowered our rating on the class A notes to 'D (sf)'
in accordance with our criteria," 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
ECP CLO 2012-3: S&P Affirms 'BB' Rating on Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on ECP CLO
2012-3 Ltd./ECP CLO 2012-3 LLC's $411.75 million floating-rate
notes following the transaction's effective date as of July 25,
2012.
"Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The 'effective date' for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an 'effective
date rating affirmation')," S&P said.
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a 'ramp-up period.' Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P said.
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased," S&P said.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
ECP CLO 2012-3 Ltd./ECP CLO 2012-3 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 300.00
A-2 AA (sf) 18.00
B (deferrable) A (sf) 48.00
C (deferrable) BBB (sf) 21.00
D (deferrable) BB (sf) 24.75
Subordinated notes NR 50.69
NR--Not rated.
FLAGSHIP CLO VI: S&P Raises Rating on Class E Notes to 'BB'
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1a, A-1b, A-2, B, C, D, and E notes issued by Flagship CLO VI, a
collateralized loan obligation (CLO) transaction managed by
Deutsche Asset Management Inc. "At the same time, we removed our
ratings on all classes from CreditWatch, where we had placed them
with positive implications on June 18, 2012," S&P said.
"The upgrades reflect improved credit quality within the
collateral assets since our May 2010 rating actions," S&P said.
"As of the July 10, 2012, monthly trustee report, the underlying
portfolio had $7.8 million in defaulted obligations, down from
$10.7 million in the March 2, 2010, monthly report, which we used
for the May 2010 rating actions. Additionally, the transaction's
A/B, C, D, and E O/C ratio tests have improved over the same
period," S&P said.
"The transaction's structural provisions include a turbo feature
in the class E O/C test in the interest section of the waterfall.
Failure of the test diverts the amount necessary to satisfy the
test toward repayment of principal of the class E notes. As of the
July 10, 2012, trustee report, the test measured 104.35%, higher
than its required ratio of 100.70%," S&P said.
"The transaction is currently in its reinvestment phase. The
reinvestment period is scheduled to end in June 2014. The
transaction is currently passing its reinvestment O/C test. The
reinvestment O/C test includes an interest proceeds diversion
feature the failure of which diverts a specified amount of excess
interest proceeds. This amount, equal to the lesser of 50.00% of
the available interest proceeds and the amount necessary to cure
the test, is to be deposited into the principal collection account
as principal proceeds, which the collateral manager may reinvest
into additional collateral. According to the July 2012 trustee
report, the reinvestment O/C test result was 104.35%, compared
with a required minimum of 101.20%," 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 AND CREDITWATCH ACTIONS
Flagship CLO VI
Rating
Class To From
A-1a AAA (sf) AA+ (sf)/Watch Pos
A-1b AA+ (sf) A+ (sf)/Watch Pos
A-2 AA+ (sf) A+ (sf)/Watch Pos
B AA- (sf) A- (sf)/Watch Pos
C A (sf) BBB- (sf)/Watch Pos
D BBB (sf) BB (sf)/Watch Pos
E BB (sf) CCC+ (sf)/Watch Pos
GALAXY VII: Moody's Upgrades Rating on Class E Notes to 'Ba1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Galaxy VII CLO, Ltd.:
U.S. $29,500,000 Class B Senior Floating Rate Notes Due 2018,
Upgraded to Aa1 (sf); previously on July 28, 2011 Upgraded to Aa3
(sf);
U.S. $26,000,000 Class C Deferrable Mezzanine Floating Rate Notes
Due 2018, Upgraded to A2 (sf); previously on July 28, 2011
Upgraded to Baa2 (sf);
U.S. $19,000,000 Class D Deferrable Mezzanine Floating Rate Notes
Due 2018, Upgraded to Baa3 (sf); previously on July 28, 2011
Upgraded to Ba1 (sf);
U.S. $13,500,000 Class E Deferrable Junior Floating Rate Notes Due
2018, Upgraded to Ba1 (sf); previously on July 28, 2011 Upgraded
to B1 (sf);
U.S. $10,000,000 Class Y Combination Notes (rated balance of
$7,668,294), Upgraded to Baa1 (sf); previously on July 28, 2011
Upgraded to Ba1 (sf).
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 buffer
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
collateral quality and overcollateralization ratios are stable
since the last rating action.
The rating action taken on the Class E Notes also reflects a
correction to Moody's modeling of the Class E Junior Notes Direct
Pay Test. In the event of a Class E Junior Notes Direct Pay Test
failure, excess interest proceeds are used to pay down the
principal of the Class E Notes up to the cure amount. However, due
to an input error, the deal was modeled in previous rating actions
so that excess interest proceeds would pay interest on the Class E
Notes instead. The modeling has been corrected, and the rating
action reflects this change.
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 $434 million,
defaulted par of $65,533, a weighted average default probability
of 17.97% (implying a WARF of 2756), a weighted average recovery
rate upon default of 51%, and a diversity score of 75. 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.
Galaxy VII CLO, Ltd., issued in September 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% (2205)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +1
Class Y: +2
Moody's Adjusted WARF + 20% (3307)
Class A-1: 0
Class A-2: 0
Class B: -1
Class C: -2
Class D: -1
Class E: -1
Class Y: -2
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities 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.
GE COMMERCIAL 2005-C3: Fitch Junks Rating on 3 Cert. Classes
------------------------------------------------------------
Fitch Ratings downgrades three classes of GE Commercial Mortgage
Corporation, series 2005-C3 commercial mortgage pass-through
certificates due to a higher certainty of losses on the specially
serviced loans.
Fitch expected losses are 6.4% or 4.7% of the original pool,
including losses incurred to date (0.5%). Currently, there are
four loans in special servicing (5.6%).
As of the August 2012 distribution date, the pool's aggregate
principal balance has paid down 34.5% to $1.4 billion from $2.1
billion at issuance, including the 0.5% in realized losses. Two
loans (1.6%) have defeased. As of August 2012, cumulative
interest shortfalls total $3.4 million and affect classes N
through the non-rated class Q.
The largest contributors to loss are 123 William Street (6.0%) and
One Main Place (4.7%).
123 William Street is the third largest loan in the pool and
secured by a 500,000 sf office property located in Manhattan on
William Street between Fulton and John. The loan had previously
been in special servicing after the Superintendent of Insurance
vacated eight floors or approximately 34% of the net rentable
area. Three floors have since been released, however with free
rental periods and tenant improvements. The loan was split into an
A / B Note structure, with an A Note of $77.9 million and B Note
of $5.3 million. The loan has returned to the master servicer.
The latest reported occupancy was 53.8% as of the June 2012 rent
roll.
One Main Place is the largest loan in special servicing. The loan
is secured by a 1 million square foot (sf) office building located
in downtown Dallas, TX and is currently categorized as
nonperforming matured. Current occupancy is approximately 65%.
The borrower continues in efforts to lease up the property and
completed asbestos remediation in early 2012 with all funds coming
from tenant reimbursements and property cash flow. The borrower
and special servicer continue to negotiate a loan modification
which includes a possible A / B Note split and an extension. An
appraisal reduction based on an updated valuation has been
performed.
Fitch has downgraded and revised Recovery Estimates to the
following classes:
-- $7.9 million class K to 'CCsf' from 'CCCsf'; RE 0%;
-- $7.9 million class L to 'Csf' from 'CCCsf; RE 0%;
-- $10.6 million class M to 'Csf' from 'CCsf; RE 0%
Fitch affirms the ratings, maintains the Outlooks, and assigns
Recovery Estimates for the following classes:
-- $32.1 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $118.2 million class A-5 at 'AAAsf'; Outlook Stable;
-- $75 million class A-6 at 'AAAsf'; Outlook Stable;
-- $43.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $386.7 million class A-7A at 'AAAsf'; Outlook Stable;
-- $55.2 million class A-7B at 'AAAsf/'; Outlook Stable;
-- $263.2 million class A-1A at 'AAAf'; Outlook Stable;
-- $161.4 million class A-J at 'AAsf'; Outlook Stable;
-- $13.2 million class B at 'AAsf'; Outlook Stable;
-- $29.1 million class C at 'Asf'; Outlook Stable;
-- $21.2 million class D at 'BBBsf'; Outlook Stable;
-- $34.4 million class E at 'BBB-sf'; Outlook Stable;
-- $18.5 million class F at 'BBsf'; Outlook Stable;
-- $23.8 million class G at 'BBsf'; Outlook Negative.
-- $21.2 million class H at 'B-sf'; Outlook Negative;
-- $31.7 million class J at 'CCCsf'; RE 30%;
-- $2.6 million class N at 'Csf'; RE 0%;
-- $7.9 million class O at 'Csf'; RE 0%.
The $7.9 million class P and $13.0 million class Q are not rated
by Fitch. Classes A-1, A-2, A-3FX and A-3FL have paid in full.
Fitch previously withdrew the ratings on the interest only classes
X-C and X-P, X-P has since paid in full.
GLACIER FUNDING: Fitch Affirms Junk Ratings on Five Note Classes
----------------------------------------------------------------
Fitch Ratings has affirmed five classes of notes issued by Glacier
Funding CDO II, Ltd. (Glacier Funding II) as follows:
-- $67,447,203 class A-1 notes at 'CCCsf';
-- $70,000,000 class A-2 notes at 'Dsf';
-- $65,750,000 class B notes at 'Dsf';
-- $22,488,647 class C notes at 'Csf';
-- $6,019,117 class D notes at 'Csf.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Structured Finance Portfolio Credit Model (SF PCM) for
projecting future default levels for the underlying portfolio.
These 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'.
Fitch also considered additional qualitative factors in its
analysis, as described below, to conclude the rating affirmations
for the rated notes.
Since the last review, the class A-1 notes have received
approximately $17.4 million from both principal amortization and
excess spread due to the failing class A/B Coverage Test.
Approximately $1.3 million of excess spread was used to pay down
the class A-1 notes over the past four distribution dates.
However, these paydowns are offset by the continued deterioration
of the underlying portfolio, with 16.2% of the portfolio
downgraded a weighted average of 3.3 notches, and 1.2% upgraded a
weighted average of 1.2 notches. The affirmation is further
supported by cash flow modeling results, which indicate that the
notes have passing ratings consistent with the results from last
review.
The non-deferrable class A-2 and class B notes have not received
their accrued interest since the acceleration of the transaction
because proceeds have been diverted to redeem the class A-1 notes.
These missed interest payments constitute a payment default;
therefore these two classes are affirmed at 'Dsf'.
The class C and class D notes are not affected by the
acceleration, but they remain significantly undercollateralized,
indicating that default continues to appear inevitable at or prior
to maturity.
Glacier Funding II is a structured finance collateralized debt
obligation (SF CDO) that closed on Oct. 12, 2004 and is now
monitored by Aventine Hill Capital, LLC., as a successor
collateral manager. The portfolio is comprised of residential
mortgage-backed securities (71.2%), commercial mortgage-backed
securities (21.8%), structured finance collateralized debt
obligations (3.8%), real estate investment trusts (1.7%), and
consumer and commercial asset-backed securities (1.5%) from 2004
vintage transactions.
GMAC MORTGAGE: Fitch Keeps Neg. Watch Rating on 17 RMBS Classes
---------------------------------------------------------------
Fitch Ratings has maintained the Rating Watch Negative on 17 RMBS
classes serviced by GMAC Mortgage. GMAC is a subsidiary of
Residential Capital LLC (ResCap). The affected classes were
originally placed on Rating Watch Negative on April 19, 2012,
following Fitch's downgrade of ResCap's Issuer Default Rating to
'C' from 'CCC' on April 18 and Fitch's assignment of Rating Watch
Negative to GMAC's servicer ratings on April 19.
A spreadsheet listing the transactions reviewed can be found at
'www.fitchratings.com' by performing a title search for 'Fitch
Maintains Rating Watch Negative on GMAC-Serviced RMBS' or by
clicking on the link.
The classes were originally placed on Rating Watch Negative to
reflect the increased uncertainty for the servicing portfolio due
to the growing possibility of a bankruptcy or debt restructuring
for ResCap.
Since April 19, GMAC was placed into bankruptcy by Ally Financial
and the bankruptcy court began seeking bids for the servicing
operation. Final bids are due in October and a bankruptcy court
ruling on the sale is scheduled for November.
Fitch believes that although a servicing disruption is still not
expected in the most-likely scenario, the rising risk of a
disruption should be considered in stressed rating scenarios.
Therefore, Fitch will maintain the Rating Watch Negative on
'AAAsf' and 'AAsf' rated Alt-A classes until it is determined who
will be servicing the loans.
In the meantime, Fitch will continue to monitor ResCap's ability
and willingness to meet its financial obligations and the
implications for GMAC's servicing portfolio.
GREENPOINT MORTGAGE: Moody's Cuts Rating on Cl. I-A-3 RMBS to 'C'
-----------------------------------------------------------------
Moody's Investors Service has upgraded Class I-A-1, downgraded
Class I-A-3 and confirmed the ratings on Class X-1 from Greenpoint
Mortgage Funding Trust 2005-AR4. The collateral backing this deal
primarily consists of first-lien, adjustable-rate Option ARM
residential mortgages. The actions impact approximately $31.2
million of RMBS issued in 2005.
Complete rating actions are as follows:
Issuer: Greenpoint Mortgage Funding Trust 2005-AR4
Cl. I-A-1, Upgraded to B3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-3, Downgraded to C (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Cl. X-1, Confirmed at Caa2 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The actions are a result of the recent performance of Option ARM
pools originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of one upgrade, one downgrade, and one
confirmation.
The upgrade is due to improvement in collateral performance. The
downgrade is a result of structural features resulting in higher
expected losses on Class I-A-3 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. 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 and 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 Option ARM pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Option ARM pools, Moody's
first applies a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. Once the loan count in a pool falls below
76, this rate of delinquency is increased by 1% for every loan
fewer than 76. For example, for a 2005 pool with 75 loans, the
adjusted rate of new delinquency is 10.1%. Further, to account for
the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 1.8 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
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 8.3% 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_SF296274
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
GSAA HOME 2005-3: Moody's Cuts Ratings on Two Tranches to 'C'
-------------------------------------------------------------
Moody's Investors Service has downgraded three tranches, upgraded
seven tranches and confirmed the ratings on one tranche from three
RMBS transactions issued by Goldman Sachs. The collateral backing
these deals primarily consists of first-lien, fixed and
adjustable-rate Alt-A residential mortgages. The actions impact
approximately $209.5 million of RMBS issued in 2005.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2005-1
Cl. AF-3, Upgraded to A2 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. AF-4, Upgraded to Baa1 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. AF-5, Upgraded to A3 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Ca (sf); previously on May 11, 2010
Downgraded to C (sf)
Issuer: GSAA Home Equity Trust 2005-3
Cl. M-1, Confirmed at Baa1 (sf); previously on May 30, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Cl. M-2, Downgraded to Caa3 (sf); previously on May 11, 2010
Downgraded to Caa2 (sf)
Cl. B-1, Downgraded to C (sf); previously on May 11, 2010
Downgraded to Caa2 (sf)
Cl. B-2, Downgraded to C (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: GSAA Home Equity Trust 2005-5
Cl. M-2, Upgraded to A2 (sf); previously on May 30, 2012 Baa1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa1 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Upgrade
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 upgrades and downgrades. The upgrades are due to
significant improvement in collateral performance, and rapid
build-up in credit enhancement due to high prepayments. The
downgrades are a result of deteriorating performance and
structural features resulting in 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 1) Moody's
current view on loan modifications and 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 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.
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_SF296257
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
GSR MORTGAGE: Moody's Lowers Rating on Class 3-A-1 RMBS to 'Ca'
---------------------------------------------------------------
Moody's Investors Service has upgraded Class 2-A-1 and downgraded
Class 3-A-1 from GSR Mortgage Loan Trust 2006-OA1. The collateral
backing this deal primarily consists of first-lien, adjustable-
rate Option ARM residential mortgages. The actions impact
approximately $257.2 million of RMBS issued in 2006.
Complete rating actions are as follows:
Issuer: GSR Mortgage Loan Trust 2006-OA1
Cl. 2-A-1, Upgraded to Ba1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 3-A-1, Downgraded to Ca (sf); previously on Dec 14, 2010
Downgraded to Caa3 (sf)
Ratings Rationale
The actions are a result of the recent performance of Option ARM
pools originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of one upgrade and one downgrade. The
upgrade is due to significant improvement in collateral
performance. The downgrade is a result of deteriorating
performance and structural features resulting in higher expected
losses on Class 3-A-1 than previous 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 1) Moody's
current view on loan modifications and 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 Option ARM pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Option ARM pools, Moody's
first applies a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. Once the loan count in a pool falls below
76, this rate of delinquency is increased by 1% for every loan
fewer than 76. For example, for a 2005 pool with 75 loans, the
adjusted rate of new delinquency is 10.1%. Further, to account for
the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 1.8 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
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 8.3% 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_SF296273
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
GULF STREAM-COMPASS 2007: S&P Ups Rating on Class E Notes to 'BB'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E notes from Gulf Stream-Compass CLO 2007 Ltd., a
U.S. collateralized loan obligation (CLO) managed by GSAM Apollo
Holdings LLC. "Simultaneously, we affirmed our ratings on the
class A-1A and A-1B notes," S&P said.
"The upgrades reflect higher credit support, as reflected by
improved credit quality within the collateral assets since our May
2010 rating actions and a marginal increase in the par value of
the portfolio. The rating affirmations reflect sufficient credit
enhancement at the current rating levels," S&P said.
"As of the July 23, 2012, monthly trustee report, the
transaction's portfolio had $8.03 million in 'CCC' rated assets,
down from $12.42 million in the March 15, 2010, monthly report,
which we used for the May 2010 rating actions. When calculating
the overcollateralization (O/C) ratios, the O/C numerator is
discounted (i.e., 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 since
our May 2010 rating actions," S&P said.
"Similarly, the amount of defaulted obligations held in the
transaction's underlying portfolio declined during this period.
According to the July 2012 trustee report, the transaction held
$0.77 million in defaulted assets, down from $4.95 million noted
in the March 2010 trustee report," S&P said.
"Additionally, the transaction's A/B, C, D, and E O/C ratio tests
have improved over the same period, and the weighted average
spread has increased by 1.70%," S&P said.
"Standard & Poor's notes that the transaction is currently passing
its reinvestment 'CERT' O/C test and will remain in its
reinvestment period until October 2012. The transaction is
structured such that if it fails this test while it's in its
reinvestment period, it will divert a specified amount of excess
interest proceeds. This amount, equal to the lesser of 50.00% of
the available interest proceeds and the amount necessary to cure
the test, is to be deposited into the principal collection account
as principal proceeds, which the collateral manager may reinvest
into additional collateral. The transaction has not failed this
test since the April 2010 payment date. According to the July 2012
trustee report, the reinvestment O/C test result was 106.40%,
compared with a required minimum of 105.30%," 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
RATING AND CREDITWATCH ACTIONS
Gulf Stream-Compass CLO 2007 Ltd.
Rating
Class To From
B AA+ (sf) A+ (sf)
C A+ (sf) BBB+ (sf)
D BBB+ (sf) BB+ (sf)
E BB (sf) CCC+ (sf)
RATINGS AFFIRMED
Gulf Stream-Compass CLO 2007 Ltd.
Class Rating
A-1A AAA (sf)
A-1B AA+ (sf)
INDYMAC INDX: Moody's Lowers Ratings on Two Tranches to 'Caa3'
--------------------------------------------------------------
Moody's Investors Service has downgraded three tranches, upgraded
one tranche and confirmed the ratings on two tranches from four
RMBS transactions issued by IndyMac INDX Mortgage Loan Trust. The
collateral backing these deals primarily consists of first-lien,
adjustable-rate Alt-A and Option ARM residential mortgages.
Complete rating actions are as follows:
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR11
Cl. A-1, Downgraded to Caa3 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. A-7, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Downgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR16IP
Cl. A-1, Confirmed at B1 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX1
Cl. A-2, Upgraded to Baa3 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: IndyMac INDX Mortgage Loan Trust 2007-FLX5
Cl. 2-A-1, Downgraded to B3 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions are a result of the recent performance of Alt-A/Option
ARM pools originated on or after 2005 and reflect Moody's updated
loss expectations on these pools.
The rating action consists of a number of upgrades, downgrades,
and confirmations. The upgrades are due to significant improvement
in collateral performance.
The downgrades are a result of deteriorating performance and
structural features resulting in 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. 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 Moody's current
view on loan modifications.
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.
When assigning the final ratings to bonds, 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 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_SF296173
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:
Alt-A
http://v3.moodys.com/page/viewresearchdoc.aspx?docid=PBS_SF198174
Option ARM
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
ING IM 2012-2: Moody's Assigns 'Ba2' Rating to Class E Notes
------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following ratings to notes issued by ING IM CLO 2012-2 Ltd. (the
"Issuer" or "ING IM CLO 2012-2"):
Ratings
Moody's assigned the following ratings to notes of the Issuer:
U.S. $222,500,000 Class A Senior Secured Floating Rate Notes due
2022 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf).
U.S. $15,000,000 Class E Secured Deferrable Floating Rate Notes
due 2022 (the "Class E Notes" and, together with the Class A
Notes, the "Notes"), Definitive Rating Assigned Ba2 (sf).
Ratings Rationale
Moody's ratings of the Class A Notes and the Class E Notes are
based on the expected loss of these Notes. The ratings reflect the
risks due to defaults on the underlying portfolio of loans, the
transaction's legal structure, and the characteristics of the
underlying assets.
ING IM CLO 2012-2 is a managed cash flow CLO. At least 95% of the
portfolio must be invested in senior secured loans and eligible
investments and up to 5% of the portfolio may consist of senior
secured notes and second lien loans. The portfolio is
approximately 90% ramped up as of the closing date.
ING Alternative Asset Management LLC (the "Manager") will manage
the CLO. It will direct the selection, acquisition and disposition
of collateral on behalf of the Issuer and may engage in trading
activity during the transaction's four-year reinvestment period,
including discretionary trading. Thereafter, the Manager may sell
securities that are defaulted, credit risk, or credit improved
(subject to certain conditions), but may only reinvest in
additional collateral obligations using principal proceeds from
prepayments and sales of credit risk securities.
In addition to the Class A Notes and the Class E Notes rated by
Moody's, the Issuer will issue four other classes of notes,
including subordinated notes. The transaction incorporates
interest and par coverage tests which, if triggered, divert
interest and principal proceeds to pay down the notes in order of
seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011. Moody's used the
following base-case modeling assumptions:
Par amount: $350,000,000
Diversity Score: 55
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 4.25%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 45.00%
Weighted Average Life (WAL): 7.5 years.
The Notes' performance is subject to uncertainty. The Notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The Manager's investment decisions and management
of the transaction will also affect the Notes' performance.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis which was an
important component in determining the ratings assigned to the
Class A Notes and the Class E Notes. This sensitivity analysis
includes increased default probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Class A
Notes and the Class E Notes (shown in terms of the number of notch
difference versus the current model output, whereby a negative
difference corresponds to higher expected losses), holding all
other factors equal:
WARF + 15% (to 3105 from 2700)
Class A Notes: 0
Class E Notes: -1
WARF +30% (to 3510 from 2700)
Class A Notes: -1
Class E Notes: -2
The V Score for this transaction is Medium/High. Moody's assigned
this V Score in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled, "V Scores and Parameter Sensitivities in
the Global Cash Flow CLO Sector," dated July 6, 2009, available on
www.moodys.com.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction,
rather than individual tranches.
Further details regarding Moody's analysis of this transaction may
be found in the related pre-sale report on Moodys.com.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations," published in
June 2011.
ING IM 2012-2: S&P Gives 'BB' Rating on Class E Deferrable Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior secured
term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed using
its cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.47%-13.84%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
-- The transaction's 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111763.pdf.
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 Lowers Ratings on 4 Tranches to 'C'
------------------------------------------------------
Moody's Investors Service has downgraded 24 tranches, upgraded
four tranches and confirmed the ratings on ten tranches from six
RMBS transactions issued by J.P. Morgan Mortgage Trust. The
collateral backing these deals primarily consists of first-lien,
adjustable-rate prime Jumbo residential mortgages. The actions
impact approximately $1.2 billion of RMBS issued from 2005 to
2007.
Complete rating actions are as follows:
Issuer: J.P. Morgan Mortgage Trust 2005-A2
Cl. 1-A-2, Confirmed at B2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to B1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-2, Confirmed at B1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-4, Confirmed at B2 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to B1 (sf); previously on Apr 6, 2010
Downgraded to Ba3 (sf)
Cl. 5-A-1, Upgraded to Baa1 (sf); previously on Apr 6, 2010
Downgraded to Ba1 (sf)
Cl. 5-A-2, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Ba2 (sf)
Cl. 5-A-3, Downgraded to B2 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Downgrade
Cl. 7CB1, Downgraded to Ba3 (sf); previously on Apr 6, 2010
Downgraded to Ba2 (sf)
Cl. 9-A-1, Downgraded to B1 (sf); previously on Apr 6, 2010
Downgraded to Ba3 (sf)
Issuer: J.P. Morgan Mortgage Trust 2005-A4
Cl. 1-A-1, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-4, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2005-A7
Cl. 1-A-2, Upgraded to Ba3 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 4-A-1, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Confirmed at B1 (sf)
Issuer: J.P. Morgan Mortgage Trust 2005-A8
Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to B2 (sf)
Cl. 1-A-2, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. 1-A-3, Downgraded to B2 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)
Cl. 2-A-1, Confirmed at B1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A-2, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to B3 (sf)
Cl. 2-A-6, Downgraded to B3 (sf); previously on Apr 6, 2010
Confirmed at B1 (sf)
Cl. 2-A-8, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to B2 (sf)
Cl. 3-A-2, Downgraded to B3 (sf); previously on Apr 6, 2010
Downgraded to B1 (sf)
Cl. 3-A-3, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to B3 (sf)
Cl. 3-A-4, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Cl. 6-A-2, Downgraded to B1 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. 6-A-4, Downgraded to C (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Issuer: J.P. Morgan Mortgage Trust 2006-A2
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Apr 6, 2010
Confirmed at B3 (sf)
Cl. 1-A-3, Upgraded to Caa2 (sf); previously on Apr 6, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-4, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Caa2 (sf)
Cl. 3-A-1, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to B2 (sf)
Cl. 5-A-1, Confirmed at A2 (sf); previously on May 30, 2012 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: J.P. Morgan Mortgage Trust 2007-A1
Cl. 1-A-2, Downgraded to Ca (sf); previously on Apr 6, 2010
Downgraded to Caa3 (sf)
Cl. 3-A-2, Downgraded to Caa1 (sf); previously on Apr 6, 2010
Confirmed at B3 (sf)
Cl. 5-A-5, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
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 upgrades, downgrades, and confirmations. The upgrades
are due to significant improvement in collateral performance, and
rapid build-up in credit enhancement due to high prepayments. The
downgrades are a result of deteriorating performance and
structural features resulting in 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. 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 and 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_SF295955
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
JP MORGAN 2012-FL2: Fitch Rates $9.3-Mil. Class E Notes 'BB+'
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to J.P. Morgan Chase commercial mortgage securities trust
2012-FL2 commercial mortgage pass-through certificates, series
2012-FL2:
-- $345,025,000a class A 'AAAsf'; Outlook Stable;
-- $466,250,000*a class X-EXT 'BB+sf'; Outlook Stable;
-- $41,963,000a class B 'AAsf'; Outlook Stable;
-- $34,968,000a class C 'Asf'; Outlook Stable;
-- $34,969,000a class D 'BBB-sf'; Outlook Stable;
-- $9,325,000a class E 'BB+sf'; Outlook Stable.
*Notional amount and interest only.
(a) Privately placed pursuant to Rule 144A.
Fitch does not rate the $466,250,000 (notional amount) interest-
only class X-CP.
JP MORGAN 2012-FL2: Moody's Rates Class E Certs. '(P)Ba2'
---------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
seven classes of CMBS securities, issued by JPMCC 2012-FL2
Commercial Mortgage Pass-Through Certificates.
Cl. A, Assigned (P)Aaa (sf)
Cl. X-CP, Assigned (P)A3 (sf)
Cl. X-EXT, Assigned (P)B2 (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. C, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Ratings Rationale
The Certificates are collateralized by six floating rate loans
secured by 14 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 Stressed DSCR for the Pooled Trust is 1.69X which is
higher than the 2007 large transaction average of 1.63X. Moody's
LTV ratio for the Pooled Trust is 59.9%, which is lower than the
2007 large loan transaction average of 63.3%.
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 Herfindahl score is
4.9. The score is consistent with Herfindahl scores represented by
large loan, multi-borrower transactions previously rated by
Moody's. With respect to property level diversity, the pool's
property level Herfindahl score is 5.5. The transaction's property
diversity profile is higher than most previously rated large loan
multi-borrower transactions.
Moody's 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 1.9, which is low compared to
other deals rated by Moody's since 2009. The low weighted average
grade is indicative of the strong market composition of the pool
and the institutional investor quality of underlying assets in the
deal.
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 8.1. 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 analysis
also uses the CMBS IO calculator v 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 Medium, the same
as the V score assigned to the U.S. Single Borrower 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 4%, 12%, or 20%, the model-indicated rating for the currently
rated Aaa class would be Aa1; Aa2; and A1. Parameter Sensitivities
are not intended to measure how the rating of the security might
migrate over time; rather they are designed to provide a
quantitative calculation of how the initial rating might change if
key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of, Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
LATAM TRUST 2007-105: Fitch Cuts Rating on CLP5MM Notes to 'BB+'
----------------------------------------------------------------
Fitch Ratings has downgraded and placed on Negative Watch, the
notes issued by Latam Trust Series 2007-105 (Latam 2007-105) as
follows:
-- CLP5,136,000 credit-linked notes to 'BB+sf' from 'BBB-sf';
Rating Watch Negative.
The rating action is based on the rating of the qualified
investment, Merrill Lynch & Co., Inc. subordinated notes (ISIN
XS0267827169, rated 'BBB' by Fitch), as well as the rating of the
reference entity, Endesa, S.A. (rated 'BBB+' on Negative Watch by
Fitch). Fitch downgraded the rating of Endesa and maintained its
Negative Watch status on Aug. 2, 2012. The Rating Watch Negative
for Latam 2007-105 reflects Fitch's view that a downgrade to
Endesa, S.A. would result in a downgrade to the notes.
Fitch's rating of Latam 2007-105 is credit-linked to the ratings
of the qualified investment and the reference entity. Using the
ratings of these risk-contributing factors in the transaction,
Fitch applied the two-risk credit-linked note (CLN) matrix under
the Fitch criteria titled 'Global Rating Criteria for Single- and
Multi-Name Credit-Linked Notes' dated Feb. 22, 2012 to quantify
the effect on the rating of the notes.
Latam 2007-105 (the issuer) is a single-name CLN structure
referencing Endesa, S.A. via a Credit Default Swap (CDS) between
the issuer and the swap counterparty, Merrill Lynch Capital
Services (MLCS), which is guaranteed by Merrill Lynch & Co., Inc.
The CDS is funded by subordinated notes (the qualified investment)
issued by Merrill Lynch & Co., Inc. The rating of the notes
addresses the likelihood that investors will receive full and
timely payments of interest and repayment of principal by the
legal final maturity date according to the terms of the notes.
Payments of interest and principal will be made in U.S. dollar
(USD) amounts adjusted according to both the prevailing value of
the Unidad de Fomento (UF) and the CLP/USD exchange rate.
KKR FINANCIAL: Moody's Raises Rating on Class F Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by KKR Financial CLO 2007-A:
U.S. $30,000,000 Class B Senior Secured Floating Rate Notes, Due
2017, Upgraded to Aaa (sf); previously on July 14, 2011,
Upgraded to Aa1 (sf);
U.S. $70,000,000 Class C Deferrable Mezzanine Secured Floating
Rate Notes, Due 2017, Upgraded to Aa1 (sf); previously on July
14, 2011, Upgraded to A1 (sf);
U.S. $57,000,000 Class D Deferrable Mezzanine Floating Rate
Notes, Due 2017, Upgraded to A2 (sf); previously on July 14,
2011, Upgraded to Baa2 (sf);
U.S. $45,000,000 Class E Deferrable Mezzanine Floating Rate
Notes, Due 2017, Upgraded to Baa2 (sf); previously on July 14,
2011, Upgraded to Ba1 (sf);
U.S. $17,000,000 Class F Deferrable Mezzanine Floating Rate
Notes, Due 2017, Upgraded to Ba1 (sf); previously on July 14,
2011, Upgraded to Ba2 (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 July 2011. Moody's notes that the Class A
notes have been paid down by approximately 27% or $200 million
since the last rating action. Based on the latest trustee report
dated July 2012, the Senior, Class C, Class D, and Class E
overcollateralization ratios are reported at 156.55%, 140.36%,
129.46%, and 121.98%, respectively, versus June 2011 levels of
142.15%, 131.66%, 124.19%, and 118.88%, respectively. This ratio
calculation does not include the benefit of payments made to the
notes on the July 16, 2012 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 Moody's calculations, the
weighted average rating factor is currently 4060 compared to 3547
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 $958 million,
defaulted par of $24.0 million, a weighted average default
probability of 27.61% (implying a WARF of 4060), a weighted
average recovery rate upon default of 50.6%, and a diversity score
of 26. 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.
KKR Financial CLO 2007-A, Ltd., issued in November 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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% (3248)
Class A: 0
Class B: 0
Class C: +1
Class D: +2
Class E: +2
Class F: +2
Moody's Adjusted WARF + 20% (4872)
Class A: 0
Class B: 0
Class C: -2
Class D: -1
Class E: -1
Class F: -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 upcoming speculative-grade debt maturities 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.
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.
LEHMAN XS: Moody's Upgrades Rating on Class 3-A5A RMBS to 'Caa2'
----------------------------------------------------------------
Moody's Investors Service has upgraded Class 3-A5A from Lehman XS
Trust Series 2006-GP3. The collateral backing this deal primarily
consists of first-lien, adjustable-rate Option ARM residential
mortgages. The action impacts approximately $49.5 million of RMBS
issued in 2006.
Complete rating actions are as follows:
Issuer: Lehman XS Trust Series 2006-GP3
Cl. 3-A5A, Upgraded to Caa2 (sf); previously on May 30, 2012
Caa3 (sf) Placed Under Review for Possible Upgrade
Ratings Rationale
The action is a result of the recent performance of Option ARM
pools originated on or after 2005 and reflect Moody's updated loss
expectations on these pools.
The rating action consists of one upgrade. The upgrade is due to
significant improvement in collateral performance.
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 1) Moody's
current view on loan modifications and 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 Option ARM pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Option ARM pools, Moody's
first applies a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. Once the loan count in a pool falls below
76, this rate of delinquency is increased by 1% for every loan
fewer than 76. For example, for a 2005 pool with 75 loans, the
adjusted rate of new delinquency is 10.1%. Further, to account for
the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.20
to 1.8 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
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 8.3% 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_SF296272
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF225686
MASTR ADJUSTABLE: Moody's Cuts Ratings on Two Tranches to 'Caa1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
and downgraded the rating of one tranche issued by MASTR
Adjustable Rate Mortgages Trust 2005-4. The resecuritized bonds
are backed by underlying bonds from different prime jumbo and Alt-
A RMBS transactions.
Complete rating actions are as follows:
Issuer: MASTR Adjustable Rate Mortgages Trust 2005-4
Cl. A-1, Upgraded to Baa2 (sf); previously on Feb 13, 2012 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Upgraded to Ba2 (sf); previously on Feb 13, 2012 Caa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf)
Ratings Rationale
The actions reflect the correction of the principal allocation to
the senior bonds in Classes A-1, A-2 and A-3. As per the trust
agreement, on and after April 2008, principal payments can be
allocated pro-rata to all of the senior bonds only if a trigger
event occurs. In the absence of a trigger event, principal
payments are allocated pro rata to Classes A-1 and A-2 but not
Class A-3. Moody's previous ratings were based on analyses that
continued to allocate principal on a pro rata basis to all senior
bonds, despite no occurrence of a trigger event. The principal
allocation has now been corrected, and the action reflects that
change.
The actions also reflect the recent performance of the pools of
mortgages backing the underlying bonds and the updated loss
expectations on the resecuritization bonds.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Resecuritized Residential Mortgage-Backed
Securities" published in February 2011. The principal methodology
used in the IO ratings was "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published on February 2012.
The principal methodology used in determining the ratings of the
underlying bonds is described in the Monitoring and Performance
Review section in "Moody's Approach to Rating US Residential
Mortgage-Backed Securities" published in December 2008. For other
methodologies used for estimating losses on RMBS pools, please
refer to the methodology publications "2005 - 2008 US RMBS
Surveillance Methodology" published in July 2011 for deals
originated after 2004 and "Pre-2005 US RMBS Surveillance
Methodology" published in January 2012 for deals originated prior
to 2005.
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.
As part of the sensitivity analysis, Moody's stressed the updated
losses on the underlying bonds by an additional 10% and found that
the implied ratings of the resecuritization bonds do not change.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF296264
MAXIM HIGH II: Fitch Cuts Rating on Two Class Notes to 'Dsf'
------------------------------------------------------------
Fitch Ratings has taken the following rating actions on notes
issued by Maxim High Grade CDO II, Ltd. (Maxim II):
-- $946,416,980 class A-1 affirmed at 'Dsf' and withdrawn;
-- $499,837,692 class A-2 affirmed at 'Dsf' and withdrawn;
-- $99,967,538 class A-3 affirmed at 'Dsf' and withdrawn;
-- $99,967,538 class A-4 affirmed at 'Dsf' and withdrawn;
-- $36,488,152 class B affirmed at 'Dsf' and withdrawn;
-- $14,461,399 class C affirmed at 'Dsf' and withdrawn;
-- $23,173,141 class D downgraded to 'Dsf' from 'Csf' and
withdrawn;
-- $24,070,296 class E downgraded to 'Dsf' from 'Csf' and
withdrawn.
Maxim II entered an Event of Default on April 7, 2008 due to a
default in the payment of accrued interest on the non-deferrable
class B and class C notes. On Dec. 19, 2008, the holders of a
majority of the controlling class declared the principal of and
accrued and unpaid interest on all of the notes to be immediately
due and payable. On July 2, 2012, a liquidation notice was issued
for the transaction, and as a result, all remaining collateral in
the portfolio has been sold and liquidated.
Proceeds from the liquidation were distributed on the final
payment date of Aug. 9, 2012 and were insufficient to pay the
class A-1 notes in full. Approximately $245.8 million of
principal was distributed to the class, leaving an unpaid note
balance of $946.4 million. Consequently, no funds were available
to repay the principal on any other class of notes.
Maxim II was a static high grade cash flow structured finance
collateralized debt obligation (SF CDO) that closed on March 28,
2007 and was managed by Maxim Capital Management, LLC. The
underlying portfolio primarily referenced residential mortgage-
backed securities and SF CDOs.
MUIR WOODS: S&P Gives 'B' Rating on Class F Deferrable Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Muir
Woods CLO Ltd./Muir Woods CLO Corp.'s $277.00 million floating-
rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists primarily
of senior secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed using
its cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-11.41%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
-- The transaction's interest diversion test, a failure of which
during the reinvestment period will lead to the
reclassification of excess interest proceeds that are
available prior to paying subordinated management fees and
uncapped administrative expenses to principal proceeds for the
purchase of collateral assets or, at the collateral manager's
discretion, to reduce the balance of the rated notes
outstanding sequentially.
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/1111755.pdf
RATINGS ASSIGNED
Muir Woods CLO Ltd./Muir Woods CLO Corp.
Class Rating Amount
(mil. $)
X AAA (sf) 3.00
A AAA (sf) 188.30
B AA (sf) 31.70
C (deferrable) A (sf) 24.20
D (deferrable) BBB (sf) 12.00
E (deferrable) BB (sf) 12.30
F (deferrable) B (sf) 5.50
Subordinated notes NR 26.00
NR-Not rated.
METROFINANCIERA SAPI: Fitch Withdraws 'D' National LT Ratings
-------------------------------------------------------------
Fitch Ratings has taken the following rating actions on two series
of Construction Bridge Loan securitizations (CBLs) originated and
serviced by Metrofinanciera, S.A.P.I. de C.V., SOFOM, E.N.R.:
Metrofinanciera Trust 650 Class A
-- Long-term 'Dsf' withdrawn;
-- National long-term 'D(mex)vra' withdrawn.
Metrofinanciera Trust 650 Class B
-- National long-term 'D(mex)vra' withdrawn.
The issuer trust remains but all securitized assets have been sold
and the amounts received where insufficient to fully amortize both
notes. As of Jul. 31, 2012, the unpaid principal for Class A
notes is MXN$1,016.4 million and for Class B notes is MXN$214
million. Once the trust is closed, a small additional principal
payment to Class A notes will be made with remaining cash.
MORGAN STANLEY 2006-IQ11: Fitch Cuts Rating on Eight Cert. Classes
------------------------------------------------------------------
Fitch Ratings downgrades eight classes of Morgan Stanley Capital I
(MSCI) Trust, series 2006-IQ11, commercial mortgage pass through
certificates.
The downgrades are the result of an increase in realized losses
due to liquidation of specially serviced loans. Fitch-modeled
losses of 5.4% (6.6% cumulative transaction losses which includes
losses realized to date) are an increase from 5.6% as of the last
review.
Fitch expects classes H thru K to be fully depleted by losses on
specially serviced loans and class G to be significantly impacted.
As of August 2012, there are cumulative interest shortfalls in the
amount of $7 million currently affecting classes J through P.
As of the August 2012 distribution date, the pool's aggregate
principal balance has been paid down by 22.7% to $1.25 billion,
from $1.6 billion at issuance. There is one defeased loan
representing 0.6% of the pool.
Fitch has identified 43 loans (15.6%) as Fitch Loans of Concern,
which includes nine specially serviced loans (7.8%).
In total, there are currently nine loans (7.8%) in special
servicing, which consists of two loans (1.5%) as real estate owned
(REO), three loans (1.7%) in foreclosure, three loans (0.8%) that
are delinquent on debt service payments, and one loan (3.8%) that
is current.
The largest specially serviced asset (3.8%) is a 530,856 square
foot (sf) industrial facility in Phoenix, AZ. The loan
transferred to special servicing in November 2006 due to the
single tenant, LeNature, filing bankruptcy and vacating the space.
The property has since been re-tenanted by I/O Data Centers and is
100% occupied under a long term lease. The loan remains current
and continues to perform in accordance with the executed
agreements, which included a $6 million principal paydown of the
loan. Fitch expects minimal losses, if any, on this loan.
The largest contributor to losses is the L3/Bulova Building (1.1%)
which is a 212,000 sf office building in downtown Lancaster, PA.
The loan transferred to special servicing in April 2008 due to the
single tenant, L3 Communications, vacating the space and
discontinuing payment of rent. The property is currently in
foreclosure proceedings.
The second largest contributor to losses is the Capital Plaza
property, which is a 415,977 sf suburban office complex located in
Jacksonville, FL. The loan remains current; however, occupancy
has declined to 73% at June 2012, from 83% at year-end 2011 due to
a tenant downsizing their space. The servicer-reported DSCR as of
March 2012 was 0.85x, down from 1.02x at year-end 2011 and 1.32x
at year-end 2010. Based on a servicer reported rent roll, no
leases are scheduled to expire prior to year 2014.
Fitch downgrades and revises Rating Outlooks and Recovery
Estimates to the following classes as indicated:
-- $147.5 million class A-J to 'Asf' from 'AAsf'; Outlook
Stable;
-- $30.3 million class B to 'BBBsf' from 'Asf'; Outlook
Negative;
-- $12.1 million class C to 'BBsf' from 'BBB-sf'; Outlook
Stable;
-- $22.2 million class D to 'Bsf' from 'BBsf'; Outlook revised
to Stable from Negative;
-- $16.2 million class E to 'CCCsf' from 'Bsf'; RE 70%;
-- $14.1 million class F to 'CCsf' from 'CCCsf'; RE 0%;
-- $18.2 million class G to 'Csf' from 'CCsf'; RE 0%;
-- $14.1 million class H to 'Csf' from 'CCsf'; RE 0%;
Additionally, Fitch affirms and assigns Recovery Estimates to the
following classes as indicated:
-- $305.4 million class A-1A at 'AAAsf'; Outlook Stable;
-- $73.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $490 million class A-4 at 'AAAsf'; Outlook Stable;
-- $161.6 million class A-M at 'AAAsf'; Outlook Stable;
-- $8.1 million class J at 'Csf'; RE 0%;
-- $0.9 million class K at 'Dsf'; RE 0%;
-- $0 million class L to 'Dsf'; RE 0%.
Fitch does not rate classes M through P or class EI. Class A-1
and A-2 have been paid in full. Fitch withdraws the ratings of
the interest only classes X and X-Y (For additional information,
see 'Fitch Revises Practice for Rating IO & Pre-Payment Related
Structured Finance Securities', dated June 23, 2010.)
MORGAN STANLEY 2006-TOP23: Fitch Junks Rating on 6 Cert. Classes
----------------------------------------------------------------
Fitch Ratings has downgraded six and affirmed 13 classes of Morgan
Stanley Capital I Trust, commercial mortgage pass-through
certificates, series 2006-TOP23 (MSCI 2006-TOP23).
The downgrades reflect realized losses and an increase in Fitch-
modeled losses since last review. Fitch modeled losses of 3.5%
for the remaining pool (modeled losses are 4.5% of the original
pool, including losses incurred to date). Classes M through P
have been reduced to zero due to realized losses.
As of the August 2012 distribution date, the pool's aggregate
principal balance has been reduced by 14% (to $1.39 billion from
$1.61 billion at issuance), 12.5% of which was due to paydowns and
1.6% due to realized losses. There are no defeased loans.
Cumulative interest shortfalls totaling $275,975 are affecting
classes L and P.
Fitch has identified 40 loans (17.5%) as Fitch Loans of Concern,
which includes two specially serviced loans (0.5%). One of the
specially serviced loans was classified as in foreclosure (0.3%)
and the other loan was greater than 90 days delinquent (0.2%).
The largest contributor to modeled losses is a loan (0.8%) secured
by a 260-unit multifamily property located in Phoenix, AZ.
Property performance has been struggling since 2009 due to newer
competitive properties. For year-end (YE) 2011, the debt service
coverage ratio (DSCR), on a net operating income (NOI) basis, was
0.33x. Although this is an improvement from the negative DSCR of
0.18x reported for YE 2010, current performance remains
significantly below the 2.27x reported at issuance.
The second largest contributor to modeled losses is a loan (0.4%)
secured by a 32,054 square foot (sf) retail property located in
Frisco, TX. Performance began to decline when three tenants
vacated the property in 2008 prior to their lease expiration.
Additionally, property taxes have nearly doubled since issuance
due to a reassessment of the property. For YE 2011, DSCR, on a
NOI basis, was 0.39x compared to 0.76x and 1.70x reported for YE
2010 and at issuance, respectively.
The third largest contributor to modeled losses is a loan (4.8%)
secured by a 231,445 sf office building located in Washington,
D.C. As of June 2012, the property was 81% occupied, down
significantly from 98% at issuance. Approximately one-third of
the total property square footage has lease expiration prior to
the end of 2016. The loan matures in July 2016. For YE 2011,
DSCR, on a NOI basis, was 1.33x compared to 1.64x at issuance.
Fitch has downgraded the following classes as indicated:
-- $14.1 million class E to 'CCCsf' from 'Bsf'; RE 100%;
-- $12.1 million class F to 'CCCsf' from 'B-sf'; RE 100%;
-- $14.1 million class G to 'CCsf' from 'CCCsf'; RE 20%;
-- $10.1 million class H to 'CCsf' from 'CCCsf'; RE 0%;
-- $4 million class J to 'Csf' from 'CCCsf'; RE 0%;
-- $4 million class K to 'Csf' from 'CCsf'; RE 0%.
In addition, Fitch has affirmed and revised a Rating Outlook on
the following classes, as indicated:
-- $61.2 million class A-2 at 'AAAsf; Outlook Stable;
-- $43.6 million class A-3 at 'AAAsf'; Outlook Stable;
-- $59.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $812.1 million class A-4 at 'AAAsf'; Outlook Stable;
-- $161.4 million class A-M at 'AAAsf'; Outlook Stable;
-- $113 million class A-J at 'Asf'; Outlook Stable;
-- $32.3 million class B at 'BBBsf'; Outlook Stable;
-- $16.1 million class C at 'BBB-sf'; Outlook to Negative from
Stable;
-- $26.2 million class D at 'BBsf'; Outlook Negative;
-- $3.1 million class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Class A-1 has paid in full. Fitch does not rate class P. The
rating on the interest-only class X was previously withdrawn. (For
additional information on the withdrawal of the rating on class X,
see 'Fitch Revises Practice for Rating IO & Pre-Payment Related
Structured Finance Securities', dated June 23, 2010.)
N-STAR REAL II: Moody's Cuts Rating on Class C-1 Notes to 'B2'
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one class
and affirmed the ratings of three classes of Notes issued by N-
Star Real Estate CDO II Ltd. The downgrade is due to deterioration
in the underlying collateral as evidenced by the Moody's weighted
average rating factor (WARF) and recovery rate (WARR). The
affirmations are due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-REMIC) transactions.
Moody's rating action is as follows:
Class A-1 Floating Rate Senior Notes due 2039, Affirmed at Aaa
(sf); previously on Sep 22, 2010 Upgraded to Aaa (sf)
Class B-1 Floating Rate Senior Subordinate Notes due 2039,
Affirmed at Baa2 (sf); previously on Mar 24, 2009 Confirmed at
Baa2 (sf)
Class B-2 Floating Rate Senior Subordinate Notes due 2039,
Affirmed at Baa3 (sf); previously on Mar 24, 2009 Confirmed at
Baa3 (sf)
Class C-1 Floating Rate Subordinate Notes due 2039, Downgraded to
B2 (sf); previously on Sep 9, 2011 Downgraded to B1 (sf)
Ratings Rationale
N-Star Real Estate CDO II Ltd. is a static cash CRE CDO
transaction backed by a portfolio of commercial mortgage backed
securities (CMBS) (73.5% of the pool balance), CRE collaterized
debt obligations (CRE CDO) (14.5% of the pool balance) and real
estate investment trust (REIT) debt (12.0%). As of the July 24,
2012 Trustee report, the aggregate Note balance of the
transaction, including preferred shares was $198.0 million from
$400.0 million at issuance, with the paydown directed to the Class
A Notes, as a result of the combination of regular amortization of
the underlying collateral and failing of certain par value tests.
There are ten assets with a par balance of $31.6 million (16.7% of
the current pool balance) that are considered defaulted securities
as of the July 24, 2012 Trustee report, compared to six defaulted
securities totaling $19.3 million par amount at last review. Seven
of these assets (57.3% of the defaulted balance) CMBS and three
assets (42.7%) are CRE CDO. Moody's does expect significant losses
to occur from these defaulted securities 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 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 3,255 compared to 2,739 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (11.5%
compared to 13.0% at last review), A1-A3 (2.1% compared to 4.8% at
last review), Baa1-Baa3 (29.6% compared to 31.6% at last review),
Ba1-Ba3 (8.1% compared to 13.2% at last review), B1-B3 (20.2%
compared to 14.5% at last review), and Caa1-C (28.5% compared to
23.0% 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 3.1
years compared to 3.6 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
19.2% compared to 22.2% 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 6.5% compared to 8.4% 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
19.2% to 9.2% or up to 29.2% would result in average modeled
rating movement on the rated tranches of 0 to 4 notches downward
and 0 to 4 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.
N-STAR REAL VII: Moody's Affirms 'C' Ratings on 3 Note Classes
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of all classes
of Notes issued by N-Star Real Estate CDO VIII Ltd. 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, Affirmed at A3 (sf); previously on Oct 8, 2010 Downgraded
to A3 (sf)
Cl. A-R, Affirmed at A3 (sf); previously on Oct 8, 2010 Downgraded
to A3 (sf)
Cl. A-2, Affirmed at B1 (sf); previously on Sep 23, 2011
Downgraded to B1 (sf)
Cl. B, Affirmed at B3 (sf); previously on Sep 23, 2011 Downgraded
to B3 (sf)
Cl. C, Affirmed at Caa1 (sf); previously on Oct 8, 2010 Downgraded
to Caa1 (sf)
Cl. D, Affirmed at Caa2 (sf); previously on Oct 8, 2010 Downgraded
to Caa2 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Oct 8, 2010 Downgraded
to Caa3 (sf)
Cl. F, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. G, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. H, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. J, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. K, Affirmed at Ca (sf); previously on Oct 8, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Cl. M, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Cl. N, Affirmed at C (sf); previously on Oct 8, 2010 Downgraded to
C (sf)
Ratings Rationale
N-Star Real Estate CDO VIII Ltd. is a static cash CRE CDO
transaction backed by a portfolio of A-Notes and whole loans
(53.7% of the pool balance), B-Notes (2.6%), commercial mortgage
backed securities (CMBS) (0.3%), CRE CDOs (10.2%), and mezzanine
loans/CRE debt/preferred equity (33.2%). As of the August 1, 2012
payment date, the aggregate Note balance of the transaction,
including Income Notes, has decreased to $864.1 million from $900
million at issuance, with the paydown directed to the Class A1 and
AR Notes, as a result of the combination of the principal
repayment of collateral and junior notes cancellation to Class G
and Class J Notes. During the current review, holding all key
parameters static, the junior note cancellations results in
slightly higher expected losses and longer weighted average lives
on the senior Notes, while producing slightly lower expected
losses on the mezzanine and junior Notes. However, this does not
cause, in and of itself, a downgrade or upgrade of any outstanding
classes of Notes. The transaction is passing all of its par value
and interest coverage ratio tests.
There are two assets with par balance of $29.5 million (3.1% of
the current pool balance) that are considered defaulted securities
as of the August 1, 2012 payment date, compared to three defaulted
securities totaling $43.7 million par amount at last review.
Moody's does expect significant losses to occur from these
defaulted securities once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has 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 7,929 compared to 8,345 at last review. The current
distribution of Moody's rated collateral and assessments for non-
Moody's rated collateral is as follows: Aaa-Aa3 (0.1% compared to
0.0% at last review), A1-A3 (0.9% compared to 0.6% at last
review), Ba1-Ba3 (0.8% compared to 0.0% at last review), B1-B3
(3.3% compared to 0.0% at last review), and Caa1-Ca/C (94.9%
compared to 99.4% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 5.5 years compared
to 5.0 at last review. The current WAL 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 27.6%
WARR compared to 26.0% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 100.0%, compared to 99.9% 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. 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 27.6% to 17.6% or up to 37.6% would result in average
modeled rating movement on the rated tranches of 0 to 4 notches
downward and 0 to 9 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.
NATIONAL COLLEGIATE 2007-1: S&P Lowers Rating on B Notes to 'D'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
B notes from National Collegiate Student Loan Trust 2007-1 to 'D
(sf)' from 'CC (sf)'.
"We lowered our rating to 'D (sf)' because the affected class did
not receive any interest payment on the Aug. 27, 2012,
distribution date. The series 2007-1 transaction breached its
class B note interest trigger due to the failure of its cumulative
default and parity tests. The cumulative default test failed
because cumulative defaults were 26.48%, which is above the
current required threshold of 25% as of Aug. 27, 2012. The parity
test failed because the aggregate outstanding balance of the class
A note exceeded the sum of the collateral balance plus the amounts
on deposit in the reserve account. The aforementioned parity test
was 99.73% as of Aug. 27, 2012. The increase in defaults and
declines in parity reflect the impact that the continuing poor
collateral performance has had on this trust," S&P said.
"If a class B note interest trigger is in effect, interest on the
class B, C, and D notes will be subordinated to the payment of
principal on the class A notes, which resulted in an interest
shortfall to the class B notes on the Aug. 27, 2012, distribution
date. The class B note interest trigger is tested monthly, and the
transaction can cure the breach if it passes the appropriate
performance tests on subsequent distribution dates. We lowered our
rating on the class B notes to 'CC (sf)' due to adverse collateral
performance leading to declines in parity on April 5, 2012. At the
same time, we lowered our rating on the class A notes to 'B (sf)'.
The class C and D notes had previously breached their note
interest triggers and accordingly we lowered those ratings to 'D
(sf)'," S&P said.
"We believe this transaction will continue to breach its class B
note interest trigger for the foreseeable future due to the
continued adverse performance trends of the underlying pool of
private student loans, including the accelerated pace at which the
transaction has been realizing defaults. The transaction may draw
on its reserve account to cover fees to the servicer, trustee,
paying agent, and administrator, as well as backup administrator
fees and expenses, and class A, B, C, and D note interest when no
triggers are in effect. However, when a class' note interest
trigger is in effect, the transaction cannot draw on the reserve
account to cover interest payments to that class of notes," S&P
said.
"Standard & Poor's will continue to monitor the performance of the
student loan receivables backing this trust relative to our
cumulative default expectations and available credit enhancement,"
S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
NELNET STUDENT 2008-4: Moody's Cuts Rating on Cl. B Notes to Ba1
----------------------------------------------------------------
Moody's Investors Service downgraded two subordinate classes of
notes issued by Nelnet Student Loan Trust 2008-1 and Nelnet
Student Loan Trust 2008-4. The downgrades conclude Moody's review
of the notes initiated in April 2012 following the implementation
of "Moody's Approach to Rating Securities Backed by FFELP Student
Loans" methodology. The underlying collateral consists of a pool
of Federal Family Education Loan Program (FFELP) student loans
that are guaranteed by the Department of Education for a minimum
of 97% of defaulted principal and accrued interest.
Ratings Rationale
The ratings were downgraded as a result of the increased expected
defaults Moody's observed in the FFELP loan pools during the
recent years. Moody's updated cash flow assumptions used in rating
FFELP securitizations reflect this trend. The collateral loan
pools in these transactions consist primarily of unseasoned
Stafford and Plus loans. Although the total parity, i.e. the ratio
of total assets to total liabilities, for both transactions was at
the targeted release level as of the latest reporting date, the
amount of available credit support is not sufficient to offset the
higher net losses on the underlying collateral. Moody's cash flow
analysis indicates that both transactions are in the negative
carry position in the cash flow scenarios Moody's uses in rating
highly rated tranches in FFELP securitizations.
The principal methodology used in these ratings was "Moody's
Approach to Rating Securities Backed by FFELP Student Loans",
published in April , 2012.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
The ratings on the subordinate bonds would be upgraded if spread
between LIBOR index on the liability side and the one-month LIBOR
index on the asset side is 10 bps lower, or downgraded if the
spread is 10 bps higher.
To assess rating implications of the higher expected losses, each
individual transaction was run through a variety of stress
scenarios using the Structured Finance Workstation(R) (SFW), a
cash flow model developed by Moody's Wall Street Analytics.
The complete rating actions are as follows:
Issuer: Nelnet Student Loan Trust 2008-1
Cl. B, Downgraded to Baa3 (sf); previously on Apr 2., 2012 A2
(sf) Placed Under Review for Possible Downgrade
Issuer: Nelnet Student Loan Trust 2008-4
Cl. B, Downgraded to Ba1 (sf); previously on Apr 2., 2012 A3
(sf) Placed Under Review for Possible Downgrade
NEWSTAR 2006-1: Fitch Affirms 'BB' Rating on $13.75MM Cl. E Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed six classes of notes issued by NewStar
Commercial Loan Trust 2006-1 (NewStar 2006-1). Fitch has also
revised Rating Outlooks on two classes of notes.
The affirmations of the notes are based on the stable performance
of the transaction since Fitch's last rating review in September
2011. The credit enhancement has increased on all the notes due
to the principal repayments of the class A-1 and A-2 notes
(collectively, the class A notes). According to the June 2012
report, the weighted average rating factor (WARF) of the portfolio
remained unchanged at 'B/B-'. The amount of assets that Fitch
considers 'CCC' and below has increased to 25.3% from 23.3%.
However, approximately 4.1% was treated at 'CCC' due to the lack
of rating information.
The notes of NewStar 2006-1 benefit from credit enhancement in the
form of collateral coverage, note subordination, and the
application of excess spread via the additional principal amount
(APA). For every dollar that is charged off of the performing
portfolio, the APA feature directs the excess interest proceeds
and recoveries from charged-off loans otherwise available to the
certificateholders to pay down the senior-most notes in an amount
equal to the charged-off amount. The APA completely paid off on
the December 2010 payment date, and as a result, the
certificateholders resumed receiving excess interest proceeds on
the March 2011 payment date.
Fitch has revised the Outlooks on the class D and E notes to
reflect its expectation that the performance of the portfolio and
the outstanding liabilities will remain stable in the near term.
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'. The default timing scenarios were also adjusted, since
the weighted average life of the portfolio was approximately three
years. As a result, Fitch assumed that a peak of 70% of the
defaults would occur in the first, second, and third year for the
front, middle, and back default timing, respectively. All the
notes passed the various stress scenarios at rating levels in line
with their credit ratings, which supported the affirmations.
NewStar 2006-1 is a collateralized debt obligation (CDO) that
closed on June 8, 2006 and is managed by NewStar Financial, Inc.
(NewStar). The transaction's reinvestment period ended in June
2011 and its legal final maturity date is in March 2022. NewStar
2006-1 is secured by a portfolio comprised of 96.0% corporate
loans, primarily to middle-market issuers, 3.6% commercial real
estate loans, and 0.4% in structured finance assets, based on
total commitment amounts. The majority of these loans are not
publicly rated. Instead, Fitch's leveraged finance group provided
model-based credit opinions for approximately 82.6% of the
performing loans. Information for the model-based credit opinions
was gathered from financial statements provided to Fitch by
NewStar.
Fitch affirms the following and revised Outlooks as indicated:
-- $206,753,829 class A-1 notes at 'AAAsf'; Outlook Stable;
-- $27,670,397 class A-2 notes at 'AAAsf'; Outlook Stable;
-- $22,500,000 class B notes at 'AAsf'; Outlook Stable;
-- $35,000,000 class C notes at 'Asf'; Outlook Stable;
-- $25,000,000 class D notes at 'BBBsf'; Outlook to Stable from
Negative;
-- $13,750,000 class E notes at 'BBsf'; Outlook to Stable from
Negative.
NEWSTAR 2007-1: Fitch Affirms 'BB' Rating on $29.1MM Cl. E Notes
----------------------------------------------------------------
Fitch Ratings has affirmed six classes of notes issued by NewStar
Commercial Loan Trust 2007-1 (NewStar 2007-1) and revised the
Rating Outlooks on three classes.
The affirmations are based on the stable performance of the
transaction since Fitch's last rating action in September 2011.
Credit enhancement levels have increased slightly for all classes
in the transaction. According to the current loan tape, the
portfolio has no charged-off loans, compared to 3.6% at last
review. The portfolio credit quality has remained generally
unchanged from the last review, with a weighted average rating
factor (WARF) of 'B/B-'. In addition, Fitch considers
approximately 16.1% of the total commitments of the July 2012
portfolio in the 'CCC' category or below, compared to 15.9% in the
last review. However, approximately 3.8% were considered at 'CCC'
due to the lack of rating information. The transaction is still
in its reinvestment period, which is scheduled to end in May 2013.
The notes of NewStar 2007-1 benefit from the credit enhancement in
the form of collateral coverage, note subordination, and the
application of excess spread via the additional principal amount
(APA). For every dollar that is charged off of the performing
portfolio, the APA feature directs the excess interest proceeds
otherwise available to the certificateholders to pay down the
senior-most notes in an amount equal to the charged-off amount.
The APA completely paid off on the February 2010 payment date, and
as a result, the certificateholders resumed receiving excess
interest proceeds on the August 2010 payment date. Fitch has
revised the Outlooks on the class C, D, and E notes to reflect its
expectation that the performance of the portfolio and the
outstanding liabilities will remain stable in the near term.
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'. All the notes passed the various stress scenarios at
rating levels in line with their current ratings, which supported
the affirmations.
NewStar 2007-1 is a collateralized debt obligation (CDO) that
closed on June 5, 2007 and is managed by NewStar Financial, Inc.
(NewStar). The transaction's reinvestment period is scheduled to
end in May 2013, and its maturity date is in September 2022.
NewStar 2007-1 is secured by a portfolio comprised of 96.5%
corporate loans, primarily to middle-market issuers, and 3.1%
commercial real estate loans, and 0.3% CLOs, based on the total
commitment amounts. The majority of these loans are not publicly
rated. Instead, Fitch's leveraged finance group provided model-
based credit opinions for 83.8% of the performing loans.
Information for the model-based credit opinions was gathered from
financial statements provided to Fitch by NewStar.
Fitch affirms the following and revises Outlooks as indicated:
-- $318,104,654 class A-1 notes at 'AAAsf'; Outlook Stable;
-- $62,389,693 class A-2 notes at 'AAAsf'; Outlook Stable;
-- $24,000,000 class B notes at 'AAsf'; Outlook Stable;
-- $58,500,000 class C notes at 'Asf'; Outlook to Stable from
Negative;
-- $27,000,000 class D notes at 'BBB+sf'; Outlook to Stable from
Negative;
-- $29,100,000 class E notes at 'BBsf'; Outlook to Stable from
Negative.ch)
ORCHID STRUCTURED II: S&P Lowers Rating on Class A-1 Notes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 notes from Orchid Structured Finance CDO II Ltd. to 'D (sf)'
from 'CC (sf)'. Orchid Structured Finance CDO II Ltd. is a
collateralized debt obligation (CDO) transaction backed by
mezzanine structured finance assets.
"According to the Aug. 15, 2012, final payment date note valuation
report, the proceeds from liquidation were insufficient to pay
down the class A-1 noteholders in full. Therefore, we lowered our
rating on the class A-1 notes to 'D (sf)' in accordance with our
criteria," 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
POPULAR ABS: Moody's Corrects August 21 Rating Release on Trusts
----------------------------------------------------------------
Moody's Investors Service issued a correction to the August 21,
2012 rating release on Subprime RMBS issued by Popular trusts in
2005.
Moody's Investors Service has upgraded the ratings of three
tranches and confirmed the ratings of five tranches from four
deals issued by Popular trusts. The collateral backing the
transactions are subprime residential mortgages.
Complete rating actions are as follows:
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-1
Cl. AV-1A, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. AV-1B, Confirmed at B1 (sf); previously on May 30, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. AV-2, Confirmed at Ba1 (sf); previously on May 30, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. M-1, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-4
Cl. AF-5, Confirmed at Baa1 (sf); previously on May 30, 2012 Baa1
(sf) Placed Under Review for Possible Upgrade
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-A
Cl. M-1, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-B
Cl. M-2, Upgraded to B2 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Upgraded to Caa2 (sf); previously on Jul 21, 2010
Downgraded to Caa3 (sf)
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 1) Moody's
current view on loan modifications and 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 a pool factor of greater than 5%. Moody's can
withdraw its rating when the pool factor drops below 5% and the
number of loans in the deal declines to 40 loans or lower. If,
however, a transaction has a specific structural feature, such as
a credit enhancement floor, that mitigates the risks of small pool
size, Moody's can choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on subprime pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For subprime pools, Moody's
first applies a baseline delinquency rate of 10% for 2005, 19% for
2006 and 21% for 2007. Once the loan count in a pool falls below
76, this rate of delinquency is increased by 1% for every loan
fewer than 76. For example, for a 2005 pool with 75 loans, the
adjusted rate of new delinquency is 10.1%. Further, to account for
the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated above by a factor ranging from 0.80
to 1.8 for current delinquencies that range from 10% to greater
than 50% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
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 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_SF295737
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
PPM GRAYHAWK: S&P Hikes Rating on Class D Notes to 'B-'; Off Watch
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2a, A-2b, A-3, B, C, and D notes from PPM Grayhawk CLO
Ltd., a collateralized loan obligation (CLO) transaction managed
by PPM America Inc., and removed them from CreditWatch, where S&P
placed them with positive implications on June 18, 2012.
"We raised our ratings on all the classes due to an increase in
the credit support available to them since we upgraded the class D
note in May 2010," S&P said.
The transaction is in its reinvestment phase, which ends in April
2014, and continues to use the principal proceeds to reinvest. All
coverage and collateral quality tests are currently passing.
"As per the August 2012 monthly report, the trustee reports that
the transaction currently has $16.4 million par of assets rated
'CCC+' and below, down from $41.3 million in March 2010, which we
used in our analysis for our May 2010 rating action. Due to an
improvement in the credit quality of the portfolio, the scenario
default rates (SDRs) of the portfolio decreased. This increased
the cushion available to the notes at their prior rating levels,"
S&P said.
"In addition, the transaction currently has only one defaulted
asset with a par balance of $159,644, down from $8.3 million par
in March 2010. Many of the defaulted positions were sold at values
higher than the assumed recovery rates," S&P said.
"As per the terms of the indenture, the class A-2a receives
principal payments ahead of class A-2b, and therefore has a lower
balance, which could be paid off ahead of the class A-1 and A-2b
notes. As a result, the class A-2a can support a higher rating.
The class D note balance was reduced in the past due to the
failure of the class D coverage test and resulting paydowns; the
transaction is structured such that as long as specific conditions
are met, any interest proceeds after payment of class D interest
will be used to paydown the class D notes upon failure of the
class D coverage test," S&P said.
"The class D last received such a paydown in October 2009 and none
after that. The class A-1 and A-2a last received paydowns in July
2009. All note balances remain the same since our rating action in
May 2010," S&P said.
"Standard & Poor's notes that as per the August 2012 trustee
report, 1.04% of the underlying assets are expected to mature
after the transaction's maturity date. We took this into account
in our review," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
PPM Grayhawk CLO Ltd.
Rating
Class To From
A-1 AA- (sf) A+ (sf)/Watch Pos
A-2a AAA (sf) AA+ (sf)/Watch Pos
A-2b AA- (sf) A+ (sf)/Watch Pos
A-3 A+ (sf) A- (sf)/Watch Pos
B BBB+ (sf) BBB- (sf)/Watch Pos
C BBB- (sf) BB- (sf)/Watch Pos
D B- (sf) CCC+ (sf)/Watch Pos
TRANSACTION INFORMATION
Issuer: PPM Grayhawk CLO Ltd.
Coissuer: PPM Grayhawk CLO Corp.
Collateral manager: PPM America Inc
Trustee: The Bank of New York Mellon
Transaction type: Cash flow CLO
RAMPART CLO 2006-I: S&P Raises Rating on Class C Notes to 'BB+'
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2, B, and C notes from Rampart CLO 2006-I Ltd., a U.S.
collateralized loan obligation (CLO) managed by Stone Tower Debt
Advisors LLC. "Simultaneously, we affirmed our ratings on the
class A-1 and D notes," S&P said.
"The upgrades reflect improving credit support, primarily due to a
$6.76 million increase in collateral to support the rated notes
since our May 2010 rating actions. The rating affirmations reflect
sufficient credit enhancement at the current rating levels," S&P
said.
"According to the July 6, 2012, trustee report, the transaction
held $0.27 million in defaulted assets, down from $1.57 million
noted in the March 15, 2010, trustee report, which we used for our
May 2010 rating actions," S&P said.
Also, the par value of the collateral pool backing the rated
liabilities has increased $6.76 million since March 2010.
"Additional improvements in the transaction over the same time
period include an increase in the class A, B, C, and D
overcollateralization ratio tests and a 0.86% increase in the
weighted average spread," S&P said.
Standard & Poor's notes that the transaction is currently passing
its reinvestment O/C test and will be in its reinvestment period
until January 2014. The transaction is structured such that if it
fails this test while its in its reinvestment period, it will
divert a specified amount of excess interest proceeds. This
amount, equal to the lesser of 60.00% of the available interest
proceeds and the amount necessary to cure the test, is to be
deposited into the principal collection account as principal
proceeds, which the collateral manager may reinvest into
additional collateral. The transaction has not failed this test
since the May 2010 rating actions. According to the July 2012
trustee report, the reinvestment O/C test result was 105.80%,
compared with a required minimum of 104.20%.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Rampart CLO 2006-I Ltd.
Rating
Class To From
A-2 AA (sf) AA- (sf)
B A (sf) A- (sf)
C BB+ (sf) BB (sf)
RATINGS AFFIRMED
Rampart CLO 2006-I Ltd.
Class Rating
A-1 AA+ (sf)
D B+ (sf)
ROBECO HG: Fitch Lowers Rating on Two Note Classes to 'D'
---------------------------------------------------------
Fitch Ratings has downgraded two and affirmed five classes at
'Dsf' and subsequently withdrawn the ratings on the notes issued
by Robeco HG CDO I (Robeco):
-- $295,605,013 Class A-1 affirmed at 'D' and withdrawn;
-- $384,598,379 Class A-2 affirmed at 'D' and withdrawn;
-- $54,952,736 Class A-3 affirmed at 'D' and withdrawn;
-- $64,844,229 Class A-4 affirmed at 'D' and withdrawn;
-- $18,983,673 Class B affirmed at 'D' and withdrawn;
-- $11,514,592 Class C downgraded to 'D' from 'C' and withdrawn;
-- $15,085,177 Class D downgraded to 'D' from 'C' and withdrawn.
A liquidation notice declaring the mandatory redemption of all
outstanding notes was issued for Robeco on July 2, 2012.
Subsequently, all remaining collateral in the underlying portfolio
has been sold and liquidated from the transaction. The proceeds
distributed on the final payment date of Aug. 13, 2012 were
insufficient to pay the class A-1 notes in full. Approximately
$210.1 million of principal was distributed to the class, leaving
an unpaid note balance of $295.6 million. Consequently, no funds
were available to pay down any other class of notes.
Robeco HG CDO I was a static high-grade cash flow structured
finance collateralized debt obligation (SF CDO) that closed on
June 1, 2007 and was monitored by Robeco Investment Management,
Inc. The underlying portfolio was comprised primarily of prime
and subprime residential mortgage-backed securities and SF CDOs.
SEQUOIA MORTGAGE 2011-2: Fitch Affirms 'BB' Rating on B-4 Notes
---------------------------------------------------------------
Fitch Ratings has affirmed all six classes in Sequoia Mortgage
Trust 2011-2, a 2011 prime RMBS transaction collateralized with
30-year fixed-rate, fully documented loans to borrowers with
strong credit profiles, low leverage, and significant liquid
reserves.
Fitch's rating actions are as follows:
-- Class A-1 (81744QAA1) affirmed at 'AAAsf' Outlook Stable;
-- Class A-IO (81744QAE3) affirmed at 'AAAsf' Outlook Stable;
-- Class B-1 (81744QAB9) affirmed at 'AAsf' Outlook Stable;
-- Class B-2 (81744QAC7) affirmed at 'Asf' Outlook Stable;
-- Class B-3 (81744QAD5) affirmed at 'BBBsf' Outlook Stable;
-- Class B-4 (81744QAF0) affirmed at 'BBsf' Outlook Stable.
The classes were analyzed as an annual review. As of the most
recent distribution date, the loans within the mortgage pool are
100% current. Credit enhancement as a percentage of the remaining
pool balance has increased for all classes since issuance.
Although the transaction has performed well to date, upgrades of
the ratings were not considered due to the limited amount of time
since issuance. The ratings were affirmed based on the
strengthening relationship between credit enhancement and expected
mortgage losses and cash flow analysis was not performed for this
review.
Cash flow analysis will be conducted on all classes when the
transaction is reviewed as part of the prime sector review
scheduled to be completed next month.
SHACKLETON I: S&P Gives 'BB' Rating on Class E Deferrable Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Shackleton I CLO Ltd./Shackleton I CLO Corp.'s $367.0
million floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The preliminary ratings are based on information as of Aug. 24,
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.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest rate scenarios, including LIBOR ranging from
0.34%-10.94%.
-- The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
-- The transaction's 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, income, and incentive management
fees; hedge payments; and income 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1111788.pdf
PRELIMINARY RATINGS ASSIGNED
Shackleton I CLO Ltd./Shackleton I CLO Corp.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 255.0
A-X AAA (sf) 5.0
B-1 AA (sf) 17.0
B-2 AA (sf) 25.0
C (deferrable) A (sf) 24.0
D (deferrable) BBB (sf) 21.0
E (deferrable) BB (sf) 20.0
Income notes NR 37.0
NR-Not rated.
STREETERVILLE ABS: Moody's Cuts Rating on Cl. A-1 Secs. to 'Caa3'
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Moody's Investors Service has downgraded the rating of one class
of notes issued by Streeterville ABS CDO, Ltd. The class of notes
affected by the rating action is as follows:
U.S.$850,000,000 Class A-1 First Priority Senior Secured
Floating Rate Delayed Draw Notes Due 2040 (current balance of
$372,729,213.42), Downgraded to Caa3 (sf); previously on May 13,
2010 Downgraded to Caa2 (sf).
Ratings Rationale
According to Moody's, the rating action taken on the notes results
primarily from the deterioration of the credit quality of the
portfolio and a decrease in the transaction's
Overcollateralization Test ratio since the rating action in May
2010.
As of the latest trustee report dated August 3, 2012, the
Overcollateralization Test ratio is reported at 47.50% versus
April 2010 level of 69.43%. Also based on this August report the
WARF reported is 1889 versus April 2010 reported WARF of 1033.
Notwithstanding the loss in overcollateralization and WARF
deterioration the Class A-1 Notes have amortized by $116.5 million
since the last review and the Class A-1 Notes are receiving all
current interest payments due.
Streeterville ABS CDO, Ltd. is a collateralized debt obligation
issuance backed by a portfolio of primarily Residential Mortgage-
Backed Securities (RMBS) originated between 2003 and 2005, with
the majority originated in 2003.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
In consideration of the lack of sufficient collateral coverage to
repay the rated notes in full, Moody's did not use a cash flow
model to analyze the default and recovery properties of the
collateral pool. Instead, Moody's analyzed the ratings through an
assessment of the likely severity of losses based on par coverage
from the collateral pool. In particular, Moody's analyzed the
transaction by assessing the ratings impact of, and the deal's
sensitivity to, defaults or impairments experienced by securities
with already low speculative-grade ratings.
TALMAGE STRUCTURED: Moody's Lifts Rating on Cl. B Notes to 'Caa3'
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Moody's Investors Service upgraded three classes and affirmed
eight classes of Notes issued by Talmage Structured Real Estate
2006-4, Ltd. The upgrades are due to the paydowns to the top class
from greater than expected amortization of the underlying
collateral as well as the amount of interest being redirected to
paydown the top class due to the failure of certain par value
tests. The affirmation is due to key transaction parameters
performing within levels commensurate with the existing ratings
level. 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 Baa3 (sf); previously on Sep 16, 2010
Downgraded to Ba3 (sf)
Cl. A-2, Upgraded to B3 (sf); previously on Sep 16, 2010
Downgraded to Caa3 (sf)
Cl. B, Upgraded to Caa3 (sf); previously on Sep 16, 2010
Downgraded to Ca (sf)
Cl. C, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. D, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. E, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. F, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Sep 16, 2010 Downgraded
to C (sf)
Ratings Rationale
Talmage Structured Real Estate Funding 2006-4, Ltd. is currently a
static cash CRE CDO transaction (the reinvestment period ended
February 2012) backed by a portfolio of B-Notes (23.1%),
commercial real estate CDOs (19.1%), A-Notes and whole loans
(17.7% of the pool balance), commercial mortgage backed securities
(CMBS) (15.3% of the pool balance), Asset Backed Securities
(11.4%), rake bonds (9.8%) and a mezzanine loan (3.6%). As of the
August 20, 2012 Trustee report, the aggregate Note balance of the
transaction, including preferred shares, has decreased to $281.5
million from $506.0 million at issuance, with the paydown
currently directed to the Class A-1 Notes, as a result of full and
partial amortization of the underlying collateral as well as
failing of certain par value tests.
There are fifteen assets with a par balance of $145.0 million
(55.3% of the current pool balance) that are considered impaired
securities as of the August 20, 2012 Trustee report. Moody's
expects significant losses to occur to some of the impaired
securities once they are realized.
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 7,326 compared to 6,242 at last review. The
current distribution of Moody's rated collateral and assessments
for non-Moody's rated collateral is as follows: Aaa-Aa3 (0.1%
compared to 0.2% at last review), A1-A3 (0.0% compared to 0.2% at
last review), Baa1-Baa3 (0.0% compared to 0.0% at last review),
Ba1-Ba3 (0.0% compared to 1.6% at last review), B1-B3 (30.2%
compared to 23.9% at last review), and Caa1-C (69.7% compared to
75.6% at last review).
WAL acts to adjust the probability of default of the collateral in
the pool for time. Moody's modeled to a WAL of 2.4 years compared
to 1.5 years at last review.
WARR is the par-weighted average of the mean recovery values for
the collateral assets in the pool. Moody's modeled a fixed WARR of
12.5% compared to 11.5% at last review.
MAC is a single factor that describes the pair-wise asset
correlation to the default distribution among the instruments
within the collateral pool (i.e. the measure of diversity).
Moody's modeled a MAC of 99.9%, the same as 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
12.5% to 7.5% or up to 17.5% would impact the current ratings 0 to
2 notches downward and 0 to 4 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.
VERTICAL CRE 2006-1: S&P Lowers Rating on Class A Notes to 'D'
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Standard & Poor's Ratings Services lowered its rating on the class
A notes from Vertical CRE CDO 2006-1 Ltd. to 'D (sf)' from 'CC
(sf)'. Vertical CRE CDO 2006-1 Ltd. is a collateralized debt
obligation (CDO) transaction backed by commercial mortgage-backed
securities (CMBS).
"We received notice of the completed liquidation of the collateral
in the transaction's underlying portfolio. On the July 23, 2012,
payment date, which was the final payment date for the
transaction, the proceeds from liquidation were insufficient to
pay down the class A noteholders in full. Therefore, we lowered
our rating on the class A notes to 'D (sf)' in accordance with our
criteria," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
WACHOVIA BANK 2005-C17: Fitch Affirms Rating on All Cert. Classes
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Fitch Ratings has affirmed all classes of Wachovia Bank Commercial
Mortgage Trust, series 2005-C17 commercial mortgage pass-through
certificates.
The affirmations are due to sufficient credit enhancement and
stable performance of the pool.
Fitch modeled losses of 4.42% of the remaining pool; expected
losses of the original pool are at 4.15%, including 0.86% in
realized losses to date.
As of the August 2012 distribution date, the pool's certificate
balance has paid down 24.8% to $2.0255 billion from $2.723
billion. There are 25 (15.8%) defeased loans within the pool.
Fitch identified 19 (13.3%) Loans of Concern, of which 23 (7.78%)
are specially serviced. Current cumulative interest shortfalls
totaling $5.7 million are affecting classes L through P.
The largest contributor to Fitch expected losses is an asset
(1.03%) secured by a 175,209 square foot (sf) office building
located in Phoenix, AZ. The loan transferred to special servicing
in February 2010 and became real estate owned (REO) in September
2010. The special servicer is currently working on leasing up the
property before marketing it for sale in 2013. The special
servicer reports that the property's occupancy is currently at
42%.
The second largest contributor to modeled losses is an asset
(1.32%) secured by a 169,334 sf grocery anchored retail center
located in Las Vegas, NV. The loan was transferred to special
servicer in March 2010 for monetary default and became REO in
January 2011. The special servicer reports that the current
occupancy is 80.5%. The special servicer expects to stabilize the
property in the next 12 to 24 months with increased occupancy
before marketing it for sale.
The third largest contributor to Fitch expected losses is an asset
(1.02%) secured by a 246 unit (756-bed) student housing property
located in Auburn, AL. The loan transferred to special servicing
in October 2009 and became REO in August 2010. The special
servicer reports that the property's occupancy for the 2011/2012
school year is 97% and pre-leased at 74% for the following school
year. The special servicer plans on marketing the property for
sale in September 2012.
Fitch affirms the following classes, revises Outlooks and assigns
Recovery Estimates as indicated:
-- $281.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $113.3 million class A-3 at 'AAAsf'; Outlook Stable;
-- $129.8 million class A-PB at 'AAAsf'; Outlook Stable;
-- $1.079 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $187.2 million class A-J at 'AAAsf'; Outlook Stable;
-- $74.8 million class B at 'Asf'; Outlook revised to Positive
from Stable;
-- $23.8 million class C at 'Asf'; Outlook Stable;
-- $47.6 million class D at 'BBBsf'; Outlook Stable;
-- $27.2 million class E at 'BBsf'; Outlook Stable;
-- $27.2 million class F at 'BBsf'; Outlook Stable;
-- $30.6 million class G at 'Bsf'; Outlook Stable;
-- $37.4 million class H at 'CCCsf'; RE 25%;
-- $6.8 million class J at 'CCCsf'; RE 0%;
-- $10.2 million class K at 'CCCsf'; RE 0%;
-- $13.6 million class L at 'CCsf'; RE 0%;
-- $6.8 million class M at 'Csf'; RE 0%;
-- $6.8 million class N at 'Csf'; RE 0%;
-- $6.8 million class 0 at 'Csf'; RE 0%.
Classes A-1 and A-2 have paid in full. Fitch has previously
withdrawn the ratings on the interest-only classes X-P and X-C.
Fitch does not rate class P.
* Moody's Takes Rating Actions on $1.1-Bil. Alt-A RMBS Tranches
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Moody's Investors Service has downgraded 28 tranches, upgraded 33
tranches and confirmed the ratings on 6 tranches from 17 RMBS
transactions from MASTR, Merrill Lynch, SARM, SASCO and ChaseFlex
shelves. The collateral backing these deals primarily consists of
first-lien, fixed and adjustable-rate Alt-A residential mortgages.
Complete rating actions are as follows:
Issuer: ChaseFlex Trust Series 2005-2
Cl. 1-A2, Downgraded to Caa2 (sf); previously on Jun 4, 2010
Downgraded to Caa1 (sf)
Cl. 3-A2, Downgraded to Caa2 (sf); previously on Jun 4, 2010
Downgraded to Caa1 (sf)
Cl. 3-A3, Downgraded to Caa2 (sf); previously on Jun 4, 2010
Downgraded to Caa1 (sf)
Cl. 3-A4, Downgraded to Caa2 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Caa2 (sf); previously on Jun 4, 2010
Downgraded to Caa1 (sf)
Cl. A-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Upgraded to B3 (sf)
Issuer: MASTR Alternative Loan Trust 2005-2
Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Jan 25, 2012
Downgraded to Caa1 (sf)
Cl. 4-A-1, Downgraded to B3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Upgraded to Caa3 (sf); previously on Apr 15, 2010
Downgraded to Ca (sf)
Cl. 4-A-3, Downgraded to B3 (sf); previously on Apr 15, 2010
Downgraded to B2 (sf)
Cl. 4-A-4, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to B2 (sf)
Cl. A-X-1, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf)
Cl. A-X-2, Upgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
Issuer: MASTR Alternative Loan Trust 2005-3
Cl. 5-A-1, Downgraded to Caa2 (sf); previously on Apr 15, 2010
Downgraded to Caa1 (sf)
Cl. 6-A-1, Downgraded to Caa1 (sf); previously on Apr 15, 2010
Downgraded to B3 (sf)
Cl. 6-A-3, Downgraded to Caa2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Downgrade
Cl. 6-A-4, Downgraded to Ca (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-X-2, Downgraded to Caa1 (sf); previously on Apr 15, 2010
Downgraded to B3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2007-4
Cl. 1-A2, Confirmed at Caa3 (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Downgrade
Issuer: MASTR Asset Backed Securities Trust 2005-AB1
Cl. A-3A, Upgraded to Aa3 (sf); previously on May 30, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to Aa3 (sf); previously on May 30,
2012 A1 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Financial Guaranty Insurance Company (Insured
Rating Withdrawn Mar 25, 2009)
Cl. A-3B, Upgraded to Aa3 (sf); previously on May 30, 2012 A1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-4, Confirmed at Ba3 (sf); previously on May 30, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8
Cl. A-2B1, Upgraded to B3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-2A, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. A-3A3, Confirmed at Caa1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Issuer: Merrill Lynch Mortgage Investors Trust 2006-A3
Cl. V-A-1, Downgraded to Caa1 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Caa1 (sf); previously on Oct 1, 2010
Downgraded to B3 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust 2007-AF1
Cl. 1AF-1, Downgraded to Caa2 (sf); previously on May 30, 2012
Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1AF-2, Downgraded to Caa2 (sf); previously on May 30, 2012
Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 1AF-3, Downgraded to Caa2 (sf); previously on May 30, 2012
Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. 2AF-1, Downgraded to Ca (sf); previously on Feb 16, 2011
Confirmed at Caa3 (sf)
Cl. F-PO, Downgraded to Ca (sf); previously on Feb 16, 2011
Downgraded to Caa3 (sf)
Cl. F-IO, Upgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-10
Cl. A1, Upgraded to A3 (sf); previously on May 30, 2012 Ba1 (sf)
Placed Under Review for Possible Upgrade
Cl. A2, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba2 (sf)
Placed Under Review for Possible Upgrade
Cl. M1, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-3XS
Cl. M1, Upgraded to Baa3 (sf); previously on May 30, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-4
Cl. 3-A1, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 6-A1, Upgraded to B3 (sf); previously on May 17, 2010
Downgraded to Caa2 (sf)
Cl. 6-A2, Upgraded to B2 (sf); previously on May 17, 2010
Downgraded to Caa1 (sf)
Cl. 6-AX1, Upgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. 6-AX2, Upgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Issuer: Structured Adjustable Rate Mortgage Loan Trust 2005-6XS
Cl. A4, Upgraded to Baa1 (sf); previously on May 30, 2012 Ba1 (sf)
Placed Under Review for Possible Upgrade
Cl. M1, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca (sf)
Placed Under Review for Possible Upgrade
Issuer: Structured Asset Securities Corp Trust 2005-2XS
Cl. 1-A2A, Upgraded to A2 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A2B, Upgraded to A2 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to A2 (sf); previously on May 30, 2012
Baa2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 2-A1, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B3 (sf); previously on May 30, 2012
Caa2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 2-A2, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Issuer: Structured Asset Securities Corp Trust 2005-6
Cl. 2-A1, Downgraded to Ba2 (sf); previously on May 30, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A2, Downgraded to Ca (sf); previously on May 30, 2012 Caa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corp Trust 2005-7XS
Cl. 1-A3, Upgraded to B1 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to B1 (sf); previously on May 30, 2012
Caa1 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-A4A, Upgraded to Ba3 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to Ba3 (sf); previously on May 30,
2012 B2 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-A4B, Upgraded to Ba3 (sf); previously on May 30, 2012 B2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A1A, Upgraded to B3 (sf); previously on Aug 11, 2010
Downgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-9XS
Cl. 1-A3A, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Underlying Rating: Upgraded to Ba3 (sf); previously on May 30,
2012 Caa1 (sf) Placed Under Review for Possible Upgrade
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-A3B, Upgraded to Ba2 (sf); previously on May 30, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A3C, Upgraded to Caa1 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A3D, Upgraded to Ba3 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A4, Upgraded to Ba2 (sf); previously on May 30, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
Cl. 2-A1, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A2, Upgraded to B3 (sf); previously on May 30, 2012 Caa2
(sf) Placed Under Review for Possible Upgrade
Cl. 2-A3, Upgraded to Caa3 (sf); previously on May 30, 2012 Ca
(sf) Placed Under Review for Possible Upgrade
Cl. M1, Confirmed at C (sf); previously on May 30, 2012 C (sf)
Placed Under Review for Possible Upgrade
Issuer: Structured Asset Securities Corporation, Series 2005-10
Cl. 5-A2, Downgraded to A2 (sf); previously on May 30, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A3, Downgraded to A2 (sf); previously on May 30, 2012 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A4, Downgraded to Caa2 (sf); previously on May 30, 2012 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. PAX, Upgraded to B1 (sf); previously on Feb 22, 2012
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 upgrades, downgrades and
confirmations. The upgrades are due to significant improvement in
collateral performance, and rapid build-up in credit enhancement.
The downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated.
Moody's has also confirmed the ratings on the Class 1-A2 bonds
from Structured Adjustable Rate Mortgage Loan Trust 2007-4. This
tranche was erroneously placed on watch in May 2012 due to cash-
flow modeling inconsistencies. The model used in the May action
was coded incorrectly with regard to the calculation of funds
available for payment on the bonds. The cash-flow modeling has
been corrected, and the action reflects this change.
The rating action on the Class 6-A-3 and 6-A-4 bonds from MASTR
Alternative Loan Trust 2005-3 also reflects a correction to cash-
flow modeling. The model used in the most recent rating action on
these bonds was coded incorrectly with regard to the calculation
of funds available for payment on the bonds. The cash-flow
modeling has been corrected, and the action reflects this change.
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 1.8 for
current delinquencies that range from less than 2.5% to greater
than 50% respectively. Moody's then uses this final adjusted rate
of new delinquency to project delinquencies and losses for the
remaining life of the pool under the approach described in the
methodology publication.
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 8.2% 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_SF295968
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF191874
* Moody's Takes Rating Actions on $92MM Resecuritized RMBS
----------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
and confirmed the ratings of eight tranches from resecuritized
RMBS issued between 2003 and 2005. The resecuritized bonds are
backed by underlying bonds from different prime jumbo, Alt-A and
subprime RMBS transactions.
Complete rating actions are as follows:
Issuer: CWMBS, Inc. Resecuritization Mortgage Pass-Through
Certificates, Series 2005-8R
Cl. A-1, Confirmed at Baa3 (sf); previously on Feb 13, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-2, Confirmed at Baa3 (sf); previously on Feb 13, 2012 Baa3
(sf) Placed Under Review for Possible Upgrade
Cl. A-3, Confirmed at B1 (sf); previously on Feb 13, 2012 B1 (sf)
Placed Under Review for Possible Upgrade
Cl. A-5, Confirmed at Ba3 (sf); previously on Feb 13, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Cl. A-6, Confirmed at Ba3 (sf); previously on Feb 13, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Issuer: Fannie Mae Grantor Trust 2004-T5
Cl. AB-1, Confirmed at Aa2 (sf); previously on Feb 13, 2012 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. AB-9, Confirmed at Ba3 (sf); previously on Feb 13, 2012 Ba3
(sf) Placed Under Review for Possible Upgrade
Issuer: RALI Series 2003-QR19 Trust
Cl. CB-3, Confirmed at Aa1 (sf); previously on Feb 13, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. CB-4, Downgraded to Ba1 (sf); previously on Feb 13, 2012 Baa1
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The actions reflect the recent performance of the pools of
mortgages backing the underlying bonds and the updated loss
expectations on the resecuritzation bonds. In addition, Moody's
ratings on the underlying deal RALI 2003-QS19, which backs
resecuritization RALI 2003-QR19, was corrected on 31 May 2012.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Resecuritized Residential Mortgage-Backed
Securities" published in February 2011. The principal methodology
used in the IO ratings was "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published on February 2012.
The principal methodology used in determining the ratings of the
underlying bonds is described in the Monitoring and Performance
Review section in "Moody's Approach to Rating US Residential
Mortgage-Backed Securities" published in December 2008. For other
methodologies used for estimating losses on RMBS pools, please
refer to the methodology publications "2005 - 2008 US RMBS
Surveillance Methodology" published in July 2011 for deals
originated after 2004 and "Pre-2005 US RMBS Surveillance
Methodology" published in January 2012 for deals originated prior
to 2005.
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.
As part of the sensitivity analysis, Moody's stressed the updated
losses on the underlying bonds by an additional 10% and found that
the implied ratings of the resecuritization bonds do not change.
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF296168
* S&P Raises Ratings on 11 Tranches From 8 CDO Deals; Off Watch
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 11
tranches from eight corporate-backed synthetic collateralized debt
obligation (CDO) transactions and removed them from CreditWatch
with positive implications. "In addition, we affirmed our ratings
on three tranches from two corporate-backed synthetic CDO
transactions and removed one of them from CreditWatch positive,"
S&P said.
"The upgrades are from synthetic CDOs that experienced a
combination of upward rating migration in their underlying
reference portfolios, seasoning of the underlying reference names,
and an increase in the synthetic rated overcollateralization
(SROC) ratios above 100% at higher rating levels as of the July
review and at our projection of the SROC ratios in 90 days
assuming no credit migration. The affirmations are from synthetic
CDOs that had appropriate credit support at the 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 Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Credit and Repackaged Securities Ltd.
Series 2006-4
Rating
Class To From
Notes BB (sf) BB- (sf)/Watch Pos
Credit Default Swap
Series 227212/227229/227230
Rating
Class To From
Tranche BB+srp (sf) BBsrp (sf)/Watch Pos
Greylock Synthetic CDO 2006
Series 3
Rating
Class To From
A1-EURLMS A (sf) A- (sf)/Watch Pos
Mistletoe ORSO Trust 3
Rating
Class To From
5 Cr Link CCC- (sf) CCC- (sf)/Watch Pos
Morgan Stanley Managed ACES SPC
Series 2005-1
Rating
Class To From
III A BB (sf) BB- (sf)/Watch Pos
III B BB (sf) BB- (sf)/Watch Pos
III C BB (sf) BB- (sf)/Watch Pos
III D BB (sf) BB- (sf)/Watch Pos
Morgan Stanley Managed ACES SPC
Series 2006-2
Rating
Class To From
III BB (sf) BB- (sf)/Watch Pos
North Street Referenced Linked Notes 2005-9 Ltd.
Rating
Class To From
D AAA (sf) AA+ (sf)/Watch Pos
Rutland Rated Investments
Series 2006-2 (28)
Rating
Class To From
A1-L B- (sf) B- (sf)
A1A-L B (sf) B- (sf)/Watch Pos
B2-L CCC- (sf) CCC- (sf)
Strata Trust
Series 2007-7
Rating
Class To From
Notes BB- (sf) B+ (sf)/Watch Pos
* S&P Lowers Ratings on 64 Tranches From 22 US CDO Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 64
tranches from 22 U.S. collateralized debt obligation (CDO)
transactions, and removed 63 of them from CreditWatch negative.
These transactions are 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 $6.57 billion.
"In addition, we affirmed our ratings on 59 tranches from 23
transactions and removed 25 of these ratings from CreditWatch with
negative implications. We withdrew our rating on one tranche from
one transaction," 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 applying 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 withdrew our rating on class A-1-A notes from Restructured
Asset Backed Securities Series 2003-2 Trust after the notes were
paid in full," S&P said.
"We affirmed our ratings on the 59 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 Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Aspen Funding I Ltd.
Rating
Class To From
A-1L BB+(sf) BBB-(sf)/Watch Neg
A-2L CCC-(sf) B(sf)/Watch Neg
Birch Real Estate CDO I Ltd.
Rating
Class To From
A-2 CCC+(sf) BB+(sf)/Watch Neg
A-2L CCC+(sf) BB+(sf)/Watch Neg
A-3L CCC-(sf) CCC-(sf)/Watch Neg
Bristol CDO I Ltd.
Rating
Class To From
A-1 BBB+(sf) AA(sf)/Watch Neg
A-2 BBB+(sf) AA(sf)/Watch Neg
C-BASS CBO IX Ltd.
Rating
Class To From
A-2 B(sf) B+(sf)/Watch Neg
B CCC-(sf) CCC-(sf)/Watch Neg
CBO Holdings III Ltd.
Rating
Class To From
A BB(sf) BB(sf)/Watch Neg
CDO Repackaging Trust Securities Series 2006-A
Rating
Class To From
1 Units CCC(sf) B(sf)/Watch Neg
Commodore CDO IV Ltd.
Rating
Class To From
A-1(a)-F CCC-(sf) B+(sf)/Watch Neg
A-1(a)-U CCC-(sf) B+(sf)/Watch Neg
Crest 2003-2 Ltd.
Rating
Class To From
A-1 A-(sf) AAA(sf)/Watch Neg
A-2 A-(sf) AAA(sf)/Watch Neg
A-3 BBB+(sf) AA+(sf)/Watch Neg
B-1 BB+(sf) AA-(sf)/Watch Neg
B-2 BB+(sf) AA-(sf)/Watch Neg
C-1 B+(sf) BBB(sf)/Watch Neg
C-2 B+(sf) BBB(sf)/Watch Neg
D-1 CCC-(sf) B+(sf)/Watch Neg
D-2 CCC-(sf) B+(sf)/Watch Neg
E-1 CCC-(sf) CCC-(sf)/Watch Neg
E-2 CCC-(sf) CCC-(sf)/Watch Neg
Crest Exeter Street Solar 2004-1 Ltd.
Rating
Class To From
A-1 BBB+(sf) A+(sf)/Watch Neg
A-2 BBB+(sf) A+(sf)/Watch Neg
B-1 BB+(sf) BBB+(sf)/Watch Neg
B-2 BB+(sf) BBB+(sf)/Watch Neg
C-1 B+(sf) BB(sf)/Watch Neg
C-2 B+(sf) BB(sf)/Watch Neg
D-1 CCC(sf) CCC+(sf)/Watch Neg
D-2 CCC(sf) CCC+(sf)/Watch Neg
E-1 CCC-(sf) CCC-(sf)/Watch Neg
E-2 CCC-(sf) CCC-(sf)/Watch Neg
G-Star 2002-1 Ltd.
Rating
Class To From
A-2 AA+(sf) AA+(sf)/Watch Neg
BFL CCC+(sf) CCC+(sf)/Watch Neg
BFX CCC+(sf) CCC+(sf)/Watch Neg
C CC(sf) CCC-(sf)/Watch Neg
Hout Bay 2006-1 Ltd.
Rating
Class To From
S A+(sf) AA(sf)/Watch Neg
Lakeside CDO II Ltd.
Rating
Class To From
A-1 CCC(sf) B+(sf)/Watch Neg
LNR CDO 2002-1 Ltd.
Rating
Class To From
A A+(sf) A+(sf)/Watch Neg
B BB-(sf) BBB-(sf)/Watch Neg
C B+(sf) B+(sf)/Watch Neg
D-FL CCC-(sf) CCC(sf)/Watch Neg
D-FX CCC-(sf) CCC(sf)/Watch Neg
G D(sf) CC(sf)
Mercury CDO 2004-1 Ltd.
Rating
Class To From
A-1NV CCC-(sf) B+(sf)/Watch Neg
A-1VA CCC-(sf) B+(sf)/Watch Neg
A-1VB CCC-(sf) B+(sf)/Watch Neg
Newcastle CDO X Ltd.
Rating
Class To From
A-1 BB+(sf) AA-(sf)/Watch Neg
A-2 B+(sf) BB+(sf)/Watch Neg
A-3 B(sf) BB-(sf)/Watch Neg
C B-(sf) B-(sf)/Watch Neg
D CCC+(sf) CCC+(sf)/Watch Neg
E CCC-(sf) CCC-(sf)/Watch Neg
N-Star Real Estate CDO I Ltd.
Rating
Class To From
A-1 AAA(sf) AAA(sf)/Watch Neg
A-2A BBB+(sf) AA(sf)/Watch Neg
A-2B BBB+(sf) AA(sf)/Watch Neg
B-1 BB+(sf) BB+(sf)/Watch Neg
B-2 B+(sf) BB(sf)/Watch Neg
C-1A CCC-(sf) BB-(sf)/Watch Neg
C-1B CCC-(sf) BB-(sf)/Watch Neg
C-2 CCC-(sf) CCC(sf)/Watch Neg
Pasadena CDO Ltd.
Rating
Class To From
A BB+(sf) BB+(sf)/Watch Neg
Putnam Structured Product CDO 2002-1 Ltd.
Rating
Class To From
A-1LT-a BB-(sf) A(sf)/Watch Neg
A-1LT-b BB-(sf) A(sf)/Watch Neg
A-1LT-c BB-(sf) A(sf)/Watch Neg
A-1LT-d BB-(sf) A(sf)/Watch Neg
A-1LT-e BB-(sf) A(sf)/Watch Neg
A-1LT-f BB-(sf) A(sf)/Watch Neg
A-1LT-g BB-(sf) A(sf)/Watch Neg
A-1LT-h BB-(sf) A(sf)/Watch Neg
A-1LT-i BB-(sf) A(sf)/Watch Neg
A-1LT-j BB-(sf) A(sf)/Watch Neg
A2 CCC+(sf) B+(sf)/Watch Neg
Restructured Asset Backed Securities Series 2003-2 Trust
Rating
Class To From
A-1-A NR AAA(sf)/Watch Neg
A-1-B BB+(sf) BBB-(sf)/Watch Neg
Restructured Asset Certificates With Enhanced Returns (Racers)
Series 2007-2-E
Certificates
Rating
Class To From
2006-2-E CCC-(sf) B+(sf)/Watch Neg
RFC CDO I Ltd.
Rating
Class To From
A BBB+(sf) BBB+(sf)/Watch Neg
B-1 CCC-(sf) B-(sf)/Watch Neg
B-2 CCC-(sf) B-(sf)/Watch Neg
C CCC-(sf) CCC-(sf)/Watch Neg
Securitized Product of Restructured Collateral Limited SPC for the
account of
the Series 2005-1 Segregated Portfolio
Rating
Class To From
A2 BB+(sf) BB+(sf)/Watch Neg
B B+(sf) B+(sf)/Watch Neg
Structured Investments Corp.
Rating
Class To From
A BB+(sf) BB+(sf)/Watch Neg
B CCC+(sf) CCC+(sf)/Watch Neg
Trainer Wortham First Republic CBO IV Corp
Rating
Class To From
B CCC-(sf) CCC+(sf)/Watch Neg
Vermeer Funding Ltd.
Rating
Class To From
A-1 A+(sf) A+(sf)/Watch Neg
A-2 CCC-(sf) B(sf)/Watch Neg
Whitehawk CDO Funding Ltd.
Rating
Class To From
A-1LT CCC-(sf) B-(sf)/Watch Neg
NR--Not rated.
RATINGS AFFIRMED
Aspen Funding I Ltd.
Rating
A-3L CC(sf)
B-1 CC(sf)
Pfd Shares CC(sf)
Birch Real Estate CDO I Ltd.
Rating
B-1 CC(sf)
Bristol CDO I Ltd.
Rating
B CC(sf)
C-BASS CBO IX Ltd.
Rating
A-1 BB+(sf)
C CC(sf)
D CC(sf)
CBO Holdings III Ltd.
Rating
C-2 CC(sf)
Commodore CDO IV Ltd.
Rating
A-1(b) CC(sf)
Crest 2003-2 Ltd.
Rating
Pfd Shrs CC(sf)
LNR CDO 2002-1 Ltd.
Rating
E-FL CC(sf)
E-FX CC(sf)
E-FXD CC(sf)
F-FL CC(sf)
F-FX CC(sf)
Mercury CDO 2004-1 Ltd.
Rating
A-2A CC(sf)
A-2B CC(sf)
Mid Ocean CBO 2000-1 Ltd.
Rating
A-1L CC(sf)
Newcastle CDO X Ltd.
Rating
F CC(sf)
N-Star Real Estate CDO I Ltd.
Rating
D-1A CC(sf)
D-1B CC(sf)
Pasadena CDO Ltd.
Rating
B CC(sf)
RFC CDO I Ltd.
Rating
D CC(sf)
E CC(sf)
Trainer Wortham First Republic CBO IV Corp
Rating
A AA-(sf)
C CC(sf)
Varick Structured Asset Fund Ltd.
Rating
A-1 CC(sf)
A-2 CC(sf)
Vermeer Funding Ltd.
Rating
B CC(sf)
Whitehawk CDO Funding Ltd.
Rating
A-2 CC(sf)
B CC(sf)
C CC(sf)
D CC(sf)
OTHER OUTSTANDING RATINGS
Bristol CDO I Ltd.
Rating
C D(sf)
Commodore CDO IV Ltd.
Rating
A-2 D(sf)
B D(sf)
C D(sf)
Comp Nts D(sf)
D D(sf)
Hout Bay 2006-1 Ltd.
Rating
A-1 D(sf)
A-2 D(sf)
B D(sf)
C D(sf)
D D(sf)
E D(sf)
Lakeside CDO II Ltd.
Rating
B D(sf)
C D(sf)
LNR CDO 2002-1 Ltd.
Rating
H D(sf)
Mercury CDO 2004-1 Ltd.
Rating
B D(sf)
C D(sf)
Pasadena CDO Ltd.
Rating
C D(sf)
Vermeer Funding Ltd.
Rating
C D(sf)
* S&P Lowers Ratings on 442 Classes From 296 RMBS Deals to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 442 classes of mortgage pass-through certificates from 296 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2008.
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_Aug_30_RMBS_Rating_List.pdf
"The downgrades reflect our assessment of the impact that
principal write-downs had on the affected classes during recent
remittance periods. Prior to 's rating actions, we rated all the
downgraded classes in this review 'CCC (sf)' or 'CC (sf)'," S&P
said.
Approximately 71.72% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or prime jumbo
mortgage loan collateral. The 442 defaulted classes consist of:
182 classes from Alt-A transactions (41.18% of all defaults);
135 from prime jumbo transactions (30.54%);
110 from subprime transactions (24.89%);
Seven from resecuritized real estate mortgage investment
conduit (re-REMIC) transactions;
Three from document deficient transactions;
Two from RMBS Federal Housing Administration/Veterans Affairs
transactions;
Two from small-balance commercial loan transactions; and
One from an RMBS 'outside the guidelines' transaction.
A combination of subordination, excess spread, and
overcollateralization (where applicable) provide credit
enhancement for all of the transactions in this review.
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and it will
adjust its ratings as it considers appropriate in accordance with
its criteria.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
* S&P Lowers Ratings on 53 Tranches From 18 US CDO Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 53
tranches from 18 U.S. collateralized debt obligation (CDO)
transactions, and removed them from CreditWatch negative. These
transactions are 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 $3.66 billion.
"At the same time, we raised our rating on one tranche from one
transaction and removed it from CreditWatch negative. In addition,
we affirmed our ratings on 28 tranches from 15 transactions and
removed 17 of these ratings from CreditWatch with negative
implications. We withdrew our rating on one tranche from one
transaction," 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 withdrew our rating on class B notes from C-BASS VII Ltd.
after the notes were fully paid down," S&P said.
"We upgraded the class A-2 notes from C-BASS VIII Ltd. primarily
due to significant principal paydowns made to this class, which in
turn improved the level of credit support available to these
notes," S&P said.
"We affirmed our ratings on the 28 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
Anthracite CDO I Ltd.
Rating 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) AA(sf)/ Watch Neg
C-FL BB+(sf) AA(sf)/ Watch Neg
D B+(sf) A-(sf)/ Watch Neg
D-FL B+(sf) A-(sf)/ Watch Neg
E B-(sf) BBB-(sf)/ Watch Neg
E-FL B-(sf) BBB-(sf)/ Watch Neg
F CCC-(sf) B-(sf)/ Watch Neg
Barrington II CDO Ltd.
Rating Rating
Class To From
A1-S CCC-(sf) CCC-(sf)/ Watch Neg
X B+(sf) BB+(sf)/ Watch Neg
Capella Funding Ltd.
Rating Rating
Class To From
1 CCC+(sf) BB(sf)/ Watch Neg
C-Bass CBO V Ltd.
Rating Rating
Class To From
D-1 B+(sf) BB(sf)/ Watch Neg
D-2 B+(sf) BB(sf)/ Watch Neg
C-Bass CBO VII Ltd.
Rating Rating
Class To From
B NR AA(sf)/ Watch Neg
C BBB+(sf) A-(sf)/ Watch Neg
D CCC-(sf) B(sf)/ Watch Neg
C-Bass CBO VIII Ltd.
Rating Rating
Class To From
A-2 BBB(sf) BB+(sf)/ Watch Neg
B BB-(sf) BB-(sf)/ Watch Neg
C CCC-(sf) CCC-(sf)/ Watch Neg
C-Bass CBO X Ltd.
Rating Rating
Class To From
A B+(sf) B+(sf)/ Watch Neg
B CCC-(sf) CCC-(sf)/ Watch Neg
Crest 2002-IG Ltd.
Rating
Class To From
B AA+(sf) AA+(sf)/ Watch Neg
C B+(sf) B+(sf)/ Watch Neg
D CCC-(sf) CCC-(sf)/ Watch Neg
Davis Square Funding IV Ltd.
Rating Rating
Class To From
E BBB-(sf) BBB-(sf)/ Watch Neg
Diversified Asset Securitization Holdings II L.P.
Rating Rating
Class To From
A-1 BBB+(sf) A(sf)/ Watch Neg
A-1L BBB+(sf) A(sf)/ Watch Neg
Diversified Global Securities Ltd. II
Rating Rating
Class To From
C CCC-(sf) CCC+(sf)/ Watch Neg
G-Star 2002-2 Ltd.
Rating Rating
Class To From
A-2 AAA(sf) AAA(sf)/ Watch Neg
A-3 AA(sf) AA(sf)/ Watch Neg
BFL CCC+(sf) BB(sf)/ Watch Neg
BFX CCC+(sf) BB(sf)/ Watch Neg
C CCC-(sf) CCC+(sf)/ Watch Neg
G-Star 2003-3 Ltd.
Rating Rating
Class To From
A-1 BBB-(sf) A+(sf)/ Watch Neg
A-2 CCC-(sf) B-(sf)/ Watch Neg
NEW WORLD FUNDING 2008-1 LTD.
Rating Rating
Class To From
A-1S CCC+(sf) BB+(sf)/ Watch Neg
N-Star Real Estate CDO II Ltd
Rating Rating
Class To From
A-1 AA+(sf) AAA(sf)/ Watch Neg
A-2A A-(sf) AAA(sf)/ Watch Neg
A-2B A-(sf) AAA(sf)/ Watch Neg
B-1 BBB+(sf) AA+(sf)/ Watch Neg
B-2 BBB-(sf) AA(sf)/ Watch Neg
C-1 B+(sf) BB+(sf)/ Watch Neg
C-2A CCC-(sf) CCC-(sf)/ Watch Neg
C-2B CCC-(sf) CCC-(sf)/ Watch Neg
N-Star Real Estate CDO III Ltd.
Rating Rating
Class To From
A-1 BB-(sf) BB(sf)/ Watch Neg
A-2A B(sf) B+(sf)/ Watch Neg
A-2B B(sf) B+(sf)/ Watch Neg
B CCC+(sf) B-(sf)/ Watch Neg
C-1A CCC(sf) CCC+(sf)/ Watch Neg
C-1B CCC(sf) CCC+(sf)/ Watch Neg
C-2A CCC-(sf) CCC(sf)/ Watch Neg
C-2B CCC-(sf) CCC(sf)/ Watch Neg
D CCC-(sf) CCC-(sf)/ Watch Neg
Pacific Bay CDO Ltd.
Rating Rating
Class To From
A-1 A+(sf) AA(sf)/ Watch Neg
Palisades CDO Ltd.
Rating Rating
Class To From
A-1A CCC-(sf) B(sf)/ Watch Neg
A-1B CCC-(sf) B(sf)/ Watch Neg
Sandstone CDO Ltd.
Rating Rating
Class To From
C BB(sf) BB(sf)/ Watch Neg
South Coast Funding V Ltd.
Rating Rating
Class To From
A-1 A(sf) A(sf)/ Watch Neg
A-2 CCC-(sf) B-(sf)/ Watch Neg
A-3 CCC-(sf) B-(sf)/ Watch Neg
TIAA Real Estate CDO 2003-1 Ltd.
Rating Rating
Class To From
A-1MM BBB+(sf) AAA(sf)/ Watch Neg
B-1 BB+(sf) A+(sf)/ Watch Neg
B-2 BB+(sf) A+(sf)/ Watch Neg
C-1 B-(sf) BB+(sf)/ Watch Neg
C-2 B-(sf) BB+(sf)/ Watch Neg
D CCC-(sf) B-(sf)/ Watch Neg
Trainer Wortham First Republic CBO III Ltd.
Rating Rating
Class To From
A-1 CCC-(sf) B-(sf)/ Watch Neg
Trainer Wortham First Republic CBO V Ltd.
Rating Rating
Class To From
A-1 CCC+(sf) BB+(sf)/ Watch Neg
A-2 CCC-(sf) CCC+(sf)/ Watch Neg
B CC(sf) CCC-(sf)/ Watch Neg
NR-Not rated.
RATINGS AFFIRMED
C-Bass CBO VIII Ltd.
Rating
D-1 CC(sf)
D-2 CC(sf)
C-Bass CBO X Ltd.
Rating
C CC(sf)
G-Star 2003-3 Ltd.
Rating
A-3 CC(sf)
N-Star Real Estate CDO II Ltd.
Rating
D CC(sf)
Palisades CDO Ltd.
Rating
A-2 CC(sf)
Sandstone CDO Ltd.
Rating
D CC(sf)
TIAA Real Estate CDO 2003-1 Ltd.
Rating
E CC(sf)
PrfdEquity CC(sf)
Trainer Wortham First Republic CBO V Ltd.
Rating
C CC(sf)
D CC(sf)
OTHER OUTSTANDING RATINGS
Barrington II CDO Ltd.
Rating
A1J-M D(sf)
A1J-Q D(sf)
A1-M D(sf)
A1-Q D(sf)
A2 D(sf)
A-3 D(sf)
B D(sf)
C D(sf)
D D(sf)
Davis Square Funding IV Ltd.
Rating
A-1LT-a D(sf)
A-1LT-b-1 D(sf)
A-2 D(sf)
B D(sf)
C D(sf)
D D(sf)
G-Star 2003-3 Ltd.
Rating
B-1 D(sf)
B-2 D(sf)
Pfd Shares D(sf)
Pacific Bay CDO Ltd.
Rating
A-2 D(sf)
B D(sf)
C D(sf)
Pre Shares D(sf)
Palisades CDO Ltd.
Rating
B-1 D(sf)
B-2 D(sf)
C-1 D(sf)
C-2 D(sf)
Type II D(sf)
South Coast Funding V Ltd.
Rating
B D(sf)
C-1 D(sf)
C-2 D(sf)
Trainer Wortham First Republic CBO III Ltd.
Rating
A-2 D(sf)
B D(sf)
C D(sf)
D D(sf)
Pre.Shares D(sf)
* S&P Withdraws Ratings on 35 Note Classes From 14 CDO Deals
------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 35
classes of notes from 14 collateralized loan obligation (CLO)
transactions.
The withdrawals follow the complete paydown of the notes on their
most recent payment dates.
Standard & Poor's notes that the following transactions redeemed
their classes in full after providing notice to S&P that the
issuers directed an optional redemption:
Callidus Debt Partners CLO Fund II Ltd;
Carlyle High Yield Partners VI Ltd.;
Fortress Credit Funding I L.P.;
Fortress Credit Funding II L.P.; and
Pacifica CDO IV Ltd.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS WITHDRAWN
ACAS Business Loan Trust 2007-1
Rating
Class To From
B NR AA- (sf)
ARCC Commercial Loan Trust 2006
Rating
Class To From
A-1A NR AAA (sf)
A-1AVFN NR AAA (sf)
A-1B NR AA+ (sf)/Watch Pos
A-2B NR AA+ (sf)/Watch Pos
B NR A+ (sf)/Watch Pos
C NR BB+ (sf)/Watch Pos
Callidus Debt Partners CLO Fund II Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AA (sf)
C-1 NR CCC- (sf)
C-2 NR CCC- (sf)
Carlyle High Yield Partners VI Ltd.
Rating
Class To From
A-1 NR AA+ (sf)
A-3 NR AA+ (sf)
B NR AA (sf)
C NR A (sf)
Field Point III Ltd.
Rating
Class To From
B-1 NR AA- (sf)
Fortress Credit Funding I LP
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AA (sf)
B NR BBB+ (sf)
Fortress Credit Funding II LP
Rating
Class To From
A-2 NR AAA (sf)
A-3 NR AA (sf)
B NR A (sf)
Freeport Ln Trust 2006-1
Rating
Class To From
D NR AAA (sf)
Freeport Offshore 2010-1 LLC
Rating
Class To From
A-2 NR AAA (sf)
B NR AA+ (sf)
LightPoint CLO 2004-1 Ltd.
Rating
Class To From
X NR A (sf)
Mountain Capital CLO III Ltd.
Rating Rating
Class To From
A-1La NR AAA (sf)
Navigator CDO 2003 Ltd.
Rating Rating
Class To From
B NR AAA (sf)
Pacifica CDO IV Ltd.
Rating Rating
Class To From
A-1L NR AAA (sf)
A-2L NR AAA (sf)
A-3L NR AA+ (sf)
B-1L NR BBB+ (sf)
B-2L NR BB- (sf)
Premium Loan Trust I Ltd
Rating Rating
Class To From
X NR 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.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Frederick, Maryland,
USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Howard C. Tolentino, Joseph Medel C. Martirez, Denise
Marie Varquez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2012. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $775 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Christopher
Beard at 240/629-3300.
*** End of Transmission ***