/raid1/www/Hosts/bankrupt/TCR_Public/121028.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, October 28, 2012, Vol. 16, No. 300
Headlines
ABFS MORTGAGE: Moody's Lowers Ratings on Two Tranches to 'Ca'
ACLC BUSINESS: Fitch Affirms 'CCC(sf)' Rating on Class D Notes
AMERICAN GENERAL: Moody's Cuts Rating on Cl. B-1 Tranche to Ba3
AMMC CLO XI: S&P Assigns 'BB-' Rating on Class F Deferrable Notes
ARBOR REALTY 2005-1: Moody's Affirms 'Caa3' Rating on Cl. H Notes
ARBOR REALTY 2006-1: Fitch Cuts Rating on 4 Securities Classes
ARBOR REALTY 2006-1: Moody's Keeps Caa3 Ratings on 5 Note Classes
ARES NF XIII: S&P Ups Rating on Class D Notes to 'BB+'; Off Watch
ATRIUM VIII: S&P Rates $21-Mil. Class E Deferrable Notes 'BB'
BANC OF AMERICA 2007-3: Fitch Lowers Rating on 11 Cert. Classes
BEAR STEARNS 2007-PWR17: Fitch Cuts Rating on 7 Cert. Classes
BENEFIT STREET I: S&P Rates $18-Mil. Class D Deferrable Notes 'BB'
BLUEMOUNTAIN 2012-2: S&P Assigns Prelim 'BB' Rating on Cl. E Notes
BSDB 2005-AFR1: S&P Lowers Rating on Class G Certificates to 'B-'
C-BASS CBO: Moody's Upgrades Rating on Class C Notes to 'Caa3'
CAPMARK VII: S&P Affirms 'CCC-' Rating on Class C Debt; Off Watch
CASTLE HOLDING: Moody's Cuts Ratings on 3 Note Classes to 'Caa1'
CENT 10: Moody's Raises Rating on Class E Notes to 'Ba3'
CENT CDO XI: Moody's Hikes Rating on Class C Notes From 'Ba2'
CHASE COMMERCIAL 1998-1L: Moody's Cuts Rating on I Certs. to 'Ca'
CIFC FUNDING 2006-I: Moody's Cuts Rating on Cl. B-2L Notes to Ba2
CITIFINANCIAL MORTGAGE: Moody's Cuts MF-1 Tranche Rating to 'B1'
CLARET TRUST 2006-1: Moody's Hikes Rating on J Certs. to 'Ba3'
COAST INVESTMENT: Fitch Affirms Junk Ratings on Three Note Classes
COMM 2005-C6: Moody's Affirms 'C' Ratings on Four Cert. Classes
COMM 2012-CCRE4: Fitch Issues Presale Report on Several Certs.
COMM 2012-CCRE3: Moody's Assigns 'B2' Rating to Class G Certs.
COMM 2012-CCRE4: S&P Rates $18-Mil. Class F Certificates 'B+'
COUNTRYWIDE: Moody's Cuts $200MM of 2003 to 2004 Prime Jumbo RMBS
CTX CDO I: S&P Lowers Rating on Senior Facility Class to 'D'
DRYDEN XXIV: S&P Gives 'B' Rating on $10MM Cl. F Deferrable Notes
FAIRWAY OUTDOOR: Fitch Issues Presale Report on Three Notes
FALCON AUTO 2003-1: Fitch Affirms 'Csf' Rating on 6 Debt Classes
FLATIRON CLO 2007-1: S&P Raises Rating on Class E Notes to 'BB+'
FLATIRON CLO 2012-1: S&P Rates Class D Deferrable Notes 'BB'
FMAX LOAN: Fitch Affirms 'Dsf' Ratings on Four Note Classes
FREMF 2011-K704: Moody's Affirms 'Ba3' Rating on Class X2 Certs.
G-FORCE 2006-1: Fitch Affirms Junk Ratings on Four Note Classes
G-STAR 2002-2: Fitch Affirms 'CCC' Rating on $11.6MM Class C Notes
GALAXY XIV: S&P Assigns Prelim. 'BB' Rating on Class E Def. Notes
GE COMMERCIAL 2004-C1: Moody's Keeps C Ratings on 2 Cert. Classes
GOLUB CAPITAL 14: S&P Rates $27-Mil. Class E Notes 'BB'
GSR MORTGAGE: Moody's Confirms 'Ba1' Rating on Cl. 8A-9 Tranche
GULF STREAM-COMPASS 2004-1: S&P Hikes Rating on Cl. D Debt to 'B-'
HARTFORD MEZZANINE 2007-1: S&P Affirms 'CCC-' Ratings on 2 Classes
HUDSON STRAITS: Moody's Raises Rating on Class E Notes to 'Ba3'
INDYMAC INDX: Moody's Cuts Rating on Cl. 2-A-1 Tranche to 'Caa3'
INTEGRAL FUNDING: S&P Raises Rating on Class D Notes to 'CCC+'
JP MORGAN 2000-C10: Moody's Cuts Rating on Class G Certs. to 'C'
JP MORGAN 2004-PNC1: Fitch Affirms Rating on 16 Cert. Classes
JP MORGAN 2005-CIBC11: Moody's Cuts Ratings on 3 Certs to 'C'
JP MORGAN 2006-CIBC17: Moody's Cuts Rating on D Certs. to 'Caa3'
JP MORGAN 2007-C1: S&P Lowers Rating on Class D Secs. to 'CCC-'
KEYCORP STUDENT 2004-A: Fitch Affirms CC Rating on Cl. II-D Notes
KEYCORP STUDENT 2005-1: Fitch Holds 'BB' Rating on Cl. II-C Notes
KKR FINANCIAL 2007-1: S&P Hikes Rating on Class F Notes From 'BB+'
KVK CLO 2012-1: S&P Gives 'BB' Rating on Class E Deferrable Notes
LANDMARK CDO III: S&P Affirms 'CCC-' Rating on Class B-2L Debt
LB-UBS COMMERCIAL 2004-C2: Moody's Cuts Rating on L Certs. to 'C'
LCM VIII: S&P Says 'CCC'-Rated Obligations Way Below 7.50% Ratio
MARKET SQUARE: S&P Affirms 'B+' Rating on Class D Notes; Off Watch
MERCURY CDO II: S&P Affirms 'CC' Rating on Class A-1 Notes
ML-CFC 2006-3: Moody's Cuts Rating on Class C Certs. to 'Caa2'
ML-CFC 2007-5: Fitch Cuts Ratings on Seven Certificate Classes
MORGAN STANLEY 2004-4: Moody's Cuts 1-A-8 Tranche Rating to 'Caa1'
MORGAN STANLEY 2005-IQ10: S&P Cuts Rating on Class J Certs to 'D'
MORGAN STANLEY 2012-C6: Fitch Puts Low-B Ratings on 2 Certificates
MOTEL 6 2012-MTL6: Fitch Issues Presale Report on Several Certs.
MOTEL 6 2012-MTL6's: S&P Gives Prelim BB+ Rating on Class E Certs.
NORTHSTAR 2012-1: S&P Rates $12.2-Mil. Class F Certificates 'B'
NXT CAPITAL 2012-1: S&P Gives 'BB' Rating on Class E Def Notes
PAMEX MORTGAGE: Moody's Lowers Rating on M-3 Tranche to 'Caa2'
PREFERRED TERM VII: S&P Withdraws 'BB+' Rating on Class A-2 Notes
PREMIUM LOAN I: Moody's Cuts $11MM Class C Notes Rating to 'Caa2'
RALI SERIES 2002-QS14: Moody's Cuts Rating on A-P Tranche to 'Ba3'
RESIDENTIAL RE 2011: S&P Ups Rating on Class 5 Notes to 'BB-'
RFMSI SERIES 2006-S12: Moody's Cuts Ratings on $287MM of RMBS
ROSEMONT CLO: Fitch Junks Rating on $4.4-Mil. Class D Notes
SECURITIZED PRODUCT 2005-1: Moody's Upds Rating on B Notes to Ba2
SEQUOIA MORTGAGE: Fitch to Rate $2.5-Mil. Class-B Certs at 'BBsf'
SIERRA TIMESHARE: Fitch Affirms 'BBsf' Rating on Class C Notes
SPRINGLEAF 2012-3: S&P Gives 'B' Rating on Class B-2 Notes
TERWIN MORTGAGE: Moody's Lifts Rating on Cl. M-1 Tranche to 'Ba3'
TRICADIA CDO: Fitch Hikes Rating on $12MM Cl. A-4L Notes to 'CCC'
US CAPITAL: Moody's Lifts Rating on Class A-2 Notes to 'Caa1'
VENTURE XI: S&P Rates $11-Mil. Class F Deferrable Notes 'B'
WACHOVIA BANK 2005-C22: Moody's Cuts Class F Certs Rating to 'C'
WFRBS 2012-C9: Moody's Assigns '(P)B2' Rating to Class F Certs.
ZAIS INVESTMENT V: Fitch Affirms Junk Rating on 3 Note Classes
* Fitch Says 2012 Severe Economic Swing Affects High Yield Bond
* Fitch Says Near-Term Default Pressures Easing as Year Ends
* Moody's Takes Action on $405 Million RMBS Issued 2005 to 2008
* S&P Takes Various Rating Actions on 695 Classes From 65 RMBS
* S&P Raises Ratings on 8 Classes From 4 CMBS Transactions
* S&P Raises Ratings on 3 Classes From 2 CMBS Transactions
* S&P Cuts Ratings on 58 Classes From 38 Transactions to 'CC'
* S&P Cuts Ratings on 5 Classes From 3 IndyMac Trusts to 'D'
* S&P Lowers Ratings on 8 Classes From 2 CMBS Transactions
* S&P Lowers Ratings on 4 Tranches From 4 CDO Transactions to 'D'
* S&P Lowers Ratings on 25 Classes From 5 CMBS Transactions
* S&P Lowers Ratings on 1,012 Classes From 99 RMBS Transactions
* S&P Lowers Ratings on 257 Classes From 101 RMBS Transactions
* S&P Lowers Ratings on 361 Classes From 73 RMBS Transactions
* S&P Puts Ratings on 23 Tranches From 19 CDOs on Watch Positive
* S&P Puts 'B+' Ratings on 5 Sprint Capital-Related Deals on Watch
* S&P Hikes Ratings on 3 Provident I-Related Certificates to 'BB+'
* S&P Withdraws Ratings on 21 U.S. Repackaged Transactions
* S&P Withdraws Ratings on 221 Tranches From 43 CDO Transactions
*********
ABFS MORTGAGE: Moody's Lowers Ratings on Two Tranches to 'Ca'
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches from two RMBS transactions backed by Subprime loans
issued by ABFS Mortgage Loan Trust.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R) (SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (11% for all vintages
2004 and prior). The baseline rates are higher than the average
rate of new delinquencies for larger pools for the respective
vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
Certain securities, as noted below, are insured by financial
guarantors. For securities insured by a financial guarantor, the
rating on the securities is the higher of (i) the guarantor's
financial strength rating and (ii) the current underlying rating
(i.e., absent consideration of the guaranty) on the security. The
principal methodology used in determining the underlying rating is
the same methodology for rating securities that do not have a
financial guaranty and is as described earlier. RMBS securities
wrapped by Ambac Assurance Corporation are rated at their
underlying rating without consideration of Ambac's guaranty.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.0% in September 2011 to 7.8% in September 2012.
Moody's expects unemployment rate to stay between 7.5% to 8.5% in
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.
Complete rating actions are as follows:
Issuer: ABFS Mortgage Loan Trust 2000-3
Cl. A, Downgraded to Ca (sf); previously on Mar 18, 2011
Confirmed at Caa2 (sf)
Underlying Rating: Downgraded to Ca (sf); previously on Mar 18,
2011 Confirmed at Caa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Issuer: ABFS Mortgage Loan Trust 2002-1
Cl. A-5, Downgraded to Ca (sf); previously on Mar 18, 2011
Downgraded to Caa3 (sf)
Underlying Rating: Downgraded to Ca (sf); previously on Mar 18,
2011 Downgraded to Caa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF304089
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
ACLC BUSINESS: Fitch Affirms 'CCC(sf)' Rating on Class D Notes
--------------------------------------------------------------
Fitch Ratings affirms the following notes in ACLC Business Loan
Receivables Trust 1999-2:
-- Class D at 'CCCsf/RE' 75%.
The affirmation of the remaining notes reflects their ability to
pass stress-case scenarios consistent with the current rating
levels. The 75% recovery estimate reflects the estimate of
principal payments expected on the outstanding portion of the
note.
For additional detail, please refer to the 'Structured Finance
Recovery Estimates for Distressed Securities' criteria report,
dated Nov. 16, 2011.
AMERICAN GENERAL: Moody's Cuts Rating on Cl. B-1 Tranche to Ba3
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on six
tranches from American General Mortgage Pass-Through Certificates,
Series 2006-1. The collateral backing this transaction primarily
consists of first-lien, fixed Alt-A residential mortgages.
Complete rating actions are as follows:
Issuer: American General Mortgage Pass-Through Certificates,
Series 2006-1
Cl. A-3, Downgraded to A1 (sf); previously on May 30, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to A1 (sf); previously on May 30, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Aa3 (sf); previously on May 30, 2012 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to Baa2 (sf); previously on May 30, 2012 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba1 (sf); previously on May 30, 2012 A3
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa2
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale
The action reflects the recent performance of the pool and Moody's
updated loss expectation for the pool. The downgrades are
primarily driven by the deteriorating pool performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated. This deal is currently
passing its performance triggers and the subordinate tranches are
receiving principal payments, resulting in depletion of the credit
enhancement available to the senior tranches.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies noted above for Moody's current
view on loan modifications. As a result of an extension of the
Home Affordable Modification Program (HAMP) to 2013 and an
increased use of private modifications, Moody's is extending its
previous view that loan modifications will only occur through the
end of 2012. It is now assuming that the loan modifications will
continue at current levels until the end of 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in April 2011 to 7.8% in September 2012. 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_SF303094
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
AMMC CLO XI: S&P Assigns 'BB-' Rating on Class F Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned ratings to AMMC CLO XI
Ltd./AMMC CLO XI Corp.'s $405.4 million floating-rate notes.
The note issuance is a collateralized loan obligation (CLO)
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
(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 portfolio manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash-flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.35% to 13.84%," S&P said.
The transaction's overcollateralization and interest-coverage
tests, a failure of which would lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's reinvestment overcollateralization test, a
failure of which would lead to the reclassification of excess
interest proceeds that are available prior to paying
subordinated portfolio manager fees, uncapped administrative
expenses and fees, portfolio manager incentive fees, and
payments to the subordinated notes.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
AMMC CLO XI Ltd./AMMC CLO XI Corp.
Class Rating Interest Amount
rate (Mil. $)
A AAA (sf) Floating 282.40
B AA (sf) Floating 60.10
C (deferrable) A (sf) Floating 22.20
D (deferrable) BBB (sf) Floating 21.00
E (deferrable) BB (sf) Floating 16.90
F (deferrable) BB- (sf) Floating 2.80
Subordinated notes NR N/A 44.6
ARBOR REALTY 2005-1: Moody's Affirms 'Caa3' Rating on Cl. H Notes
-----------------------------------------------------------------
Moody's has affirmed the ratings of all classes of Notes issued by
Arbor Realty Mortgage Securities 2005-1, 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 CLO) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed at Aaa (sf); previously on Apr 7, 2009 Confirmed
at Aaa (sf)
Cl. A-2, Affirmed at Aa3 (sf); previously on Apr 7, 2009
Downgraded to Aa3 (sf)
Cl. B, Affirmed at Baa2 (sf); previously on Apr 7, 2009 Downgraded
to Baa2 (sf)
Cl. C, Affirmed at Ba3 (sf); previously on Dec 1, 2010 Downgraded
to Ba3 (sf)
Cl. D, Affirmed at B1 (sf); previously on Dec 1, 2010 Downgraded
to B1 (sf)
Cl. E, Affirmed at B2 (sf); previously on Dec 1, 2010 Downgraded
to B2 (sf)
Cl. F, Affirmed at B3 (sf); previously on Dec 1, 2010 Downgraded
to B3 (sf)
Cl. G, Affirmed at Caa2 (sf); previously on Dec 1, 2010 Downgraded
to Caa2 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded
to Caa3 (sf)
Ratings Rationale
Arbor Realty Mortgage Securities 2005-1, Ltd. is a currently
static (reinvestment period ended in April 2011) cash CRE CDO
transaction backed by a portfolio of whole loans (56.0% of the
pool balance), b-notes (24.9%), mezzanine loans (16.8%) and CRE
CDO (2.3%). As of the September 28, 2012 Trustee report, the
aggregate Note balance of the transaction, including preferred
shares, has decreased to $419.9 million from $475.0 million at
issuance, with the paydown directed to the Class A1 Notes from
principal repayment of collateral, and resolution and sale of
defaulted and credit risk collateral.
There is one asset with a par balance of $10.0 million (2.4% of
the current pool balance) that is considered a defaulted security
as of the September 28, 2012 Trustee report. While there have been
limited realized losses on the underlying collateral to date,
Moody's does expect losses to occur on the defaulted security 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. Moody's modeled a WARF of 7,796 compared to
6,940 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 0.5% at last review), A1-A3
(0.0% compared to 7.1% at last review), Ba1-Ba3 (1.0% compared to
3.4% at last review), B1-B3 (7.4% compared to 11.4% at last
review), and Caa1-C (91.5% compared to 77.6% at last review).
Moody's modeled a WAL of 3.1 years compared to 3.5 years at last
review. The current modeled WAL incorporates updated assumptions
about extensions on the loan collateral.
Moody's modeled a fixed WARR of 31.8% compared to 27.5% at last
review.
Moody's modeled a MAC of 99.9%, 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 March 22, 2012.
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
31.8% to 21.8% or up to 41.8% would result in a modeled rating
movement on the rated tranches of 0 to 8 notches downward and 0 to
5 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. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
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.
ARBOR REALTY 2006-1: Fitch Cuts Rating on 4 Securities Classes
--------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed six classes
of Arbor Realty Mortgage Securities Series 2006-1, Ltd. / LLC
(ARMSS 2006-1) reflecting Fitch's base case loss expectation of
28.2%. Fitch's performance expectation incorporates prospective
views regarding commercial real estate market value and cash flow
declines.
The downgrades to classes B, C, G and H reflect Fitch's increased
base case expected loss of 28.2% from 26.7% at last review. The
CDO exited its reinvestment period in December 2011. Since
Fitch's last rating action, Classes A-1A and A-1AR have been paid
down by $27.2 million primarily due the full payoff or removal at
par of four CDO assets, and the discounted sale of another asset.
Realized losses over the last year have totaled approximately $8.5
million. As of the September 2012 trustee report, all par value
and interest coverage test were in compliance.
ARMSS 2006-1 is a CRE collateralized debt obligation (CDO) managed
by Arbor Realty Collateral Management, LLC (Arbor). As of the
September 2012 trustee report and per Fitch categorizations, the
CDO was substantially invested as follows: whole loans/A-notes
(76.4%), B-notes (12%), mezzanine debt (3.8%), preferred equity
(3.7%), and cash (4.1%). Approximately 7.7% of the pool is
currently defaulted while a further 20.1% are considered assets of
concern.
Under Fitch's methodology, approximately 87.4% 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 8.2% from, generally, year-end 2011 or trailing 12-
month first quarter 2012. Modeled recoveries are above average at
67.7% due to the significant percentage of senior debt.
The largest component of Fitch's base case loss expectation is an
A-note (10.8%) secured by a large student housing property located
on the Upper East Side of Manhattan. In 2011, the master tenant
cancelled its master lease obligation for the entire property and
now directly leases only a portion of the space. While the
borrower has successfully leased the property to above 90%, cash
flow is still significantly below expectations. Fitch modeled a
term default and a substantial loss on this position in its base
case scenario.
The next largest component of Fitch's base case loss expectation
is related to an A-note (7.8%) secured by a portfolio of six full
and limited service hotels located in Daytona Beach, FL. The
portfolio was previously in bankruptcy, and an Arbor affiliate
took title to the properties in February 2011. While new
management has been installed at the properties, it is expected to
take time for performance at all six properties to stabilize.
Fitch modeled a term default and a substantial loss on the loan in
its base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio tests to project future default levels
for the underlying portfolio. Recoveries are based on stressed
cash flows and Fitch's long-term capitalization rates. The
default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under the various
default timing and interest rate stress scenarios, as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'. The
breakeven rates for classes A-1 through B are generally consistent
with the ratings listed below.
The Stable Outlooks on classes A-1 through A-2 generally reflect
the class's cushion in the modeling.
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 classes as indicated:
-- $41.1 million class B to 'Bsf' from 'BBsf'; Outlook Negative;
-- $31.2 million class C to 'CCCsf' from 'Bsf'; Re 0%;
-- $16.95 million class G to 'CCsf' from 'CCCsf'; RE 0%;
-- $14.1 million class H to 'CCsf' from 'CCCsf'; RE 0%;
Fitch affirms the following classes as indicated:
-- $211.02 million class A-1A at 'BBBsf'; Outlook Stable;
-- $91.75 million class A-1AR at 'BBBsf'; Outlook Stable;
-- $72.9 million class A-2 at 'BBsf'; Outlook Stable;
-- $13.35 million class D at 'CCCsf'; RE 0%;
-- $14.25 million class E at 'CCCsf'; RE 0%;
-- $13.65 million class F at 'CCCsf'; RE 0%.
ARBOR REALTY 2006-1: Moody's Keeps Caa3 Ratings on 5 Note Classes
-----------------------------------------------------------------
Moody's has affirmed the ratings of all classes of Notes issued by
Arbor Realty Mortgage Securities 2006-1, 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 CLO) transactions.
Cl. A-1A, Affirmed at Aa3 (sf); previously on Dec 1, 2010
Downgraded to Aa3 (sf)
Cl. A-1AR, Affirmed at Aa3 (sf); previously on Dec 1, 2010
Downgraded to Aa3 (sf)
Cl. A-2, Affirmed at Ba2 (sf); previously on Dec 1, 2010
Downgraded to Ba2 (sf)
Cl. B, Affirmed at B2 (sf); previously on Dec 1, 2010 Downgraded
to B2 (sf)
Cl. C, Affirmed at Caa2 (sf); previously on Dec 1, 2010 Downgraded
to Caa2 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded
to Caa3 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded
to Caa3 (sf)
Cl. F, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded
to Caa3 (sf)
Cl. G, Affirmed at Caa3 (sf); previously on Dec 1, 2010 Downgraded
to Caa3 (sf)
Cl. H, Affirmed at Caa3 (sf); previously on Apr 7, 2009 Downgraded
to Caa3 (sf)
Ratings Rationale
Arbor Realty Mortgage Securities 2006-1, Ltd. is a currently
static (reinvestment period ended in January 2012) cash CRE CDO
transaction backed by a portfolio of whole loans (79.6% of the
current pool balance), b-notes (12.5%) and mezzanine loans (7.9%).
As of the July 26, 2012 Note Valuation report, the aggregate Note
balance of the transaction, including preferred shares, has
decreased to $572.8 million from $600.0 million at issuance, with
the paydown directed to the Class A1A and Class A1R Notes from
principal repayment of collateral, and resolution and sale of
defaulted and credit risk collateral.
There are three assets with a par balance of $29.7 million (5.4%
of the current pool balance) that are considered defaulted
securities as of the September 28, 2012 Trustee report. While
there have been limited realized losses on the underlying
collateral to date, Moody's does expect moderate losses to occur
on the defaulted securities once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a WARF of 7,074 compared to
6,918 at last review. The current distribution of Moody's rated
collateral and assessments for non-Moody's rated collateral is as
follows: Aaa-Aa3 (3.4% compared to 2.1% at last review), A1-A3
(4.5% compared to 2.4% at last review), Ba1-Ba3 (0.7% compared to
7.7% at last review), B1-B3 (12.7% compared to 12.6% at last
review), and Caa1-C (78.7% compared to 75.2% at last review).
Moody's modeled a WAL of 6.0 years, the same as that at last
review. The current modeled WAL incorporates updated assumptions
about extensions on the loan collateral.
Moody's modeled a fixed WARR of 41.6% compared to 40.8% at last
review.
Moody's modeled a MAC of 99.9%, 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 March 22, 2012.
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
41.6% to 31.6% or up to 51.6% would result in a modeled rating
movement on the rated tranches of 0 to 5 notches downward and 0 to
8 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. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
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.
ARES NF XIII: S&P Ups Rating on Class D Notes to 'BB+'; Off Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on all four
classes of notes from Ares NF CLO XIII Ltd. and on the class B, C,
and D notes from Ares VR CLO Ltd. "We removed our ratings on these
seven classes from CreditWatch, where we placed them with positive
implications on July 17, 2012. At the same time, we affirmed our
'AAA (sf)' ratings on the class A-1, A-2, and A-3 notes from Ares
VR CLO Ltd.. Both transactions are cash flow collateralized loan
obligation (CLO) transactions managed by Ares Management LLC," S&P
said.
Ares NF CLO XIII Ltd. was formerly known as Navigare Funding I CLO
Ltd., before Ares Management LLC assumed the role of the
collateral manager in July 2010.
"Both transactions are in their amortization phase and continue to
paydown their respective senior notes. After the most recent
paydowns in August 2012, the outstanding balance of the class A
note from Ares NF CLO XIII Ltd. declined to 56% (down from 100% in
June 2011 when we last took a rating action on the transaction).
The outstanding balances of the class A-1, A-2, and A-3 notes (all
pari passu) from Ares VR CLO Ltd. declined to 33% (down from 60%
in February 2012, when we last took a rating action on the
transaction)," S&P said.
As a result of a lower senior note balances, the
overcollateralization (O/C) ratios increased for both
transactions. The changes in the O/C ratios for the two
transactions based on their respective trustee report as of
September 2012 are:
Ares NF CLO XIII Ltd.:
Class A/B ratio is 135.7%, up from 122.2% in May 2011;
Class C ratio is 127.52%, up from 117.7% in May 2011; and
Class D ratio is 107.42%, up from 105.8% in May 2011.
Ares VR CLO Ltd.:
Class A/B ratio is 154.9%, up from 132.8% in January 2012;
Class C ratio is 136.8%, up from 123.3% in January 2012; and
Class D ratio is 109.8%, up from 107% in January 2012.
In addition, both transactions continue to have a low level of
defaults.
According to the September 2012 trustee report, Ares NF CLO XIII
has only one defaulted obligation with a par of $1.15 million.
Similarly, according to its September 2012 trustee report, Ares VR
CLO had only defaulted obligation with a par of $2 million.
"We raised our ratings to reflect an increase in the credit
support at the prior rating level. The affirmations reflect the
presence of sufficient credit support to the notes at their
current ratings," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Ares NF CLO XIII Ltd.
Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA (sf)/Watch Pos
C AA (sf) A (sf)/Watch Pos
D BB+ (sf) BB (sf)/Watch Pos
Ares VR CLO Ltd.
Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D BB- (sf) B+ (sf)/Watch Pos
RATINGS AFFIRMED
Ares VR CLO Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
A-3 AAA (sf)
ATRIUM VIII: S&P Rates $21-Mil. Class E Deferrable Notes 'BB'
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Atrium
VIII/Atrium VIII LLC's $460.0 million fixed- and floating-rate
notes.
The transaction is a cash flow collateralized loan obligation
securitization of a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The ratings reflect S&P's assessment of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The asset manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.3950%-13.8391%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying uncapped
administrative expenses and fees; subordinated hedge
termination payments; portfolio manager incentive fees; and
subordinated note payments to principal proceeds for the
purchase of additional collateral assets during the
reinvestment period and to reduce the balance of the rated
notes outstanding, sequentially, after the reinvestment
period.
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/976.pdf
RATINGS ASSIGNED
Atrium VIII/Atrium VIII LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 298.0
A-2 AAA (sf) 20.0
B AA (sf) 53.0
C (deferrable) A (sf) 42.0
D (deferrable) BBB (sf) 26.0
E (deferrable) BB (sf) 21.0
Subordinated notes NR 56.3
NR - Not rated.
BANC OF AMERICA 2007-3: Fitch Lowers Rating on 11 Cert. Classes
---------------------------------------------------------------
Fitch Ratings has downgraded 11 classes and affirmed 15 classes of
Banc of America Commercial Mortgage Trust (BACM) commercial
mortgage pass-through certificates series 2007-3 due to an
increase in the amount and certainty of expected losses on the
specially serviced loans.
Fitch modeled losses of 14.8% of the remaining pool; expected
losses on the original pool balance total 13.4%, including losses
already incurred. The pool has experienced $29.7 million (0.8% of
the original pool balance) in realized losses to date. Fitch has
designated 28 loans (29%) as Fitch Loans of Concern, which
includes 14 specially serviced assets (7.6%). There were 12
assets (6.5%) in special servicing at Fitch's previous rating
action. In addition, Fitch remains concerned with the performance
of the top 15 loans, as each has a Fitch loan to value (LTV) ratio
higher than 95% and 12 of which have LTVs in excess of 100%.
As of the October 2012 distribution date, the pool's aggregate
principal balance has been reduced by 15% to $2.99 billion from
$3.52 billion at issuance. No loans have defeased since issuance.
Interest shortfalls are currently affecting classes H through S.
The largest contributor to expected losses is the real estate
owned (REO) Metropolis Shopping Center loan (2.9% of the pool), a
504,185-square foot (sf) mixed-use property (474,620 sf of retail
space and 29,565 sf of office space), which is phase I of a retail
power center located in Plainfield, IN (a southwestern suburb of
Indianapolis). The loan has been in special servicing since 2008
and became REO in November 2011. The property is being marketed
for sale and Fitch expects significant losses based on recent
valuations.
The next largest contributor to expected losses is the Pacific
Shores Building 9 & 10 loan (6.2%), which is secured by two
buildings in a 10-building office development in Redwood City, CA
(Silicon Valley). The collateral consists of a 283,015-sf class A
office building and a 164,732-sf flex industrial building.
Property cash flow is expected to dramatically decline in 2013
after an in-place lease expires and a new lease goes into effect
at a rate less than half that of the current rate. The loan
remains current.
The third largest contributor to expected losses is the Pacifica
Tower loan (5.6%), which is secured by a 314,074-sf office tower
that is part of the Plaza at La Jolla office development, a six-
building property that features 825,000 sf of office space spread
over 17 acres located in the Golden Triangle/University Town
Center submarket of San Diego, CA. The balance of the 10.5-year,
interest-only loan is $166.3 million as of October 2012. The
property is highly leveraged and has significant upcoming rollover
with in-place rents above market. The loan remains current.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $26.4 million class E to 'CCsf' from 'CCCsf'; RE 0%;
-- $35.2 million class F to 'CCsf' from 'CCCsf'; RE 0%;
-- $30.8 million class G to 'CCsf' from 'CCCsf'; RE 0%;
-- $48.3 million class H to 'CCsf' from 'CCCsf'; RE 0%;
-- $35.2 million class J to 'Csf' from 'CCCsf'; RE 0%;
-- $43.9 million class K to 'Csf' from 'CCsf'; RE 0%;
-- $26.4 million class L to 'Csf' from 'CCsf'; RE 0%;
-- $4.4 million class M to 'Csf' from 'CCsf'; RE 0%;
-- $17.6 million class N to 'Csf' from 'CCsf'; RE 0%;
-- $4.4 million class O to 'Csf' from 'CCsf'; RE 0%;
-- $8.8 million class P to 'Csf' from 'CCsf'; RE 0%.
Fitch affirms the following classes and assigns or revises REs as
indicated:
-- $241.7 million class A-J at 'CCCsf'; RE 95%;
-- $35.2 million class B at 'CCCsf'; RE 0%;
-- $48.3 million class C at 'CCCsf'; RE 0%;
-- $26.4 million class D at 'CCCsf'; RE 0%.
Fitch affirms the following classes as indicated:
-- $55.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $24.8 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $133 million class A-3 at 'AAAsf'; Outlook Stable;
-- $77.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $50 million class A-5 at 'AAAsf'; Outlook Stable;
-- $608.7 million class A-1A at 'AAAsf'; Outlook Stable;
-- $116.6 million class A-M at 'BBB-sf'; Outlook Stable;
-- $100 million class A-MF at 'BBB-sf'; Outlook Stable;
-- $135 million class A-MFL at 'BBB-sf'; Outlook Stable;
-- $13.2 million class Q at 'Csf'; RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class S certificates. Fitch previously withdrew the rating on
the interest-only class XW certificates.
BEAR STEARNS 2007-PWR17: Fitch Cuts Rating on 7 Cert. Classes
-------------------------------------------------------------
Fitch Ratings has downgraded seven classes of Bear Stearns
Commercial Mortgage Securities Trust, series 2007-PWR17 (BSCMS
2007-PWR17) commercial mortgage pass-through certificates.
The downgrades are due to increased loss expectations, primarily
associated with the specially serviced loans, since Fitch's last
rating action. Fitch expected losses of the original pool are at
10.6%, which includes 4.4% in realized losses to date.
As of the October 2012 distribution date, the pool's certificate
balance has paid down 11% to $2.759 billion from $3.260 billion.
Fitch identified 80 (38.4%) Loans of Concern, including 17 (17.9%)
specially serviced. Of the specially serviced assets, four (1.8%)
are real estate owned (REO) and eight (6.1%) are in foreclosure.
There are no defeased loans. In addition, cumulative interest
shortfalls totaling $3 million are affecting classes H through S.
The largest contributor to Fitch expected losses is the largest
loan (8.96%), DRA/Colonial Office Portfolio. The interest-only
loan is secured by 19 office properties that comprise
approximately 5.2 million square feet (sf) and are located in six
metropolitan statistical areas (MSAs), primarily in the south and
southeast. The loan has a total balance of $741.9 million and is
split into three equal pari passu notes. The loan transferred to
special servicing in August 2012 for imminent default due to
declining occupancy and significant rollover before its 2014
maturity of 26%. Most of the properties are located in secondary
and tertiary markets where market rental rates have dropped
significantly lower than in-place rents, which are expected to
have substantial impact on the property's cash flow. The special
servicer reports that the property's occupancy was 79.1% as of
September 2012.
The second largest contributor to Fitch expected losses is a loan
(2.55%) collateralized by three full-service hotels, totaling 985
rooms, located in Duluth and Bloomington, MN and Little Rock, AR.
The loan transferred to special servicing in June 2012 for
maturity default. Of the three hotels, only one is
underperforming. The special servicer reports that negotiations
with the borrower are ongoing while they pursue all rights and
remedies of the trust.
The third largest contributor to Fitch expected losses is an
81,423 sf medical office building located in Henderson, NV. The
property transferred to the special servicer in November 2010 and
became REO in May 2011. The special servicer reported that the
property was listed for sale in June 2012 with final and best
offers due in late August Fitch was not able to obtain information
from the special servicer (C-III Asset Management LLC) on an
accepted offer prior to the review.
Fitch downgrades the following classes and assigns Recovery
Estimates (REs) as indicated:
-- $268.9 million class A-J to 'BBsf' from 'BBB-sf; Outlook
Negative;
-- $28.5 million class B to 'Bsf' from 'BBsf; Outlook Negative;
-- $44.8 million class C to 'CCCsf' from 'Bsf'; RE 10%;
-- $24.4 million class D to 'CCsf' from 'CCCsf'; RE 0%;
-- $20.3 million class E to 'CCsf' from 'CCCsf'; RE 0%;
-- $28.5 million class F to 'Csf' from 'CCCsf; RE 0%;
-- $32.6 million class G to 'Csf' from 'CCsf'; RE 0%.
Fitch affirms the following classes and assigns REs as indicated:
-- $291.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $129.9 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1.178 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $325 million class A-1A at 'AAAsf'; Outlook Stable;
-- $231 million class A-M at 'AAAsf'; Outlook Stable;
-- $95 million class A-MFL at 'AAAsf'; Outlook Stable;
-- $36.6 million class H at 'Csf'; RE 0%;
-- $23.8 million class J at 'Dsf'; RE 0%.
Fitch does not rate class S.
Classes A-1 and A-2 have paid in full. Due to realized losses
classes K, L, M, N, O, P and Q have been reduced to zero and
remain at 'Dsf/RE 0%'.
Fitch has previously withdrawn the rating on the interest-only
classes X-1 and X-2.
BENEFIT STREET I: S&P Rates $18-Mil. Class D Deferrable Notes 'BB'
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings on Benefit
Street Partners CLO I Ltd./Benefit Street Partners CLO I LLC's
$415.30 million floating-rate notes.
The note issuance is a CLO 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 the 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
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 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 0.3942% to 13.8391%.
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; incentive management fees; and subordinated note
payments into principal proceeds for the purchase of
additional collateral assets during the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
Benefit Street Partners CLO I Ltd./Benefit Street Partners CLO I
LLC
Class Rating Interest Amount
rate (mil. $)
A-1 AAA (sf) Three-month LIBOR 286.70
plus 1.50%
A-2 AA (sf) Three-month LIBOR 47.60
plus 2.50%
B (deferrable) A (sf) Three-month LIBOR 39.85
plus 3.50%
C (deferrable) BBB (sf) Three-month LIBOR 23.15
plus 4.50%
D (deferrable) BB (sf) Three-month LIBOR 18.00
plus 5.50%
Subordinated NR N/A 43.30
notes
NR - Not rated.
N/A - Not applicable.
BLUEMOUNTAIN 2012-2: S&P Assigns Prelim 'BB' Rating on Cl. E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to BlueMountain CLO 2012-2 Ltd. / BlueMountain CLO 2012-2
LLC's 554.55 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 Oct. 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 consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The portfolio manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3439%-12.6500%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
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
PRELIMINARY RATINGS ASSIGNED
BlueMountain CLO 2012-2 Ltd./BlueMountain CLO 2012-2 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 372.20
A-2 AAA (sf) 10.00
B-1 AA (sf) 48.10
B-2 AA (sf) 20.00
C (deferrable) A (sf) 48.90
D (deferrable) BBB (sf) 30.10
E (deferrable) BB (sf) 25.25
Subordinated notes NR 62.70
NR - Not rated.
BSDB 2005-AFR1: S&P Lowers Rating on Class G Certificates to 'B-'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on seven
classes from commercial mortgage pass-through certificates from
BSDB 2005-AFR1 Trust, a U.S. commercial mortgage-backed securities
(CMBS) transaction. "At the same time, we removed these ratings
from CreditWatch with negative implications, where we placed them
on Sept. 5, 2012. We also affirmed three classes and removed two
of them from CreditWatch with negative implications," S&P said.
"The rating actions follow our analysis of the transaction using
our recently updated criteria for rating U.S. and Canadian CMBS
transactions--which was the primary driver of 's rating actions--
as well as deterioration in performance. The analysis of
standalone transactions is predominantly a recovery-based approach
that assumes a loan default. Reflecting this approach, our
property level analysis included a revaluation of the portfolio of
138 properties. The portfolio originally consisted of 211
properties; 73 of the original properties have either been
released or defeased to date. The portfolio's net cash flow has
declined in recent years. We believe that current trends within
the banking industry, including the migration of the overall
customer base towards on-line banking, will negatively affect the
performance of this portfolio. A full discussion of the
methodologies employed in the property-level analysis can be found
in 'CMBS Global Property Evaluation Methodology,' published Sept.
5, 2012," S&P said.
"We based our analysis, in part, on a review of the borrower's
operating statements for year-end 2011, year-end 2010, year-end
2009, the borrowers' 2012 budget, and a Dec. 31, 2011, rent roll.
The master servicer, Midland Loan Services (Midland), reported a
debt service coverage (DSC) of 0.97x for the year ended Dec. 31,
2011. Occupancy was 79.7% according to the December 2011 rent
roll," S&P said.
"The nondefeased portion of the loan is secured by the fee
interest in 137 retail properties and the leasehold interest in
one retail property with a total of 3,978,350 sq. ft. located in
26 states: Massachusetts (15.7%), New York (12.9%), California
(12.5%), North Carolina (7.8%), New Jersey (7.2%), and Florida
(6.7%) comprise the six largest states. These properties consist
of 119 retail banking centers (42.2%), 10 office buildings
(33.7%), and nine operations centers (24.1%). Approximately 69.9%
of the space is leased to Bank of America N.A. (rated 'A'/A-
1/Negative by S&P) pursuant to the Bank of America master lease
that expires Sept. 30, 2019," S&P said.
"As of the Oct. 14, 2012, trustee remittance report, the mortgage
loan had a trust and whole-loan balance of $250.4 million, or
17.6% less than at issuance and a nondefeased loan balance of
$202.5 million. The mortgage loan secured by the real estate
collateral is bifurcated into two pari passu promissory notes,
each in the amount of $101.5 million, and amortize on a 30-year
schedule. Approximately $47.7 million or 15.7% of the original
balance has been defeased since issuance. The loan matures on
Sept. 8, 2019," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
BSDB 2005-AFR1 Trust
Commercial mortgage pass-through certificates
Class To From Credit enhancement (%)
A-J AA(sf) AAA (sf)/Watch Neg 28.08
B A-(sf) A+ (sf)/Watch Neg 15.79
C BBB (sf) A (sf)/Watch Neg 11.54
D BBB-(sf) A- (sf)/Watch Neg 8.80
E BB+ (sf) BBB+(sf)/Watch Neg 6.38
F BB (sf) BBB (sf)/Watch Neg 3.34
G B- (sf) BBB-(sf)/Watch Neg ---
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
BSDB 2005-AFR1 Trust
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-1 AAA (sf) 42.08
A-2 AAA (sf) 42.08
RATINGS AFFIRMED
BSDB 2005-AFR1 Trust
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
X AAA (sf) N/A
N/A - Not applicable.
C-BASS CBO: Moody's Upgrades Rating on Class C Notes to 'Caa3'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by C-Bass CBO VIII Ltd.:
U.S. $26,600,000 Class A-2 Second Priority Senior Secured Floating
Rate Notes Due November 2028 (current outstanding balance of
$21,861,421), Upgraded to Aa2 (sf); previously on May 7, 2010
Downgraded to A2 (sf);
U.S. $18,350,000 Class B Third Priority Senior Secured Floating
Rate Notes Due 2038, Upgraded to Baa2 (sf); previously on May 7,
2010 Downgraded to Ba1 (sf); and
U.S. $20,700,000 Class C Fourth Priority Secured Floating Rate
Deferrable Interest Notes Due 2038, Upgraded to Caa3 (sf);
previously on May 7, 2010 Downgraded to Ca (sf).
Ratings Rationale
According to Moody's, the rating action taken is primarily a
result of deleveraging of the senior notes and an increase in the
transaction's overcollateralization ratios since the rating action
in May 2010. Moody's notes that the Class A-1 Notes have been paid
down in full and the Class A-2 Notes have been paid down by
approximately 18%, or $4.7 million since the last rating action.
Based on the latest trustee report dated September 30, 2012, the
Class A/B and Class C overcollateralization ratios are reported at
157.5% and 102.3%, respectively, versus April 2010 levels of
129.1% and 98.7%, respectively. Also on the last payment date in
August 2012, Class C received a partial payment of previously
deferred interest.
C-Bass CBO VIII, Ltd., issued in November 2003, is a
collateralized debt obligation issuance backed primarily by a
portfolio of RMBS originated from 2001 to 2003.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the
reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model . The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
Moody's notes that in arriving at its ratings of SF CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Primary sources
of assumption uncertainty are the extent of the slowdown in growth
in the current macroeconomic environment and the residential real
estate property markets. Among the uncertainties in the
residential real estate property market are those surrounding
future housing prices, pace of residential mortgage foreclosures,
loan modification and refinancing, unemployment rate and interest
rates.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's below investment-grade assets notched up by 2 rating
notches (WARF of 1019)
Class A-2: 0
Class B: +1
Class C: 0
Class D-1: 0
Class D-2: 0
Moody's below investment-grade assets notched down by 2 rating
notches (WARF of 1145)
Class A-2: 0
Class B: -1
Class C: 0
Class D-1: 0
Class D-2: 0
CAPMARK VII: S&P Affirms 'CCC-' Rating on Class C Debt; Off Watch
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on four
classes from Capmark VII-CRE Ltd., a commercial real estate
collateralized debt obligation (CRE CDO) transaction, and removed
them from CreditWatch with negative implications.
"The affirmations reflect our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using our criteria for global CDOs of pooled
structured finance assets. We also considered the amount of
defaulted assets in the transactions and their expected recoveries
in our analysis," S&P said.
"The global CDOs of pooled structured finance assets criteria,
which we published on Feb. 21, 2012, include revisions to our
assumptions on correlations, recovery rates, and default patterns
and timings of the collateral. The criteria also include
supplemental stress tests (largest obligor default test and
largest industry default test) in our analysis," S&P said.
"According to the Sept. 15, 2012, trustee report, the
transaction's collateral totaled $405.1 million and the
transaction's liabilities totaled $565.0 million, including
deferred interest on classes C and below. The liability balance at
issuance was originally $1.0 billion. The transaction's current
asset pool consists of 25 whole loans," S&P said.
The trustee report noted four defaulted loans ($79.5 million,
19.6%). Standard & Poor's estimated asset-specific recovery rates
for the defaulted loan assets ranging from 37% to 78%, with a
weighted average recovery rate of 61.2%. S&P based the recovery
rates on information provided by the collateral manager, special
servicer, and third-party data providers. The defaulted loan
assets are:
- Ryan Ranch Whole Loan ($25.7 million, 6.3%);
- National Gateway at Potomac Yards Whole Loan ($25.2 million,
6.2%);
- Centerview Crossing Whole Loan ($20.9 million, 5.2%); and
- The Classic/Stamford Whole Loan ($7.7 million, 1.9%).
"We applied asset specific recovery rates in our analysis of the
21 performing loans ($325.6 million, 80.4%) using our updated
methodology and assumptions for rating U.S. and Canadian CMBS and
our global property evaluation methodology, both published Sept.
5, 2012. We also considered qualitative factors such as the near-
term maturities of the loans and refinancing prospects of the
assets in the pool," S&P said.
"According to the trustee report, the deal is failing all three
principal coverage tests, while passing all three interest
coverage tests. In addition to our credit analysis, we also noted
the transaction's potential to experience an event of default if
the class A/B principal coverage ratio falls below 96%," 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 determines necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
Capmark VII-CRE Ltd.
Rating
Class To From
A1 BBB- (sf) BBB- (sf)/Watch Neg
A2 CCC+ (sf) CCC+ (sf)/Watch Neg
B CCC (sf) CCC (sf)/Watch Neg
C CCC- (sf) CCC- (sf)/Watch Neg
CASTLE HOLDING: Moody's Cuts Ratings on 3 Note Classes to 'Caa1'
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of the
following notes:
Issuer: Castle Holding Trust 1
Class A-1 Notes, Downgraded to Caa1; previously on Apr 6, 2012
Assigned B2
Underlying Securities: Texas Competitive Electric Holdings 2017
Term Loan
Class A-2 Notes, Downgraded to Caa1; previously on Apr 6, 2012
Assigned B2
Underlying Securities: Texas Competitive Electric Holdings 2017
Deposit L/C Loan
Issuer: Castle Holding Trust 2
Class A-1 Notes, Downgraded to Caa1; previously on Apr 6, 2012
Assigned B2
Underlying Securities : Texas Competitive Electric Holdings 2017
Term Loan
Ratings Rationale
The transactions are structured notes whose ratings are based on
the rating of the Underlying Securities and the legal structure of
the transaction. The rating action is the result of the change of
the rating of the above mentioned Underlying Securities issued by
Texas Competitive Electric Holdings Company LLC., which were
downgraded to Caa1 by Moody's on August 9, 2012.
The principal methodology used in these ratings was "Moody's
Approach to Rating Repackaged Securities" published in April 2010.
Moody's conducted no additional cash flow analysis or stress
scenarios because the ratings are a pass-through of the rating of
the underlying securities.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
CENT 10: Moody's Raises Rating on Class E Notes to 'Ba3'
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Cent 10 CDO Limited:
U.S.$31,500,000 Class B Senior Floating Rate Notes Due December
15, 2017, Upgraded to Aa2 (sf); previously on August 2, 2011 A1
(sf)
U.S.$17,000,000 Class C Deferrable Mezzanine Floating Rate Notes
Due December 15, 2017, Upgraded to A3 (sf); previously on August
2, 2011 Baa2 (sf)
U.S.$17,000,000 Class D Deferrable Mezzanine Floating Rate Notes
Due December 15, 2017, Upgraded to Ba1 (sf); previously on August
2, 2011 Ba2 (sf)
U.S.$7,500,000 Class E Deferrable Mezzanine Floating Rate Notes
Due December 15, 2017, Upgraded to Ba3 (sf); previously on August
2, 2011 B1 (sf)
Rating Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in August 2011. Moody's notes that the Class A-1
Notes have been paid down by approximately 7% or $21.0 million
since the last rating action. Additionally, Moody's anticipates
that approximately $68.2 million of unscheduled and other
principal proceeds will be used for reinvestment. Based on the
latest trustee report dated September 10, 2012 the Class A/B and
Class D overcollateralization ratios are reported at 124.03% and
111.65%, respectively, versus July 2011 levels of 118.57% and
107.42%, respectively. In addition, the weighted average spread
improved to 3.50% from 3.19% based on the same trustee reports.
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 $368 million,
defaulted par of $14 million, a weighted average default
probability of 17.81% (implying a WARF of 2767), a weighted
average recovery rate upon default of 49.16%, and a diversity
score of 60. 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.
Cent 10 CDO Limited, issued in November 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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% (2306)
Class A: +0
Class B: +1
Class C: +1
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3320)
Class A: -0
Class B: -2
Class C: -2
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of 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. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
CENT CDO XI: Moody's Hikes Rating on Class C Notes From 'Ba2'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Cent CDO XI Limited.:
U.S.$543,000,000 Class A-1 Floating Rate Notes Due April 25,
2019 (current outstanding balance of $539,188,700), Upgraded to
Aaa (sf); previously on September 13, 2011 Upgraded to Aa1 (sf);
U.S.$36,000,000 Class A-2 Floating Rate Notes Due April 25,
2019, Upgraded to Aa2 (sf); previously on September 13, 2011
Upgraded to A2 (sf);
U.S.$30,000,000 Class B Floating Rate Notes Due April 25, 2019,
Upgraded to A3 (sf); previously on September 13, 2011 Upgraded
to Baa3 (sf);
U.S.$39,000,000 Class C Floating Rate Notes Due April 25, 2019,
Upgraded to Baa3 (sf); previously on September 13, 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 September 2011. Moody's notes that the Class
A-1 Notes have been paid down by approximately .7% or 3.81 million
since the last rating action. Additionally, Moody's anticipates
that approximately $44 million of unscheduled and other principal
proceeds will be used on the October 25, 2012 payment date to pay
down the Class A-1 Notes. Based on the latest trustee report dated
September 17, 2012, the Class A and Class B overcollateralization
ratios are reported at 125.2% and 119.0%, respectively, versus
September 2011 levels of 120.6 and 114.7, respectively.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $700.1 million,
defaulted par of $5.5 million a weighted average default
probability of 19.31% (implying a WARF of 2650), a weighted
average recovery rate upon default of 49.79%, and a diversity
score of 77. 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.
Cent CDO XI Limited, issued in March 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2208)
Class A-1: +0
Class A-2: +1
Class B: +3
Class C: +1
Moody's Adjusted WARF + 20% (3180)
Class A-1: -1
Class A-2: -2
Class B: -2
Class C: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of 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:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
CHASE COMMERCIAL 1998-1L: Moody's Cuts Rating on I Certs. to 'Ca'
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
and affirmed two CMBS classes of Chase Commercial Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 1998-1 as follows:
Cl. F, Affirmed at Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. G, Affirmed at A1 (sf); previously on May 7, 2009 Upgraded to
A1 (sf)
Cl. H, Downgraded to B2 (sf); previously on May 7, 2009 Upgraded
to Ba3 (sf)
Cl. I, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf)
Ratings Rationale
The downgrades of the two principal bonds are due to higher
expected losses for the pool resulting from anticipated losses
from specially serviced and troubled loans, potential interest
shortfalls and declining credit quality of the CTL component. The
downgrade of the IO Class, Class X, is due to decline in the
credit performance of its referenced classes.
The affirmations of the two principal bonds are due to sufficient
credit support for the current ratings. Based on Moody's current
base expected loss and the credit profile of the CTL component,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of
21.1% of the current pooled balance. At last review, Moody's
cumulative base expected loss was 11.5%. Moody's current base
expected loss plus cumulative realized losses is 2.2% of the
original balance compared to 1.7% at last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000, and "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012.
In rating this transaction, Moody's also used its credit-tenant
lease (CTL) financing methodology approach (CTL approach) . Under
Moody's CTL approach, the rating of the CTL component is primarily
based on the senior unsecured debt rating (or the corporate family
rating) of the tenant, usually an investment grade rated company,
leasing the real estate collateral supporting the bonds. This
tenant's credit rating is the key factor in determining the
probability of default on the underlying lease. The lease
generally is "bondable", which means it is an absolute net lease,
yielding fixed rent paid to the trust through a lock-box,
sufficient under all circumstances to pay in full all interest and
principal of the loan. The leased property should be owned by a
bankruptcy-remote, special purpose borrower, which grants a first
lien mortgage and assignment of rents to the securitization trust.
The dark value of the collateral, which assumes the property is
vacant or "dark", is then examined to determine a recovery rate
upon a loan's default. Moody's also considers the overall
structure and legal integrity of the transaction. For deals that
include a pool of credit tenant loans, Moody's currently uses a
Gaussian copula model, incorporated in its public CDO rating model
CDOROMv2.8-8 to generate a portfolio loss distribution to assess
the ratings.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 9 as compared to 10 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated October 27, 2011.
Deal Performance
As of the September 18, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 93% to $56.7
million from $817.9 million at securitization. The Certificates
are collateralized by 13 mortgage loans ranging in size from less
than 1% to 17% of the pool, with the top ten loans representing
95% of the pool. The pool contains seven loans, representing 60%
of the pool, that are Credit Tenant Lease (CTL) loans.
Three loans, representing 13% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Two loans have been liquidated from the pool, resulting in an
aggregate realized loss of $6.0 million (47% loss severity
overall). Currently one loan, representing 16% of the pool, is in
special servicing. The Pine Tree Mall Loan ($9.1 million -- 16% of
the pool), is secured by a 261,700 square foot (SF) anchored
retail center located in Marinette, Wisconsin. The loan was
transferred to special servicing in March 2008 for maturity
default. The special servicer granted a forbearance period, which
ended in January 2009 and the borrower filed for bankruptcy in
February 2009. The loan is currently real estate owned (REO). The
mall is anchored by JC Penney (38,720 SF, lease expires
10/31/2013) and Younkers (64,168 SF, lease expires 9/8/2013), and
formerly WalMart (97,641 SF, lease expires 1/27/2018) which has
vacated the center and moved down the street to a newly
constructed supercenter. Current economic occupancy including the
WalMart space is 82%, but is expected to decrease to 40% by the
end of 2013 if the current anchors don't renew their leases. The
loan was recently declared non-recoverable. Moody's has estimated
a significant loss.
Moody's has assumed a high default probability for one poorly
performing loan representing 4% of the pool. Moody's has estimated
a $800,000 loss (37% expected loss based on a 75% probability
default) from this troubled loan.
Moody's was provided with full-year 2011 and partial year 2012
operating results for 100% and 88% of the conduit pool,
respectively. Excluding specially serviced and troubled loans and
the CTL loans, Moody's weighted average LTV is 49% compared to 39%
at last review. Moody's net cash flow reflects a weighted average
haircut of 11% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.9%.
Excluding specially serviced and troubled loans and the CTL loans,
Moody's actual and stressed DSCRs are 1.57X and 4.67X,
respectively, compared to 2.15X and 4.13X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing loans represent 22% of the pool balance.
The largest loan is the Columbia Wellness Center Loan ($7.3
million -- 12.9% of the pool), which is secured by a 61,127 SF
medical office building located in Framingham, Massachusetts. The
property is 100% leased by two tenants, Metro Wellness Center (66%
of the net rentable area (NRA); lease expiration in November 2020)
and Southboro Medical Group (34% of the NRA; leases expiration in
June 2022). Property performance has been stable. Moody's LTV and
stressed DSCR are 59% and 1.83X, respectively, compared to 59% and
1.85X at last review.
The second largest loan is the Royal Palm Apartments Loan ($3.1
million -- 5.5% of the pool), which is secured by a 288-unit
multifamily property located in Orlando, Florida. As of June 2012
the property was 93% leased compared to 96% at last review.
Performance is inline with the last review. Moody's LTV and
stressed DSCR are 38% and 2.72X, respectively, compared to 41% and
2.48X at last review.
The third largest exposure is a portfolio of two crossed-
collateralized and crossed-defaulted loans, the Vista Plaza
Shopping Center Loan ($1.6 million -- 2.9% of the pool) and the
Blockbuster & Frazee Paint Loan ($512K -- 0.9% of the pool). The
Vista Plaza Shopping Center loan is secured by 68,466 SF retail
property located in Las Vegas, Nevada. Current physical occupancy
is 23% due to Albertson's, which leases 64% of the GLA through
June 2014, vacating the center in November 2008. Supervalu, the
owner of Albertson's, sold the lease to Cardenas Market, which has
not taken physical occupancy. The Blockbuster & Frazee Paint Loan
is secured by two single tenant properties located in Las Vegas
and Henderson, Nevada. Blockbuster's property (4,500 sf, 48% GLA)
is 100% vacant due to Blockbuster vacating the property in May
2012. The Frazee Paint property (4,800 sf, 52% GLA) is 100% leased
to Frazee Paint until June 2018. Moody's is concerned about future
performance due to significant vacancy and has recognized this
loan as a troubled loan. Moody's LTV and stressed DSCR are 137%
and 0.87X, respectively, compared to 55% and 2.16X at last review.
The CTL component includes seven loans secured by 23 properties
leased to three tenants. The exposures are Brinker International,
Inc. ($21.8 million; Moody's senior unsecured rating Ba2, stable
outlook; 38% of the pool), Star Market ($7.7 million; an affiliate
of Supervalu, Inc. which has a Moody's senior unsecured rating
Caa1, negative outlook; 14% of the pool), and H.E. Butt Grocery
Stores ($4.7 million -- 8% of the pool). The bottom-dollar
weighted average rating factor (WARF) for this CTL pool is 2,594
compared to 2,187 at last review. WARF is a measure of the overall
quality of a pool of diverse credits. The bottom-dollar WARF is a
measure of the default probability within the pool.
CIFC FUNDING 2006-I: Moody's Cuts Rating on Cl. B-2L Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by CIFC Funding 2006-I B, Ltd
U.S. $224,000,000 Class A-1L Floating Rate Notes Due 2020,
Upgraded to Aaa (sf); previously on October 25, 2011 Confirmed at
Aa1 (sf) ;
U.S. $75,000,000 Class A-1LR Variable Funding Notes Due 2020
(current funded amount of $68,400,000), Upgraded to Aaa (sf);
previously on October 25, 2011 Confirmed at Aa1 (sf) ;
U.S. $22,000,000 Class A-2L Floating Rate Notes Due 2020, Upgraded
to Aa1 (sf); previously on October 25, 2011 Upgraded to A1 (sf);
U.S. $22,500,000 Class A-3L Floating Rate Notes Due 2020, Upgraded
to A2 (sf); previously on October 25, 2011 Upgraded to Baa2 (sf);
U.S. $14,500,000 Class B-1L Floating Rate Notes Due 2020, Upgraded
to Baa3 (sf); previously on October 25, 2011 Upgraded to Ba1 (sf);
U.S. $16,000,000 Class B-2L Floating Rate Notes Due 2020, Upgraded
to Ba2 (sf); previously on October 25, 2011 Upgraded to Ba3 (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 December 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, higher spread and diversity
levels compared to the levels assumed at the last rating action in
October 2011. Moody's modeled a WARF of 2878 versus 3100, spread
of 3.86% versus 2.9%, and diversity of 83 versus 58 at the last
rating action. Moody's also notes that the transaction's reported
collateral quality and overcollateralization ratio are stable
since the last rating action.
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 $396 million, no
defaulted par, a weighted average default probability of 20.19%
(implying a WARF of 2878), a weighted average recovery rate upon
default of 49.48% and a diversity score of 83. 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.
CIFC Funding 2006-IB, Ltd., issued in October 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans with significant exposure to loans of middle
market issuers.
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% (2302)
Class A1LR: 0
Class A1L: 0
Class A2L: +1
Class A3L: +3
Class B1L: +3
Class B2L: +1
Moody's Adjusted WARF + 20% (3454)
Class A1LR: 0
Class A1L: 0
Class A2L: -2
Class A3L: -2
Class B1L: -1
Class B2L: -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 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.
2) Exposure to credit estimates: The deal is exposed to a number
of securities whose default probabilities are assessed through
credit estimates. In the event that Moody's is not provided the
necessary information to update the credit estimates in a timely
fashion, the transaction may be impacted by any default
probability stresses Moody's may assume in lieu of updated credit
estimates.
CITIFINANCIAL MORTGAGE: Moody's Cuts MF-1 Tranche Rating to 'B1'
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from CitiFinancial Mortgage Securities Inc. 2003-1,
backed by Subprime loans.
Ratings Rationale
The actions are a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R) (SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (11% for all vintages
2004 and prior). The baseline rates are higher than the average
rate of new delinquencies for larger pools for the respective
vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.0% in September 2011 to 7.8% in September 2012.
Moody's expects unemployment rate to stay between 7.5% to 8.5% in
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.
Complete rating actions are as follows:
Issuer: CitiFinancial Mortgage Securities Inc. 2003-1
Cl. AF-4, Downgraded to Baa1 (sf); previously on Mar 7, 2011
Downgraded to A1 (sf)
Cl. AF-5, Downgraded to A2 (sf); previously on Mar 7, 2011
Downgraded to Aa3 (sf)
Cl. AF-PT, Downgraded to A3 (sf); previously on Mar 7, 2011
Downgraded to A1 (sf)
Cl. MF-1, Downgraded to B1 (sf); previously on Mar 7, 2011
Downgraded to Ba2 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF304330
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
CLARET TRUST 2006-1: Moody's Hikes Rating on J Certs. to 'Ba3'
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of five classes and
affirmed seven classes of Claret Trust Commercial Mortgage Pass-
Through Certificates, Series 2006-1 as follows:
Cl. A, Affirmed at Aaa (sf); previously on Jun 26, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Feb 25, 2010 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Feb 25, 2010 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Nov 10, 2011 Upgraded
to Aaa (sf)
Cl. E, Upgraded to Aaa (sf); previously on Nov 10, 2011 Upgraded
to Aa2 (sf)
Cl. F, Upgraded to Aa2 (sf); previously on Nov 10, 2011 Upgraded
to A1 (sf)
Cl. G, Upgraded to A2 (sf); previously on Nov 10, 2011 Upgraded to
Baa1 (sf)
Cl. H, Upgraded to Ba1 (sf); previously on Feb 25, 2010 Upgraded
to Ba2 (sf)
Cl. J, Upgraded to Ba3 (sf); previously on Jun 26, 2006 Definitive
Rating Assigned B1 (sf)
Cl. K, Affirmed at B2 (sf); previously on Jun 26, 2006 Definitive
Rating Assigned B2 (sf)
Cl. L, Affirmed at B3 (sf); previously on Jun 26, 2006 Definitive
Rating Assigned B3 (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale
The upgrades are due to stronger credit support resulting from
mortgage pay downs and amortization as well as overall stable pool
performance. The affirmations of the principal classes are due to
key parameters, including Moody's loan to value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings. The IO Class, Class X, is affirmed since it is
consistent with the credit performance of its referenced classes.
Moody's rating action reflects a base expected loss of 2.0% of the
current balance compared to 1.8% at last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating Canadian CMBS" published in May
2000 and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying credit assessment of the loan which corresponds to a
range of credit enhancement levels. Actual fusion credit
enhancement levels are selected based on loan level diversity,
pool leverage and other concentrations and correlations within the
pool. Negative pooling, or adding credit enhancement at the
underlying rating level, is incorporated for loans with similar
credit assessments in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point. For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6, down from 10 at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 3, 2011.
Deal Performance
As of the October 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased 92% to $31.97 million
from $379.56 million at securitization. The Certificates are
collateralized by eight mortgage loans ranging in size from less
than 4% to 23% of the pool. No loans are defeased and there are no
loans with an investment grade credit assessment.
There are presently two loans, representing 39% of the pool, on
the master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of its ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
No loans have been liquidated from the pool since securitization
and there are no loans in special servicing.
Moody's was provided with full year 2011 and 2010 operating
results for 100% of the pool. Moody's weighted average conduit LTV
is 51% compared to 55% at last review. Moody's net cash flow
reflects a weighted average haircut of 10.9% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.2%.
Moody's actual and stressed conduit DSCRs are 1.73 and 2.03X,
respectively, compared to 1.59X and 1.86X, respectively, at last
full review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The top three performing conduit loans represent 57% of the pool
balance. The largest loans are the cross-collateralized Control
Number 17 and 40 Loans ($8.1 million -- 25.4% of the pool), which
are secured by two adjacent retail centers totaling 108,091 square
feet (SF) located in Orillia, Ontario. The properties were 100%
leased as of December 2011 compared to 95% at last review. The
loans have amortized 4% since last review. Moody's LTV and
stressed DSCR are 51% and 1.85X, respectively, compared to 53% and
1.79X at last review.
The second largest loan is the Control Number 5 Loan ($7.5 million
-- 23.4% of the pool), which is secured by a 68,751 SF office and
retail building located in Calgary, Alberta. The property was 92%
leased as of December 2011 compared to 97% at last review. Despite
a decline in occupancy, financial performance improved since last
review. The loan has amortized 4% since last review. Moody's LTV
and stressed DSCR are 49% and 2.16X, respectively, compared to 61%
and 1.74X at last review.
The third largest loan is the Control Number 14 Loan ($5.5 million
-- 17.4% of the pool), which is secured by a 138,058 SF industrial
building located in Richmond, British Columbia. The property is
100% leased to Volkswagen Group Canada. The lease expires 5.25
years after loan maturity. The loan has amortized 4% since last
review. Moody's LTV and stressed DSCR are 45% and 2.06X,
respectively, compared to 46% and 1.99X at last review.
COAST INVESTMENT: Fitch Affirms Junk Ratings on Three Note Classes
------------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed three classes of
notes issued by Coast Investment Grade 2002-1, Ltd./Corp. (Coast
2002-1) as follows:
-- $53,019,440 class A notes upgraded to 'Bsf', Outlook Stable;
-- $24,000,000 class B notes affirmed at 'Csf';
-- $26,600,000 class C-1 notes affirmed at 'Csf';
-- $3,400,000 class C-2 notes affirmed 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.
The upgrade to the class A notes is due to the increase in credit
enhancement from continued deleveraging of the transaction since
the last review and improved credit quality of the underlying
collateral. The notes have received approximately $54.1 million
of principal repayment, or 50.5% of its previous outstanding
balance through principal amortization of underlying assets and
excess spread.
Since Fitch's last rating action in October 2011, approximately
18.9% of the portfolio have been upgraded a weighted average of
2.1 notches and there have been no downgrades. Currently, 73.6%
of the portfolio has a Fitch derived rating below investment grade
with 61.1% of the portfolio rated in the 'CCC' category or below,
compared to 81.7% and 67.3%, respectively, at last review.
Fitch expects the credit quality of the underlying assets in the
portfolio to improve, as several corporate collateralized debt
obligations in the portfolio are currently on Rating Watch
Positive. Furthermore, the notes are expected to continue
benefiting from excess spread on each semi-annual distribution
date. The Stable Outlook reflects the expected performance of the
underlying portfolio and the available cushion above the notes'
passing rating.
The amortization of the class A notes has also increased the
credit enhancement levels for the class B notes. However, given
the relatively concentrated portfolio of 17 assets, the risk of
adverse selection remains a concern as the portfolio continues to
amortize and the class B notes have been affirmed at 'Csf'.
Credit enhancement levels for the class C-1 and C-2 notes were
below SF PCM's 'CCC' default level, the lowest level of rating
stress projected by SF PCM. For these classes, Fitch compared the
respective credit enhancement levels of the classes to expected
losses from distressed and defaulted assets in the portfolio
(assets rated 'CCsf' or lower). This comparison indicates that
default continues to appear inevitable for the notes at or prior
to maturity.
Coast 2002-1 is a SF CDO that closed on May 30, 2002 and is
monitored by Coast Asset Management. As of the Sept. 28, 2012
trustee report, the portfolio is comprised entirely of corporate
CDOs from primarily 2001 through 2007 vintage transactions.
COMM 2005-C6: Moody's Affirms 'C' Ratings on Four Cert. Classes
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 17 classes of
COMM 2005-C6, Commercial Mortgage Pass-Through Certificates as
follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Oct 20, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Oct 20, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on Oct 20, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-5A, Affirmed at Aaa (sf); previously on Oct 20, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-5B, Affirmed at Aa2 (sf); previously on Dec 2, 2010
Downgraded to Aa2 (sf)
Cl. A-1A, Affirmed at Aa2 (sf); previously on Dec 2, 2010
Downgraded to Aa2 (sf)
Cl. A-J, Affirmed at Baa3 (sf); previously on Dec 2, 2010
Downgraded to Baa3 (sf)
Cl. B, Affirmed at B3 (sf); previously on Dec 2, 2010 Downgraded
to B3 (sf)
Cl. C, Affirmed at Caa1 (sf); previously on Oct 20, 2011 Upgraded
to Caa1 (sf)
Cl. D, Affirmed at Caa2 (sf); previously on Oct 20, 2011 Upgraded
to Caa2 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Oct 20, 2011 Upgraded
to Caa3 (sf)
Cl. F, Affirmed at Ca (sf); previously on Oct 20, 2011 Upgraded to
Ca (sf)
Cl. G, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded to
C (sf)
Cl. H, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to
C (sf)
Cl. J, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to
C (sf)
Cl. K, Affirmed at C (sf); previously on Oct 7, 2010 Downgraded to
C (sf)
Cl. X-C, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The rating of the IO Class, Class X-C, is consistent with the
credit performance of its referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of 8.6% of the
current balance. At last review, Moody's cumulative base expected
loss was 8.8%. Moody's provides a current list of base expected
losses for conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver 1.1,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 24 compared to 26 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated October 20, 2011.
Deal Performance
As of the October 10, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 23% to $1.7 billion
from $2.2 billion at securitization. The Certificates are
collateralized by 118 mortgage loans ranging in size from less
than 1% to 12.5% of the pool, with the top ten loans representing
50% of the pool. Four loans, representing 2% of the pool, have
defeased and are secured by U.S. Government securities. The pool
contains one loan with an investment grade credit assessment,
representing less than 1% of the pool.
Seventeen loans, representing 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Ten loans have been liquidated from the pool, resulting in a
realized loss of $58.5 million (51% loss severity on average).
Currently 12 loans, representing 9% of the pool, are in special
servicing. The largest specially serviced loan is the Tropicana
Center Loan ($52.4 million -- 3% of the pool), which is secured by
a 578,000 square foot (SF) retail property located in Las Vegas,
Nevada. The loan was transferred to special servicing in March
2009 due to payment default and is currently 90+ days delinquent.
A receiver is in place and a foreclosure action is in process. The
property was 56% leased as of September 2012, compared to 65% at
last review. The remaining 11 specially serviced loans are secured
by a mix of property types. The master servicer has recognized
appraisal reductions totaling $66.9 million for the specially
serviced loans. Moody's has estimated an aggregate $81 million
loss (51% expected loss on average) for the specially serviced
loans.
Moody's has assumed a high default probability for 12 poorly
performing loans representing 9% of the pool and has estimated an
aggregate $25 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 operating results for 85%
of the pool. Excluding special serviced and troubled loans,
Moody's weighted average LTV is 91% compared to 100% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 9% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.66X and 1.07X, respectively, compared to
1.50X and 1.05X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The loan with an investment grade credit assessment is the 9701
Apollo Drive Loan ($4.6 million -- 0.3% of the pool), which is
secured by a 94,000 SF office building located in Largo (Prince
George's County), Maryland. The loan is fully amortizing and has
paid down 38% since securitization. The loan matures in May 2020.
Moody's current credit assessment and stressed DSCR are Aaa and
2.21X, respectively, compared to Aaa and 2.36X at last review.
The top three performing conduit loans represent 29% of the pool.
The largest loan is the Lakewood Center Loan ($218.0 million --
12.5% of the pool), which is secured by the borrower's interest in
a 2.1 million SF regional mall located in Lakewood (Los Angeles
County), California. The mall is anchored by Macy's, J.C. Penney
and Target. The property was 94% leased as of March 2012 compared
to 91% at last review. Performance has improved due to a
significant increase in base rental revenue. The loan is interest
only throughout the entire term. Moody's LTV and stressed DSCR are
75% and 1.18X, respectively, compared to 88% and 1.05X at last
review.
The second largest loan is the Kaiser Center Loan ($147 million --
8.4% of the pool), which is secured by a 914,000 SF Class A office
building located in Oakland, California. The property was 97%
leased as of June 2012 compared to 93% at last review. The largest
tenants are BART (34% of the net rentable area (NRA); lease
expiration July 2021) and the Regents of the University of
California (13% of the NRA; lease expiration April 2016). Despite
the decline in NOI in 2011, benefit was given to the recent
leasing at the property and is reflected in the Moody's net cash
flow. The loan is interest-only throughout the entire term.
Moody's LTV and stressed DSCR are 120% and 0.84X, respectively,
compared to 121% and 0.82X at last review.
The third largest loan is the Private Mini Storage Portfolio Loan
($141 million -- 8.1% of the pool), which is secured by a
portfolio of 38 self storage facilities totaling 22,863 units
located in six states. The portfolio was 77% leased as of year-end
2011 compared to 76% at last review. The performance remains
stable on this loan. Moody's LTV and stressed DSCR are 97% and
1.03X, respectively, compared to 98% and 1.02X at last review.
COMM 2012-CCRE4: Fitch Issues Presale Report on Several Certs.
--------------------------------------------------------------
Fitch Ratings has issued a presale report on Deutsche Bank
Securities, Inc.'s COMM 2012-CCRE4 Commercial Mortgage Pass-
Through Certificates.
Fitch expects to rate the transaction and assign Outlooks as
follows:
-- $59,118,000 class A-1 'AAAsf'; Outlook Stable;
-- $148,657,000 class A-2 'AAAsf'; Outlook Stable;
-- $70,571,000 class A-SB 'AAAsf'; Outlook Stable;
-- $499,354,000 class A-3 'AAAsf'; Outlook Stable;
-- $888,800,000b class X-A 'AAAsf'; Outlook Stable;
-- $111,100,000a class A-M 'AAAsf'; Outlook Stable;
-- $65,271,000a class B 'AA-sf'; Outlook Stable;
-- $38,885,000a class C 'A-sf'; Outlook Stable;
-- $45,829,000a class D 'BBB-sf'; Outlook Stable;
-- $19,442,000a class E 'BBsf'; Outlook Stable;
-- $18,054,000a class F 'Bsf'; Outlook Stable;
a Privately placed pursuant to Rule 144A.
b Notional amount and interest only.
The expected ratings are based on information provided by the
issuer as of Oct. 19, 2012. Fitch does not expect to rate the
$222,200,345 interest-only class X-B or the $34,719,345 class G.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 48 loans secured by 152 commercial
properties having an aggregate principal balance of approximately
$1.11 billion as of the cutoff date. The loans were contributed
to the trust by German American Capital Corporation, Cantor
Commercial Real Estate Lending, L.P., and KeyBank National
Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77% of the properties by
balance, cash flow analysis of 86.8%, and asset summary reviews on
86.8% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.38 times (x), a Fitch stressed loan-to-value (LTV) of
93.7%, and a Fitch debt yield of 10.1%. Fitch's aggregate net
cash flow represents a variance of 7.7% to issuer cash flows.
The master servicer and special servicer will be Wells Fargo Bank,
National Association and Torchlight Loan Services, LLC, rated
'CMS2' and 'CSS2', respectively, by Fitch.
COMM 2012-CCRE3: Moody's Assigns 'B2' Rating to Class G Certs.
--------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to
fourteen classes of CMBS securities, issued by COMM 2012-CCRE3,
Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE3.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Definitive Rating Assigned Aaa (sf)
Cl. X-A*, Definitive Rating Assigned Aaa (sf)
Cl. A-M**, Definitive Rating Assigned Aaa (sf)
Cl. B**, Definitive Rating Assigned Aa3 (sf)
Cl. PEZ**, Definitive Rating Assigned A1 (sf)
Cl. C**, Definitive Rating Assigned A3 (sf)
Cl. X-B*, Definitive Rating Assigned Ba3 (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)
* Reflects Interest Only Classes
** Reflects Exchangeable Certificates
RATINGS RATIONALE
The Certificates are collateralized by 50 fixed rate loans secured
by 74 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 1.68X is higher than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.06X is higher than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 96.4% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio, (inclusive of subordinated debt) of 98.1% 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 20.0. which is slightly below with other
multi-borrower pools rated by Moody's since 2009. The score is in-
line with previously rated conduit and fusion transactions but
higher than previously rated large loan transactions.
With respect to property level diversity, the pool's property
level Herfindahl score is 22.3. Eight loans (23% of the pool
balance) are secured by multiple properties. Loans secured by
multiple properties benefit from lower cash flow volatility given
that excess cash flow from one property can be used to augment
another's cash flow to meet debt service requirements. These loans
also benefit from the pooling of equity from each underlying
property.
Moody's grades properties on a scale of 1 to 5 (best to worst) and
considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The weighted average
grade for the pool is 2.12, which is better than the indices
calculated in most multi-borrower transactions since 2009.
Four of the top ten loan exposures in the pool are represented by
regional malls. The concentration of regional malls (29.7% of the
pool balance) is high compared to other multi-borrower deals rated
by Moody's. Three of the four top 10 malls in the top 10 loan
exposures (Crossgates, Solano, Midland Park) are located in
smaller markets. Moody's Asset Quality Grade for the five malls
ranged from a low of 1.50 (8.25% capitalization rate, Crossgates)
to 3.00 (9.75% capitalization rate, Emerald Square). For
additional information on Moody's approach to analyzing malls
refer special report: "US CMBS: Growing Gap Between Strong and
Weak Malls."
In terms of waterfall structure, the transaction contains a unique
group of exchangeable certificates. Classes A-M (Aaa (sf)), B (Aa3
(sf)) and C (A3 (sf)) may be exchanged for Class PEZ (A1 (sf))
certificates and Class PEZ may be exchanged for the Classes A-M, B
and C. The PEZ certificates will be entitled to receive the sum of
interest distributable on the Classes AM, B and C certificates
that are exchanged for such PEZ certificates. The initial
certificate balance of the Class PEZ certificates is equal to the
aggregate of the initial certificate balances of the Class A-M, B
and C and represent the maximum certificate balance of the PEZ
certificates that may be issued in an exchange.
Moody's considers the probability of certificate default as well
as the estimated severity of loss when assigning a rating. As a
thick vertical tranche, Class PEZ has the default characteristics
of the lowest rated component certificate (A3), but a very high
estimated recovery rate if a default occurs given the
certificate's thickness. The higher estimated recovery rate
resulted in a deifinitive A1 (sf) rating, a rating higher than the
lowest definitively rated component certificate.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator version 1.0 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5.0%, 14.5%, or 23.1%, the model-indicated rating for the
currently rated junior Aaa (sf) class would be Aa1(sf), Aa2 (sf),
A1 (sf), 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.
COMM 2012-CCRE4: S&P Rates $18-Mil. Class F Certificates 'B+'
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to COMM 2012-CCRE4 Mortgage Trust's $1.111 billion
commercial mortgage pass-through certificates series 2012-CCRE4.
The note issuance is a commercial mortgage-backed securities
transaction backed by 48 commercial mortgage loans with an
aggregate principal balance of $1.111 billion, secured by the fee
and leasehold interests in 152 properties across 34 states.
The preliminary ratings are based on information as of Oct. 25,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect the credit support provided by
the transaction structure, our view of the underlying collateral's
economics, the trustee-provided liquidity, the collateral pool's
relative diversity, and our overall qualitative assessment of the
transaction," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
PRELIMINARY RATINGS ASSIGNED
COMM 2012-CCRE4 Mortgage Trust
Class Rating Amount
(mil. $)
A-1 AAA (sf) 59,118,000
A-2 AAA (sf) 148,657,000
A-SB AAA (sf) 70,571,000
A-3 AAA (sf) 499,354,000
X-A AAA (sf) 888,800,000(ii)
A-M AAA (sf) 111,100,000
X-B(i) NR 222,200,345(ii)
B(i) AA- (sf) 65,271,000
C(i) A- (sf) 38,885,000
D(i) BBB- (sf) 45,829,000
E(i) BB (sf) 19,442,000
F(i) B+ (sf) 18,054,000
G(i) NR 34,719,345
(i) Non-offered certificates.
(ii) Notional balance.
NR - Not rated.
COUNTRYWIDE: Moody's Cuts $200MM of 2003 to 2004 Prime Jumbo RMBS
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 18
tranches from four RMBS transactions, backed by Prime Loans,
issued by Countrywide.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2003-29
Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 21, 2011
Downgraded to Baa1 (sf)
Cl. PO, Downgraded to Baa3 (sf); previously on Apr 21, 2011
Downgraded to Baa1 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-HYB3
Cl. 6-A-1, Downgraded to Ba1 (sf); previously on Apr 21, 2011
Downgraded to Baa2 (sf)
Cl. 7-A-1, Downgraded to Ba1 (sf); previously on Apr 21, 2011
Downgraded to Baa2 (sf)
Cl. 8-A-1, Downgraded to Ba1 (sf); previously on Apr 21, 2011
Downgraded to Baa2 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2004-3
Cl. A-3, Downgraded to Ba2 (sf); previously on Feb 22, 2012
Downgraded to Baa3 (sf)
Cl. A-4, Downgraded to Ba2 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Cl. A-19, Downgraded to Ba2 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Cl. A-23, Downgraded to Ba2 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Cl. A-24, Downgraded to Ba2 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Cl. A-25, Downgraded to Ba3 (sf); previously on Apr 19, 2011
Downgraded to Ba1 (sf)
Cl. A-26, Downgraded to Ba2 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Cl. PO, Downgraded to Ba2 (sf); previously on Apr 19, 2011
Downgraded to Baa3 (sf)
Issuer: CWMBS Mortgage Pass-Through Trust 2004-HYB4
Cl. 1-A, Downgraded to B1 (sf); previously on Apr 28, 2011
Downgraded to Ba2 (sf)
Cl. 2-A-1, Downgraded to B2 (sf); previously on Apr 28, 2011
Downgraded to Ba3 (sf)
Cl. 3-A, Downgraded to B1 (sf); previously on Apr 28, 2011
Downgraded to Ba2 (sf)
Cl. 2-A-2, Downgraded to Caa2 (sf); previously on Apr 28, 2011
Downgraded to B1 (sf)
Cl. M, Downgraded to C (sf); previously on Apr 28, 2011 Downgraded
to Ca (sf)
Ratings Rationale
The actions are a result of the recent performance of Prime jumbo
pools originated before 2005 and reflect Moody's updated loss
expectations on the pools.
The rating action consists of a number of downgrades.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 "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
interest-only securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
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
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
originated before 2005, Moody's first applies a baseline
delinquency rate of 3.0%. 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 pool with 75 loans, the
adjusted rate of new delinquency would be 3.03%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.75 to 2.5 for current delinquencies ranging from less than
2.5% to greater than 10% respectively. Delinquencies for
subsequent years and ultimate expected losses are projected using
the approach described in the methodology publication.
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 September 2011 to 7.8% in September 2012. Moody's
forecasts a further drop to 7.5% by 2014. 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_SF302780
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_SF243269
CTX CDO I: S&P Lowers Rating on Senior Facility Class to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the super
senior facility class to 'D (sf)' from 'CCC- (sf)' from CTX CDO I
Ltd., a commercial real estate collateralized debt obligation (CRE
CDO) transaction.
"The rating action reflects our analysis of the transaction
following an interest shortfall to the nondeferrable class. The
super senior facility class experienced an interest shortfall
according to the Sept. 26, 2012, trustee remittance report, which
resulted in unpaid defaulted interest of $80,473," S&P said.
"The interest shortfall resulted from the failure of the
underlying collateral to produce sufficient interest proceeds to
pay the full interest amount due to the Super Senior class. We
previously lowered the ratings on the other classes in the
transaction to 'D (sf)' on July 24, 2012," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
DRYDEN XXIV: S&P Gives 'B' Rating on $10MM Cl. F Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings on Dryden
XXIV Senior Loan Fund/Dryden XXIV Senior Loan Fund LLC $476.5
million floating-rate notes.
The note issuance is a CLO 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 (CDO) criteria;
The transaction's legal structure, which is expected to be
bankruptcy remote;
The diversified collateral portfolio, which comprises
primarily broadly syndicated, speculative-grade, senior
secured term loans;
The asset manager's experienced management team;
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest rate scenarios,
including LIBOR ranging from 0.34% to 13.84%," S&P said; and
The transaction's overcollateralization and interest coverage
tests, a failure of either 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/1040.pdf
RATINGS ASSIGNED
Dryden XXIV Senior Loan Fund/ Dryden XXIV Senior Loan Fund LLC
Class Rating Interest Amount
rate (mil. $)
X AAA (sf) 3-mo. LIBOR plus 1.00% $3.0
A AAA (sf) 3-mo. LIBOR plus 1.43% $316.5
B AA (sf) 3-mo. LIBOR plus 2.25% $58.5
C A (sf) 3-mo. LIBOR plus 3.10% $43.5
D (deferrable) BBB (sf) 3-mo. LIBOR plus 4.75% $23.5
E (deferrable) BB (sf) 3-mo. LIBOR plus 5.90% $21.5
F (deferrable) B (sf) 3-mo. LIBOR plus 6.50% $10.0
Subordinated NR N/A $46.0
NR - Not rated.
N/A - Not applicable.
FAIRWAY OUTDOOR: Fitch Issues Presale Report on Three Notes
-----------------------------------------------------------
Fitch Ratings has issued a presale report on Fairway Outdoor
Funding, LLC Secured Billboard Revenue Notes, Series 2012-1.
Fitch expects to rate the transaction and assign Outlooks as
follows:
-- $10,000,000 class A-1* 'A-sf'; Outlook Stable;
-- $175,000,000 class A-2 'A-sf'; Outlook Stable;
-- $72,000,000 class B 'BB-sf'; Outlook Stable.
* Variable Funding Note
The transaction represents a securitization in the form of notes
backed by approximately 10,095 outdoor advertising sites with
19,956 billboard faces.
The transaction is expected to close Nov. 2, 2012. The analysis
of this transaction is detailed in Fitch's presale report 'Fairway
Outdoor Funding, LLC Secured Billboard Revenue Notes, Series 2012-
1' published today Oct. 17, 2012.
The Servicer will be Midland Loan Services, Inc., a Division of
PNC Bank, N.A., rated 'CMS1'/'CSS1' by Fitch.
FALCON AUTO 2003-1: Fitch Affirms 'Csf' Rating on 6 Debt Classes
----------------------------------------------------------------
Fitch Ratings has taken the following actions on three Falcon
Franchise Loan Transactions as listed below:
Falcon Franchise Loan Trust Certificates, Series 2000-1
-- Class A-2 affirmed at 'AAsf', Outlook Stable;
-- Class B notes affirmed at 'Asf', Outlook Negative;
-- Class C notes downgraded to 'BBsf' from 'BBBsf', Outlook
Negative;
-- Class D notes downgraded to 'Bsf' from 'BBsf', Outlook
Negative;
-- Class E notes affirmed at 'CCCsf' RE 100%.
Falcon Auto Dealership LLC, Series 2001-1
-- Class B notes affirmed at 'Asf' and Outlook is revised to
Stable from Negative;
-- Class C notes affirmed at 'Bsf', Outlook Negative;
-- Class D notes downgraded to 'CCsf' RE 30% from 'CCCsf';
-- Class E notes affirmed at 'Dsf' RE0%;
-- Class F notes affirmed at 'Dsf' RE0%.
Falcon Auto Dealership LLC, Series 2003-1
-- Class A-2 downgraded to 'Csf' from 'CCsf' RE 40%;
-- Class B affirmed at 'Csf' RE 0%;
-- Class C affirmed at 'Csf' RE 0%;
-- Class D affirmed at 'Csf' RE 0%;
-- Class E affirmed at 'Csf' RE 0%;
-- Class F affirmed at 'Csf' RE 0%.
The affirmation of class A-2 and B notes in Falcon 2000-1 reflect
each class' ability to pass stress case scenarios consistent with
the current ratings. The downgrades of both the class C and D
reflect the growing obligor concentration level. The largest
obligor, which is already over 40% of the pool, far exceeds the
remaining term of most of the pool and as a result could
eventually represent the vast majority of the pool. Class E was
affirmed at 'CCCsf' as default remains possible. The Negative
Outlook on classes B, C, and D, reflect the sensitivity of the
ratings to the largest obligor concentrations.
The affirmations of the class B notes in Falcon 2001-1 reflect the
class' ability to pass stress case scenarios consistent with an
'Asf' rating. As three loans in the pool are supported by letters
of credit provided by an 'A' rated entity, full principal and
timely interest is expected on class B. Class C was affirmed at
'Bsf' despite growing interest shortfalls due to Fitch's
expectation that interest shortfalls will be repaid along with
principal in a base case scenario. The Negative Outlook reflects
the growing obligor concentration and risk of shortfalls accruing
beyond a level that can be cured. Class D was downgraded as a
default is now probable due to the growing interest shortfall
preventing recovery of the class beyond the estimate of 30%.
Class E and F notes were both affirmed at 'Dsf' with a zero
recovery estimate as no principal is anticipated to be paid to
those classes.
The class A-2 notes in Falcon 2003-1 were downgraded to reflect
that default is now considered inevitable as the workout of
currently defaulted loans is expected to bring the class to an
undercollateralized position. All subordinate classes were
affirmed at 'Csf' with zero recovery estimates as all classes are
underwater with significant interest shortfalls preventing any
principal payments.
Fitch will continue to monitor these transactions and may take
additional rating action in the event of changes in performance
and credit enhancement measures.
FLATIRON CLO 2007-1: S&P Raises Rating on Class E Notes to 'BB+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C, D, and E notes from Flatiron CLO 2007-1 Ltd. At the same time,
we affirmed our ratings on the class A-1A, A-1B, and B notes.
Flatiron CLO 2007-1 Ltd. is a collateralized loan obligation (CLO)
transaction managed by New York Life Investment Management LLC.
The transaction is still in its reinvestment period, which is
scheduled to end in October 2014.
"The upgrades of the class C, D, and E notes primarily reflect
improved credit quality among the assets in the transaction's
underlying portfolio since our last rating actions in December
2010. At the time of our last rating action, based on the October
2010 trustee report, the transaction was holding approximately $14
million in defaulted obligations. As of September 2012, the
transaction held no defaulted assets in the underlying portfolio,"
S&P said.
"The rating action on class E notes was driven by the application
of the largest obligor default test, a supplemental stress test we
introduced as part of our 2009 corporate CDO criteria update," S&P
said.
The affirmations on the ratings on the class A-1A, A-1B, and B
notes reflect the sufficient credit support at the current rating
levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
action as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Flatiron CLO 2007-1 Ltd.
Class Rating
To From
A-1A AAA (sf) AAA (sf)
A-1B AA+ (sf) AA+ (sf)
B AA (sf) AA (sf)
C A+ (sf) A (sf)
D BBB+ (sf) BBB (sf)
E BB+ (sf) B+ (sf)
FLATIRON CLO 2012-1: S&P Rates Class D Deferrable Notes 'BB'
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Flatiron CLO 2012-1 Ltd./Flatiron CLO 2012-1 LLC's $371.0 million
floating-rate notes.
The note issuance is a collateralized debt 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 0.34%-12.81%.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
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 and fees, deferred management fees, collateral
manager incentive fees, and subordinated note payments to
principal proceeds for the purchase of additional collateral
assets during the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
Flatiron CLO 2012-1 Ltd./Flatiron CLO 2012-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 267.50
A-2 AA (sf) 28.00
B (deferrable) A (sf) 36.00
C (deferrable) BBB (sf) 18.00
D (deferrable) BB (sf) 21.50
Subordinated notes NR 38.30
NR - Not rated.
FMAX LOAN: Fitch Affirms 'Dsf' Ratings on Four Note Classes
-----------------------------------------------------------
Fitch Ratings has affirmed FMAC Loan Receivables Trust 1998-C as
follows:
-- Class B at 'CCCsf' RE 100%;
-- Class C at 'Dsf' RE 10%;
-- Class D at 'Dsf' RE 0%;
-- Class E at 'Dsf' RE 0%;
-- Class F at 'Dsf' RE 0%.
The affirmation of the class B notes at 'CCCsf' RE 100% reflects
Fitch's opinion that, despite an expectation of full principal
recovery, default remains a possibility given the large
concentration of defaulted obligors and the financial condition of
those who are currently performing. Class C was affirmed at 'Dsf'
as the class has been partially written down. A recovery estimate
of 10% was assigned to class C notes as Fitch expects 10% of the
current balance to be paid. The class D, E, and F notes have been
written down and are not expected to receive any further payments,
consistent with a rating of 'Dsf' RE 0%.
Fitch will continue to monitor the transaction and may take
additional rating actions in the event of changes in performance
and credit enhancement measures.
FREMF 2011-K704: Moody's Affirms 'Ba3' Rating on Class X2 Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of five classes of
FREMF 2011-K704 Mortgage Trust, Multifamily Mortgage Pass-Through
Certificates, Series 2011-K704 as follows:
Cl. A-1, Affirmed at Aaa (sf); previously on Nov 30, 2011
Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on Nov 30, 2011
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Baa1 (sf); previously on Nov 30, 2011
Definitive Rating Assigned Baa1 (sf)
Cl. X1, Affirmed at Aaa (sf); previously on Nov 30, 2011
Definitive Rating Assigned Aaa (sf)
Cl. X2, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement level for the
affirmed classes is sufficient to maintain its current rating. The
ratings of the IO classes, Class XI and X2, are consistent with
their referenced classes and thus affirmed. This is the first full
review of this transaction since securitization.
Moody's rating action reflects a cumulative base expected loss of
3.0% of the current balance. Moody's provides a current list of
base expected losses for conduit and fusion CMBS transactions on
moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit estimates is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit estimate level, is
incorporated for loans with similar credit estimates in the same
transaction.
The model also incorporates the CMBS IO calculator ver1.1 that
uses the following inputs to calculate the proposed IO rating
based on the published methodology: original and current bond
ratings and credit assessments; original and current bond balances
grossed up for losses for all bonds the IO(s) reference(s) within
the transaction; and IO type corresponding to an IO type as
defined in the published methodology. The calculator then returns
a calculated IO rating based on both a target and mid-point . For
example, a target rating basis for a Baa3 (sf) rating is a 610
rating factor. The midpoint rating basis for a Baa3 (sf) rating is
775 (i.e. the simple average of a Baa3 (sf) rating factor of 610
and a Ba1 (sf) rating factor of 940). If the calculated IO rating
factor is 700, the CMBS IO calculator ver1.0 would provide both a
Baa3 (sf) and Ba1 (sf) IO indication for consideration by the
rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 47, which is unchanged since securitization.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's initial ratings are
summarized in a press release dated November 30, 2011.
Deal Performance
As of the September 25, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 0.7% to $1.194
billion from $1.202 billion at securitization. The Certificates
are collateralized by 65 mortgage loans ranging in size from less
than 1% to 6% of the pool, with the top ten loans representing 32%
of the pool.
The pool has not experienced any losses to date. Currently there
is one loan in special servicing, representing 2.4% of the pool
balance. The loan was transferred to special servicing in February
2012 due to an imminent default related to a SEC investigation of
the borrower and collateral receivership of the property. A
liquidation plan was filed in March and the receiver has hired a
workout firm to sell all multifamily properties and personal
property held by the borrower in a bulk sale. Moody's does not
expect any losses to the trust from this loan.
Moody's was provided with full year 2011 operating results for
100% of the pool. Moody's weighted average LTV is 106% compared to
108% at securitization. Moody's net cash flow reflects a weighted
average haircut of 3% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 8.7%.
Moody's actual and stressed DSCRs are 1.31X and 0.89X,
respectively, compared to 1.30X and 0.87X at securitization.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three loans represent 13% of the pool. The largest loan is
the Rosslyn Heights Apartments Loan ($73.5 million -- 6.2% of the
pool), which is secured by a 366 unit multifamily property
consisting of four, six-story apartment buildings and one
clubhouse located in Arlington, Virginia. As of December 2011 the
property was 98% leased, the same as at securitization. The
property is in close proximity to the central business district
(CBD) of Washington, D.C. Performance has remained stable. Moody's
LTV and stressed DSCR are 101% and 0.86X, respectively, the same
as at securitization.
The second largest loan is the Farms at Cool Springs Loan ($41.5
million -- 3.5% of the pool), which is secured by a 474 unit
multifamily located 18 miles south of Nashville in Franklin,
Tennessee. As of December 2011 the property was 94% leased
compared to 93% at securitization. The improvements consist of 21
three and four-story apartment buildings, a clubhouse/leasing
office and five parking structures (711 spaces). The property was
originally constructed in 1998 with no significant renovation
occurring since construction. Performance has remained stable.
Moody's LTV and stressed DSCR are 105% and 0.90X, respectively,
the same as at securitization.
The third largest conduit loan is the Highlands at West Village
Loan ($41.4 million -- 3.5% of the pool), which is secured by a
292 unit multifamily property located in Smyrna, Georgia, about
seven miles northwest of Atlanta's CBD. The improvements consist
of nine three- and four-story apartment buildings and three
parking decks As of December 2011 the property was 89% leased
compared to 99% at securitization. Despite lower occupancy,
performance has remained stable. Moody's LTV and stressed DSCR are
106% and 0.87X, respectively, the same as at securitization.
G-FORCE 2006-1: Fitch Affirms Junk Ratings on Four Note Classes
---------------------------------------------------------------
Fitch Ratings has downgraded four and affirmed eight classes
issued by G-Force CDO 2006-1 Ltd./Corp (G-Force 2006-1).
Since Fitch's last rating action in November 2011, approximately
30.9% of the collateral has been downgraded and 2% has been
upgraded. Currently, 60.7% of the portfolio has a Fitch derived
rating below investment grade and 22.4% has a rating in the 'CCC'
category and below, compared to 54.6% and 17.6%, respectively, at
the last rating action. Over this period, the transaction has
experienced $7.6 million in principal losses and the class A-2 and
SSFL notes have received $22.4 million in pay downs.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Based on this analysis, the credit characteristics of
classes A-2 and SSFL are generally consistent with the ratings
assigned below.
For the class A-3, JRFL, and F through G notes, Fitch analyzed the
class' sensitivity to the default of the distressed assets ('CCC'
and below). Given the high probability of default of these assets
and expected limited recovery prospects upon default and the risk
of shortfalls in the payment of timely interest to the classes,
Fitch has downgraded the class A-3 and JRFL notes to 'CCsf',
indicating that default is probable. Similarly, Fitch has
affirmed the class F through G notes at 'Csf', indicating that
default is inevitable.
On the Dec. 4, 2009 payment date, the transaction entered into an
event of default (EOD) due to the failure to pay the full and
timely interest on the class E notes. Subsequently, the class B
through D notes have defaulted on their timely interest payments.
Therefore, Fitch has downgraded the class B and C notes and
affirmed the class D and E notes at 'Dsf'.
The Negative Outlook on the class A-2 and SSFL notes reflects the
potential of adverse selection as the portfolio continues to
amortize.
G-Force 2006-1 is a commercial real estate collateralized debt
obligation (CRE CDO) that closed on Sept. 13, 2006. The
transaction is completely collateralized by commercial mortgage
backed securities (CMBS).
Fitch has taken the following actions:
-- $69,209,499 class A-2 affirmed at 'AAsf'; Outlook Negative;
-- $135,273,000 class A-3 downgraded to 'CCsf' from 'CCCsf';
-- $139,723,535 class SSFL affirmed at 'BBBsf'; Outlook
Negative;
-- $67,000,000 class JRFL downgraded to 'CCsf' from 'CCCsf';
-- $42,921,000 class B downgraded to 'Dsf' from 'Csf';
-- $18,709,000 class C downgraded to 'Dsf' from 'Csf';
-- $31,916,000 class D affirmed at 'Dsf'
-- $28,614,000 class E affirmed at 'Dsf';
-- $13,920,681 class F affirmed at 'Csf';
-- $25,401,451 class G affirmed at 'Csf';
-- $19,160,121 class H affirmed at 'Csf';
-- $26,450,533 class J affirmed at 'Csf'.
G-STAR 2002-2: Fitch Affirms 'CCC' Rating on $11.6MM Class C Notes
------------------------------------------------------------------
Fitch Ratings has upgraded two and affirmed three classes of G-
Star 2002-2 Ltd./Corp (G-Star 2002-2) as a result of paydowns to
the senior notes offsetting the deterioration of the underlying
collateral.
Since Fitch's last rating action in November 2011, approximately
15.24% of the underlying collateral has been downgraded.
Currently, 48.4% of the portfolio has a Fitch derived rating below
investment grade and 36.5% has a rating in the 'CCC' category and
below, compared to 48.9% and 13.5%, respectively, at the last
rating action. Over this period, the class A-2 notes have
received $38.5 million for a total of $101.9 million in pay downs
since issuance.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. The 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'. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities.
The breakeven rates in Fitch's cash flow model for the class A
notes are generally consistent with the ratings assigned below.
The cash flow model passing rates for the class B and C notes are
higher than the class' current rating; however, this is offset by
the concentration risk on the underlying portfolio with only 16
assets from 13 obligors remaining. Additionally, the class C
notes are currently receiving interest paid in kind (PIK) whereby
the principal amount of the notes is written up by the amount of
interest due.
The upgrade and Stable Outlook on the class A notes reflects the
credit quality of the underlying collateral and the view that the
transaction will continue to delever. The Stable Outlook on the
class B notes reflects the cushion in the passing rating while
taking into account the concentration risk and risk of further
interest shortfalls.
G-Star 2002-2 is a cash flow commercial real estate collateralized
debt obligation (CRE CDO) which closed on Nov. 20, 2002. The
collateral is composed of 73% commercial mortgage backed
securities (CMBS), 14.8% SF CDOs, 9.7% real estate investment
trusts (REITs), and 2.5% residential mortgage backed securities
(RMBS).
Fitch has taken the following actions as indicated:
-- $151,753 class A-2 notes upgraded to 'AAAsf' from 'AAsf';
Outlook to Stable from Positive;
-- $8,970,276 class A-3 notes upgraded to 'AAAsf' from 'Asf';
Outlook to Stable from Positive;
-- $14,000,000 class B-FL notes affirmed at 'Bsf'; Outlook
Stable;
-- $15,000,000 class B-FX notes affirmed at 'Bsf'; Outlook
Stable;
-- $11,646,220 class C notes affirmed at 'CCCsf'.
GALAXY XIV: S&P Assigns Prelim. 'BB' Rating on Class E Def. Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Galaxy XIV CLO Ltd./Galaxy XIV CLO LLC's $462.0 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 Oct. 25,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting the 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.
"Our projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which we
assessed using our cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging from
0.3523% to 13.8391%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's 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, incentive management fees, and subordinated note
payments into principal proceeds for the purchase of
additional collateral assets during the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
PRELIMINARY RATINGS ASSIGNED
Galaxy XIV CLO Ltd./Galaxy XIV CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 318.75
B AA (sf) 53.25
C-1 (deferrable) A (sf) 19.50
C-2 (deferrable) A (sf) 21.00
D (deferrable) BBB (sf) 27.50
E (deferrable) BB (sf) 22.00
Subordinated notes NR 58.00
NR - Not rated.
GE COMMERCIAL 2004-C1: Moody's Keeps C Ratings on 2 Cert. Classes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 16 classes of GE
Commercial Mortgage Corporation, Commercial Mortgage Pass-Through
Certificates, Series 2004-C1 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Dec 10, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Dec 10, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 6, 2007 Upgraded to
Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Sep 25, 2008 Upgraded
to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Nov 3, 2011 Upgraded to
Aaa (sf)
Cl. E, Affirmed at Aa2 (sf); previously on Nov 3, 2011 Upgraded to
Aa2 (sf)
Cl. F, Affirmed at A3 (sf); previously on Nov 3, 2011 Upgraded to
A3 (sf)
Cl. G, Affirmed at Baa1 (sf); previously on Nov 3, 2011 Upgraded
to Baa1 (sf)
Cl. H, Affirmed at Baa3 (sf); previously on Dec 10, 2004
Definitive Rating Assigned Baa3 (sf)
Cl. J, Affirmed at Ba2 (sf); previously on Nov 18, 2010 Downgraded
to Ba2 (sf)
Cl. K, Affirmed at B2 (sf); previously on Nov 18, 2010 Downgraded
to B2 (sf)
Cl. L, Affirmed at Caa2 (sf); previously on Nov 18, 2010
Downgraded to Caa2 (sf)
Cl. M, Affirmed at Ca (sf); previously on Nov 18, 2010 Downgraded
to Ca (sf)
Cl. N, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded
to C (sf)
Cl. O, Affirmed at C (sf); previously on Nov 18, 2010 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The rating of the IO Class, X-1, is consistent with the expected
credit performance of its referenced classes and is thus affirmed.
Moody's rating action reflects a base expected loss of 2.0% of the
current balance compared to 2.1% at last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessment in
the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 35 compared to 37 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output. The rating
action is a result of Moody's on-going surveillance of commercial
mortgage backed securities (CMBS) transactions. Moody's monitors
transactions on a monthly basis through a review utilizing MOST(R)
(Moody's Surveillance Trends) Reports and a proprietary program
that highlights significant credit changes that have occurred in
the last month as well as cumulative changes since the last full
transaction review. On a periodic basis, Moody's also performs a
full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated November 2, 2011.
Deal Performance
As of the October 10, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 46% to $690.3
billion from $1.85 billion at securitization. The Certificates are
collateralized by 99 mortgage loans ranging in size from less than
1% to 6% of the pool, with the top ten loans representing 35% of
the pool. There is one loan with an investment-grade credit
assessment, representing approximately 6% of the pool. Including
partial defeasances, there are 18 loans, representing
approximately 21% of the pool, that are securitized by U.S.
Government securities.
Twelve loans are on the master servicer's watchlist, representing
14% of the pool. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of its ongoing
monitoring of a transaction, Moody's reviews the watchlist to
assess which loans have material issues that could impact
performance.
Ten loans have been liquidated since securitization, generating a
loss of $19.7 million (26% average loss severity). Currently,
there is one loan in special servicing, representing less than 1%
of the pool balance. Nassau Bay Loan ($3.2 million -- 0.5% of the
pool), was recently transferred to special servicing for payment
default. The loan is 60+ days delinquent. Constructed in 1968, the
collateral is a 126-unit multi-family property located between
Houston and Galveston in Nassau Bay, Texas. Moody's analysis
reflects a modest loss for this loan.
Moody's has assumed a high default probability for four poorly
performing loans representing 2.4% of the pool and has estimated a
$3.36 million loss (18% expected loss based on a 60% probability
default) from these troubled loan.
Excluding defeased loans, Moody's was provided with full year 2011
and partial year 2012 operating results for 100% and 71% of the
pool. Excluding the specially serviced, troubled and defeased
loans, Moody's weighted average conduit LTV is 80% compared to 83%
at Moody's prior review. Moody's net cash flow (NCF) reflects a
weighted average haircut of 12% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.2%.
Excluding the specially serviced, troubled and defeased loans,
Moody's actual and stressed conduit DSCRs are 1.50X and 1.39X,
respectively, compared to 1.48X and 1.32X at last review. Moody's
actual DSCR is based on Moody's net cash flow and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The loan with an investment-grade credit assessment is the AFR
Portfolio Loan, which is partially defeased. The non-defeased
pooled balance is $39.9 million, representing 5.8% of the pool.
The loan represents a 22% pari-passu interest in a $234.4 million
first mortgage loan. The loan is also encumbered by a $53.3
million B-note that is held outside the trust. The collateral
consists of 114 office, operating centers and retail bank branches
located across various states. Since securitization, six
properties have been released and 33 properties have defeased.
Approximately 70% of the portfolio is subject to a 20-year, triple
net master lease expiring in 2023 with Bank of America. As of June
2012, the portfolio was 88% leased compared to 89% at last review.
Excluding the defeased portion, the loan has amortized 5% since
last review and matures in December 2013. Moody's credit
assessment and stressed DSCR are A1 and 2.0X, respectively,
compared to A1 and 1.91X at last review.
The top three performing conduit loans represent approximately 15%
of the pool balance. The largest loan is the Arapahoe Crossings
Shopping Center Loan ($42.6 million -- 6.2% of the pool), which is
secured by a 466,000 square foot retail power center in Aurora,
Colorado. The largest tenants are Kohl's (19% of the net rentable
area (NRA); lease expiration in January 2040), AMC Theatres (16%
of the NRA; lease expiration in January 2018) and Kroger's
Supermarket (15% of the NRA; lease expiration in January 2019). At
last review, the property was 92% leased, but subsequently
declined to 78% by year end 2011 after two major tenants vacated
the center upon their lease expirations. Moody's cash flow at last
reivew accounted for the anticipated occupancy decline. Since
then, leasing has rebounded to 94% as of October 2012. The
increase is primarily attributed to new leases such as Gorman's
Department, which signed a 10-year lease for 55,200 square feet
starting in October 2012. After excluding Spirit Halloween's three
month tenancy of 28,000 square feet, the physical occupancy is
88%. Moody's anticipates that the property will stabilize at 90%
occupancy, increasing revenues above what was achieved in 2011.
The loan has amoritized 2% since last review and matures in
November 2014. Moody's LTV and stressed DSCR are 94% and 1.04X,
respectively, compared to 98% and 0.99X at last review.
The second largest loan is the Elmwood Shopping Center Loan ($31.9
million -- 4.6% of the pool), which is secured by a 454,000 square
foot power center located in Harahan, Louisiana, approximately 10
miles west of New Orleans. The largest tenants are Elmwood Fitness
(18% of the NRA; extended lease through December 2017), Marshalls
(8% of the NRA; extended lease through in October 2014;) and
OfficeMax (7% of the NRA; extended lease through December 2017).
As of June 2012, the property was 98% leased compared to 95% at
last review. Moody's LTV and stressed DSCR are 75% and 1.37X,
respectively, compared to 79% and 1.31X at last review.
The third largest loan is the Devonshire Reseda Shopping Center
Loan ($27.1 million -- 3.9% of the pool), which is secured by an
183,000 square foot single-story shopping center located in
Northridge, California. The property's largest tenant is LA
Fitness, which leases 25% of the NRA through to February 2022. As
of September 2012, the property was 100% leased. However,
Albertson's Supermarket, which is the second largest tenant and
leases 19% of the NRA, recently announced the closure of this
location and 18 others in Southern California. The borrower has
advised that the tenant will honor its obligations through March
2014 when the lease expires and that there are no co-tenancy
issues related to the closure. However, the center may encounter
challenges in releasing the dark space to another grocer and in
maintaining the smaller in-line tenants. There are seven
supermarkets as well as a Costco, Wal-Mart and a Target in the
immediate trade area. According to the most recent rent roll, 9%
of the NRA is scheduled to expire in 2013, followed by 24% in
2014. The loan matures in December 2013. Moody's analysis
incorporates a significant discount to current NOI due to concerns
about the releasing of the Albertson's space as well as other near
term lease expirations. Moody's LTV and stressed DSCR are 88% and
1.11X, respectively, compared to 70% and 1.4X at last review.
GOLUB CAPITAL 14: S&P Rates $27-Mil. Class E Notes 'BB'
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Golub Capital Partners CLO 14 Ltd./Golub Capital
Partners CLO 14 LLC's $446.5 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 Oct. 22,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated notes
through the subordination of cash flows that are payable to
the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
-- The asset manager's experienced management team.
-- The timely interest and ultimate principal payments on the
preliminary rated notes, which S&P assessed using its cash
flow analysis and assumptions commensurate with the assigned
preliminary ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-12.26%.
-- 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 subordinated note
payments into principal proceeds for the purchase of
collateral assets.
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/1050.pdf
PRELIMINARY RATINGS ASSIGNED
Golub Capital Partners CLO 14 Ltd./
Golub Capital Partners CLO 14 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 308.000
B (deferrable) AA (sf) 45.000
C (deferrable) A (sf) 40.000
D (deferrable) BBB (sf) 26.500
E (deferrable) BB (sf) 27.000
Subordinated notes NR 68.408
NR - Not rated.
GSR MORTGAGE: Moody's Confirms 'Ba1' Rating on Cl. 8A-9 Tranche
---------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of three
tranches issued by GSR Mortgage Loan Trust 2005-5F. The collateral
backing this deal primarily consists of first-lien, fixed-rate
prime Jumbo residential mortgages.
Complete rating actions are as follows:
Issuer: GSR Mortgage Loan Trust 2005-5F
Cl. 8A-2, Confirmed at Aa3 (sf); previously on Sep 19, 2012 Aa3
(sf) Placed Under Review Direction Uncertain
Cl. 8A-5, Confirmed at Aa3 (sf); previously on Sep 19, 2012 Aa3
(sf) Placed Under Review Direction Uncertain
Cl. 8A-9, Confirmed at Ba1 (sf); previously on Sep 19, 2012 Ba1
(sf) Placed Under Review Direction Uncertain
Ratings Rationale
The rating confirmations reflect an amendment to the Trust
Agreement which corrects a previous discrepancy between the
Prospectus Supplement and Trust Agreement. Previously, the
Prospectus Supplement allowed for Cl. 8-A-9 to act as a support to
Cl. 8-A-2 while the Trust Agreement allowed for the reverse with
Cl. 8-A-2 as a support for Cl. 8-A-9. The Trust Agreement has been
amended to become consistent with the Prospectus Supplement and
now states that Cl. 8-A-9 is a support to Cl. 8-A-2. On September
19, 2012, Moody's had placed classes 8-A-2, 8-A-5 and 8-A-9 on
watch direction due to this discrepancy.
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 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 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.
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 7.8% in September 2012. Moody's forecasts a
further drop to 7.5% by 2014. 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_SF303930
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
GULF STREAM-COMPASS 2004-1: S&P Hikes Rating on Cl. D Debt to 'B-'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
C and D notes from Gulf Stream-Compass CLO 2004-1 Ltd., a U.S.
collateralized loan obligation (CLO) managed by GSAM Apollo
Holdings LLC. "In addition, we affirmed our rating on the class A
notes, and we removed our rating on the class C notes from
CreditWatch, where we placed it with positive implications on July
17, 2012," S&P said.
"The upgrades reflect $74.77 million in paydowns to the class A
notes, as well as improvement in the credit quality of the
transaction's underlying assets since our Sept. 14, 2011, rating
actions. The affirmed rating reflects our belief that the credit
support available is commensurate with the current rating level,"
S&P said.
"According to the Oct. 5, 2012, trustee report, the transaction
held $0.89 million in defaulted assets, down from $2.15 million
noted in the Aug. 3, 2011, trustee report, which we used for our
September 2011 rating actions," S&P said.
"The amount of 'CCC' rated collateral held in the transaction's
asset portfolio also declined since the time of our last rating
action. According to the October 2012 trustee report, the
transaction held $14.42 million in 'CCC' rated collateral, down
from $23.68 million noted in the August 2011 trustee report. When
calculating the overcollateralization (O/C) ratios, the trustee
haircuts a portion of the CCC rated collateral that exceeds the
threshold specified in the transaction documents. The transaction
has been breaching this threshold since the last rating action,
leading the trustee to haircut an amount when calculating the O/C
ratios. The current level of the 'CCC' rated collateral reported
in the October 2012 trustee report was 13.01%, compared with a
threshold of 5.00%," S&P said.
"The transaction is currently failing its loss replenishment test.
The transaction documents state that the CLO will fail the loss
replenishment test if the loss replenishment amount--the
difference between the principal losses sustained in the
transaction over the principal gains (including any proceeds
previously used to cure the test) in the transaction--is a
positive number. The transaction is structured such that if it
fails this test, excess interest proceeds, equal to the positive
result of the test, will be divert to the principal account. The
transaction can then use these proceeds to pay down the notes
sequentially. The transaction has been failing this test since our
last rating action. According to the October 2012 trustee report,
the loss replenishment amount remaining after the October 2012
payment date was $5.83 million," S&P said.
"The loss replenishment test diversion in combination with post-
reinvestment period principal amortization, has resulted in $74.77
million in paydowns to the class A notes since our last rating
action. Consequently, the transaction's senior O/C ratio test has
improved by 264.80%," S&P said.
"We note that the transaction has exposure to long-dated assets,
(i.e., assets maturing after the stated maturity of the CLO).
According to the October 2012 trustee report, the long-dated
collateral had a balance of $5.62 million, or 6.45% of the
portfolio. Our analysis took into account the potential market
value and/or settlement related risk arising from the potential
liquidation of the remaining securities on the legal final
maturity date of the transaction," S&P said.
"Our review of this transaction included a cash flow analysis,
based on the portfolio and transaction as reflected in the
aforementioned trustee report, to estimate future performance. In
line with our criteria, our cash flow scenarios applied forward-
looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, our analysis considered
the transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Gulf Stream-Compass CLO 2004-1 Ltd.
Rating
Class To From
A AAA (sf) AAA (sf)
C AAA (sf) A+ (sf)/Watch Pos
D B- (sf) CCC- (sf)
HARTFORD MEZZANINE 2007-1: S&P Affirms 'CCC-' Ratings on 2 Classes
------------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on 10
classes from Hartford Mezzanine Investors I-CRE CDO 2007-1 Ltd.
(Hartford I CRE CDO), a commercial real estate collateralized debt
obligation (CRE CDO) transaction, and removed them from
CreditWatch with negative implications.
"The affirmations reflect our analysis of the transaction's
liability structure and the credit characteristics of the
underlying collateral using our criteria for rating global CDOs
backed by pooled structured finance (SF) assets. We also
considered the amount of defaulted assets in the transactions and
their expected recoveries in our analysis," S&P said.
"Our CDO of SF criteria include revisions to our assumptions on
correlations, recovery rates, and default patterns and timings of
the collateral. The criteria also include supplemental stress
tests (largest obligor default test and largest industry default
test) in our analysis," S&P said.
According to the Sept. 24, 2012, trustee report, the transaction's
collateral totaled $227.6 million, and the transaction's
liabilities totaled $262.7 million. The transaction's current
asset pool included:
Six whole and senior-participation loans ($125.1 million,
55.0%);
Five subordinate-interest loans ($62.2 million, 27.3%);
One credit-tenant loan ($30.2 million, 13.3%); and
One commercial mortgage-backed securities (CMBS) tranche
($10.0 million, 4.4%).
The trustee report noted two defaulted loans ($17.4 million,
7.7%):
The Spanish Peaks first mortgage loan ($13.8 million, 6.1%);
and
The 175 Fulton Avenue subordinate interest loan ($3.7 million,
1.6%).
"Standard & Poor's estimated a 42.7% weighted average asset-
specific recovery rate for the Spanish Peaks and 175 Fulton Avenue
assets. We based the recovery rates on information from the
collateral manager, special servicer, and third-party data
providers," S&P said.
"We applied asset specific recovery rates in our analysis of the
nine performing loans ($170.0 million, 74.7%) using our criteria
and property evaluation methodology for U.S. and Canadian CMBS.
We also considered qualitative factors such as the near-term
maturities of the loans and refinancing prospects of the assets in
the pool," S&P said.
According to the Sept. 24, 2012, trustee report, the deal is
passing all three overcollateralization coverage tests and all
three interest coverage tests.
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 we determine necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH
Hartford Mezzanine Investors I-CRE CDO 2007-1 Ltd.
Rating
Class To From
A-3 BBB- (sf) BBB- (sf)/Watch Neg
B BB+ (sf) BB+ (sf)/Watch Neg
C BB+ (sf) BB+ (sf)/Watch Neg
D BB+ (sf) BB+ (sf)/Watch Neg
E BB (sf) BB (sf)/Watch Neg
F B+ (sf) B+ (sf)/Watch Neg
G B- (sf) B- (sf)/Watch Neg
H CCC+ (sf) CCC+ (sf)/Watch Neg
J CCC- (sf) CCC- (sf)/Watch Neg
K CCC- (sf) CCC- (sf)/Watch Neg
HUDSON STRAITS: Moody's Raises Rating on Class E Notes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Hudson Straits CLO 2004:
U.S. $25,250,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2016 , Upgraded to Aaa (sf); previously on
December 21, 2011 Upgraded to Aa1 (sf);
U.S. $23,500,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2016, Upgraded to A3 (sf); previously on
December 21, 2011 Upgraded to Baa3 (sf);
U.S. $1,500,000 Class D-2 Fourth Priority Mezzanine Deferrable
Fixed Rate Notes Due 2016, Upgraded to A3 (sf); previously on
December 21, 2011 Upgraded to Baa3 (sf); and
U.S. $12,100,000 Class E Fifth Priority Mezzanine Deferrable
Floating Rate Notes Due 2016 (current balance of U.S. $9,051,971),
Upgraded to Ba3 (sf); previously on December 21, 2011 Upgraded to
B1 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in December 2011. Moody's notes that the Class
A-1 and A-2 Notes have been paid down by approximately 95% or $90
million since the last rating action. Based on the latest trustee
report dated October 4, 2012 Class A/B, Class C, Class D and Class
E Principal Coverage Ratios are reported at 230.33%, 155.77%,
117.97% and 108.44%, respectively, versus December 2011 levels of
155.98%, 130.34%, 112.10% and 106.69%, respectively. The October
2012 Coverage Ratios do not consider the payments which were made
on the October 15, 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 the October 2012 trustee
report, the weighted average rating factor is currently 2862
compared to 2596 in December 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 $121.7 million,
defaulted par of $2.4 million, a weighted average default
probability of 17.34% (implying a WARF of 3219), a weighted
average recovery rate upon default of 51.07%, and a diversity
score of 27. 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.
Hudson Straits CLO 2004, issued in July 2004, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
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% (2575)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D-1: +2
Class D-2: +2
Class E: +1
Moody's Adjusted WARF + 20% (3862)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D-1: -2
Class D-2: -2
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of 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. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
INDYMAC INDX: Moody's Cuts Rating on Cl. 2-A-1 Tranche to 'Caa3'
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of three
tranches issued by IndyMac INDX Mortgage Loan Trust 2004-AR15
transaction.
Ratings Rationale
The action is a result of the recent performance of the underlying
Alt-A pools and reflects Moody's updated loss expectations on
these pools. The downgrades are a result of deteriorating
performance and structural features resulting in higher expected
losses for the 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 "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
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 and Option Arm pools,
Moody's first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. 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 2004 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 0.50 to 2.0 for current delinquencies that range from less
than 2.5% to greater than 30% 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.
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 7.8% in October 2012. Moody's expects a
further drop to 7.5% by 2014. Moody's expects house prices to drop
another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: IndyMac INDX Mortgage Loan Trust 2004-AR15
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Mar 31, 2011
Downgraded to Caa1 (sf)
Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Mar 31, 2011
Downgraded to Caa1 (sf)
Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Mar 31, 2011
Downgraded to Caa1 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF302718
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
INTEGRAL FUNDING: S&P Raises Rating on Class D Notes to 'CCC+'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised and removed from
CreditWatch its ratings on four classes of notes from Integral
Funding Ltd., a collateralized loan obligation (CLO) transaction.
"We also affirmed our rating on one class," S&P said.
"The actions reflect the paydowns to the class A notes and the
increase in the overcollateralization (O/C) levels since the last
rating action in November 2011. Since the last rating action, the
class A-1 note has paid down in full and the class A-2 note has
paid down to 63% of its initial balance. The class A O/C ratio has
increased to 192.21% from 145.23% as of the October 2011 trustee
report," S&P said.
"Although the senior note paydowns have led to the increased O/C
ratios, we note that the balance of defaulted assets has increased
to 4.73% of the portfolio. The class C and D notes only pass the
top obligor test at their current respective rating categories,"
S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Integral Funding Ltd.
Rating
To From
A-2 AAA (sf) AAA (sf)
A-3 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C BBB+ (sf) BBB- (sf)/Watch Pos
D CCC+ (sf) CCC- (sf)/Watch Pos
JP MORGAN 2000-C10: Moody's Cuts Rating on Class G Certs. to 'C'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two classes
and affirmed two classes of J.P. Morgan Commercial Mortgage
Finance Corp., Commercial Mortgage Pass-Through Certificates,
Series 2000-C10, as follows:
Cl. E, Affirmed at Aaa (sf); previously on Dec 9, 2011 Upgraded to
Aaa (sf)
Cl. F, Downgraded to Ba1 (sf); previously on Jul 17, 2008 Upgraded
to Baa1 (sf)
Cl. G, Downgraded to C (sf); previously on Mar 30, 2011 Downgraded
to Caa3 (sf)
Cl. X, Affirmed at Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale
The downgrades are due to higher than expected realized losses and
concerns about increased interest shortfalls.
The affirmation of Class E is due to key parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed debt service
coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining
within acceptable ranges. Based on Moody's current base expected
loss, the credit enhancement levels for the affirmed class is
sufficient to maintain its current rating. The rating of the IO
Class, Class X, is consistent with the credit performance of its
referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of 24.8% of
the current balance. At last review, Moody's cumulative base
expected loss was 16.7%. On a percentage basis, the current based
expected loss increased significantly due to the deal paying down
50% since last review. However on a dollar basis, the base
expected loss decreased to $8.6 million from $11.5 million at last
review. Due to an increase in realized losses from 5.6% of the
original balance at last review to 7.6% currently, Moody's base
expected loss plus realized losses is 8.8% of the original pooled
balance compared to 7.1% at last review. Moody's provides a
current list of base losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012 and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit assessments; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type as defined in the
published methodology. The calculator then returns a calculated IO
rating based on both a target and mid-point. For example, a target
rating basis for a Baa3 (sf) rating is a 610 rating factor. The
midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the
simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf)
rating factor of 940). If the calculated IO rating factor is 700,
the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and
Ba1 (sf) IO indication for consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 8 compared to 7 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated December 9, 2011.
Deal Performance
As of the October 15, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $34.4
million from $738.5 million at securitization. The Certificates
are collateralized by 12 mortgage loans ranging in size from 2% to
23% of the pool, with the top ten loans representing 97% of the
pool.
One loan, representing 9% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of its ongoing
monitoring of a transaction, Moody's reviews the watchlist to
assess which loans have material issues that could impact
performance.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $56.4 million (44% loss severity on
average). Three loans, representing 32% of the pool, are currently
in special servicing. The largest specially serviced loan is the
West Acre Commons Loan ($8.0 million -- 23.3% of the pool), which
is secured by a 95,000 square foot (SF) grocery-anchored retail
center located in Flint, Michigan. The loan transferred to special
servicing in April 2010 due to imminent default and a deed-in-lieu
was completed in February 2012. The largest tenant is VG's Food
Center (63% of the net rentable area (NRA); lease expiration
August 2018). The master servicer has recognized a $4.6 million
appraisal reduction on this loan and the special servicer
indicated they are in the process of finalizing a disposition
method for this loan.
The second largest specially serviced loan is the Rainbow Express
Village Loan ($2.5 million -- 7.1% of the pool), which is secured
by a 31,000 SF retail center located in Las Vegas, Nevada. The
loan originally transferred to special servicing in 2009 due to
maturity default and the loan was modified to include a 36 month
extension (from June 2009 to June 2012) and an interest rate
reduction (from 8.67% to 4.00%). The loan returned to the master
servicer in 2010, however, it subsequently returned to special
servicing in March 2012 due to the borrower's request for an
additional modification. The property was 65% leased as of June
2012. The special servicer indicated it is in discussions with the
borrower regarding a potential note modification. The original
loan modification will continue to contribute to monthly interest
shortfalls as long as this loan remains in the pool.
The remaining specially serviced loan is the 120 Heincke Road
Loan, formerly Blockbuster -- Miamisburg, ($552,000 -- 1.6% of the
pool) which is secured by a 5,000 SF single tenant retail property
located in Miamisburg, Ohio. The property was fully occupied by
Blockbuster until it vacated in 2011. The loan transferred to
special servicing in January 2012 and is currently 100% vacant.
The special servicer indicated this loan will be included in an
upcoming note sale.
Moody's has also assumed a high default probability for one poorly
performing loan representing 9% of the pool. Moody's estimates an
aggregate $8.5 million loss for the specially serviced and
troubled loan (60% expected loss on average).
The deal's cumulative interest shortfalls to Class G increased to
$18,000 as of October 2012 compared to $82,000 at last review.
Moody's anticipates that the pool will continue to experience
interest shortfalls because of the high exposure to specially
serviced loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
Moody's was provided with full year 2011 operating results for 88%
of the pool's non-specially serviced loans. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 50%
compared to 54% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 15% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 11.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.27X and 2.36X, respectively, compared to
1.28X and 2.23X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 36% of the pool.
The largest loan is the Pavilion East Loan ($6.6 million -- 19.1%
of the pool), which is secured by a 171,000 SF anchored retail
center located in Richardson, Texas. Major tenants include
Richardson Bike Mart (20% of the NRA -- lease expiration December
31, 2017), Sprouts Grocers (17% of the NRA -- lease expiration
October 2016) and TJ Maxx (17% of the NRA - lease expiration
October 2016). Spouts Grocers and TJ Maxx sublease their space
from Albertson's, a supermarket retailer, which vacated the
property in 2006. The property was 94% leased as of June 2012
compared to 91% at last review. Property performance has been
stable and the loan has amortized 40% since securitization.
Moody's LTV and stressed DSCR are 43% and 2.51X, respectively,
compared to 47% and 2.31X at last full review.
The second largest performing loan is the Thomas Jefferson II
Apartments Loan ($2.9 million -- 8.5% of the pool), which is
secured by a 23 unit multifamily property located in Hoboken, New
Jersey. The property was 100% leased as of June 2012, the same as
the prior review. Property performance has been stable and the
loan has amortized 32% since securitization. Moody's LTV and
stressed DSCR are 51% and 2.03X, compared to 52% and 1.97X at last
full review.
The third largest performing loan is the Pavilion West Loan ($2.9
million -- 8.3% of the pool), which is secured by a 84,250 SF
retail center located in Dallas, Texas. The anchor tenant is 24
Hour Fitness (38% of the NRA -- lease expiration September 2016).
The property was 87% leased as of June 2012 compared to 88% at
last review. Property performance has been stable and the loan has
amortized 40% since securitization. Moody's LTV and stressed DSCR
are 35% and 3.39X, respectively, compared to 37% and 3.15X at last
full review.
JP MORGAN 2004-PNC1: Fitch Affirms Rating on 16 Cert. Classes
-------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp., series 2004-PNC1 commercial
mortgage pass-through certificates (JPMCC 2004-PNC1).
Fitch modeled losses of 3.4% of the remaining pool; expected
losses on the original pool balance total 6.7%, including losses
already incurred. The pool has experienced $48.9 million (4.5% of
the original pool balance) in realized losses to date. Fitch has
designated 17 loans (13.4%) as Fitch Loans of Concern, which
includes three specially serviced assets (2.3%).
As of the October 2012 distribution date, the pool's aggregate
principal balance has been reduced by 33.3% to $733.7 million from
$1.1 billion at issuance. Per the servicer reporting, 17 loans
(28.4% of the pool) are defeased. Interest shortfalls are
currently affecting classes H through NR.
The largest contributor to expected losses is a 236 unit apartment
building (0.9% of the pool) located in Arlington, TX. The most
recent occupancy reported by the Master Servicer is 68% as of
March 2012 and the property is not producing sufficient income to
meet its debt service obligations. The loan remains current and
the master servicer continues to monitor performance of the loan.
The next largest contributor to expected losses is the specially-
serviced 18,900 square foot (sf) office property located in Las
Vegas, NV. The loan transferred to the special servicer in June
2011 after the borrower indicated its inability to meet its debt
service payments due to a progressive decline in revenue and
occupancy. The most recent reported occupancy is 12% as of
November 2011. A note sale is expected within the current month.
The third largest contributor to expected losses is a 172,758 sf
grocery anchored retail center (1.7%) located in Palm Coast, FL.
The loan transferred to special servicing in April 2011 for
imminent maturity default. The special servicer reports occupancy
of 58% as of December 2011.
Fitch affirms the following classes:
-- $26.7 million class A-3 at 'AAAsf'; Outlook Stable;
-- $426.2 million class A-4 at 'AAAsf'; Outlook Stable;
-- $169.3 million class A-1A at 'AAAsf'; Outlook Stable;
-- $28.8 million class B at 'AAsf'; Outlook Stable;
-- $13.7 million class C at 'Asf'; Outlook Stable;
-- $17.8 million class D at 'BBsf'; Outlook Stable;
-- $11 million class E at 'Bsf'; Outlook Stable;
-- $16.5 million class F at 'CCCsf'; RE 100%;
-- $11 million class G at 'CCsf'; RE 50%;
-- $11.5 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%.
The class A-1 and A-2 notes have paid in full. Fitch previously
withdrew the rating on the interest-only class X certificates.
JP MORGAN 2005-CIBC11: Moody's Cuts Ratings on 3 Certs to 'C'
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes
and affirmed 12 classes of J.P. Morgan Chase Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-
CIBC11 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-J, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
Cl. A-JFX, Affirmed at Aaa (sf); previously on May 25, 2005
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Feb 24, 2011 Confirmed
at Aa2 (sf)
Cl. C, Affirmed at Aa3 (sf); previously on Feb 24, 2011 Confirmed
at Aa3 (sf)
Cl. D, Affirmed at A3 (sf); previously on Feb 24, 2011 Downgraded
to A3 (sf)
Cl. E, Affirmed at Baa1 (sf); previously on Feb 24, 2011
Downgraded to Baa1 (sf)
Cl. F, Downgraded to Ba2 (sf); previously on Feb 24, 2011
Downgraded to Ba1 (sf)
Cl. G, Downgraded to B2 (sf); previously on Oct 20, 2011
Downgraded to B1 (sf)
Cl. H, Downgraded to Caa2 (sf); previously on Oct 20, 2011
Downgraded to Caa1 (sf)
Cl. J, Downgraded to Caa3 (sf); previously on Oct 20, 2011
Downgraded to Caa2 (sf)
Cl. K, Downgraded to C (sf); previously on Oct 20, 2011 Downgraded
to Caa3 (sf)
Cl. L, Downgraded to C (sf); previously on Feb 24, 2011 Downgraded
to Caa3 (sf)
Cl. M, Downgraded to C (sf); previously on Feb 24, 2011 Downgraded
to Ca (sf)
Cl. N, Affirmed at C (sf); previously on Feb 24, 2011 Downgraded
to C (sf)
Cl. X-1, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades are due to higher than expected realized losses
from specially serviced and troubled loans.
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The rating of the IO Class, Class X-1, is consistent with the
credit performance of its referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of 3.8% of the
current balance compared to 4.1% at last review. While the base
expected loss is similar to last review, realized losses since
last review are higher than expected. At this review, realized
losses plus base expected loss totals 5.0% of the original balance
compared to 4.2% at last review. Moody's provides a current list
of base expected losses for conduit and fusion CMBS transactions
on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver 1.1,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.0
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 29 compared to 32 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated October 20, 2011.
Deal Performance
As of the October 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 25% to $1.3 billion
from $1.8 billion at securitization. The Certificates are
collateralized by 123 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans representing 47%
of the pool. Eight loans, representing 5% of the pool, have
defeased and are secured by U.S. Government securities. There are
no loans with investment grade credit assessments.
Twenty-two loans, representing 9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Twenty-four loans have been liquidated from the pool, resulting in
a realized loss of $40 million (13.5% loss severity overall). Of
the 24 liquidated loans, three of the loans loans had partial
liquidations. Currently seven loans, representing 2% of the pool,
are in special servicing. The specially serviced loans are secured
by a mix of property types. Moody's estimates an aggregate $13
million loss for the specially serviced loans (52% expected loss
on average).
Moody's has assumed a high default probability for 13 poorly
performing loans representing 7% of the pool and has estimated an
aggregate $17 million loss (18% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 operating results for 95%
of the pool. Excluding special serviced and troubled loans,
Moody's weighted average LTV is 85% compared to 88% at Moody's
prior review. Moody's net cash flow reflects a weighted average
haircut of 10% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 9.0%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.53X and 1.19X, respectively, compared to
1.48X and 1.17X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 24% of the pool. The largest
loan is the Southridge Mall Loan ($124 million -- 9.2% of the
pool), which is secured by a 1.2 million square foot (SF) regional
mall located in Greendale Wisconsin. The loan had previously
transferred to special servicing in February 2011 to facilitate a
modification, which was closed in August 2011. The modification
included a three year extension of the maturity date to April 2015
and a $36 million redevelopment agreement. As of June 2012 in-line
occupancy has increased to 74% compared to 60% at the last review.
While there was a decline in the 2011 NOI, Moody's analysis
reflects the benefit of recent leasing at the property. Moody's
LTV and stressed DSCR are 110% and 0.84X, respectively, compared
to 101% and 0.91X at last review.
The second largest loan is the Airport Industrial Park Loan
($100.9 million -- 7.5% of the pool), which is secured by a
826,000 SF multi-level warehouse and office complex located in
Honolulu, Hawaii. Major tenants include Hawaii Airlines (15% of
the net rentable area (NRA); lease expiration in 2016) and Duty
Free Shopper (14% of the NRA; lease expiration in 2015). As of
June 2012, the property was 99% leased compared to 95% at the
prior year and securitization. Property performance declined since
last review due to increased expenses. Moody's LTV and stressed
DSCR are 88% and 1.05X, respectively, compared to 85% and 1.08X at
last review.
The third largest loan is the Palm Spring Mile Loan ($95.5 million
-- 7.1% of the pool), which is secured by a 1.17 million SF
anchored retail center located in Hialeah, Florida. The multi-
building complex and was constructed in four phases. Phase I is
commonly known as Mall on the Mile; Phase II is commonly known as
Palms Springs Village; and Phases III and IV are commonly known as
Philips Plaza and Shoppes at 49th, respectively. As July 2012, the
property was 98% leased compared to 97% at last review. The
property has a diverse tenant base, with no tenant accounting for
more than 11% of the NRA. Performance has been stable. Moody's LTV
and stressed DSCR are 70% and 1.40X, respectively, compared to 73%
and 1.33X at last review.
JP MORGAN 2006-CIBC17: Moody's Cuts Rating on D Certs. to 'Caa3'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes
and affirmed 13 classes of JP Morgan Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 2006-CIBC17
as follows:
Cl. A-SB, Affirmed at Aaa (sf); previously on Feb 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Feb 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Downgraded to A1 (sf); previously on Feb 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Downgraded to A1 (sf); previously on Feb 20, 2007
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Downgraded to Ba1 (sf); previously on Nov 17, 2011
Downgraded to A1 (sf)
Cl. A-J, Downgraded to Caa1 (sf); previously on Nov 17, 2011
Downgraded to Ba3 (sf)
Cl. B, Downgraded to Caa2 (sf); previously on Nov 17, 2011
Downgraded to B3 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Nov 17, 2011
Downgraded to Caa1 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Dec 2, 2010
Downgraded to Caa2 (sf)
Cl. E, Affirmed at Caa3 (sf); previously on Dec 2, 2010
Downgraded to Caa3 (sf)
Cl. F, Affirmed at Ca (sf); previously on Dec 2, 2010
Downgraded to Ca (sf)
Cl. G, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. K, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. L, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. M, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. P, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades are due to potential interest shortfalls and higher
expected losses for the pool resulting from realized and
anticipated losses from specially serviced and troubled loans.
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the Herfindahl Index (Herf), remaining within
acceptable ranges. Based on Moody's current base expected loss,
the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
Moody's rating action reflects a base expected loss of 15.9% of
the current pooled balance compared to 11.2% at last review.
Moody's provides a current list of base expected losses for
conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit assessment level, is
incorporated for loans with similar credit assessments in the same
transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit assessments; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The pool has a Herf of 28 as compared to 29
at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated November 17, 2011.
Deal Performance
As of the October 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 5% to $2.4 billion
from $2.5 billion at securitization. The Certificates are
collateralized by 144 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans representing
48% of the pool. The pool does not contain any defeased loans or
loans with credit assessments.
Thirty-nine loans, representing 24% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package.
Five loans have been liquidated resulting in an aggregate $13
million realized loss (68% average loss severity). Nineteen loans,
representing 22% of the pool, are currently in special servicing.
The largest specially serviced loan is the Bank of America Plaza
Loan ($263 million -- 10.9%), which represents a pari passu
interest in a $363 million A-note. The collateral is a 1.25
million SF office property located in Atlanta, Georgia. The loan
transferred to special servicing in February 2011 for imminent
default. The property is currently real estate-owned (REO).
The remaining specially serviced loans are a mix of multifamily,
office, industrial, retail and hotel properties. The master
servicer has recognized an aggregate $247 million appraisal
reduction for 17 of the specially serviced loans. Moody's
estimates an aggregate loss of approximately $254 million (49%
expected loss overall) for all of the specially serviced loans.
Moody's has assumed a high default probability for 30 poorly
performing loans representing 23% of the pool and has estimated a
$97 million loss (29% expected loss based on a 51% probability
default) from these troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 86% and 78% of the conduit loans,
respectively. The conduit portion of the pool excludes specially
serviced and troubled loans. Moody's weighted average conduit LTV
is 102% compared to 110% at last review. Moody's net cash flow
reflects a weighted average haircut of 11% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.5%.
Moody's actual and stressed DSCRs are 1.39X and 1.02X,
respectively, compared to 1.33X and 0.96X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 20% of the pool
balance. The largest loan is the Brixmor Heritage Portfolio Loan
($221 million -- 9.2%), f/k/a the Centro Heritage Portfolio Loan.
In June 2011 an affiliate of Blackstone Real Estate Partners VI
L.P acquired 585 community and neighborhood shopping centers and
related retail assets from Centro Properties Group for
approximately $9 billion. The 14 cross defaulted and cross
collateralized retail assets that secure the Brixmor Heritage
Portfolio Loan were part of the $9 billion transaction. The
collateral properties are located in 10 states and have a weighted
average occupancy of 93% as of March 2012. Moody's LTV and
stressed DSCR are 83% and 1.17X, respectively, compared to 81% and
1.21X at last review.
The second largest loan is the CNL Center I & II Loan ($138
million -- 5.7%), which is secured by two Class A office buildings
located in downtown Orlando, Florida. CNL Financial and several
affiliates lease 44% of the net rentable area with 2014 and 2021
lease expirations. The properties were 93% leased as of March
2012, same as at last review. Moody's LTV and stressed DSCR are
107% and 0.93X, respectively, compared to 106% and 0.94X at last
review.
The third largest loan is the Residence Inn Times Square Loan
($133 million -- 5.5%), which is secured by a 357-room extended
stay hotel located in the Garment District of Manhattan. The loan
is current but is on the watchlist for its low DSCR. Moody's LTV
and stressed DSCR are 125% and 0.93X as compared to 134% and 0.92X
at last review.
JP MORGAN 2007-C1: S&P Lowers Rating on Class D Secs. to 'CCC-'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes from JPMorgan Chase Commercial Mortgage Securities Trust
2007-C1, a U.S. commercial mortgage-backed securities (CMBS)
transaction. "Concurrently, we affirmed our ratings on nine
classes from the same transaction and removed four of them from
CreditWatch with positive implications. The CreditWatch
resolutions are related to CreditWatch placements that we
initiated on Sept. 5, 2012," S&P said.
"The downgrades reflect our expected available credit enhancement
for the affected tranches, which we believe is less than our most
recent estimate of necessary credit enhancement for the most
recent rating levels. The downgrades also reflect our views
regarding the current and future performance of the collateral
supporting the transaction, which includes the current and
potential interest shortfalls the downgraded classes in the
transaction are experiencing," S&P said.
"Our rating affirmations on the interest-only (IO) certificates
reflect our current criteria for rating IO securities," S&P said.
"The rating actions follow a detailed review of the performance of
the collateral supporting the relevant securities and transaction
structures. This review was similar to the review we conducted
before placing 744 U.S. and Canadian CMBS ratings on CreditWatch
following the release of our updated ratings criteria for these
transactions, but was more detailed with respect to collateral and
transaction performance," S&P said.
"Our ratings actions also considered the current and potential
interest shortfalls affecting the trust and the implications of
the current modification terms related to the court ruled
modification of the Westin Portfolio loan. As of the Sept. 17,
2012, trustee remittance report, the trust experienced interest
shortfalls totaling $810,298. The interest shortfalls were
primarily due to interest not advanced ($610,688) due to a
nonrecoverable determination made by the master servicer, Berkadia
Commercial Mortgage LLC (Berkdaida) on the Westin Portfolio loan
($103.4 million, 9.2%). According to the special servicer, LNR
Partners LLC, the bankruptcy plan was confirmed in December 2011,
but the loan documents have not been signed. The new loan amount
was not resolved until September 2012. The terms included a 15-
year extension of the loan term and fixed monthly principal
payments of $500,000 until the new maturity date in February 2033
when there would be a balloon payment of approximately $122
million. Additionally, the loan would not accrue interest.
According to the special servicer, the Lender is appealing to the
Ninth Circuit, the district court's dismissal of lender's appeal
on equitable mootness grounds. The lender's appellate brief is due
Jan. 4, 2013, and the debtor's responsive brief is due on Feb. 4,
2013. The Ninth Circuit has not scheduled an oral argument as of
yet. We expect the master servicer, Berkadia to continue to not
advance on this loan until a settlement is reached, resulting in
continued interest shortfalls to the trust. The total interest
shortfalls have affected class B and all classes subordinate to
it, with class B through E experiencing interest shortfalls for
one month. Should the trust continue to experience interest
shortfalls for an extended period of time, we may take future
rating actions, further lowering classes that experience
continued interest shortfalls and reduced liquidity support," 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
B CCC (sf) B- (sf) 13.91
C CCC (sf) CCC+ (sf) 12.60
D CCC- (sf) CCC (sf) 11.54
RATINGS AFFIRMED AND REMOVED FROM CREDIT WATCH
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-4 BBB+ (sf) BBB+ (sf)/Watch Pos 30.59
A-SB BBB+ (sf) BBB+ (sf)/Watch Pos 30.59
A-M BB- (sf) BB- (sf)/Watch Pos 20.08
A-J B (sf) B (sf)/Watch Pos 15.35
RATINGS AFFIRMED
JPMorgan Chase Commercial Mortgage Securities Trust 2007-C1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-2 AAA (sf) AAA (sf) 30.59
A-3 AAA (sf) AAA (sf) 30.59
E CCC-(sf) CCC- (sf) 10.36
X-1 AAA (sf) AAA (sf) N/A
X-2 AAA (sf) AAA (sf) N/A
N/A - Not applicable.
KEYCORP STUDENT 2004-A: Fitch Affirms CC Rating on Cl. II-D Notes
-----------------------------------------------------------------
Fitch Ratings affirms the ratings on the class II-A, II-B, II-C
and II-D notes issued by KeyCorp Student Loan Trust 2004-A (Group
II). The Negative Outlook is maintained on the class II-A, II-B,
and II-C notes. Fitch's 'U.S. Private SL ABS Criteria' and'
Global Structured Finance Rating Criteria' were used to review the
ratings. The rating actions are detailed at the end of this
release.
The affirmation on all the class II-A, II-B, II-C and II-D notes
are based on sufficient loss coverage multiples commensurate with
the ratings. As of June 2012, Fitch's calculated parities, which
include the reserve account, for the class II-A, II-B, II-C and
II-D are at 161.63%, 133.90%, 105.06% and 94.84%, respectively.
The Negative Outlook is maintained based on Fitch's negative view
of the private student loan sector in general, as well as, the
trust's overall performance as total parity continues to decrease.
Review of KeyCorp Student Loan Trust 2004-A (Group II) is based on
collateral performance data as of June 2012.
Loss Coverage multiples were determined by comparing the projected
net loss amount to available credit enhancement for the rating
categories of KeyCorp Student Loan Trust 2004-A (Group II). Fitch
used both data provided by KeyCorp and proxy data from other
issuers to form a loss timing curve representative of each pool
depending on loan composition.
After giving credit to the seasoning of loans in repayment, Fitch
applied the trust's current cumulative gross level to the loss
timing curve to derive the expected gross losses over the
projected remaining life. A recovery rate of 15% was applied, the
current level of recoveries for the loans underlying the trust.
As the junior subordinate class D notes' current rating classifies
these notes as a distressed structured finance security, Fitch has
calculated a Recovery Estimate (RE) which represents Fitch's
calculation of expected principal recoveries, as a percentage of
current note principal outstanding. The RE for the junior
subordinate class D notes was calculated to be approximately
10.00% given Fitch's calculation of expected net recoveries and
principal balance of the notes as of the latest reporting period.
Credit enhancement consists of excess spread,
overcollateralization, and a reserve account for the class II-A,
II-B, and II-C notes. The class II-D notes benefit from excess
spread and the reserve account. Fitch assumed excess spread to be
the lesser of the current annualized excess spread; the average
historical excess spread; and the most recent 12-month average
spread, and applied that same rate over the remaining life.
The private student loan collateral consists primarily of Key
Alternative Loans originated to undergraduate students. The
trusts also include a combination of graduate student loans,
career loans, consolidation loans, and CampusDoor loans marketed
through the direct to consumer channel.
Fitch has affirmed the following ratings:
KeyCorp Student Loan Trust 2004-A (Group II):
-- Class II-A-2 at 'AAAsf'; Outlook Negative;
-- Class II-B at 'AAsf'; Outlook Negative;
-- Class II-C at 'BBBsf'; Outlook Negative;
-- Class II-D at 'CCsf'.
KEYCORP STUDENT 2005-1: Fitch Holds 'BB' Rating on Cl. II-C Notes
-----------------------------------------------------------------
Fitch Ratings affirms the ratings on student loan notes issued by
KeyCorp Student Loan Trust 2005-A (Group II). The Rating Outlook
remains Negative. Fitch's 'U.S. Private SL ABS Criteria' and
'Global Structured Finance Rating Criteria' were used to review
the ratings.
The affirmation on all student loan notes are based on sufficient
loss coverage multiples commensurate with the ratings. The
Negative Outlook is maintained on all the notes, and is consistent
with Fitch's negative view of the private student loan sector in
general. As of September 2012, Fitch's calculated parity, which
includes the reserve account, for the class II-A, II-B, and II-C
notes are at 169.89%, 118.50%, and 103.63%, respectively. Review
of KeyCorp Student Loan Trust 2005-A (Group II) is based on
collateral performance data as of September 2012.
The loss coverage multiples were determined by comparing the
projected net loss amount to available credit enhancement for the
rating categories of KeyCorp Student Loan Trust 2005-A (Group II).
Fitch used both data provided by KeyCorp and proxy data from other
issuers to form a loss timing curve representative of each pool
depending on loan composition. After giving credit to the
seasoning of loans in repayment, Fitch applied the trust's current
cumulative gross level to the loss timing curve to derive the
expected gross losses over the projected remaining life. A
recovery rate of 15% was applied, which is the current level of
recoveries for the loans underlying the trust.
Credit enhancement consists of subordination, excess spread,
overcollateralization (OC), and a reserve account for the II-A and
II-B notes. The class II-C notes benefit from OC, excess spread
and the reserve account. Fitch assumed excess spread to be the
lesser of the current annualized excess spread; the average
historical excess spread; and the most recent 12-month average
spread, and applied that same rate over the remaining life.
The private student loan collateral consists primarily of Key
Alternative Loans originated to undergraduate students. The
trusts also include a combination of graduate student loans,
consolidation loans, and CampusDoor loans marketed through the
direct to consumer channel.
Fitch has affirmed the following ratings:
KeyCorp Student Loan Trust 2005-A (Group II):
-- Class II-A-3 at 'AAsf'; Outlook Negative;
-- Class II-A-4 at 'AAsf'; Outlook Negative;
-- Class II-B at 'BBBsf'; Outlook Negative;
-- Class II-C at 'BBsf'; Outlook Negative.
KKR FINANCIAL 2007-1: S&P Hikes Rating on Class F Notes From 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
D, E, and F notes from KKR Financial 2007-1 Ltd., a collateralized
loan obligation (CLO) transaction managed by KKR Financial
Advisors. "At the same time, we affirmed our ratings on the class
A, B, and C notes," S&P said.
"The upgrades primarily reflect improved credit quality among the
assets in the transaction's underlying portfolio since we raised
our ratings on five classes of notes in November 2010. As of
September 2012, the transaction held no defaulted assets, down
from $55.9 million in November 2010. The affirmations on the class
A, B, and C notes reflect the sufficient credit support at the
current rating levels," S&P said.
"The transaction is still in its reinvestment period, which is
scheduled to end on its May 2014 payment date. The transaction's
overcollateralization (O/C) ratios have not changed significantly
since our last rating actions. However, the CLO's weighted-average
spread has increased to 4.5% from 3.8% over this period, most
likely because the manager reinvested principal proceeds into
loans with higher spreads," S&P said.
"We will continue to review our ratings on the notes and assess
whether, in our view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as we deem necessary," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
KKR Financial 2007-1 Ltd.
Rating
Class To From
D A (sf) BBB+ (sf)
E BBB+ (sf) BBB (sf)
F BBB- (sf) BB+ (sf)
RATINGS AFFIRMED
KKR Financial 2007-1 Ltd.
Class Rating
A AAA (sf)
B AAA (sf)
C AA+ (sf)
KVK CLO 2012-1: S&P Gives 'BB' Rating on Class E Deferrable Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on KVK CLO
2012-1 Ltd./KVK CLO 2012-1 LLC's $317.625 million floating-rate
notes following the transaction's effective date as of July 30,
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 emaining 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 Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
KVK CLO 2012-1 Ltd./KVK CLO 2012-1 LLC
Class Rating Amount
(mil. $)
A AAA (sf) 226.625
B AA (sf) 35.875
C (deferrable) A (sf) 23.625
D (deferrable) BBB (sf) 15.750
E (deferrable) BB (sf) 15.750
LANDMARK CDO III: S&P Affirms 'CCC-' Rating on Class B-2L Debt
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes and affirmed its ratings on seven classes from Landmark
III CDO Ltd. and Landmark IV CDO Ltd. Both deals are U.S.
collateralized loan obligation (CLO) transactions. "At the same
time, we removed six of these ratings from CreditWatch where we
placed them with positive implications on July 17, 2012. We
withdrew our rating on the class A-1L A notes from Landmark IV CDO
Ltd. following the complete paydown," S&P said.
These transactions, managed by Aladdin Capital Management LLC, are
past their reinvestment periods and are deleveraging.
"The upgrades reflect the paydowns to the senior notes in both
transactions since our last rating actions. The affirmed ratings
reflect our belief that the credit support available is
commensurate with the current rating levels," S&P said.
"Since our Jan. 5, 2012, action on Landmark III CDO Ltd., the
class A-1LA notes have paid down completely at which time we
subsequently withdrew our rating. The class A-1LB and A-1L notes
have paid down about $49 million in total and are down to 8.43%
and 1.69% of their original rated balance. As a result of the
paydowns to the senior notes, the A-2L overcollateralization (O/C)
ratio has increased more than 47% and the A-3L O/C ratio has
increased more than 11%," S&P said.
"Since our Dec. 23, 2012, action, there have been about $50
million in paydowns to the A-1 notes from Landmark IV CDO Ltd. On
the Sept. 17, 2012, distribution date, the class A-1L A notes were
paid down completely and we withdrew our rating on these notes in
this rating action. The A-1L B and the A-1L notes are paid down to
99.27% and 19.85% of their original rated balance. The class A-2L
O/C ratio has increased more than 30% and the class A-3L O/C ratio
has increased more than 13%," S&P said.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Landmark III CDO Ltd.
Rating
Class To From
A-1LB AAA (sf) AAA (sf)
A-1L AAA (sf) AAA (sf)
A-2L AAA (sf) AA+ (sf)/Watch Pos
A-3L AA+ (sf) A- (sf)/Watch Pos
B-1L CCC+ (sf) CCC+ (sf)/Watch Pos
B-2L CCC- (sf) CCC- (sf)
Landmark IV CDO Ltd.
Rating
Class To From
A-1L A NR AAA (sf)
A-1L B AAA (sf) AAA (sf)
A-1L AAA (sf) AAA (sf)
A-2L AAA (sf) AAA (sf)
A-3L AA+ (sf) AA- (sf)/Watch Pos
B-1L A- (sf) BBB- (sf)/Watch Pos
B-2L B+ (sf) B (sf)/Watch Pos
NR - Not rated.
LB-UBS COMMERCIAL 2004-C2: Moody's Cuts Rating on L Certs. to 'C'
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Moody's Investors Service downgraded the ratings of three classes
and affirmed 13 classes of LB-UBS Commercial Mortgage Trust 2004-
C2, Commercial Mortgage Pass-Through Certificates, Series 2004-C2
as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Sep 28, 2004
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Sep 28, 2004
Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Mar 13, 2007 Upgraded
to Aaa (sf)
Cl. C, Affirmed at Aa1 (sf); previously on Mar 13, 2007 Upgraded
to Aa1 (sf)
Cl. D, Affirmed at Aa3 (sf); previously on Dec 17, 2010 Downgraded
to Aa3 (sf)
Cl. E, Affirmed at A2 (sf); previously on Dec 17, 2010 Downgraded
to A2 (sf)
Cl. F, Affirmed at Baa1 (sf); previously on Dec 17, 2010
Downgraded to Baa1 (sf)
Cl. G, Affirmed at Ba2 (sf); previously on Dec 17, 2010 Downgraded
to Ba2 (sf)
Cl. H, Affirmed at B1 (sf); previously on Dec 17, 2010 Downgraded
to B1 (sf)
Cl. J, Downgraded to Caa1 (sf); previously on Dec 17, 2010
Downgraded to B3 (sf)
Cl. K, Downgraded to Ca (sf); previously on Dec 17, 2010
Downgraded to Caa3 (sf)
Cl. L, Downgraded to C (sf); previously on Dec 17, 2010 Downgraded
to Ca (sf)
Cl. M, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. N, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. P, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. X-CL, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
55
The downgrades are due to higher than expected losses from
troubled loans and loans in special servicing.
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The rating of the IO Class, Class X-CL, is consistent with the
expected credit performance of its referenced classes and thus is
affirmed
Moody's rating action reflects a base expected loss of 4.3% of the
current balance. At last review, Moody's base expected loss was
3.6%. Realized losses have increased from 3.1% of the original
balance to 4.3% since the prior review. Moody's provides a current
list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012 and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1,
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit assessments; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type as defined in the
published methodology. The calculator then returns a calculated IO
rating based on both a target and mid-point. For example, a target
rating basis for a Baa3 (sf) rating is a 610 rating factor. The
midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the
simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf)
rating factor of 940). If the calculated IO rating factor is 700,
the CMBS IO calculator ver1.1 would provide both a Baa3 (sf) and
Ba1 (sf) IO indication for consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10, the same as Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 10, 2011.
Deal Performance
As of the October 17, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 39% to $751 million
from $1.2 billion at securitization. The Certificates are
collateralized by 64 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten non-defeased loans
representing 71% of the pool. Eleven loans, representing 8% of the
pool, have defeased and are secured by U.S. Government securities.
The pool contains four loans with investment grade credit
assessments, representing 46% of the pool.
Nine loans, representing 5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Five loans have been liquidated from the pool, resulting in an
aggregate certificate realized loss of $20.5 million (25% loss
severity on average). Excluding a loan that liquidated at a loss
severity lower than 1.0%, the average loss severity would be 84%.
Eleven loans, representing 7% of the pool, are currently in
special servicing. Moody's estimates an aggregate $24.6 million
loss for specially serviced loans (45% expected loss on average).
Moody's has assumed a high default probability for five poorly
performing loans representing 2% of the pool and has estimated an
aggregate $1.8 million loss (15% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 operating results for
100% of the pool's non-specially serviced and non-defeased loans.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 78% compared to 81% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 15%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.56X and 1.36X, respectively, compared to
1.51X and 1.29X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit assessment is the GIC Office
Portfolio Loan ($142.8 million -- 19.0% of the pool), which is a
pari-passu interest in a $666.5 million first mortgage loan. The
loan is secured by a portfolio of 12 office properties located in
seven states and totaling 6.4 million square feet (SF). The
largest geographic concentrations are Illinois (39%), Pennsylvania
(17%) and California (12%). The portfolio was 87% leased as of
December 2011, the same as the prior review. The portfolio is also
encumbered by a $119 million B Note. The loan had a 60-month
interest only period and is amortizing on a 360-month schedule
maturing in January 2014. Moody's current credit assessment and
stressed DSCR are Baa3 and 1.44X, respectively, the same as
Moody's last review.
The second loan with a credit assessment is the Somerset
Collection Loan ($125.5 million -- 16.7% of the pool), which is a
pari-passu interest in a $251.0 million first mortgage loan. The
loan is secured by a 1.4 million SF regional mall located in Troy,
Michigan. The center is the dominant mall in its trade area and is
anchored by Macy's, Nordstrom, Saks Fifth Avenue and Neiman Marcus
(only Neiman Marcus is part of the collateral). The mall was 98%
leased as of July 2012 compared to 99% at last review. The
property is also encumbered by a $49 milion B-Note which is held
outside the trust. The loan is interest only for its entire term
and matures in February 2014. Property performance has improved
due to an increase in base rents and expense reimbursements.
Excluding Apple, comparable in-line sales were $706 per square
foot as of June 2012, compared to $687 as of June 2011. Moody's
credit assessment and stressed DSCR are Aa3 and 1.67X,
respectively, compared to A1 and 1.52X at last review.
The third loan with a credit assessment is the Ruppert Yorkville
Towers Loan ($38.6 million -- 5.1% of the pool), which is secured
by 825-unit multifamily high-rise complex located on the Upper
East Side of Manhattan. The complex was completed in 1975 and
converted to a condominium structure in 2003. The collateral for
the loan includes 432 unsold residential units, unsold storage
units and 53,810 SF of commercial space. A portion of the unsold
units are occupied by pre-conversion tenants at below market
rental rates. Moody's credit assessment and stressed DSCR are Aaa
and 1.76X, respectively, compared to Aaa and 1.34X at last review.
The fourth loan with a credit assessment is the Farmers Market
Loan ($38.5 million -- 5.1% of the pool), which is secured by a
228,339 SF mixed-use retail and office property originally built
in 1940 (renovated in 2002) located in Los Angeles, California.
The property was 99% leased as of December 2011 compared to 98% at
last review. Property performance has improved due to an increase
base and percentage rents as well as expense reimbursements. The
loan benefits from amortization and matures in March 2014. Moody's
credit assessment and stressed DSCR are Aa2 and 2.27X,
respectively, compared to Aa3 and 1.93X at last review.
The top three performing conduit loans represent 19% of the pool
balance. The largest loan is the Maritime Plaza I and II Loan
($67.1 million -- 8.9% of the pool), which is secured by two
office buildings (totaling 351,452 SF) located in the Capitol Hill
submarket of Washington, D.C. The properties were 93% leased as of
January 2012 compared to 95% at last review. The largest tenant is
Computer Sciences Corporation (45% of the NRA; lease expirations
in October 2013 and November 2014). Property performance has been
stable. The loan benefits from amortization and matures in March
2014. Moody's LTV and stressed DSCR are 73% and 1.33X,
respectively, compared to 74% and 1.31X at the last review.
The second largest loan is the 280 Metro Center Loan ($41.4
million -- 5.5% of the pool), which is secured by a 213,787 SF
anchored retail center located in Colma, California (approximately
10 miles south of San Francisco). The center is anchored by
Marshalls (15% of the NRA, lease expiration January 2022) and
Nordstrom rack (14% of the NRA, lease expiration August 2017) and
shadow-anchored by Home Depot, Best Buy and Joann's Fabrics. The
property was 99% leased as of June 2012 compared to 98% at last
review. The loan benefits from amortization and matures in
December 2013. Moody's LTV and stressed DSCR are 81% and 1.21X,
respectively, compared to 82% and 1.19X at last review.
The third largest loan is the Torrance Town Center Loan ($31.9
million -- 4.3% of the pool), which is secured by a 259,476 SF
anchored retail center located in Torrance, California. The center
is anchored by Kohl's (37% of the NRA; lease expiration in January
2024). The property was 100% leased as of February 2012, the same
as last review. Property performance has improved due to an
increase in rental revenues. The loan benefits from amortization
and matures in November 2013. Moody's LTV and stressed DSCR are
75% and 1.34X, respectively, compared to 79% and 1.26X at last
review.
LCM VIII: S&P Says 'CCC'-Rated Obligations Way Below 7.50% Ratio
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, and D notes from LCM VIII L.P., a U.S. collateralized loan
obligation (CLO) managed by LCM Asset Management LLC. "In
addition, we affirmed our rating on the class A notes," S&P said.
"The upgrades reflect improvement in the credit quality of the
underlying assets since the transaction became effective in
January 2011. The affirmed rating reflects our belief that the
credit support available is commensurate with the current 'AAA
(sf)' rating," S&P said.
"According to the Sept. 5, 2012, trustee report, the transaction
held $1.00 million in 'CCC' rated collateral, down from $7.48
million noted in the Jan. 5, 2011, effective date trustee report.
When calculating the overcollateralization (O/C) ratios, the
trustee haircuts a portion of the 'CCC' rated collateral that
exceeds the threshold specified in the transaction documents. The
transaction has not breached this threshold since the
transaction's effective date. As of the September 2012 trustee
report, the trustee reported 0.33% in 'CCC' rated obligations,
well below the threshold of 7.50%," S&P said.
"Further, in the time since the effective date trustee report, the
amount of assets in the transaction's underlying collateral pool
with a rating of 'BB-' and above has increased $10.64 million.
There has also been an offsetting decrease in the amount of assets
with a rating of 'B+' and below. Currently, the transaction is not
holding any defaulted assets in its underlying collateral pool,"
S&P said.
Over the same time period, the transaction's senior note, class C,
and class D O/C ratio tests have remained stable, and the weighted
average spread has increased by 0.08%.
"Standard & Poor's notes that the transaction is currently passing
its interest reinvestment test -- which is the class D O/C ratio
measured at a higher level (than the class D O/C test) in the
interest section of the payment waterfall. The transaction is
structured such that if it fails this test during the reinvestment
period, which is scheduled to end January 2014, the collateral
manager may reinvest an amount -- equal to the lesser of 60.00% of
the available interest proceeds and the amount necessary to cure
the test -- into additional collateral. The transaction has not
failed this test in the period since it went effective. According
to the September 2012 trustee report, the interest reinvestment
test result was 115.42%, which is above the required minimum of
111.90%," S&P said.
"Our review of this transaction included a cash flow analysis,
which we based on the portfolio and transaction as reflected in
the trustee report, to estimate future performance. In line with
our criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. In addition, our analysis considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches. The results of the cash
flow analysis demonstrated, in our view, that all of the rated
outstanding classes have adequate credit enhancement available at
the rating levels associated with this rating action," 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 ACTIONS
LCM VIII L.P.
Rating
Class To From
A AAA (sf) AAA (sf)
B AA+ (sf) AA (sf)
C A+ (sf) A (sf)
D BBB+ (sf) BBB (sf)
MARKET SQUARE: S&P Affirms 'B+' Rating on Class D Notes; Off Watch
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Market Square CLO Ltd. "At the same time, we
affirmed our ratings on the class A and D notes and removed our
ratings on the class B, C, and D notes from CreditWatch, where we
placed them with positive implications in July 2012. Market Square
CLO Ltd is a collateralized loan obligation (CLO) transaction that
is managed by CIFC Asset Management," S&P said.
"The upgrades reflect significant paydowns to the class A notes
and the subsequent increase in overcollateralization ratios. Since
our December 2011 rating actions, the transaction has paid down
the class A notes more than $58 million, and since the
reinvestment period ended in April 2011 the transaction has paid
down the class A notes more than $118 million. The upgrades also
reflect the improved credit performance of the collateral in the
transaction's asset portfolio. Since our December 2011 rating
actions the percentage and overall balance of 'CCC' rated assets
has decreased," S&P said.
"The rating action on the class D notes was driven by the
application of our largest obligor test for corporate CDOs," S&P
said.
"As of the Sept. 10, 2012, trustee report, the transaction has
roughly $6.3 million of long-dated assets, meaning that have
maturity dates beyond the legal final maturity of the transaction
in April 2017. Exposure to these long-dated assets subjects the
transaction to potential market value risk, as the manager may
have to liquidate these securities when the transaction matures in
order to pay down the notes on their final maturity date. The
rating actions reflect this potentially negative exposure," 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 ACTIONS
Market Square CLO Ltd.
Rating
Class To From
B AA+ (sf) A+ (sf)/Watch Pos
C A- (sf) BBB(sf)/Watch Pos
D B+ (sf) B+ (sf)/Watch Pos
RATING AFFIRMED
Market Square CLO Ltd.
Class Rating
A AAA (sf)
MERCURY CDO II: S&P Affirms 'CC' Rating on Class A-1 Notes
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its rating on the
class A-1 notes from Mercury CDO II Ltd. The trustee received
notice of acceleration on Jan. 5, 2009. The class A-1 has paid
down to 74.36 % of its original balance and continues to be
current in its interest payments. However, based on the trustee
report dated Aug. 27, 2012, the transaction has acknowledged
$434.30 million in defaulted obligations. The transaction holds
$199.94 million performing securities (including cash held in
principal account). The overcollateralization ratio for class A/B
is 22.40%.
"The affirmation reflects our belief that the credit support
available is commensurate with the current rating levels," S&P
said.
Standard & Poor's will continue to review whether, in its view,
the ratings on the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AFFIRMED
Mercury CDO II Ltd.
Class Rating
A-1 CC (sf)
OUTSTANDING RATINGS
Mercury CDO II Ltd.
Class Rating
A-2 D (sf)
B D (sf)
C D (sf)
D D (sf)
ML-CFC 2006-3: Moody's Cuts Rating on Class C Certs. to 'Caa2'
--------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
and affirmed 14 classes of ML-CFC Commercial Mortgage Trust 2006-
3, Commercial Mortgage Pass-Through Certificates, Series 2006-3 as
follows:
Cl. A-2, Affirmed at Aaa (sf); previously on Nov 30, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on Nov 30, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on Nov 30, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Nov 30, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Nov 30, 2006
Definitive Rating Assigned Aaa (sf)
Cl. AM, Affirmed at Aa3 (sf); previously on Dec 2, 2010
Downgraded to Aa3 (sf)
Cl. AJ, Downgraded to Ba2 (sf); previously on Dec 2, 2010
Downgraded to Baa3 (sf)
Cl. B, Downgraded to B1 (sf); previously on Dec 2, 2010
Downgraded to Ba2 (sf)
Cl. C, Downgraded to Caa2 (sf); previously on Dec 2, 2010
Downgraded to Caa1 (sf)
Cl. D, Affirmed at Caa3 (sf); previously on Dec 2, 2010
Downgraded to Caa3 (sf)
Cl. E, Affirmed at Ca (sf); previously on Dec 2, 2010
Downgraded to Ca (sf)
Cl. F, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. G, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Dec 2, 2010 Downgraded
to C (sf)
Cl. XC, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. XP, Affirmed at Aaa (sf); previously on Nov 30, 2006
Definitive Rating Assigned Aaa (sf)
Ratings Rationale
The downgrades are due to higher expected losses from specially
serviced and troubled loans. The affirmation of the principal
classes are due to sufficient credit enhancement levels for the
current ratings. Based on Moody's current base expected loss, the
credit enhancement levels for the affirmed classes are sufficient
to maintain their ratings. The ratings of the IO Classes, Class XC
and XP are affirmed since they are consistent with the credit
performance of their referenced classes.
Moody's rating action reflects a base expected loss of 7.9% of the
current balance compared to 7.1% at last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS
transactions on moodys.com at
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
underlying credit assessment of the loan which corresponds to a
range of credit enhancement levels. Actual fusion credit
enhancement levels are selected based on loan level diversity,
pool leverage and other concentrations and correlations within the
pool. Negative pooling, or adding credit enhancement at the
underlying rating level, is incorporated for loans with similar
credit assessments in the same transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point. For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 37, the same as at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 3, 2011.
Deal Performance
As of the October 12, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 10% to $2.18
billion from $2.43 billion at securitization. The Certificates are
collateralized by 194 mortgage loans ranging in size from less
than 1% to 11% of the pool. No loans have defeased.
Sixty-five loans, representing 40% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
The trust has aggregate realized loss of $64.6 million.
Approximately $42.1 million of the realized losses are from 17
loans that liquidated from the trust (42% loss severity overall)
while the remainding losses are the result of loan modifications
or reimbursement of servicer advances.
Currently 17 loans, representing 8% of the pool, are in special
servicing. The specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $85.5 million loss
for the specially serviced loans (49% expected loss on average).
Based on the most recent remittance statement, Classes E through Q
have experienced cumulative interest shortfalls totaling $15.8
million. Moody's anticipates that interest shortfalls may increase
due to workout fees associated with the payoff of modifed loans.
Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate
entitlement reductions (ASERs), extraordinary trust expenses and
non-advancing by the master servicer based on a determination of
non-recoverability
Moody's has assumed a high default probability for 25 poorly
performing loans representing 5% of the pool and has estimated an
aggregate $21.3 million loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 95% and 63% of the performing pool
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 108% compared to 111% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 10.9% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.5%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.21X and 0.99X, respectively, compared to
1.17X and 0.96X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 23% of the pool.
The largest conduit loan is The Atrium Hotel Portfolio Loan
($244.3 million -- 11.2% of the pool), which is secured by six
full service hotels totaling 1,473 guestrooms. The portfolio
consists of five hotels which operate under the Embassy Suites
franchise and one independent hotel. As of December 2011, the
portfolio's occupancy, ADR, and RevPAR were 72%, $121, and $89
respectively. The loan's interest only period ended last year and
the loan is now amortizing on a 30-year schedule through maturity.
Moody's LTV and stressed DSCR are 153% and 0.76X, respectively,
compared to 153% and 0.76X at last review.
The second largest loan is the Stonestown Mall Loan ($144.9
million -- 6.6% of the pool), which is secured by the borrower's
interest in an 860,500 square foot regional mall and adjacent
56,000 square foot medical office building located in San
Francisco, California. The borrower is an affiliate of General
Growth Properties Inc. (GGP) and the loan had been included in
GGP's bankruptcy filing. The center is anchored by Macy's and
Nordstrom, which are not part of the collateral. The property was
86% leased as of March 2012 compared to 72% at last review.
Performance has slightly improved as occupancy has improved.
Moody's LTV and stressed DSCR are 94% and 1.10X, respectively,
compared to 104% and 0.99X at last review.
The third largest loan is Wilton Portfolio Pool I Loan ($118.7
million -- 5.4% of the pool), which is secured by 45 commercial
properties located in and around Richmond, Virginia. The portfolio
totals 1.9 million square feet and consists of retail (77% of the
allocated loan balance), industrial/flex (18%) and office (5%).
Overall, the portfolio is stable and benefiting from amortization.
Moody's LTV and stressed DSCR are 100% and 1.07%, respectively,
compared to 98% and 1.05X at last review.
ML-CFC 2007-5: Fitch Cuts Ratings on Seven Certificate Classes
--------------------------------------------------------------
Fitch Ratings has downgraded seven classes and affirmed 16 classes
of ML-CFC Commercial Mortgage Trust's commercial mortgage pass-
through certificates, series 2007-5.
The downgrades reflect an increase in Fitch modeled losses across
the pool. Fitch modeled losses of 19% of the original pool
(including losses of 1.9% incurred to date), compared to 15.7%
modeled at the previous rating action. The increase is
predominantly due to updated valuations of specially serviced
loans, many of which experienced declines in cash flow over the
past year. There are currently 30 specially serviced loans
(33.4%) in the pool.
As of the October 2012 distribution date, the pool's aggregate
principal balance was $4.1 billion, down from $4.4 billion at
issuance. There are no defeased loans. There are cumulative
interest shortfalls in the amount of $49.5 million currently
affecting classes AJ through Q.
Fitch has identified 80 loans (45.7%) as Fitch Loans of Concern,
which includes 30 specially serviced loans (33.4%). Fitch
maintains a negative outlook on the AM classes based on continued
concerns regarding declining values on loans in special servicing
as well as the pool's high leverage. A number of loans within the
top 15 have loan to values (LTV)s in excess of 90%, which can
impact a loan's ability to refinance at maturity.
The largest contributor to losses was Peter Cooper
Village/Stuyvesant Town (PCV/ST) (19.62%), which comprises 56
multi-story buildings, situated on 80 acres, and includes a total
of 11,227 apartments. The loan transferred to special servicing
in November 2009. Property performance continues to be below what
is needed to service the debt; however, the securitized loan
balance per unit ($267,213) is low relative to other NYC
multifamily properties. The most recent servicer-reported debt
service coverage ratio (DSCR) is 0.66x and occupancy is 99% as of
October 2012.
The second largest contributor to losses was Resurgens Plaza
(1.99%), which transferred to special servicing in April 2011 and
was foreclosed upon in December 2011. The loan is secured by a
393,107 sf office property located in Atlanta, GA. The property
is currently REO. As of August 2012, the asset was 66.5%
occupied. The special servicer plans to renovate and re-stabilize
the asset over the next nine months. However, Fitch expects
significant losses based on a recent valuation.
The third largest contributor to losses was H.S.A. Memphis
Industrial Portfolio (1.64%), which transferred to special
servicing in September 2010 for imminent monetary default. The
loan is secured by 15 office/flex/industrial properties with over
1.5 million square feet disbursed across three industrial parks in
Memphis, TN. Foreclosure occurred in October 2011 and the
properties are currently REO.
Fitch downgrades, affirms Outlooks and assigns Recovery Estimates
on the following classes as indicated:
-- $341.7 million class AM to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $100 million class AM-FL to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $77.3 million class B to 'CCsf' from 'CCCsf; RE 0%;
-- $33.1 million class C to 'CCsf' from 'CCCsf; RE 0%;
-- $77.3 million class D to 'Csf' from 'CCsf'; RE 0%;
-- $38.6 million class E to 'Csf' from 'CCsf'; RE 0%;
-- $4 million class L to 'Dsf' from 'Csf'; RE 0%.
In addition, Fitch affirms the following classes:
-- $8.1 million class A-2 at 'AAAsf'; Outlook Stable;
-- $4.5 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $3.2 million class A-2FX at 'AAAsf'; Outlook Stable;
-- $153.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $167.7 million class A-SB at 'AAAsf'; Outlook Stable;
-- $1.09 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $245 million class A-4FL at 'AAAsf'; Outlook Stable;
-- $1.17 billion class A-1A at 'AAAsf'; Outlook Stable;
-- $211.5 million class AJ at 'CCCsf'; RE 15%;
-- $175 million class AJ-FL at 'CCCsf'; RE 15%;
-- $55.2 million class F at 'Csf'; RE 0%;
-- $49.7 million class G at 'Csf'; RE 0%;
-- $49.7 million class H at at 'Csf'; RE 0%;
-- $16.6 million class J at 'Csf'; RE 0%;
-- $11 million class K at 'Csf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%.
Fitch does not rate class M, P, and Q. Class A-1 is paid in full.
The rating on class X was previously withdrawn.
MORGAN STANLEY 2004-4: Moody's Cuts 1-A-8 Tranche Rating to 'Caa1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche,
and downgraded the ratings of 16 tranches from Morgan Stanley
Mortgage Loan Trust 2004-4.
Ratings Rationale
The actions are a result of the recent performance of the
underlying Alt-A pools and reflect Moody's updated loss
expectations on these pools. The upgrade on Cl. 1-A-13 is due to
faster pay-down of the bond than previously anticipated.
The downgrades are a result of deteriorating performance of the
pools resulting in higher expected losses for the 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 "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
Interest-Only Securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
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 and Option Arm pools,
Moody's first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. 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 2004 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 0.50 to 2.0 for current delinquencies that range from less
than 2.5% to greater than 30% 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.
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 7.8% in October 2012. Moody's expects a
further drop to 7.5% from 2014. Moody's expects house prices to
drop another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: Morgan Stanley Mortgage Loan Trust 2004-4
Cl. 1-A-3, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-4, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-5, Downgraded to B2 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-8, Downgraded to Caa1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-9, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-10, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-11, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-12, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 1-A-13, Upgraded to Baa2 (sf); previously on Mar 10, 2011
Downgraded to Ba1 (sf)
Cl. 1-A-14, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba1 (sf)
Cl. 1-A-15, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba1 (sf)
Cl. 1-A-X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. 1-A-P, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 2-A, Downgraded to B2 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 3-A, Downgraded to B1 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
Cl. 3-A-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. 3-A-P, Downgraded to B2 (sf); previously on Mar 10, 2011
Downgraded to Ba2 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF302772
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
MORGAN STANLEY 2005-IQ10: S&P Cuts Rating on Class J Certs to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating to 'D (sf)'
from 'CCC- (sf)' on the class J commercial mortgage pass-through
certificates from Morgan Stanley Capital I Trust 2005-IQ10, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
"We downgraded class J due to principal losses totaling $3.6
million (as of the Oct. 15, 2012, trustee remittance report)
resulting from the liquidation of the specially serviced Barrett
Office Center I & II asset. The asset was liquidated at a loss
severity of 52.1% (totaling $3.6 million in principal losses) on
the $7.0 million beginning scheduled balance. Consequently, class
J incurred a 54.6% loss to its $3.9 million original principal
balance, while class K lost 100% of its $1.5 beginning principal
balance. We previously lowered our rating on class K to 'D (sf)',"
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
MORGAN STANLEY 2012-C6: Fitch Puts Low-B Ratings on 2 Certificates
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
the Morgan Stanley Capital I, Inc. MSBAM 2012-C6 (MSBAM 2012-C6)
commercial mortgage pass-through certificates:
-- $67,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $236,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $72,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $411,447,000 class A-4 'AAAsf'; Outlook Stable;
-- $98,306,000b class A-S 'AAAsf'; Outlook Stable;
-- $50,557,000b class B 'AAsf'; Outlook Stable;
-- $192,399,000b class PST 'Asf'; Outlook Stable;
-- $43,536,000b class C 'Asf'; Outlook Stable;
-- $884,753,000a,c class X-A 'AAAsf'; Outlook Stable;
-- $94,093,000a,c class X-B 'Asf'; Outlook Stable;
-- $21,065,000a class D 'BBB+sf'; Outlook Stable;
-- $40,727,000a class E 'BBB-sf'; Outlook Stable;
-- $9,831,000a class F 'BBB-sf'; Outlook Stable;
-- $19,661,000a class G 'BBsf'; Outlook Stable;
-- $12,639,000a class H 'Bsf'; Outlook Stable.
a Privately placed pursuant to Rule 144A.
b Class A-S, class B, and class C certificates may be exchanged
for class PST certificates, and class PST certificates may be
exchanged for class A-S, class B and class C certificates.
c Notional amount and interest only.
Fitch does not rate the $144,650,393 interest-only class X-C or
the $40,727,393 class J.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 61 loans secured by 76 commercial
properties having an aggregate principal balance of approximately
$1.12 billion as of the cutoff date. The loans were contributed
to the trust by Morgan Stanley Mortgage Capital Holdings LLC and
Bank of America, National Association.
A detailed description of Fitch's rating analysis including key
rating drivers, stresses, rating sensitivity, analysis, model,
criteria application and data adequacy is available in Fitch's
presale report dated Oct. 1, 2012.
MOTEL 6 2012-MTL6: Fitch Issues Presale Report on Several Certs.
----------------------------------------------------------------
Fitch Ratings has issued a presale report on Motel 6 Trust 2012-
MTL6 Commercial Mortgage Pass-Through Certificates, Series 2012-
MTL6.
Fitch expects to rate the transaction and assign Outlooks as
follows:
-- $105,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $404,500,000 class A-2 'AAAsf'; Outlook Stable;
-- $404,500,000* class XA-1 'AAAsf'; Outlook Stable;
-- $509,500,000* class XA-2 'AAAsf'; Outlook Stable;
-- $540,500,000** class XB-1 'BB+sf'; Outlook Stable;
-- $540,500,000** class XB-2 'BB+sf'; Outlook Stable;
-- $189,900,000 class B 'AA-sf'; Outlook Stable;
-- $145,100,000 class C 'A-sf'; Outlook Stable;
-- $185,500,000 class D 'BBB-sf'; Outlook Stable;
-- $20,000,000 class E 'BB+sf'; Outlook Stable.
* Interest-only class; XA-1 is equal to the notional of class A-2
and XA-2 is equal to notional balance of classes A-1 and A-2.
** Interest-only class; notional balance of classes B, C, D and E.
The expected ratings are based on information provided by the
issuer as of Oct. 19, 2012.
The certificates represent the beneficial ownership in the trust,
the primary asset of which is one loan having an aggregate
principal balance of approximately $1.05 billion as of the cutoff
date and primarily secured by 517 hotel properties, and equity
pledges and cash flow pledges from entities that own the
intellectual property and are a party to franchise agreements with
third-party owned hotels. The loan was originated by JP Morgan
Chase Bank, National Association, German American Capital
Corporation and Citigroup Global Markets Realty Corp.
Fitch reviewed the transaction's collateral, including cash flow
analysis, third party reports, loan documents, an asset summary
review and site inspections.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.55 times, a Fitch stressed loan-to value (LTV) of
68.5%, and a Fitch debt yield of 12.817.5%. Fitch's net cash flow
represents a variance of approximately 10% to the issuer cash
flow.
The Master Servicer and Special Servicer will be KeyCorp Real
Estate Capital Markets, Inc. rated 'CMS1' and 'CSS2+',
respectively, by Fitch.
MOTEL 6 2012-MTL6's: S&P Gives Prelim BB+ Rating on Class E Certs.
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Motel 6 Trust 2012-MTL6's $1.05 billion commercial
mortgage pass-through certificates series 2012-MTL6.
"The note issuance is a commercial mortgage-backed securities
transaction backed by a $1.05 billion commercial mortgage loan
secured by (1) 508 limited-service and extended-stay hotels; (2)
intellectual property (IP), including a borrower's interests in
the IP license agreements; (3) the payment guarantor's equity
interests in the IP borrower and the franchisors; and (4) a pledge
of all cash flows from nine properties with ground leases that
have not been assigned to the borrowers or do not permit a
mortgage," S&P said.
The preliminary ratings are based on information as of Oct. 25,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect our view of the transaction's
structure, the collateral's historical and projected performance,
the sponsor's and manager's experience, the trustee-provided
liquidity, the loan's terms, and the relative diversity of the
collateral pool," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
PRELIMINARY RATINGS ASSIGNED
Motel 6 Trust 2012-MTL6
Class Rating Amount
(mil. $)
A-1 AAA (sf) 105,000,000
A-2 AAA (sf) 404,500,000
XA-1 AAA (sf) 404,500,000(i)
XA-2 AAA (sf) 509,500,000(i)
XB-1 BB+ (sf) 540,500,000
XB-2 BB+ (sf) 540,500,000
B AA- (sf) 189,900,000
C A- (sf) 145,100,000
D BBB- (sf) 185,500,000
E BB+ (sf) 20,000,000
R NR N/A
(i) Notional balance.
NR - Not rated.
N/A - Not applicable.
NORTHSTAR 2012-1: S&P Rates $12.2-Mil. Class F Certificates 'B'
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to NorthStar 2012-1 Mortgage Trust's $351.4 million
commercial mortgage pass-through certificates.
The note issuance is a commercial mortgage-backed securities
transaction backed by 14 commercial mortgage loans with an
aggregate principal balance of $351.4 million, secured by the fee
interest in 19 properties across eight states.
The preliminary ratings are based on information as of Oct. 23,
2012. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
"The preliminary ratings reflect our view of the credit support
provided by the transaction structure, our view of the economics
of the underlying collateral, the trustee-provided liquidity, the
relative diversity of the collateral pool, and our overall
qualitative assessment of the transaction," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1053.pdf
PRELIMINARY RATINGS ASSIGNED
NorthStar 2012-1 Mortgage Trust
Class Rating Amount
($)
A AAA (sf) 152,864,000
X-WAC(ii) BBB (sf) 227,540,000(i)
X-LF(ii) NR 290,987,400(i)
B AA (sf) 30,310,000
C A (sf) 24,160,000
D BBB (sf) 20,206,000
E(ii) BB (sf) 25,917,000
F(ii) B (sf) 12,299,000
G(ii) NR 85,657,751
R(ii) NR N/A
LR(ii) NR N/A
(i) Notional balance. Interest losses are allocated to the class
X-WAC and X-LF certificates based on their respective
entitlements pro rata.
(ii)Non-offered certificates.
NR - Not rated.
N/A - Not applicable.
NXT CAPITAL 2012-1: S&P Gives 'BB' Rating on Class E Def Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on NXT
Capital CLO 2012-1 LLC $257.25 million floating-rate notes
following the transaction's effective date as of Aug. 3, 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 ill 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 Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
NXT Capital CLO 2012-1 LLC
Class Rating Amount (mil. $)
A AAA (sf) 173.500
B AA (sf) 20.500
C (deferrable) A (sf) 24.000
D (deferrable) BBB (sf) 15.500
E (deferrable) BB (sf) 23.750
PAMEX MORTGAGE: Moody's Lowers Rating on M-3 Tranche to 'Caa2'
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches from PAMEX Mortgage Trust 1999-A.
Ratings Rationale
The actions are a result of the recent performance of the
underlying Alt-A pool and reflect Moody's updated loss
expectations on the pool.The downgrades are a result of
deteriorating performance of the pool resulting in higher expected
losses for the 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 "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
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 and Option Arm pools,
Moody's first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. 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 2004 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 0.50 to 2.0 for current delinquencies that range from less
than 2.5% to greater than 30% 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 senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The 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 7.8% in October 2012. Moody's expects a
further drop to 7.5% by 2014. Moody's expects house prices to drop
another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: PAMEX Mortgage Trust 1999-A
A, Downgraded to Baa1 (sf); previously on Mar 25, 2011 Downgraded
to A2 (sf)
M-1, Downgraded to Baa3 (sf); previously on Mar 25, 2011
Downgraded to Baa1 (sf)
M-2, Downgraded to B1 (sf); previously on Mar 25, 2011 Downgraded
to Ba2 (sf)
M-3, Downgraded to Caa2 (sf); previously on Mar 25, 2011
Downgraded to B1 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF302717
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
PREFERRED TERM VII: S&P Withdraws 'BB+' Rating on Class A-2 Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on two
classes of notes from two U.S. collateralized debt obligation
(CDO) transactions backed by pools of trust preferred securities
(TruPs).
The withdrawals follow the complete paydown of the notes on their
most recent payment date.
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
Preferred Term Securities VII Ltd.
Rating Rating
Class To From
A-2 NR BB+ (sf)
TPref Funding III Ltd.
Rating Rating
Class To From
A-1 NR A+ (sf)
NR - Not rated.
PREMIUM LOAN I: Moody's Cuts $11MM Class C Notes Rating to 'Caa2'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of the following
note issued by Premium Loan Trust I, Ltd.:
U.S.$10,000,000 Class B Deferrable Senior Secured Notes Due
October 25, 2014 (current outstanding balance of $7,986,834),
Upgraded to Aaa (sf); previously on Dec 29, 2011 Confirmed at
A1 (sf)
In addition, Moody's Investors Service has downgraded the rating
of the following note:
U.S.$11,000,000 Class C Secured Notes Due October 25, 2014
(current outstanding balance of $12,627,473), Downgraded to
Caa2 (sf); previously on Dec 29, 2011 Confirmed at Caa1 (sf)
Ratings Rationale
According to Moody's, the rating action taken on the Class B notes
are primarily a result of deleveraging of the notes and an
increase in the transaction's Class B overcollateralization ratio
since the rating action in December 2011. Moody's notes that the
Class B Notes have been paid down by approximately 26% or $2.7
million since the last rating action, including a repayment of all
outstanding deferred interest. Based on the latest trustee report
dated August 31, 2012, the Class B overcollateralization ratio is
reported at 206.47% versus November 2011 level of 148.97%.
The rating action taken on the Class C notes is primarily a result
of a reduction in the transaction's Class C overcollateralization
ratio since the rating action in December 2011. In the current
trustee report, the Class C overcollateralization ratio is
reported at 80.00% versus the level of 100.15% in December 2011.
The ratio has declined in part due to an increase in defaulted par
from 12.4% to 26.7% of total portfolio par since the last rating
action. In addition, the amount of deferred interest that has
accrued on the Class C notes has increased. Moody's expects the
shortfall between interest receipts and required payments on the
Class C Notes to continue. Moreover, all principal proceeds will
be used to delever the Class B Notes before any payments to the
junior notes are made. As a result, the rating actions reflect
concerns about the high likelihood of continued interest deferral
on the Class C Notes.
Moody's also notes that the underlying portfolio includes a number
of investments in securities that mature after the maturity date
of the notes. According to Moody's, securities that mature after
the maturity date of the notes currently make up approximately 6%
of the underlying portfolio. These investments potentially expose
the notes to market risk in the event of liquidation at the time
of the notes' maturity.
Due to the impact of revised and updated key assumptions
referenced in "Moody's Approach to Rating Collateralized Loan
Obligations" published in June 2011, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, diversity score, and weighted average recovery rate, may
be different from the trustee's reported numbers. In its base
case, Moody's analyzed the underlying collateral pool to have a
performing par and principal proceeds balance of $18.6 million,
defaulted par of $6.8 million, a weighted average default
probability of 14.26% (implying a WARF of 3659), a weighted
average recovery rate upon default of 44.18%, and a diversity
score of 11. The default and recovery properties of the collateral
pool are incorporated in cash flow model analysis where they are
subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability is derived from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Premium Loan Trust I Ltd., issued in November 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans. The CLO currently has 17 obligors and a
diversity score of 11.
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. For securities whose
default probabilities are assessed through credit estimates
("CEs"), Moody's applied additional default probability stresses.
For each CE where the related exposure constitutes more than 3% of
the collateral pool, Moody's applied a 2-notch equivalent assumed
downgrade (but only on the CEs representing in aggregate the
largest 30% of the pool) as described in Moody's Ratings
Implementation Guidance "Updated Approach to the Usage of Credit
Estimates in Rated Transactions", October 2009.
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% (2928)
Class B: 0
Class C: 0
Class D: 0
Moody's Adjusted WARF + 20% (4391)
Class B: 0
Class C: 0
Class D: 0
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.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability stresses Moody's may assume in lieu of updated
credit estimates. Moody's also conducted stress tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
5) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors that are rated Caa1 or lower, especially when they
experience jump to default.
6) Interest Payments on the Notes: Interest proceeds on the notes
are currently not sufficient to pay the Class C and D Notes
Principal and Interest Amount and principal proceeds are used to
delever the Class B Notes. As a result, the Class C Notes and
Class D Notes continue to defer interest payments.
7) Liquidation risk: As reported by the Trustee, on October 25,
2008 the transaction experienced an Event of Default caused by a
failure of the Overcollateralization Ratio with respect to the
Class A Notes to be at least equal to 103%, as required under
Section 5.1(d) of the Indenture dated November 18, 2004. This
Event of Default is continuing. As provided in Article V of the
Indenture during the occurrence and continuance of an event of
default, the Holders of at least 66-2/3% of the Aggregate
Outstanding Amount of each Class of Notes may direct the Trustee
to proceed with the sale and liquidation of the collateral,
potentially resulting in losses to the note holders.
RALI SERIES 2002-QS14: Moody's Cuts Rating on A-P Tranche to 'Ba3'
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 26
tranches from five RMBS transactions, backed by Alt-A loans,
issued by RALI.
Ratings Rationale
The actions are a result of the recent performance of Alt-A pools
originated before 2005 and reflect Moody's updated loss
expectations on these pools.The downgrades are a result of
deteriorating performance and/or 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 "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
Interest-Only Securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
Moody's adjusts the methodologies noted above for 1) Moody's
current view on loan modifications 2) small pool volatility.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until the end of 2013.
Small Pool Volatility
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 and Option Arm pools,
Moody's first applies a baseline delinquency rate of 10% for 2004,
5% for 2003 and 3% for 2002 and prior. 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 2004 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 0.50 to 2.0 for current delinquencies that range from less
than 2.5% to greater than 30% 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 senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The 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 7.8% in October 2012. Moody's expects a
further drop to 7.5% by 2014. Moody's expects house prices to drop
another 1% from their 4Q2011 levels before gradually rising
towards the end of 2013. Performance of RMBS continues to remain
highly dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
Complete rating actions are as follows:
Issuer: RALI Series 2002-QS14 Trust
A-10, Downgraded to A1 (sf); previously on Mar 30, 2011 Confirmed
at Aaa (sf)
A-11, Downgraded to A1 (sf); previously on Mar 30, 2011 Confirmed
at Aaa (sf)
A-12, Downgraded to A1 (sf); previously on Mar 30, 2011 Confirmed
at Aaa (sf)
A-P, Downgraded to A1 (sf); previously on Mar 30, 2011 Confirmed
at Aaa (sf)
Issuer: RALI Series 2002-QS16 Trust
A-1, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
A-2, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
A-3, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
A-P, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
Issuer: RALI Series 2003-QS13 Trust
A-1, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
A-2, Downgraded to Ba3 (sf); previously on Mar 30, 2011 Downgraded
to Baa3 (sf)
A-5, Downgraded to Ba2 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-6, Downgraded to Ba2 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-7, Downgraded to Ba2 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-8, Downgraded to Ba2 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-9, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
A-10, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
A-P, Downgraded to Ba3 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
Issuer: RALI Series 2003-QS12 Trust
A-1, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-2, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-3, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-4, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-5, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-P, Downgraded to Ba1 (sf); previously on Mar 30, 2011 Downgraded
to Baa2 (sf)
A-2A, Downgraded to Ba1 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
Issuer: RALI Series 2003-QS23 Trust
Cl. A-1, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
Cl. A-P, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Baa2 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF302719
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237256
RESIDENTIAL RE 2011: S&P Ups Rating on Class 5 Notes to 'BB-'
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on
Residential Reinsurance 2011 Ltd. Series 2011-I (Res Re 2011)
class 5 notes to 'BB-(sf)' from 'B(sf) and Residential Reinsurance
2012 Ltd. Series 2012-I (Res Re 2012) class 5 notes to 'BB(sf)'
from 'BB-(sf)', and removed each series from CreditWatch. "We
lowered these ratings on July 18, 2012, and placed them on
CreditWatch with negative implications. We updated the CreditWatch
status on Oct. 5, 2012," S&P said.
"Founded in 1997, Residential Reinsurance is an ongoing natural
peril catastrophe bond program sponsored by United Services
Automobile Assn. (AA+/Neg/--). Each class of notes covers annual
aggregate losses from hurricanes, earthquakes, severe
thunderstorms, winter storms, and wildfires. The current risk
period began on June 1, 2012," S&P said.
"When we took our initial rating actions, two severe thunderstorms
had already occurred (catastrophe series 77 and 78), resulting in
ultimate net loss estimates of $95 million and $45 million,
respectively. A third event had also occurred (catastrophe series
83), but it was too early to obtain a loss estimate," S&P said.
"Since then, the loss estimate related to catastrophe series 78
declined to less than the franchise deductible amount of $50
million, therefore this is no longer a covered event for either
issuance. The loss estimate from catastrophe series 83 was set at
$92 million, while the loss estimates from Hurricane Isaac were
also determined to be less than the franchise deductible. Total
covered loss estimates from the two covered catastrophic events
(77 and 83) are $187 million. When we lowered the ratings on the
notes in July, we indicated that there was the potential for a
ratings upgrade if covered losses did not increase - and that is
what occurred," S&P said.
"We have received updated information from catastrophe risk
modeler, AIR Worldwide Corp., regarding the probability of
attachment for each class of notes for the remainder of the risk
period. We applied adjustments to the warm sea-surface temperature
results to reflect that the probability of attachment may be
greater than anticipated. We then assigned the rating by selecting
the next rating category below this adjusted probability of
attachment from our insurance-linked securities default table,"
S&P said.
RATINGS LIST
Ratings Upgraded/Off CreditWatch
To From
Residential Reinsurance 2011 Ltd.
Series 2011-I Class 5 BB-(sf) B(sf)/
Watch/Neg
Residential Reinsurance 2012 Ltd.
Series 2012-I Class 5 BB(sf) BB-(sf)/
Watch Neg
RFMSI SERIES 2006-S12: Moody's Cuts Ratings on $287MM of RMBS
-------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 13
tranches issued by RFMSI Series 2006-S12 Trust. The collateral
backing this deal primarily consists of first-lien, fixed-rate
prime Jumbo residential mortgages. The downgrades impact
approximately $287 million of RMBS.
Complete rating actions are as follows:
Issuer: RFMSI Series 2006-S12 Trust
Cl. II-A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. II-A-2, Downgraded to Caa1 (sf); previously on Jul 19, 2011
Confirmed at B2 (sf)
Cl. II-A-5, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. II-A-P, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. II-A-V, Downgraded to Caa1 (sf); previously on Jul 19, 2011
Confirmed at B2 (sf)
Cl. III-A-1, Downgraded to Caa1 (sf); previously on May 30, 2012
B1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Caa2 (sf); previously on Jul 19, 2011
Downgraded to Caa1 (sf)
Cl. III-A-3, Downgraded to Caa2 (sf); previously on Jul 19, 2011
Downgraded to Caa1 (sf)
Cl. III-A-4, Downgraded to Caa2 (sf); previously on Jul 19, 2011
Downgraded to Caa1 (sf)
Cl. III-A-7, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. III-A-9, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. III-A-P, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. III-A-V, Downgraded to Caa1 (sf); previously on Jul 19, 2011
Confirmed at B2 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying prime jumbo pools and reflect Moody's updated loss
expectations on these pools. The downgrades are a result of
deteriorating performance of the pools resulting in higher
expected losses for the 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. 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
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.
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 7.8% in September 2012. Moody's forecasts a
further drop to 7.5% for 2014. 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_SF303885
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
ROSEMONT CLO: Fitch Junks Rating on $4.4-Mil. Class D Notes
-----------------------------------------------------------
Fitch Ratings has affirmed one class of notes issued by Rosemont
CLO, Ltd./Corp. (Rosemont CLO) as follows:
-- $4,470,774 class D notes at 'CCsf', RE 90%.
Since Fitch's last rating action in November 2011 the class B-1,
B-2, and C notes, which at the time had a combined principal
balance of approximately $18.5 million, have all been paid in
full, leaving the class D notes as the senior-most remaining
class. The class D notes are slightly undercollateralized
compared to the performing portfolio balance, but could be repaid
in full depending on the future performance of the remaining
portfolio and the ultimate recovery values on the defaulted assets
in the portfolio.
After the Oct. 15, 2012 payment date Fitch considers the
performing portfolio to consist of eight loans totaling $4.1
million of par. One of these loans ($230 thousand par) is long-
dated and may therefore be subject to market value risk at the
transaction's maturity if it is sold at that time. An additional
$285 thousand of principal proceeds are expected to be available
shortly pending settlement of a trade. Finally there are 5
defaulted loans with a total par balance of approximately $2.9
million which may generate some recovery values prior to the
transaction's maturity.
Fitch believes the current 'CCsf' rating on the class D notes
remains appropriate due to the undercollateralization of these
notes when compared to the balance of performing assets plus
principal cash and the resultant dependence on recoveries from
defaulted assets to repay the notes in full. However Fitch
recognizes that repayment in full of these notes by their maturity
in October 2013 is possible given sufficient recovery proceeds and
the continued performance of the performing portfolio.
Fitch conducted cash flow modeling on the transaction primarily to
generate a recovery estimate 'RE' for the class D notes. In order
to account for the portfolio concentration risk, Fitch modeled the
transaction using the Obligor Concentration Uplift (OCU) feature
in Fitch's Portfolio Credit Model as the base case scenario and
used the outputs in its cash flow modeling. The assumed recovery
values on the defaulted assets were determined after a discussion
with the asset manager. Based on this analysis Fitch is
maintaining the current Recovery Estimate (RE) of 'RE 90%' on the
class D notes, reflecting the expected recovery to these notes in
a base-case default scenario. Recovery Estimates are designed to
provide a forward-looking estimate of recoveries on currently
distressed or defaulted structured finance securities rated
'CCCsf' or below. For further details on Recovery Ratings, please
see Fitch's report 'Structured Finance Recovery Estimates for
Distressed Securities'.
Rosemont CLO is a collateralized debt obligation that closed on
Jan. 8, 2002 and is managed by Deerfield Capital Management LLC, a
subsidiary of CIFC Corp. Deerfield Capital Corp. merged with
Commercial Industrial Finance Corp. in April 2011, creating a
newly named entity CIFC Corp. The transaction is scheduled to
mature in October 2013.
SECURITIZED PRODUCT 2005-1: Moody's Upds Rating on B Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Securitized Product of Restructured
Collateral Limited SPC, SERIES 2005-1:
U.S. $5,545,000 Class A2 Notes Due 2035 (current outstanding
balance of $1,612,776), Upgraded to Aaa (sf); previously on April
30, 2010 Downgraded to Baa2 (sf);
U.S. $5,545,000 Class B Notes Due 2035, Upgraded to Ba2 (sf);
previously on April 30, 2010 Downgraded to B2 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes since the
rating action in April 2010. Moody's notes that the Class A1 Notes
have been fully paid down and the Class A2 Notes have paid down by
approximately 71% or $3.9 million since the last rating action.
Additionally, according to the September 2012 trustee report for
Varick Structured Asset Fund (the "Underlying Securities"), there
is $5.4 million in the principal collection account. The Class A2
Notes are expected to amortize further by approximately $1.3
million from these principal proceeds on the November 2012 payment
date
Securitized Product of Restructured Collateral Limited SPC, Series
2005-1, issued on February 1, 2005, is a repackaging of the Class
A-1 First Priority Senior Secured Floating Rate Notes due 2035 and
the Class A-2 First Priority Senior Secured Floating Rate Notes
due 2035 issued by Varick Structured Asset Fund, Ltd. Varick
Structured Asset Fund, Ltd. is a collateralized debt obligation
issuance backed primarily by a diversified portfolio of structured
finance securities.
The methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, "Rating CDO Repacks: An
Application Of The Structured Note Methodology" published in
February 2004, and "Using the Structured Note Methodology to Rate
CDO Combo-Notes" published in February 2004.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the loss distribution for SF CDOs. Within this
framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values. Together, the
simulated defaults and recoveries across each of the Monte Carlo
scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
Moody's notes that in arriving at its ratings of SF CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Primary sources
of assumption uncertainty are the extent of the slowdown in growth
in the current macroeconomic environment and the commercial and
residential real estate property markets. While commercial real
estate property markets are gaining momentum, a consistent upward
trend will not be evident until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. Among the uncertainties in the residential
real estate property market are those surrounding future housing
prices, pace of residential mortgage foreclosures, loan
modification and refinancing, unemployment rate and interest
rates.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's Caa rated assets notched up by 2 rating notches:
Class A2: 0
Class B: 0
Moody's Caa rated assets notched down by 2 rating notches:
Class A2: 0
Class B: 0
SEQUOIA MORTGAGE: Fitch to Rate $2.5-Mil. Class-B Certs at 'BBsf'
-----------------------------------------------------------------
Fitch Ratings expects to rate Sequoia Mortgage Trust 2012-5.
Fitch's stress and rating sensitivity analysis are discussed in
the presale report titled 'Sequoia Mortgage Trust 2012-5', dated
Oct. 15, 2012, which is available on Fitch's web site.
Fitch expects to assign the following ratings:
-- $296,954,000 class A certificate 'AAAsf'; Outlook Stable;
-- $296,954,000 class A-IO notional certificate 'AAAsf'; Outlook
Stable;
-- $8,488,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $5,286,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $3,684,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $2,563,000 non-offered class B-4 certificate 'BBsf'; Outlook
Stable.
The non-offered class B-5 certificate will not be rated.
SIERRA TIMESHARE: Fitch Affirms 'BBsf' Rating on Class C Notes
--------------------------------------------------------------
Fitch Ratings has affirmed the Sierra Timeshare 2011-3 Receivables
Funding LLC (Sierra 2011-3) notes as follows:
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable;
-- Class C notes at 'BBsf'; Outlook Stable.
The rating affirmations reflect the ability of the transaction's
credit enhancement to provide loss coverage consistent with the
current rating. The Stable Outlook reflects Fitch's expectation
that the notes will remain sufficiently enhanced to cover the
'Asf' stressed loss levels for the next 12 to 18 months.
It is important to note that default performance is above Fitch's
initial expectations. However, due to the delevering structure of
the transaction, enhancement is adequate to support the higher
default pace.
Fitch will continue to monitor economic conditions and their
impact as they relate to timeshare asset-backed securities and the
trust level performance variables and update the ratings
accordingly.
SPRINGLEAF 2012-3: S&P Gives 'B' Rating on Class B-2 Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Springleaf Mortgage Loan Trust 2012-3's $1,030.568 million
mortgage-backed notes series 2012-3.
The note issuance is a residential mortgage-backed securities
transaction backed by residential mortgage loans.
The ratings reflect S&P's view of:
The likelihood that the subordination of 47.7%,38.65%,
33.70%, 27.40%, 23.60%, 17.50%, and 12.70% will be able to
withstand the rating agency's 'AAA', 'AA', 'A+', 'A-', 'BBB',
'BB', and 'B' stress scenarios, respectively, for this
portfolio, which is secured by residential mortgage loans.
Total credit enhancement comprises subordination, an interest
Shortfall reserve fund, excess interest, and
Overcollateralization.
The risks and mitigating factors S&P see based on the results
of Standard & Poor's Ratings Services' mortgage originator and
conduit reviews, third-party due-diligence review, and
representations and warranties review with respect to the
mortgage assets. Pursuant to earlier transactions, S&P
performed a full mortgage originator review of Springleaf
Finance Corp. (Springleaf), which included a review of its
acquisition program and an onsite review. S&P had previously
assigned a 'Middle Tier' ranking to Springleaf. Given that the
originator has since exited the origination business and less
than 1% of the loans in this transaction were originated in
the last two years, S&P will rely solely on the originator's
historical loan performance to inform our credit enhancement
factor.
The timing of losses, the foreclosed properties' recovery
value, and our default assumptions.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS ASSIGNED
Springleaf Mortgage Loan Trust 2012-3
Class Rating Amount
(mil. $)
A AAA (sf) 538.471
M-1 AA (sf) 93.782
M-2 A+ (sf) 51.013
M-3 A- (sf) 64.926
M-4 BBB (sf) 39.162
B-1 BB (sf) 62.864
B-2 B (sf) 49.468
C NR 130.882
NR - Not rated.
N/A - Not applicable.
TERWIN MORTGAGE: Moody's Lifts Rating on Cl. M-1 Tranche to 'Ba3'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
from Terwin Mortgage Trust, Series TMTS 2003-4HE, backed by
Subprime loans.
Ratings Rationale
The action is a result of the recent performance review of
Subprime pools originated before 2005 and reflect Moody's updated
loss expectations on these pools.
The methodologies used in this rating were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
The rating actions reflect recent collateral performance, Moody's
updated loss timing curves and detailed analysis of timing and
amount of credit enhancement released due to step-down. Moody's
captures structural nuances by running each individual pool
through a variety of loss and prepayment scenarios in the
Structured Finance Workstation(R) (SFW), the cash flow model
developed by Moody's Wall Street Analytics. This individual pool
level analysis incorporates performance variations across the
different pools and the structure of the transaction.
The above mentioned approach "Pre-2005 US RMBS Surveillance
Methodology" is adjusted slightly when estimating losses on pools
left with a small number of loans to account for the volatile
nature of small pools. Even if a few loans in a small pool become
delinquent, there could be a large increase in the overall pool
delinquency level due to the concentration risk. To project losses
on pools with fewer than 100 loans, Moody's first estimates a
"baseline" average rate of new delinquencies for the pool that is
dependent on the vintage of loan origination (11% for all vintages
2004 and prior). The baseline rates are higher than the average
rate of new delinquencies for larger pools for the respective
vintages.
Once the baseline rate is set, further adjustments are made based
on 1) the number of loans remaining in the pool and 2) the level
of current delinquencies in the pool. The volatility of pool
performance increases as the number of loans remaining in the pool
decreases. Once the loan count in a pool falls below 75, the rate
of delinquency is increased by 1% for every loan less than 75. For
example, for a pool with 74 loans from the 2004 vintage, the
adjusted rate of new delinquency would be 11.11%. In addition, if
current delinquency levels in a small pool is low, future
delinquencies are expected to reflect this trend. To account for
that, the rate calculated above is multiplied by a factor ranging
from 0.85 to 2.25 for current delinquencies ranging from less than
10% to greater than 50% respectively. Delinquencies for subsequent
years and ultimate expected losses are projected using the
approach described in the methodology publication listed above.
When assigning the final ratings to senior bonds, in addition to
the methodologies described above, Moody's considered the
volatility of the projected losses and timeline of the expected
defaults. For bonds backed by small pools, Moody's also considered
the current pipeline composition as well as any specific loss
allocation rules that could preserve or deplete the
overcollateralization available for the senior bonds at different
pace.
The above methodology only applies to pools with at least 40 loans
and a pool factor of greater than 5%. Moody's may withdraw its
rating when the pool factor drops below 5% and the number of loans
in the pool declines to 40 loans or lower unless specific
structural features allow for a monitoring of the transaction
(such as a credit enhancement floor).
The primary sources of assumption uncertainty are Moody's central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 9.0% in September 2011 to 7.8% in September 2012.
Moody's expects unemployment rate to stay between 7.5% to 8.5% in
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.
Complete rating actions are as follows:
Issuer: Terwin Mortgage Trust, Series TMTS 2003-4HE
Cl. M-1, Upgraded to Ba3 (sf); previously on Mar 4, 2011
Downgraded to B3 (sf)
A list of these actions including CUSIP identifiers may be found
at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF304331
A list of updated estimated pool losses, sensitivity analysis, and
tranche recovery details is being posted on an ongoing basis for
the duration of this review period and may be found at:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF237255
TRICADIA CDO: Fitch Hikes Rating on $12MM Cl. A-4L Notes to 'CCC'
-----------------------------------------------------------------
Fitch upgrades all classes of notes issued by Tricadia CDO 2003-1,
Ltd. as follows:
-- $2,538,525 class A-1LA notes upgraded to 'AAAsf' from 'B-';
Outlook Stable;
-- $8,500,000 class A-1LB notes upgraded to 'BBBsf' from
'CCCsf'; assigned Outlook Stable;
-- $11,038,525 class A-2L notes upgraded to 'BBBsf' from
'CCCsf'; assigned Outlook Stable;
-- $35,000,000 class A-3L notes upgraded to 'Bsf' from 'Csf';
assigned Outlook Stable;
-- $12,000,000 class A-4L notes upgraded to 'CCCsf' from '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 to conclude the rating actions for the rated notes.The
upgrades to all notes are the result of increased credit
enhancements due to continued deleveraging of the transaction and
improvement in the credit quality of the portfolio. The impact of
these factors is reflected in the cash flow model's breakeven
rates which are consistent with the ratings above.
The class A-1LA notes are expected to be paid in full on the next
distribution date in November given the sufficient coverage from
the proceeds available in the collection accounts. The notes have
amortized approximately $21.1 million since the last review,
leaving only 3.3% of the original note balance outstanding.
Upgrades to all classes in this transaction are supported by the
improved cash flow modeling results.
Since Fitch's last rating action in October 2011, the credit
quality of the portfolio collateral has improved, with
approximately 18.0% of the portfolio upgraded a weighted average
of 2 notches and 12.3% downgraded a weighted average of 1.7
notches. As of the most recent trustee report dated Sept. 27,
2012, the senior class A overcollateralization (OC) ratio is
passing its trigger of 114.0% at 176.0%, the class A OC ratio is
passing its trigger of 105.0% at 145.4%, and the class B
overcollateralization ratio is passing its trigger of 102.5% at
121.9%.
Tricadia is a static collateralized debt obligation (CDO)
monitored by Tricadia CDO Management, LLC, which closed Jan. 14,
2004. As of the Sept. 27, 2012 trustee report, the portfolio is
comprised of corporate and SF CDOs from primarily 2002 through
2006 vintage transactions.
US CAPITAL: Moody's Lifts Rating on Class A-2 Notes to 'Caa1'
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by U.S. Capital Funding V, Ltd.:
U.S.$193,000,000 Class A-l Floating Rate Senior Notes Due 2040
(current balance of $107,251,048.21), Upgraded to Ba2 (sf);
previously on November 3, 2010 Downgraded to B3 (sf);
U.S.$30,000,000 Class A-2 Floating Rate Senior Notes Due 2040,
Upgraded to Caa1 (sf); previously on November 3, 2010 Downgraded
to Caa3 (sf).
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A-1 Notes and an
increase in the transaction's overcollateralization ratios as well
as the improvement in the credit quality of the underlying
portfolio since the last rating action in November 2010.
Moody's notes that the the Class A-1 Notes have been paid down by
approximately 29% or $43.6 million since the last rating action,
due to diversion of excess interest proceeds and disbursement of
principal proceeds from redemptions of underlying assets. As a
result of this deleveraging, the Class A-1 Notes' par coverage
improved to 130.7% from 117.8% since the last rating action, as
calculated by Moody's. Based on the latest trustee report dated
October 3, 2012, the Senior Principal Coverage Ratio, Senior
Subordinate Principal Coverage Ratio, and Mezzanine Principal
Coverage Ratio are reported at 82.7% (limit 114.2%), 61.2% (limit
103.1%) and 56.7% (limit 102.6%), respectively, versus October
2010 levels of 86.4%, 68.1% and 63.9%, respectively. Going
forward, the Class A-1 Notes will continue to benefit from the
diversion of excess interest and the proceeds from future
redemptions of any assets in the collateral pool.
Moody's also notes that the deal benefited from an improvement in
the credit quality of the underlying portfolio. Based on Moody's
calculation, the weighted average rating factor (WARF) improved to
1045 compared to 2496 as of the last rating action date. The total
par amount of securities that Moody's treated as defaulted or
deferring declined to $144.4 million compared to $148.9 million as
of the last rating action date.
Due to the impact of revised and updated key assumptions
referenced in Moody's rating methodology, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, 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 of $142 million,defaulted/deferring par of $144.4
million, a weighted average default probability of 25.3% (implying
a WARF of 1045), Moody's Asset Correlation of 23.7%, and a
weighted average recovery rate upon default of 13.8%. In addition
to the quantitative factors that are explicitly modeled,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of triggering an Event of Default, recent deal
performance under current market conditions, the legal
environment, and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
US Capital Funding V, Ltd., issued in October 2006, is a
collateralized debt obligation backed by a portfolio of bank trust
preferred securities and senior secured bank loans.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks and senior secured bank loans. As Bank TruPS are generally
not publicly rated by Moody's, to evaluate their credit quality,
Moody's uses RiskCalc model, an econometric model developed by
Moody's KMV, to derive their credit scores. Moody's evaluation of
the credit risk for a majority of bank obligors in the pool relies
on FDIC financial data reported as of Q2-2012.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Rating Implementation Guidance "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The methodologies used in this rating were "Moody's Approach to
Rating TRUP CDOs" published in May 2011, and "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011.
The transaction's portfolio was modeled using CDOROM v.2.8-5 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge. CDOROM v.2.8-5 is
available on moodys.com under Products and Solutions -- Analytical
models, upon return of a signed free license agreement.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 300 points from the
base case of 1045, the model-implied rating of the Class A-1 Notes
is one notch worse than the base case result. Similarly, if the
WARF is decreased by 300 points, the model-implied rating of the
Class A-1 Notes is one notch better than the base case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first, Moody's gave par credit to
banks that are deferring interest on their TruPS but satisfy
specific credit criteria and thus have a strong likelihood of
resuming interest payments. Under this sensitivity analysis,
Moody's gave par credit to $17 million of bank TruPS. In the
second sensitivity analysis, Moody's ran alternative default-
timing profile scenarios to reflect the lower likelihood of a
large spike in defaults. Below is a summary of the impact 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:
Sensitivity Analysis 1:
Class A-1: +1
Class A-2: +3
Class A-3: +3
Class B-1: 0
Class B-2: 0
Sensitivity Analysis 2:
Class A-1: 0
Class A-2A: +1
Class A-3: 0
Class B-1: 0
Class B-2: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as Moody's outlook on the banking
sector remains negative, although there have been some recent
signs of stabilization. The pace of FDIC bank failures continues
to decline in 2012 compared to 2011, 2010 and 2009, and some of
the previously deferring banks have resumed interest payment on
their trust preferred securities.
VENTURE XI: S&P Rates $11-Mil. Class F Deferrable Notes 'B'
-----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Venture
XI CLO Ltd./Venture XI CLO Corp.'s $469.0 million floating-rate
notes.
The transaction is a cash flow collateralized loan obligation
securitization of a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The ratings reflect S&P's assessment of:
The credit enhancement provided to the rated notes through the
subordination of cash flows that are payable to the
subordinated notes.
The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
The transaction's legal structure, which is expected to be
bankruptcy remote.
The diversified collateral portfolio, which consists primarily
of broadly syndicated speculative-grade senior secured term
loans.
The asset manager's experienced management team.
"Our projections regarding the timely interest and ultimate
principal payments on the rated notes, which we assessed using
our cash flow analysis and assumptions commensurate with the
assigned ratings under various interest-rate scenarios,
including LIBOR ranging from 0.34%-12.26%," S&P said.
The transaction's overcollateralization and interest coverage
tests, a failure of which will lead to the diversion of
interest and principal proceeds to reduce the balance of the
rated notes outstanding.
The transaction's 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 subordinated note
payments into the principal proceeds for the purchase of
collateral assets.
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/995.pdf
RATINGS ASSIGNED
Venture XI CLO Ltd./Venture XI CLO Corp.
Class Rating Amount (mil. $)
A AAA (sf) 326.3
B AA (sf) 57.9
C (deferrable) A (sf) 35.1
D (deferrable) BBB (sf) 18.6
E (deferrable) BB (sf) 20.1
F (deferrable) B (sf) 11.0
Subordinated NR 51.0
NR - Not rated.
WACHOVIA BANK 2005-C22: Moody's Cuts Class F Certs Rating to 'C'
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of seven classes
and affirmed eight classes of Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-
C22 as follows:
Cl. A-3, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-PB, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on Jan 13, 2006
Definitive Rating Assigned Aaa (sf)
Cl. A-M, Downgraded to Baa1 (sf); previously on Nov 3, 2011
Downgraded to A2 (sf)
Cl. A-J, Downgraded to Ba3 (sf); previously on Nov 3, 2011
Downgraded to Ba1 (sf)
Cl. B, Downgraded to B2 (sf); previously on Nov 3, 2011 Downgraded
to Ba3 (sf)
Cl. C, Downgraded to Caa1 (sf); previously on Nov 3, 2011
Downgraded to B3 (sf)
Cl. D, Downgraded to Caa3 (sf); previously on Nov 3, 2011
Downgraded to Caa2 (sf)
Cl. E, Downgraded to Ca (sf); previously on Nov 3, 2011 Downgraded
to Caa3 (sf)
Cl. F, Downgraded to C (sf); previously on Nov 3, 2011 Downgraded
to Ca (sf)
Cl. G, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. H, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. J, Affirmed at C (sf); previously on Dec 17, 2010 Downgraded
to C (sf)
Cl. IO, Affirmed at Ba3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale
The downgrades are due to higher expected losses from specially
serviced and troubled loans and anticipated increases in interest
shortfalls. The affirmations of the principal classes are due to
key parameters, including Moody's loan to value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings. The rating of the IO Class is consistent with the
performance of its referenced classes and is thus affirmed.
Moody's rating action reflects a base expected loss of 13.6% of
the current balance. At last review, Moody's base expected loss
was 10.9%. Moody's provides a current list of base expected losses
for conduit and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for investment grade classes could decline below
the current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment and commercial real
estate property markets. Commercial real estate property values
are continuing to move in a positive direction along with a rise
in investment activity and stabilization in core property type
performance. Limited new construction and moderate job growth have
aided this improvement. However, a consistent upward trend will
not be evident until the volume of investment activity steadily
increases for a significant period, non-performing properties are
cleared from the pipeline, and fears of a Euro area recession are
abated.
The hotel sector is performing strongly with eight straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Slow recovery in the office sector continues with
minimal additions to supply. However, office demand is closely
tied to employment, where growth remains slow and employers are
considering decreases in the leased space per employee. Also,
primary urban markets are outperforming secondary suburban
markets. Performance in the retail sector continues to be mixed
with retail rents declining for the past four years, weak demand
for new space and lackluster sales driven by discounting and
promotions. However, rising wages and reduced unemployment, along
with increased consumer confidence, is helping to spur consumer
spending resulting in increased sales. Across all property
sectors, the availability of debt capital continues to improve
with robust securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates.
Moody's central global macroeconomic scenario maintains its
forecast of relatively robust growth in the US and an expectation
of a mild recession in the euro area for 2012. Downside risks
remain significant, and elevated downside risks and their
materialization could pose a serious threat to the outlook. Major
downside risks include: a deeper than expected recession in the
euro area; the potential for a hard landing in major emerging
markets; an oil supply shock; and material fiscal tightening in
the US given recent political gridlock. Healthy but below-trend
growth in GDP is expected through the rest of this year and next
with risks trending to the downside.
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.61 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit estimate of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the credit assessment level, is
incorporated for loans with similar credit assessments in the same
transaction.
Moody's review also incorporated the CMBS IO calculator ver1.1
which uses the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit assessments; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology. The calculator
then returns a calculated IO rating based on both a target and
mid-point . For example, a target rating basis for a Baa3 (sf)
rating is a 610 rating factor. The midpoint rating basis for a
Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf)
rating factor of 610 and a Ba1 (sf) rating factor of 940). If the
calculated IO rating factor is 700, the CMBS IO calculator ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 43 as compared to 42 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of
quantitative tools -- MOST(R) (Moody's Surveillance Trends) and
CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review is
summarized in a press release dated November 3, 2011.
Deal Performance
As of the September 17, 2012 distribution date, the transaction's
aggregate certificate balance has decreased by 16% to $2.1 billion
from $2.5 billion at securitization. The Certificates are
collateralized by 139 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 37%
of the pool. Three loans, representing 4% of the pool, have
investment grade credit assessments. Two loans, representing 0.5%
of the pool, have defeased and are secured by U.S. Government
securities.
Twenty two loans, representing 11% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Five loans have been liquidated from the pool, resulting in a
realized loss of $41.6 million (46% loss severity). Currently 14
loans are in special servicing. The largest specially serviced
loan is the Westin Casuarina Hotel & Spa Loan ($143.4 million --
6.7% of the pool) which is secured by an 826-room luxury hotel spa
and casino located in Las Vegas, Nevada. The loan was transferred
to special servicing in March 2010 due to poor financial
performance. A Receiver was appointed in October 2010 and the
Trust is pursuing foreclosure.
The second largest specially serviced loan is the Eagle Ridge Mall
Loan ($44.7 million -- 2.1% of the pool) which is secured by a
500,000 square foot (SF) regional mall located in Lake Wales,
Florida. The loan was transferred to special servicing in April
2009 due to the borrower filing for bankruptcy protection. A deed
in lieu of foreclosure was consummated in November 2010.
The third largest specially serviced loan is the Birtcher Phoenix
Pool Loan ($40.0 million -- 1.9% of the pool) which is secured by
seven office buildings totaling 299,000 SF located in Phoenix,
Arizona. The loan was transferred to special servicing in March
2011 due to monetary default, a receiver was appointed in August
2011, and foreclosure took place in October 2011. As of August
2012 the portfolio was 75% leased. The master servicer has
recognized an aggregate $187.8 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate
$220.0 million loss (62% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans representing 7% of the pool. Moody's has
estimated a $22.6 million loss (16% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 97% and 85%, respectively, of the performing
pool. Excluding specially serviced and troubled loans, Moody's
weighted average LTV for the conduit component is 99% compared to
100% at Moody's prior review. Moody's net cash flow reflects a
weighted average haircut of 11% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs for the conduit component are 1.34X and 1.01X,
respectively, compared 1.45X and 1.00X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The largest loan with a credit assessment is the Metro Pointe at
South Coast Loan ($50.7 million -- 2.4% of the pool), which is
secured by a leasehold interest on a 386,000 SF retail center
located in Costa Mesa, California. The property was 99% leased as
of March 2012, same as at last review. Moody's current credit
assessment and stressed DSCR are Aa1 and 2.29X, respectively,
compared to Aa1 and 2.12X at last review.
The second loan with a credit assessment is the Shoppes at East
Chase Loan ($26.3 million -- 1.2% of the pool), which is secured
by a 364,400 SF retail center located in Montgomery, Alabama. The
property was 94% leased as of June 2012, compared to 81% at last
review. Financial performance remains stable. Moody's current
credit assement and stressed DSCR are A3 and 1.71X, compared to A3
and 1.69X at last review.
The third loan with a credit assessment is the 1201 Broadway Loan
($10.6 million -- 0.5% of the pool), which is secured by a 132,000
SF office building located in New York, New York. The property was
95% leased as of June 2012 compared to 93% at last review. Moody's
current credit assessment and stressed DSCR are Aa1 and 2.34X,
respectively, compared to Aa2 and 2.06X at last review.
The top three performing conduit loans represent 17% of the pool.
The largest loan is the Hyatt Center Loan ($158.6 million -- 7.4%
of the pool), which represents a 50% participation interest in a
first mortgage loan. The loan is secured by a 1.5 million SF Class
A office building located in Chicago, Illinois. The loan is
structured with a revolving mezzanine loan. The property was 95%
leased as of June 2012 compared to 94% as last review. The loan
had a 60-month interest-only period, and is now amortizing on a
360-month schedule. Moody's LTV and stressed DSCR are 75% and
1.23X, respectively, compared to 87% and 1.05X at last review.
The second largest conduit loan is the Abbey Pool II Loan ($134.4
million -- 6.3%), which is secured by a portfolio of 14
(originally 16) retail, office, industrial and mixed-use
properties totaling 1.3 million SF. Two of the properties have
defeased and all of the properties are located in California. The
portfolio was 85% leased as of June 2012, compared to 84% at last
review. Moody's LTV and stressed DSCR are 111% and 0.92X,
respectively, compared to 106% and 0.97X at last review.
The third largest conduit loan is the 300 Four Falls Corporate
Center Loan ($68.5 million -- 3.2%), which is secured by a 293,000
SF Class A office building located in West Conshohocken,
Pennsylvania. The property was 86% leased as of June 2012,
compared to 90% at last review. Moody's LTV and stressed DSCR are
107% and 0.91X, respectively, compared to 105% and 0.93X at last
review.
WFRBS 2012-C9: Moody's Assigns '(P)B2' Rating to Class F Certs.
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
twelve classes of CMBS securities, issued by WFRBS Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2012-C9.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-SB, Assigned (P)Aaa (sf)
Cl. A-S, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. X-A, Assigned (P)Aaa (sf)
Cl. X-B, Assigned (P)A1 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Cl. F, Assigned (P)B2 (sf)
Ratings Rationale
The Certificates are collateralized by 73 fixed rate loans secured
by 100 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 1.50X 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 103.2% is lower than the 2007
conduit/fusion transaction average of 110.6%. Moody's Total LTV
ratio (inclusive of subordinated debt and debt-like preferred
equity) of 104.5% 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
31.5. The transaction's loan level diversity is at the higher end
of the band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 33.0. The
transaction's property diversity profile is higher than the
indices calculated in most multi-borrower transactions issued
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-S to mitigate the potential increased
severity to class A-S.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.4, which is higher
than the indices calculated in most multi-borrower transactions
since 2009.
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating Structured Finance Interest-
Only Securities" published in February 2012.
Moody's analysis employs the excel-based CMBS Conduit Model v2.61
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship, and diversity. Moody's
analysis also uses the CMBS IO calculator ver_1.1, 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%, 16%, and 29%, the model-indicated rating for the currently
rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; for the most junior Aaa rated class A-S would be
Aa1, Aa1, and A2, respectively. Parameter Sensitivities are not
intended to measure how the rating of the security might migrate
over time; rather they are designed to provide a quantitative
calculation of how the initial rating might change if key input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
ZAIS INVESTMENT V: Fitch Affirms Junk Rating on 3 Note Classes
--------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed three classes of notes
issued by ZAIS Investment Grade Limited V (ZAIS V) as follows:
-- $44,601,157 class A-1 notes upgraded to 'BBsf'; Outlook
Stable;
-- $25,000,000 class A-2 notes affirmed at 'Dsf';
-- $37,000,000 class B-1 notes affirmed at 'Csf';
-- $14,000,000 class B-2 notes affirmed 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 to conclude the rating actions for the rated notes.
The upgrade to the class A-1 notes reflects the significant
paydowns to the class since last review. The class A-1 notes have
received approximately $93.8 million, or 67.8% of the previous
balance through principal amortization and excess spread over the
last year. The notes are now passing at the 'BB+/BBB-' rating
categories based on the cash flow modeling results, and are
expected to continue benefiting from additional paydowns through
excess spread.
On Aug. 6, 2009, a majority of the notes of the controlling class
(comprised of class A-1 and class A-2) directed the trustee to
declare the principal of all the notes to be immediately due and
payable. Consequently, all interest and principal proceeds are
being distributed to the class A-1.
Due to the acceleration of maturity, the class A-2 notes are not
receiving interest. Per the transaction documents, interest
shortfalls to these notes constitute a default. The notes'
current defaulted interest balance stands at $5.8 million
following the most recent payment date on Aug. 8, 2012. This
class is expected to continue to default on its interest until
class A-1 notes are paid in full. Therefore, the class A-2 notes
have been affirmed at a 'Dsf'.
The class B-1 and B-2 notes have been affirmed at 'Csf' since they
are no longer receiving interest payments. Default for these
notes appears to remain inevitable at or prior to maturity, as
deferred interest balances continue to accrue.
ZAIS V is a structured finance collateralized debt obligation (SF
CDO) that closed on Dec. 19, 2002 and is monitored by Zais Group,
LLC. As of the Sept. 6, 2012 trustee report, the portfolio is
composed of SF and corporate CDOs from primarily 2001 through 2006
vintage transactions.
* Fitch Says 2012 Severe Economic Swing Affects High Yield Bond
---------------------------------------------------------------
Fewer and less severe economic swings in 2012, a benign default
rate environment, and an influx of cash into the high yield asset
class have each contributed to the tightening of high yield bond
spreads, granting lower quality credits easier access to investors
according to Fitch Ratings. Spread compression in the leveraged
loan market has also allowed a wave of repricings in that space.
U.S. high yield bond spreads have been on a downward trajectory
for the better part of 2012, having tightened approximately 150
basis points. Thus far in 2012, primary yields have averaged
7.50%, compared with 8.15% in 2011 and 8.75% in 2010.
Lower rated issuers have recently accessed the high yield bond and
loan markets to reap the same benefits higher rated issuers have
over the past 12 months. Fitch notes that access to the debt
capital markets can change rather quickly, and lower rated
companies that don't take advantage of the current accommodative
issuing environment could be shut out the next time the markets
freeze up.
During the first quarter of 2012, investors sought out higher
quality issues in the 'BB' category coming off a volatile second
half of 2011. Investors' flight to quality caused 'BB' spreads to
tighten approximately 100 basis points over the first three months
of 2012. As volatility returned to the global markets in May and
June, investors' "risk-off" mentality returned, which caused
spreads to temporarily widen over a five-week period. By mid-
summer, investor risk-on mentality had returned to the market.
This time around, investors shifted their focus toward the 'B'
category, which carried a spread premium of approximately 175 bps
versus 'BB' issues.
Investor focus on lower quality, higher yielding assets in 2012
has shifted the primary supply mix. As a percentage of total
issuance, 'BB' rated issuance has trended downward over the last
three quarters from more than 35% to approximately 20%.
Meanwhile, 'B' rated issuance has increased steadily from around
40% to more than 50% at the end of the third quarter.
The continued downward pressure on spreads through the end of the
summer has forced investors to look even further down the credit
spectrum for yield, this time in the 'CCC' category. This has
prompted a wave of 'CCC' rated issuance beginning in September
through the first part of October. During this time, over $8.2
billion of 'CCC' issuance was offered (16% of total issuance
during this time) -- that's double the amount issued during the
first seven months of 2012, according to Thomson Reuters LPC.
Issuers with substantial credit risk, such as K. Hovnanian
Enterprises, Inc. ($977 million), Ryerson Inc. ($900 million), and
Michaels Stores, Inc. ($200 million; 6.0% yield), have been able
issue bonds over last few weeks, at an average yield of 7.8%.
Trends observed in the high yield bond market have also been seen
in the leveraged loan market. Loan spreads have decreased
approximately 35 to 85 basis points since the beginning of the
year due to strong demand from banks and CLOs. This, in turn, has
prompted record refinancing volumes and a recent wave of
repricings. Issuers such as Roofing Supply Group, CAMP
International Holdings, and Zayo Group LLC, which entered the
market during the first or second quarters of 2012, are now back
in the market to reprice term loans. Based on a limited sample of
closed repricings to date, several issuers have been able to
reduce their current loans spreads by more than 100 basis points.
Spread compression has pushed overall primary institutional loan
yields close to the 6.0% mark. This has forced loan investors to
also turn to lower credit quality issues to find yield. In
September, 'CCC' category or non-rated issuance represented 19% of
total issuance in the month, its first noticeable increase in
2012. According to Thomson Reuters LPC, recent 'CCC' category
rated credit facilities to come to market include: BJ's Wholesale
Club ($1.6 billion; second-lien; L+850 bps), Cannery Casino
Resorts LLC ($590 million; second-lien; L+875 bps), and Trizetto
Group Inc. ($150 million; second-lien; L+725 bps).
While issuance is up, a limiting factor for future 'CCC' issuance
is CLOs ability to invest in 'CCC' assets. CLOs continue to be
active buyers of primary loans at approximately 47% of the total
loan buyer base.
* Fitch Says Near-Term Default Pressures Easing as Year Ends
------------------------------------------------------------
According to a new report by Fitch Ratings, near-term default
pressures appear to be easing as 2012 draws to a close, allowing
the possibility that the U.S. high yield default rate may end the
year below Fitch's 2012 forecast of 2.5%-3.0%.
The trailing 12-month default rate slipped back to 2% in September
from 2.2% in August. Two defaults in September brought the year's
issuer count to 25 and volume tally to $13.4 billion (versus 12
issuers and $7.9 billion in the first nine months of 2011).
Following a strong August, issuance soared in September and was
notable both in terms of volume and composition. The share of
newly minted bonds rated 'CCC' or lower climbed to 26% of total
volume ($38.6 billion) -- a record for the year -- as the Federal
Reserve's launch of QE3 further stimulated investor appetite for
high yield in the primary and secondary markets. At the end of
September, 46% of 'CCC' rated volume in Fitch's U.S. High Yield
Default Index was trading above par compared with just 9% a year
earlier.
If default volume in the last quarter of 2012 matches 2011's
considerable $8 billion, the default rate will end the year at
roughly 2%. A filing by Edison Mission Energy (rated 'CC' by
Fitch and one of the large potential defaults for year-end) would
contribute half that amount but with funding conditions so robust,
it may be difficult to arrive at the full tally needed to move the
default rate beyond 2%.
Booming issuance notwithstanding, fundamentals show that credit
gains have slowed this year -- not surprising given the economy's
sluggish performance -- and the bottom tier of speculative grade
issues has expanded. The 'CCC' or lower pool has grown to $227.3
billion from $196.8 billion at the beginning of the year
(including 'B-' issues, this high risk slice of the market now
totals $358.9 billion).
"The Fed's efforts to revive the economy and a positive resolution
to the U.S. fiscal cliff remain critical even as the insatiable
demand for yield product is allowing more highly levered companies
to access the debt markets,' said Mariarosa Verde, Managing
Director of Fitch Credit Market Research.
The weighted average recovery rate on defaults through September
was 49.5% of par, boosted by the 53% of defaulted volume that
consisted of secured bonds.
"The average recovery rate on senior secured bonds of 65% of par
was more than twice the recovery rate on unsecured issues of
30.8%," said Eric Rosenthal, Senior Director of Fitch Credit
Market Research.
Industry-specific recovery rates showed even more of a gap,
ranging from 80% of par to the mid teens.
For additional details please see the full report, 'Fitch U.S.
High Yield Default Insight - September 2012', available at this
link: http://is.gd/Y7TH4U
* Moody's Takes Action on $405 Million RMBS Issued 2005 to 2008
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one
tranche, upgraded the rating of two tranches and confirmed the
ratings of five tranches from three resecuritized RMBS
transactions issued from 2005 to 2008. The resecuritized bonds are
backed by underlying bonds from different prime jumbo and Alt-A
RMBS transactions.
Complete rating actions are as follows:
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2005-WF1
Cl. I-A-2, Confirmed at Ba1 (sf); previously on Jun 13, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-3, Confirmed at Caa1 (sf); previously on Jun 13, 2012 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-4, Confirmed at Ba1 (sf); previously on Jun 13, 2012 Ba1
(sf) Placed Under Review for Possible Upgrade
Cl. I-A-X, Confirmed at B1 (sf); previously on Jun 13, 2012 B1
(sf) Placed Under Review for Possible Upgrade
Cl. II-A-1, Confirmed at B3 (sf); previously on Jun 13, 2012 B3
(sf) Placed Under Review for Possible Upgrade
Issuer: Lehman Structured Securities Corp. Series 2005-1
Cl. A-1, Upgraded to Ba1 (sf); previously on Jun 13, 2012 Ba3 (sf)
Placed Under Review for Possible Upgrade
Cl. IO, Upgraded to B2 (sf); previously on Jun 13, 2012 B3 (sf)
Placed Under Review for Possible Upgrade
Issuer: Residential Mortgage Securities Funding 2008-3, Ltd.
Notes, Downgraded to Caa1 (sf); previously on Jun 13, 2012 B2 (sf)
Placed Under Review for Possible Upgrade
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.
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 in 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.
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 September 2011 to 7.8% in September 2012. Moody's
forecasts a further drop to 7.5% by 2014. 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_SF304416
* S&P Takes Various Rating Actions on 695 Classes From 65 RMBS
--------------------------------------------------------------
S&P reviewed 695 ratings from 65 U.S. RMBS transactions issued
between 2001 and 2006.
Standard & Poor's Ratings Services lowered its ratings on 406
classes (238 by more than three notches) from 65 U.S. residential
mortgage-backed securities (RMBS) transactions and removed 381 of
them from CreditWatch with negative implications and 16 from
CreditWatch with developing implications. "We also raised our
ratings on 29 classes from 11 transactions and removed three of
them from CreditWatch with positive implications and 19 of them
from CreditWatch with developing implications. We also affirmed
our ratings on 216 classes from 57 of these transactions and
removed 25 of them from CreditWatch with negative implications,
one of them from CreditWatch with positive implications and nine
of them from CreditWatch with developing implications. We
subsequently withdrew 41 of the lowered ratings, seven of the
raised ratings, and 30 of the affirmed ratings because of our view
of the increased risk due to the small number of loans (fewer than
20) remaining in the affected. We also withdrew our ratings on 44
additional classes from 16 transactions and removed 41 of them
from CreditWatch with negative implications and two of them from
CreditWatch with developing implications, in accordance with our
interest-only (IO) criteria and/or they were paid in full," S&P
said.
The complete list of rating actions is available for free at:
http://bankrupt.com/misc/S&P_RMBS_Ratings_10_25_12.pdf
"The transactions in this review were issued between 2001 and 2006
and are backed by adjustable- and fixed-rate prime jumbo,
subprime, alternative-A, and negatively amortizing (NegAm)
mortgage loans secured primarily by first liens on one- to four-
family residential properties," S&P said.
"On Aug. 15, 2012, we placed our ratings on 497 classes from the
65 transactions in this review on CreditWatch negative or
developing, along with ratings from a group of other RMBS
securities due to the implementation of our recently revised
criteria for surveilling pre-2009 U.S. RMBS ratings. CreditWatch
negative placements accounted for approximately 57% of the
actions, CreditWatch developing placements accounted for
approximately 36%, and CreditWatch positive placements accounted
for approximately 7%. We completed our review using the new
methodology and assumptions, and 's rating actions resolve some of
the CreditWatch placements; an overview of the directional change
of the CreditWatch resolutions is set forth," S&P said:
RATING TRANSITIONS
3 or fewer More than 3
From Watch Affirmations notches notches
Up Down Up Down
Watch Pos 1 3 0 0 0
Watch Neg 25 0 148 0 233
Watch Dev 9 3 11 16 5
"The high percentage of CreditWatch negative placements reflected
our projection that remaining losses for a majority of the
transactions will increase. We may have placed our ratings on
CreditWatch negative for certain structures that had reduced
forecasted losses due to an increased multiple of loss coverage
for certain investment-grade rated tranches as set forth in our
revised criteria," S&P said.
The increased projected losses resulted from one or more of these
factors:
An increase in our default and loss multiples at higher
investment-grade rating levels;
An increased portion of nondelinquent loans (generally between
5% and 20%) are now categorized as reperforming (many of these
loans have been modified) and have a default frequency of 25%
or 30%;
Increased roll-rate [the probability at which mortgage loans
move from one delinquency category to the next] assumptions
for 30- and 60-day delinquent loans; and
S&P extended liquidation curves, which eroded projected
credit support before it would be needed.
In addition, a majority of the reviewed transactions or structures
within a transaction are backed by a small population of mortgage
loans. Standard & Poor's believes that the liquidation of one of
more of the loans in transactions with a small number of remaining
loans may have an adverse effect on credit. This potential 'tail
risk' to the rated classes resulted from one or more of these
factors:
Shifting-interest payment structures increase the possibility
of volatile credit performance. The cash flow mechanics within
these transactions allow unscheduled principal to be repaid to
subordinate classes while more senior classes remain
outstanding if certain performance triggers are met. This
decreases the actual dollar amount of credit enhancement
available to cover losses;
The lack of optional terminations ("clean-up" calls) in which
a designated participant can purchase the remaining loans
within a trust when the pool factor declines to a defined
percentage, effectively retiring the securities;
The lack of credit enhancement floors that could add
additional protection to the classes within a structure.
Securities currently rated 'AAA (sf)' in transactions that
have shifting-interest pay mechanisms and do not benefit from
a credit enhancement floor or an equivalent functional
mechanism will be rated no higher than 'AA+ (sf)'.
The amount of prepayments to the senior classes when
subordinate bonds are locked out from prepayments.
The efficacy of triggers that influence principal payment
allocation based on collateral and transaction performance.
"As part of our analysis, we address tail risk in transactions by
conducting additional loan-level analysis that stresses the loan
concentration risk within the specific pool. We may calculate loss
severities at the loan level using assumptions, such as market-
value declines published in our 'Methodology And Assumptions For
Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans,' RMBS
criteria, instead of using pool-level assumptions. Because we
developed our loss severity assumptions using an aggregate sample
set of data, we applied a 1.2x adjustment factor to the loss
severity assumption for each loan when calculating loan level loss
severities to account for potential variation between actual and
calculated loss severities when a loan is liquidated. The loss
severity used in our analysis is equal to the higher of the
calculated loss severity and 20%. We use a 20% minimum loss
severity to mitigate potential information risk differences
between the actual property profile and condition and the reported
estimated value using a housing price index. Finally, we apply a
50% minimum loss severity to the largest remaining loan balance if
the calculated amount is lower. The final rating assigned to each
class will be the lower of the rating derived by applying our
revised surveillance criteria and the rating derived by applying
our tail risk criteria," S&P said.
"Of the 406 lowered ratings, we lowered 86 to speculative-grade
from investment-grade. Of these, we lowered 59 ratings to 'BB+
(sf)', 'BB (sf)', 'BB- (sf)', 'B+ (sf)', 'B (sf)' or 'B- (sf)' and
lowered 27 to 'CCC (sf)'. Additionally, we lowered 266 ratings
that remain at investment-grade. The remaining 54 classes that we
downgraded already had speculative-grade ratings before we
downgraded them," S&P said.
"Despite the increase in remaining projected losses, we raised our
ratings on 29 classes from 11 transactions. Among other factors,
the upgrades reflect our view of decreased delinquencies within
the structures associated with the affected classes. The decreased
delinquencies, along with the structural mechanics of the
transactions, allowed the upgraded classes to withstand more
stressful scenarios. In addition, the upgrades reflect our
assessment that the projected credit enhancement for the affected
classes will be more than sufficient to cover our projected loss
at the revised rating level; however, we are limiting the extent
of the upgrade, and generally no higher than 'A', to reflect our
view of stability in our outstanding ratings," S&P said.
"We affirmed our ratings on 216 classes from 57 transactions and
removed 25 of them from CreditWatch negative, one of them from
CreditWatch positive and 9 of them from CreditWatch developing. Of
these, 181 classes are rated 'CCC (sf)' or 'CC (sf)'. We believe
that the projected credit support for these classes will remain
insufficient to cover the revised base-case projected losses to
these classes. The affirmations for classes with ratings above
'CCC' reflect our opinion that the credit support for these
classes will remain sufficient to cover the revised projected
losses," S&P said.
"We generally withdraw ratings when pools have fewer than 20 loans
remaining. That's because if any of the remaining loans in these
pools default, the resulting loss could have a greater effect on
the pool's performance than if the pool consisted of a larger
number of loans. Because this performance volatility may have an
adverse effect on the stability of our outstanding ratings, we
subsequently withdrew 41 of the lowered ratings, seven of the
raised ratings, and 30 of the affirmed ratings from 13
transactions due to the small number of loans remaining," S&P
said.
"We also withdrew our ratings on 44 classes from 16 transactions
in accordance with our IO criteria because the referenced classes
no longer sustained ratings above 'A+ (sf)' and/or because the
classes have been paid in full," S&P said.
"In accordance with our counterparty criteria, we considered any
applicable hedges related to these securities when performing
these rating actions and resolving the CreditWatch placements,"
S&P said.
Subordination generally provides credit support for these prime
jumbo transactions.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
* S&P Raises Ratings on 8 Classes From 4 CMBS Transactions
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes from four commercial mortgage-backed securities (CMBS)
transactions and removed them from CreditWatch with positive
implications. "Concurrently, we lowered our ratings on 28 classes
from six CMBS transactions and removed 19 of them from CreditWatch
with negative implications. The CreditWatch resolutions are
related to CreditWatch placements that we initiated on Sept. 5,
2012," S&P said.
"The upgrades reflect Standard & Poor's expected available credit
enhancement for the affected tranches, which we believe is greater
than our most recent estimate of necessary credit enhancement for
the most recent rating levels. The upgrades also reflect our views
regarding the current and future performance of the collateral
supporting the respective transactions. We raised our ratings on
several classes to 'AAA (sf)' to reflect the results of our cash
flow analysis, which indicates that these classes should receive
their full repayment of principal due to time tranching, as
described in 'U.S. CMBS 'AAA' Scenario Loss And Recovery
Application,' published July 21, 2009," S&P said.
"The downgrades reflect our expected available credit enhancement
for the affected tranches, which we believe is less than our most
recent estimate of necessary credit enhancement for the most
recent rating levels. The downgrades also reflect our views
regarding the current and future performance of the collateral
supporting the respective transactions," S&P said.
"The rating actions follow a detailed review of the performance of
the collateral supporting the relevant securities and transaction
structures. This review was similar to the review we conducted
before placing 744 U.S. and Canadian CMBS ratings on CreditWatch
following the release of our updated ratings criteria for these
transactions, but was more detailed with respect to collateral and
transaction performance. For more information on the analytic
process we used for those CreditWatch placements, refer to 'The
Application Of Standard & Poor's Revised U.S. And Canadian CMBS
Criteria For The Sept. 5, 2012, CreditWatch Actions,' published
Sept. 5, 2012," S&P said
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS AND CREDITWATCH ACTIONS
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-4 AA+(sf) A+(sf)/Watch Pos 30.26
A-1A AA+(sf) A+(sf)/Watch Pos 30.26
A-J B(sf) B+(sf)/Watch Neg 8.82
B B-(sf) B(sf)/Watch Neg 7.79
C CCC(sf) B(sf)/Watch Neg 6.18
D CCC(sf) B-(sf) 5.30
E CCC(sf) B-(sf) 4.56
F CCC-(sf) CCC+(sf) 3.54
G CCC-(sf) CCC(sf) 2.36
Credit Suisse Commercial Mortgage Trust Series 2007-C4
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-3 AAA(sf) BBB(sf)/Watch Pos 30.58
A-AB AAA(sf) BBB(sf)/Watch Pos 30.58
A-M B(sf) BB(sf)/Watch Neg 19.50
A-1-AM B(sf) BB(sf)/Watch Neg 19.50
A-J B-(sf) B+(sf)/Watch Neg 13.55
A-1-AJ B-(sf) B+(sf)/Watch Neg 13.55
B B-(sf) B(sf)/Watch Neg 12.31
C B-(sf) B(sf)/Watch Neg 10.78
D CCC(sf) B-(sf) 9.54
E CCC(sf) CCC+(sf) 8.57
F CCC-(sf) CCC(sf) 7.60
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12
Commercial mortgage securities corp.
Rating
Class To From Credit enhancement (%)
A-3 AAA(sf) A-(sf)/Watch Pos 31.33
A-SB AAA(sf) A-(sf)/Watch Pos 31.33
A-J B-(sf) B(sf)/Watch Neg 11.41
Morgan Stanley Capital I Trust 2007-IQ13
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-1A AAA(sf) A-(sf)/Watch Pos 32.70
A-4 AAA(sf) A-(sf)/Watch Pos 32.70
A-J B-(sf) B+(sf)/Watch Neg 9.13
B CCC(sf) B(sf)/Watch Neg 6.66
C CCC(sf) B-(sf) 5.43
D CCC-(sf) CCC+(sf) 4.20
Morgan Stanley Capital I Trust 2007-IQ15
Commercial mortgage pass-through certificates
A-1A BBB-(sf) BBB+(sf)/Watch Neg 30.41
A-4 BBB-(sf) BBB+(sf)/Watch Neg 30.41
A-M B(sf) BB(sf)/Watch Neg 19.64
A-J B-(sf) B(sf)/Watch Neg 10.35
Wachovia Bank Commercial Mortgage Trust Series 2007-C31
Commercial mortgage pass-through certificates
A-M B(sf) BB-(sf)/Watch Neg 20.68
A-J B-(sf) B (sf)/Watch Neg 11.99
B B- (sf) B (sf)/Watch Neg 11.30
* S&P Raises Ratings on 3 Classes From 2 CMBS Transactions
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes from two commercial mortgage-backed securities (CMBS)
transactions and removed two of them from CreditWatch with
positive implications. "Concurrently, we lowered our ratings on
nine classes from the same two CMBS transactions and removed two
of them from CreditWatch with negative implications. We also
affirmed our ratings on 14 classes from the two transactions. The
CreditWatch resolutions are related to CreditWatch placements that
we initiated on Sept. 5, 2012," S&P said.
"The upgrades reflect Standard & Poor's expected available credit
enhancement for the affected tranches, which we believe is greater
than our most recent estimate of necessary credit enhancement for
the most recent rating levels. The upgrades also reflect our views
regarding the current and future performance of the collateral
supporting the respective transactions. We raised our rating on
class A-AB from Credit Suisse Commercial Mortgage Trust 2007-C5 to
'AAA (sf)' to reflect the results of our cash flow analysis. This
analysis reflected the recent disposition of the 450 Lexington
Avenue loan, which was the largest loan in the pool at
origination. Our cash flow analysis indicates that this class
should receive its full repayment of principal due to time
tranching," S&P said.
"The downgrades reflect our expected available credit enhancement
for the affected tranches, which we believe is less than our most
recent estimate of necessary credit enhancement for the most
recent rating levels. The downgrades also reflect our views
regarding the current and future performance of the collateral
supporting the respective transactions, which include the current
and potential interest shortfalls both transactions are
experiencing resulting in reduced liquidity support available to
the lowered classes. We lowered the ratings on the class AJ and
AJ-FL bonds from ML-CFC Commercial Mortgage Trust 2007-5 to 'D
(sf)' to reflect our expectation that these classes will continue
to experience interest shortfalls indefinitely," S&P said.
"The affirmations reflect our expected available credit
enhancement for the affected tranches, which we believe will
remain consistent with the most recent estimate of necessary
credit enhancement for the current rating levels. The affirmed
ratings also acknowledge our expectations regarding the current
and future performance of the collateral supporting the respective
transactions. We affirmed our ratings on classes A-2FL and A-4FL
from ML-CFC Commercial Mortgage Trust 2007-5 based on our current
counterparty criteria. Merrill Lynch Capital Services Inc. (not
rated) is the swap counterparty for the subject classes. It is our
understanding, based on information we received from the swap
counterparty, that Merrill Lynch & Co. Inc. (A-/Negative/A-2) is
the guarantor for obligations of Merrill Lynch Capital Services
Inc. In addition, Merrill Lynch Derivative Products AG ('AAA')
guarantees the obligations of Merrill Lynch Capital Services Inc.
based on a guaranty agreement. However, because Merrill Lynch
Derivative Products AG can terminate the guaranty agreement after
the swap counterparty satisfies certain ratings requirements, we
did not give any credit to the guaranty agreement in our analysis.
Following the application of our counterparty criteria for
structured finance transactions, the 'A (sf)' ratings on the
subject classes are one notch above our rating on Merrill Lynch &
Co. Inc. and are based primarily on our understanding that the
derivative obligations contain counterparty replacement
frameworks," S&P said.
"Our rating affirmations on the interest-only (IO) certificates
reflect our current criteria for rating IO securities," S&P said.
"The rating actions follow a detailed review of the performance of
the collateral supporting the relevant securities and transaction
structures. This review was similar to the review we conducted
before placing 744 U.S. and Canadian CMBS ratings on CreditWatch
following the release of our updated ratings criteria for these
transactions, but was more detailed with respect to collateral and
transaction performance," 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Credit Suisse Commercial Mortgage Trust 2007-C5
Commercial mortgage pass-through certificates
Rating Rating
Class To From Credit enhancement (%)
A-2 AAA (sf) AAA (sf) 27.35
A-3 AAA (sf) AAA (sf) 27.35
A-AB AAA (sf) BBB+ (sf) 27.35
A-4 BBB+ (sf) BBB+ (sf) 27.35
A-1-A BBB+ (sf) BBB+ (sf) 27.35
A-M B- (sf) BB (sf)/Watch Neg 16.37
A-1-AM B- (sf) BB (sf)/Watch Neg 16.37
A-J CCC (sf) B-(sf) 7.85
A-1-AJ CCC (sf) B- (sf) 7.85
B CCC- (sf) CCC+ (sf) 6.89
C CCC- (sf) CCC- (sf) 6.07
A-SP AAA (sf) AAA (sf) N/A
A-X AAA (sf) AAA (sf) N/A
ML-CFC Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates
Rating Rating
Class To From Credit enhancement (%)
A-2 AAA (sf) AAA (sf) 30.57
A-2FL A (sf) A (sf) 30.57
A-2FX AAA (sf) AAA (sf) 30.57
A-3 AAA (sf) AAA (sf) 30.57
A-SB AAA (sf) AAA (sf) 30.57
A-4 AA (sf) A (sf)/Watch Pos 30.57
A-4FL A (sf) A (sf) 30.57
A-1A AA (sf) A (sf)/Watch Pos 30.57
AM BB+ (sf) BBB- (sf) 19.79
AM-FL BB+ (sf) BBB-(sf) 19.79
AJ D (sf) B- (sf) 10.35
AJ-FL D (sf) B- (sf) 10.35
X AAA (sf) AAA (sf) N/A
* S&P Cuts Ratings on 58 Classes From 38 Transactions to 'CC'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 58
classes from 38 transactions to 'CC (sf)' based on the criteria
update regarding application of ratings in the 'CCC' and 'CC'
categories, released on Oct. 1, 2012. The criteria, "General
Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', and 'CC'
Ratings", were effective as of the release date.
The rating actions affected transactions from four ABS asset
classes: private student loans, manufactured housing, equipment,
and recreational vehicle/marine.
"Our analysis focused on paragraph 10 of the criteria which states
that we rate an issuer or issue 'CC' when we expect default to be
a virtual certainty, regardless of the time to default.
Specifically, we looked to the example provided in the fourth
bullet point in the paragraph which states that we expect the
default of an issuer to be a virtual certainty based on either:
the specific default scenarios that are envisioned over the next
12 months, or the expectation of default even under the most
optimistic collateral performance scenario over a longer period of
time," S&P said.
"Forty-seven of 's rating actions affected transactions backed by
manufactured housing (25 transactions), recreational
vehicle/marine (six transactions), or equipment (one transaction).
For each of these transactions, we analyzed the existing
collateral in relation to the outstanding note balance as well as
the affected class' principal position in the payment waterfall.
These 47 classes are currently under-collateralized and we do not
expect them to receive full and timely principal by their legal
final maturity dates, even under the most optimistic collateral
performance scenario," S&P said.
"Eleven classes from six transactions backed by private student
loan collateral were affected by this review. Three of the
downgrades reflect our view of the increased likelihood that these
notes could experience interest shortfalls when the transactions
breach their class B subordinate note interest triggers, which we
have estimated could be over the next 12 to 18 months. The
remaining eight downgrades reflect our view that for classes with
existing collateral balances that are lower than the outstanding
note balance (including the outstanding balance of the notes
senior to the class considered), we do not expect those classes to
receive full and timely principal by their legal final maturity
dates even under the most optimistic collateral performance
scenarios. Further, as it relates to the classes of notes lowered
for series 2007-3 and 2007-4, our review of the optimistic
collateral performance scenario also assumes that the trusts do
not breach a nonmonetary event of default (EOD). As a result, we
assume that each of these two transactions will continue following
the current standard payment waterfall per the indenture under our
'CC' scenario for the life of the transaction, allowing for rating
differentiation amongst these classes," S&P said.
"We will continue to monitor each of the affected ratings and we
expect to adjust the ratings to 'D' at their legal final maturity
dates or upon the breach of an interest trigger resulting in an
interest shortfall to a class of 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.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Manufactured Housing Transactions:
Oakwood Mortgage Investors Inc.
Rating
Series Class To From
1995-A B-1 CC (sf) CCC- (sf)
1995-B B-1 CC (sf) CCC- (sf)
OMI Trust
Rating
Series Class To From
2000-A A-2 CC (sf) CCC- (sf)
2000-A A-3 CC (sf) CCC- (sf)
2000-A A-4 CC (sf) CCC- (sf)
2000-A A-5 CC (sf) CCC- (sf)
2000-B A-1 CC (sf) CCC- (sf)
2000-D A-4 CC (sf) CCC- (sf)
2001-C A-2 CC (sf) CCC- (sf)
2001-C A-3 CC (sf) CCC- (sf)
2001-C A-4 CC (sf) CCC- (sf)
2001-D A-2 CC (sf) CCC- (sf)
2001-D A-3 CC (sf) CCC- (sf)
2001-D A-4 CC (sf) CCC- (sf)
Green Tree Financial Corp. Manufactured Housing Trust
Rating
Series Class To From
1996-2 B-1 CC (sf) CCC- (sf)
1996-3 M-1 CC (sf) CCC- (sf)
1996-3 B-1 CC (sf) CCC- (sf)
1997-8 M-1 CC (sf) CCC- (sf)
1998-2 M-1 CC (sf) CCC- (sf)
1998-3 M-1 CC (sf) CCC- (sf)
1998-5 M-1 CC (sf) CCC- (sf)
1998-6 M-1 CC (sf) CCC- (sf)
Manufactured Housing Contract Sr/Sub Pass-Thru Trust
Rating
Series Class To From
1999-1 M-1 CC (sf) CCC- (sf)
1999-2 M-1 CC (sf) CCC- (sf)
1999-4 A-7 CC (sf) CCC- (sf)
1999-4 A-8 CC (sf) CCC- (sf)
1999-4 A-9 CC (sf) CCC- (sf)
1999-5 A-5 CC (sf) CCC- (sf)
1999-5 A-6 CC (sf) CCC- (sf)
1999-6 A-1 CC (sf) CCC- (sf)
2000-2 A-5 CC (sf) CCC- (sf)
2000-2 A-6 CC (sf) CCC- (sf)
Manufactured Housing Contract Sr/Sub Pass-Thru Certs
Rating
Series Class To From
2000-3 A CC (sf) CCC- (sf)
2000-4 A-5 CC (sf) CCC- (sf)
2000-4 A-6 CC (sf) CCC- (sf)
2000-5 A-6 CC (sf) CCC- (sf)
2000-5 A-7 CC (sf) CCC- (sf)
Origen Manufactured Housing Contract Trust Collateralized Notes
Rating
Series Class To From
2007-A A-1 CC (sf) CCC- (sf)
2007-A A-2 CC (sf) CCC- (sf)
2007-B A CC (sf) CCC- (sf)
Equipment Transaction:
Frontier Funding Company V LLC
Rating
Class To From
A-1 CC (sf) CCC (sf)
Recreational Vehicle/Marine Transactions:
CIT RV Trust 1998-A
Rating
Class To From
B CC (sf) CCC- (sf)
CIT RV Trust 1999-A
Rating
Class To From
B CC (sf) CCC- (sf)
Distribution Financial Services RV Marine Trust 2001-1
Rating
Class To From
D CC (sf) CCC- (sf)
SSB RV Trust 2001-1
Rating
Class To From
D CC (sf) CCC- (sf)
E*Trade RV and Marine Trust 2004-1
Rating
Class To From
E CC (sf) CCC- (sf)
J.P. Morgan RV Marine Trust 2004-A
Rating
Class To From
A-2 CC (sf) CCC- (sf)
Private Student Loan Transactions:
National Collegiate Student Loan Trust 2005-3
Rating
Class To From
B CC (sf) CCC (sf)
National Collegiate Student Loan Trust 2006-1
Rating
Class To From
B CC (sf) CCC (sf)
National Collegiate Student Loan Trust 2006-3
Rating
Class To From
B CC (sf) CCC (sf)
National Collegiate Student Loan Trust 2007-3
Rating
Class To From
A-3-L CC (sf) CCC (sf)
A-3-AR-6 CC (sf) CCC (sf)
A-3-AR-7 CC (sf) CCC (sf)
National Collegiate Student Loan Trust 2007-4
Rating
Class To From
A-3-L CC (sf) CCC (sf)
A-3-AR-6 CC (sf) CCC (sf)
A-3-AR-7 CC (sf) CCC (sf)
National Collegiate Master Student Loan Trust I
Rating
Class To From
2002-AR-15 CC (sf) CCC- (sf)
2002-AR-16 CC (sf) CCC- (sf)
* S&P Cuts Ratings on 5 Classes From 3 IndyMac Trusts to 'D'
------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on five
classes from IndyMac Residential Mortgage-Backed Trust Series
2005-L3, 2006-L2, and 2006-L3 by lowering them to 'D (sf)'. "At
the same time, we lowered to 'D (sf)' our rating on class A from
IndyMac Residential Mortgage-Backed Trust Series 2006-L4. Each of
these transactions is backed by a pool of residential lot loans
with balloon maturities," S&P said.
"Due to an error, we did not lower the ratings to 'D (sf)' at
maturity. The final maturity dates for the affected classes, as
listed in each transaction's respective Pooling and Servicing
Agreement. We lowered our rating on class A from IndyMac
Residential Mortgage-Backed Trust Series 2006-L4 because its final
maturity date has recently passed," S&P said.
Table 1
Transaction Maturity date
IndyMac Residential Mortgage-Backed Tr 2005-L3 06/25/2010
IndyMac Residential Mortgage-Backed Tr 2006-L2 01/25/2012
IndyMac Residential Mortgage-Backed Tr 2006-L3 04/25/2012
IndyMac Residential Mortgage-Backed Tr 2006-L4 08/25/2012
The classes from IndyMac Loan Trust 2005-L3 and 2006-L2 were
insured by Financial Guaranty Insurance Corp. (FGIC; not rated).
The classes from IndyMac Loan Trust 2006-L3 and 2006-L4 were
insured by Ambac Assurance Corp. (Ambac; not rated).
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS CORRECTED
IndyMac Residential Mortgage-Backed Trust Series 2005-L3
Rating
Class CUSIP To From
A 456606JY9 D (sf) CC (sf)
IndyMac Residential Mortgage-Backed Trust Series 2006-L2
Rating
Class CUSIP To From
A-2 45661FAB7 D (sf) CCC (sf)
A-3 45661FAC5 D (sf) CCC (sf)
IndyMac Residential Mortgage-Backed Trust Series 2006-L3
Rating
Class CUSIP To From
A-2 45667HAB7 D (sf) CCC (sf)
A-3 45667HAC5 D (sf) CCC (sf)
RATING LOWERED
IndyMac Residential Mortgage-Backed Trust Series 2006-L4
Rating
Class CUSIP To From
A 45660AAA1 D (sf) CCC (sf)
* S&P Lowers Ratings on 8 Classes From 2 CMBS Transactions
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes from two commercial mortgage-backed securities (CMBS)
transactions and removed seven of these ratings from CreditWatch
with negative implications. "Concurrently, we affirmed our ratings
on three classes from one CMBS transaction and one class from a
re-REMIC transaction and removed all four of them from CreditWatch
with positive implications. The CreditWatch resolutions are
related to CreditWatch placements that occurred on Sept. 5, 2012,"
S&P said.
"The downgrades primarily reflect our expected available credit
enhancement for the affected tranches, which we believe is less
than our most recent estimate of necessary credit enhancement for
the most recent rating levels. The downgrades also reflect our
views regarding the current and future performance of the
collateral supporting the respective transactions," S&P said.
"The affirmations primarily reflect our expected available credit
enhancement for the affected tranches, which we believe will
remain consistent with the most recent estimate of necessary
credit enhancement for the current rating levels. The affirmed
ratings also acknowledge our expectations regarding the current
and future performance of the collateral supporting the respective
transaction," S&P said.
"The affirmation of the rating on class 'ML-JR' from Citigroup
Commercial Mortgage Securities' 2010-RR3 and its removal from
CreditWatch with positive implications reflects our analysis of
the sole asset securing the transaction, which is a $155.2 million
portion of the $787.9 class A-4 commercial mortgage pass-through
certificates from ML-CFC Commercial Mortgage Trust 2007-7, a U.S.
CMBS transaction. We affirmed our rating on the ML-JR class from
the re-REMIC because we affirmed our 'A- (sf)' rating on class A-4
from ML-CFC Commercial Mortgage Trust 2007-7. Our analysis
followed the criteria in 'Methodology And Assumptions For Rating
Resecuritizations Of U.S. Super-Senior Conduit/Fusion CMBS
Classes,' published Aug. 14, 2009," S&P said.
"The rating actions follow a detailed review of the performance of
the collateral supporting the relevant securities and transaction
structures. This review was similar to the review we conducted
before placing 744 U.S. and Canadian CMBS ratings on CreditWatch
following the release of our updated ratings criteria for these
transactions, but was more detailed with respect to collateral and
transaction performance," 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 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS AND CREDITWATCH ACTIONS
LB-UBS Commercial Mortgage Trust 2007-C1
Commercial mortgage pass-through certificates series 2007-C1
Rating
Class To From Credit enhancement (%)
A-M BB- (sf) BBB (sf)/Watch Neg 20.06
A-J B- (sf) BB- (sf)/Watch Neg 10.37
B B- (sf) B+(sf)/Watch Neg 9.51
C CCC (sf) B+ (sf)/Watch Neg 7.80
D CCC- (sf) B (sf)/Watch Neg 6.66
E CCC- (sf) CCC+(sf) 6.09
ML-CFC Commercial Mortgage Trust 2007-7
Commercial mortgage pass-through certificates series 2007-7
Rating
Class To From Credit enhancement (%)
A-4 A- (sf) A- (sf)/Watch Pos 26.95
A-4FL A- (sf) A- (sf)/Watch Pos 26.95
A-1A A- (sf) A- (sf)/Watch Pos 26.95
A-M B-(sf) BB (sf)/Watch Neg 14.29
A-MFL B-(sf) BB (sf)/Watch Neg 14.29
Citigroup Commercial Mortgage Securities Inc.
Resecuritization mortgage pass-through certificates series
2010-RR3
Rating
Class To From Credit enhancement (%)
ML-JR A- (sf) A- (sf)/Watch Pos 0.00
* S&P Lowers Ratings on 4 Tranches From 4 CDO Transactions to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
tranches from four U.S. cash flow and hybrid collateralized debt
obligation (CDO) transactions.
"The rating actions follow a review of U.S. CDO transactions
backed predominantly by structured finance assets that had
tranches with ratings previously lowered to 'CC (sf)'. We lowered
the ratings on the affected tranches for one or more of these
reasons," S&P said:
Nonpayment of timely interest on nondeferrable classes (three
of the affected classes); and
Non-payment of full principal owed on a tranche after
liquidation (one class).
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Coriolanus Ltd
Rating Rating
Class To From
CLN D(sf) CC(sf)
Class V Funding II Ltd
Rating Rating
Class To From
A-1 D(sf) CC(sf)
GSC ABS CDO 2006-2m Ltd
Rating Rating
Class To From
A1A D(sf) CC(sf)
Rockville CDO I Ltd
Rating Rating
Class To From
A-1 D(sf) CC(sf)
OUTSTANDING RATINGS
Class V Funding II Ltd.
Class Rating
A-2A D (sf)
A-2B D (sf)
B D (sf)
C D (sf)
D D (sf)
GSC ABS CDO 2006-2m Ltd.
Class Rating
A1B D (sf)
A-2 D (sf)
B D (sf)
C D (sf)
D D (sf)
E D (sf)
F D (sf)
G D (sf)
Rockville CDO I Ltd
Class Rating
A-3 D (sf)
A-2 D (sf)
B D (sf)
C D (sf)
D D (sf)
E D (sf)
* S&P Lowers Ratings on 25 Classes From 5 CMBS Transactions
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 25
classes from five U.S. commercial mortgage-backed securities
(CMBS) transactions and removed 16 of them from CreditWatch with
negative implications. "Concurrently, we affirmed our ratings
on two other classes from one of the transactions and removed both
ratings from CreditWatch with negative implications. The
CreditWatch resolutions are related to CreditWatch placements that
we initiated on Sept. 5, 2012," S&P said.
"The downgrades reflect our expected available credit enhancement
for the affected tranches, which we believe is less than our most
recent estimate of necessary credit enhancement for the most
recent rating levels. We lowered our ratings on classes A-4 and A-
1A from Banc of America Commercial Mortgage Trust 2007-5 to
reflect a material increase in our forecasted loss estimates for
several specially serviced assets compared with our loss estimates
at the time of the CreditWatch placement determination, reflecting
the availability of updated appraisal information. Overall, the
downgrades also reflect our views regarding the current and future
performance of the collateral supporting the respective
transactions. This includes the current and potential interest
shortfalls both transactions are experiencing, resulting in
reduced liquidity support available to the downgraded classes,"
S&P said.
"The affirmations reflect our expected available credit
enhancement for the affected tranches, which we believe will
remain consistent with the most recent estimate of necessary
credit enhancement for the current rating levels. The affirmed
ratings also acknowledge our expectations regarding the current
and future performance of the collateral supporting the respective
transaction," S&P said.
"The rating actions follow a detailed review of the performance of
the collateral supporting the relevant securities and transaction
structures. This review was similar to the review we conducted
before placing 744 U.S. and Canadian CMBS ratings on CreditWatch
following the release of our updated ratings criteria for these
transactions, but was more detailed with respect to collateral and
transaction performance," 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
Banc of America Commercial Mortgage Trust 2007-2
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J B- (sf) B+ (sf)/Watch Neg 11.19
A-JFL B- (sf) B+ (sf)/Watch Neg 11.19
Banc of America Commercial Mortgage Trust 2007-5
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-4 BBB+ (sf) A+ (sf) 29.50
A-1A BBB+ (sf) A+ (sf) 29.50
A-M B+ (sf) BBB (sf)/Watch Neg 18.39
A-J B- (sf) BB- (sf)/Watch Neg 10.07
B B- (sf) B+ (sf)/Watch Neg 8.82
C CCC (sf) B (sf)/Watch Neg 7.98
D CCC (sf) B (sf)/Watch Neg 6.74
E CCC- (sf) B- (sf) 5.63
F CCC- (sf) B- (sf) 4.93
G CCC- (sf) CCC+ (sf) 3.82
H CCC- (sf) CCC (sf) 2.57
Morgan Stanley Capital I Trust 2007-HQ12
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M B- (sf) BB (sf)/Watch Neg 22.26
A-MFL B- (sf) BB (sf)/Watch Neg 22.26
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C32
Rating
Class To From Credit enhancement (%)
A-MFL B (sf) BB- (sf)/Watch Neg 22.89
A-J B- (sf) B (sf)/Watch Neg 14.76
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-C34
Rating
Class To From Credit enhancement (%)
A-3 A (sf) A (sf)/Watch Neg 32.14
A-1A A (sf) A (sf)/Watch Neg 32.14
A-M BB (sf) BBB- (sf)/Watch Neg 21.23
A-J B- (sf) BB (sf)/Watch Neg 14.68
B B- (sf) B+ (sf)/Watch Neg 13.31
C B- (sf) B (sf)/Watch Neg 12.09
D CCC (sf) B (sf)/Watch Neg 10.86
E CCC (sf) B- (sf) 10.04
F CCC- (sf) CCC+ (sf) 9.08
G CCC- (sf) CCC (sf) 7.86
* S&P Lowers Ratings on 1,012 Classes From 99 RMBS Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 1,012
classes from 99 U.S. residential mortgage-backed securities (RMBS)
transactions and removed 949 of them from CreditWatch with
negative implications and 57 from CreditWatch with developing
implications. "We also raised our ratings on 81 classes and
removed 40 of them from CreditWatch positive, 28 from CreditWatch
developing, and one from CreditWatch negative because we obtained
additional loan-level information that was not available at the
time of the CreditWatch placements. We also affirmed our ratings
on 520 classes from 99 transactions and removed 70 of them from
CreditWatch negative, 41 from CreditWatch developing, and 15 from
CreditWatch positive. We subsequently withdrew two of the lowered
ratings and 11 of the affirmed ratings because of our view of the
potential for performance volatility associated with pools with
fewer than 20 loans. In addition, we withdrew our ratings on 72
classes from 30 transactions and removed 67 of them from
CreditWatch negative, two from CreditWatch developing, and one
from CreditWatch positive. We withdrew 56 of these ratings in
accordance with our current interest-only criteria and 16 of them
because they have been paid in full," S&P said.
The complete list of rating actions is available for free at:
http://bankrupt.com/misc/S&P_RMBS_Prime_RA_10_16_12.pdf
The transactions in this review were issued between 2001 and 2007
and are backed by adjustable- and fixed-rate prime jumbo mortgage
loans secured primarily by first liens on one- to four-family
residential properties.
"On Aug. 15, 2012, we placed our ratings on 1,271 classes from 108
of these transactions on CreditWatch negative, positive, or
developing, along with ratings from a group of other RMBS
securities due to the implementation of our recently revised
criteria for surveilling pre-2009 U.S. RMBS ratings. CreditWatch
negative placements accounted for approximately 85% of the
resolved CreditWatch actions in this review, CreditWatch
developing placements accounted for approximately 10%, and
CreditWatch positive placements accounted for approximately 5%. We
completed our review on these transactions using the revised
assumptions, and these rating actions resolve some of the
CreditWatch placements," S&P said.
3 or fewer More than 3
From Affirmations notches notches
Up Down Up Down
Watch Pos 15 18 0 22 0
Watch Neg 70 1 403 0 546
Watch Dev 41 24 49 4 8
"The high percentage of CreditWatch negative placements reflected
our projection that remaining losses for a majority of the prime
jumbo transactions will increase. We may have placed our ratings
on CreditWatch negative for certain structures that had reduced
forecasted losses due to an increased multiple of loss coverage
for certain investment-grade rated tranches as set forth in our
revised criteria," S&P said.
The increased projected losses resulted from one or more of these
factors:
-- An increase in our default and loss multiples at higher
investment-grade rating levels;
-- An increased portion of nondelinquent loans (generally
between 1% and 8%) are now categorized as reperforming (many
of these loans have been modified) and have a default
frequency of 25% or 30%; and
-- S&P's extended liquidation curves which eroded projected
credit support prior to when it would be needed.
Shelf # Deals
/Structures
Name Reviewed
ABN AMRO Mortgage Corp. (ABN) 1/1
Chase Mortgage Finance Trust (CMF) 8/10
Citicorp Mortgage Securities Inc. (CMS) 9/9
Citigroup Mortgage Loan Trust (CMLT) 6/8
Credit Suisse First Boston Mortgage (CSFB) 16/31
First Horizon Mortgage Pass Through Trust (FHM) 6/6
GMACM Mortgage Loan Trust (GMC) 8/9
GSR Mortgage Loan Trust (GSR) 1/2
MASTR Trust (MSTR) 27/27
MRFC Mortgage Pass-Through Trust (MRFC) 1/1
One Mortgage Partners (OMP) 1/1
Prime Mortgage Trust (PMT) 4/5
Structured Asset Securities Corp. (SAS) 16/18
Wells Fargo Mortgage Backed Securities (WFM) 6/6
The tables detail information on each reviewed shelf as of August
2012.
Losses and Delinquencies*
Shelf Avg. Pool Cum. Loss Serious DQ Total DQ
Name Factor (%) Avg. (%) Avg. (%) Avg. (%)
ABN 14.46 0.00 5.88 7.76
CMF 21.67 0.93 4.723 5.69
CMS 19.41 0.64 4.55 7.17
CMLT 23.93 2.52 8.58 10.31
CSFB 16.24 1.11 13.08 15.30
FHM 20.49 0.94 4.50 5.56
GMC 18.77 1.01 5.01 9.56
GSR 44.25 3.67 16.12 18.90
MSTR 15.58 0.56 7.47 10.61
MRFC 6.32 0.25 3.19 3.31
OPM 18.35 0.11 2.72 24.37
PMT 16.99 0.85 12.40 16.67
SAS 22.09 0.70 6.34 8.95
WFM 17.29 0.41 5.56 6.58
* Cumulative losses represent the percentage of the original pool
balance, and total and severe delinquencies represent the
percentage of the current pool balance.
Shelf # IG # Non-IG # IG to # Down/Up
Name Affirmed Affirmed Non-IG >3 notches
ABN 0 3 1 4/0
CMF 6 35 17 64/0
CMS 8 1 2 45/7
CMLT 5 18 5 22/1
CSFB 29 80 24 72/6
FHM 6 18 9 36/1
GMC 1 25 9 30/2
GSR 0 48 0 0/0
MSTR 33 93 31 193/6
MRFC 0 0 2 2/0
OPM 0 2 0 3/0
PMT 0 14 3 15/4
SAS 2 82 17 50/6
WFM 0 11 3 18/0
IG - Investment grade.
In addition, some of the reviewed transactions or respective
structures within a transaction are backed by a small remaining
population of mortgage loans. Standard & Poor's believes that the
liquidation of one of more of the loans in transactions with a
small number of remaining loans may have an adverse effect on
credit. This potential 'tail risk' to the rated classes resulted
from one or more of these factors:
Shifting-interest payment structures increase the possibility
of volatile credit performance. The cash flow mechanics within
these transactions allow unscheduled principal to be repaid to
subordinate classes while more senior classes remain
outstanding if certain performance triggers are met. This
decreases the actual dollar amount of credit enhancement
available to cover losses;
The lack of optional terminations ("clean-up" calls) in which
a designated participant can purchase the remaining loans
within a trust when the pool factor declines to a defined
percentage, effectively retiring the securities;
The lack of credit enhancement floors that could add
additional protection to the classes within a structure.
Securities currently rated 'AAA (sf)' in transactions that
have shifting-interest pay mechanisms and do not benefit from
a credit enhancement floor or an equivalent functional
mechanism will be rated no higher than 'AA+ (sf)'.
"In cases where a structure contained fewer than 100 loans or was
approaching 100 loans remaining, we addressed tail risk by
conducting additional loan-level analysis that stresses the loan
concentration risk within the specific pool. We may calculate loss
severities at the loan level using assumptions, such as market-
value declines published in the 2009 RMBS criteria, instead of
using pool-level assumptions. Because we developed our loss
severity assumptions using an aggregate sample set of data, we
applied a 1.2x adjustment factor to the loss severity assumption
for each loan when calculating loan-level loss severities to
account for potential variation between actual and calculated loss
severities when a loan is liquidated. The loss severity we used in
our analysis is equal to the higher of the calculated loss
severity and 20%. We use a 20% minimum loss severity to mitigate
potential information risk differences between the actual property
profile and condition and the reported estimated value using a
housing price index. Finally, we apply a 50% minimum loss severity
to the largest remaining loan balance if the calculated amount is
lower. The final rating assigned to each class will be the lower
of the rating derived by applying our revised surveillance
criteria and the rating derived by applying our tail risk
criteria," S&P said.
"The ratings on 13 classes from four transactions have been
reviewed and subsequently withdrawn because these pools contained
fewer than 20 loans. If any of the remaining loans in this pool
were to default, the resulting loss could have a greater effect on
the pool's performance than if the pool consisted of a larger
number of loans. Because this performance volatility may have an
adverse effect on the stability of our outstanding ratings, we
subsequently withdrew two of the lowered ratings and 11 of the
affirmed ratings due to the small number of loans remaining," S&P
said.
"Some of the transactions in this review have failed their current
delinquency triggers, which can affect the allocation of principal
to their classes. However, the payment priority of the deals that
failed these triggers may allow for additional allocation of
principal to the subordinate classes if they begin passing their
delinquency triggers again. In these instances, according to our
criteria, we lowered the ratings to 'AA+ (sf)' even though some of
these classes pass our 'AAA (sf)' stress scenario," S&P said.
"Of the downgraded classes, we lowered our ratings on 123 classes
to speculative-grade from investment-grade. Of the classes we
downgraded to speculative-grade from investment-grade, we lowered
102 to ratings between 'BB+ (sf)' and 'B- (sf)' and lowered 21 to
'CCC (sf)' or 'CC (sf)'. Additionally, we lowered 783 ratings that
remain at investment-grade. The remaining 106 downgraded classes
already had speculative-grade ratings prior to the downgrades,"
S&P said.
"We affirmed our ratings on 392 classes in the 'CCC (sf)' or 'CC
(sf)' categories. We believe that the projected credit support for
these classes will remain insufficient to cover the revised base-
case projected losses to these classes," S&P said.
"Besides the 13 classes withdrawn due to the related pool
containing fewer than 20 loans, we withdrew our ratings on 72
classes from 30 transactions: we withdrew 56 in accordance with
our IO criteria because the referenced classes no longer sustained
ratings above 'A+ (sf)', and we withdrew 16 ratings because the
classes have been paid in full," S&P said.
"In accordance with our counterparty criteria, we considered any
applicable hedges related to these securities when performing
these rating actions and resolving the CreditWatch placements,"
S&P said.
Subordination generally provides credit support for these prime
jumbo transactions.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
* S&P Lowers Ratings on 257 Classes From 101 RMBS Transactions
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 257
classes from 101 U.S. residential mortgage-backed securities
(RMBS) transactions and removed 207 of them from CreditWatch with
negative implications, 47 of them from CreditWatch with developing
implications, and one of them from CreditWatch with positive
implications. "The downgrade and removal of the rating from
CreditWatch positive was due to the occurrence of an interest
shortfall in a more recent remittance period after the CreditWatch
placement on the bond, which caused us to apply our interest
shortfall criteria. We also raised our ratings on 37 classes from
22 transactions and removed 15 of them from CreditWatch with
positive implications and 13 of them from CreditWatch with
developing implications. We also affirmed our ratings on 497
classes from 118 transactions and removed 100 of them from
CreditWatch negative, 46 of them from CreditWatch developing, and
25 of them from CreditWatch positive. We also withdrew our rating
on one class because the class was paid in full," S&P said.
The complete list of rating actions is available for free at:
http://bankrupt.com/misc/S&P_RMBS_RA_10_16_12.pdf
The transactions in this review were issued between 2001 and 2006
and are backed by a mix of adjustable- and fixed-rate subprime and
"scratch-and-dent" mortgage loans secured primarily by first liens
on one- to four-family residential properties.
"On Aug. 15, 2012, we placed our ratings on 455 classes from all
of the transactions within this review on CreditWatch negative,
positive or developing, along with ratings from a group of other
RMBS securities due to the implementation of our recently revised
criteria for surveilling pre-2009 U.S. RMBS ratings. We completed
our review of the transactions herein using the revised
assumptions and these rating actions resolve some of the
CreditWatch placements. The directional movements of the
CreditWatch resolutions within this review are," S&P said:
3 or fewer More than 3
From Watch Affirmations notches notches
Up Down Up Down
Watch Pos 25 10 1 5 0
Watch Neg 100 0 88 0 119
Watch Dev 46 13 46 0 1
"The high percentage of CreditWatch negative placements reflected
our projection that remaining losses for the majority of the
subprime transactions will increase. We may have placed our
ratings on CreditWatch negative for certain structures that had
reduced forecasted losses due to an increased multiple of loss
coverage for certain investment-grade rated tranches as set forth
in our revised criteria," S&P said.
The increase in projected losses resulted from one or more of
these factors:
An increase in our default and loss multiples at higher
investment-grade rating levels;
A substantial portion of nondelinquent loans (generally
between 20% and 50%) now categorized as reperforming (many of
these loans have been modified) and having a default frequency
of 45% or 50%;
Increased roll-rates for 30- and 60-day delinquent loans;
Application of a high prepayment/front end stress liquidation
scenario; and
A continued elevated level of observed severities.
"In line with the factors, we increased our remaining loss
projections for the majority of the transactions in this review
from our previous projections. The remaining projected loss
increases ranged from a low of 0.02% for ABFC 2005-OPT 1 Trust to
a high of 137% for Centex Home Equity Loan Trust 2005-A," S&P
said.
"We lowered our ratings on 257 classes from 101 transactions. Of
the lowered ratings, we lowered our ratings on 63 classes out of
investment-grade, including six that we downgraded to 'CCC (sf)'.
Of the classes we downgraded out of investment-grade, 19 classes
from 17 transactions had ratings in the 'AA (sf)' categories
before 's actions. For a certain number of these downgrades from
'AA (sf)' to speculative-grade, the actions reflect significant
increases to our updated loss severities for the related
transactions. Another 118 ratings remain at investment-grade after
being lowered. The remaining lowered ratings were on classes that
already had speculative-grade ratings before being lowered," S&P
said.
"In addition, we lowered our rating on class M-2 from Ace
Securities Corp. Home Equity Loan Trust's series 2003-HS1 to 'A+
(sf)' from 'AA (sf)' based on our interest shortfall criteria,"
S&P said.
Despite the increase in remaining projected losses, S&P upgraded
37 classes from 22 transactions. In general, the upgrades reflect
two general trends we've seen in these types of transactions:
The transactions have failed their cumulative loss triggers,
resulting in the permanent sequential payment of principal to
its classes, thereby locking out any principal payments to
lower-rated subordinate classes, which prevents credit support
erosion; and
Certain classes have a first priority in interest and
principal payments driven by the occurrence of the first
bullet.
"All of the upgrades affected classes from transactions issued in
2002 through 2006 and were originally rated in an investment-grade
category. All of the raised ratings have sufficient projected
credit support to absorb the projected remaining losses associated
with those rating stresses," S&P said.
For certain transactions, S&P considered specific performance
characteristics that, in its view, may add a layer of volatility
to its loss assumptions when they are stressed at the rating as
suggested by its cash flow models. In these circumstances, S&P
either limited the extent of its upgrades or affirmed its ratings
on the classes of the transactions in order to buffer against this
uncertainty and promote ratings stability. In general, the bonds
that were affected reflect:
-- Historical interest shortfalls;
-- Low priority in principal payments;
-- Significant growth in the delinquency pipeline;
-- High proportion of re-performing loans in the pool;
-- Significant growth in observed loss severities; and
-- Weak hard-dollar credit support.
The 96 'AAA (sf)' ratings from 54 transactions that S&P affirmed
affect bonds that reflect::
-- have more than sufficient credit support to absorb the
projected remaining losses associated with this rating stress;
and
-- benefit from permanently failing cumulative loss triggers.
The 32 affirmations from 27 transactions in the 'AA (sf)' and 'A
(sf)' categories reflect:
-- Classes that are currently in first, second, or third payment
priority; and
-- Benefit from permanently failing cumulative loss triggers.
"In addition, we affirmed the ratings on 43 classes from 32
transactions in the 'BBB (sf)' through 'B (sf)' rating categories.
The projected credit support on these particular bonds remained
relatively in line with prior projections," S&P said.
"Lastly, we affirmed our ratings on 326 additional classes in the
'CCC (sf)' or 'CC (sf)' rating categories. We believe that the
projected credit support for these classes will remain
insufficient to cover the revised projected losses to these
classes," S&P said.
"Mezzanine tranches accounted for nearly 75% of the lowered
ratings (191); the remaining downgrades affected senior classes.
Contrary to the characteristics that distinguished the upgrades
and affirmations, all of these tranches whose ratings were lowered
did not exhibit either a high priority in payment or a short-
projected average life," S&P said.
"We withdrew our rating on one class because it was paid in full,"
S&P said.
"In accordance with our counterparty criteria, we considered any
applicable hedges related to these securities when performing
these rating actions and resolving the CreditWatch placements,"
S&P said.
Subordination, overcollateralization (when available), and excess
interest generally provide credit support for these subprime
transactions.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The 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
* S&P Lowers Ratings on 361 Classes From 73 RMBS Transactions
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 361
classes from 73 U.S. residential mortgage-backed securities (RMBS)
transactions and removed 318 of them from CreditWatch with
negative implications, 34 of them from CreditWatch with developing
implications, and three of them from CreditWatch with positive
implications. "We also raised our ratings on 46 classes from 23
transactions and removed 23 of them from CreditWatch positive,
eight of them from CreditWatch developing, and one of them from
CreditWatch negative. We also affirmed our ratings on 245 classes
from 77 transactions and removed 31 of them from CreditWatch
negative, 10 from CreditWatch developing, and eight from
CreditWatch positive. We also withdrew our ratings on 54 classes
from 29 transactions. All of the withdrawn ratings were on
CreditWatch negative," S&P said.
The complete ratings list is available for free at:
http://bankrupt.com/misc/S&P_RMBS_RA_10_15_12.pdf
"The transactions in this review were issued between 2002 and 2007
and are backed by adjustable- and fixed-rate Alternative-A (Alt-
A), high loan-to-value (LTV), and negatively amortizing (Neg-am)
mortgage loans secured primarily by first liens on one- to four-
family residential properties," S&P said.
"On Aug. 15, 2012, we placed our ratings on 490 classes from 78
transactions within this review on CreditWatch negative, positive
or developing, along with ratings from a group of other RMBS
securities after implementing our recently revised criteria for
surveilling pre-2009 U.S. RMBS ratings. At that time, CreditWatch
negative placements accounted for approximately 57% of the
actions, CreditWatch developing accounted for approximately 36%,
and CreditWatch positive accounted for approximately 7%. We
completed our review using the new methodology and assumptions and
the rating actions resolve some of the CreditWatch placements. An
overview of the directional change of the CreditWatch resolutions
is," S&P said:
3 or fewer More than 3
From Affirmations notches notches
Up Down Up Down
Watch Pos 8 13 3 10 0
Watch Neg 31 0 85 1 233
Watch Dev 10 6 29 2 5
"The high number of CreditWatch negative placements reflected our
projection that remaining losses for a majority of the
transactions in this review will increase. We may have placed our
ratings on CreditWatch negative for certain structures that had
reduced forecasted losses due to an increased multiple of loss
coverage for certain investment-grade rated tranches as set forth
in our revised criteria," S&P said.
Increases in projected losses resulted from one or more of these
factors:
An increase in our default and loss multiples at higher
investment-grade rating levels;
A substantial portion of nondelinquent loans (some as low as
1.44% with others as high as 39.72%) now categorized as
reperforming (many of these loans have been modified) and
having a default frequency of between 30% and 45%;
Increased roll-rates for 30- and 60-day delinquent loans;
"An overall continued elevated level of observed loss
severities. We used deal- or shelf-specific loss severities
for the majority of the transactions within this review: 46%
of the Alt-A and 31% of the Neg-am transactions had loss
severities that were greater than the default loss severity
for its respective cohort," S&P said.
Principal losses resulting from interest shortfalls in
transactions where principal and interest are commingled.
Shelf #Deals/
Structures
Name Reviewed
CHL Mtg Pass Through/Alternative Loan Tr (CWF0) 2/3
American Home Mortgage Assets Trust (AHA0) 2/2
American Home Mortgage Investment Trust (AHM0) 1/1
Bear Stearns Alt-A Trust (BSAA) 2/3
Chevy Chase Funding LLC (CCF0) 6/6
Deutsche Alt-A Securities Inc Mtg Loan Tr (DAA0) 2/2
DSLA Mortgage Loan Trust (DSLA) 4/4
First Horizon Alternative Mtg Securities Tr (FHAT) 1/1
GSAA Home Equity Trust (GSAA) 5/5
HarborView Mortgage Loan Trust (HVML) 1/1
HomeBanc Mortgage Trust (HMT0) 1/2
Homestar Mortgage Acceptance Corp. (HMS0) 1/1
Impac CMB Trust (IMHE) 1/1
Impac Secured Assets Corp. (ISC0) 2/2
IndyMac INDX Mortgage Loan Trust (INX0) 1/1
JPMorgan Mortgage Trust (JPM0) 1/2
Lehman ABS Corp. (LAC0) 1/1
MASTR Adjustable Rate Mortgages Trust (MARM) 6/8
MASTR Alternative Loan Trust (MALT) 7/10
MASTR Asset Backed Securities Trust (MAB0) 1/1
Morgan Stanley Mortgage Loan Trust (MSM0) 3/6
New York Mortgage Trust (NYMT) 2/2
Nomura Asset Acceptance Corp Alt Loan Tr (NAA0) 6/6
Opteum Mortgage Acceptance Corporation (OMAC) 1/1
RAMP/RALI Trust (RFC0) 12/12
Residential Asset Securitization Trust (RAS0) 10/10
Structured Adjustable Rate Mortgage Loan Tr (SAR0) 1/1
Structured Asset Mortgage Investments II Tr (SAMI) 1/1
Structured Asset Securities Corp. (SAS0) 2/2
The tables detail information by vintage and on each reviewed
shelf as of August 2012.
Structure Count
Vintage Alt-A Neg-Am High LTV
2003 1
2002 2
2003 22 1
2004 33 6
2005 19 6 2
2006 1 2
2007 3
Total Delinquency (%)
Vintage Alt-A Neg-Am High LTV
2003 6.42
2002 16.59
2003 13.99 13.20
2004 18.85 18.30
2005 20.10 25.07 13.08
2006 31.52 37.65
2007 48.94
Severe Delinquency (%)
Vintage Alt-A Neg-Am High LTV
2003 3.75
2002 10.63
2003 9.93 6.92
2004 14.79 14.33
2005 16.30 19.38 9.09
2006 28.81 34.53
2007 42.65
Losses And Delinquencies*
Shelf Avg. pool Cum. loss Serious DQ Total DQ
Name factor (%) avg. (%) avg. (%) avg. (%)
AHA0 42.87 21.52 34.53 37.65
AHM0 45.92 27.07 36.53 42.19
BSAA 13.72 1.84 21.07 22.96
CCF0 9.74 1.74 14.21 18.27
CWF0 10.16 1.85 21.01 24.95
DAA0 22.72 4.79 17.20 21.38
DSLA 13.78 7.11 13.49 20.07
FHAT 22.64 2.17 7.26 9.58
GSAA 25.72 5.90 21.11 23.76
HMS0 18.34 2.44 7.00 10.26
HMT0 11.04 1.07 11.93 16.43
HVML 10.34 1.80 19.40 20.54
IMHE 11.47 0.26 5.08 6.81
INX0 6.53 1.80 26.79 28.82
ISC0 15.18 0.45 5.64 7.34
JPM0 20.31 0.62 8.16 8.70
LAC0 17.34 0.64 7.14 8.65
MAB0 35.58 10.44 28.81 31.52
MALT 18.19 0.84 10.29 14.65
MARM 20.84 7.72 27.37 32.94
MSM0 25.16 6.25 17.80 22.75
NAA0 9.68 2.37 16.91 21.74
NYMT 32.95 1.46 10.34 11.54
OMAC 33.48 13.03 14.93 17.17
RAS0 14.03 0.31 8.21 13.03
RFC0 18.12 3.01 7.80 13.25
SAMI 17.15 6.61 36.21 41.50
SAR0 6.65 1.00 15.65 20.36
SAS0 16.62 3.03 18.59 21.27
"As demonstrated in the tables, newer vintages are experiencing
higher total and severe delinquencies than older ones. The
American Home and Structured Asset Mortgage Investments
transactions are among those in this review with the highest
average delinquencies. The American Home transactions also show
the highest cumulative losses to date, along with the highest pool
factors. Among the better performing transactions in this review,
based on cumulative losses and delinquencies, are the Impac
transactions, JPMorgan Trust 2004-S1, and the Lehman ABS Corp.
2003-1," S&P said.
"In line with the factors, we revised our remaining loss
projections for all of the transactions in this review from our
previous projections. Because the majority of these transactions
had increased loss projections, 51% of the rating actions in this
review were downgrades and most of the remaining actions were
affirmations," S&P said.
"Despite the increase in remaining projected losses for a majority
of the transactions, we upgraded 46 classes from 22 Alt-A
transactions and one high LTV transaction. The upgrades reflect
sufficient credit enhancement to support projected losses at the
respective rating level. Some of these classes are the most senior
tranches outstanding in their respective transactions. Our
decisions on these classes primarily reflected our assessment of
the structural mechanics of these transactions, namely situations
where cumulative loss triggers embedded in the deals have failed.
This causes principal to be distributed sequentially, which helps
prevent credit support erosion and increases the likelihood that
these tranches will receive their full share of principal payments
prior to the realization of our projected losses. We upgraded
other classes due to an extended loss curve that increases the
amount of excess spread available for credit support in our
projections. Lastly, the upgrades of some senior classes that
receive principal and interest from a particular loan group were
the result of better projected group level performance," S&P said.
"We affirmed our ratings on 245 classes from 77 transactions and
removed 31 of them from CreditWatch negative, 10 of them from
CreditWatch developing, and eight of them from CreditWatch
positive. We rate 188 of these classes 'CCC (sf)' or 'CC (sf)'. We
believe that the projected credit support for these classes will
remain insufficient to cover the revised projected losses.
Conversely, the affirmations for classes with ratings above 'CCC'
reflect our opinion that the credit support for these classes will
remain sufficient to cover the revised projected losses," S&P
said.
"We lowered our ratings on 361 classes from 73 transactions. Of
the lowered ratings, we downgraded 106 classes out of investment-
grade, including 35 that we downgraded to 'CCC (sf)'. Another 219
ratings remain at investment-grade after the downgrades. The
remaining downgraded classes already had speculative-grade ratings
prior to the actions. We downgraded five classes to 'D (sf)' due
to observed principal write-downs," S&P said.
"Senior tranches accounted for the bulk of the lowered ratings
(295); the remaining downgrades affected mezzanine classes.
Contrary to the characteristics that distinguished the upgrades
and affirmations highlighted, these downgraded tranches generally
did not exhibit either a high priority in payment or a short
projected life," S&P said.
"The downgrades were primarily due to significantly greater
lifetime loss projections driven by increased loss severities and
loans classified as reperforming, which caused an increase in our
projected default rates on nondelinquent loans. Also, ratings that
we lowered but remain at investment-grade were primarily driven by
our increased stress multiples applied to ratings 'A (sf)' and
above," S&P said.
"The downgrades were also driven by eroded credit support caused
by additional principal distributions to supporting classes,
especially in scenarios where we utilize our extended liquidation
curves. In particular, two HomeBanc Mortgage Trust, one Impac CMB
Trust, one Impac Secured Assets Corp., two New York Mortgage
Trust, and one Nomura Asset Acceptance Corp. Alternative Loan
Trust transactions in this review have pro rata principal pay
structures, which inherently deteriorates credit support over the
life of the transaction. Also, despite failing triggers, many
transactions in this review still pay scheduled principal to
subordinate classes," S&P said.
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-
A1 and 2003-A2 are passing their delinquency and cumulative loss
triggers, which allows for additional allocation of principal to
the subordinate classes. "In these instances, according to our
criteria, we lowered the ratings of the 'AAA (sf)' rated classes
to 'AA+ (sf)' even though they pass our 'AAA (sf)' stress
scenario," S&P said.
"We lowered our ratings on class A-1 and A-3 from Structured
Adjustable Rate Mortgage Loan Trust 2004-7 due to 'tail risk'. The
transaction is backed by a small remaining population of mortgage
loans. We address tail risk in transactions by conducting
additional loan-level analysis that stresses the loan
concentration risk within the applicable transactions," S&P said.
"We withdrew our ratings on 53 classes from 28 transactions in
accordance with our interest-only criteria because the referenced
classes no longer sustained ratings above 'A+ (sf)'. We withdrew
our rating on one class from one transaction because the class had
been paid in full," S&P said.
"In accordance with our counterparty criteria, we considered any
applicable hedges related to these securities when performing
these rating actions and resolving the CreditWatch placements,"
S&P said.
Subordination, overcollateralization (when available), and excess
interest as applicable generally provide credit support for these
Alt-A, Neg-am, and high LTV transactions. Some classes may also
benefit from bond insurance. In these cases, the long-term rating
on the class reflects the higher of the rating on the bond insurer
and the underlying credit rating on the security without the
benefit of such bond insurance.
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
* S&P Puts Ratings on 23 Tranches From 19 CDOs on Watch Positive
----------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 23
tranches from 19 corporate-backed synthetic collateralized debt
obligation (CDO) transactions on CreditWatch positive. "At the
same time, we raised two tranche ratings from two corporate-backed
synthetic CDO transactions. The rating actions followed our
monthly review of synthetic CDO transactions," S&P said.
"The CreditWatch positive placements reflect the seasoning of the
transactions, the rating stability of the obligors in the
underlying reference portfolios over the past few months, and the
synthetic rated overcollateralization (SROC) ratios that had risen
above 100% at the next highest rating level. The upgrades are from
synthetic CDOs with direct links to credit-linked notes of a
separate issuer," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Athenee CDO PLC
EUR25 mil tranche B Hunter Valley CDO II floating rate notes due
June 30, 2014
series 2007-4
Rating
Class To From
Tranche B BB- (sf)/Watch Pos BB- (sf)
Athenee CDO PLC
EUR40 mil tranche B Hunter Valley CDO II floating-rate notes due
30 June 2014
series 2007-14
Rating
Class To From
Tranche B BB- (sf)/Watch Pos BB- (sf)
Camber Master Trust Series 7
Rating
Class To From
B (sf) CCC (sf)
Camber Master Trust Series 8
Rating
Class To From
B (sf) CCC (sf)
Corsair (Jersey) No. 4 Ltd.
Series I
Rating
Class To From
Def Fx Rt BBB- (sf)/Watch Pos BBB- (sf)
Credit Default Swap
US$500 mil Credit Default Swap - CRA700386
Rating
Class To From
Swap AA+srp (sf)/Watch Pos AA+srp (sf)
Credit Default Swap
US$500 mil Credit Default Swap - CRA700396
Rating
Class To From
Swap AA+srp (sf)/Watch Pos AA+srp (sf)
Infinity SPC Ltd.
US$25 mil Class B Floating Rate Notes (CPORTS POTOMAC 2007-1)
Rating
Class To From
B B- (sf)/Watch Pos B- (sf)
Jupiter Finance Ltd.
Series 2007-002
Rating
Class To From
Port CrLkd BB (sf)/Watch Pos BB (sf)
Lorally CDO Limited Series 2006-2
Rating
Class To From
2006-2 A (sf)/Watch Pos A (sf)
Lorally CDO Limited Series 2006-4
Rating
Class To From
2006-4 A (sf)/Watch Pos A (sf)
Morgan Stanley ACES SPC
Series 2005-12
Rating
Class To From
Fltg Rt Nt BB (sf)/Watch Pos BB (sf)
Morgan Stanley ACES SPC
Series 2006-13
Rating
Class To From
A BBB (sf)/Watch Pos BBB (sf)
Morgan Stanley ACES SPC
Series 2007-8
Rating
Class To From
Senior BB+ (sf)/Watch Pos BB+ (sf)
A2 B- (sf)/Watch Pos B- (sf)
Morgan Stanley Managed ACES SPC
Series 2005-1
Rating
Class To From
Jr Sup Sr AA (sf)/Watch Pos AA (sf)
NOAJ CDO Ltd.
Series 1
Rating
Class To From
Series 1 BB (sf)/Watch Pos BB (sf)
ORSO Portfolio Tranche Index Certificates
US$28 mil ORSO Portfolio Tranche Index Certificates Series 1
Trust
Rating
Class To From
CL A+ (sf)/Watch Pos A+ (sf)
Repacs Trust Series: Bayshore I
Rating
Class To From
A BB+ (sf)/Watch Pos BB+ (sf)
Rutland Rated Investments
EUR5 mil, US$197 mil Dryden XII - IG Synthetic CDO 2006-1
Rating
Class To From
A1A-$LS A+ (sf)/Watch Pos A+ (sf)
A3-$LS BBB (sf)/Watch Pos BBB (sf)
A3B-$LS BBB (sf)/Watch Pos BBB (sf)
A3C-$LS BBB (sf)/Watch Pos BBB (sf)
STARTS (Cayman) Ltd.
Series 2006-5
Rating
Class To From
A2-D2 BBB (sf)/Watch Pos BBB (sf)
STARTS (Ireland) PLC
US$50 mil Maple Hill II Managed Synthetic CDO series 2007-31
Rating
Class To From
A2-D2 BB+ (sf)/Watch Pos BB+ (sf)
* S&P Puts 'B+' Ratings on 5 Sprint Capital-Related Deals on Watch
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its 'B+' ratings on six
classes from five separate Sprint Capital Corp.-related repack
transactions on CreditWatch with positive implications.
"All of the transactions are pass-through structures. The ratings
on the transactions are based on the ratings on one of the
following underlying ecurities: Sprint Capital Corp.'s 6.875%
notes due Nov. 15, 2028 ('B+/Watch Pos'); and Sprint Capital
Corp.'s 8.75% notes due March 15, 2032 ('B+/Watch Pos')," S&P
said.
"The rating actions reflect the Oct. 11, 2012, placement of our
'B+' rating on the two underlying securities on CreditWatch with
positive implications. We may take subsequent rating actions on
these transactions due to changes in our rating assigned to the
underlying securities," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
COBALTS Trust For Sprint Capital Notes Series 2002-1
US$25 million corporate backed listed trust securities ("COBALTS")
trust series sprint capital certificates series 2002-1 (underlying
security: Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028)
Rating
Class To From
Certs B+/Watch Pos B+
Corporate Backed Trust Certificates, Sprint Capital Note-Backed
Series 2003-17 US$25 million sprint capital note-backed series
2003-17(underlying security: Sprint Capital Corp.'s 6.875% notes
due Nov. 15, 2028)
Rating
Class To From
A-1 B+/Watch Pos B+
PPLUS Trust Series SPR-1
US$42.515 million trust certificates series SPR-1 (underlying
security: Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028)
Rating
Class To From
Cert B+/Watch Pos B+
Structured Asset Trust Unit Repackagings (SATURNS) Sprint Capital
Corp.
Debentures Backed Series 2003-2
US$30 million callable units series 2003-2 (underlying security:
Sprint Capital Corp.'s 8.75% notes due March 15, 2032)
Rating
Class To From
A B+/Watch Pos B+
B B+/Watch Pos B+
Structured Repackaged Asset Backed Trust Securities (STRATS) Trust
For Sprint
Capital Corp. Securities Series 2004-2
US$38 million certificates series 2004-2 underlying security:
Sprint Capital Corp.'s 6.875% notes due Nov. 15, 2028)
Rating
Class To From
A-1 B+/Watch Pos B+
* S&P Hikes Ratings on 3 Provident I-Related Certificates to 'BB+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
Provident Financing Trust I-related pass-through transactions.
"Our ratings on the three transactions are dependent on the
underlying security, Provident Financing Trust I's 7.405% capital
securities due March, 2038 ('BB+')," S&P said.
"The rating actions reflect the Oct. 10, 2012, raising of our
rating on the underlying security to 'BB+' from 'BB'. We may take
subsequent rating actions on these transactions due to changes in
our rating assigned to the underlying security," S&P said.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
CorTS Trust for Provident Financing Trust I
US$52.271 mil corporate backed trust securities (CorTS)
certificates
Rating Rating
Class To From
Certs BB+ BB
CorTS Trust II For Provident Financing Trust I
US$87.47 mil UnumProvident 8.20% corporate-backed trust securities
(CorTS)
certificates
Rating Rating
Class To From
Certs BB+ BB
CorTS Trust III For Provident Financing Trust I
US$26.146 mil UnumProvident corporate-backed trust securities
(CorTS)
certificates
Rating Rating
Class To From
Certs BB+ BB
* S&P Withdraws Ratings on 21 U.S. Repackaged Transactions
----------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 21 U.S.
repackaged transactions after criteria revision.
The ratings on the transactions are dependent on the lower of the
ratings on the underlying securities and the derivative
counterparties.
These rating actions follow the application of "Global Methodology
For Rating Repackaged Securities," published Oct. 16, 2012. For
each of these transactions, if the underlying security prepays,
the investors may suffer a payment shortfall due to potential
derivative termination payment owed to the derivative
counterparty.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING WITHDRAWN
STRATS for IBM Corp Securities Series 2004-7
US$33 mil certificates series 2004-7
Rating Rating
To From
NR AA-
STRATS for JPMorgan Chase & Co. Securities, Series 2004-9
US$25.762 mil floating rate structured repackaged asset-backed
trust securities (STRATS) certificates Series 2004-9
Rating Rating
To From
NR A-
STRATS Trust for Allstate Corporation Securities, Series 2006-3
US$35 mil STRATS Trust for Allstate Corporation Securities, Series
2006-3
Rating Rating
To From
NR A-
STRATS Trust for DaimlerChrysler NA Holding Securities, Series
2005-P1
US$100 mil STRATS Trust for DaimlerChrysler NA Holding Securities,
Series 2005-P1
Rating Rating
To From
NR A-
STRATS Trust For Dominion Resources, Inc. Securities,
Series 2005-6
US$25 mil STRATS certificates series 2005-6
Rating Rating
To From
NR A-
STRATS Trust For Federal Home Loan Banks Securities,
Series 2005-P2
US$25 mil inflation linked structured repackaged asset-backed
trust series 2005-P2
Rating Rating
To From
NR AA
STRATS Trust for General Electric Capital Corporation Securities,
Ser 2004-15
US$30 mil STRATS Certificates, Series 2004-15
Rating Rating
To From
NR AA
STRATS Trust For Goldman Sachs Capital 1 Securities Series 2005-1
US$10 mil floating rate structured repackaged asset-backed trust
securities certificates series 2005-1
Rating Rating
To From
NR BB+
STRATS Trust for Goldman Sachs Capital I Securities Series 2005-3
US$40 mil STRATS certificates series 2005-3
Rating Rating
To From
NR BB+
STRATS Trust for Goldman Sachs Group Securities Series 2004-8
US$30.25 mil certificates Series 2004-8
Rating Rating
To From
NR A-
STRATS Trust for Goldman Sachs Group Securities, Series 2006-2
US$70 mil floating rate STRATS certificates series 2006-2
Rating Rating
To From
NR A-
STRATS Trust For Goldman Sachs Group, Inc. Securities,
Series 2004-14
US$15 mil STRATS certificates series 2004-14
Rating Rating
To From
NR A-
STRATS Trust for JPMorgan Chase & Co. Securities, Series 2004-13
US$15 mil Floating Rate Structured Repackaged Asset-Backed Trust
Securities (STRATS) certificates, Series 2004-13
Rating Rating
To From
NR A-
Strats Trust for Merrill Lynch & Co. Securities, Series 2004-P1
US$10 mil STRATS Trust For Merrill Lynch & Co. Securities,
Series 2004-P1
Rating Rating
To From
NR A-
STRATS Trust for Morgan Stanley Securities Series 2004-11
US$15 mil certificates series 2004-11
Rating Rating
To From
NR BBB+
STRATS Trust For Morgan Stanley Securities Series 2004-12
US$5 mil certificates series 2004-12
Rating Rating
To From
NR BBB+
STRATS Trust for Morgan Stanley Securities Series 2004-16
US$15 mil floating rate STRATS certificates series 2004-16
Rating Rating
To From
NR BBB+
STRATS Trust For PEMEX Project Funding Master Trust Securities,
Series 2005-P3
US$35 mil STRATS certificates, series 2005-P3
Rating Rating
To From
NR BBB
STRATS Trust for Procter & Gamble Securities, Series 2006-1
US$33 mil STRATS Certificates, Series 2006-1
Rating Rating
To From
NR AA-
STRATS Trust For Wal-Mart Stores, Inc. Securities, Series 2005-4
US$25 mil strats certificates series 2005-4
Rating Rating
To From
NR AA
Treasury Index Linked Securities (TILES) Series 2006-1
US$20 mil Tiles Trust Units, Series 2006-1
Rating Rating
To From
NR BB+
* S&P Withdraws Ratings on 221 Tranches From 43 CDO Transactions
----------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 221
tranches from 43 U.S. cash flow and hybrid collateralized debt
obligation (CDO) transactions (see list). All the affected
notes are collateralized by or reference structured finance (SF)
assets, including U.S. residential mortgage-backed securities
(RMBS).
"In our view, these notes, all of which have been rated 'CC (sf)'
or 'D (sf)' for some time, have little realistic prospect of
receiving full payment. Further, we do not expect some of these
notes to receive any payments in the future," S&P said.
"The rating withdrawals follow the application of our policy for
withdrawal of ratings because we believe there is a lack of market
interest in the rating assigned to these 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 Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS WITHDRAWN
ACA ABS 2003-2 Ltd.
Rating
Class To From
A-1SD NR CC (sf)
A-1SU NR CC (sf)
A-1SW NR CC (sf)
A-1J NR D (sf)
A-2 NR D (sf)
A-3 NR D (sf)
B-F NR D (sf)
B-V NR D (sf)
C NR D (sf)
Acacia CDO 6 Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E-1 NR D (sf)
E-2 NR D (sf)
Altius I Funding Ltd.
Rating
Class To From
A-1LT-a NR CC (sf)
A-1LT-b NR CC (sf)
A-2 NR CC (sf)
B NR CC (sf)
C NR CC (sf)
D NR CC (sf)
E NR CC (sf)
Altius II Funding Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
Ambassador Structured Finance CDO Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
Bleecker Structured Asset Funding Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR CC (sf)
Bluegrass ABS CDO III Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D-1 NR D (sf)
D-2 NR D (sf)
C-Bass CBO IV Ltd.
Rating
Class To From
D-1 NR CC (sf)
D-2 NR CC (sf)
E NR D (sf)
C-BASS CBO XIII Ltd.
Rating
Class To From
A NR CC (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
Cheyne High Grade ABS CDO I Ltd.
Rating
Class To From
A-1 LT NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
Cimarron CDO Ltd.
Rating
Class To From
A-2 NR CC (sf)
A-3 NR D (sf)
B NR D (sf)
Davis Square Funding II Ltd.
Rating
Class To From
A-1LT-a NR CC (sf)
A-1LT-b NR CC (sf)
A-1LT-c NR CC (sf)
A-1LT-d NR CC (sf)
A-1LT-e NR CC (sf)
A-1LT-f NR CC (sf)
Davis Square Funding III Ltd.
Rating
Class To From
A-1LT-a NR CC (sf)
A-1LT-b-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
Duke Funding High Grade I Ltd.
Rating
Class To From
A-1 LTa NR CC (sf)
A-1 LTb1 NR CC (sf)
A-1LT b2 NR CC (sf)
A-2 NR CC (sf)
B NR D (sf)
C-1 NR D (sf)
C-2 NR D (sf)
D NR D (sf)
Dutch Hill Funding II Ltd.
Rating
Class To From
B NR CC (sf)
C NR D (sf)
C Loan NR D (sf)
D-1 NR D (sf)
D-2 NR D (sf)
D-3 NR D (sf)
Fortius I Funding Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
G Street Finance Ltd.
Rating
Class To From
A-1LT-a NR CC (sf)
A-1LT-b NR CC (sf)
A-2 NR CC (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
Gemstone CDO III Ltd.
Rating
Class To From
A-1 NR D (sf)
A-2 NR CC (sf)
A-3 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
Gloucester Street ABS CDO I Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR CC (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
HarbourView CDO III Ltd.
Rating
Class To From
A NR CC (sf)
Independence IV CDO Ltd.
Rating
Class To From
A-1Series1 NR CC (sf)
A-1Series2 NR CC (sf)
A-2 NR D (sf)
A-3 NR D (sf)
B NR D (sf)
C NR D (sf)
Inman Square Funding I Ltd.
Rating
Class To From
II-FL NR CC (sf)
II-FX NR CC (sf)
III NR D (sf)
IV-FL NR D (sf)
IV-FX NR D (sf)
Kleros Preferred Funding II Ltd.
Rating
Class To From
A1 NR CC (sf)
A2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
E NR D (sf)
Knollwood CDO Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
Longport Funding II Ltd.
Rating
Class To From
A1S NR CC (sf)
A1J NR D (sf)
A2 NR D (sf)
A3 NR D (sf)
B NR D (sf)
Combo Sec NR D (sf)
Income Nts NR D (sf)
Millerton ABS CDO Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR CC (sf)
B NR D (sf)
C NR D (sf)
Nautilus RMBS CDO I Ltd.
Rating
Class To From
A-1S NR CC (sf)
A-1J NR D (sf)
A-2 NR D (sf)
A-3 NR D (sf)
BF NR D (sf)
BV NR D (sf)
CF NR D (sf)
CV NR D (sf)
Neptune CDO 2004-1 Ltd.
Rating
Class To From
A-1LA NR CC (sf)
A-1LB NR D (sf)
A-2L NR D (sf)
A-3L NR D (sf)
B-1L NR D (sf)
Northwall Funding CDO I Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
Pinetree CDO Ltd.
Rating
Class To From
A-1S NR CC (sf)
A-1J NR D (sf)
A-2 NR D (sf)
A-3 NR D (sf)
B NR D (sf)
Porter Square CDO III Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
RFC CDO III Ltd.
Rating
Class To From
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
River North CDO Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D-1 NR D (sf)
D-2 NR D (sf)
Saybrook Point CBO II Ltd.
Rating
Class To From
A NR CC (sf)
B-1 NR CC (sf)
B-2 NR CC (sf)
C-1 NR D (sf)
C-2 NR D (sf)
Sierra Madre Funding Ltd.
Rating
Class To From
A-1LT-a NR CC (sf)
A-1LT-b NR CC (sf)
A-2 NR CC (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
STAtic ResidenTial CDO 2005-A Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR CC (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
Summer Street 2004-1 Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
A-3 NR D (sf)
B NR D (sf)
C NR D (sf)
D Inc Nts NR D (sf)
Summer Street 2005-1 Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
A-3 NR D (sf)
B NR D (sf)
C NR D (sf)
TABS 2004-1 Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
TABS 2005-2 Oakville Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
Talon Funding I Ltd.
Rating
Class To From
A NR CC (sf)
Varick Structured Asset Fund Ltd.
Rating
Class To From
A-1 NR CC (sf)
A-2 NR CC (sf)
Witherspoon CDO Funding Ltd.
Rating
Class To From
A-1 CP NR CC/NR (sf)
A-1 LT-a NR CC (sf)
A-2 NR D (sf)
B NR D (sf)
C NR D (sf)
D NR D (sf)
Combo secs NR D (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, Carmel
Paderog, Meriam Fernandez, 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 ***