/raid1/www/Hosts/bankrupt/TCR_Public/130324.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, March 24, 2013, Vol. 17, No. 82
Headlines
ACIS CLO 2013-1: S&P Assigns 'B' Rating to Class F Notes
AMERICAN CREDIT: S&P Assigns Prelim. 'BB' Rating to Class D Notes
AMMC CLO XII: S&P Assigns Preliminary 'BB' Rating to Class E Notes
ARES VR: Moody's Lifts Rating on $56.2MM Class D Notes to 'Baa3'
ARES XX: Moody's Lifts Rating on $12MM Class D Notes to 'Ba2'
ARES XXVI: S&P Assigns Preliminary 'BB' Rating to Class E Notes
AVIATION CAPITAL: Fitch Lowers Rating on Class A-1 Notes to 'C'
BCAP LLC 2007-AA1: Moody's Cuts Ratings on Four RMBS Tranches
BEXAR COUNTY, TX: 'Ba3' Housing Bonds on Moody's Downgrade Watch
BRISTOL CDO I: Fitch Affirms 'C' Rating on Class B Notes
BUSINESS LOAN 2007-A: S&P Cuts Rating on 2 Note Classes to 'CC'
CANYON CAPITAL 2004-1: Moody's Ups Rating on Cl. D Notes to 'Ba1'
CIFC FUNDING 2012-I: S&P Affirms 'BB-' Rating on Class B-2L Notes
CIFC FUNDING 2013-I: S&P Assigns 'BB' Rating to Class D Notes
CITIGROUP COMMERCIAL 2004-C1: Moody's Cuts Rating on L Certs to C
CITIGROUP COMMERCIAL 2005-EMG: Fitch Affirms D Rating on M Certs
CITIGROUP MORTGAGE 2009-7: Moody's Lifts 1A2 Certs Rating to Caa1
CITIZENS FUNDING: Fitch Raises Preferred Stock Rating to 'CCC'
COLUMBUSNOVA CLO 2007-1: Moody's Ups Rating on Cl. D Notes to Ba1
COMM 2005-FL11: Moody's Still Reviews 'B3'-Rated CMBS Classes
CPS AUTO: S&P Assigns 'BB' Rating to Class D Notes
CREDIT SUISSE 1998-C2: Moody's Affirms Ratings on 6 CMBS Classes
CREDIT SUISSE 2003-AR18: Moody's Keeps IV-M-3 Certs' Caa1 Rating
CREDIT SUISSE 2005-C2: Moody's Keeps C Ratings on 6 CMBS Classes
CREST 2001-1: Fitch Affirms 'C' Rating on Class C Notes
CREST 2004-1: Fitch Lowers Ratings on 3 Note Classes to 'C'
DENALI CAPITAL: S&P Assigns Prelim. 'BB-' Rating to Cl. B-2L Notes
DRYDEN XXVI: S&P Assigns 'BB' Rating to Class E Notes
EVERBANK MORTGAGE 2013-1: Fitch to Rate Class B-4 Certificate 'BB'
FCC FINANCING: DBRS Rates $9.87 Million Class C Notes 'BB(sf)'
FIGUEROA CLO 2013-1: S&P Assigns 'BB' Rating to Class D Notes
FIRST UNION 1997-C2: Moody's Cuts Rating on Cl. IO Certs to Caa3
FIRST UNION 1999-C2: Moody's Affirms 'C' Rating on Class M Certs
FIRST INVESTORS: S&P Affirms 'BB+' Rating on Class E Notes
FOUR CORNERS CLO III: S&P Raises Rating on Class E Notes to 'CCC+'
GALE FORCE 1: Moody's Affirms 'Ba2' Rating on $15MM Cl. E Notes
GALLATIN CLO 2007-1: Moody's Ups Rating on Cl. B-2L Notes to Ba3
GE COMMERCIAL 2005-C1: S&P Lowers Rating on Class C Notes to 'BB-'
GREYWOLF CLO II: S&P Assigns Preliminary B Rating to Class E Notes
GS MORTGAGE 2007-EOP: Moody's Keeps 'Ba3' Rating on Cl. X Certs.
GS MORTGAGE 2011-GC3: Moody's Affirms 'Ba3' Rating on Cl. X Certs
GS MORTGAGE 2013-NYC5: Moody's Rates Cl. XA-2 CMBS '(P)B2'
HALCYON LOAN 2013-1: S&P Gives Prelim. BB Rating on Class D Notes
ICE 3: S&P Assigns 'BB(sf)' Rating to Class E Notes
JFIN CLO 2012: S&P Affirms 'BB' Rating on Class D Notes
JFIN CLO 2013: S&P Assigns Preliminary 'BB' Rating to Cl. D Notes
JP MORGAN 2013-1: Fitch to Rate Cl. B-4 Certs BB'; Outlook Stable
KIMBERLITE CDO: Fitch Cuts Ratings on 6 Note Classes to 'D'
LATITUDE CLO III: Moody's Lifts Rating on $8MM Cl. F Notes to Ba2
LB-UBS 2000-C4: Moody's Affirms 'C' Rating on Class J Certificates
LB-UBS 2004-C7: Moody's Affirms 'Ba1' Rating on Class G Certs
LB-UBS 2005-C1: Moody's Cuts Rating to 'B2' to Class G Certs
LNR CDO 2003-1: Fitch Affirms 'C' Ratings on 5 Note Classes
MAREA CLO: S&P Affirms 'BB' Rating on $18MM Class E Notes
MERRILL LYNCH 2005-CKI1: Moody's Cuts Ratings on 7 CMBS Classes
MERRILL LYNCH 2008-Ca1 Fitch Affirms 'D' Rating on Class S Certs
MIDWEST FAMILY 2006: Moody's Reviews Ratings for Possible Upgrade
MORGAN STANLEY 1999-RM1: Moody's Keeps Caa1 Rating on Cl. X Certs
MORGAN STANLEY 2003-IQ5: Moody's Affirms 'Ba2' Rating on 2 Certs
MORGAN STANLEY 2005-HQ6: Fitch Keeps 'C' Ratings on 4 Note Classes
MORGAN STANLEY 2005-HQ7: S&P Cuts Rating on Class K Notes to 'D'
MORGAN STANLEY 2012-C4: Moody's Keeps Ratings on 13 CMBS Classes
NOMURA ASSET 1998-D6: Moody's Cuts Rating on Cl. PS-1 CMBS to 'B3'
OCP CLO 2013-3: S&P Assigns Preliminary BB Rating to Class D Notes
OZLM FUNDING: S&P Affirms 'BB' Rating on Class D Notes
PACIFIC SHORES: Fitch Affirms 'C(sf)' Rating on $16MM Cl. C Notes
PREFERREDPLUS QWS-1: Moody's Cuts Rating on $40MM Certs to 'Ba1'
PREFERREDPLUS QWS-2: Moody's Cuts Rating on $38.7MM Certs to 'Ba1'
PRUDENTIAL SECURITIES 1999-C2: Moody's Affirms C Rating on N Certs
PRUDENTIAL SECURITIES 1999-NRF1: Moody's Affirms K Certs' C Rating
RENAISSANCE HOME: Moody's Reviews Ratings on 27 Tranches
SDART 2013-2: Moody's Assigns 'Ba2' Rating to Class E Notes
SEAWALL 2007-2: Credit Quality Decline Cues Moody's Downgrades
VERSAILLES ASSETS: Moody's Cuts Rating on Participation Interests
WACHOVIA BANK 2006-C23: Moody's Takes Actions on 22 CMBS Classes
WAMU 2003-C1: S&P Raises Rating on Class O Notes to 'BB+'
WFRBS 2012-C6: Moody's Affirms B2 Rating on Class F Certificates
WFRBS 2013-C12: Fitch Assigns 'B' Rating to Class F Certificates
WFRBS 2013-C12: S&P Assigns 'BB' Rating to Class E Notes
ZAIS INVESTMENT X: S&P Raises Rating on Class A-4 Notes to 'BB+'
* Fitch Says Fluctuating Delinquencies Continue for U.S. CREL CDOs
* Moody's Takes Actions on US$2.9 Billion of Subprime RMBS
* Moody's Takes Action on $535 Million of Subprime RMBS
* Moody's Takes Actions on 20 Tranches of $300MM Subprime RMBS
* Moody's Takes Actions on $252 Million of Subprime RMBS
* Moody's Takes Actions on $337.3 Million Alt-A Backed RMBS
* Moody's Takes Action on US$371 Million of Subprime RMBS
* Moody's Takes Actions on $39-Mil. U.S. Scratch-and-Dent RMBS
* Moody's Lifts Ratings on TruPS CDO Notes From Two Issuers
* S&P Lowers Ratings on 9 Tranches From 4 CDO Transactions
* S&P Lowers Rating on 61 Classes from 14 US RMBS Transactions
* S&P Lowers Rating on 145 Classes From 72 U.S. RMBS Deals
*********
ACIS CLO 2013-1: S&P Assigns 'B' Rating to Class F Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to ACIS
CLO 2013-1 Ltd./ACIS CLO 2013-1 LLC's $725.925 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
(excluding excess spread) and cash flow structure, which can
withstand the default rate projected by Standard & Poor's
CDO Evaluator model, as assessed by Standard & Poor's using
the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest rate
scenarios, including LIBOR ranging from 0.3105%-12.5967%.
-- 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 before paying uncapped
administrative expenses and fees, subordinated 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1398.pdf
RATINGS ASSIGNED
ACIS CLO 2013-1 Ltd./ACIS CLO 2013-1 LLC
Class Rating Interest Amount
rate (mil. $)
X AAA (sf) Three-month LIBOR 4.00
plus 1.00%
A-1 AAA (sf) Three-month LIBOR 190.75
plus 0.87%
A-2A AAA (sf) Three-month LIBOR 115.75
plus 1.25%
A-2B AAA (sf) Three-month LIBOR 10.25
plus 1.65%
B AA (sf) Three-month LIBOR 62.50
plus 1.95%
C (deferrable) A (sf) Three-month LIBOR 39.50
plus 2.95%
D (deferrable) BBB (sf) Three-month LIBOR 21.50
plus 4.50%
E (deferrable) BB (sf) Three-month LIBOR 19.50
plus 5.60%
F (deferrable) B (sf) Three-month LIBOR 10.00
plus 6.50%
Combination notes A (sf) Three-month LIBOR 252.18
(deferrable) plus 1.227%
Subordinated notes NR N/A 51.75
NR-Not rated.
N/A-Not applicable.
AMERICAN CREDIT: S&P Assigns Prelim. 'BB' Rating to Class D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to American Credit Acceptance Receivables Trust 2013-1's
$205 million asset-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of March 18,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The availability of approximately 44.5%, 41%, 35%, and 31.5%
of credit support for the class A, B, C, and D notes,
respectively, based on break-even stressed cash flow
scenarios (including excess spread), which provide coverage
of more than 1.95x, 1.80x, 1.50x, and 1.25x S&P's expected
net loss range of 21.15%-21.65% for the class A, B, C, and D
notes, respectively.
-- The timely interest and principal payments made to the
preliminary rated notes by the assumed legal final maturity
dates under S&P's stressed cash flow modeling scenarios that
S&P believes are appropriate for the assigned preliminary
ratings.
-- S&P's expectation that under a moderate, or 'BBB', stress
scenario the ratings on the class A, B, and C notes would
remain within one rating category of S&P's preliminary 'A+
(sf)', 'A (sf)', and 'BBB (sf)' ratings. These potential
rating movements are consistent with S&P's credit stability
criteria, which outline the outer bound of credit
deterioration equal to a two-category downgrade within the
first year for 'A' through 'BB' rated securities under
moderate stress conditions
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The backup servicing arrangement with Wells Fargo Bank N.A.
-- The transaction's payment and credit enhancement structures,
which include performance triggers.
-- The transaction's legal structure.
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/1392.pdf
PRELIMINARY RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2013-1
Class Rating Type Interest Amount
rate (mil. $)(i)
A A+ (sf) Senior Fixed 156
B A (sf) Subordinate Fixed 12
C BBB (sf) Subordinate Fixed 19
D BB (sf) Subordinate Fixed 18
(i) The actual size of these tranches will be determined on the
pricing date.
AMMC CLO XII: S&P Assigns Preliminary 'BB' Rating to Class E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to AMMC CLO XII Ltd./AMMC CLO XII Corp.'s $377.3 million
notes.
The note issuance is a cash-flow CLO securitization backed by a
revolving pool consisting primarily of broadly syndicated senior
secured loans.
The preliminary ratings are based on information as of March 20,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated, speculative-grade, senior
secured term loans.
-- The asset manager's experienced management team.
-- 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 0.3361%-12.8655%.
-- 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 up to
50% of excess interest proceeds that are available prior to
paying uncapped administrative expenses and 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1411.pdf
PRELIMINARY RATINGS ASSIGNED
AMMC CLO XII Ltd./AMMC CLO XII Corp.
Preliminary Preliminary
Class rating amount (Mil. $)
A AAA (sf) 248.0
B AA (sf) 61.7
C (deferrable) A (sf) 22.0
D-1 (deferrable) BBB (sf) 10.9
D-2 (deferrable) BBB (sf) 10.9
E (deferrable) BB (sf) 16.8
F (deferrable) B+ (sf) 7.0
ARES VR: Moody's Lifts Rating on $56.2MM Class D Notes to 'Baa3'
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Ares VR CLO, Ltd.:
US$23,400,000 Class C Deferrable Floating Rate Notes Due 2018,
Upgraded to Aaa (sf); previously on April 13, 2012 Upgraded to
Aa2 (sf)
US$56,200,000 Class D Deferrable Floating Rate Notes Due 2018
(current outstanding balance of $49,461,206.98), Upgraded to
Baa3 (sf); previously on April 13, 2012 Upgraded to Ba1 (sf)
Moody's also affirmed the ratings of the following notes:
US$35,000,000 Class A-1 Revolving Floating Rate Notes (current
outstanding balance of $8,477,976), Affirmed Aaa (sf);
previously on July 15, 2011 Upgraded to Aaa (sf)
US$100,000,000 Class A-2 Delayed Drawdown Floating Rate Notes
(current outstanding balance of $24,222,788), Affirmed Aaa (sf);
previously on July 15, 2011 Upgraded to Aaa (sf)
US$333,700,000 Class A-3 Floating Rate Notes (current
outstanding balance of $80,831,444), Affirmed Aaa (sf);
previously on July 15, 2011 Upgraded to Aaa (sf)
US$22,100,000 Class B Floating Rate Notes Due 2018, Affirmed Aaa
(sf); previously on April 13, 2012 Upgraded to Aaa (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 April 2012. Moody's notes that the Class A
Notes have been paid down by approximately 52% or $124 million
since the last rating action. Based on Moody's calculation, the
Class A/B, Class C and Class D overcollateralization ratios are
171.2%, 146.0% and 111.3%, respectively, versus April 2012 levels
of 138.4%, 126.9% and 108.0%, 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 $228 million,
defaulted par of $10.7 million, a weighted average default
probability of 15.94% (implying a WARF of 2640), a weighted
average recovery rate upon default of 49.86%, and a diversity
score of 31. 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.
Ares VR CLO, Ltd., issued in March 2006, is a collateralized loan
obligation backed primarily by a portfolio of senior secured loans
and high yield bonds.
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, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities.
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% (2112)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: +1
Class D: +2
Moody's Adjusted WARF + 20% (3168)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: -1
Class D: -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:
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.
ARES XX: Moody's Lifts Rating on $12MM Class D Notes to 'Ba2'
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Ares XX CLO, Ltd.:
US$30,000,000 Class A-4 Floating Rate Notes Due December 6,
2017, Upgraded to Aaa (sf); previously on August 29, 2011
Upgraded to Aa2 (sf);
US$28,000,000 Class B Deferrable Floating Rate Notes Due
December 6, 2017, Upgraded to Aa1 (sf); previously on August 29,
2011 Upgraded to A3 (sf);
US$19,500,000 Class C Floating Rate Notes Due December 6, 2017,
Upgraded to Baa1 (sf); previously on August 29, 2011 Upgraded to
Ba1 (sf);
US$12,000,000 Class D Floating Rate Notes Due December 6, 2017,
Upgraded to Ba2 (sf); previously on August 29, 2011 Upgraded to
B1 (sf).
Moody's also affirmed the ratings of the following notes:
US$186,500,000 Class A-1 Floating Rate Notes Due December 6,
2017 (current outstanding balance of $90,749,310), Affirmed Aaa
(sf); previously on August 29, 2011 Upgraded to Aaa (sf);
US$100,000,000 Class A-2 Delayed Draw Notes Due December 6, 2017
(current outstanding balance of $48,659,147), Affirmed Aaa (sf);
previously on August 29, 2011 Upgraded to Aaa (sf);
US$75,000,000 Class A-3a Floating Rate Notes Due December 6,
2017 (current outstanding balance of $32,130,388), Affirmed Aaa
(sf); previously on December 28, 2005 Assigned Aaa (sf);
US$8,500,000 Class A-3b Floating Rate Notes Due December 6,
2017, Affirmed Aaa (sf); previously on August 29, 2011 Upgraded
to Aaa (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in August 2011. Moody's notes that the Class A-
1, A-2 and A-3a Notes have been paid down by approximately 52% or
$189 million since the last rating action. Based on the latest
trustee report dated February 14, 2013, the Class A, Class B,
Class C and Class D overcollateralization ratios are reported at
138.5%, 122.2%, 113.0% and 107.9%, respectively, versus August
2011 levels of 120.7%, 112.7%, 107.8% and 105.0%, respectively.
In addition, in consideration of the reinvestment restrictions
during the amortization period, 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, Moody's modeled a weighted
average spread of 3.48% compared to 2.69% at the time of the last
rating action in August 2011.
The deal has also benefited from an improvement in the credit
quality of the underlying portfolio since the last rating action.
Based on the February 2013 trustee report, the weighted average
rating factor is currently 2434 compared to 2552 in August 2011.
The trustee-reported weighted average recovery rate also increased
to 51.9% from 50.1% over the same time period.
Moody's notes that the underlying portfolio includes a number of
investments in securities that mature after the maturity date of
the notes. Based on the February 2013 trustee report, securities
that mature after the maturity date of the notes currently make up
approximately 6.6% 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 $289 million,
defaulted par of $2.9 million, a weighted average default
probability of 15.86% (implying a WARF of 2552), a weighted
average recovery rate upon default of 51.97%, and a diversity
score of 47. 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.
Ares XX CLO, Ltd., issued in December 2005, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using 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, 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% (2042)
Class A-1: 0
Class A-2: 0
Class A-3a: 0
Class A-3b: 0
Class A-4: 0
Class B: +1
Class C: +2
Class D: +2
Moody's Adjusted WARF + 20% (3062)
Class A-1: 0
Class A-2: 0
Class A-3a: 0
Class A-3b: 0
Class A-4: 0
Class B: -2
Class C: -1
Class D: -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.
ARES XXVI: S&P Assigns Preliminary 'BB' Rating to Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Ares XXVI CLO Ltd./Ares XXVI CLO LLC's $841.7 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 March 20,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's our view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its
corporate collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which 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 0.3100%-12.5332%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1410.pdf
PRELIMINARY RATINGS ASSIGNED
Ares XXVI CLO Ltd./Ares XXVI CLO LLC
Class Rating Amount (mil. $)
A AAA (sf) 560.20
B AA (sf) 139.90
C (deferrable) A (sf) 60.20
D (deferrable) BBB (sf) 44.00
E (deferrable) BB (sf) 37.40
Subordinated notes NR 98.30
NR-Not rated.
AVIATION CAPITAL: Fitch Lowers Rating on Class A-1 Notes to 'C'
---------------------------------------------------------------
Fitch Ratings has taken these rating actions on the Aviation
Capital Group Trusts as:
Aviation Capital Group Trust (ACG)
-- Class A-1 downgraded to 'Csf', RE 45% from 'CCsf';
-- Classes B-1, C-1, and D-1 affirmed at 'Csf' RE 0%.
Aviation Capital Group Trust II (ACG II)
-- Class B-1 downgraded to 'Bsf' from 'BBsf'; Outlook Negative.
Aviation Capital Group Trust III (ACG III)
-- Class G-1 affirmed at 'Asf' Outlook Stable;
-- Class B-1 affirmed at 'A-sf' Outlook Stable;
-- Class C-1 affirmed at 'BBBsf' Outlook Stable.
Key Rating Drivers
The downgrade to the class A-1 notes in ACG reflects Fitch's view
that default is inevitable. Trust leverage has continued to
increase as all classes have loan to value (LTV) ratios in excess
of 100% and lease cash flow has continued to decrease. Fitch
expects these trends to continue, as the portfolio is comprised
primarily of lower tier, less in-demand aircraft types. Under
Fitch's base case scenario, the class A-1 notes are not expected
to pay in full. Fitch estimates principal recoveries to be 45% of
the current A-1 balance. Classes B-1, C-1, and D-1 were affirmed
at 'Csf/RE0%' reflecting the expectation they will receive no
further payments.
The downgrade of the class B-1 notes in ACG II reflects the
increasing leverage, decreasing lease cash flow and Fitch's
expectation that these trends are likely to continue due to
concentrations in certain weaker aircraft types. Under Fitch's
cash flow analysis, the class is unable to pass stressed scenarios
commensurate with the 'BBsf' rating category. The Negative Outlook
reflects Fitch's view that continual deterioration in lease
collections may result in further negative rating actions.
The affirmations of the class G-1, B-1, and C-1 notes in ACG III
reflect the credit risk of each class which is consistent with
their current ratings. The collateral pool has generated
collections within Fitch's initial expectations to date.
Meanwhile, leverage levels for all classes have decreased since
close. All three classes are able to withstand Fitch's 'BBBsf'
rating scenarios while the class G-1 notes are able to sustain
Fitch's primary 'Asf' stress scenario. The results of Fitch's cash
flow modeling analysis, as well as strong collateral
characteristics and decreasing leverage for all classes has
resulted in the affirmations and maintenance of Stable Rating
Outlooks.
Rating Sensitivity
Due to the correlation between the global economic conditions and
the airline industry, the ratings may be impacted by the strength
of the macro-environment over the remaining term of these
transactions. Global economic scenarios that are inconsistent with
Fitch's expectations could lead to further negative rating
actions. For example the occurrence of an extended global
recession of significantly greater severity than the last two
experienced, and the resulting strain on aircraft lease cash flow,
could lead to a downgrade of the notes.
Additionally, changes in the airline industry can have significant
impact on the ratings of these transactions. If the timing of or
degree of technological advancement in the commercial aviation
space differed materially from Fitch's expectations, a rating
movement may occur. Similarly, factors influencing the supply of
and demand for the certain aircraft types present in the ACG trust
portfolios could directly impact Fitch's view of the transactions'
ability to avoid a default on the notes and, thus, could result in
further rating actions.
The analysis of the ACG trusts is consistent with 'Global Rating
Criteria for Aircraft Operating Lease ABS,' dated April 17, 2012,
with the following exceptions:
-- The criteria states the methodology may not apply for
transactions with less than 20 planes. While ACG dropping
retains fewer than 20 aircraft, Fitch is able to maintain the
ratings on this trust due to sufficient asset-level
information and the need to evaluate only base case scenarios
in light of the low ratings on the issued notes.
-- While Fitch's criteria assumes a useful life of 25 years for
all aircraft, this was adjusted to 30 years for ACG aircraft
based on the characteristics of the current leases in place.
BCAP LLC 2007-AA1: Moody's Cuts Ratings on Four RMBS Tranches
-------------------------------------------------------------
Moody's Investors Service downgraded the rating of Class 1-A-1,
and affirmed the rating of Classes I-A-2, I-A-3, and II-A-1 from
BCAP LLC Trust 2007-AA1, backed by Alt-A Loans.
Complete rating actions are as follows:
Issuer: BCAP LLC Trust 2007-AA1
Cl. I-A-1, Downgraded to Caa1 (sf); previously on Nov 11, 2010
Upgraded to B2 (sf)
Cl. I-A-2, Affirmed Caa3 (sf); previously on Nov 11, 2010
Downgraded to Caa3 (sf)
Cl. I-A-3, Affirmed Ca (sf); previously on Nov 11, 2010
Downgraded to Ca (sf)
Cl. II-A-1, Affirmed Caa3 (sf); previously on Nov 11, 2010
Downgraded to Caa3 (sf)
Ratings Rationale:
The actions are a result of recent performance of the deal and
reflect Moody's updated loss expectations on the underlying pools.
The downgrade on the Class 1-A-1 reflects the $ 3,085.7 realized
loss on the tranche subsequent to mezzanine depletion.
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 for its current view on loan
modifications.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until 2014.
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 8.5% in December 2011 to 7.7% in February 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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.
BEXAR COUNTY, TX: 'Ba3' Housing Bonds on Moody's Downgrade Watch
----------------------------------------------------------------
Moody's Investors Service has placed the Ba3 rating of Series
2000A and the B2 rating of Series 2000C Bexar County, TX Housing
Finance Corporation Multifamily Housing Revenue Bonds (Dymaxion &
Marbach Apartments) under review for downgrade or possible
withdrawal due to lack of information.
Ratings Rationale:
This rating action is based on several unsuccessful attempts to
obtain information required for review from the property manager.
As a result, Moody's currently does not possess sufficient
information to maintain the existing ratings on the bonds. Over
the next 30 days, Moody's will continue to attempt collection of
information from the appropriate parties, however, if sufficient
information is not received, the ratings may be downgraded or
withdrawn.
What Could Change The Rating Up:
- Significant improvement in debt service coverage levels
What Could Change The Rating Down:
- Erosion of the debt service coverage ratio, particularly due to
a decrease in occupancy or an increase in operating expenses.
- Insufficient information to maintain the rating
The principal methodology used in this rating was Global Housing
Projects published in July 2010.
BRISTOL CDO I: Fitch Affirms 'C' Rating on Class B Notes
--------------------------------------------------------
Fitch Ratings has upgraded the ratings on two classes and affirmed
one class of notes issued by Bristol CDO I, Ltd. and revised the
Rating Outlook on two classes to Stable. The rating actions are:
-- $4,743,966 class A-1 notes upgraded to 'Asf' from 'BBsf;
Outlook to Stable from Positive;
-- $435,129 class A-2 notes upgraded to 'Asf' from 'BBsf',
Outlook to Stable from Positive;
-- $30,000,000 class B 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 into its analysis,
as described below, to conclude the rating affirmations for the
rated notes.
KEY RATING DRIVERS
The class A-1 and A-2 (together, class A) notes have been upgraded
as a result of the continued amortization of the underlying
collateral and relatively stable collateral credit quality. Since
the last rating action in March 2012, the notes received
approximately $14.9 million, or 74% of their previous balance
through principal redemptions and excess spread as a result of a
failing class A/B coverage test. The credit quality of the
collateral has improved slightly with 10% of the portfolio
upgraded a weighted average of 2.1 notches and 3.2% downgraded a
weighted average of one notch. The upgrade to the notes with the
Stable Outlook is in line with improved breakeven levels from the
cash flow model.
The amortization of the class A notes has also benefited the class
B notes by increasing the class' credit enhancement from 31.5% at
last review to 39%. However, the breakeven levels for the class B
notes continue to be below the SF PCM's 'CCC' default level, the
lowest level of defaults projected by SF PCM as well as the
expected losses from the distressed and defaulted assets in the
portfolio (assets rated 'CCsf' or lower). While the class B notes
are receiving timely interest distributions and are expected to
receive some principal repayments in the future, this comparison
indicates that default continues to appear inevitable for the
notes at or prior to maturity.
RATING SENSITIVITIES
Further negative migration and defaults beyond those projected by
SF PCM as well as increasing concentration in assets of a weaker
credit quality could lead to downgrades.
Bristol I is a cash flow structured finance collateralized debt
obligation (SF CDO) that closed on Oct. 11, 2002 and is managed by
Vanderbilt Capital Advisors LLC. The current portfolio comprises
approximately 32.5% residential mortgage-backed securities (RMBS),
36.7% structured finance CDOs, 25.6% commercial asset-backed
securities (ABS), and 5.2% of consumer ABS, from 1998 through 2002
vintage transactions.
BUSINESS LOAN 2007-A: S&P Cuts Rating on 2 Note Classes to 'CC'
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A, B, C, and D notes from Business Loan Express Business
Loan Trust 2007-A. At the same time, S&P affirmed its ratings on
the class A, B, and C notes from Business Loan Express Business
Loan Trust 2006-A. These transactions are asset-backed securities
transactions collateralized primarily by a pool of small business
development loans.
The downgrades reflect the deteriorating credit performance of the
transaction since our last rating actions in June 2011. The
transaction has experienced a consistent increase in the new
delinquencies, which were $21.3 million according to the January
2013 servicer report. At the same time, the transaction also has
a large number of charged off loans (delinquent loans that were
charged off after being past due for a certain number of days as
per the governing trust documents). According to the January 2013
servicer report, the charged off loans were approximately
$87 million, or 39.3% of the underlying collateral pool.
The rating affirmations reflect the availability of adequate
credit support at the current rating levels.
Standard & Poor's will continue to review whether, in its view,
the current ratings on both transactions remain consistent with
the credit enhancement available to support the ratings and take
rating actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED
Business Loan Express Business Loan Trust 2007-A
Rating
Class To From
A CCC (sf) CCC+ (sf)
B CCC- (sf) CCC (sf)
C CC (sf) CCC- (sf)
D CC (sf) CCC- (sf)
RATINGS AFFIRMED
Business Loan Express Business Loan Trust 2006-A
Class Rating
A CCC+ (sf)
B CCC (sf)
C CCC- (sf)
CANYON CAPITAL 2004-1: Moody's Ups Rating on Cl. D Notes to 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Canyon Capital CLO 2004-1 Ltd:
US$36,000,000 Class B Senior Floating Rate Deferrable Notes Due
2016, Upgraded to Aaa (sf); previously on September 12, 2011
Upgraded to Aa1 (sf);
US$29,000,000 Class C Senior Floating Rate Deferrable Notes Due
2016, Upgraded to A3 (sf); previously on September 12, 2011
Upgraded to Baa2 (sf);
US$16,000,000 Class D Senior Floating Rate Deferrable Notes Due
2016 (current outstanding balance of $13,577,447), Upgraded to
Ba1 (sf); previously on September 12, 2011 Upgraded to Ba2 (sf).
Moody's also affirmed the ratings of the following notes:
US$100,000,000 Class A-1-A Senior Floating Rate Notes Due 2016
(current outstanding balance of $37,187,719), Affirmed Aaa (sf);
previously on September 12, 2011 Upgraded to Aaa (sf);
US$100,000,000 Class A-1-B Senior Insured Floating Rate Notes
Due 2016 (current outstanding balance of $37,187,719), Affirmed
Aaa (sf); previously on September 12, 2011 Upgraded to Aaa (sf);
US$40,000,000 Class A-2-A Senior Variable Funding Floating Rate
Notes Due 2016 (current outstanding balance of $14,875,088),
Affirmed Aaa (sf); previously on September 12, 2011 Upgraded to
Aaa (sf);
US$40,000,000 Class A-2-B Senior Insured Variable Funding
Floating Rate Notes Due 2016 (current outstanding balance of
$14,875,088), Affirmed Aaa (sf); previously on September 12,
2011 Upgraded to Aaa (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 Notes have been paid down by approximately 49% or $100 million
since the last rating action. Based on the latest trustee report
dated February 7, 2013, the Class A, Class B, Class C and Class D
overcollateralization ratios are reported at 197.1%, 146.5%,
121.4% and 112.3% respectively, versus August 2011 levels of
151.2%, 128.5%, 114.7% and 109.2%, respectively.
Notwithstanding benefits of the deleveraging, Moody's notes that
the underlying portfolio includes a number of investment in
securities that mature after the maturity date of the notes. Based
on Moody's calculation, securities that mature after the maturity
date of the notes currently make up approximately 7% of the
underlying portfolio. These investment 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 $204.3 million,
defaulted par of $3.3 million, a weighted average default
probability of 14.83% (implying a WARF of 3031), a weighted
average recovery rate upon default of 46.18%, and a diversity
score of 30. 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.
Canyon Capital CLO 2004-1 Ltd., issued in June 2004, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans with a material exposure to corporate bonds
and non-senior secured loans, and some exposure to structured
finance securities.
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, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities.
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% (3637)
Class A-1-A: 0
Class A-1-B: 0
Class A-2-A: 0
Class A-2-B: 0
Class B: -1
Class C: -1
Class D: -1
Moody's Adjusted WARF - 20% (2425)
Class A-1-A: 0
Class A-1-B: 0
Class A-2-A: 0
Class A-2-B: 0
Class B: 0
Class C: +3
Class D: +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:
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.
CIFC FUNDING 2012-I: S&P Affirms 'BB-' Rating on Class B-2L Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on CIFC
Funding 2012-I Ltd./CIFC Funding 2012-I LLC's $423 million fixed-
and floating-rate notes following the transaction's effective date
as of Nov. 16, 2012.
Most U.S. cash flow collateralized loan 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.
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of S&P's review based on the information presented to them.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect S&P's assumptions about
the transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"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 added.
On an ongoing basis after S&P issue an effective date rating
affirmation, it will periodically review whether, in its 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 S&P deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
CIFC Funding 2012-I Ltd./CIFC Funding 2012-I LLC
Class Rating Amount (mil. $)
A-1L AAA (sf) 280.0
A-1F AAA (sf) 18.0
A-2L AA (sf) 34.0
A-3L A (sf) 34.0
B-1L BBB (sf) 24.0
B-2L BB- (sf) 23.0
B-3L B (sf) 10.0
CIFC FUNDING 2013-I: S&P Assigns 'BB' Rating to Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CIFC
Funding 2013-I Ltd./CIFC Funding 2013-I LLC's $470.0 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 ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated, speculative-grade, senior
secured term loans.
-- The asset manager's experienced management team.
-- The timely interest and ultimate principal payments on the
rated notes, which S&P assessed using its cash flow analysis
and assumptions commensurate with the assigned ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.3005% 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 reinvestment overcollateralization test, a
failure of which will lead to the reclassification of up to
50% of excess interest proceeds that are available prior to
paying uncapped administrative expenses and 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1367.pdf
RATINGS ASSIGNED
CIFC Funding 2013-I Ltd./CIFC Funding 2013-I LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 310.6
A-2 AA (sf) 50.5
B (deferrable) A (sf) 47.6
C (deferrable) BBB (sf) 28.2
D (deferrable) BB (sf) 22.8
E (deferrable) B (sf) 10.3
Subordinated notes NR 46.6
NR-Not rated.
CITIGROUP COMMERCIAL 2004-C1: Moody's Cuts Rating on L Certs to C
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of five classes
and affirmed eleven classes of Citigroup Commercial Mortgage Trust
2004-C1, Commercial Mortgage Pass-Through Certificates, Series
2004-C1 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Jun 30, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 30, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Feb 1, 2007 Upgraded to
Aaa (sf)
Cl. C, Affirmed Aa1 (sf); previously on Feb 1, 2007 Upgraded to
Aa1 (sf)
Cl. D, Affirmed A1 (sf); previously on Feb 1, 2007 Upgraded to A1
(sf)
Cl. E, Affirmed A3 (sf); previously on Jun 30, 2004 Definitive
Rating Assigned A3 (sf)
Cl. F, Affirmed Baa1 (sf); previously on Jun 30, 2004 Definitive
Rating Assigned Baa1 (sf)
Cl. G, Downgraded to Ba1 (sf); previously on Jun 4, 2009
Downgraded to Baa3 (sf)
Cl. H, Downgraded to B2 (sf); previously on May 24, 2012
Downgraded to Ba3 (sf)
Cl. J, Downgraded to Caa1 (sf); previously on May 24, 2012
Downgraded to B3 (sf)
Cl. K, Downgraded to Caa3 (sf); previously on May 24, 2012
Downgraded to Caa2 (sf)
Cl. L, Downgraded to C (sf); previously on May 24, 2012 Downgraded
to Ca (sf)
Cl. M, Affirmed C (sf); previously on May 24, 2012 Downgraded to C
(sf)
Cl. N, Affirmed C (sf); previously on May 24, 2012 Downgraded to C
(sf)
Cl. P, Affirmed C (sf); previously on Oct 28, 2010 Downgraded to C
(sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The downgrades are due to higher than expected anticipated 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 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
expected credit performance of its referenced classes and thus is
affirmed.
Moody's rating action reflects a base expected loss of 5.2% of the
current pooled balance compared to 4.4% at last review.
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 principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000. The methodology used in rating Cl. X-1 was
"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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23 compared to 25 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 (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 May 23, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $801.4
million from $1.18 billion at securitization. The Certificates are
collateralized by 71 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans representing 42% of
the pool. Eleven loans, representing 20% of the pool, have
defeased and are collateralized with U.S. Government securities.
Fifteen 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.
Eight loans have been liquidated from the pool since
securitization, resulting in an aggregate $11.9 million loss (34%
loss severity on average). Currently seven loans, representing 8%
of the pool, are in special servicing. The master servicer has
recognized an aggregate $21.3 million appraisal reduction for the
specially serviced loans. Moody's has estimated an aggregate loss
of $28.7 million (44% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans representing 2% of the pool and has estimated a
$3.3 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 100% and 68% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 85% compared to 88% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 13% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.42X and 1.25X, respectively, compared to
1.42X and 1.22X 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 23% of the pool. The largest
loan is the Yorktown Center Loan ($80.2 million -- 10.0%), which
is secured by the borrower's interest in a 1.5 million square foot
(SF) regional mall located west of Chicago in Lombard, Illinois.
The collateral for this loan includes 620,000 SF of in line space,
several outparcel buildings and an 84,000 SF strip shopping center
known as the Shops at Yorktown. The property was 88% leased as of
September 2012 compared to 91% at last review. Property
performance has been stable. Moody's LTV and stressed DSCR are 93%
and 1.05X, respectively, compared to 94% and 1.03X at last review.
The second largest loan is the Lake Shore Place Loan ($50.7
million -- 6.3%), which is secured by a 489,066 SF office building
located in Chicago, Illinois. The property was 94% leased as of
December 2012, the same as last review. Performance has been
stable. Moody's LTV and stressed DSCR are 72% and 1.42X,
respectively, compared to 74% and 1.39X at last review.
The third largest loan is the Pecanland Mall Loan ($50.4 million -
- 6.3%), which is secured by a 947,000 SF enclosed regional mall
located in Monroe, Louisiana. Non-collateral anchors include
Dillard's, J.C. Penney, Sears and Belk. The collateral for the
loan includes 349,000 SF of in-line space and the junior anchor
space. As of September 2012 the property was 81% leased compared
to 87% at last review. Overall, the property performance has been
stable. The loan sponsor is an affiliate of General Growth
Properties (GGP). The loan was included in GGP's bankruptcy filing
and the loan's maturity was extended to 2014. Moody's LTV and
stressed DSCR are 72% and 1.35X, respectively, compared to 76% and
1.27X at last review.
CITIGROUP COMMERCIAL 2005-EMG: Fitch Affirms D Rating on M Certs
----------------------------------------------------------------
Fitch Ratings has affirmed Citigroup Commercial Mortgage
Securities Inc. mortgage pass-through certificates, series 2005-
EMG.
KEY RATING DRIVERS:
The affirmations reflect stable collateral performance. The pool
has paid down by approximately 15% of the original pooled balance
since Fitch's last review providing increased credit support to
the senior classes. The pool has become increasingly concentrated
with only 26 loans remaining, 25 (98.8%) of which are located in
New York.
RATING SENSITIVITY:
The majority of the loans remaining in the pool have over 10 years
of seasoning and are secured by properties that exhibit a strong,
stable operating history. As such, ratings are likely to remain
stable throughout the remaining life of the deal as additional
paydown is offset by an increasingly concentrated pool.
The pool consists of seasoned loans originated by Emigrant Savings
Bank from 1976 to 2004. In most cases, the loans were originated
in higher interest rate environments with prepayment lockouts. Due
to the lockout provisions, the borrowers have been unable to take
advantage of the lower interest rates; therefore, they are less
likely to default as their loans approach maturity and more
attractive financing options become available. Of the remaining
loans in the pool, 64% mature in 2013 and 31% mature in 2014. The
average debt service coverage ratio for the pool was 4.25 times.
As of the March 2013 distribution date, the pool's aggregate
principal balance has paid down by 92.2% to $56.5 million from
$772.1 million at issuance. Interest shortfalls are currently
affecting classes H through M. There are no loans in special
servicing.
Fitch has affirmed these classes and revised Rating Outlooks as
indicated:
-- $15.9 million class A-J at 'AAAsf'; Outlook Stable;
-- $7.2 million class B at 'AAAsf'; Outlook Stable;
-- $2.7 million class C at 'AAAsf'; Outlook Stable;
-- $5.4 million class D at 'AAAsf'; Outlook Stable;
-- $1.8 million class E at 'AAsf'; Outlook Stable;
-- $3.6 million class F at 'Asf'; Outlook to Stable from Positive;
-- $1.8 million class G at 'BBBsf'; Outlook to Stable from
Positive;
-- $3.6 million class H at 'BBB-sf'; Outlook Stable;
-- $8.1 million class J at 'BBsf'; Outlook Stable;
-- $2.7 million class K at 'Bsf'; Outlook Stable;
-- $1.8 million class L at 'CCCsf'; RE 100%;
-- $1.8 million class M at 'Dsf'; RE 70%.
Fitch previously withdrew the rating of the interest-only class X.
Classes A-1, A-2, A-3 and A-4 have paid in full.
CITIGROUP MORTGAGE 2009-7: Moody's Lifts 1A2 Certs Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
and upgraded the rating of one tranche from two RMBS
resecuritization deals. The resecuritizations are backed by
underlying bonds from different Alt-A and Subprime RMBS
transactions.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust 2009-7, Resecuritization
Trust Certificates, Series 2009-7
Cl. 1A2, Upgraded to Caa1 (sf); previously on Sep 20, 2010
Confirmed at Ca (sf)
Issuer: Greenwich Capital Structured Products Trust 2005-1
Cl. A, Downgraded to B1 (sf); previously on May 12, 2011
Downgraded to Baa3 (sf)
Ratings Rationale:
The rating actions reflect the recent performance of the pools of
mortgages backing the underlying bonds and the updated loss
expectations on the resecuritization bonds.
The principal methodology used in these ratings was "Moody's
Approach to Rating US Resecuritized Residential Mortgage-Backed
Securities" published in February 2011. The methodology used in
rating Interest-Only Securities 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 7.9% in January 2013. 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.
CITIZENS FUNDING: Fitch Raises Preferred Stock Rating to 'CCC'
--------------------------------------------------------------
Fitch Ratings has upgraded the trust preferred securities (TRUPs)
issued by Citizens Funding Trust, a subsidiary of Citizens
Republic Bancorp, from 'C' to 'CCC'. The TRUPs remain on Rating
Watch Positive.
The preferred ratings have been upgraded as CRBC has brought
current and resumed interest payments on its related junior
subordinated debt issued by CFT. This has allowed CFT to declare
and pay associated accrued dividends to TRUPs holders. CFT's
ratings remain on Rating Watch Positive given CRBC's pending
merger with Firstmerit Corp. scheduled to close in the second
quarter of 2013.
KEY RATING DRIVERS - SUBORDINATED DEBT AND OTHER HYBRID SECURITIES
Now that the subject TRUPs are considered performing, their
ratings are notched off of CRBC's Viability Rating (VR). Given
their performing status and in accordance with Fitch's criteria
for assessing and rating bank subordinated and hybrid securities,
the TRUPs are being upgraded to 'CCC'.
RATING SENSITIVITIES - SUBORDINATED DEBT AND OTHER HYBRID
SECURITIES
Subordinated debt and other hybrid capital issued by CRBC and its
subsidiaries are all notched down from CRBC's VR in accordance
with Fitch's assessment of each instrument's respective non-
performance and relative loss severity risk profiles, which vary
considerably. Their ratings, therefore, are primarily sensitive to
any change in the VR of CRBC.
Fitch currently rates Citizens Republic Bancorp as:
-- Long Term Issuer Default Rating (IDR) 'B';
-- Short Term IDR 'B';
-- Viability Rating 'b'.
The rating actions are as follows:
Fitch has upgraded the following; the Rating Watch remains
Positive:
Citizens Funding Trust I
-- Preferred stock to 'CCC/RR6' from 'C/RR6'.
COLUMBUSNOVA CLO 2007-1: Moody's Ups Rating on Cl. D Notes to Ba1
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by ColumbusNova CLO Ltd. 2007-1:
US$30,000,000 Class B Senior Notes Due 2019, Upgraded to Aa1
(sf); previously on July 1, 2011 Confirmed at A1 (sf);
US$22,000,000 Class C Deferrable Mezzanine Notes Due 2019,
Upgraded to A3 (sf); previously on July 1, 2011 Upgraded to Baa2
(sf);
US$20,000,000 Class D Deferrable Mezzanine Notes Due 2019,
Upgraded to Ba1 (sf); previously on July 1, 2011 Upgraded to Ba2
(sf);
US$15,000,000 Class E Deferrable Junior Notes Due 2019, Upgraded
to Ba3 (sf); previously on July 1, 2011 Upgraded to B1 (sf).
Moody's also affirmed the rating of the following notes:
Class A-1 Senior Notes Due 2019 (current outstanding balance of
$ 365,268,512), Affirmed Aaa (sf); previously on March 30, 2007
Assigned Aaa (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 May 2013. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from lower WARF and higher spread levels
compared to the levels assumed at the last rating action in July
2011. Moody's modeled a WARF and WAS of 2488 and 3.52%,
respectively, compared to 3001 and 2.82%, respectively, at the
time of the last rating action. Moody's also notes that the
transaction's reported overcollateralization ratios 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 $478 million,
defaulted par of $0.9 million, a weighted average default
probability of 16.29% (implying a WARF of 2488), a weighted
average recovery rate upon default of 50.30%, and a diversity
score of 82. 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.
ColumbusNova CLO Ltd. 2007-1, issued in March 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. 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% (1990)
Class A-1: 0
Class B: +1
Class C: +3
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (2986)
Class A-1: 0
Class B: -2
Class C: -1
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of 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:
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) 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.
COMM 2005-FL11: Moody's Still Reviews 'B3'-Rated CMBS Classes
-------------------------------------------------------------
Moody's Investors Service continues the review of two Interest
Only (IO) Classes in COMM 2005-FL11 Commercial Mortgage Securities
Corp. Series 2005-FL11 as follows:
Cl. X-2-DB, B3 (sf) Remains On Review for Possible Downgrade;
previously on Dec 20, 2012 B3 (sf) Placed Under Review for
Possible Downgrade
Cl. X-3-DB, B3 (sf) Remains On Review for Possible Downgrade;
previously on Dec 20, 2012 B3 (sf) Placed Under Review for
Possible Downgrade
Ratings Rationale:
On December 20, 2012, Moody's placed Classes X-2-DB and X-3-DB
under review for possible downgrade citing the status of the
specially serviced Whitehall/Starwood Golf Portfolio Loan which
was expected to pay off which would leave the ratings on the IO
Classes linked to one REO loan. The Whitehall/Starwood Golf
Portfolio Loan has not paid off, but is still expected to pay off
in the second quarter of 2013. Pending the payoff of the
Whitehall/Starwood Gold Portfolio Loan, Moody's continues its
review 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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 calls for US GDP
growth for 2013 that is likely to remain close to 2% as the
greater impetus from the US private sector is likely to broadly
offset the drag on activity from more restrictive fiscal policy.
Thereafter, Moody's expects the US economy to expand at a somewhat
faster pace than is likely this year, closer to its long-run
average pace of growth. Risks to Moody's forecasts remain skewed
to the downside despite recent positive developments. Moody's
believes that the three most immediate risks are: i) the risk of a
deeper than currently expected recession in the euro area
accompanied by deeper credit contraction, potentially triggered by
a further intensification of the sovereign debt crisis; ii)
slower-than-expected recovery in major emerging markets following
the recent slowdown; and iii) an escalation of geopolitical
tensions, resulting in adverse economic developments.
The methodologies used in this rating were "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000, and "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations. The model
incorporates the CMBS IO calculator ver1.1 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 would provide both a Baa3
(sf) and Ba1 (sf) IO indication for consideration by the rating
committee.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated December 20, 2012.
Deal Performance:
As of the March 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by approximately 94%
to $105.2 million from $1.69 billion at securitization. The
Certificates are secured by two loans constituting 11% and 89% of
the pool balance.
Both loans in the pool (100%) are in special servicing.
The pool has experienced aggregate losses of $71,206 since
securitization. As of the March 15, 2013 remittance statement,
there are interest shortfalls totaling $52,568 to Class L.
Generally, interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal
subordinate entitlement reductions (ASERs) and extraordinary trust
expenses.
Moody's weighed average pooled loan to value (LTV) ratio is 89%
compared to 86% at last review.
The largest loan in the pool is the Whitehall/Starwood Golf
Portfolio Loan ($93.8 million - 89% of the pool balance) which was
initially supported by fee and leasehold interests in a portfolio
of 173 public and private golf courses containing 3,374 holes. Due
to property releases, the loan is now secured by 92 courses
containing approximately 1,800 holes across the United States. The
properties are managed by AGC Corp. The servicer recently executed
a forbearance through March 2013. There is additional debt in the
form of a $105.6 million B-Note and $55.6 million of mezzanine
debt bringing the total debt to $255.0 million. An October 2012
appraisal valued the portfolio at $296.6 million. However, Moody's
recognizes the market for golf courses is soft with very limited
activity. Per the remittance report, this loan is expected to be
paid off in 2nd Quarter 2013. Moody's current pooled LTV is 70%.
Moody's current credit assessment is Ba3, the same as last review.
The second largest loan in the pool, the DDR/Macquarie Mervyn's
Portfolio Loan ($11.4 million -- 11% of the pool balance), is in
special servicing. This loan represents a pari-passu interest in a
$153.4 million first mortgage loan. The loan has paid down 41%
since securitization. The loan was originally secured by 35 single
tenant buildings leased to Mervyn's. Mervyn's filed for Chapter 11
bankruptcy protection in July 2008, closed all its stores, and
rejected the leases on all the properties in this portfolio. The
loan was transferred to special servicing in October 2008 due to
Mervyn's filing for bankruptcy protection. The special servicer is
focused on selling or releasing the properties. Eighteen
properties have been sold. Seven of these sales happened in March
2013 and have not been reflected in the trust balance as of the
March 2013 remittance statement. Ten properties are fully or
partially leased. Seven properties are vacant. The loan is REO.
Moody's loan to value (LTV) ratio is over 100%, the same as last
review. Moody's current credit assessment is C, the same as last
review.
CPS AUTO: S&P Assigns 'BB' Rating to Class D Notes
--------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CPS
Auto Receivables Trust 2013-A's $185 million asset-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 41.7%, 36.3%, 30.6%,
23.4%, and 21.7% of credit support for the class A, B, C, D,
and E notes, respectively, based on stressed cash flow
scenarios (including excess spread). These credit support
levels provide coverage of 2.8x, 2.3x, 1.75x, 1.5x, and 1.3x
S&P's 13.00%-13.50% expected cumulative net loss range for
the class A, B, C, D, and E notes, respectively.
-- The expectation that, under a moderate stress scenario of
1.75x S&P's expected net loss level, the rating on the class
A notes will not decline by more than one rating category
during the first year, and the ratings on the class B and C
notes will not decline by more than two categories during
the first year, all else being equal. This is consistent
with S&P's credit stability criteria, which outline the
outer bound of credit deterioration equal to a one-category
downgrade within the first year for 'AA (sf)' rated
securities and a two-category downgrade within the first
year for 'A', 'BBB', and 'BB' rated securities.
-- The credit enhancement underlying each of the rated notes,
which is in the form of subordination,
overcollateralization, a reserve account, and excess spread
for the class A, B, C, D, and E notes.
-- The timely interest and principal payments made to the rated
notes under S&P's stressed cash flow modeling scenarios,
which it believe are appropriate for the assigned ratings.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The transaction's payment and credit enhancement structures,
which include performance triggers.
-- The transaction's legal structure.
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/1368.pdf
RATINGS ASSIGNED
CPS Auto Receivables Trust 2013-A
Class Rating Type Interest Amount
rate (mil. $)
A AA- (sf) Senior Fixed 141.980
B A (sf) Subordinate Fixed 16.650
C BBB (sf) Subordinate Fixed 11.100
D BB (sf) Subordinate Fixed 9.250
E BB- (sf) Subordinate Fixed 6.020
CREDIT SUISSE 1998-C2: Moody's Affirms Ratings on 6 CMBS Classes
----------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
affirmed six classes of Credit Suisse First Boston Mortgage
Securities Corp., Commercial Mortgage Pass-Through Certificates,
Series 1998-C2 as follows:
Cl. D, Affirmed Aaa (sf); previously on Dec 8, 2006 Upgraded to
Aaa (sf)
Cl. E, Affirmed Aaa (sf); previously on Feb 9, 2007 Upgraded to
Aaa (sf)
Cl. F, Upgraded to A1 (sf); previously on Mar 17, 2011 Upgraded to
A3 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Mar 17, 2011 Upgraded to
Ba1 (sf)
Cl. H, Affirmed Caa3 (sf); previously on May 21, 2009 Downgraded
to Caa3 (sf)
Cl. I, Affirmed C (sf); previously on Jan 19, 2006 Downgraded to C
(sf)
Cl. AX, Affirmed B3 (sf); previously on Feb 22, 2012 Downgraded to
B3 (sf)
Ratings Rationale:
The upgrade is due to a significant increase in defeasance and
overall stable pool performance. Defeasance has increased to 36%
of the current pool balance compared to 6% at last review.
The affirmations of principal classes are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed DSCR
and the Herfindahl Index (Herf), remaining within acceptable
ranges. Based on Moody's current base expected loss, the credit
enhancement levels for the affirmed classes are sufficient to
maintain their current ratings.
The rating of the IO Class, Class AX, 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 8.1% of the
current pooled balance compared to 7.7% at last review. Moody's
base expected loss plus realized losses is 3.6% of the original
pool balance, the same as last review. 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 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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Class AX was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
For deals that include a pool of credit tenant loans, Moody's used
its credit-tenant lease (CTL) financing methodological approach
(CTL approach). Under Moody's CTL approach, the rating of a
transaction's certificates 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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 7 compared to 12 at last review.
In cases where the Herf falls below 20, Moody's employs also the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5. 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 (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 March 14, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 88% to $233.0
million from $1.92 billion at securitization. The Certificates are
collateralized by 49 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans representing 54% of
the pool. The pool includes a credit tenant lease (CTL) component,
representing 19% of the pool. One loan, representing 19% of the
pool, has an investment grade credit assessment. Fifteen loans,
representing 36% of the pool, have defeased and are collateralized
with U.S. Government securities.
Four 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.
Seventeen loans have been liquidated from the pool since
securitization, resulting in a $49.6 million loss (48% loss
severity on average). There are currently two loans, representing
17% of the pool, in special servicing. The largest specially
serviced loan is the Camco Portfolio Loan ($31.5 million --
13.5%), which is secured by two retail properties and one
industrial property totaling 547,000 square feet. The properties
are located in North Richland Hills (2) and Irving, Texas. The
special servicer has executed a forbearance agreement which
expires on April 11, 2013 at which time the Borrower must pay the
loan off in full including all deferred interest.
Moody's estimates an aggregate $9.6 million loss for all specially
serviced loans (24% expected loss on average).
Moody's has also assumed a high default probability for one poorly
performing loans representing 1.2% of the pool and has estimated
an aggregate $0.5 million loss (20% expected loss based on a 50%
probability default) from this troubled loan.
Moody's was provided with full year 2011 and partial year 2012
operating results for 100% and 54% of the pool, respectively,
excluding the CTL, specially serviced and defeased loans.
Excluding specially serviced and troubled loan, Moody's weighted
average conduit LTV is 94% compared to 90% at Moody's prior
review. Moody's net cash flow reflects a weighted average haircut
of 19% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
10.1%.
Excluding specially serviced and troubled loans, Moody's conduit
actual and stressed DSCRs are 0.97X and 1.31X, respectively,
compared to 1.01X and 1.49X 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 a credit assessment is the 180 Water Street Loan
($44.7 million - 19.2%), which is secured by a 505,000 square foot
office building located in the Financial District submarket of New
York City. The property is 100% leased to the City of New York
Department of Citywide Administrative Services under a long-term
lease which expires in June 2018. The loan amortizes on a 20-year
schedule and matures in August 2013. Performance has been stable.
The loan has amortized by 40% since securitization. Moody's
current credit assessment and stressed DSCR are A2 and 1.90X,
respectively, compared to A2 and 1.68X at last review.
The top three performing conduit loans represent 7% of the pool
balance. The largest loan is the Jewelry Theatre Building loan
($8.0 million - 3.4%), which is secured by a 72,000 square foot
retail property located in the Jewelry District of Los Angeles,
California. Performance has been weak but stable. Moody's LTV and
stressed DSCR are 114% and 1.0X, respectively, compared to 117%
and 0.97X at last review.
The second largest loan is the Agawan Stop & Shop Loan ($6.3
million - 2.7% of the pool), which is secured by a 66,500 square
foot retail property located in Agawam, Massachusetts. The
property is 100% leased to the Stop & Shop Supermarket through
January 2014. Moody's LTV and stressed DSCR are 87% and 1.18X,
respectively, compared to 86% and 1.2X at last review.
The third largest loan is the Derrer Field Estates Apartments Loan
($2.8 million -- 1.2% of the pool), which is secured by a 151-unit
apartment building located in Columbus, Ohio. The loan is on the
servicer's watchlist due to low DSCR and passing its anticipated
repayment date (ARD). Performance has improved since last review
due to higher revenues. Moody's LTV and stressed DSCR are 99% and
1.03X, respectively, compared to 137% and 0.75X at last review.
The CTL component includes 25 loans ($44.7 million -- 19.2% of the
pool). The loans are secured by properties leased to six tenants
under bondable leases. The largest exposures are CVS/Caremark
Corp. (39% of CTL; Moody's senior unsecured rating Baa2 --
positive outlook), United Artists (18%), and Cinemark USA Inc.
(15%; Moody's senior unsecured rating B2 -- stable outlook).
The bottom-dollar weighted average rating factor (WARF) for the
CTL pool is 4,010. 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.
CREDIT SUISSE 2003-AR18: Moody's Keeps IV-M-3 Certs' Caa1 Rating
----------------------------------------------------------------
Moody's Investors Service downgraded the rating of two tranches,
and affirmed the rating of one tranche from CSFB Mortgage-Backed
Pass-Through Certificates, Series 2003-AR18/Group IV, backed by
Alt-A loans.
Ratings Rationale:
The actions are a result of recent performance of this deal and
reflect Moody's updated loss expectations on the group IV pool.
The downgrades are primarily due to the weak interest shortfall
reimbursement mechanism on the bonds. The tranche downgraded to A3
(sf) does not have current interest shortfalls but in the event of
an interest shortfall, structural limitations in the transaction
will prevent recoupment of interest shortfalls even if funds are
available in subsequent periods. Missed interest payments on the
tranche can only be made up from excess interest and after the
overcollateralization is built to a target amount. In this
transaction since overcollateralization is already below target
due to poor performance, any missed interest payments to the
tranche is unlikely to be paid. Moody's caps the ratings of
ranches with weak interest shortfall reimbursement at A3 (sf) as
long as they have not experienced any shortfall.
Ratings on tranches that currently have small unrecoverable
interest shortfalls are capped at Baa3 (sf), as a result rating on
Class M-2 has been downgraded to Baa3. The bond currently has
$9477.66 of unpaid interest shortfalls.
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 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 2014.
Small Pool Volatility
The RMBS approach only applies to structures with at least 40
loans and pool factor of greater than 5%. Moody's can withdraw its
rating when the pool factor drops below 5% and the number of loans
in the deal declines to lower than 40. If, however, a transaction
has a specific structural feature, such as a credit enhancement
floor, that mitigates the risks of small pool size, Moody's can
choose to continue to rate the transaction.
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on Alt-A pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For Alt-A pools, Moody's first
applies a baseline delinquency rate of 10% for 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 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 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 8.5% in December 2011 to 7.7% in February 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-AR18
Cl. IV-M-1, Downgraded to A3 (sf); previously on Jan 10, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. IV-M-2, Downgraded to Baa3 (sf); previously on Apr 29, 2011
Confirmed at A1 (sf)
Cl. IV-M-3, Affirmed Caa1 (sf); previously on May 24, 2012
Downgraded to Caa1 (sf)
CREDIT SUISSE 2005-C2: Moody's Keeps C Ratings on 6 CMBS Classes
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and affirmed eight classes of Credit Suisse First Boston Mortgage
Securities Corporation, Commercial Mortgage Pass-Through
Certificates, Series 2005-C2 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on March 9, 2011 Confirmed
at Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on March 9, 2011 Confirmed
at Aaa (sf)
Cl. A-4, Downgraded to A1 (sf); previously on August 26, 2010
Downgraded to Aa2 (sf)
Cl. A-1-A, Downgraded to A1 (sf); previously on August 26, 2010
Downgraded to Aa2 (sf)
Cl. A-MFL, Downgraded to B1 (sf); previously on March 15, 2012
Downgraded to Ba1 (sf)
Cl. A-MFX, Downgraded to B1 (sf); previously on March 15, 2012
Downgraded to Ba1 (sf)
Cl. A-J, Downgraded to Ca (sf); previously on March 15, 2012
Downgraded to Caa3 (sf)
Cl. B, Affirmed C (sf); previously on March 15, 2012 Downgraded to
C (sf)
Cl. C, Affirmed C (sf); previously on August 26, 2010 Downgraded
to C (sf)
Cl. D, Affirmed C (sf); previously on August 26, 2010 Downgraded
to C (sf)
Cl. E, Affirmed C (sf); previously on August 26, 2010 Downgraded
to C (sf)
Cl. F, Affirmed C (sf); previously on August 26, 2010 Downgraded
to C (sf)
Cl. G, Affirmed C (sf); previously on August 26, 2010 Downgraded
to C (sf)
Cl. A-X, Downgraded to B3 (sf); previously on March 15, 2012
Downgraded to B2 (sf)
Ratings Rationale:
The downgrades are due to higher expected losses for the pool
resulting from realized and anticipated losses from specially
serviced and troubled loans. The downgrade of the IO Class, Class
A-X, is due to a decline in the credit performance of its
referenced classes.
The affirmations of the super senior classes principal classes are
due to key parameters, including Moody's loan to value (LTV)
ratio, Moody's stressed DSCR and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings. The
ratings for the below investment grade classes are affirmed as
Moody's expected loss is commensurate with their current ratings.
Moody's rating action reflects a base expected loss of 16.5% of
the current balance. At last full review, Moody's base expected
loss was 14.5%. Moody's base expected loss plus realized losses is
now 18.3% of the original pooled balance compared to 16.7% at last
review. 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 principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000. The methodology used in rating Class A-X was
"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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes the IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 25, which is the same 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 (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 March 15, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 25% to $1.21
billion from $1.61 billion at securitization. The Certificates are
collateralized by 139 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans representing
47% of the pool. Fourteen loans, representing 8% of the pool, have
defeased and are collateralized with U.S. Government securities.
No loans have investment grade credit assessments.
Thirty-five loans, representing 26% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Eleven loans have been liquidated from the pool since
securitization, resulting in an aggregate $92.2 million loss (46%
loss severity on average). Currently nine loans, representing 14%
of the pool, are in special servicing. The largest specially
serviced loan is The Tri-County Mall Loan ($136.1 million -- 11.1%
of the pool), which is secured by a 1.1 million square foot (SF)
regional mall located in Cincinnati, Ohio. The loan was
transferred to special servicing in August 2009 due to monetary
default and is currently being offered for sale. Due to the
significant decline in value of the asset supporting the loan and
the high advances and ASRS ($22.3 million) that need to be
recovered from the sale, Moody's expects a significant loss on the
loan. The remaining eight specially serviced loans are secured by
a mix of property types. Moody's has estimated an aggregate loss
of $159.6 million (90% expected loss on average) for all of the
specially serviced loans.
Moody's has assumed a high default probability for fifteen poorly
performing loans representing 10% of the pool and has estimated a
$17.8 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
As of the most recent remittance date, the transaction has
experienced unpaid accumulated interest shortfalls totaling $18.6
million, affecting Classes AJ through G. Interest shortfalls are
caused by special servicing fees, appraisal reductions,
extraordinary trust expenses and loan modifications. Moody's
anticipates that the pool will continue to experience interest
shortfalls because of the high exposure to specially serviced
loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 78% and 76%, respectfully, of the non-
defeased performing pool. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 97% compared to
98% at last full 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 9.1%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.26X and 1.08X, respectively, compared to
1.29X and 1.05X, respectively, at last full review. Moody's actual
DSCR is based on Moody's net cash flow (NCF) and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stressed rate applied to the loan balance.
The top three performing loans represent 20.5% of the pool
balance. The largest loan is the 390 Park Avenue Loan ($102.4
million -- 8.4% of the pool), which is secured by a 234,000 SF
Class A office building located in New York City. The property was
100% leased as of October 2012, the same as at last review. Net
operating income has increased since last review. The property is
subject to a long-term ground lease which expires in 2049 with
four, 12-year renewal options. Moody's LTV and stressed DSCR are
92% and 0.99X, respectively, compared to 100% and 0.92X, at last
review.
The second largest performing loan is the Spectrum Office
Portfolio Loan ($81.0 million -- 6.5% of the pool), which is
secured by six office properties located in the River North
submarket of Chicago, Illinois. The portfolio was 91% leased as of
September 2012, compared to 87% at last review. Portfolio
performance has decreased since last review. Five out of the six
properties are currently on the watchlist due to low DSCR from
decrease rents and significant increases in expenses. Moody's LTV
and stressed DSCR are 134% and 0.76X, respectively, compared to
124% and 0.83X at last review.
The third largest performing loan is the 65 Broadway Loan ($68.0
million -- 5.6% of the pool), which is secured by a 342,000 SF
office building located in New York City in the Battery Park
submarket. The property was 96% leased as of September 2012
compared to 87% at last review. Performance has been stable,
although nearly 19,000SF or 6% of the net rentable area (NRA) is
scheduled to expire during 2013. Moody's LTV and stressed DSCR are
99% and 0.93X, respectively, compared to 101% and 0.91X at last
review.
CREST 2001-1: Fitch Affirms 'C' Rating on Class C Notes
-------------------------------------------------------
Fitch Ratings has affirmed one class issued by Crest 2001-1
Ltd./Corp.
KEY RATING DRIVERS
For the class C notes Fitch analyzed the class' sensitivity to the
default of the distressed assets ('CCC' and below). Currently,
66.5% of the portfolio has a Fitch derived rating below investment
grade with 47.5% of the portfolio having a rating in the 'CCC'
category and below, compared to 59.6% and 41%, respectively, at
the last rating action. Given the high probability of default of
the underlying assets and the expected limited recovery prospects
upon default, the class C notes have been affirmed at 'Csf',
indicating that default is inevitable. With 52.5% of the remaining
collateral rated investment grade, Fitch expects moderate
recoveries.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. The transaction was
not analyzed within a cash flow model framework, as the impact of
structural features and excess spread, or conversely, principal
proceeds being used to pay collateralized debt obligation (CDO)
liabilities, was determined to be minimal in the context of the
CDO's rating.
Crest 2001-1 is a static collateralized debt obligation (CDO) that
closed on March 7, 2001. The current portfolio consists of 10
assets from nine obligors of which all are commercial mortgage
backed securities (CMBS) from the 1999 and 2000 vintages.
Fitch has affirmed the following class as indicated:
-- $27,425,327 Class C Notes at 'Csf'.
CREST 2004-1: Fitch Lowers Ratings on 3 Note Classes to 'C'
-----------------------------------------------------------
Fitch Ratings has downgraded seven and affirmed seven classes
issued by Crest 2004-1 Ltd./Corp.
KEY RATING DRIVERS:
Since the last rating action in April 2012, approximately 36.6% of
the collateral has been downgraded. Currently, 87.8% of the
portfolio has a Fitch derived rating below investment grade with
55.3% of the portfolio having a rating in the 'CCC' category and
below, compared to 85.5% and 47.8%, respectively, at the last
rating action. Over this period, class A notes have received $21.1
million in principal paydowns.
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. Based on this analysis, the class A and B notes'
breakeven rates are generally consistent with the ratings assigned
below.
For the class C through H notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class C notes have been downgraded and the class D notes
affirmed at 'CCsf', indicating that default is probable.
Similarly, the class E and F notes have been downgraded and the
class G and H notes affirmed at 'Csf', indicating that default is
inevitable.
The rating of the preferred shares addresses the likelihood that
investors will receive the ultimate return of the aggregate
outstanding rated balance by the legal final maturity date. The
assigned rating for the preferred shares indicates that default is
inevitable, as they are undercollateralized.
The Stable Outlook on the class A notes reflects Fitch's view that
the transaction will continue to delever.
RATING SENSITIVITIES
Further negative migration and defaults beyond those projected by
SF PCM as well as increasing concentration in assets of a weaker
credit quality could lead to downgrades.
Crest 2004-1 is a static collateralized debt obligation (CDO) that
closed on Nov. 18, 2004. The current portfolio consists of 101
bonds from 41 obligors, of which 95.9% are commercial mortgage
backed securities (CMBS) from the 1999 through 2004 vintages, 2.7%
are real estate investment trust (REIT) debt securities, and 1.4%
are structured finance CDOs.
Fitch has taken these actions as indicated:
-- $96,709,426 class A notes affirmed at 'BBsf'; Outlook Stable;
-- $44,000,000 class B-1 notes downgraded to 'CCCsf' from 'Bsf';
-- $8,491,250 class B-2 notes downgraded to 'CCCsf' from 'Bsf';
-- $2,777,040 class C-1 notes downgraded to 'CCsf' from 'CCCsf';
-- $25,727,008 class C-2 notes downgraded to 'CCsf' from 'CCCsf';
-- $19,223,399 class D notes affirmed at 'CCsf';
-- $13,603,582 class E-1 notes downgraded to 'Csf' from 'CCsf';
-- $14,813,486 class E-2 notes downgraded to 'Csf' from 'CCsf';
-- $6,782,348 class F notes downgraded to 'Csf' from 'CCsf';
-- $2,201,446 class G-1 notes affirmed at 'Csf';
-- $11,840,879 class G-2 notes affirmed at 'Csf';
-- $8,420,860 class H-1 notes affirmed at 'Csf';
-- $1,282,291 class H-2 notes affirmed at 'Csf';
-- $96,412,500 preferred shares notes affirmed at 'Csf'.
DENALI CAPITAL: S&P Assigns Prelim. 'BB-' Rating to Cl. B-2L Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Denali Capital CLO X Ltd./Denali Capital CLO X LLC's
$379.25 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of March 20,
2013. 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 0.3005%-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 reinvestment overcollateralization test, a
failure of which will lead to the reclassification of up to
50% of excess interest proceeds that are available prior to
paying uncapped administrative expenses and 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1408.pdf
PRELIMINARY RATINGS ASSIGNED
Denali Capital CLO X Ltd./Denali Capital CLO X LLC
Class Rating Amount
(mil. $)
A-1L AAA (sf) 255.50
A-2L AA (sf) 37.75
A-3L (deferrable) A (sf) 37.00
B-1L (deferrable) BBB (sf) 19.50
B-2L (deferrable) BB- (sf) 20.00
B-3L (deferrable) B (sf) 9.50
Subordinated notes NR 38.10
NR-Not rated.
DRYDEN XXVI: S&P Assigns 'BB' Rating to Class E Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Dryden
XXVI Senior Loan Fund/Dryden XXVI Senior Loan Fund LLC's $387.00
million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes;
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and its cash flow structure,
which can withstand the default rate that Standard & Poor's
CDO Evaluator model projected, which Standard & Poor's
assessed 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 comprises
primarily broadly syndicated, speculative-grade, senior
secured term loans;
-- The asset manager's experienced management team;
-- Standard & Poor's projections regarding the timely payments
of interest and ultimate repayment of principal 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 0.31% to 13.38%; 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/1399.pdf
RATINGS ASSIGNED
Dryden XXVI Senior Loan Fund/Dryden XXVI Senior Loan Fund LLC
Class Rating Interest Amount
rate (mil. $)
X AAA (sf) 3-mo. LIBOR plus 1.00% 3.00
A AAA (sf) 3-mo. LIBOR plus 1.10% 262.00
B AA (sf) 3-mo. LIBOR plus 1.75% 38.00
C A (sf) 3-mo. LIBOR plus 2.50% 35.00
D (deferrable) BBB (sf) 3-mo. LIBOR plus 3.45% 20.00
E (deferrable) BB (sf) 3-mo. LIBOR plus 4.50% 17.00
F (deferrable) B (sf) 3-mo. LIBOR plus 4.50% 7.00
P AA+pNRi N/A 5.00
Subordinated NR N/A 38.00
NR-Not rated.
N/A-Not applicable.
EVERBANK MORTGAGE 2013-1: Fitch to Rate Class B-4 Certificate 'BB'
------------------------------------------------------------------
Fitch Ratings expects to rate EverBank Mortgage Loan Trust 2013-1
as follows:
-- $100,000,000 class 1-A1 certificate 'AAAsf'; Outlook Stable;
-- $100,000,000 class 1-A2 certificate 'AAAsf'; Outlook Stable;
-- $28,859,000 class 1-A3 certificate 'AAAsf'; Outlook Stable;
-- $6,959,000 class 1-A4 certificate 'AAAsf'; Outlook Stable;
-- $235,818,000 class 1-AIO notional certificate 'AAAsf'; Outlook
Stable;
-- $100,000,000 class 1-AIO1 notional certificate 'AAAsf';
Outlook Stable;
-- $100,000,000 class 1-AIO2 notional certificate 'AAAsf';
Outlook Stable;
-- $28,859,000 class 1-AIO3 notional certificate 'AAAsf'; Outlook
Stable;
-- $47,320,000 class 2-A1 certificate 'AAAsf'; Outlook Stable;
-- $47,320,000 class 2-AIO notional certificate 'AAAsf'; Outlook
Stable;
-- $7,249,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $6,168,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $4,164,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $3,547,000 class B-4 certificate 'BBsf'; Outlook Stable;
-- $4,164,523 class B-5 certificate not rated.
KEY RATING DRIVERS
Low CLTVs and High Fair Isaac Corp. (FICO) Scores: The pool's
original weighted average (WA) combined loan-to-value ratio (CLTV)
is 68.09%, indicating substantial equity in the property. Taken
together with the high WA original FICO score of 774, the pool is
of very high credit quality and has considerably low default risk.
15 Year FRMs: The pool consists of 15 year (16.7%) and 30 year
(83.3%) FRMs (few have 10 and 25 year terms). Borrowers of 15 year
mortgages are positively selected as they have the option to
select a lower payment option with a 30 year FRM but qualify at
and choose a higher payment. Thus, the default risk is
significantly lower compared to borrowers of other products, all
else equal. However, the larger monthly payments associated with
the 15 FRM results in a faster paydown on the subordinate classes
during the lock-out period. As a result, more transaction-level
subordination is needed to cover losses should they occur later in
the transaction's life.
Locations with High sMVDs: Roughly a third of the pool is located
in regions that Fitch believes to be overvalued by 16 -31% above
sustainable levels, which include Los Angeles, San Jose, and Santa
Ana CA. The high market value decline projections are key
contributors to Fitch's default and loss risk assessment of this
pool. In addition, the pool has significant regional
concentrations that resulted in an additional penalty of about 10%
to the pool's lifetime default expectation.
R&W Counterparty Net Negative: The mortgage loan representation
and warranty (R&W) framework is consistent with Fitch's criteria
and viewed positively by the agency. However, EverBank does not
meet the criteria's financial condition threshold. As a result,
Fitch made an adjustment to its loss expectations to account for
the possibility of slightly higher defaults and losses arising
from Everbank's inability to repurchase loans due to breaches. The
adjustment considered the 100% due diligence review as well as the
very high quality of the mortgage loans.
RATING SENSITIVITIES
Fitch's analysis incorporates a sensitivity analysis to
demonstrate how the ratings would react to steeper market value
declines than assumed at the MSA level. The implied rating
sensitivities are only an indication of some of the potential
outcomes and do not consider other risk factors that the
transaction may become exposed to or be considered in the
surveillance of the transaction. Two sets of sensitivity analyses
were conducted at the MSA and national level to assess the effect
of higher market value declines for the subject pool.
Roughly half of the pool is located in California, both in areas
with high and low market value decline projections. The market
value decline projections are key contributors to Fitch's default
and loss risk assessment of this pool. Fitch conducted sensitivity
analysis assuming sMVDs of 15%, 20%, and 25% for all the
California regions. The sensitivity analysis indicated no impact
on ratings for all bonds in each scenario.
The second sensitivity analysis demonstrates how the ratings would
react to steeper market value declines at the national level. The
analysis assumes market value declines of 10%, 20%, and 30%, in
addition to the model projected 14.3% for this pool. The analysis
indicates there will be no rating impact with a further 10% market
value decline from the current model projection. However, there is
some potential rating migration with higher MVDs, compared with
the model projection.
Key Rating Drivers and Rating Sensitivities are further described
in the accompanying pre-sale report 'EverBank Mortgage Loan Trust
2013-1', available at 'www.fitchratings.com'.
FCC FINANCING: DBRS Rates $9.87 Million Class C Notes 'BB(sf)'
--------------------------------------------------------------
DBRS, Inc. has reviewed materials related to FCC Financing
Subsidiary VIII, LLC, Series 2013-1 Notes. Based on such review,
DBRS has assigned the following ratings:
- U.S.$243,000,000 Class A Notes Due April 2020 rated AA (sf)
- U.S.$30,376,000 Class B Notes Due April 2020 rated BBB (sf)
- U.S.$9,872,000 Class C Notes Due April 2020 rated BB (sf)
The transaction provides financing for the activities of First
Capital Corporation. First Capital is a specialty finance company
that engages primarily in three lines of business: (1) asset-based
lending, (2) credit protection and (3) outsourcing for client and
receivable management.
The underlying collateral for the notes is primarily asset-based
loans and factoring receivables that have been made by First
Capital to its clients.
Furthermore, DBRS is discontinuing its ratings on previous notes
issued by FCC Financing Subsidiary VIII, LLC due to repayment of
the notes. The following ratings have been discontinued due to
repayment:
- U.S.$89,200,000 Class A-1 Notes previously rated AA (sf) now
rated Discontinued-Repaid
- U.S.$89,200,000 Class A-2 Notes previously rated AA (sf) now
rated Discontinued-Repaid
- U.S.$11,150,000 Class B-1 Notes previously rated BBB (sf) now
rated Discontinued-Repaid
- U.S.$11,150,000 Class B-2 Notes previously rated BBB (sf) now
rated Discontinued-Repaid
FIGUEROA CLO 2013-1: S&P Assigns 'BB' Rating to Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Figueroa CLO 2013-1 Ltd./Figueroa CLO 2013-1 LLC's $356.0 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 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 consists
primarily of broadly syndicated, speculative-grade, senior
secured term loans.
-- The collateral manager's experienced management team.
-- The timely interest and ultimate principal payments on the
rated notes, which S&p assessed using its cash flow analysis
and assumptions commensurate with the assigned ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.3105%-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 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, 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 Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1324.pdf
RATINGS ASSIGNED
Figueroa CLO 2013-1 Ltd./Figueroa CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 249.0
A-2 AA (sf) 43.0
B (deferrable) A (sf) 20.0
C (deferrable) BBB (sf) 19.0
D (deferrable) BB (sf) 25.0
Subordinated notes NR 44.0
NR-Not rated.
FIRST UNION 1997-C2: Moody's Cuts Rating on Cl. IO Certs to Caa3
----------------------------------------------------------------
Moody's Investors Service downgraded the rating of one class of
First Union-Lehman Brothers Commercial Mortgage Trust II,
Commercial Mortgage Pass-Through Certificates, Series 1997-C2 as
follows:
Cl. IO, Downgraded to Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
Ratings Rationale:
The downgrade of Class IO, the interest-only tranche, is due to
the decreased credit quality of its referenced classes due to the
paydowns of highly rated classes.
Moody's rating action reflects a base expected loss of 8.3% of the
current balance. At last review, Moody's cumulative base expected
loss was 3.1%. Moody's base expected loss plus realized losses is
now 3.2% of the original pooled balance, essentially the same as
at last review. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit assessments for the principal classes could decline below
their current levels. If future performance materially declines,
the expected credit assessments of the referenced tranches may be
insufficient to support the current ratings of the interest-only
class.
The methodologies used in this rating were "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012, "Moody's Approach to Rating Fusion U.S. CMBS
Transactions" published in April 2005 and "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000.
For deals that include a pool of credit tenant loans, Moody's used
its credit-tenant lease ("CTL") financing methodological approach
("CTL" approach). Under Moody's CTL approach, the rating of a
transaction's certificates 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 CDOROM v2.8.8 to
generate a portfolio loss distribution to assess the ratings.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 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
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2 compared to 15 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 v8.5 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 (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 currently rates only
the IO class.
Deal Performance
As of the February 19, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $81.7
million from $2.2 billion at securitization. The Certificates are
collateralized by 50 mortgage loans ranging in size from less than
1% to 22% of the pool. There is one fully defeased loan,
representing 19% of the pool, that is secured by U.S. Government
securities. There are 36 Credit Tenant Lease (CTL) loans,
representing 53% of the pool, that are secured by properties
leased to five tenants under bondable leases.
Four loans, representing approximately 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.
Thirty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $64.7 million (average loss severity of
48%). There are currently no loans in special servicing.
Moody's was provided with full year 2011 and partial year 2012
operating results for 57% and 44% of the pool, respectively.
Moody's weighted average LTV is 62% compared to 65% at last
review. Moody's net cash flow reflects a weighted average haircut
of 13% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
10.0%.
Moody's actual and stressed DSCRs are 1.19X and 2.00X,
respectively, compared to 1.29X and 1.73X 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.
For the CTL component, the largest exposures are Blue Cross Blue
Shield (42% of the CTL component), Rite-Aid Corp. (37%, Moody's
senior unsecured rating Caa2; stable outlook) and CVS Caremark
Corp. (13%, Moody's senior unsecured rating Baa2; positive
outlook). Moody's has issued a public debt rating for three
tenants leasing properties representing 57% of the CTL pool and
completed updated credit assessments for the non-Moody's rated
reference obligations. The bottom-dollar weighted average rating
factor (WARF) is 3,156 compared to 2782 at last review. WARF is a
measure of the overall quality of a pool of diverse credits.
FIRST UNION 1999-C2: Moody's Affirms 'C' Rating on Class M Certs
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed four classes of First Union National Bank-Chase Manhattan
Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 1999-C2 as follows:
Cl. H, Affirmed Aaa (sf); previously on Apr 22, 2011 Upgraded to
Aaa (sf)
Cl. J, Upgraded to Aa1 (sf); previously on Mar 29, 2012 Upgraded
to Aa2 (sf)
Cl. K, Upgraded to Baa3 (sf); previously on Mar 29, 2012 Upgraded
to Ba1 (sf)
Cl. L, Affirmed B2 (sf); previously on Mar 29, 2012 Upgraded to B2
(sf)
Cl. M, Affirmed C (sf); previously on Sep 16, 2010 Downgraded to C
(sf)
Cl. IO, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded
to Caa1 (sf)
Ratings Rationale:
The upgrades are due to overall improved pool credit quality and
increased credit support due to loan payoffs and amortization.
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 interest only class, Class IO, is consistent
with the credit performance of its referenced classes and thus is
affirmed.
Moody's rating action reflects a base expected loss of 18.0% of
the current balance. At last review, Moody's base expected loss
was 10.3%. The percentage increase in base expected loss is due to
the significant decrease of the certificate balance since Moody's
prior review. On a dollar basis the base expected loss increased
only slightly to $10.0 million compared to $7.5 million at last
review. Moody's base expected loss plus realized losses is now
2.5% of the original pooled balance compared to 2.3% at last
review. Depending on the timing of loan payoffs and the severity
and timing of losses from specially serviced loans, the credit
enhancement level for rated 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 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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Class IO was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3 compared to 5 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.
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 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 (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 March 29, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $55.6
million from $1.2 billion at securitization. The Certificates are
collateralized by 33 mortgage loans ranging in size from less than
1% to 9% of the pool. The CTL component of the pool includes 11
loans, representing approximately 27% of the pool. Fourteen loans,
representing 41% of the pool, have defeased and are secured by
U.S. Government securities.
Seven loans, representing 19% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Forty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $20.0 million (16% loss severity on
average). One loan, representing 9% of the pool, is currently in
special servicing. The specially serviced loan is the Belmont
Crossing Loan ($4.8 million -- 8.6% of the pool), which is secured
by a 192 unit multifamily property located in Smyrna, Georgia. The
loan transferred to special servicing in February 2009 due to
imminent maturity default and became real estate owned (REO) in
December 2010.
Moody's has assumed a high default probability for one poorly
performing loan representing 1% of the pool and has estimated a
combined $4.1 million loss (75% expected loss) from this troubled
loan and the loan in special servicing.
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 64% compared to 68% at Moody's prior review.
Moody's net cash flow 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 11.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 0.96X and 2.39X, respectively, compared to
1.11X and 1.87X 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 two conduit exposures represent 22% of the pool. The
largest exposure is a portfolio ($7.8 million -- 14.0% of the
pool), consisting of four cross-collateralized hotel loans. The
loans are secured by two hotels located in Alexandria, VA, one
hotel located in Fredericksburg, VA, and one hotel located in
Shreveport, LA. The portfolio originally included six hotel loans,
two of which are now defeased. All four loans in the portfolio are
currently on the watchlist due to poor performance at the Days Inn
-- Fredericksburg and the Days Inn -- Shreveport, both of which
had negative net operating income (NOI) in 2011. The two
Alexandria hotels, a Days Inn and a Comfort Inn, are located in
the Washington, DC regional market and together represent all of
the positive year-end 2011 NOI across the portfolio. Portfolio
performance has declined in 2012 due a decrease in revenue per
available room (RevPAR) at each property, but the portfolio DSCR
remains above 1.0X. The portfolio is fully amortizing and matures
in March 2020. Moody's current LTV and stressed DSCR are 78% and
1.74X, respectively, compared to 75% and 1.88X at last review.
The second largest loan is the Whitehall Estates Loan ($4.4
million -- 7.9% of the pool). The loan is secured by a 252-unit
multifamily property in Charlotte, North Carolina. The property
was built in 1997 and was 96% leased as of September 2012, similar
to the occupancy at Moody's last review. The loan is fully
amortizing and matures in August 2018. Moody's current LTV and
stressed DSCR are 41% and, 2.49X respectively, compared to 50%
and, 2.07X at last review.
The CTL component includes 11 loans secured by properties leased
under bondable leases. Moody's provides ratings for 100% of the
CTL component. The largest CTL exposures include Rite Aid Corp.
(53% of the CTL component, Moody's senior unsecured rating of Caa2
-- stable outlook), Walgreen Co. (31%; Moody's senior unsecured
rating Baa1 -- negative outlook), and CVS/Caremark (9%; Moody's
senior unsecured rating Baa2 -- positive outlook).
FIRST INVESTORS: S&P Affirms 'BB+' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services took various rating actions
following its review of five series of asset-backed securities
(ABS) issued by First Investors Auto Owner Trust (FIAOT) issued
between 2011 and 2013. S&P raised its long-term ratings on 10
classes from three series and affirmed its ratings on 14 classes
from five series.
The collateral pools for the FIAOT transactions consist of auto
loan receivables which were originated to mainly sub-prime
borrowers.
The rating actions reflect each transaction's collateral
performance to date, S&P's views regarding future collateral
performance, as well as each transaction structure and credit
enhancement level. In addition, S&P's analysis incorporates
secondary credit factors such as credit stability, payment
priorities under various scenarios, and sector- and issuer-
specific analysis. Furthermore, S&P's analysis includes cash-flow
and sensitivity analysis for the transactions for which it raised
ratings.
More specifically, the raised and affirmed ratings reflect S&P's
view that the total credit support as a percent of the amortizing
pool balance, compared with S&P's revised expected remaining
losses, is adequate for each of the raised or affirmed ratings.
S&P has lowered its loss expectations for the two 2011
transactions because of their lower-than-expected default
frequencies, strong recovery rates and its view of future
collateral performance. In addition since the transactions
closed, the credit support for each of these two transactions has
increased as a percentage of the amortizing pool balance.
S&P maintained its lifetime loss expectations for FIAOT's series
2012-1, 2012-2 and 2013-1 transactions. Given the short amount of
securitized performance for these transactions (between one and 12
months), S&P is maintaining its initial loss expectation pending
further collateral performance.
Table 1
Collateral Performance (%)
As of the February 2013 distribution date
Series Month Pool Current 60+ days
Factor CNL Delinquencies
2011-1 25 32.93 4.39 2.94
2011-2 16 55.59 3.55 2.50
2012-1 12 65.14 2.55 1.79
2012-2 6 86.06 1.14 1.33
2013-1 1 98.50 0.00 0.21
CNL-Cumulative net loss.
Table 2
CNL Expectations (%)
As of the February 2013 distribution date
Series Initial Revised
Lifetime Lifetime
CNL exp. CNL exp.
2011-1 9.00-9.50 6.25-6.55
2011-2 8.60-9.10 7.25-7.75
2012-1 8.00-8.50 N/A
2012-2 8.00-8.50 N/A
2013-1 8.00-8.50 N/A
CNL exp.-Cumulative net loss expectations.
N/A-Not applicable.
Each transaction has credit enhancement in the form of a spread
account, overcollateralization, and excess spread. In addition,
all series were also structured with subordination for the more
senior classes. The credit support levels have grown for all
outstanding classes as a percent of the declining collateral
balances.
Table 3
Hard Credit Support (%)
As of the February 2013 distribution
Current
Total hard total hard
credit support credit support(ii)
Series Class at issuance(i) (% of current)
2011-1 A-2 28.17 93.08
2011-1 B 22.33 75.37
2011-1 C 13.33 48.04
2011-1 D 5.50 24.25
2011-1 E 1.50 12.10
2011-2 A-2 26.00 47.63
2011-2 B 20.75 38.19
2011-2 C 12.75 23.79
2011-2 D 5.25 10.30
2011-2 E 3.25 6.70
2012-1 A-2 23.50 39.08
2012-1 B 16.83 28.84
2012-1 C 8.83 16.56
2012-1 D 2.83 7.35
2012-1 E 1.50 5.30
2012-2 A-2 20.60 25.78
2012-2 B 15.51 19.86
2012-2 C 7.59 10.66
2012-2 D 2.50 4.74
2013-1 A-1 19.90 21.28
2013-1 A-2 19.90 21.28
2013-1 B 14.55 15.85
2013-1 C 6.53 7.71
2013-1 D 1.50 2.60
(i) Consists of a reserve account and overcollateralization, as
well as subordination for the higher rated tranches, and
excludes excess spread that can also provide additional
enhancement.
(ii) Calculated as a percent of the total gross receivable pool
balance
S&P incorporated cash flow analysis in the review, which included
current and historical performance to estimate future performance.
The various cash flow scenarios included forward-looking
assumptions on recoveries, timing of losses, and voluntary
absolute prepayment speeds that S&P believes is appropriate given
the transaction's current performance. The results demonstrated,
in S&P's view, that all of the classes have adequate credit
enhancement at their raised and affirmed rating levels.
FIAOT's series 2011-2 and 2012-1 have been outstanding for a
relatively short period (16 and 12 months respectively). Aside
from S&P's break-even cash flow analysis, it also conducted
sensitivity analysis to determine the impact that a moderate
('BBB') stress scenario would have on S&P's ratings if losses were
to begin trending higher than its revised base-case loss
expectation. S&P's results show the raised and affirmed ratings
are consistent with its rating stability criteria, which outline
the outer bound of credit deterioration for any given security
under specific, hypothetical stress scenarios.
S&P will continue to monitor the performance of each transaction
to ensure that the credit enhancement remains sufficient, in its
view, to cover its revised cumulative net loss expectations under
its stress scenarios for each of the rated classes.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING RAISED
Series Class To From
2011-1 B AA+(sf) AA(sf)
2011-1 C AA(sf) A(sf)
2011-1 D AA-(sf) BBB(sf)
2011-1 E A+(sf) BB(sf)
2011-2 B AA+(sf) AA(sf)
2011-2 C AA(sf) A(sf)
2011-2 D A(sf) BBB(sf)
2011-2 E BBB-(sf) BB(sf)
2012-1 B AA+(sf) AA(sf)
2012-1 C A+(sf) A(sf)
RATINGS AFFIRMED
Series Class Rating
2011-1 A-2 AAA(sf)
2011-2 A-2 AAA(sf)
2012-1 A-2 AAA(sf)
2012-1 D BBB(sf)
2012-1 E BB+(sf)
2012-2 A-2 AAA(sf)
2012-2 B AA(sf)
2012-2 C A(sf)
2012-2 D BBB(sf)
2013-1 A-1 A-1+(sf)
2013-1 A-2 AAA(sf)
2013-1 B AA(sf)
2013-1 C A(sf)
2013-1 D BBB(sf)
FOUR CORNERS CLO III: S&P Raises Rating on Class E Notes to 'CCC+'
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, C, D, and E notes from Four Corners CLO III Ltd., a U.S.
collateralized loan obligation (CLO) managed by Four Corners
Capital Management LLC (a subsidiary of Delaware Asset Advisers).
In addition, S&P removed its ratings on these classes from
CreditWatch, where it placed them with positive implications on
March 6, 2013.
The upgrades reflect a large paydown to the class A notes since
S&P's February 2011 rating actions.
The rating actions follow S&P's review of the transaction's
performance using data from the trustee report dated Jan. 25,
2013.
Post-reinvestment period principal amortization has resulted in
$71.93 million in paydowns to the class A notes since S&P's last
rating action. The transaction has seen an equal and simultaneous
decrease in the collateral balance--designated by a combination of
principal proceeds and total par value of the collateral pool--
backing the rated liabilities. Primarily due to the paydown on
the class A notes, the transaction's class A/B, C, D, and E
overcollateralization (O/C) ratio tests have improved. In
addition, the transaction has seen the weighted average spread
generated off of the underlying collateral increase by 0.61%.
Standard & Poor's notes that the transaction is currently passing
its interest diversion test -- which is the class E O/C ratio
measured at a higher level (than the class E O/C test) in the
interest section of the waterfall. The transaction is structured
such that if it fails this test, an amount--equal to the lesser of
50.00% of the available interest proceeds and the amount necessary
to cure the test -- will be used to pay down the principal balance
on the class E notes. The transaction has not failed this test
over the period since the February 2011 rating actions. According
to the January 2013 trustee report, the interest diversion test
result was 104.39%, compared with a required minimum of 101.75%.
The ratings on the class C and E notes are currently driven by the
application of the largest obligor default test, a supplemental
stress test S&P introduced as part of its 2009 corporate criteria
update.
"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.
CAPITAL STRUCTURE AND KEY MODEL ASSUMPTIONS COMPARISON
Class January 2011 January 2013
Notional balance (mil. $)
A 188.20 116.27
B 9.00 9.00
C 18.00 18.00
D 9.00 9.00
E 9.60 9.60
Coverage Tests, WAS (%)
Weighted average spread 2.87 3.48
A/B O/C 121.92 134.89
C O/C 111.72 117.94
D O/C 107.24 110.97
E O/C 102.83 104.39
A/B I/C 645.63 907.18
C I/C 555.69 725.69
D I/C 492.36 613.15
E I/C 388.39 449.92
O/C - Overcollateralization Test.
I/C - Interest Coverage Test.
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
Four Corners CLO III Ltd.
Rating Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) A (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
E CCC+ (sf) CCC- (sf)/Watch Pos
GALE FORCE 1: Moody's Affirms 'Ba2' Rating on $15MM Cl. E Notes
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Gale Force 1 CLO, Ltd.:
US$30,000,000 Class B-1 Second Priority Senior Secured Floating
Rate Notes Due November 15, 2017, Upgraded to Aaa (sf);
previously on October 4, 2011 Upgraded to Aa1 (sf);
US$4,000,000 Class B-2 Second Priority Senior Secured Fixed Rate
Notes Due November 15, 2017, Upgraded to Aaa (sf); previously on
October 4, 2011 Upgraded to Aa1 (sf);
US$22,000,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due November 15, 2017, Upgraded to Aaa (sf);
previously on October 4, 2011 Upgraded to A2 (sf);
US$16,000,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due November 15, 2017, Upgraded to A2 (sf);
previously on October 4, 2011 Upgraded to Baa2 (sf);
US$5,000,000 Class D-2 Fourth Priority Mezzanine Deferrable
Fixed Rate Notes Due November 15, 2017, Upgraded to A2 (sf);
previously on October 4, 2011 Upgraded to Baa2 (sf);
US$20,000,000 Class I Combination Notes Due November 15, 2017
(current rated balance of $795,488.42), Upgraded to Aaa (sf);
previously on October 4, 2011 Upgraded to Aa2 (sf);
US$10,000,000 Class II Combination Notes Due November 15, 2017
(current rated balance of $629,641.30), Upgraded to Aaa (sf);
previously on October 4, 2011 Upgraded to A2 (sf).
Moody's also affirmed the ratings of the following notes:
US$262,000,000 Class A-1 First Priority Senior Secured Floating
Rate Delayed Draw Notes Due November 15, 2017 (current
outstanding balance of $86,141,547.04), Affirmed Aaa (sf);
previously on October 4, 2011 Upgraded to Aaa (sf);
US$20,000,000 Class A-2 First Priority Senior Secured Floating
Rate Term Notes Due November 15, 2017 (current outstanding
balance of $6,575,690.64), Affirmed Aaa (sf); previously on
October 4, 2011 Upgraded to Aaa (sf);
US$15,000,000 Class E Fifth Priority Mezzanine Deferrable
Floating Rate Notes Due November 15, 2017 (current outstanding
balance of $12,698,340.10), Affirmed Ba2 (sf); previously on
October 4, 2011 Upgraded to Ba2 (sf);
US$3,000,000 Class P Principal Protected Rate Notes Due November
15, 2017 (current outstanding balance of $1,216,000.00),
Affirmed Aaa (sf); previously on December 13, 2005 Assigned Aaa
(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 October 2011. Moody's notes that the Class A-
1 and A-2 Notes have been paid down by approximately 67.1% or
$189.3 million since the last rating action. Based on the latest
trustee report dated February 7, 2013, the Class A/B, Class C,
Class D and Class E overcollateralization ratios are reported at
139.4%, 124.5%, 113.0% and 107.0%, respectively, versus September
2011 levels of 124.0%, 115.9%, 109.2% and 105.4%, respectively.
Moody's notes the reported February overcollateralization ratios
do not reflect the February 15, 2013 payment of $57.7 million to
the Class A-1 and A-2 Notes.
Moody's notes that these actions also reflect a correction to
Moody's modeling of the overcollateralization tests. Due to an
input error at the time of the October 2011 rating action, Moody's
did not include expected recoveries from future defaults in the
numerators of the overcollateralization tests. This error has now
been corrected.
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 balance of $195.1 million, defaulted par of $6.2
million, a weighted average default probability of 17.05%
(implying a WARF of 2760), a weighted average recovery rate upon
default of 51.09%, and a diversity score of 42. 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.
Gale Force CLO 1, Ltd., 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. The methodology used in rating the Class I and II
Combination Notes was "Using the Structured Note Methodology to
Rate CDO Combo-Notes" published in February 2004.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities.
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% (2708)
Class A-1: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C: 0
Class D-1: +2
Class D-2: +2
Class E: +1
Class P: 0
Class I Combination: 0
Class II Combination: 0
Moody's Adjusted WARF + 20% (3313)
Class A-1: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C: -1
Class D-1: -2
Class D-2: -2
Class E: -1
Class P: 0
Class I Combination: 0
Class II Combination: 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:
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
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.
GALLATIN CLO 2007-1: Moody's Ups Rating on Cl. B-2L Notes to Ba3
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Gallatin CLO III 2007-1 Ltd.:
US$33,000,000 Class A-2L Floating Rate Notes Due 2021, Upgraded to
Aa1 (sf); previously on July 14, 2011 Upgraded to A1 (sf);
US$24,500,000 Class A-3L Floating Rate Notes Due 2021, Upgraded to
A3 (sf); previously on July 14, 2011 Upgraded to Baa2 (sf);
US$15,500,000 Class B-1L Floating Rate Notes Due 2021, Upgraded to
Baa3 (sf); previously on July 14, 2011 Upgraded to Ba1 (sf);
US$15,500,000 Class B-2L Floating Rate Notes Due 2021, Upgraded to
Ba3 (sf); previously on July 14, 2011 Upgraded to B1 (sf).
Moody's also affirmed the ratings of the following notes:
US$4,800,000 Class X Floating Rate Notes Due 2013 (current
outstanding amount of $240,000), Affirmed Aaa (sf); previously on
March 23, 2007 Assigned Aaa (sf);
US$253,000,000 Class A-1L Floating Rate Notes Due 2021, Affirmed
Aaa (sf); previously on July 14, 2011 Upgraded to Aaa (sf);
Up To US$60,000,000 Class A-1LR Floating Rate Revolving Notes Due
2021, Affirmed Aaa (sf); previously on July 14, 2011 Upgraded to
Aaa (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 May 2013. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from lower WARF and higher spread levels
compared to the levels assumed at the last rating action in July
2011. Moody's modeled a WARF and WAS of 2468 and 3.51%,
respectively, compared to 2650 and 2.76%, respectively, at the
time of the last rating action. Moody's also notes that the
transaction's reported overcollateralization ratios 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 $418 million,
defaulted par of $4 million, a weighted average default
probability of 17.16% (implying a WARF of 2468), a weighted
average recovery rate upon default of 49.06%, and a diversity
score of 48. 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.
Gallatin CLO III 2007-1 Ltd., issued in March 2007, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. 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% (1974)
Class X: 0
Class A-1L: 0
Class A-1LR: 0
Class A-2L: +1
Class A-3L: +2
Class B-1L: +2
Class B-2L: +2
Moody's Adjusted WARF + 20% (2962)
Class X: 0
Class A-1L: 0
Class A-1LR: 0
Class A-2L: -3
Class A-3L: -2
Class B-1L: -1
Class B-2L: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of 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:
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) 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.
GE COMMERCIAL 2005-C1: S&P Lowers Rating on Class C Notes to 'BB-'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on five
classes of commercial mortgage pass-through certificates from GE
Commercial Mortgage Corp.'s series 2005-C1, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P removed these ratings from CreditWatch with negative
implications, where it placed them on Dec. 19, 2012.
Concurrently, S&P affirmed its 'AAA (sf)' ratings on six other
classes from the same transaction.
"Our rating actions follow our analysis of the transaction
primarily using our criteria for rating U.S. and Canadian CMBS.
Our analysis included a review of the credit characteristics of
all of the remaining loans in the pool, the transaction structure,
and the liquidity available to the trust. In addition, we
considered the interest shortfalls and timing of the anticipated
repayment of the outstanding accumulated interest shortfalls to
the trust," S&P said.
"We lowered our ratings on classes A-J, B, C, D, and E and removed
them from CreditWatch negative where we placed them on Dec. 19,
2012. These rating actions followed interest shortfalls reflected
in the Dec. 10, 2012, trustee remittance report that resulted from
the master servicer, GEMSA Loan Services L.P. (GEMSA), recouping
$3.8 million of $5.1 million outstanding advances on the
liquidated Washington Mutual Buildings asset. GEMSA had indicated
to us at that time that they intended to recover the remaining
$3.8 million outstanding advances over the next several months,"
S&P added.
"We lowered our ratings on classes A-J, B, C, D, and E due to
continued interest shortfalls on these classes as reflected in the
March 11, 2013, trustee remittance report and the timing of the
anticipated repayment of the outstanding accumulated interest
shortfalls to the trust. According to the March 2013 trustee
remittance report, the remaining outstanding servicer's advances
for the liquidated Washington Mutual Buildings asset were fully
recouped. The trust experienced monthly interest shortfalls
totaling $566,371 according to the March 2013 trustee remittance
report. The interest shortfalls were primarily related to GEMSA
recouping the remaining outstanding advances of $2.5 million
related to the Washington Mutual Buildings asset, appraisal
entitlement reduction amounts of $7,771, special servicing fees of
$9,817, and workout fees of $10,585. The interest shortfalls this
period were partially offset by excess interest proceeds of $2.0
million related to the disposition of the Oak Park Office Center
asset. The interest shortfalls during this period affected class
B and all of its subordinate classes," S&P noted.
"Based on information provided to us by the master and special
servicers and our analysis of ongoing interest shortfalls, we
anticipate the accumulated interest shortfalls on classes A-J and
B, which have been outstanding for four months, to be repaid
between one and three months. We anticipate the accumulated
interest shortfalls on classes C and D, which have been
outstanding for four and eight months, respectively, to be repaid
between four and eight months," S&P said.
S&P lowered its rating on the class E certificate to 'D (sf)'
because S&P expects the accumulated interest shortfalls on this
class to remain outstanding for the foreseeable future.
S&P'sanalysis also considered the Lakeside Mall loan that was
previously with the special servicer but has been returned to the
master servicer. According to the transaction documents, the
special servicer is entitled to a workout fee equal to 1.0% of all
future principal and interest payments on the corrected loans,
provided they continue to perform and remain with the master
servicer. Upon the disposition of the loan, there is a potential
for additional interest shortfalls to affect the trust.
The affirmations of S&P's ratings on the principal and interest
certificates reflect its expectation that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement required for the current outstanding
ratings. S&P affirmed its ratings on these classes to also
reflect the credit characteristics and performance of the
remaining loans, as well as the transaction-level changes.
The affirmation of the rating on the class X-C interest-only (IO)
certificates reflects S&P's criteria for rating IO securities.
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 AND REMOVED FROM CREDITWATCH NEGATIVE
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C1
Rating
Class To From Credit enhancement (%)
A-J BBB+ (sf) A+ (sf)/Watch Neg 16.36
B BBB- (sf) BBB+ (sf)/Watch Neg 11.91
C BB- (sf) BB+ (sf)/Watch Neg 10.14
D CCC (sf) B+ (sf)/Watch Neg 7.25
E D (sf) CCC- (sf)/Watch Neg 5.69
RATINGS AFFIRMED
GE Commercial Mortgage Corp.
Commercial mortgage pass-through certificates series 2005-C1
Class Rating Credit enhancement (%)
A-3 AAA (sf) 28.13
A-4 AAA (sf) 28.13
A-AB AAA (sf) 28.13
A-5 AAA (sf) 28.13
A-1A AAA (sf) 28.13
X-C AAA (sf) N/A
N/A-Not applicable.
GREYWOLF CLO II: S&P Assigns Preliminary B Rating to Class E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Greywolf CLO II Ltd./Greywolf CLO II LLC's
$375.40 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of March 18,
2013. 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
(excluding excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy-remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest rate scenarios, including LIBOR ranging
from 0.29% to 11.83%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1394.pdf
PRELIMINARY RATINGS ASSIGNED
Greywolf CLO II Ltd./Greywolf CLO II LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 250.00
A-2 AA (sf) 44.10
B (deferrable) A (sf) 34.50
C (deferrable) BBB (sf) 19.70
D (deferrable) BB (sf) 17.00
E (deferrable) B (sf) 10.10
Subordinated notes NR 37.50
NR-Not rated.
GS MORTGAGE 2007-EOP: Moody's Keeps 'Ba3' Rating on Cl. X Certs.
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of two pooled
classes and one interest-only class of GS Mortgage Securities
Corporation II, Commercial Pass Through Certificates, Series 2007-
EOP. Moody's rating action is as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jun 27, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jun 27, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to
Ba3 (sf)
Ratings Rationale:
The affirmations of the pooled classes are due to key parameters,
including Moody's loan to value (LTV) ratio and Moody's stressed
debt service coverage ratio (DSCR) remaining within acceptable
ranges. The rating of the interest-only classes is consistent with
the expected credit performance of the referenced classes and thus
is affirmed. The loan benefits from a consistent cash flow derived
from a portfolio of 83 office properties across the United States.
Moody's is concerned about the enormity of this $4.6 billion loan
that faces refinance in February 2014.
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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 calls for US GDP
growth for 2013 that is likely to remain close to 2% as the
greater impetus from the US private sector is likely to broadly
offset the drag on activity from more restrictive fiscal policy.
Thereafter, Moody's expects the US economy to expand at a somewhat
faster pace than is likely this year, closer to its long-run
average pace of growth. Risks to Moody's forecasts remain skewed
to the downside despite recent positive developments. Moody's
believes that the three most immediate risks are: i) the risk of a
deeper than currently expected recession in the euro area
accompanied by deeper credit contraction, potentially triggered by
a further intensification of the sovereign debt crisis; ii)
slower-than-expected recovery in major emerging markets following
the recent slowdown; and iii) an escalation of geopolitical
tensions, resulting in adverse economic developments.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000. The methodology used in rating Class X was
"Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations. The model
incorporates the CMBS IO calculator ver1.1, 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 would provide both a Baa3
(sf) and Ba1 (sf) IO indication for consideration by the rating
committee.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and
Remittance Statements.
Deal Performance:
As of the March 6, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 38% to $4.6 billion
from $6.9 billion at securitization. The properties are also
encumbered with additional debt in the form of mezzanine financing
totaling $1.6 billion. The Certificates are collateralized by a
single floating rate mortgage loan secured by 83 individual office
properties. The properties total approximately 30 million owned
square feet and are located in 13 states and the District of
Columbia. As of September 2012, portfolio occupancy was 86%
compared to 85% as of December 2011. Since securitization, 53
properties have been released.
The loan is secured by first priority mortgage liens as well as
unencumbered equity pledges of borrower's joint venture interests,
unencumbered cash flow pledges of the borrower's joint venture
interests, encumbered cash flow pledges of the borrower's joint
venture interests, and other collateral including covenants to
apply proceeds and collateral note assignments. Moody's attributes
value to only the mortgage properties for the rated classes.
The loan was modified in December of 2010. Terms of the
modification included a term extension with a final extended
maturity date of February 2014; an increased spread payable to
certificate holders; fixed amortization; additional collateral;
and 100% of the release price of released properties will be
applied to the mortgage loan. Modification fees will be paid by
the borrower. There is set quarterly amortization defined in the
modification with approximately $73 million to be paid in 2013.
Moody's weighted average pooled loan to value (LTV) ratio is 97%
and Moody's stressed debt service coverage ratio (DSCR) is 1.24X.
Both LTV and DSCR are similar to the last review.
GS MORTGAGE 2011-GC3: Moody's Affirms 'Ba3' Rating on Cl. X Certs
-----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of ten classes of
GS Mortgage Securities Trust 2011-GC3 Commercial Mortgage Pass-
Through Certificates Series 2011-GC3 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on April 1, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on April 1, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on April 1, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on April 1, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on April 1, 2011 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on April 1, 2011 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on April 1, 2011 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on April 1, 2011 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on April 1, 2011 Definitive
Rating Assigned B2 (sf)
Cl. X, Affirmed Ba3 (sf); previously on February 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. The affirmation
of Class X, the interest-only tranche, is due to the weighted
average rating factor (WARF) of the referenced tranches.
Moody's rating action reflects a base expected loss of 1.9% of the
current balance. At last review, Moody's base expected loss was
1.8%. Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit support
for the principal classes could decline below their current
levels. If future performance materially declines, credit support
may be insufficient to support the current ratings.
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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 calls for US GDP
growth for 2013 that is likely to remain close to 2% as the
greater impetus from the US private sector is likely to broadly
offset the drag on activity from more restrictive fiscal policy.
Thereafter, Moody's expects the US economy to expand at a somewhat
faster pace than is likely this year, closer to its long-run
average pace of growth. Risks to Moody's forecasts remain skewed
to the downside despite recent positive developments. Moody's
believes that the three most immediate risks are: i) the risk of a
deeper than currently expected recession in the euro area
accompanied by deeper credit contraction, potentially triggered by
a further intensification of the sovereign debt crisis; ii)
slower-than-expected recovery in major emerging markets following
the recent slowdown; and iii) an escalation of geopolitical
tensions, resulting in adverse economic developments.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005. The methodology used in rating Class X was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 22 compared to 23 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 (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.
Deal Performance:
As of the March 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $1.36 billion
from $1.4 billion at securitization. The Certificates are
collateralized by 56 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans representing 59% of
the pool. There are three loans with investment-grade credit
assessments, representing 6% of the pool.
No loans have been liquidated or are in special servicing.
Presently, there are four loans, representing 11% 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.
Moody's was provided with full year 2011 and partial year 2012
operating results for 100% and 99% of the pool's loans,
respectively. Moody's weighted average LTV is 88% compared to 91%
at Moody's prior review. Moody's net cash flow reflects a weighted
average haircut of 14% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.35%.
Moody's actual and stressed DSCRs are 1.57X and 1.19X compared to
1.52X and 1.13X 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 largest loan with a credit assessment is the Oxford Valley
Mall Loan ($68.6 million -- 5.0% of the pool), which consists of
three components - a super-regional mall, a retail shopping center
and an office building located in Middletown Township,
Pennsylvania. The total size is approximately 1.6 million square
feet (SF). The Oxford Mall is approximately 1.23 million SF, of
which 1.03 million SF is collateral for the loan. The anchor
tenants are JCPenney, Macy's and Sears. There is also a vacant
168,000 SF retail box that was formerly leased to Boscov's, which
is not part of the collateral. The space went dark in 2008 after
the tenant filed for bankruptcy. The Lincoln Plaza retail center
is approximately 268,000 SF; the largest tenants are HH Gregg,
T.J. Maxx and Homegoods, Inc. The third component is a 110,000 SF
Class B mid-rise office building located adjacent to the mall. At
securitization, Moody's did not attribute any value to this
portion of the property in its cash flow analysis. As of September
2012, the collateral space was 79% leased compared to 80% at last
review. The 2012 in-line sales per SF for stores less than 10,000
SF were approximately $357 compared to $346 in 2011 and $328 in
2010. Performance remains stable. Moody's credit assessment and
stressed DSCR are A2 and 1.95X, essentially the same as at last
review.
The second largest loan with a credit assessment is the Stanley
Hotel Loan ($10.8 million -- 0.8% of the pool), which is secured
by a 140-room, full-service destination hotel located in Estes
Park, Colorado. The loan is encumbered with a $4.3 million B-note
held outside the trust and $7.8 million of mezzanine debt. Listed
on the National Register of Historic Places, the hotel is located
two miles from the main entrance to the Rocky Mountain National
Park. The property consists of 11 buildings, 16,000 SF of meeting
space, a spa and a pool. The hotel generates a large percentage of
its revenues from business groups and weddings. As of December
2012, the occupancy rate and revenue per available room (RevPAR)
were 66% and $118.2, respectively, compared to 60% and $108.67 at
last review. Moody's credit assessment and stressed DSCR are Baa2
and 2.2X, essentially the same as at last review.
The third largest loan with a credit assessment is the 1090 Park
Avenue Corporation Loan ($2.3 million -- 0.2% of the pool.), which
is secured by 15-story co-op building located between 88th Street
and 89th Street on Park Avenue. The collateral includes 84
residential units and three medical office spaces. The residential
unit breakdown consists of 28 four-bedroom units, 30 three-bedroom
units, 24 two-bedroom units and 1 one-bedroom unit. Performance
remains stable. Moody's credit assessment and stressed DSCR are
Aaa and greater the 4.0X, the same as at last review.
The top three performing conduit loans represent 25% of the pool
balance. The largest conduit loan is the Arlington Highlands Loan
($122.5 million -- 9% of the pool), which is secured by a 740,000
SF open-air lifestyle center located in Arlington, Texas. The mall
is located in Arlington's premier retail corridor and is across
the street from the 1.6 million SF super regional Parks at
Arlington Mall. As of December 2012, the property was 95% leased
compared to 91% at last review. Despite an uptick in occupancy,
the mall's net operating income has declined since securitization
due to a decrease in base revenues and an increase in operating
expenses. This is partially offset by a 3% increase in
amortization since securitization. Moody's LTV and stressed DSCR
are 105% and 0.93X, respectively, compared to 103% and 0.95X at
last review.
The second largest loan is the Lakes on Post Oak Loan ($113.8
million -- 8.4% of the pool), which is secured by three Class A
office buildings located in the Galleria section of Houston,
Texas. The largest tenants are Bechtel Oil Gas & Chemicals, which
leases 42% of the net rentable area (NRA), and the Huntsman
Corporation, which leases 8% of the NRA. The leases for both
tenants expire between 2013 and 2014. However, the rollover risk
is mitigated by the below-markets rents these tenants are paying.
As of February 2013, the property was 92% leased compared to 94%
at last review. The loan has amortized approximately 3% since
securitization. Moody's LTV and stressed DSCR are 93% and 1.08X,
respectively, essentially the same as at last review.
The third largest loan is the Inland/Centro JV Portfolio 1 Loan
($104.1 million -- 7.7% of the pool), which is secured by a
portfolio of nine anchored retail properties located across seven
states. Eight properties are grocery-anchored. As of December
2012, the portfolio was 96% leased compared to 95% at last review.
The largest tenants are Kroger's, Giant Eagle and Winn Dixie. The
portfolio has rollover exposure as 69% of the leased space is
scheduled to expire during the loan term and 35% is scheduled to
expire within the next four years. Performance remains stable. The
loan has amortized 2% since last review. Moody's LTV and stressed
DSCR are 93% and 1.11X, respectively, compared to 95% and 1.08X at
last review.
GS MORTGAGE 2013-NYC5: Moody's Rates Cl. XA-2 CMBS '(P)B2'
----------------------------------------------------------
Moody's Investors Service assigned provisional ratings to nine
classes of CMBS securities, issued by GS Mortgage Securities
Corporation Trust 2013-NYC5, Commercial Mortgage Pass-Through
Certificates, Series 2013-NYC5.
Cl. A, Assigned (P)Aaa (sf)
Cl. B, Assigned (P)Aa2 (sf)
Cl. C, Assigned (P)A2 (sf)
Cl. D, Assigned (P)Baa1 (sf)
Cl. E, Assigned (P)Baa3 (sf)
Cl. F, Assigned (P)Ba2 (sf)
Cl. XA-1, Assigned (P)Aaa (sf)
Cl. XA-2, Assigned (P)B2 (sf)
Cl. XB-1, Assigned (P)A2 (sf)
Ratings Rationale:
The Certificates are collateralized by a single loan backed by
first lien commercial mortgage related to five full-service
properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's rating approach for securities backed by a single loan
compares the credit risk inherent in the underlying properties
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of the loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by the DSCR, and 2) Moody's assessment of
the severity of loss in the event of default, which is largely
driven by the LTV of the underlying loan. Moody's Trust LTV Ratio
is 85.8%. Moody's Total LTV ratio (inclusive of subordinated debt
such as Mezzanine debt, which there is none) of 85.8% is also
considered when analyzing various stress scenarios for the rated
debt. The Moody's Trust Stressed DSCR of 1.26X and Moody's Total
Stressed DSCR (inclusive of subordinated debt such as Mezzanine
debt, which there is none) is 1.26X.
The loan is solely collateralized by full-service hotel properties
that are cross-collateralized and cross-defaulted. Lodging
properties are more correlated than properties of other commercial
real estate sector. In addition, this pool is geographically
concentrated as 100% of the collateral (by allocated loan balance)
is located in Manhattan, NY. The pool's performance has tracked
that of the lodging sector as a whole, with both having
deteriorated dramatically beginning in 2008 and rebounding sharply
beginning in 2010. The pool's performance was also impacted by
significant capital projects that were underway during this time.
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000. The methodology used in rating Class XA-1,
XA-2, and XB-1 was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's analysis employs the excel-based Large Loan Model v.8.5
which derives credit enhancement level based on an adjusted loan
level proceeds derived from Moody's loan level LTV ratio. Major
adjustments to determining proceeds include leverage, 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 Medium, the same
as the V score assigned to the U.S. Single Borrower CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 15%, or 25%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa2, or A2. 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.
HALCYON LOAN 2013-1: S&P Gives Prelim. BB Rating on Class D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Halcyon Loan Advisors Funding 2013-1 Ltd./Halcyon Loan
Advisors Funding 2013-1 LLC's $462.9 million fixed- and floating-
rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of March 15,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which 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%-12.53%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1388.pdf
PRELIMINARY RATINGS ASSIGNED
Halcyon Loan Advisors Funding 2013-1 Ltd./Halcyon Loan Advisors
Funding 2013-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 325.00
A-2A AA (sf) 34.00
A-2B AA (sf) 22.80
B (deferrable) A (sf) 34.60
C (deferrable) BBB (sf) 25.00
D (deferrable) BB (sf) 21.50
Subordinated notes NR 51.40
NR-Not rated.
ICE 3: S&P Assigns 'BB(sf)' Rating to Class E Notes
---------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Global
Credit CLO Ltd./ICE 3: Global Credit CLO Inc.'s $655.75 million
fixed- and floating-rate notes.
The note issuance is a CLO securitization backed by a revolving
pool consisting of U.S. dollar-denominated senior-secured loans,
senior notes, or bonds issued by borrowers located primarily in
emerging markets.
The ratings reflect S&P's view of the following factors:
-- 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, and 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 speculative-grade senior secured term loans,
senior notes, or bonds issued by borrowers located primarily
in emerging countries;
-- The portfolio 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% to 12.60%;
-- 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; and
-- The transaction's reinvestment overcollateralization test, a
failure of which would lead to the reclassification of
interest proceeds to principal proceeds for the purchase of
additional collateral assets during the reinvestment period.
The amount of interest proceeds that would be re-classified
is limited to 50% of the remaining interest proceeds
available after the payment of class E coverage tests but
prior to the payment of subordinated management fees,
uncapped administrative expenses and fees, subordinated
hedge termination payments, portfolio manager incentive
fees, and subordinated note payments.
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/1402.pdf
RATINGS ASSIGNED
ICE 3: Global Credit CLO Ltd./ICE 3: Global Credit CLO Inc.
Class Rating Interest Amount
rate (mil. $)
X AAA (sf) 3-month LIBOR + 1.00% 15.50
A-1 AAA (sf) 3-month LIBOR + 1.75% 430.00
B-1 AA (sf) 4.05% 44.50
B-2 AA (sf) 3-month LIBOR + 2.55 50.00
C-1 (def) A (sf) 4.75% 44.50
C-2 (def) A (sf) 3-month LIBOR + 3.15% 10.00
D (def) BBB (sf) 5.65% 33.75
E (def) BB (sf) 7.95% 27.50
Subordinated NR N/A 135.25
JFIN CLO 2012: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on JFIN
CLO 2012 Ltd./JFIN CLO 2012 LLC's $269.45 million floating-rate
notes following the transaction's effective date as of Nov. 21,
2012.
Most U.S. cash flow collateralized loan 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.
An effective date rating affirmation reflects S&P'sopinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of S&P's review based on the information presented to them.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect S&P's assumptions about
the transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
When S&P receives a request to issue an effective date rating
affirmation, it perform quantitative and qualitative analysis of
the transaction in accordance with its criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. S&P's 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
S&P's supplemental tests, and the analytical judgment of a rating
committee.
In S&P's published effective date report, it discusses its
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, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its 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 it deem
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
JFIN CLO 2012 Ltd./JFIN CLO 2012 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 183.0
A-2a AA+ (sf) 12.0
A-2b AA (sf) 12.75
B-1 (deferrable) A+ (sf) 8.0
B-2 (deferrable) A (sf) 19.95
C (deferrable) BBB (sf) 15.75
D (deferrable) BB (sf) 18.0
JFIN CLO 2013: S&P Assigns Preliminary 'BB' Rating to Cl. D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to JFIN CLO 2013 Ltd./JFIN CLO 2013 LLC's $404.5 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 preliminary ratings are based on information as of March 20,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which it
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.30%-11.57%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1406.pdf
PRELIMINARY RATINGS ASSIGNED
JFIN CLO 2013 Ltd./JFIN CLO 2013 LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 259.00
A-2 AA (sf) 58.00
B (deferrable) A (sf) 36.00
C (deferrable) BBB (sf) 26.50
D (deferrable) BB (sf) 25.00
E (deferrable) NR 10.00
Subordinated notes NR 47.03
NR-Not rated.
JP MORGAN 2013-1: Fitch to Rate Cl. B-4 Certs BB'; Outlook Stable
-----------------------------------------------------------------
Fitch Ratings expects to rate J.P. Morgan Mortgage Trust, Series
2013-1 as follows:
-- $244,401,000 class 1A-1 certificate 'AAAsf'; Outlook Stable;
-- $244,401,000 class 1-A-IO notional certificate 'AAAsf';
Outlook Stable;
-- $326,256,000 class 2A-1 certificate 'AAAsf'; Outlook Stable;
-- $326,256,000 class 2-A-IO notional certificate 'AAAsf';
Outlook Stable;
-- $15,406,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $9,244,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $7,703,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $5,238,000 class B-4 certificate 'BBsf'; Outlook Stable;
The $8,012,381 class B-5 certificate will not be rated.
KEY RATING DRIVERS
High-Quality Mortgage Pool: The collateral pool consists of a
mixture of 15-, 20-, and 30-year fixed rate mortgages (77%) and
seven- and 10-year hybrid ARMs (23%) to borrowers with strong
credit profiles, full documentation, low leverage, and significant
liquid reserves. A 65.1% CLTV provides a significant buffer
against potential home price declines. Strong borrower quality is
reflected in the 768 weighted average (WA) FICO and $633,428 WA
household income. In addition, third-party due diligence was
conducted on 100% of the pool and the results indicated strong
underwriting controls.
Weak Representations and Warranties (R&Ws) Framework: While the
transaction benefits from strong rep providers, Fitch believes the
value of the R&W framework is significantly diluted by qualifying
and conditional language that substantially reduces lender loan
breach liability and the inclusion of sunsets for a number of
provisions including fraud. While the agency believes that the
high credit quality pool and clean diligence results mitigate the
R&W risks to some degree, Fitch considered the weaker framework in
its expected loss estimation and credit enhancement analysis.
Strong Counterparties: The transaction benefits from strong
counterparties with 88.8% originated by JPMCB and FRB, two
entities with 'above average' origination platforms and strong
financial capacities to meet potential repurchase obligations.
With respect to servicing, Fitch maintains a 'RPS2+' servicer
rating on JPMCB and views FRB as an acceptable servicer. The
transaction also benefits from the participation of an experienced
master servicer, Wells Fargo Bank, N.A. (rated 'RMS1').
Limited Alignment of Interests: While JPMCB will be providing R&Ws
into the transaction as the originator of 48.1% of the collateral
pool, the sponsor, J.P. Morgan Mortgage Acquisition Corp.
(JPMMAC), does not anticipate retaining any portion of the capital
structure or associated credit risk. The lack of shared risk
between the issuer and investors is a divergence from recent
transactions that Fitch has rated.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate
how the ratings would react to steeper market value declines
(MVDs) than assumed at both the metropolitan statistical area
(MSA) and national levels. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become
exposed to or be considered in the surveillance of the
transaction.
Fitch conducted sensitivity analysis on areas where the model
projected lower home price declines than that of the overall
collateral pool. The model currently projects sustainable MVDs
(sMVDs) at the MSA level. For three of the top 15 regions in the
mortgage pool, Fitch's SHP model does not project declines in home
prices, and for another region in the top 15, the projected
decline is less than 5.00%. These regions include Chicago-Joliet-
Naperville in Illinois (5.6%), Boston-Quincy in Massachusetts
(4.1%), Phoenix-Mesa-Glendale in Arizona (2.3%), and Houston-Sugar
Land-Baytown in Texas (1.7%). The sensitivity analyses indicated
no impact on ratings for all bonds in each scenario.
Another sensitivity analysis focused on how the ratings would
react to steeper MVDs at the national level. The analysis assumes
MVDs of 10%, 20%, and 30%, in addition to the model projected 14%
for this pool. The analysis indicates there is some potential
rating migration with higher MVDs, compared with the model
projection.
Fitch's stress and rating sensitivity analysis are discussed in
the presale report titled ' J.P. Morgan Mortgage Trust, Series
2013-1', dated March 20, 2013, which is available on Fitch's web
site, www.fitchratings.com.
KIMBERLITE CDO: Fitch Cuts Ratings on 6 Note Classes to 'D'
-----------------------------------------------------------
Fitch Ratings has downgraded six and affirmed two classes at 'Dsf'
and withdrawn the ratings on the notes issued by Kimberlite CDO I
Ltd./LLC.
KEY RATING DRIVERS
On Nov. 12, 2009, the transaction entered into an Event of Default
due to the failure of the Par Value Coverage Test which fell below
100%. On Dec. 5, 2012, the holders of the majority controlling
class declared the notes immediately due and payable with proceeds
being disbursed on March 1, 2013. The proceeds were sufficient to
pay $491,156 of fees and expenses and 24% of the unfunded super
senior facility. The total loss to the transaction was 84.3%. The
remaining classes have been completely written off due to
insufficient liquidation proceeds.
Fitch has taken these actions as indicated:
-- $0 class A notes affirmed at 'Dsf' and withdrawn;
-- $0 class B notes affirmed at 'Dsf' and withdrawn;
-- $0 class C notes downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class D notes downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class E notes downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class F notes downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class G notes downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class H notes downgraded to 'Dsf' from 'Csf' and withdrawn.
LATITUDE CLO III: Moody's Lifts Rating on $8MM Cl. F Notes to Ba2
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Latitude CLO III Ltd.:
US$22,500,000 Class B Second Senior Floating Rate Notes Due 2021,
Upgraded to Aaa (sf); previously on August 26, 2011 Upgraded to
Aa1 (sf);
US$16,000,000 Class C Mezzanine Floating Rate Notes Due 2021,
Upgraded to Aa1 (sf); previously on August 26, 2011 Upgraded to
Aa3 (sf);
US$15,000,000 Class D Deferrable Mezzanine Floating Rate Notes Due
2021, Upgraded to A1 (sf); previously on August 26, 2011 Upgraded
to A3 (sf);
US$14,000,000 Class E Deferrable Mezzanine Floating Rate Notes Due
2021, Upgraded to Baa2 (sf); previously on August 26, 2011
Upgraded to Ba1 (sf);
US$8,000,000 Class F Deferrable Mezzanine Floating Rate Notes Due
2021, Upgraded to Ba2 (sf); previously on August 26, 2011 Upgraded
to Ba3 (sf).
Moody's also affirmed the ratings of the following notes:
US$202,500,000 Class A Senior Floating Rate Notes Due 2021,
Affirmed Aaa (sf); previously on August 26, 2011 Upgraded to Aaa
(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 April 2013. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from lower WARF and higher spread levels
compared to the levels assumed at the last rating action in August
2011. Moody's modeled a WARF and WAS of 2423 and 3.62%,
respectively, compared to 2911 and 3.1%, respectively, at the time
of 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 $285.7 million,
defaulted par of $14.6 million, a weighted average default
probability of 16.4% (implying a WARF of 2423), a weighted average
recovery rate upon default of 48.5%, and a diversity score of 66.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Latitude CLO III Ltd., issued in April 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
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, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities.
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% (2907)
A2: 0
B1: 0
C1: -1
D1: -2
E1: -1
F1: -1
Moody's Adjusted WARF -20% (1938)
A2: 0
B1: 0
C1: 0
D1: 2
E1: 2
F1: 2
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
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) 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.
LB-UBS 2000-C4: Moody's Affirms 'C' Rating on Class J Certificates
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of five classes of
LB-UBS Commercial Mortgage Trust 2000-C4, Commercial Mortgage
Pass-Through Certificates as follows:
Cl. F, Affirmed Aa3 (sf); previously on Mar 15, 2012 Upgraded to
Aa3 (sf)
Cl. G, Affirmed B2 (sf); previously on Oct 28, 2010 Downgraded to
B2 (sf)
Cl. H, Affirmed Ca (sf); previously on Oct 28, 2010 Downgraded to
Ca (sf)
Cl. J, Affirmed C (sf); previously on Oct 28, 2010 Downgraded to C
(sf)
Cl. X, Affirmed Caa3 (sf); previously on Feb 22, 2012 Downgraded
to Caa3 (sf)
Ratings Rationale:
The affirmations of Classes F and G 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. The ratings of Classes H and J
are consistent with Moody's base expected loss and thus are
affirmed. Based on Moody's current base expected loss, the credit
enhancement levels for the affirmed classes are sufficient to
maintain their current ratings.
The rating of the IO Class, Class X, is consistent with the
expected credit performance of its referenced classes and thus is
affirmed.
Moody's rating action reflects a base expected loss of
approximately 17% of the current deal balance. At last review,
Moody's base expected loss was approximately 16%. Moody's base
expected loss plus realized loss figure is 5% of the original
securitized deal balance, essentially unchanged from Moody's last
review. Depending on the timing of loan payoffs and the severity
and timing of losses from specially serviced loans, the credit
enhancement level for rated 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 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 CMBS Large Loan/Single
Borrower Transactions" published in July 2000. The methodology
used in rating the Interest-Only Security was "Moody's Approach to
Rating Structured Finance Interest-Only Securities" published in
February 2012. The Interest-Only Methodology was used for the
rating of Class X.
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
CDOROM v2.8-8 to generate a portfolio loss distribution to assess
the ratings.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10 compared to a Herf of 12 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 (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 March 15, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $57 million
from $999 million at securitization. The Certificates are
collateralized by 17 mortgage loans ranging in size from less than
1% to 18% of the pool, with the top ten loans (excluding
defeasance) representing 85% of the pool. The pool contains no
loans with investment-grade credit assessments. Two loans,
representing approximately 4% of the pool, are defeased and are
collateralized by U.S. Government securities.
Four loans, representing 29% 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-eight loans have liquidated from the pool, resulting in an
aggregate realized loss of $44 million (36% average loan loss
severity). Currently one loan, representing 18% of the pool, is in
special servicing. The specially-serviced loan is the 111 Franklin
Plaza Loan ($10 million -- 18% of the pool), which is secured by a
138,000 square foot office property in downtown Roanoke, Virginia.
The property was 61% leased in January 2013 compared to 57% the
prior year and 92% in December 2010. The loan transferred to
special servicing in September 2011 due to imminent monetary
default, and the property is now real estate owned (REO). The
servicer intends to stabilize the property before marketing it for
sale. Moody's estimates a high loss severity for this loan.
Moody's has assumed a high default probability for two poorly
performing loans representing 14% of the pool. Moody's analysis
attributes an aggregate $8.3 million loss (45% expected loss
severity overall) to the specially serviced and troubled loans.
Moody's was provided with full-year 2011 and partial year 2012
operating results for 86% of the performing pool. Excluding
troubled and specially-serviced loans, Moody's weighted average
LTV is 76% compared to 70% at last full review. Moody's net cash
flow reflects a weighted average haircut of 15.0% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 10.1%.
Excluding troubled and specially-serviced loans, Moody's actual
and stressed DSCRs are 1.47X and 1.62X, respectively, compared to
1.51X and 1.64X 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 32% of the pool. The
largest loan is the Dulles North -- Phase 2 Loan ($7 million --
13% of the pool), which is secured by a 79,000 square foot
suburban office property in Sterling, Virginia, a suburb of
Washington, DC. The property is located approximately two miles
from Dulles International Airport. The property was 100% leased as
of December 2012, unchanged from Moody's last review. The lease
for the U.S. Customs Service, the second-largest tenant at 30% of
property NRA, is scheduled to expire in February 2014. The loan
matures in May 2015. Moody's current LTV and stressed DSCR are 73%
and 1.53X, respectively, compared to 71% and 1.57X at last review.
The second largest loan is the Dulles North -- Phase 5 Loan ($6
million -- 10% of the pool). The loan is secured by a single-
tenant, suburban office property in Sterling, Virginia. The
property is 100% leased to NTT Worldwide Communications, a
subsidiary of Nippon Telegraph and Telephone (Moody's senior
unsecured rating Aa3, stable outlook), through February 2020. The
loan matures in July 2015. Moody's current LTV and stressed DSCR
are 48% and 2.30X, respectively, compared to 51% and 2.17X at last
review.
The third largest loan is the TownePlace Suites Sterling Loan ($5
million -- 9% of the pool). The loan is secured by a 95-room,
limited-service, extended-stay hotel in Sterling, Virginia. The
property competes with several other limited-service hotels in the
immediate area. Full-year occupancy increased to 75% in June 2012,
up from 59% in December 2011. RevPAR increased over the same time
period to $59.18 from $48.71. Despite recent improvements in
occupancy and RevPAR, the property remains on the watchlist for
low DSCR, as expenses at the property kept pace with increases in
revenue. Moody's considers this a troubled loan. The loan matures
in May 2015. Moody's current LTV and stressed DSCR are 145% and,
0.89X respectively, compared to 142% and 0.91X at last review.
The CTL component includes six loans secured by properties leased
under bondable leases and represents approximately 16% of the
pool. Moody's provides ratings for 100% of the CTL component. The
CTL exposures include CVS/Caremark Corp. (51% of the CTL
component, Moody's senior unsecured rating Baa2, positive
outlook), Walgreen Co. (40%; Moody's senior unsecured rating Baa1,
negative outlook) and Exxon Mobil Corporation (9%; Moody's senior
unsecured rating Aaa, stable outlook).
LB-UBS 2004-C7: Moody's Affirms 'Ba1' Rating on Class G Certs
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 20 classes of
LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2004-C7 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Nov 9, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Nov 9, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. A-6, Affirmed Aaa (sf); previously on Nov 9, 2004 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa1 (sf); previously on Jul 14, 2010 Confirmed at
Aa1 (sf)
Cl. C, Affirmed Aa2 (sf); previously on Jul 14, 2010 Confirmed at
Aa2 (sf)
Cl. D, Affirmed A1 (sf); previously on Jul 14, 2010 Downgraded to
A1 (sf)
Cl. E, Affirmed A3 (sf); previously on Jul 14, 2010 Downgraded to
A3 (sf)
Cl. F, Affirmed Baa2 (sf); previously on Jul 14, 2010 Downgraded
to Baa2 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Jul 14, 2010 Downgraded to
Ba1 (sf)
Cl. H, Affirmed Ba2 (sf); previously on Jul 14, 2010 Downgraded to
Ba2 (sf)
Cl. J, Affirmed B2 (sf); previously on Jul 14, 2010 Downgraded to
B2 (sf)
Cl. K, Affirmed Caa2 (sf); previously on Jul 14, 2010 Downgraded
to Caa2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Jul 14, 2010 Downgraded
to Caa3 (sf)
Cl. M, Affirmed Ca (sf); previously on Jul 14, 2010 Downgraded to
Ca (sf)
Cl. N, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to C
(sf)
Cl. P, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to C
(sf)
Cl. Q, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to C
(sf)
Cl. S, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to C
(sf)
Cl. X-CL, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. X-OL, Affirmed Aaa (sf); previously on Nov 9, 2004 Definitive
Rating Assigned Aaa (sf)
Ratings Rationale:
The affirmations of the principal classes are due to key
parameters, including Moody's loan-to-value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The ratings of interest-only Classes X-CL and X-OL are consistent
with the expected credit performance of their referenced classes
and thus is affirmed.
Moody's rating action reflects a base expected loss of
approximately 4% of the current deal balance, essentially
unchanged since Moody's last review. Moody's base expected loss
plus realized losses is 2.9% of the original securitized deal
balance, the same as at Moody's last review. 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 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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Classes X-CL and X-OL was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 9, compared to a Herf of 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 (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 March 22, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 45% to $773 million
from $1.42 billion at securitization. The Certificates are
collateralized by 64 mortgage loans ranging in size from less than
1% to 22% of the pool, with the top ten loans (excluding
defeasance) representing 49% of the pool. The pool includes three
loans with investment-grade credit assessments, representing 13%
of the pool. Three loans, representing approximately 26% of the
pool, are defeased and are collateralized by U.S. Government
securities.
Twenty-one loans, representing 17% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Six loans have liquidated from the pool, resulting in an aggregate
realized loss of $9 million (48% average loan loss severity).
Currently, one loan, representing less than 1% of the pool, is in
special servicing.
Moody's has assumed a high default probability for five poorly
performing loans representing 6% of the pool. Moody's analysis
attributes an aggregate $19.6 million aggregate loss (44% expected
loss severity) from the from the specially serviced and troubled
loans.
Moody's was provided with full-year 2011 and partial-year 2012
operating results for 97% and 79% of the performing pool,
respectively. Excluding troubled and specially-serviced loans,
Moody's weighted average LTV is 94% compared to 92% at last full
review. Moody's net cash flow reflects a weighted average benefit
of 5% to the most recently available net operating income. This
benefit stems primarily from Moody's treatment of cash flow for
the 600 Third Avenue Loan, the largest loan in the pool, which is
discussed in further detail below. Moody's value reflects a
weighted average capitalization rate of 9.0%.
Excluding troubled and specially-serviced loans, Moody's actual
and stressed DSCRs are 1.39X and 1.07X, respectively, compared to
1.40X and 1.11X 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 Montgomery Mall
Loan ($82 million -- 11% of the pool). The loan is secured by a
two story, 1.1 million square foot regional mall in Montgomery
Township, Pennsylvania, located approximately 20 miles north of
Center City Philadelphia. The mall anchors include Macy's, Sears,
JC Penney, and Dick's Sporting Goods. Mall occupancy has remained
steady in the 90-92% range since 2010. Moody's credit assessment
and stressed DSCR are A2 and 1.52X, respectively, compared to A2
and 1.50X at last review.
The second largest loan with a credit assessment is the Kimco
Portfolio -- Enchanted Forest Loan ($11 million -- 1% of the
pool), which is secured by a grocery-anchored retail center in
Ellicott City, Maryland. The anchor is Safeway, which leases 36%
of property net rentable area (NRA) through March 2017. The
safeway lease was automatically renewed for an additional five
years beginning in March 2012. Several minor tenants have upcoming
lease expirations. The loan sponsor is Kimco Realty Corporation
(Moody's senior unsecured rating Baa1, stable outlook). The loan
is also encumbered by an amortizing B-Note, which is held outside
the trust. The loan benefits from amortization. Moody's current
credit assessment and stressed DSCR are Aa1 and 2.34X,
respectively, compared to Aa1 and 2.25X at last review.
The third loan with a credit assessment is the Kimco Portfolio --
Wilkens Beltway Plaza Loan ($8 million -- 1% of the pool). The
loan is secured by a grocery-anchored retail center with an office
component. The grocery anchor is Giant Food, a subsidiary of Royal
Ahold. Property occupancy was 95% as of year-end 2012 reporting,
unchanged from Moody's last review. The loan is also encumbered by
an amortizing B-Note, which is held outside the trust. The loan
benefits from amortization. Moody's current credit assessment and
stressed DSCR are Aa2 and 2.12X respectively, compared to Aa2 and
2.29X at last review.
The top three performing conduit loans represent 28% of the pool.
The largest loan is the 600 Third Avenue Loan ($168 million -- 22%
of the pool). The loan is secured by a 530,000 square-foot office
tower in the Grand Central submarket of Midtown Manhattan. The
property was 89% leased as of September 2012. Property reported
NOI dropped sharply in 2011 following the departure of major
tenant TruTV, which had occupied approximately 27% of the
building's net rentable area. The vacant space has since been re-
leased to new tenants. Partial-year 2012 financials indicate a
strong rebound in property NOI, which is reflected in Moody's
value. Moody's current LTV and stressed DSCR are 106% and 0.87X,
respectively, the same as at Moody's last review.
The second largest loan is the North DeKalb Mall Loan ($27 million
-- 3% of the pool). The loan is secured by a 430,000 square foot
portion of a 630,000 square foot regional mall in the Atlanta
suburb of Decatur, Georgia. The mall is shadow-anchored by a free-
standing Macy's store. Other anchors include Burlington Coat
Factory, Ross Dress For Less and a movie theater. The loan was
modified in 2010 after entering special-servicing for imminent
monetary default. The modification converted the loan to interest-
only payments through November 2014 and reduced the interest rate
to 2% through year-end 2012. Following the modification, the loan
was returned to corrected status. As of January 2013, the loan
interest rate rose to 6.75%, which brought the loan below the
servicer's DSCR threshold. The loan is now on the watchlist. Total
mall occupancy increased to 97% as of September 2012, up from 92%
in June 2011. Much of the mall inline space is leased to local
tenants. Moody's considers this a troubled loan. Moody's current
LTV and stressed DSCR are 217% and 0.50X, respectively, compared
to 169% and 0.62X at last review.
The third largest loan is the Richard's of Greenwich Loan ($20
million -- 3% of the pool), which is secured by a 27,000 square
foot retail property in downtown Greenwich, Connecticut. The
property is fully leased to Ed Mitchell, Inc., which operates a
luxury goods emporium at the site, through 2024. The property is
located one block from the Greenwich station on the Metro-North
Railroad, which provides direct rail access to New York City.
Moody's current LTV and stressed DSCR are 94% and, 1.01X
respectively, compared to 96% and 0.99X at last review.
LB-UBS 2005-C1: Moody's Cuts Rating to 'B2' to Class G Certs
------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed 13 classes of LB-UBS Commercial Mortgage Trust 2005-
C1, Commercial Mortgage Pass-Through Certificates, Series 2005-C1
as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Feb 10, 2005 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Feb 10, 2005 Definitive
Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Feb 10, 2005 Definitive
Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed Aaa (sf); previously on Feb 10, 2005 Definitive
Rating Assigned Aaa (sf)
Cl. A-J, Affirmed Aa2 (sf); previously on Jul 29, 2010 Downgraded
to Aa2 (sf)
Cl. B, Affirmed Aa3 (sf); previously on Jul 29, 2010 Downgraded to
Aa3 (sf)
Cl. C, Affirmed A2 (sf); previously on Jul 29, 2010 Downgraded to
A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on Mar 15, 2012 Downgraded
to Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Mar 15, 2012 Downgraded
to Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Mar 15, 2012 Downgraded to
Ba1 (sf)
Cl. G, Downgraded to B2 (sf); previously on Mar 15, 2012
Downgraded to B1 (sf)
Cl. H, Downgraded to Caa2 (sf); previously on Mar 15, 2012
Downgraded to Caa1 (sf)
Cl. J, Downgraded to Ca (sf); previously on Jul 29, 2010
Downgraded to Caa3 (sf)
Cl. K, Downgraded to C (sf); previously on Jul 29, 2010 Downgraded
to Ca (sf)
Cl. L, Affirmed C (sf); previously on Jul 29, 2010 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Jul 29, 2010 Downgraded to C
(sf)
Cl. X-CL, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The downgrades are due to an increase in realized losses from
specially serviced 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-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 5.9% of the
current balance. At last review, Moody's base expected loss was
7.4%. Realized losses have increased from 0.6% of the original
balance to 1.9% since the prior review. Moody's base expected loss
plus realized losses increased to 5.4% of the original pooled
balance compared to 5.3% at last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated 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 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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Class X-CL was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12 compared to 13 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 (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 March 15, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 40% to $912.2
million from $1.5 billion at securitization. The Certificates are
collateralized by 60 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans representing 74% of
the pool. The pool contains three loans with investment grade
credit assessments, representing 30% of the pool.
Sixteen 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.
Eleven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $26.1 million (33% loss severity on
average). An additional $2.6 million in realized losses is due to
the recovery of advances and ASERS on a specially serviced loan,
resulting in a total certificate loss of $28.7 million. Three
loans, representing 5% of the pool, are currently in special
servicing. The largest specially serviced loan is the Great Neck
Roslyn Portfolio ($25.0 million -- 2.7% of the pool), which is
secured by six office buildings located in western Long Island,
New York (four in Roslyn Heights and two in Great Neck). The loan
was originally secured by two additional office buildings, however
these buildings were defeased in 2009 and subsequently released.
The portfolio transferred to special servicing in 2010 due to
imminent maturity default and the loan has been paid through
October 2010. A receiver was appointed in 2011 and as of December
2012 the portfolio was approximately 50% leased. The special
servicer indicated it is in the process of confirming a
foreclosure sale date for this loan.
The second largest specially serviced loan is the Atlantic
Building Loan ($19.0 million -- 2.1% of the pool), which is
secured by a 316,000 square foot (SF) Class B office building
located in the Center City submarket of Philadelphia,
Pennsylvania. The loan transferred to special servicing in April
2010 due to imminent monetary default and a receiver was appointed
in March 2011. The asset was sold in July 2012 and financed via a
loan assumption. As part of the loan assumption the new borrower
paid down the loan $8.5 million and the maturity date was extended
to January 2015. Due to outstanding ASERs and advances at the time
of the assumption the loan realized a loss of $2.6 million. A
$19.0 million loan was ultimately assumed by the new borrower with
interest only payments due through the maturity date. As of
December 2012, the property was 50% leased with the majority of
its remaining leases expiring by the end of 2013.
The remaining specially serviced loan, which represents less than
0.5% of the pool, is secured by an unanchored retail center
located in Dallas, Texas. Moody's estimates an aggregate $25.6
million loss for the specially serviced loans (55% expected loss
on average).
Moody's has assumed a high default probability for five poorly
performing loans representing 3% of the pool and has estimated an
aggregate $4.1 million loss (16% expected loss on average) from
these troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 97% and 85% of the pool's non-specially
serviced loans, respectively. Excluding specially serviced and
troubled loans, Moody's weighted average LTV is 94% compared to
92% at Moody's prior review. Moody's net cash flow 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 9.1%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.43X and 1.10X, respectively, compared to
1.47X and 1.11X 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 11 West 42nd
Street Loan ($150.8 million -- 16.5% of the pool), which is
secured by an 940,000 SF office building located across from
Bryant Park in New York City. The property is also encumbered by a
$37.7 million mezzanine loan. The largest tenants include CIT (16%
of the net rentable area (NRA); lease expiration October 2021) and
New York University (12% of the NRA; lease expiration September
2021). The property was 98% leased as of October 2012 compared to
98% at last review. Property performance increased significantly
in 2012 due to an increase in rental revenue. Moody's credit
assessment and stressed DSCR are Baa1 and 1.55X, respectively,
compared to Baa2 and 1.49X at last review.
The second largest loan with a credit assessment is the Mall Del
Norte Loan ($113.4 million -- 12.4% of the pool), which is secured
by the borrower's interest in a 1.2 million SF regional mall
(683,000 SF as collateral) located three miles north of the
Mexican border in Laredo, Texas. The property is virtually 100%
leased, which is similar to the prior two reviews. The loan is
interest only for its entre term and matures in December 2014.
Moody's credit assessment and stressed DSCR are Baa3 and 1.41X,
respectively, compared to Baa3 and 1.39X at last review.
The third loan with a credit assessment is the United States
District Courthouse Loan ($12.1 million -- 1.3% of the pool),
which is secured by a 47,000 SF office building located in El
Centro, California. The building is 100% leased to the US
Magistrate Courthouse through September 2019. The loan fully
amortizes over the term and has already paid down 45% since
securitization. Moody's credit assessment and stressed DSCR are
Aaa and 1.81X, respectively, compared to Aaa and 1.62X at last
review.
The top three conduit loans represent 31% of the pool. The largest
conduit loan is the 2100 Kalakaua Avenue Loan ($130 million --
14.3% of the pool), which is secured by a 96,000 SF luxury retail
shopping center located in Honolulu, Hawaii. The property is also
encumbered by a $15.0 million mezzanine loan. The tenants consist
of Gucci, Chanel, Tiffany & Co, Coach, Yves Saint Laurent, Hugo
Boss and Tod's. The property was 85% leased as of September 2012,
which is the same as at Moody's three prior reviews. The well
located luxury retail property commands premium rents ($172 PSF)
relative to Honolulu County average of $59 PSF. Property
performance has improved from an increase in rental revenue due to
scheduled rent increases. Moody's LTV and stressed DSCR are 80%
and 1.08X, respectively, compared to 85% and 1.02X at Moody's
prior review.
The second largest loan is the Wilshire Rodeo Plaza Portfolio Loan
($112.7 million -- 12.4% of the pool), which is secured by a two
building office and a retail mixed use development totaling
approximately 265,000 SF and located in Beverly Hills, California.
The retail portion represents approximately 22% of the NRA and was
100% leased as of September 2012 with tenants such as Niketown,
St. John Knits and Burberry. The office portion was 80% leased,
which represents a decline from year end 2010 due to the
downsizing of UBS in 2011. The total property is currently 84%
leased, however the largest office tenant, United Talent Agencies
(UTA), representing 31% of the total NRA, has recently vacated its
space and relocated to its new headquarters building. The tenant
is currently paying rent but excluding UTA, the office and total
occupancy would decrease to 39% and 52%, respectively. The subject
is well located in the Beverly Hills Triangle which has an office
submarket vacancy of only 6.4%. The loan is interest only
throughout its term and matures in April 2014. Moody's LTV and
stressed DSCR are 116% and 0.79X respectively, compared to 109%
and 0.84X at last review.
The third largest loan is the Concord Portfolio Loan ($36.2
million -- 4.0% of the pool), which is secured by three garden
style apartment communities located in Houston, Texas. The
weighted average occupancy is 91%, while individual occupancies
range from 85% to 97%. The loan is benefitting from amortization
and matures in January 2015. Moody's LTV and stressed DSCR are 86%
and 1.07X compared to 89% and 1.04X at last review.
LNR CDO 2003-1: Fitch Affirms 'C' Ratings on 5 Note Classes
-----------------------------------------------------------
Fitch Ratings has downgraded two and affirmed 10 classes issued by
LNR CDO 2003-1, Ltd.
Key Rating Drivers:
Since the last rating action in April 2012, approximately 33.8% of
the collateral has been downgraded and 0.3% has been upgraded.
Currently, 89.3% of the portfolio has a Fitch derived rating below
investment grade with 57.3% of the portfolio having a rating in
the 'CCC' category and below, compared to 83.4% and 44%,
respectively, at the last rating action. Over this period, the
transaction has received $73.5 million which has resulted in the
full repayment of the class A notes and a repayment of $22 million
to the class B notes.
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. Based on this analysis, the classes B through D notes'
breakeven rates are generally consistent with the ratings assigned
below.
For the class E through J notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class E notes have been affirmed at 'CCCsf', indicating that
default is possible. Similarly, the classes F through J notes have
been affirmed at 'Csf', indicating that default is inevitable.
The Stable Outlook on the class B notes reflects Fitch's view that
the transaction will continue to delever. The Negative Outlook on
the classes C and D notes reflects the risk of adverse selection
as the portfolio continues to amortize.
RATING SENSITIVITIES
Further negative migration and defaults beyond those projected by
SF PCM as well as increasing concentration in assets of a weaker
credit quality could lead to downgrades.
LNR 2003-1 is a static collateralized debt obligation (CDO) that
closed on July 2, 2003. The portfolio consists of 82 bonds from 29
obligors, all of which are CMBS from 1999 through 2003 vintage
transactions.
Further negative migration and defaults beyond those projected in
the SF PCM as well as increasing concentration in assets of a
weaker credit quality could lead to future downgrades. Likewise, a
buildup of credit enhancement could lead to future upgrades.
Fitch has downgraded these classes as indicated:
-- $5,000,000 class D-FL notes to 'Bsf' from 'BBsf'; Outlook
Negative;
-- $40,766,000 class D-FX notes to 'Bsf' from 'BBsf'; Outlook
Negative;
Fitch has affirmed these classes and revised the Outlooks as
indicated:
-- $56,206,890 class B notes at 'BBBsf'; Outlook to Stable from
Negative;
-- $34,000,000 class C-FL notes at 'BBsf'; Outlook Negative;
-- $9,860,000 class C-FX notes at 'BBsf'; Outlook Negative;
-- $48,000,000 class E-FL notes at 'CCCsf';
-- $41,626,000 class E-FX notes at 'CCCsf';
-- $6,000,000 class F-FL notes at 'Csf';
-- $44,724,000 class F-FX notes at 'Csf';
-- $12,204,000 class G notes at 'Csf';
-- $30,511,000 class H notes at 'Csf';
-- $43,478,000 class J notes at 'Csf'.
MAREA CLO: S&P Affirms 'BB' Rating on $18MM Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Marea
CLO Ltd./Marea CLO LLC's $415.928 million floating-rate notes
following the transaction's effective date as of Nov. 16, 2012.
Most U.S. cash flow collateralized loan 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").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to them.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect S&P's assumptions about
the transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
When S&P receive a request to issue an effective date rating
affirmation, it perform quantitative and qualitative analysis of
the transaction in accordance with S&P's criteria to assess
whether the initial ratings remain consistent with the credit
enhancement based on the effective date collateral portfolio.
S&P's 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 S&P's supplemental tests, and the
analytical judgment of a rating committee.
In S&P's published effective date report, it discusses its
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, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its 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 it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Marea CLO Ltd./Marea CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 291.21
B AA (sf) 50.14
C (deferrable) A (sf) 36.96
D (deferrable) BBB (sf) 19.61
E (deferrable) BB (sf) 18.00
MERRILL LYNCH 2005-CKI1: Moody's Cuts Ratings on 7 CMBS Classes
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of nine classes and
downgraded seven classes of Merrill Lynch Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2005-CKI1 as
follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-6, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at
Aaa (sf)
Cl. AJ, Downgraded to Baa1 (sf); previously on Jun 30, 2010
Downgraded to A2 (sf)
Cl. AM, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at
Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. B, Downgraded to Baa3 (sf); previously on Jun 30, 2010
Downgraded to Baa1 (sf)
Cl. C, Downgraded to Ba1 (sf); previously on Jun 30, 2010
Downgraded to Baa2 (sf)
Cl. D, Downgraded to B3 (sf); previously on Jun 30, 2010
Downgraded to Ba2 (sf)
Cl. E, Downgraded to Caa3 (sf); previously on Jun 30, 2010
Downgraded to B3 (sf)
Cl. F, Downgraded to C (sf); previously on Jun 30, 2010 Downgraded
to Caa1 (sf)
Cl. G, Downgraded to C (sf); previously on Jun 30, 2010 Downgraded
to Ca (sf)
Cl. H, Affirmed C (sf); previously on Jun 30, 2010 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Jun 30, 2010 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Jun 30, 2010 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Jun 30, 2010 Downgraded to C
(sf)
Cl. X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to
Ba3 (sf)
Ratings Rationale:
The downgrades are due to higher than expected realized and
anticipated 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, is consistent with the credit
quality of its referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of $172
million or 8.1% of the current balance. At last review, Moody's
base expected loss was $161 million or 6.3%.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated 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 principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005. The methodology used in rating Cl. X was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 30 compared to 35 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 (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 March 22, 2012.
Deal Performance
As of the February 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 31% to $2.1 billion
from $3.1 billion at securitization. The Certificates are
collateralized by 148 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
43% of the pool. Four loans, representing 2% of the pool, have
defeased and are secured by U.S. Government securities. The pool
contains two loans with investment grade credit assessments,
representing 2% of the pool.
Thirty-eight loans, representing 15% 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.
Fourteen loans have been liquidated from the pool, resulting in a
realized loss of $73.7 million (29% loss severity). Currently 12
loans, representing 12% of the pool, are in special servicing. The
largest specially serviced loan is the Louisiana Boardwalk Loan
($119.6 million -- 5.7% of the pool), which is secured by a
lifestyle center with retail, restaurants, and entertainment
situated in NW Louisiana near the border with Texas and Arkansas
near the Barksdale AFB. Foreclosure occurred in April 2011 after
the servicer and borrower were unable to reach terms for an A/B
loan modification structure. As of November 2012 the property was
80% leased, same as at last review.
The second largest specially-serviced loan is the 625 Broadway and
909 Prospect Loan ($30.7 million -- 1.5% share of the pool), which
is secured by a 193,000 square-foot (SF) office property located
in San Diego, California and a 30,000 SF mixed use property
located in La Jolla, California. The Special Servicer approved a
modification that calls for interest only payments for 34 months
in exchange for a hard lockbox with excess cash flow going into a
rollover reserve account. The borrower agreed to the modification
and will execute the modification as soon as the Master Servicer
confirms balances and payment activity.
The third largest specially-serviced loan is the Meidinger Tower
Loan ($23.5 million -- 1.1% share of the pool), which is secured
by a 331,000 SF office property located in central Louisville,
Kentucky. The loan was transferred to special servicing in January
2011 for imminent default due to the approaching July 2012 lease
expiration of the largest tenant, Mercer, which leased 44% of NRA.
Mercer vacated the property at its lease expiration however the
borrower was able to secure the renewal of the second largest
tenant (now the largest tenant) for an additional 10 year term. As
of October 2012, the property was 52% leased. The remaining nine
specially serviced properties are secured by a mix of property
types. Moody's estimates an aggregate $117.2 million loss for the
specially serviced loans (47% expected loss on average).
Moody's has assumed a high default probability for 17 poorly-
performing loans representing 7% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $25.0 million loss
(17% expected loss severity based on a 50% probability of
default).
Moody's was provided with full year 2011 and partial year 2012
operating results for 97% of the pool. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 98%
compared to 101% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 11.5% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.2%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.34X and 1.07X, respectively, compared to
1.39X and 1.03X 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 Blue Cross
Building Loan ($26.6 million -- 1.3% of the pool), which is
secured by two adjacent office buildings totaling 517,000 SF
located in Richardson, Texas. The buildings are triple-net leased
to Blue Cross Blue Shield through 2020. The loan amortizes on a
25-year schedule. Moody's credit assessment and stressed DSCR are
Baa1 and 1.47X, respectively, compared to Baa1 and 1.52X at last
review.
The second loan with a credit assessment is the Plaza Loan ($20.0
million -- 0.9% of the pool), which is secured by a 171-unit co-op
apartment building located in Ft. Lee, New Jersey. Moody's credit
assessment and stressed DSCR are Aaa and 2.0X, the same as at last
review.
The top three performing conduit loans represent 23% of the pool
balance. The largest conduit loan is the Galileo NXL Retail
Portfolio and Westminster City Center Loan ($255 million -- 12.1%
of the pool), which is secured by the fee and leasehold interests
in a portfolio of 19 anchored community shopping centers totaling
3.1 million SF and the Westminster City Center, a 342,000 SF
anchored community center located in Denver, Colorado. The
properties are cross-collateralized and cross-defaulted and
located across 14 states. As of September 2012, the Galileo NXL
Retail Portfolio was 91% leased compared to 90% at last review
while Westminster City Center was 83% leased compared to 87% at
last review. Moody's LTV and stressed DSCR are 109% and 0.87X,
respectively, compared to 126% and 0.88X at last review.
The second largest loan is the Ashford Hotel Portfolio Loan
($152.2 million -- 7.2% of the pool), which is secured by a
portfolio of ten cross-collateralized and cross-defaulted hotel
properties totaling 1,703 guestrooms located across seven states
including Florida (42% of the allocated balance), California (14%)
and Minnesota (12%). Financial performance has improved since the
last review as occupancy rose along with higher ADR across the
portfolio. Moody's LTV and stressed DSCR are 101% and 1.21X,
respectively, compared to 104% and 1.13X at last review.
The third largest loan is the 1201 North Market Street (previously
Chase Manhattan Centre) Loan ($86.3 million -- 4.1% of the pool),
which is secured by a 22-story Class A office property located in
Wilmington, Delaware. The property is the tallest building in the
state of Delaware. As of September 2012, the property was 80%
leased. Moody's LTV and stressed DSCR is 107% and 0.93X,
respectively, compared to 109% and 0.92X at last review.
MERRILL LYNCH 2008-Ca1 Fitch Affirms 'D' Rating on Class S Certs
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 25 classes of
Merrill Lynch Mortgage Trust series 2008-C1, commercial mortgage
pass-through certificates.
KEY RATING DRIVERS
The downgrade to the already distressed class is a result of
incurred losses and a decrease in credit enhancement. The
affirmations are due to sufficient credit enhancements relative to
modeled losses.
Fitch modeled losses of 5.1% of the remaining pool; expected
losses on the original pool balance total 6.1%, including losses
already incurred. The pool has experienced $19.4 million (2% of
the original pool balance) in realized losses to date. Fitch has
designated 26 loans (24.3%) as Fitch Loans of Concern, which
includes one specially serviced loan (2.5%).
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 20% to $758.6 million from
$948.8 million at issuance. Per the servicer reporting, one loan
(0.2% of the pool) has been defeased since issuance. Interest
shortfalls are currently affecting classes P through T.
The largest contributor to expected losses is the specially-
serviced 2550 North Hollywood Way loan (2.5% of the pool), which
is secured by a six-story, 88,063 square foot (sf) office building
located in Burbank, CA. The loan transferred to special servicer
in November 2011 for monetary default. The special servicer
reports that the borrower continues to submit net cash flow on a
monthly basis and is now next due for September 2012 remittance
payment. The servicer has been moving forward with foreclosure
while the borrower has been marketing the property for sale. The
special servicer reports that the property is 49.5% occupied.
The next largest contributor to expected losses is the Heritage
Financial Center loan (1.5%), which is secured by a 61,163-sf
suburban office building in Agoura Hills, CA, in northwest Los
Angeles County. The loan was previously with the special servicer
for monetary default. The loan was brought current on payments and
a modification was given for a 12-month extension on interest-only
payments that expires in June 2013. The master servicer reported
occupancy and net operating income (NOI) debt service coverage
ratio (DSCR) was 97.3% and 1.15x, respectively. As per the
property's September 2012 rent roll, there is a 50.1% rollover
risk in 2014.
The third largest contributor to expected losses is the Park Creek
Apartments loan (1.6%), which is secured by a 200-unit multifamily
complex located in Gainesville, GA. The property has suffered from
poor performance over the last couple of years due to local market
conditions and increased competition. The servicer reported
occupancy and DSCR was 78% and 0.99x, respectively, as of year-end
2012. As of the March 2013 remittance date, the loan is 30 days
delinquent.
RATINGS SENSITIVITIES
The Rating Outlooks of the remaining investment grade classes are
Stable. The distressed classes (those rated below 'B') are
expected to be subject to further rating actions should realized
losses be greater or less than Fitch's expectations. The Outlook
for classes G and H, rated 'BB' and 'B', respectively, remain
Negative due to the potential losses that could further
deteriorate their credit enhancements.
Fitch downgrades these following class as indicated:
-- $8.3 million class L to 'CCsf' from 'CCCsf', RE 0%.
Fitch affirms the following class but revises the RE as indicated:
-- $ 11.9 million class J at 'CCCsf', RE 85%.
Fitch affirms the following classes as indicated:
-- $46.5 million class A-3 at 'AAAsf', Outlook Stable;
-- $29.3 million class A-SB at 'AAAsf', Outlook Stable;
-- $326.4 million class A4 at 'AAAsf', Outlook Stable;
-- $42.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $49 million class A-1AF at 'AAAsf', Outlook Stable;
-- $71.2 million class AM at 'AAAsf', Outlook Stable;
-- $6.3 million class AM-A at 'AAAsf', Outlook Stable;
-- $17.5 million class AM-AF at 'AAAsf', Outlook Stable;
-- $41.8 million class AJ at 'AAsf', Outlook Stable;
-- $3.7 million class AJ-A at 'AAsf', Outlook Stable;
-- $10.3 million class AJ-AF at 'AAsf', Outlook Stable;
-- $10.7 million class B at 'Asf', Outlook Stable;
-- $11.9 million class C at 'Asf', Outlook Stable;
-- $8.3 million class D at 'BBBsf', Outlook Stable;
-- $8.3 million class E at 'BBB-sf', Outlook Stable;
-- $9.5 million class F at 'BBsf', Outlook Stable;
-- $9.5 million class G at 'BBsf', Outlook Negative;
-- $10.7 million class H at 'Bsf', Outlook Negative;
-- $10.7 million class K at 'CCCsf', RE 0%;
-- $3.6 million class M at 'CCsf', RE 0%;
-- $3.6 million class N at 'Csf', RE 0%;
-- $3.6 million class P at 'Csf', RE 0%;
-- $2.4 million class Q at 'Csf', RE 0%;
-- $2 million class S at 'Dsf', RE 0%.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class T certificates. Fitch previously withdrew the
rating on the interest-only class X certificates.
MIDWEST FAMILY 2006: Moody's Reviews Ratings for Possible Upgrade
-----------------------------------------------------------------
Moody's Investors Service has placed the Baa2 Class I; Ba2 Class
II; B2 Class III; & B2 Class IV ratings on Midwest Family Housing
LLC Military Housing Taxable Revenue Bonds (Navy Midwest Housing
Privatization Project) 2006 Series A under review for possible
upgrade based on financial and performance information for the
project which shows continued improvement in the project's
financial position.
Rating Rationale:
The rating action is warranted based on financial information for
the project which shows continued solid asset to debt ratio for
all classes of debt as well good occupancy rates for the project
and solid 2013 basic allowance for housing (BAH) increases.
Strengths:
- Strong financial performance, demonstrated by audited
financial for fiscal year 2011 along with the 2012 & 2013
project budgets, provides sufficient margins of protection
against adverse economic conditions.
- Funds in the Construction Fund are available to pay debt
service through the end of IDP.
- Experienced ownership and management team.
- Solid BAH increase.
Challenges:
- The deterioration of the credit quality of the debt service
reserve fund/surety provider (CIFG not rated).
- Construction completion is highly dependent on the sale of
several parcels of land.
What Could Result In An Upgrade
- Demonstrated solid debt service coverage in the 2012 audit.
- Continued strong occupancy level.
What Could Result In A Rating Confirmation
- Debt service coverage ratios as of 2012 audit which do not
demonstrate stability.
- Evidence of weakness in project performance.
Principal Methodology Used
The principal methodology used in this rating was Global Housing
Projects published in July 2010.
MORGAN STANLEY 1999-RM1: Moody's Keeps Caa1 Rating on Cl. X Certs
-----------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
affirmed three classes of Morgan Stanley Mortgage Capital I Inc.,
Commercial Mortgage Pass-Through Certificates, Series 1999-RM1 as
follows:
Cl. L, Upgraded to A1 (sf); previously on Mar 15, 2012 Upgraded to
Baa1 (sf)
Cl. M, Affirmed B1 (sf); previously on Mar 23, 2011 Upgraded to B1
(sf)
Cl. N, Affirmed Caa3 (sf); previously on Jul 9, 2009 Downgraded to
Caa3 (sf)
Cl. X, Affirmed Caa1 (sf); previously on Feb 22, 2012 Downgraded
to Caa1 (sf)
Ratings Rationale:
The upgrade is due to increased credit support as the result of
paydowns from amortization and loan payoffs and overall stable
pool performance. The affirmations of Class M 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. Classes N is
consistent with Moody's base expected loss and is thus affirmed.
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, is
consistent with the expected credit performance of its referenced
classes and thus is affirmed.
Moody's rating action reflects a cumulative base expected loss of
1.5% of the current balance compared to 2.4% at prior review.
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 central global macroeconomic scenario calls for US GPD
growth for 2013 that is likely to remain close to 2% as the
greater impetus from the US private sector is likely to broadly
offset the drag on activity from more restrictive fiscal policy.
Thereafter, Moody's expects the US economy to expand at a somewhat
faster pace than is likely this year, closer to its long-run
average pace of growth. Risks to Moody's forecasts remain skewed
to the downside despite recent positive developments. Moody's
believes that the three most immediate risks are: i) the risk of a
deeper than currently expected recession in the euro area
accompanied by deeper credit contraction, potentially triggered by
a further intensification of the sovereign debt crisis; ii)
slower-than-expected recovery in major emerging markets following
the recent slowdown; and iii) an escalation of geopolitical
tensions, resulting in adverse economic developments
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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Class X was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 12 compared to 13 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 (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 March 15, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $40.0
million from $859.4 million at securitization. Based on this most
recent remittance statement, the Certificates are collateralized
by 23 mortgage loans ranging in size from less than 1% to 15% of
the pool, with the top ten non-defeased loans representing 64% of
the pool. One loan, Arbor of Wooster Apartments, paid off on
February 21, 2013 and will be reflected in next month's remittance
statement. Three loans, representing 21% of the pool, have
defeased and are secured by U.S. Government securities.
Thirteen loans, representing 53% 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.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $14.4 million (26% loss severity on
average). There are currently no loans in special servicing.
Moody's has assumed a high default probability for one poorly
performing loan representing 4% of the pool and has estimated a
$213,000 loss (15% expected loss based on a 50% probability
default) from this troubled loan.
Moody's was provided with full year 2011 and partial year 2012
operating results for 81% and 65%, respectively, of the pool.
Excluding the troubled loan, Moody's weighted average LTV is 51%
compared to 55% 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 10%.
Excluding the troubled loan, Moody's actual and stressed DSCRs are
1.45X and 2.38X, respectively, compared to 1.44X and 2.20X at
prior 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 31% of the pool. The largest
loan is the Green Ridge Heights Apartments loan ($5.2 million --
13% of the pool), which is secured by a 309 unit apartment complex
located in Cleveland, Ohio. The property was 95% leased as of
September 2012, compared to 90% at prior review. Performance has
remained stable and the loan has benefited from amortization.
Moody's LTV and stressed DSCR are 70% and 1.48X, respectively,
compared to 74% and 1.39X at prior review.
The second largest loan is the Arbor of Wooster Apartments ($3.7
million - 9.3%) which paid off after the most recent remittance
date.
The third largest loan is the Minaret Village Retail and Office
Center loan ($3.5 million -- 9% of the pool), which is secured by
a 70,000 square foot retail/office center located in Mammoth
Lakes, California. The center was 96% leased as of January 2011.
This loan has benefited from scheduled amortization. Moody's LTV
and stressed DSCR are 40% and 2.82X, respectively, compared to 42%
and 2.74X at prior review.
MORGAN STANLEY 2003-IQ5: Moody's Affirms 'Ba2' Rating on 2 Certs
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed 12 classes of Morgan Stanley Capital I, Inc. Commercial
Mortgage Pass-Through Certificates, Series 2003-IQ5 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Mar 19, 2007 Upgraded to
Aaa (sf)
Cl. C, Upgraded to Aa1 (sf); previously on Mar 29, 2012 Upgraded
to Aa2 (sf)
Cl. D, Upgraded to Aa3 (sf); previously on Mar 29, 2012 Upgraded
to A1 (sf)
Cl. E, Affirmed A3 (sf); previously on Mar 29, 2012 Upgraded to A3
(sf)
Cl. F, Affirmed Baa1 (sf); previously on Mar 29, 2012 Upgraded to
Baa1 (sf)
Cl. G, Affirmed Baa3 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Baa3 (sf)
Cl. H, Affirmed Ba1 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Ba1 (sf)
Cl. J, Affirmed Ba2 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Ba2 (sf)
Cl. K, Affirmed Ba3 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned Ba3 (sf)
Cl. L, Affirmed B1 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned B1 (sf)
Cl. M, Affirmed B2 (sf); previously on Oct 15, 2003 Definitive
Rating Assigned B2 (sf)
Cl. N, Affirmed Caa1 (sf); previously on Jun 9, 2010 Downgraded to
Caa1 (sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The upgrades are due to increases in credit support due to payoffs
and amortization. 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 quality of its referenced classes and thus is affirmed.
Moody's rating action reflects a base expected loss of 3.0% of the
current balance. At last review, Moody's base expected loss was
1.6%. Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated 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 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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Cl. X-1 was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10 compared to 16 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 (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 May 29, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 65% to $269 million
from $779 million at securitization. The Certificates are
collateralized by 43 mortgage loans ranging in size from less than
1% to 20% of the pool, with the top ten loans, excluding defeased
loans, representing 69% of the pool. Four loans, representing 9%
of the pool, have defeased and are collateralized with U.S.
Government securities. The pool includes one loan with an
investment grade credit assessment, representing 8% of the pool.
Twenty loans, representing 26% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
No loans have been liquidated from the pool since securitization.
There are two loans, representing 3% of the pool, currently in
special servicing. The largest specially serviced loan is the
Royal Palm Square Loan ($4.7 million -- 1.7% of the pool), which
is secured by a 145,000 square foot (SF) mixed use property
located in Fort Myers, Florida. The loan was transferred to
special servicing in May 2012 due to imminent default. The Special
Servicer and Borrower attempted to reach an agreement for the sale
of the loan to an affiliate of the Borrower however terms could
not be reached. A Receiver was appointed on February 11, 2013. The
Special Servicer is currently pursuing a dual path by moving
forward with the foreclosure process and marketing the Note for
sale. As of October 2012, the property was 64% leased.
The second largest specially-serviced loan is the Howard Business
Loan ($2.6 million -- 1.0% share of the pool), which is secured by
a 64,000 SF industrial property located in Elkridge, Maryland. The
loan was transferred to special servicing in January 2013 due to
maturity default. As of November 2012, the property was 75% leased
as compared to 100% at last review.
Moody's has assumed a high default probability for two poorly-
performing loans representing 7% of the pool. Moody's analysis
attributes an aggregate $4.6 million loss (20% expected loss
severity overall) to the specially serviced and troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 95% and 50% of the pool, respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 73% compared to 70% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 12.9%
to the most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 10.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.43X and 1.53X, respectively, compared to
1.70X and 1.71X 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 a credit assessment is the Three Times Square Loan
($22.4 million -- 8.3% of the pool), which represents a 21% pari
passu interest in a $107 million loan. The property is also
encumbered by a subordinate B-note totaling $94.8 million which is
held outside the trust. The loan is secured by an 884,000 SF Class
A office building located in the Times Square office submarket of
midtown Manhattan. The property remains 99% leased, the same as at
last review. The building's largest tenants are Reuters Group (79%
of the net rentable area (NRA) and lease expiration November 2021)
and Bank of Montreal (12% of NRA and lease expiration November
2021). The loan is fully amortizing and has amortized 36% since
securitization. The loan matures on November 15, 2021. Moody's
current credit assessment and stressed DSCR are Aaa and 3.75X,
respectively, compared to Aaa and 3.42X at Moody's last review.
The top three conduit loans represent 40% of the pool balance. The
largest conduit loan is the Two Commerce Square Loan ($53.3
million -- 19.8% of the pool), which represents a 50% pari passu
interest in a $107 million loan. The property is also encumbered
by a $77 million subordinate B note held outside of the trust. The
loan is secured by a 40-story, 953,000 SF Class A office building
located in the Center City office submarket of Philadelphia,
Pennsylvania. The property was 88% leased as of September 2012
compared to 86% at last review. The largest tenants are Price
Waterhouse Coopers LLP (23% of NRA and lease expiration April
2015) and Reliance Standard Life Insurance (13% of NRA and lease
expiration December 2015). The loan matures May 15, 2013. Moody's
LTV and stressed DSCR are 89% and 1.09X, respectively, compared to
85% and 1.15x at last review.
The second largest loan is the Plaza America Office Towers III &
IV ($36.5 million -- 13.5% of the pool), which represents a 50%
pari passu interest in a $72.9 million loan. The loan is secured
by two Class A office buildings located in Reston, Virginia
totaling 473,000 SF. The property was 100% leased as of September
2012, the same as at last review. This loan has amortized 14%
since securitization. Moody's LTV and stressed DSCR are 69% and
1.50X, respectively, compared to 71% and 1.45X, at last review.
The third largest loan is the Otay Mesa Distribution Building Loan
($17.1 million - 6.4% of the pool), which is secured by a 600,000
SF industrial property located in Otay Mesa, California. The
property is solely occupied by Factory 2-U Stores, a discount
retailer, through July 2015. Moody's performed a "Lit/Dark"
analysis for this loan. The loan matures August 15, 2013 and has
amortized 15% securitization. Moody's LTV and stressed DSCR are
86% and 1.16X, respectively, compared to 65% and 1.55X at last
review.
MORGAN STANLEY 2005-HQ6: Fitch Keeps 'C' Ratings on 4 Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed 23 classes of Morgan Stanley Capital I
Trust series 2005-HQ6, commercial mortgage pass-through
certificates.
Key Rating Drivers
Fitch modeled losses of 8.2% of the remaining pool; expected
losses on the original pool balance total 8.6%, including losses
already incurred. The pool has experienced $61.4 million (2.2% of
the original pool balance) in realized losses to date. Fitch has
designated 77 loans (29.1%) as Fitch Loans of Concern, which
includes 10 specially serviced assets (6.5%).
Rating Sensitivities
As the transaction pays down and performance continues to
stabilize, including the improving performance of the top five
loans, affirmations of the senior classes are expected. If
underperforming and specially serviced assets have lower than
expected recoveries, downgrades to subordinate classes are likely.
As of the February 2013 distribution date, the pool's aggregate
principal balance has been reduced by 22.2% to $2.14 billion from
$2.75 billion at issuance. Per the servicer reporting, nine loans
(5.3% of the pool) have defeased since issuance. Interest
shortfalls of approximately $10.9 million are currently affecting
classes J through S.
The largest contributor to modeled losses is the specially-
serviced Oviedo Marketplace loan (2.3% of the pool), which is
secured by approximately 435,000 square feet (sf) of a 953,000
square foot regional mall located in Oviedo, FL, approximately 15
miles northeast of Orlando. The loan was transferred to special
servicing in April 2009 when the loan's original sponsor, General
Growth Properties, included the property in its bankruptcy filing.
The most recent servicer reports indicated a collateral occupancy
of less than 60%.
The next largest contributor to modeled losses is the Skyline
Industrial loan (1.1%), which is secured by the Skyline Industrial
Building II & III, totaling approximately 930,100 sf located in
Mesquite, Texas. The servicer reported third-quarter 2012
occupancy was 57% with a debt service coverage ratio (DSCR) of
0.41 times (x).
Fitch affirms these classes and revises Rating Outlooks as
indicated:
-- $24.1 million class B at 'BBBsf'; Outlook to Stable from
Negative;
-- $34.4 million class C at 'BBB-sf'; Outlook to Stable from
Negative.
Fitch affirms the following classes as indicated:
-- $171.1 million class A-1A at 'AAAsf'; Outlook Stable;
-- $74.5 million class A-2A at 'AAAsf'; Outlook Stable;
-- $42.1 million class A-2B at 'AAAsf'; Outlook Stable;
-- $49.3 million class A-AB at 'AAAsf'; Outlook Stable;
-- $103 million class A-3 at 'AAAsf'; Outlook Stable;
-- $1.1 billion class A-4A at 'AAAsf'; Outlook Stable;
-- $151.5 million class A-4B at 'AAAsf'; Outlook Stable;
-- $175.6 million class A-J at 'Asf'; Outlook Stable;
-- $27.5 million class D at 'BBsf'; Outlook Negative;
-- $24.1 million class E at 'Bsf'; Outlook Negative;
-- $27.5 million class F at 'CCCsf'; RE 100%;
-- $27.5 million class G at 'CCCsf'; RE 50%;
-- $34.4 million class H at 'CCCsf'; RE 0%;
-- $31 million class J at 'CCCsf'; RE 0%;
-- $41.3 million class K at 'CCsf'; RE 0%;
-- $10.3 million class L at 'Csf'; RE 0%;
-- $10.3 million class M at 'Csf'; RE 0%;
-- $17.2 million class N at 'Csf'; RE 0%;
-- $3.4 million class O at 'Csf'; RE 0%;
-- $614,158 class P at 'Dsf'; RE 0%.
The fully depleted class Q remains at 'Dsf'; RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class S certificates. Fitch previously withdrew the ratings on
the interest-only class X-1 and X-2 certificates.
MORGAN STANLEY 2005-HQ7: S&P Cuts Rating on Class K Notes to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Class K
from Morgan Stanley Capital I Trust 2005-HQ7, a U.S. commercial
mortgage-backed securities (CMBS) transaction, to 'D (sf)' from
'CCC (sf)'.
S&P lowered its rating on the Class K certificates to 'D (sf)'
because of principal losses resulting from the liquidation of one
asset that was with the special servicer, C-III Asset Management
LLC. According to the March 14, 2013, remittance report, the
trust experienced $1.6 million in principal losses upon the recent
disposition of the Sovereign Best Western Hotel asset. The Class
L notes experienced a loss of 100% of their beginning principal
balance. S&P previously lowered its rating on Class L to 'D
(sf)'.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
Rating Lowered
To From
Morgan Stanley Capital I Trust 2005-HQ7
Class K D (sf) CCC (sf)
MORGAN STANLEY 2012-C4: Moody's Keeps Ratings on 13 CMBS Classes
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes of
Morgan Stanley Capital I Trust 2012-C4 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on April 2, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on April 2, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on April 2, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on April 2, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on April 2, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on April 2, 2012 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on April 2, 2012 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on April 2, 2012 Definitive
Rating Assigned Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on April 2, 2012 Definitive
Rating Assigned Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on April 2, 2012 Definitive
Rating Assigned Ba2 (sf)
Cl. G, Affirmed B2 (sf); previously on April 2, 2012 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on April 2, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on April 2, 2012 Definitive
Rating Assigned Ba3 (sf)
Ratings Rationale:
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The ratings of the IO Classes, Classes X-A and X-B, are consistent
with the expected credit performance of their referenced classes
and thus are affirmed.
Moody's rating action reflects a base expected loss of 1.9% of the
current balance. This is the first full review since
securitization. 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 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 CMBS Large Loan/Single
Borrower Transactions" published in July 2000. The methodology
used in rating Classes X-A and X-B was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes the IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, which is the same as at securitization.
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 (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
review is summarized in a Pre-Sale Report dated March 7, 2012.
Deal Performance
As of the February 25, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by less than 1% to
$1.09 billion from $1.10 billion at securitization. The
Certificates are collateralized by 38 mortgage loans ranging in
size from less than 1% to 12% of the pool, with the top ten loans
representing 80% of the pool. The pool contains three loans with
investment grade credit assessments, representing 22% of the pool.
Currently, there are no loans on the master servicer's watchlist
or in special servicing.
Moody's was provided with full year 2011 and partial 2012
operating results for 5% and 89%, respectively, of the pool's
loans. Moody's weighted average LTV is 95% compared to 97% at
securitization. Moody's net cash flow reflects a weighted average
haircut of 11% to the most recently available full year net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.6%.
Moody's actual and stressed DSCRs are 1.45X and 1.10X,
respectively, compared to 1.44X and 1.08X 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 largest loan with a credit assessment is the Ty Warner Hotels
& Resorts Portfolio ($98.8 million -- 9.1% of the pool), which is
secured by three luxury hotels and resorts. The portfolio includes
the Four Seasons Resort "The Biltmore" Santa Barbara located in
Santa Barbara, CA; the San Ysidro Ranch located in Montecito, CA;
and Las Ventanas al Paraiso located in San Jose del Cabo, Mexico
totaling 319 guestrooms. Since acquiring the hotels between 2000
and 2004, the sponsor has completed approximately $391 million of
capital expenditures ($1.2 million/key). The sponsor incurred
mezzanine debt of $80 million, secured by equity in the Ty Warner
Hotels & Resorts Portfolio. Moody's accounted for this additional
debt in its analysis. Moody's credit assessment and stressed DSCR
are Baa1 and 1.92X, respectively, essentially the same as at
securitization.
The second loan with a credit assessment is the 50 Central Park
South loan ($75.0 million -- 6.9% of the pool), which is secured
by a first priority fee mortgage encumbering the commercial
condominium unit consisting of floors 2-21 and portions of the
ground level, basement and sub-basement levels of the building and
the land upon which it is situated at 50 Central Park South, New
York, New York. The improvements on top of collateral property
currently operate as the Ritz-Carlton, Central Park, a 259 room
luxury hotel. The collateral property is leased pursuant to a net
lease to MPE Hotel I (New York) LLC, an affiliate of the 50
Central Park South Borrower through October 31, 2075. Moody's
credit assessment is Aaa, the same as at securitization.
The last loan with a credit assessment is the ELS - Manufactured
Housing Portfolio ($63.8 million -- 5.9% of the pool), which is
secured by a seven manufactured housing communities and one
recreational vehicle park located in Florida, Nevada, Virginia,
Arizona, California and Massachusetts. Each property provides a
variety of amenities including swimming pools and spas,
clubhouses, exercise equipment and laundry facilities. Four of the
eight properties restrict tenancy to occupants that are 55 years
of age or older. The loan has seven months remaining on the
interest-only period, after which it will begin to amortize on 360
month schedule. Moody's credit assessment and stressed DSCR are A2
and 1.70X, respectively, the same as at securitization.
The top three performing conduit loans represent 24% of the pool
balance. The largest loan is The Shoppes at Buckland Hills Loan
($128.4 million -- 11.8% of the pool), which is secured by 535,235
SF of net rentable area contained within a 1,047,846 SF regional
mall located in Manchester, Connecticut. The property was
constructed in 1990 and renovated in 2003. Non-collateral, tenant-
owned anchors include Macy's, Sears, JC Penney, and Macy's Men's &
Home. The property is owned by General Growth Properties. Moody's
LTV and stressed DSCR are 106% and 0.94X, respectively, compared
to 108% and 0.93X at securitization.
The second largest conduit loan is Capital City Mall Loan ($64.9
million -- 6.0% of the pool), which is secured by 488,769 SF of
net rentable area contained within a 608,679 SF regional mall
located in Lower Allen Township, Pennsylvania. The property was
constructed in 1979 and renovated in 2005. The mall is anchored by
J.C. Penney, Sears and Macy's, which is not part of the
collateral. The 46,158 SF unit currently leased to Toys 'R' Us is
vacant. The tenant is expected to pay rent through its scheduled
January 2015 lease expiration date. Moody's accounted for this
anticipated "dark" space in its analysis. The property was 97%
leased as of year-end 2012, where it's historically been since
2007. The occupancy excluding the dark space was 87%. Moody's LTV
and stressed DSCR are 95% and 1.06X, respectively, compared to 96%
and 1.05X at securitization.
The third largest loan conduit loan is 9 MetroTech Center Loan
($61.9 million -- 5.7% of the pool), which is secured by a 9-
story, Class A office building containing 316,942 SF of net
rentable area located in Brooklyn, New York. It is one of seven
Class A buildings situated within the MetroTech Center, all of
which are owned by the Sponsor. The property was built in 1996 and
has a two level parking structure containing 137 parking spaces.
The building is 100% leased to the Fire Department of New York
"FDNY" and serves as its main tracking terminal. Since the
improvement is situated on New York City owned land, the property
is exempt from paying real estate taxes. Instead, the property is
obligated to make payments in lieu of taxes (PILOT), under which
the sponsor was responsible for payments equivalent to real estate
taxes on land only during years 1 to 13 (measured from 1996 -
2009). Subsequent to this period, the PILOT payments began to
phase in 10% of the improvement's tax obligations per annum. The
property will be obligated to pay full taxes on both land and
improvements by 2019. Moody's accounted for the PILOT structure in
its analysis. Moody's LTV and stressed DSCR are 100% and 1.00X,
respectively, compared to 102% and 0.98X at securitization.
NOMURA ASSET 1998-D6: Moody's Cuts Rating on Cl. PS-1 CMBS to 'B3'
------------------------------------------------------------------
Moody's Investors Service downgraded the rating of one class and
affirmed one class of Nomura Asset Securities Corporation,
Commercial Mortgage Pass-Through Certificates, Series 1998-D6 as
follows:
Cl. A-5, Affirmed Aaa (sf); previously on Sep 11, 2008 Upgraded
to Aaa (sf)
Cl. PS-1, Downgraded to B3 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale:
The affirmation 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 level for the affirmed class is sufficient
to maintain its current rating.
The downgrade of the interest-only class, Class PS-1, is due to
the decline in credit performance of its reference classes as a
result of principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 1.8% of the
current balance. At last review, Moody's base expected loss was
2.3%. Moody's base expected loss plus realized losses is now 2.5%
of the original pooled balance compared to 2.9% at last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated 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 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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Class PS-1 was "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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10 compared to 21 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 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.
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 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 (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 March 28, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $347.5
million from $3.7 billion at securitization. The Certificates are
collateralized by 47 mortgage loans ranging in size from less than
1% to 14% of the pool, with the top ten non-defeased loans
representing 41% of the pool. Thirteen loans, representing 42% of
the pool, have defeased and are secured by U.S. Government
securities. Five loans representing 7% of the pool are secured by
credit tenant lease (CTL) loans.
Nineteen loans, representing 38% 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 nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $87.5 million (42% loss severity on
average). There are no loans currently in special servicing.
Moody's has assumed a high default probability for one poorly
performing loans representing less than 1% of the pool and has
estimated a $0.8 million loss (30% expected loss) from this
troubled loan.
Moody's was provided with full year 2011 and partial year 2012
operating results for 97% and 79% of the pool's non-defeased
loans, respectively. Excluding the troubled loan, Moody's weighted
average LTV is 64% compared to 62% 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 10.0%.
Excluding the troubled loan, Moody's actual and stressed DSCRs are
1.36X and 1.90X, respectively, compared to 1.47X and 2.01X at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The top three loans represent 23% of the pool. The largest loan is
the Forest City Atlantic Loan ($48.3 million -- 13.9% of the
pool), which is secured by a 395,000 square foot (SF) retail
center located in Brooklyn, New York. Tenants include Macy's,
Pathmark and Best Buy. The property was 95% leased as of September
2012, the same as last review. The property's performance has
increased significantly due to an increase in rental revenue. The
loan has an upcoming anticipated repayment date (ARD) of April
2013. Moody's LTV and stressed DSCR are 63% and 1.62X,
respectively, compared to 82% and 1.26X at last review.
The second largest loan is the Schostak Northville Loan ($19.6
million -- 5.7% of the pool), which is secured by two contiguous
shopping centers totaling approximately 318,000 SF located in
Utica, Michigan. The loan was modified in August 2010 and split
into a $15.0 million A-Note and $4.6 million Hope Note.
Additionally, the loan maturity date was extended to March 2015
and the loan is interest only for the remainder of its term. Major
tenants include Dick's Sporting Goods, Salvation Army, PetSmart
and Planet Fitness (which opened in March 2012). The property was
79% leased as of November 2012. Moody's LTV and stressed DSCR are
109% and 0.99X, respectively, compared to 112% and 1.26X at last
review.
The third largest loan is the Piercey/Westport on the River Loan
($12.9 million -- 3.7% of the pool), which is secured by a 682
unit multifamily property located in Tulsa, Oklahoma. As of
December 2012, the property was 78% leased and there are currently
just over 40 down units due to ongoing repairs at three of the
buildings. The loan has passed its ARD of January 2013. Moody's
LTV and stressed DSCR are 66% and 1.55X, respectively, compared to
62% and 1.66X at last review.
The CTL component includes five loans secured by properties leased
under bondable leases. Moody's provides ratings for 16% of the CTL
component and has updated its internal credit estimate for the
remainder of the CTL credits. The two exposures are CarMax (84% of
the CTL component, unrated by Moody's) and Burlington Coat Factory
(16%; Moody's senior unsecured rating Caa1, stable outlook).
OCP CLO 2013-3: S&P Assigns Preliminary BB Rating to Class D Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to OCP CLO 2013-3 Ltd./OCP CLO 2013-3 Corp.'s $459 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 March 21,
2013. 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 including excess spread).
-- The cash flow structure, which can withstand the default
rate projected by Standard & Poor's CDO Evaluator model, as
assessed by Standard & Poor's using the assumptions and
methods outlined in its corporate collateralized debt
obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections of 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 0.2600%-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 during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying uncapped administrative expenses,
incentive management fees, and subordinated note payments)
to principal proceeds for the purchase of additional
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/1413.pdf
PRELIMINARY RATINGS ASSIGNED
OCP CLO 2013-3 Ltd./OCP CLO 2013-3 Corp.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 311.500
A-2 AA (sf) 56.500
B A (sf) 39.500
C (deferrable) BBB (sf) 26.000
D (deferrable) BB (sf) 25.500
Subordinated notes NR 52.100
NR-Not rated.
OZLM FUNDING: S&P Affirms 'BB' Rating on Class D Notes
------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on OZLM
Funding Ltd./OZLM Funding LLC's $459 million floating-rate notes
following the transaction's effective date as of Dec. 1, 2012.
Most U.S. cash flow collateralized loan 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.
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to them.
S&P believes 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.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect S&P's assumptions about
the transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"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 S&P's published effective date report, it discusses its
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, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its 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 it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
OZLM Funding Ltd./OZLM Funding LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 322.80
A-2 AA (sf) 58.00
B (deferrable) A (sf) 37.50
C (deferrable) BBB (sf) 19.10
D (deferrable) BB (sf) 21.60
PACIFIC SHORES: Fitch Affirms 'C(sf)' Rating on $16MM Cl. C Notes
-----------------------------------------------------------------
Fitch Ratings has upgraded one and affirmed the ratings on three
classes of notes issued by Pacific Shores CDO, Ltd./Inc., as:
-- $33,077,781 class A notes upgraded to 'Asf' from 'BBsf';
remains on Outlook Stable;
-- $96,000,000 class B-1 notes affirmed at 'CCsf';
-- $16,000,000 class B-2 notes affirmed at 'CCsf';
-- $26,410,442 class C 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, as
described below, to conclude the rating affirmations for the rated
notes.
Key Rating Drivers
The class A notes have been upgraded due to the continued
amortization offsetting credit deterioration of the underlying
collateral. Since the last rating action in March 2012, the notes
received approximately $38.1 million, or 53.5% of its previous
balance through principal redemptions and excess spread as a
result of a failing class A/B coverage test. The upgrade to the
notes is in line with improved breakeven levels from the cash flow
model.
Fitch has maintained the Outlook Stable to reflect cushions in the
cash flow modeling results that should mitigate potential further
deterioration in the portfolio.
The credit enhancement levels (CE) for the class B-1 and B-2
(together, class B) and C notes are exceeded by the level of
losses corresponding to the SF PCM 'CCCsf' rating level. For these
classes, Fitch compared their respective CE levels to the expected
losses from distressed and defaulted assets in the portfolio
(rated 'CCsf' or lower). This comparison indicates that default
continues to appear probable for the class B notes and inevitable
for the class C notes.
Rating Sensitivities
Further negative migration and defaults beyond those projected by
SF PCM as well as increasing concentration in assets of a weaker
credit quality could lead to downgrades.
Pacific Shores is a cash flow structured finance collateralized
debt obligation (SF CDO) that closed on June 27, 2002 and is
managed by Pacific Investment Management Co. The portfolio is
comprised of 67.6% residential mortgage-backed securities, 16.7%
corporate debt, 12.0% commercial and consumer asset-backed
securities, 3.0% commercial mortgage-backed securities, and 0.7%
SF CDOs from primarily 1995 through 2004 vintage transactions.
PREFERREDPLUS QWS-1: Moody's Cuts Rating on $40MM Certs to 'Ba1'
----------------------------------------------------------------
Moody's Investors Service downgraded the rating of the following
certificates issued by PREFERREDPLUS Trust Series QWS-1:
$40,000,000 PREFERREDPLUS 7.75% Trust Certificates; Downgraded
to Ba1; previously on February 15, 2013 Baa3 Placed Under Review
for Possible Downgrade
Ratings Rationale:
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $40,000,000 7.75% Notes due 2031("Underlying
Securities") issued by Qwest Capital Funding, Inc. whose Baa3
rating was downgraded by Moody's on March 14, 2013.
The principal methodology used in this rating 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 rating is a pass-through of the rating of
the Underlying Securities.
PREFERREDPLUS QWS-2: Moody's Cuts Rating on $38.7MM Certs to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service has downgraded the rating of the
following certificates issued by PREFERREDPLUS Trust Series QWS-2:
$38,750,000 PREFERREDPLUS 8.00% Trust Certificates; Downgraded
to Ba1; previously on February 15, 2013 Baa3 Placed Under Review
for Possible Downgrade
The transaction is a structured note whose rating is based on the
rating of the Underlying Securities and the legal structure of the
transaction. The rating action is a result of the change of the
rating of $40,000,000 7.75% Notes due 2031 ("Underlying
Securities") issued by Qwest Capital Funding, Inc. which were
downgraded by Moody's March 14, 2013.
The principal methodology used in this rating 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 rating is a pass-through of the rating of
the Underlying Securities.
PRUDENTIAL SECURITIES 1999-C2: Moody's Affirms C Rating on N Certs
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Moody's Investors Service affirmed the ratings of three classes of
Prudential Securities Secured Financing, Commercial Mortgage Pass-
Through Certificates, Series 1999-C2 as follows:
Cl. A-EC, Affirmed Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. A-EC2, Affirmed Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. N, Affirmed C (sf); previously on May 26, 2010 Downgraded to C
(sf)
Ratings Rationale:
The rating of the principal bond is consistent with Moody's base
expected loss and is thus affirmed. The ratings of the IO Classes,
A-EC and A-EC2, are consistent with the expected credit
performance of their referenced classes and thus are affirmed.
Moody's rating action reflects a base expected loss of 7.9% of the
current pooled balance compared to 5.7% at last review. Moody's
based expected loss plus realized losses is now 2.3% of the
original pooled balance compared to 2.2% at last review.
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 given the weak pace of
recovery and commercial real estate property markets. Commercial
real estate property values are continuing to move in a modestly
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 nine straight
quarters of growth and the multifamily sector continues to show
increases in demand with a growing renter base and declining home
ownership. Recovery in the office sector continues at a measured
pace 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 internet sales
growth. 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 calls for US GDP
growth for 2013 that is likely to remain close to 2% as the
greater impetus from the US private sector is likely to broadly
offset the drag on activity from more restrictive fiscal policy.
Thereafter, Moody's expects the US economy to expand at a somewhat
faster pace than is likely this year, closer to its long-run
average pace of growth. Risks to our forecasts remain skewed to
the downside despite recent positive developments. Moody's
believes that the three most immediate risks are: i) the risk of a
deeper than currently expected recession in the euro area
accompanied by deeper credit contraction, potentially triggered by
a further intensification of the sovereign debt crisis; ii)
slower-than-expected recovery in major emerging markets following
the recent slowdown; and iii) an escalation of geopolitical
tensions, resulting in adverse economic developments.
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 CMBS Large Loan/Single Borrower
Transactions" published in July 2000. The methodology used in
rating Cl. A-EC and A-EC2 was "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 2.62 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 our 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.
CMBS Conduit Model v 2.62 includes an IO calculator, which uses
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 14 compared to 16 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 8.6 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 March 15, 2012.
Deal Performance:
As of the February 15, 2013 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 95% to $46.5
million from $869 billion at securitization. The Certificates are
collateralized by 25 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans representing 59% of
the pool. Three loans, representing 20% of the pool, have been
defeased and are collateralized with U.S. Government Securities.
Six loans, representing 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of our
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $16 million (14% average loss
severity). Three loans, representing 12% of the pool, are
currently in special servicing. The second largest loan in the
pool and the largest specially serviced loan is the Hood River
Care Center Loan ($3.3 million -- 7% of the pool), which is
secured by a 127-bed nursing home located east of Portland, Oregon
in Hood River. The loan was transferred to special servicing in
April 2010 for maturity default. The loan's maturity date has been
modified five times since being transferred in April 2010; the new
date is in July 2013. According to the special servicer the
borrower remains current and is pursuing HUD financing to pay off
the loan. Moody's has estimated an aggregate $2.8 million loss
(51% expected loss on average) for all specially serviced loans.
Moody's has assumed a high default probability for one poorly
performing loan representing 5% of the pool and has estimated a
$446 thousand aggregate loss (20% expected loss based on a 50%
probability default) from this troubled loan.
Moody's was provided with full year 2011 and partial year 2012
operating results for 76% of the pool's non-defeased loans and
specially serviced loans. Moody's weighted average conduit LTV is
62% compared to 61% at last review. The conduit portion of the
pool excludes specially serviced, troubled and defeased loans.
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 10.2%.
Moody's actual and stressed conduit DSCRs are 1.26X and 2.43X,
respectively, compared to 1.28X and 2.25X 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 conduit loan is the Desert Star Apartments Loan ($5.6
million- 12% of the pool), which is secured by a 437-unit
apartment complex located in Phoenix, Arizona. The loan is
currently on the master servicer's watchlist due to low DSCR. The
loan has amortized 4% since last review and 36% since
securitization. Moody's LTV and stressed DSCR are 86% and 1.2X,
respectively, compared to 79% and 1.31X at last review.
The second largest conduit loan is the Lee Park Plaza Loan ($2.8
million - 6% of the pool), which is secured by a 46,000 square
foot (SF) mixed-use medical office/retail property located in
Palisades Park, New Jersey. As of September 2012, the property was
100% leased, the same since securitization. The loan has amortized
4% since last review and 32% since securitization. Moody's LTV and
stressed DSCR are 48% and 2.35X, respectively, compared to 51% and
2.23X at last review.
The third largest conduit loan is the Park Fair Mall Loan ($2.8
million - 6% of the pool), which is secured by a 200,000 SF
grocery-anchored retail property located in Des Moines, Iowa. The
property was constructed in 1956. Fareway Supermarket Stores is
the largest tenant and leases 16% of the net rentable area (NRA)
through 2024. The loan is on the watchlist for low DSCR. As of
October 2012, the property was 64% leased compared to 70% in
December 2011. The loan has amortized 6% since last review and 56%
since securitization. Moody's LTV and stressed DSCR are 61% and
1.87X, respectively, compared to 58% and 1.95X at last review.
PRUDENTIAL SECURITIES 1999-NRF1: Moody's Affirms K Certs' C Rating
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Moody's Investors Service upgraded the rating of one class and
affirmed three classes of Prudential Securities Financing
Corporation, Commercial Mortgage Pass-Through Certificates, Series
1999-NRF1 as follows:
Cl. H, Upgraded to Aa2 (sf); previously on Mar 15, 2012 Upgraded
to A1 (sf)
Cl. J, Affirmed B1 (sf); previously on Mar 15, 2012 Upgraded to
B1 (sf)
Cl. K, Affirmed C (sf); previously on Nov 4, 2010 Downgraded to
C (sf)
Cl. A-EC, Affirmed Caa3 (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale:
The upgrade is due to increased credit support from payoffs and
amortization. The deal has paid down 98% since securitization.
The affirmations of the two principal classes are due to key
parameters, including Moody's loan to value ratio, Moody's
stressed debt service coverage ratio 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 A-EC, 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 11.8% of
the current pooled balance compared to 13.6% at last review.
Moody's base expected loss plus realized losses is now 3.4% of the
original pooled balance compared to 3.5% at last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated 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.
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 CMBS Large Loan/Single
Borrower Transactions" published in July 2000. The methodology
used in rating the interest only Class A-EC was "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 2.62 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
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 7 compared to 9 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 (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 March 15, 2012.
Deal Performance:
As of the February 15, 2013 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 98% to $18.6
million from $929 million at securitization. The Certificates are
collateralized by nine mortgage loans ranging in size from less
than 4% to 19% of the pool, with the top five loans representing
75% of the pool. The are no defeased loans or loans with credit
assessments.
Four loans, representing 59% 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-three loans have been liquidated from the pool, resulting
in an aggregate realized loss of $30 million (42% average loss
severity). Two loans, representing 21% of the pool, are currently
in special servicing. The largest loan in special servicing is the
Valu-Home Plaza Loan ($2.4 million -- 13% of the pool). The loan
is secured by a 123,000 square foot (SF) anchored retail center
located in Batavia, NY. The loan was transferred to special
servicing in July 2010 for maturity default. Moody's has estimated
an aggregate $1.1 million loss (28.5% expected loss on average)
for the two specially serviced loans.
Moody's has assumed a high default probability for two poorly
performing loans representing 23% of the pool and has estimated a
$0.8 million aggregate loss (13% expected loss based on a 50%
probability default) from the two troubled loans.
Moody's was provided with full year 2011 and partial year 2012
operating results for 100% and 95% of the pool. Excluding
specially serviced and troubled loans, Moody's weighted average
conduit LTV is 62% compared to 52% at last 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 10.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed conduit DSCRs are 1.80X and 2.90X, respectively,
compared to 2.16X and 3.56X 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 51% of the pool. The
largest loan is the Hall Group Industrial Buildings Loan ($3.6
million -- 19% of the pool). The loan is secured by a 66,000 SF
flex property located in Novi, Michigan, a suburb of Detroit. The
property was 75% leased at year-end 2012 compared to 72% at year-
end 2011. Moody's analysis anticipates a decrease in occupancy
levels due to lease rollover risk. The property has 33% of the net
rentable area (NRA) expiring by the end of Q3 2013. The loan is on
the master servicer's watchlist and Moody's considers this a
troubled loan. Moody's current LTV and stressed DSCR are 135% and
0.84X, respectively, compared to 140% and 0.79X at last review.
The second largest loan is the Eagles Run Apartments Loan ($3.6
million -- 16% of the pool). The loan is secured by a 204-unit
1970's-era multifamily property in the Gresham Park section of
Atlanta, Georgia. Occupancy has improved to 70% at year-end 2012
from 61% at year-end 2011. The loan is on the master servicer's
watchlist due to low occupancy and DSCR. Moody's current LTV and
stressed DSCR are 93% and 1.1X respectively, compared to 129% and
0.8X at last review.
The third largest loan is the Pittsford Place Mall Loan ($2.4
million -- 13% of the pool). The loan is secured by a 157,000 SF
retail center located in Pittsford, New York, eight miles
southeast of Rochester. Moody's current LTV and stressed DSCR are
43% and 2.49X, respectively, compared to 49% and 2.2X at last
review.
Based on the most recent remittance statement, Classes K has
experienced cumulative interest shortfalls totaling $23,000.
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
subordinate entitlement reductions (ASERs), extraordinary trust
expenses, loan modifications that include either an interest rate
reduction or a non-accruing note component, and non-recoverability
determinations by the servicer that involve either a clawback of
previously made advances or a decision to stop making future
advances.
RENAISSANCE HOME: Moody's Reviews Ratings on 27 Tranches
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Moody's Investors Service placed 27 tranches from 16 RMBS
transactions issued by Renaissance Home Equity Loan Trust on
review for downgrade. The collateral backing these deals primarily
consist of first-lien, subprime residential mortgages.
Complete rating actions are as follows:
Issuer: Renaissance Home Equity Loan Trust 2003-1
A, Current Rating A2 (sf); previously on Jan 18, 2013 Downgraded
to A2 (sf)
Underlying Rating: Baa1 (sf) Placed Under Review for Possible
Downgrade; previously on Apr 9, 2012 Downgraded to Baa1 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Issuer: Renaissance Home Equity Loan Trust 2003-2
A, Baa1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Upgraded to Baa1 (sf)
Issuer: Renaissance Home Equity Loan Trust 2003-3
A, A2 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Downgraded to A2 (sf)
Issuer: Renaissance Home Equity Loan Trust 2004-1
AV-1, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Confirmed at A3 (sf)
AV-3, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Confirmed at A3 (sf)
Issuer: Renaissance Home Equity Loan Trust 2004-2
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 7, 2011 Confirmed at Aaa (sf)
Underlying Rating: Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Mar 7, 2011 Confirmed at Aaa (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Cl. AF-4, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Confirmed at Aa3 (sf)
Underlying Rating: Aa3 (sf) Placed Under Review for Possible
Downgrade; previously on Apr 9, 2012 Upgraded to Aa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Cl. AF-6, Current Rating A2 (sf); previously on Jan 18, 2013
Downgraded to A2 (sf)
Underlying Rating: A3 (sf) Placed Under Review for Possible
Downgrade; previously on Apr 9, 2012 Confirmed at A3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Issuer: Renaissance Home Equity Loan Trust 2004-3
Cl. AV-1, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 7, 2011 Confirmed at Aaa (sf)
Cl. AV-2B, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Mar 7, 2011 Confirmed at Aaa (sf)
Cl. AF-6, Current Rating A2 (sf); previously on Jan 18, 2013
Downgraded to A2 (sf)
Underlying Rating: Baa3 (sf) Placed Under Review for Possible
Downgrade; previously on Apr 9, 2012 Upgraded to Baa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Issuer: Renaissance Home Equity Loan Trust 2004-4
Cl. AF-4, A1 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Upgraded to A1 (sf)
Cl. AF-6, A3 (sf) Placed Under Review for Possible Downgrade;
previously on Apr 9, 2012 Upgraded to A3 (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-1
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-2
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Cl. AF-3, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Sep 4, 2012 Downgraded to Ba2 (sf)
Cl. AF-4, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 15, 2011 Downgraded to Ba3 (sf)
Cl. AF-5, Ba3 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 15, 2011 Downgraded to Ba3 (sf)
Cl. AF-6, Ba2 (sf) Placed Under Review for Possible Downgrade;
previously on Jul 15, 2011 Downgraded to Ba2 (sf)
Issuer: Renaissance Home Equity Loan Trust 2005-3
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2006-1
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2006-2
Cl. AV-2, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2006-4
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2007-1
Cl. AV-2, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2007-2
Cl. AV-2, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Issuer: Renaissance Home Equity Loan Trust 2007-3
Cl. AV-2, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Cl. AV-3, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on Aug 13, 2010 Confirmed at Aaa (sf)
Ratings Rationale:
The review actions reflect the existence of errors in the
Structured Finance Workstation (SFW) cash flow models previously
used by Moody's in rating these transactions, specifically in how
the model handles principal and interest allocation in certain
Renaissance transactions. In all but one of the impacted deals,
the cash flow model used in past rating actions incorrectly used
separate interest and principal waterfalls.
In the impacted deals all collected principal and interest is
commingled into one payment waterfall to pay all promised interest
due on bonds first, then to pay scheduled principal. With
commingling of funds even principal proceeds will be used to pay
accrued interest, which could result in reduced principal recovery
for outstanding bonds. Except for the AV and AF tranches of
Renaissance 2005-2, discussed below, the tranches being placed on
review for downgrade may suffer reduced final principal recovery
under certain loss scenarios when modeled with the correct
waterfall.
In Renaissance 2003-3, the calculation of senior and subordinate
target amount was also incorrect. This target amount is used to
determine the amount of principal that should be allocated to
seniors after the transaction steps down. In the prior model, due
to incorrect target amount calculation, senior tranches were
getting less principal allocation than specified in the deal
documents.
In Renaissance Home Equity Loan Trust 2005-2 the commingling of
funds was modeled correctly. However, in the cash flow model, the
interest payments to fixed-rate senior tranches were incorrectly
capped. In the absence of interest-rate caps more principal
collection will be directed to pay interest on the fixed-rate
seniors, reducing the final principal recovery for certain
tranches.
In addition to the tranches, Cl. AF-4 issued by Renaissance Home
Equity Loan Trust 2004-3, Class AV-2 and AV-3 from Renaissance
Home Equity Loan Trust 2006-3 and Class AV-2 from Renaissance Home
Equity Loan Trust 2006-4 are also impacted by this error and
remain on review for downgrade.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012, and "2005 -- 2008 US RMBS Surveillance
Methodology" published in July 2011.
Moody's adjusts the methodologies its current view on loan
modifications. As a result of an extension of the Home Affordable
Modification Program (HAMP) to 2013 and an increased use of
private modifications, Moody's is extending its previous view that
loan modifications will only occur through the end of 2012. It is
now assuming that the loan modifications will continue at current
levels into 2014.
These methodologies only apply 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).
For securities insured by a financial guarantor, the rating on the
securities is the higher of (i) the guarantor's financial strength
rating and (ii) the current underlying rating (i.e., absent
consideration of the guaranty) on the security. The principal
methodology used in determining the underlying rating is the same
methodology for rating securities that do not have a financial
guaranty and is as described earlier.
The primary 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 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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.
SDART 2013-2: Moody's Assigns 'Ba2' Rating to Class E Notes
-----------------------------------------------------------
Moody's Investors Service assigned definitive ratings to the notes
issued by Santander Drive Auto Receivables Trust 2013-2 (SDART
2013-2). This is the second subprime transaction of the year for
Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2013-2
Class A-1, Definitive Rating Assigned P-1 (sf)
Class A-2, Definitive Rating Assigned Aaa (sf)
Class A-3, Definitive Rating Assigned Aaa (sf)
Class B, Definitive Rating Assigned Aa1 (sf)
Class C, Definitive Rating Assigned A2 (sf)
Class D, Definitive Rating Assigned Baa2 (sf)
Class E, Definitive Rating Assigned Ba2 (sf)
Ratings Rationale:
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SCUSA as
servicer.
Moody's median cumulative net loss expectation for the 2013-2 pool
is 16.5% and the Aaa level is 50.0%. The loss expectation was
based on an analysis of SCUSA's portfolio vintage performance as
well as performance of past securitizations, and current
expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of the investment
grade rated parent, Banco Santander (Baa2/P-2). In addition, the
securitization documents include a provision that requires the
appointment of a back-up servicer in the event that the rating on
Banco Santander is downgraded below Baa3.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
The principal methodology used in this rating was Moody's Approach
to Rating U.S. Auto Loan-Backed Securities published in May 2011.
Moody's Parameter Sensitivities: If the net loss used in
determining the initial rating were changed to 19.0%, 25.5% or
29.0%, the initial model output for the Class A notes might change
from Aaa to Aa1, A1, and Baa1, respectively. If the net loss used
in determining the initial rating were changed to 16.75%, 19.5% or
22.5%, the initial model output for the Class B notes might change
from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used
in determining the initial rating were changed to 16.75%, 19.0% or
22.0%, the initial model output for the Class C notes might change
from A2 to A3, Baa3, and Ba3, respectively. If the net loss used
in determining the initial rating were changed to 16.75%, 18.5% or
23.0%, the initial model output for the Class D notes might change
from Baa2 to Baa3, Ba3, and in determining the initial rating were changed to 16.75%, 18.5% or
23.0%, the initial model output for the Class E notes might change
from Ba2 to Ba3, B3, and
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
SEAWALL 2007-2: Credit Quality Decline Cues Moody's Downgrades
--------------------------------------------------------------
Moody's has downgraded the ratings of five classes of Notes issued
by Seawall 2007-2 due to deterioration in the credit quality of
the underlying reference obligations as evidenced by the weighted
average rating factor (WARF) and the weighted average recovery
rate (WARR). The rating actions are the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation (CRE CDO Synthetic) transactions.
In addition, Moody's has corrected the rating for Cl. B. In a
March 14, 2012 press release, it incorrectly indicated that the
rating for Cl. B was affirmed at Baa1 (sf). The rating for this
class of Notes should instead have been downgraded to Baa3 (sf).
In addition to the correction, the rating for Cl. B is being
downgraded to Ba1 (sf).
Moody's rating actions are as follows:
Super Senior Notes, Downgraded to Aa1 (sf); previously on Oct 29,
2007 Assigned Aaa (sf)
Cl. A, Downgraded to Baa1 (sf); previously on Apr 22, 2011
Downgraded to A1 (sf)
Cl. B, Downgraded to Ba1 (sf); previously on Mar 14, 2012
Downgraded to Baa3 (sf)
Cl. C, Downgraded to Ba2 (sf); previously on Mar 14, 2012
Downgraded to Ba1 (sf)
Cl. X, Downgraded to Aa3 (sf); previously on Feb 22, 2012
Downgraded to Aa1 (sf)
Ratings Rationale:
Seawall 2007-2. is a static synthetic CRE CDO transaction backed
by a portfolio of commercial mortgage backed securities reference
obligations (CMBS) (100.0% of the pool balance). As of the
February 25, 2013 Trustee report, the aggregate issued Note
balance of the transaction, was $1.0 billion, the same as that at
issuance. Additionally, Class X is an interest-only ("IO")
Certificate with a notional balance that references all classes
and receives interest payments from the Underlying Class
Certificates.
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 reference obligations. Moody's modeled a bottom-dollar WARF
of 14 compared to 6 at last review. The current distribution of
Moody's rated reference obligations and assessments for non-
Moody's rated reference obligations is as follows: Aaa-Aa3 (96.0%
compared to 98.0% at last review) and A1-A3 (2.0% compared to 2.0%
at last review), and Baa1-Baa3 (2.0% compared to 0% at last
review).
Moody's modeled a WAL of 3.5 years compared to 4.4 years at last
review.
Moody's modeled a variable WARR with a mean of 73.1% compared to
74.0% at last review.
Moody's modeled a MAC of 50.9% compared to 55.9% at last review.
Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating
models, which was released on March 22, 2012.
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 ver1.1
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated Notes are particularly
sensitive to rating changes within the reference obligation pool.
Holding all other key parameters static, changing the current
ratings and credit assessments of the reference obligations by one
notch downward or by one notch upward affects the model results by
approximately 0 to 2 notches downward and 1 to 2 notch upward,
respectively.
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012. The methodology
used in rating Cl. X was "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012.
VERSAILLES ASSETS: Moody's Cuts Rating on Participation Interests
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of the following
Participation Interests:
US$127,287,454.88 Versailles Participation Interest 2009-Z1a
Notes (current outstanding balance of $108,320,741), Downgraded
to Caa2 (sf); previously on November 30, 2011 Upgraded to B1
(sf);
US$22,500,000 Versailles Participation Interest 2009-Z1b Notes,
Downgraded to Ca (sf); previously on November 30, 2011 Confirmed
at Caa3 (sf).
Ratings Rationale:
The Participation Interests are repackaged securities whose
ratings are based on the rating of an underlying security and the
legal structure of the transaction. The rating actions are a
result of the change in the rating of the Class A-1 Notes issued
by Zohar CDO 2003-1 Limited ("the Underlying Security") which was
downgraded by Moody's to Caa2 from Caa1 on February 22, 2013.
Moody's notes that it does not rate the Underlying Security
without giving effect to the benefit of the financial guarantee
insurance policy issued by MBIA Insurance Corporation ("MBIA
Corporation"), which guarantees payment of certain shortfalls in
the amounts payable to owners of the Underlying Security. Moody's
rating on the Underlying Security is solely based on the financial
guarantee insurance policy issued by MBIA Corporation, whose
insurance financial strength rating is currently Caa2.
Accordingly, the ratings on the Participation Interests are
likewise assumed to rely solely on the creditworthiness of MBIA
Corporation and the structural subordination between the
Participation Interests specified in the related transaction
documents. Moody's expects to withdraw the ratings on the
Participation Interests in the event MBIA Corporation's insurance
financial strength rating is withdrawn.
The methodology used in this rating was "Moody's Approach to
Rating Repackaged Securities" published in April 2010. A secondary
methodology used was "CDO Repacks: An Application Of The
Structured Note Methodology" published in February 2004. In
applying these methodologies, Moody's conducted loss severity
analysis based on the structure of the transaction, and Moody's
assessment of both the likelihood of a default by MBIA
Corporation, and the recovery rate realized on policy claims made
against MBIA Corporation upon such a default.
Moody's says that its ratings on the Participation Interests are
subject primarily to the uncertainties embedded in its assessment
of MBIA Corporation's rating. In addition, the different
structural payment priorities of each class of Participation
Interests makes each sensitive in varying degrees to the recovery
realized on an assumed claim upon a potential MBIA Corporation
default.
Moody's performed sensitivity analysis to test the effect on the
Participation Interests of various recovery rates upon a potential
MBIA Corporation default. Summary of the effect of assuming
different recovery rates on all rated Participation Interests
(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:
Recovery Rate (20%)
Z1a: -1
Z1b: 0
Recovery Rate (50%)
Z1a: +1
Z1b: 0
WACHOVIA BANK 2006-C23: Moody's Takes Actions on 22 CMBS Classes
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six classes
and affirmed 16 classes of Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-
C23 as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Mar 13, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on Mar 13, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-1A, Affirmed Aaa (sf); previously on Mar 13, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-M, Affirmed Aaa (sf); previously on Jul 8, 2010 Confirmed at
Aaa (sf)
Cl. A-J, Affirmed A2 (sf); previously on Jul 8, 2010 Downgraded to
A2 (sf)
Cl. B, Affirmed A3 (sf); previously on Jul 8, 2010 Downgraded to
A3 (sf)
Cl. C, Affirmed Baa1 (sf); previously on Jul 8, 2010 Downgraded to
Baa1 (sf)
Cl. D, Downgraded to Baa3 (sf); previously on Jul 8, 2010
Downgraded to Baa2 (sf)
Cl. E, Downgraded to Ba1 (sf); previously on Jul 8, 2010
Downgraded to Baa3 (sf)
Cl. F, Downgraded to Ba3 (sf); previously on Jul 8, 2010
Downgraded to Ba1 (sf)
Cl. G, Downgraded to B2 (sf); previously on Mar 15, 2012
Downgraded to Ba3 (sf)
Cl. H, Downgraded to Caa1 (sf); previously on Mar 15, 2012
Downgraded to B3 (sf)
Cl. J, Downgraded to Caa3 (sf); previously on Mar 15, 2012
Downgraded to Caa2 (sf)
Cl. K, Affirmed Ca (sf); previously on Mar 15, 2012 Downgraded to
Ca (sf)
Cl. L, Affirmed C (sf); previously on Mar 15, 2012 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Mar 15, 2012 Downgraded to C
(sf)
Cl. N, Affirmed C (sf); previously on Jul 8, 2010 Downgraded to C
(sf)
Cl. O, Affirmed C (sf); previously on Jul 8, 2010 Downgraded to C
(sf)
Cl. P, Affirmed C (sf); previously on Jul 8, 2010 Downgraded to C
(sf)
Cl. Q, Affirmed C (sf); previously on Jul 8, 2010 Downgraded to C
(sf)
Cl. X-C, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. X-P, Affirmed Aaa (sf); previously on Mar 13, 2006 Definitive
Rating Assigned Aaa (sf)
Ratings Rationale:
The downgrades are due to higher than expected 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 ratings of the IO Classes X-C and X-P are affirmed based on
the credit quality of their referenced classes.
Moody's rating action reflects a base expected loss of 7.5% of the
current balance compared to 6.5% at last review. Moody's base
expected loss plus realized losses is 7.6% of the original
securitized balance, up from 6.7% at last review.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated 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 central global macroeconomic scenario is for continued
below-trend growth in US GDP over the near term, with consumer
spending remaining soft in the US. Hurricane Sandy may skew near-
term economic data but is unlikely to have any long-term
macroeconomic effects. Primary downside risks include: a deeper
than expected recession in the euro area accompanied by deeper
credit contraction; the potential for a hard landing in major
emerging markets, including China, India and Brazil; an oil supply
shock; albeit abated in recent months; and given recent political
gridlock, excessive fiscal tightening in the US in 2013 leading
the US into recession. However, the Federal Reserve has shown
signs of support for activity by continuing with quantitative
easing.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005. The methodology used in rating Classes X-C and X-P was
"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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 50 compared to 52 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 (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 March 15, 2012.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 17% to $3.50
billion from $4.23 billion at securitization. The Certificates are
collateralized by 275 mortgage loans ranging in size from less
than 1% to 8% of the pool, with the top ten loans representing 34%
of the pool. One loan, representing 0.3% of the pool, has defeased
and is secured by U.S. Government securities. The pool contains
two loans with investment grade credit assessments, representing
1.3% of the pool.
Fifty loans, representing 17% 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.
Eleven loans have been liquidated from the pool, resulting in a
realized loss of $56.8 million (73% loss severity). Currently 23
loans, representing 9% of the pool, are in special servicing. The
largest specially serviced loan is the 3500 Maple Loan ($44.9
million -- 1.3% of the pool), which is secured by a 376,000 square
foot (SF) Class A, 18-story office building located in Dallas,
Texas that was built in 1985 and renovated in 2003. Property
performance suffered as occupancy declined and the loan eventually
transferred to special servicing in November 2011 due to imminent
monetary default. As of February 2013, the property was 61%
leased. The borrower submitted a loan modification proposal that
was rejected by the special servicer and negotiations are ongoing.
The second largest specially serviced loan is the Monteverde
Apartments Loan ($37.6 million -- 1.1% of the pool), which is
secured by a 435 unit, Class A, garden-style multifamily property
located in Phoenix, Arizona. The loan transferred into special
servicing in April 2009 for imminent monetary default. The
borrower submitted a loan modification proposal that was rejected
by the special servicer. Foreclosure occurred in October 2009 and
a new property manager was subsequently put in place. Performance
has improved and the property is now stabilized at 92% occupancy
as of February 2013. The remaining specially serviced properties
are secured by a mix of property types. Moody's estimates an
aggregate $166.8 million loss for the specially serviced loans
(52% expected loss on average).
Moody's has assumed a high default probability for 15 poorly
performing loans representing 6% of the pool and has estimated an
aggregate $34.1 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 99% and 90% of the pool respectively.
Excluding specially serviced and troubled loans, Moody's weighted
average LTV is 99% compared to 106% 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 special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.35X and 1.05X, respectively, compared to
1.24X and 0.97X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit assessment is the Cavalier Country
Club Apartment Loan ($25.1 million -- 0.7% of the pool), which is
secured by a 32-building apartment complex. Comprised of 744
units, the complex is located in Newark, Delaware. As of February
2013, the property was 86% leased compared to 93% at last review.
The loan matures in January 2016 and is amortizing on a 360-month
schedule. Moody's current credit assessment and stressed DSCR are
Baa3 and 1.30X respectively, compared to Baa3 and 1.32X at last
review.
The second loan with a credit assessment is the 594 Broadway Loan
($24.0 million -- 0.7% of the pool), which is secured by a 12-
story, 217,000 square foot (SF) Class B office building located at
the corner of Broadway and Houston Street in SoHo, New York City.
The property is predominantly leased to small tenants that occupy
no more than 5% of the net rentable area (NRA). The property was
renovated in 2011 with upgrades to the common area, new energy
system, solar panels, and elevator modernization. As of March
2012, the property was 84% leased compared to 94% at last review.
The loan matures in February 2016 and is full term interest only.
Moody's current credit assessment and stressed DSCR are A1 and
1.77X respectively, compared to A1 and 2.06X at last review.
The top three performing conduit loans represent 19% of the pool
balance. The largest loan is the Outlet Pool Loan ($292.4 million
-- 8.2% of the pool), which is secured by ten outlet centers
located across eight states for which Simon Property Group is the
sponsor. The total gross leasable area (GLA) is 3.5 million SF.
The loan represents a 50% interest in a $584.8 first mortgage loan
that is also securitized within WBCMT 2006-C25. The
Jeffersonville, Ohio property was released and was substituted by
a better performing property located in Tinton Falls, New Jersey
(Jersey Shore). As of September 2012, the portfolio was 92% leased
compared to 93% at last review. Performance for the portfolio has
improved due to higher occupancy and higher base rents, partially
due to the substitution of the Tinton Falls, New Jersey property
for the Jeffersonville, Ohio property. Moody's LTV and stressed
DSCR are 68% and 1.48X, respectively, compared to 79% and 1.27X at
last review.
The second largest loan is the 620 Avenue of the Americas Loan
($205.0 million -- 5.8% of the pool), which is secured by a seven-
story, 670,000 SF mixed-use building located in the
Flatiron/Chelsea sub-market of Manhattan. The loan is encumbered
with a $30.0 million B-note and $30.0 million of mezzanine debt.
As of October 2012 the property was 86% leased compared to 90% at
last review. Moody's LTV and stressed DSCR are 121% and 0.76X,
respectively compared to 120% and 0.76X as at last review.
The third largest loan is the Hyatt Center Loan ($157.7 million --
4.5% of the pool), which is secured by a 49-story, 1.47 million SF
Class A office building located in the West Loop sub-market of
Chicago, Illinois. The loan represents a 50% interest in a $315.4
million first mortgage loan that is also securitized in WBCMT
2005-C22. The property was purchased by the Irvine Company (from
the Pritzer Group) in December 2010 for $625 million. The largest
tenants are Mayer Brown LLP (25% of the NRA; lease expires in June
2020), the Hyatt Corporation (20% of the NRA; lease expires in
January 2020) and Goldman Sachs (10% of the NRA; lease expires in
March 2020). As of December 2012 the property was 90% leased
compared to 94% at last review. Moody's LTV and stressed DSCR are
104% and 0.88X, respectively, compared to 106% and 0.87X at last
review.
WAMU 2003-C1: S&P Raises Rating on Class O Notes to 'BB+'
---------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on five
classes of commercial mortgage pass-through certificates from
Washington Mutual Asset Securities Corp.'s series 2003-C1, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics of all of the remaining loans in the pool, the
transaction structure, and the liquidity available to the trust.
The upgrades further reflect S&P's expected available credit
enhancement for these classes, which it believes is greater than
its most recent estimate of necessary credit enhancement for the
most recent rating levels, and S&P's views regarding the current
and future performance of the collateral supporting the
transaction. The upgrades also reflect the deleveraging and
minimal losses that the pool has experienced to date and the
pool's low Standard & Poor's loan-to-value (LTV) ratio.
According to the Feb. 25, 2013, remittance report, the pool
consisted of eight loans with a remaining balance of
$17.3 million, down from 213 loans with a balance of
$571.9 million at issuance. Since issuance, the pool has
experienced $386,644 in realized losses. Using servicer-provided
financial information, S&P calculated a Standard & Poor's adjusted
debt service coverage ratio (DSCR) of 1.35x and a Standard &
Poor's LTV ratio of 30.9%.
While the credit enhancement levels suggest upgrades beyond the
levels initiated, S&P's analysis also considered available
liquidity support and risks associated with potential interest
shortfalls in the future, especially as related to the three loans
($13.2 million, 75.9%) scheduled to mature through January 2014.
Should any of these loans transfer to the special servicer, the
trust could experience reduced liquidity support.
Details on the four largest loans in the pool, all of which
represent greater than 5.0% of the total pool balance, are as
follows:
The Center Pointe Plaza loan ($11.4 million, 65.6%), the largest
loan in the pool, is secured by a 252,493-sq.-ft. retail property
built in 1997 in Newark, Del. The master servicer, KeyCorp Real
Estate Capital Markets Inc. (KeyCorp) reported a DSCR of 1.43x for
full-year 2011, and occupancy was 95.6% according to the June 2012
rent roll. The loan is scheduled to mature on Jan. 1, 2014.
According to KeyCorp, the three largest tenants, Home Depot Inc.,
Babies R Us, and T.J. Maxx, which represent 71.9% of the
property's net rentable area in the aggregate, have all extended
their recently expired leases to termination dates well beyond the
loan's maturity date.
The Hogg Palace Lofts loan ($1.6 million, 9.1%), the second-
largest loan in the pool, is secured by an 80-unit multifamily
property built in 1995 in Houston. KeyCorp reported a DSCR of
0.85x for full-year 2011, and occupancy was 95.1% as of June 30,
2012. The loan was previously with the special servicer.
The Chelsea Court Apartments loan ($1.4 million, 8.3%), the third-
largest loan in the pool, is secured by a 66-unit multifamily
property built in 1996 in Idaho Falls, Idaho. KeyCorp reported a
DSCR of 1.25x for full-year 2012, and occupancy was 98.5%
according to the December 2012 rent roll. The loan has an
anticipated repayment date (ARD) of Sept. 1, 2013.
The Hillcreek Apartments loan ($1.1 million, 6.1%), the fourth-
largest loan in the pool, is secured by a 58-unit multifamily
property built in 1995 in Boise, Idaho. KeyCorp reported a DSCR
of 1.15x for year-to-date Sept. 30, 2012, and occupancy was 100.0%
as of Sept. 30, 2012. The loan is scheduled to mature on Oct. 1,
2013.
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 RAISED
Washington Mutual Asset Securities Corp.
Commercial mortgage pass-through certificates series 2003-C1
Rating
Class To From Credit enhancement (%)
K AAA (sf) BB (sf) 80.19
L AA+ (sf) BB- (sf) 71.95
M A+ (sf) B+ (sf) 55.47
N BBB+ (sf) B (sf) 38.98
O BB+ (sf) B- (sf) 30.74
WFRBS 2012-C6: Moody's Affirms B2 Rating on Class F Certificates
----------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 11 classes of
WF-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-C6 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (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.
This is Moody's first monitoring review of this transaction since
securitization in April 2012.
The rating of the IO Class, Class X-A, is consistent with the
credit quality of its referenced classes and is thus affirmed.
Moody's rating action reflects a base expected loss of 2.2% of the
current balance. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for rated 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 principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000. The methodology used in rating Cl. X-A was
"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 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
The conduit model includes an IO calculator, which uses the
following inputs to calculate the proposed IO rating based on the
published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 39, the same as at 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 two sets of
quantitative tools -- MOST (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic basis
through a comprehensive review.
Deal Performance
As of the February 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $916 million
from $925 million at securitization. The Certificates are
collateralized by 89 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans representing 38% of
the pool.
Four loans, representing 6% of the pool, is on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of 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 or are in special servicing. Moody's
did not identify any additional loans as being troubled.
Moody's was provided with full year 2011 and partial year 2012
operating results for 100% and 76% of the pool, respectively.
Moody's weighted average LTV is 94% compared to 95% at
securitization. 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 10%.
Moody's actual and stressed DSCR for the conduit component are
1.48X and 1.17X, respectively, compared to 1.50X and 1.16X 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 conduit loans represent 21% of the pool. The largest
conduit loan is the National Cancer Institute Center Loan ($76.5
million -- 8.4% of the pool), which is secured by 341,271 square
foot Class A office / lab facility located in Frederick, Maryland.
The property was constructed in 2011 as a build-to-suit to support
the National Cancer Institute (NCI), the oldest Institute within
the National Institutes of Health (NIH). The property is leased
entirely to Science Applications International Corporation-
Frederick (Senior Unsecured Rating A3, on review for possible
downgrade). The lease expiration is September 25th 2021. Moody's
LTV and stressed DSCR are 113% and 0.98X, respectively, the same
as at securitization.
The second largest loan is the Windsor Hotel Portfolio II Loan
($66.2 million -- 7.2% of the pool), which is secured by four
full-service hotels totaling 901 rooms. The portfolio consists of
a 275 room Renaissance Hotel in Asheville, NC, a 286 room Embassy
Suites in Las Vegas, NV, a 190 room Embassy Suites in Arcadia, CA,
and a 150 room Embassy Suites in Alpharetta, GA. As of December
2012, the portfolio's occupancy was 75.7% with RevPar of $93.3,
compared to 76.1% and $91.3, respectively, as of December 2011.
Performance has improved due to higher revenues. Moody's LTV and
stressed DSCR are 87% and 1.35X, respectively, compared to 96% and
1.22X at securitization.
The third largest loan is the WPC Self Storage Portfolio Loan
($48.2 million -- 5.3% of the pool), which is secured by 26 self-
storage facilities located in four states. There are 18 properties
located in California, five in Illinois, two in Hawaii and one in
Texas. As of December 31, 2012, the portfolio was 64% leased, the
same as at securitization. Moody's LTV and stressed DSCR are 89%
and 1.2X, respectively, the same as at securitization.
WFRBS 2013-C12: Fitch Assigns 'B' Rating to Class F Certificates
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings to WFRBS
Commercial Mortgage Trust 2013-C12 commercial mortgage pass-
through certificates:
-- $63,911,000 class A-1 'AAAsf'; Outlook Stable;
-- $142,980,000 class A-2 'AAAsf'; Outlook Stable;
-- $165,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $298,198,000 class A-4 'AAAsf'; Outlook Stable;
-- $101,955,000 Class A-SB 'AAAsf'; Outlook Stable;
-- $90,000,000#a class A-3FL 'AAAsf'; Outlook Stable;
-- $0 class A-3FXa 'AAAsf'; Outlook Stable;
-- $120,070,000 class A-S 'AAAsf'; Outlook Stable;
-- $982,114,000a* class X-A 'AAAsf'; Outlook Stable;
-- $126,228,000a* class X-B 'A-sf'; Outlook Stable;
-- $75,429,000 class B 'AA-sf'; Outlook Stable;
-- $50,799,000 class C 'A-sf'; Outlook Stable;
-- $41,563,000a class D 'BBB-sf'; Outlook Stable;
-- $27,709,000a class E 'BBsf'; Outlook Stable;
-- $16,933,000a class F 'Bsf'; Outlook Stable.
Fitch does not rate the $81,587,114 interest-only Class X-C or the
$36,945,114 Class G.
#Floating rate.
*Notional amount and interest-only.
aPrivately placed pursuant to Rule 144A.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 100 loans secured by 138 commercial
properties having an aggregate principal balance of approximately
$1.231 billion as of the cutoff date. The loans were contributed
to the trust by The Royal Bank of Scotland; Wells Fargo Bank,
National Association; Liberty Island Group I LLC; C-III Commercial
Mortgage LLC; Basis Real Estate Capital II, LLC; and NCB, FSB.
KEY RATING DRIVERS
Fitch Leverage: The Fitch debt service coverage ratio (DSCR) of
1.44x is better than the average 2012 DSCR of 1.24x. However, the
Fitch loan to value (LTV) of 98.5% is slightly worse than the 2012
average LTV of 97.2%. Excluding the loans collateralized by co-
operative housing (co-op) properties (4.53% of the pool), the
Fitch DSCR and LTV are 1.33x and 101.4%, respectively.
Less Amortization and More Interest-Only Loans: The scheduled
amortization for the entire transaction is 13.4%, which is lower
than most recent transactions. Of note, 26.9% of the pool consists
of interest-only loans, and 28.7% are partial interest-only loans,
prior to amortizing. In addition, five of the top 10 loans are
full-term interest-only.
Single-Tenant Exposure: Four of the top 10 loans are secured by
properties 100% occupied by a single tenant. Top 10 loans with
single-tenant concentrations include Merrill Lynch Office, Hensley
& Co. Portfolio, Las Vegas Strip Walgreens, and Kraft - Three
Lakes Drive.
Loan Concentration: The pool is considered to be moderately
concentrated. The largest 10 loans account for 52.5% of the
transaction, compared to the average 2011 and 2012 top 10 loan
concentrations of 59.9% and 54.2%, respectively. In addition, the
largest three loans account for 27.3% of the pool. 2011 NOI was
provided, excluding properties that were stabilizing
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 9.6% below
the full-year 2011 net operating income (NOI) (for properties that
during this period). Unanticipated further declines in property-
level NCF could result in higher defaults and loss severity on
defaulted loans, and could result in potential rating actions on
the certificates. Fitch evaluated the sensitivity of the ratings
assigned to WFRBS 2013-C12 certificates and found that the
transaction displays average sensitivity to further declines in
NCF. In a scenario in which NCF declined a further 20% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'Asf' could result. In a more severe scenario, in which NCF
declined a further 30% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'BBB+sf' could result. The presale report
includes a detailed explanation of additional stresses and
sensitivities in the Rating Sensitivity section.
Key Rating Drivers and Rating Sensitivities are further described
in the accompanying new issue report.
The Master Servicers will be Wells Fargo Bank, N.A. and NCB, FSB,
rated 'CMS2' and 'CMS2-', respectively by Fitch. The special
servicers will be Rialto Capital Advisors, LLC and NCB, FSB rated
'CSS2-' and 'CSS3+', respectively, by Fitch.
WFRBS 2013-C12: S&P Assigns 'BB' Rating to Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to WFRBS
Commercial Mortgage Trust 2013-C12's $1.23 billion commercial
mortgage pass-through certificates series 2013-C12.
The note issuance is a commercial mortgage-backed securities
transaction backed by 100 commercial mortgage loans with an
aggregate principal balance of $1.23 billion, secured by the fee
and leasehold interests in 138 properties across 29 states.
The ratings reflect S&P's view of the credit support provided by
the transaction structure, its view of the underlying collateral's
economics, the trustee-provided liquidity, the collateral pool's
relative diversity, and S&P's overall qualitative assessment of
the transaction. Standard & Poor's determined that the collateral
pool has, on a weighted average basis, debt service coverage (DSC)
of 1.87x and beginning and ending loan-to-value (LTV) ratios of
83.4% and 73.5%, respectively, based on Standard & Poor's values.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1334.pdf
RATINGS ASSIGNED
WFRBS Commercial Mortgage Trust 2013-C12
Class Rating Amount ($)
A-1 AAA (sf) 63,911,000
A-2 AAA (sf) 142,980,000
A-3 AAA (sf) 165,000,000
A-3FL(i)(iii) AAA (sf) 90,000,000
A-3FX(i) AAA (sf) 0
A-4 AAA (sf) 298,198,000
A-SB AAA (sf) 101,955,000
A-S AAA (sf) 120,070,000
X-A(i) AAA (sf) 982,114,000(ii)
X-B(i) A- (sf) 126,228,000(ii)
X-C(i) NR 81,587,114(ii)
B AA- (sf) 75,429,000
C A- (sf) 50,799,000
D(i) BBB- (sf) 41,563,000
E(i) BB (sf) 27,709,000
F(i) B+ (sf) 16,933,000
G(i) NR 36,945,114
V NR N/A
R NR N/A
(i) Non-offered certificates.
(ii) Notional balance.
(iii) Ratings only reflect the receipt of fixed payments of
interest.
NR - Not rated.
N/A - Not applicable.
ZAIS INVESTMENT X: S&P Raises Rating on Class A-4 Notes to 'BB+'
----------------------------------------------------------------
Standard & Poor's Ratings Services raised and removed from
CreditWatch positive its ratings on five classes of notes from
Zais Investment Grade Ltd. X, a collateralized debt obligation
(CDO) transaction predominantly backed by tranches from other CDOs
of corporate securities (CDO of corporate CDO). The transaction
is managed by Zais Group LLC. At the same time, S&P affirmed and
removed from CreditWatch positive its rating on the class S note
and affirmed its ratings on the class B, C ,and D notes.
S&P last took rating actions on this transaction in February 2012
when it upgraded various notes. Since then, the class A-1 notes
have paid down to 83% of their initial balances, while the class S
note has paid down to 8% of its initial balance. As of the
February 2013 trustee report, the transaction has $63 million of
defaulted assets, down from $77 million in December 2011.
Additionally, S&P has raised its ratings on several of the
collateralized loan obligations (CLOs) held within the portfolio
since the last review.
Due to the liability paydowns and the improvement in credit
quality, all trustee overcollateralization (O/C) ratios have
improved. However, all O/C tests continue to fail by a
significant margin, while the class B, C, and D notes continue to
defer on their interest payments. S&P affirmed its ratings on
these three notes to reflect the deferral of interest payments.
The affirmation of S&P's rating on the class S note reflects the
availability of sufficient credit support at the current rating
level. Although there has been a notable increase in credit
enhancement since S&P's rating action last year, the improvements
were not sufficient to support a higher rating at this time.
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
Zais Investment Grade Ltd. X
Rating Rating
Class To From
S A+ (sf) A+ (sf)/Watch Pos
A-1a A- (sf) BBB+ (sf)/Watch Pos
A-1b A- (sf) BBB+ (sf)/Watch Pos
A-2 BBB+ (sf) BBB- (sf)/Watch Pos
A-3 BBB (sf) BB+ (sf)/Watch Pos
A-4 BB+ (sf) BB- (sf)/Watch Pos
B CC (sf) CC (sf)
C CC (sf) CC (sf)
D CC (sf) CC (sf)
* Fitch Says Fluctuating Delinquencies Continue for U.S. CREL CDOs
------------------------------------------------------------------
The see-saw pattern continues for U.S. CREL CDO delinquencies as
they rose marginally last month, though the root of the increase
actually stemmed from a decline in total CDO collateral, according
to the latest index results from Fitch Ratings.
Late-pays on CREL CDOs increased to 13.1% from 12.7% in January.
However, total dollar balance of delinquent assets rose only
minimally. The higher delinquency rate was driven primarily by a
decrease in the total balance of Fitch rated CDO collateral. Since
January, the total collateral balance has decreased by
approximately $350 million (2.3%).
Only five new delinquencies were reported in February. Among them
included three matured balloons, one term default, and a newly
credit impaired security. The largest new delinquency was a whole
loan secured by a hotel located proximate to T.F. Green
International Airport in Rhode Island, which matured in the
reporting period, without repayment.
In February, asset managers reported only $7.4 million in realized
principal losses from the disposal of three assets. The largest
reported loss was a 17% realized loss on the discounted payoff
(DPO) of a defaulted whole loan secured by a portfolio of office
properties located in San Antonio, TX.
* Moody's Takes Actions on US$2.9 Billion of Subprime RMBS
----------------------------------------------------------
Moody's Investors Service has downgraded the rating of 25
tranches, upgraded the rating of 25 tranches, and affirmed the
rating of 128 tranches issued by 22 transactions, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Aames Mortgage Investment Trust 2005-2
Cl. M2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. M3, Upgraded to Baa1 (sf); previously on Sep 11, 2012 Upgraded
to Ba1 (sf)
Cl. M4, Upgraded to B3 (sf); previously on Sep 11, 2012 Upgraded
to Caa2 (sf)
Cl. M5, Affirmed C (sf); previously on Jun 1, 2010 Downgraded to C
(sf)
Cl. M7, Affirmed C (sf); previously on Jun 1, 2010 Downgraded to C
(sf)
Cl. M8, Affirmed C (sf); previously on Jun 1, 2010 Downgraded to C
(sf)
Cl. M9, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. B1, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-
HE2
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-4, Upgraded to Ba2 (sf); previously on Jul 15, 2011
Downgraded to B2 (sf)
Cl. M-5, Affirmed Ca (sf); previously on Jul 15, 2011 Downgraded
to Ca (sf)
Cl. M-6, Affirmed C (sf); previously on Jul 15, 2011 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 16, 2009 Downgraded to
C (sf)
Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R1
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Baa2 (sf); previously on Apr 14, 2010 Downgraded
to Baa2 (sf)
Cl. M-3, Affirmed B3 (sf); previously on Apr 14, 2010 Downgraded
to B3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Apr 14, 2010 Downgraded
to Ca (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE3
Cl. M2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. M3, Upgraded to Baa3 (sf); previously on Sep 4, 2012 Confirmed
at Ba2 (sf)
Cl. M4, Affirmed Caa2 (sf); previously on Sep 4, 2012 Confirmed at
Caa2 (sf)
Cl. M5, Affirmed C (sf); previously on Sep 4, 2012 Confirmed at C
(sf)
Cl. M6, Affirmed C (sf); previously on Jul 12, 2010 Downgraded to
C (sf)
Cl. M7, Affirmed C (sf); previously on Jul 12, 2010 Downgraded to
C (sf)
Cl. M8, Affirmed C (sf); previously on Jul 12, 2010 Downgraded to
C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE4
Cl. M2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2 (sf)
Placed Under Review for Possible Downgrade
Cl. M3, Affirmed A3 (sf); previously on March 13, 2009 Downgraded
to A3 (sf)
Cl. M4, Upgraded to Baa3 (sf); previously on Sep 4, 2012 Confirmed
at B1 (sf)
Cl. M5, Upgraded to B3 (sf); previously on Sep 4, 2012 Confirmed
at Caa3 (sf)
Cl. M6, Upgraded to Ca (sf); previously on Jul 12, 2010 Downgraded
to C (sf)
Cl. M7, Affirmed C (sf); previously on Jul 12, 2010 Downgraded to
C (sf)
Cl. M8, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. M9, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE4
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Caa2 (sf); previously on May 21, 2010 Downgraded
to Caa2 (sf)
Cl. M-3, Affirmed C (sf); previously on May 21, 2010 Downgraded to
C (sf)
Cl. M-4, Affirmed C (sf); previously on May 21, 2010 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Mar 24, 2009 Downgraded to
C (sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE6
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Caa3 (sf); previously on May 21, 2010 Downgraded
to Caa3 (sf)
Cl. M-3, Affirmed C (sf); previously on May 21, 2010 Downgraded to
C (sf)
Cl. M-4, Affirmed C (sf); previously on May 21, 2010 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Mar 24, 2009 Downgraded to
C (sf)
Issuer: Citigroup Mortgage Loan Trust, Series 2005-OPT1
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B1 (sf); previously on Apr 6, 2010 Downgraded to
B1 (sf)
Cl. M-3, Affirmed Caa1 (sf); previously on Aug 20, 2012 Confirmed
at Caa1 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Apr 6, 2010 Downgraded to
Ca (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 6, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 6, 2010 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 6, 2010 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Apr 6, 2010 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Apr 6, 2010 Downgraded to
C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-2
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 21, 2012
Confirmed at Ba2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug 21, 2012 Upgraded
to Caa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-4
Cl. AF-3, Affirmed Ba1 (sf); previously on Apr 14, 2010 Downgraded
to Ba1 (sf)
Cl. AF-4, Affirmed B3 (sf); previously on Apr 14, 2010 Downgraded
to B3 (sf)
Cl. AF-5A, Affirmed Caa2 (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)
Cl. AF-5B, Affirmed Caa2 (sf); previously on Nov 21, 2012
Downgraded to Caa2 (sf)
Underlying Rating: Affirmed Caa2 (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)
Financial Guarantor: MBIA Insurance Corporation (Downgraded to
Caa2, Outlook Developing on Nov 19, 2012)
Cl. AF-6, Affirmed B3 (sf); previously on Apr 14, 2010 Downgraded
to B3 (sf)
Cl. MF-1, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MF-2, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MF-3, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MF-4, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MF-5, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MF-6, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MF-7, Affirmed C (sf); previously on Mar 25, 2009 Downgraded
to C (sf)
Cl. MF-8, Affirmed C (sf); previously on Mar 25, 2009 Downgraded
to C (sf)
Cl. BF, Affirmed C (sf); previously on Mar 25, 2009 Downgraded to
C (sf)
Cl. MV-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. MV-2, Upgraded to Ba3 (sf); previously on Apr 14, 2010
Downgraded to B1 (sf)
Cl. MV-3, Affirmed Caa2 (sf); previously on Apr 14, 2010
Downgraded to Caa2 (sf)
Cl. MV-4, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MV-5, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MV-6, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MV-7, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. MV-8, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. BV, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-5
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba1 (sf); previously on Apr 14, 2010
Downgraded to Ba2 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on Apr 14, 2010
Downgraded to Caa1 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC4
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Baa3 (sf); previously on Apr 14, 2010 Downgraded
to Baa3 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Apr 14, 2010
Downgraded to B3 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Apr 14, 2010
Downgraded to Caa3 (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Apr 14, 2010 Downgraded to
C (sf)
Cl. M-10, Affirmed C (sf); previously on Apr 14, 2010 Downgraded
to C (sf)
Cl. B, Affirmed C (sf); previously on Mar 25, 2009 Downgraded to C
(sf)
Issuer: Encore Credit Receivables Trust 2005-3
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Baa2 (sf); previously on Jul 18, 2011 Downgraded
to Baa2 (sf)
Cl. M-3, Affirmed B3 (sf); previously on Jul 18, 2011 Downgraded
to B3 (sf)
Cl. M-4, Affirmed Caa2 (sf); previously on Jul 14, 2010 Downgraded
to Caa2 (sf)
Cl. M-5, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Jul 14, 2010 Downgraded to
C (sf)
Issuer: IXIS Real Estate Capital Trust 2005-HE3
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B1 (sf); previously on Aug 6, 2010 Downgraded to
B1 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Aug 6, 2010 Downgraded to
Ca (sf)
Cl. M-4, Affirmed C (sf); previously on Aug 6, 2010 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-2
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed A3 (sf); previously on Sep 14, 2012 Confirmed at
A3 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Sep 14, 2012 Upgraded
to B3 (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 30, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 30, 2010 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 30, 2010 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 20, 2009 Downgraded to
C (sf)
Issuer: Morgan Stanley Home Equity Loan Trust 2005-2
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to Baa3 (sf); previously on Dec 28, 2010
Upgraded to Ba1 (sf)
Cl. M-4, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded
to Caa1 (sf)
Cl. M-5, Affirmed C (sf); previously on Jul 15, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Jul 15, 2010 Downgraded to
C (sf)
Cl. B-1, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-B
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba3 (sf); previously on Aug 21, 2012 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug 21, 2012 Upgraded
to Caa2 (sf)
Cl. M-4, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Cl. B-1, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Cl. B-2, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Issuer: Soundview Home Loan Trust 2005-1
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Baa3 (sf); previously on Sep 14, 2012 Upgraded
to Baa3 (sf)
Cl. M-4, Affirmed Caa1 (sf); previously on Sep 14, 2012 Upgraded
to Caa1 (sf)
Cl. M-5, Affirmed C (sf); previously on Jun 17, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Jun 17, 2010 Downgraded to
C (sf)
Issuer: Soundview Home Loan Trust 2005-DO1
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Baa2 (sf); previously on Jul 18, 2011 Downgraded
to Baa2 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Jul 18, 2011
Downgraded to B2 (sf)
Cl. M-5, Affirmed Caa3 (sf); previously on Jul 18, 2011 Downgraded
to Caa3 (sf)
Cl. M-6, Affirmed Caa3 (sf); previously on Sep 24, 2010 Downgraded
to Caa3 (sf)
Cl. M-7, Affirmed C (sf); previously on Sep 24, 2010 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Sep 24, 2010 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 17, 2009 Downgraded to
C (sf)
Cl. M-10, Affirmed C (sf); previously on Mar 17, 2009 Downgraded
to C (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-1
Trust
Cl. AI-1A, Affirmed Aaa (sf); previously on Jun 3, 2010 Confirmed
at Aaa (sf)
Cl. AI-1B, Affirmed Aaa (sf); previously on Jun 3, 2010 Confirmed
at Aaa (sf)
Cl. AII-1, Affirmed Aaa (sf); previously on Mar 23, 2009 Confirmed
at Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Baa2 (sf); previously on Sep 14, 2012 Downgraded
to Baa2 (sf)
Cl. M-3, Affirmed Ba3 (sf); previously on Sep 14, 2012 Downgraded
to Ba3 (sf)
Cl. M-4, Affirmed Caa1 (sf); previously on Sep 14, 2012 Downgraded
to Caa1 (sf)
Cl. M-5, Affirmed Caa3 (sf); previously on Sep 14, 2012 Downgraded
to Caa3 (sf)
Cl. M-6, Affirmed Ca (sf); previously on Sep 14, 2012 Downgraded
to Ca (sf)
Cl. M-7, Affirmed Ca (sf); previously on Jun 3, 2010 Downgraded to
Ca (sf)
Cl. M-8, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-2
Trust
Cl. AI-1B, Affirmed Aaa (sf); previously on Jun 3, 2010 Confirmed
at Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-3, Upgraded to Baa1 (sf); previously on Jun 3, 2010
Confirmed at Baa2 (sf)
Cl. M-4, Upgraded to Ba1 (sf); previously on Jun 3, 2010
Downgraded to Ba3 (sf)
Cl. M-5, Upgraded to B2 (sf); previously on Jun 3, 2010 Downgraded
to Caa1 (sf)
Cl. M-6, Upgraded to Caa1 (sf); previously on Jun 3, 2010
Downgraded to Caa3 (sf)
Cl. M-7, Upgraded to Ca (sf); previously on Jun 3, 2010 Downgraded
to C (sf)
Cl. M-8, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Cl. AII-3, Affirmed Aaa (sf); previously on Jun 3, 2010 Confirmed
at Aaa (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-3
Trust
Cl. AI-1B, Affirmed Aaa (sf); previously on Jun 3, 2010 Confirmed
at Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Ba1 (sf); previously on Sep 14, 2012 Downgraded
to Ba1 (sf)
Cl. M-4, Affirmed B2 (sf); previously on Sep 14, 2012 Downgraded
to B2 (sf)
Cl. M-5, Affirmed Caa2 (sf); previously on Jun 3, 2010 Downgraded
to Caa2 (sf)
Cl. M-6, Affirmed Ca (sf); previously on Jun 3, 2010 Downgraded to
Ca (sf)
Cl. M-7, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Jun 3, 2010 Downgraded to
C (sf)
Cl. M-10, Affirmed C (sf); previously on Mar 23, 2009 Downgraded
to C (sf)
Cl. M-11, Affirmed C (sf); previously on Mar 23, 2009 Downgraded
to C (sf)
Cl. AII-3, Affirmed Aaa (sf); previously on Jun 3, 2010 Confirmed
at Aaa (sf)
Ratings Rationale:
The actions are a result of recent performance reviews of these
transactions and reflect Moody's updated loss expectations on
these pools.
The rating actions constitute of a number of downgrades, upgrades,
confirmations, and affirmations. The downgrades are primarily due
to the tranches' weak interest shortfall reimbursement mechanisms.
Structural limitations in these transactions will typically
prevent recoupment of interest shortfalls even if funds are
available in subsequent periods. Missed interest payments on these
tranches can typically only be made up from excess interest after
the overcollateralization is built to a target amount. In these
transactions since overcollateralization is already below target
due to poor performance, any future missed interest payments to
these tranches are unlikely to be paid. Moody's caps the ratings
of such tranches with weak interest shortfall reimbursement at A3
(sf) as long as they have not experienced any shortfall.
Ratings on tranches that currently have very small unrecoverable
interest shortfalls are capped at Baa3 (sf). For tranches with
larger outstanding interest shortfalls, Moody's applies "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009. These rating action take into account
only credit-related interest shortfall risks.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011 and "Rating Transactions Based on the
Credit Substitution Approach: Letter of Credit backed, Insured and
Guaranteed Debts" published in March 2013.
Moody's adjusts the methodologies 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 into 2014.
The methodologies only apply 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).
Other factors used in these ratings are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
When assigning the final ratings to senior bonds, in addition to
the methodologies, 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 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 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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.
* Moody's Takes Action on $535 Million of Subprime RMBS
-------------------------------------------------------
Moody's Investors Service downgraded the rating of 11 tranches,
upgraded the rating of 1 tranches, confirmed the rating of one
tranche, and affirmed the rating of 29 tranches from 6
transactions, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2005-1
Cl. M1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Affirmed A3 (sf); previously on Jul 18, 2011 Downgraded to
A3 (sf)
Cl. M3, Upgraded to Ba3 (sf); previously on Jul 18, 2011
Downgraded to B3 (sf)
Cl. M4, Affirmed C (sf); previously on Jul 18, 2011 Downgraded to
C (sf)
Cl. M5, Affirmed C (sf); previously on Jul 18, 2011 Downgraded to
C (sf)
Cl. M6, Affirmed C (sf); previously on Aug 13, 2010 Downgraded to
C (sf)
Cl. B1, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. B2, Affirmed C (sf); previously on Oct 31, 2008 Downgraded to
C (sf)
Cl. B3, Affirmed C (sf); previously on Oct 31, 2008 Downgraded to
C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2004-HE10
Cl. M1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Ba3 (sf); previously on Apr 12, 2012
Downgraded to Ba1 (sf)
Cl. M3, Downgraded to Ca (sf); previously on Mar 11, 2011
Downgraded to Caa2 (sf)
Cl. M4, Affirmed C (sf); previously on Apr 12, 2012 Downgraded to
C (sf)
Cl. M5, Affirmed C (sf); previously on Jun 16, 2009 Downgraded to
C (sf)
Cl. M6, Affirmed C (sf); previously on Jun 16, 2009 Downgraded to
C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2005-HE2
Cl. M1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Downgraded to Baa1 (sf); previously on Jan 10, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M3, Affirmed Caa3 (sf); previously on Jul 12, 2010 Downgraded
to Caa3 (sf)
Cl. M4, Affirmed C (sf); previously on Jul 12, 2010 Downgraded to
C (sf)
Cl. M5, Affirmed C (sf); previously on Jul 12, 2010 Downgraded to
C (sf)
Issuer: Equifirst Mortgage Loan Trust 2003-1
Cl. I-F1, Confirmed at Aaa (sf); previously on Jan 10, 2013 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Affirmed A3 (sf); previously on Apr 19, 2012 Downgraded
to A3 (sf)
Cl. M-2, Affirmed Ba1 (sf); previously on Apr 19, 2012 Downgraded
to Ba1 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Mar 7, 2011 Confirmed at
Ca (sf)
Issuer: People's Choice Home Loan Securities Trust 2005-1
Cl. M2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aaa (sf)
Placed Under Review for Possible Downgrade
Cl. M3, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M4, Affirmed Caa3 (sf); previously on Jul 21, 2010 Downgraded
to Caa3 (sf)
Cl. M5, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Cl. B1, Affirmed C (sf); previously on Jul 21, 2010 Downgraded to
C (sf)
Cl. B2, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. B3, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Issuer: Saxon Asset Securities Trust 2005-3
Cl. A-1A, Downgraded to A3 (sf); previously on Jan 10, 2013 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. A-2D, Downgraded to A3 (sf); previously on Jan 10, 2013 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Downgraded to A3 (sf); previously on Jul 16, 2010
Confirmed at Aa3 (sf)
Cl. M-2, Affirmed Ba2 (sf); previously on Jul 16, 2010 Downgraded
to Ba2 (sf)
Cl. M-3, Affirmed Caa1 (sf); previously on Jul 16, 2010 Downgraded
to Caa1 (sf)
Cl. M-4, Affirmed C (sf); previously on Jul 16, 2010 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Jul 16, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Jul 16, 2010 Downgraded to
C (sf)
Cl. B-1, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. B-2, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Cl. B-3, Affirmed C (sf); previously on Mar 13, 2009 Downgraded to
C (sf)
Ratings Rationale:
The actions are a result of recent performance reviews of these
transactions and reflect Moody's updated loss expectations on
these pools.
The rating actions constitute of a number of downgrades, upgrades,
and affirmations. The downgrades are primarily due to the
tranches' weak interest shortfall reimbursement mechanisms.
The tranches downgraded to A3 (sf) do not have interest shortfalls
but in the event of an interest shortfall, structural limitations
in the transactions will prevent recoupment of interest shortfalls
even if funds are available in subsequent periods. Missed interest
payments on these tranches can typically only be made up from
excess interest after the overcollateralization is built to a
target amount. In these transactions since overcollateralization
is already below target due to poor performance, any future missed
interest payments to these tranches are unlikely to be paid.
Moody's caps the ratings of such tranches with weak interest
shortfall reimbursement at A3 (sf) as long as they have not
experienced any shortfall.
Ratings on tranches that currently have very small unrecoverable
interest shortfalls are capped at Baa3 (sf). For tranches with
larger outstanding interest shortfalls, Moody's applies "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009. These rating action take into account
only credit-related interest shortfall risks.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012, and "2005 -- 2008 US RMBS Surveillance
Methodology" published in July 2011.
The 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 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.
When assigning the final ratings to senior bonds, 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.
Moody's also adjusts the methodologies 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 into 2014.
Other factors used in these ratings are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
The methodologies 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 our central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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.
* Moody's Takes Actions on 20 Tranches of $300MM Subprime RMBS
--------------------------------------------------------------
Moody's Investors Service has downgraded the rating of four
tranches, confirmed the ratings of two tranches, and affirmed the
rating of 14 tranches from four transactions, backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: C-Bass Mortgage Loan Asset-Backed Certificates, Series
2001-CB3
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. B-2, Affirmed C (sf); previously on Mar 10, 2011 Downgraded
to C (sf)
Cl. B-1, Affirmed Caa3 (sf); previously on Mar 10, 2011
Downgraded to Caa3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2004-FF8
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Ca (sf); previously on Mar 15, 2011 Downgraded
to Ca (sf)
Cl. M-4, Affirmed C (sf); previously on Mar 15, 2011 Downgraded
to C (sf)
Cl. B-1, Affirmed C (sf); previously on Mar 15, 2011 Downgraded
to C (sf)
Issuer: MASTR Asset Backed Securities Trust 2003-WMC2
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B3 (sf); previously on Mar 11, 2011 Downgraded
to B3 (sf)
Cl. M-3, Affirmed Caa3 (sf); previously on Mar 11, 2011
Downgraded to Caa3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 11, 2011 Downgraded
to Ca (sf)
Cl. M-5, Affirmed Ca (sf); previously on Mar 11, 2011 Downgraded
to Ca (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 11, 2011 Downgraded
to C (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2004-4
Cl. M-3, Confirmed at Aa3 (sf); previously on Jan 10, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-4, Confirmed at A1 (sf); previously on Jan 10, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M-5, Affirmed Baa1 (sf); previously on May 9, 2012 Confirmed
at Baa1 (sf)
Cl. M-6, Affirmed B2 (sf); previously on May 9, 2012 Downgraded
to B2 (sf)
Cl. B-1, Affirmed Ca (sf); previously on Mar 10, 2011 Downgraded
to Ca (sf)
Cl. B-2, Affirmed C (sf); previously on Mar 10, 2011 Downgraded
to C (sf)
Ratings Rationale:
The actions are a result of recent performance reviews of these
transactions and reflect Moody's updated loss expectations on
these pools. The rating actions constitute of a number of
downgrades, upgrades, confirmations, and affirmations. The
downgrades are primarily due to the tranches' weak interest
shortfall reimbursement mechanisms.
The tranches downgraded to A3 (sf) do not have interest shortfalls
but in the event of an interest shortfall, structural limitations
in the transactions will prevent recoupment of interest shortfalls
even if funds are available in subsequent periods. Missed interest
payments on these tranches can typically only be made up from
excess interest after the overcollateralization is built to a
target amount. In these transactions since overcollateralization
is already below target due to poor performance, any future missed
interest payments to these tranches are unlikely to be paid.
Moody's caps the ratings of such tranches with weak interest
shortfall reimbursement at A3 (sf) as long as they have not
experienced any shortfall.
Ratings on tranches that currently have very small unrecoverable
interest shortfalls are capped at Baa3 (sf). For tranches with
larger outstanding interest shortfalls, Moody's applies "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009. These rating actions take into account
only credit-related interest shortfall risks.
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, published in July 2011.
Moody's adjusts the methodologies 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 into 2014.
The 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 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.
When assigning the final ratings to senior bonds, in addition to
the methodologies, 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.
Other factors used in these ratings are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
The methodologies only apply 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 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts an unemployment central range of 7.0% to 8.0%
for the 2013 year. Moody's expects housing prices to continue to
rise in 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.
* Moody's Takes Actions on $252 Million of Subprime RMBS
--------------------------------------------------------
Moody's Investors Service downgraded the rating of six tranches,
and affirmed the rating of 25 tranches from six transactions,
backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Argent Securities Inc., Series 2003-W2
Cl. M-3, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. M-4, Affirmed B2 (sf); previously on Apr 13, 2012 Downgraded
to B2 (sf)
Cl. M-5, Affirmed Ca (sf); previously on Apr 13, 2012 Downgraded
to Ca (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 13, 2012 Downgraded to
C (sf)
Issuer: Argent Securities Inc., Series 2004-PW1
Cl. M-2, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Caa1 (sf); previously on Apr 13, 2012 Downgraded
to Caa1 (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 13, 2012 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Issuer: Fieldstone Mortgage Investment Trust 2004-4
Cl. M2, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M3, Affirmed B1 (sf); previously on Jul 12, 2012 Confirmed at
B1 (sf)
Cl. M4, Affirmed C (sf); previously on Mar 15, 2011 Downgraded to
C (sf)
Cl. M5, Affirmed C (sf); previously on Mar 15, 2011 Downgraded to
C (sf)
Cl. M6, Affirmed C (sf); previously on Jun 24, 2009 Downgraded to
C (sf)
Issuer: Fremont Home Loan Trust 2004-1
Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B1 (sf); previously on Mar 21, 2011 Downgraded
to B1 (sf)
Cl. M-3, Affirmed Caa1 (sf); previously on Apr 18, 2012 Downgraded
to Caa1 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Apr 18, 2012 Downgraded
to Ca (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 18, 2012 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 18, 2012 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 18, 2012 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Apr 18, 2012 Downgraded to
C (sf)
Issuer: Fremont Home Loan Trust 2004-4
Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 10, 2013 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Caa2 (sf); previously on Apr 18, 2012 Downgraded
to Caa2 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Mar 21, 2011 Downgraded
to Ca (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 18, 2012 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 18, 2012 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on May 28, 2009 Downgraded to
C (sf)
Issuer: Meritage Mortgage Loan Trust 2004-2
Cl. M-2, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed Caa2 (sf); previously on May 4, 2012 Confirmed
at Caa2 (sf)
Cl. M-4, Affirmed C (sf); previously on May 4, 2012 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on May 1, 2009 Downgraded to
C (sf)
Ratings Rationale:
The actions are a result of recent performance reviews of these
transactions and reflect Moody's updated loss expectations on
these pools. The rating actions constitute of a number of
downgrades and affirmations. The downgrades are primarily due to
the tranches' weak interest shortfall reimbursement mechanisms and
existing interest shortfalls.
The downgraded tranches have interest shortfalls. Structural
limitations in the transactions typically prevent recoupment of
interest shortfalls even if funds are available in subsequent
periods. Missed interest payments on these tranches can typically
only be made up from excess interest after the
overcollateralization is built to a target amount. In these
transactions since overcollateralization is already below target
due to poor performance, any existing and future missed interest
payments to these tranches are unlikely to be paid. Ratings on
tranches that currently have very small unrecoverable interest
shortfalls are capped at Baa3 (sf). For tranches with larger
outstanding interest shortfalls, Moody's applies "Moody's Approach
to Rating Structured Finance Securities in Default" published in
November 2009. These rating actions take into account only credit-
related interest shortfall risks.
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.
Moody's adjusts the methodologies 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 into 2014.
Other factors used in these ratings are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
The 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 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.
When assigning the final ratings to senior bonds, in addition to
the methodologies, 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 methodologies only apply 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 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts an unemployment central range of 7.0% to 8.0%
for the 2013 year. Moody's expects housing prices to continue to
rise in 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.
* Moody's Takes Actions on $337.3 Million Alt-A Backed RMBS
-----------------------------------------------------------
Moody's Investors Service upgraded the rating of one tranche,
downgraded the rating of two tranches, and affirmed the rating of
nine tranches from two transactions, backed by Alt-A loans.
Ratings Rationale:
The actions are a result of recent performance of these deals and
reflect Moody's updated loss expectations on these pools. The
downgrade of Class A-2 in CSAB Mortgage Backed Trust 2006-1 is due
to the outstanding interest shortfalls on the bond. Class A-2 has
an outstanding interest shortfalls of 0.04% of its original bond
balance and the transaction is under-collateralized by $37M due to
poor performance, as a result the outstanding shortfall is
unlikely to be paid.
Moody's caps the ratings on tranches with small unrecoverable
interest shortfalls at Baa3.
The upgrade of the rating of Class A-6 in TBW Mortgage-Backed
Series 2006-5 is due to its principal payment priority in the
waterfall and the lower expected losses on the bond.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005 -- 2008 US RMBS Surveillance Methodology"
published in July 2011.
Moody's adjusts the methodologies for Moody's current view on loan
modifications.
Loan Modifications
As a result of an extension of the Home Affordable Modification
Program (HAMP) to 2013 and an increased use of private
modifications, Moody's is extending its previous view that loan
modifications will only occur through the end of 2012. It is now
assuming that the loan modifications will continue at current
levels until 2014.
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 8.5% in December 2011 to 7.7% in February 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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: CSAB Mortgage Backed Trust 2006-1
Cl. A-2, Downgraded to Baa3 (sf); previously on Jan 10, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Ca (sf); previously on Nov 19, 2010
Downgraded to Caa3 (sf)
Cl. A-4, Affirmed C (sf); previously on Nov 19, 2010 Downgraded to
C (sf)
Cl. A-5, Affirmed C (sf); previously on Nov 19, 2010 Downgraded to
C (sf)
Cl. A-6-A, Affirmed Ca (sf); previously on Nov 19, 2010 Downgraded
to Ca (sf)
Cl. A-6-B, Affirmed C (sf); previously on Nov 19, 2010 Downgraded
to C (sf)
Cl. M-2, Affirmed C (sf); previously on Sep 22, 2008 Downgraded to
C (sf)
Cl. M-3, Affirmed C (sf); previously on Sep 22, 2008 Downgraded to
C (sf)
Issuer: TBW Mortgage-Backed Trust Series 2006-5
Cl. A-3, Affirmed Caa3 (sf); previously on Oct 21, 2010 Downgraded
to Caa3 (sf)
Cl. A-4, Affirmed C (sf); previously on Oct 21, 2010 Downgraded to
C (sf)
Cl. A-5-A, Affirmed C (sf); previously on Oct 21, 2010 Downgraded
to C (sf)
Cl. A-6, Upgraded to Caa1 (sf); previously on Oct 21, 2010
Downgraded to Caa2 (sf)
* Moody's Takes Action on US$371 Million of Subprime RMBS
---------------------------------------------------------
Moody's Investors Service affirmed the ratings on 32 tranches,
upgraded ratings on five tranches, withdrawn ratings on two
tranches and downgraded ratings on 11 tranches from seven
transactions issued by various financial institution. The
collateral backing the transaction are subprime residential
mortgage loans.
Complete rating actions are as follows:
Issuer: Asset Backed Securities Corporation, Long Beach Home
Equity Loan Trust 2000-LB1, Home Equity Loan Pass-Through
certificates, Series 2000-LB1
Cl. AF5, Upgraded to Ba1 (sf); previously on Apr 12, 2012
Downgraded to Ba3 (sf)
Cl. AF6, Upgraded to Baa2 (sf); previously on Apr 12, 2012
Downgraded to Baa3 (sf)
Cl. BV, Affirmed C (sf); previously on Jun 16, 2009 Downgraded to
C (sf)
Cl. M2V, Affirmed Caa3 (sf); previously on Mar 11, 2011 Downgraded
to Caa3 (sf)
Cl. M1F, Upgraded to Caa1 (sf); previously on Mar 11, 2011
Downgraded to Caa3 (sf)
Cl. M2F, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Issuer: CitiFinancial Mortgage Securities Inc. 2003-2
Cl. AF-4, Downgraded to Baa1 (sf); previously on Apr 9, 2012
Downgraded to A1 (sf)
Cl. AF-5, Downgraded to Baa1 (sf); previously on Apr 9, 2012
Downgraded to A1 (sf)
Cl. MF-1, Downgraded to Ba3 (sf); previously on Apr 9, 2012
Downgraded to Baa3 (sf)
Cl. MF-2, Downgraded to Caa1 (sf); previously on Apr 9, 2012
Downgraded to B2 (sf)
Cl. MF-3, Affirmed C (sf); previously on Mar 7, 2011 Downgraded to
C (sf)
Cl. MV-2, Affirmed Caa2 (sf); previously on Mar 7, 2011 Downgraded
to Caa2 (sf)
Issuer: CitiFinancial Mortgage Securities Inc. 2003-4
Cl. AF-4, Affirmed A2 (sf); previously on Mar 7, 2011 Downgraded
to A2 (sf)
Cl. AF-5, Affirmed A2 (sf); previously on Mar 7, 2011 Downgraded
to A2 (sf)
Cl. AF-6, Affirmed A1 (sf); previously on Mar 7, 2011 Downgraded
to A1 (sf)
Cl. MF-1, Downgraded to Ba2 (sf); previously on Apr 9, 2012
Downgraded to Baa3 (sf)
Cl. MF-2, Affirmed Ba3 (sf); previously on Apr 9, 2012 Downgraded
to Ba3 (sf)
Cl. MF-3, Affirmed B2 (sf); previously on Apr 9, 2012 Downgraded
to B2 (sf)
Cl. MF-4, Affirmed Caa2 (sf); previously on Apr 9, 2012 Downgraded
to Caa2 (sf)
Cl. MF-5, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to
C (sf)
Cl. MF-6, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to
C (sf)
Cl. MF-7, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to
C (sf)
Cl. MF-8, Affirmed C (sf); previously on Mar 7, 2011 Downgraded to
C (sf)
Cl. MV-4, Affirmed Baa1 (sf); previously on Apr 9, 2012 Upgraded
to Baa1 (sf)
Cl. MV-5, Affirmed Caa2 (sf); previously on Mar 7, 2011 Downgraded
to Caa2 (sf)
Cl. MV-6, Affirmed Caa3 (sf); previously on Apr 9, 2012 Downgraded
to Caa3 (sf)
Issuer: CitiFinancial Mortgage Securities Inc. 2004-1
Cl. AF-3, Affirmed A2 (sf); previously on Mar 7, 2011 Downgraded
to A2 (sf)
Cl. AF-4, Affirmed A2 (sf); previously on Mar 7, 2011 Downgraded
to A2 (sf)
Cl. AF-5, Affirmed A1 (sf); previously on Mar 7, 2011 Downgraded
to A1 (sf)
Cl. MF-1, Downgraded to Baa3 (sf); previously on Mar 7, 2011
Downgraded to Baa1 (sf)
Cl. MF-2, Downgraded to Ba1 (sf); previously on Mar 7, 2011
Downgraded to Baa3 (sf)
Cl. MF-3, Downgraded to Ba3 (sf); previously on Mar 7, 2011
Downgraded to Ba2 (sf)
Cl. MF-4, Affirmed B2 (sf); previously on Mar 7, 2011 Downgraded
to B2 (sf)
Cl. MF-5, Affirmed Caa1 (sf); previously on Mar 7, 2011 Downgraded
to Caa1 (sf)
Cl. MF-6, Affirmed Caa3 (sf); previously on Mar 7, 2011 Downgraded
to Caa3 (sf)
Cl. MF-7, Affirmed Ca (sf); previously on Mar 7, 2011 Downgraded
to Ca (sf)
Cl. MF-8, Affirmed C (sf); previously on Mar 7, 2011 Downgraded to
C (sf)
Cl. MV-6, Withdrawn (sf); previously on Apr 9, 2012 Confirmed at
Caa2 (sf)
Cl. MV-7, Withdrawn (sf); previously on Apr 9, 2012 Downgraded to
Caa3 (sf)
Issuer: Morgan Stanley ABS Capital I Trust 2000-1
Cl. B-1, Downgraded to B1 (sf); previously on Apr 10, 2012
Downgraded to Ba3 (sf)
Issuer: RAMP Series 2001-RS2, Mortgage Asset-Backed Pass-Through
Certificates, Series 2001-RS2
Cl. A-II, Affirmed A1 (sf); previously on Apr 17, 2012 Confirmed
at A1 (sf)
Cl. M-II-1, Upgraded to Baa2 (sf); previously on Apr 17, 2012
Upgraded to Ba1 (sf)
Cl. M-II-2, Upgraded to Ba3 (sf); previously on Apr 17, 2012
Upgraded to B3 (sf)
Cl. M-II-3, Affirmed Caa1 (sf); previously on Apr 17, 2012
Upgraded to Caa1 (sf)
Cl. B-II, Affirmed C (sf); previously on Apr 5, 2011 Downgraded to
C (sf)
Issuer: RASC Series 2003-KS2 Trust
Cl. A-I-5, Downgraded to B1 (sf); previously on Apr 9, 2012
Downgraded to Ba1 (sf)
Cl. A-I-6, Downgraded to Ba3 (sf); previously on Apr 9, 2012
Downgraded to Baa3 (sf)
Cl. M-I-1, Affirmed Caa3 (sf); previously on Apr 9, 2012
Downgraded to Caa3 (sf)
Cl. M-I-2, Affirmed C (sf); previously on Apr 9, 2012 Downgraded
to C (sf)
Cl. M-I-3, Affirmed C (sf); previously on Mar 30, 2011 Downgraded
to C (sf)
Ratings Rationale:
The actions are a result of recent performance reviews of these
transactions and reflect Moody's updated loss expectations on
these pools.
Moody's current RMBS surveillance methodologies apply to pools
with at least 40 loans and a pool factor of greater than 5%. As a
result, Moody's may withdraw its rating when the pool factor drops
below 5% and the number of loans in the pool declines to less than
40 unless specific structural features allow for a monitoring of
the transaction (such as a credit enhancement floor).
Moody's has withdrawn the ratings for CitiFinancial Mortgage
Securities Inc. 2004-1 Class MV-6 and Class MV-7 pursuant to
published rating methodologies that allow for the withdrawal of
the rating if the size of the underlying collateral pool at the
time of the withdrawal has fallen below a specified level.
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.
Moody's adjusts the methodologies 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.
When assigning the final ratings to senior bonds, in addition to
the methodologies, 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 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 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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.
* Moody's Takes Actions on $39-Mil. U.S. Scratch-and-Dent RMBS
--------------------------------------------------------------
Moody's Investors Service downgraded the rating of 6 tranches, and
affirmed the rating of 9 tranches from 2 transactions, backed by
Scratch and Dent loans.
Ratings Rationale:
The actions are a result of recent performance review of these
deals 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. e.g., for shifting
interest structures, back-ended liquidations could expose the
seniors to tail-end losses. The subordinate bonds in the majority
of these deals are currently receiving 100% of their principal
payments, and thereby depleting the dollar enhancement available
to the senior bonds. This individual pool level analysis
incorporates performance variances across the different pools and
the structural nuances of the transaction.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "US RMBS Surveillance Methodology for Scratch
and Dent" published in May 2011.
Moody's adjusts the methodologies 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 September 2014.
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 8.5% in December 2011 to 7.9% in January 2013.
Moody's forecasts a unemployment central range of 7.0% to 8.0% for
the 2013 year. Moody's expects housing prices to continue to rise
in 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: Bear Stearns Mtge Sec Inc. Series 1997-6
3-A, Affirmed Aaa (sf); previously on Dec 30, 1997 Assigned Aaa
(sf)
3-X, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to
Ba3 (sf)
3-B-1, Affirmed Aaa (sf); previously on May 9, 2003 Upgraded to
Aaa (sf)
3-B-2, Downgraded to A1 (sf); previously on May 9, 2003 Upgraded
to Aa1 (sf)
3-B-4, Downgraded to Caa1 (sf); previously on Apr 24, 2009
Downgraded to B1 (sf)
3-B-3, Downgraded to Baa2 (sf); previously on May 9, 2003 Upgraded
to A1 (sf)
3-B-5, Affirmed Ca (sf); previously on Apr 24, 2009 Downgraded to
Ca (sf)
Issuer: RAMP Series 2004-SL2 Trust
Cl. A-I, Affirmed A1 (sf); previously on May 19, 2011 Downgraded
to A1 (sf)
Cl. A-II, Affirmed A2 (sf); previously on May 19, 2011 Downgraded
to A2 (sf)
Cl. A-III, Affirmed A3 (sf); previously on Jul 17, 2012 Confirmed
at A3 (sf)
Cl. A-IV, Downgraded to Ba1 (sf); previously on Jul 17, 2012
Confirmed at A3 (sf)
Cl. A-IO, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. A-PO, Downgraded to Baa1 (sf); previously on May 19, 2011
Downgraded to A3 (sf)
Cl. A-I-IO, Affirmed Ba3 (sf); previously on Jul 17, 2012
Downgraded to Ba3 (sf)
Cl. A-I-PO, Affirmed A1 (sf); previously on May 19, 2011
Downgraded to A1 (sf)
* Moody's Lifts Ratings on TruPS CDO Notes From Two Issuers
-----------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by:
Issuer: Preferred Term Securities XXIII, Ltd.
U.S.$ 544,000,000 Floating Rate Class A-1 Senior Notes Due
December 22, 2036 (current balance of $369,057,364), Upgraded to
Aa3 (sf); previously on August 18, 2009 Downgraded to B1 (sf);
U.S.$ 141,000,000 Floating Rate Class A-2 Senior Notes Due
December 22, 2036 (current balance of $137,460,916), Upgraded to
A3 (sf); previously on August 18, 2009 Downgraded to Caa1 (sf);
U.S.$ 321,000,000 Floating Rate Class A-FP Senior Notes Due
December 22, 2036 (current balance of $196,058,413), Upgraded to
A1 (sf); previously on August 18, 2009 Downgraded to B1 (sf);
U.S.$ 67,400,000 Floating Rate Class B-1 Mezzanine Notes Due
December 22, 2036 (current balance of $66,761,343), Upgraded to B1
(sf); previously on August 18, 2009 Downgraded to Ca (sf);
U.S.$ 31,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
December 22, 2036 (current balance of $32,392,320), Upgraded to B1
(sf); previously on August 18, 2009 Downgraded to Ca (sf);
U.S.$ 57,600,000 Floating Rate Class B-FP Mezzanine Notes Due
December 22, 2036 (current balance of $46,946,226), Upgraded to B1
(sf); previously on August 18, 2009 Downgraded to Ca (sf);
U.S.$ 81,200,000 Floating Rate Class C-1 Mezzanine Notes Due
December 22, 2036 (current balance of $84,529,158), Upgraded to Ca
(sf); previously on August 18, 2009 Downgraded to C (sf);
U.S.$ 28,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due
December 22, 2036 (current balance of $32,747,949), Upgraded to Ca
(sf); previously on August 18, 2009 Downgraded to C (sf);
U.S.$ 52,800,000 Floating Rate Class C-FP Mezzanine Notes Due
December 22, 2036 (current balance of $44,682,051), Upgraded to Ca
(sf); previously on August 18, 2009 Downgraded to C (sf);
Issuer: PreTSL Combination Series P XXIII-1 Trust
US $500,000 Combination Certificates, Series P XXIII-1 (current
rated balance of $338,188), Upgraded to Aaa (sf); previously on
April 28, 2009 Downgraded to Aa1 (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of the improvement in the credit quality of the
underlying portfolio, deleveraging of the Class A notes and an
increase in the transaction's overcollateralization ratios since
the last rating action in August 2009.
Moody's 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
867 compared to 1490 as of the last rating action date.
Moody's also notes that the Class A-X notes have been fully paid
down and Class A-1 and Class A-FP notes have been paid down by
$161 million and $62 million, respectively 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 175% from 153% since the last rating action,
as calculated by Moody's. Based on Moody's calculation, the Senior
Coverage Ratio and Class B Mezzanine Coverage Ratio after December
payment are 127.47% and 105.52% versus August 2009 levels of
121.35% and 104.00%. Going forward, the Class A-1 and Class A-FP
notes will continue to benefit from the diversion of excess
interest and the proceeds from future redemptions of any assets in
the collateral pool.
Due to the impact of revised and updated key assumptions
referenced in our 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 $895.6 million (including the accreted value
of the Reserve Account Strip), defaulted/deferring par of $338.5
million, a weighted average default probability of 19.69%
(implying a WARF of 867), Moody's Asset Correlation of 17.74%, and
a weighted average recovery rate upon default of 8.92%. 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.
Preferred Term Securities XXIII, Ltd., issued on March 2006, is a
collateralized debt obligation backed by a portfolio of bank,
insurance and REIT trust preferred securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks and insurance companies that are generally not publicly
rated by Moody's. To evaluate the credit quality of bank TruPS
without public ratings, 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 Q3-2012. For insurance TruPS without public ratings, Moody's
relies on the assessment of Moody's Insurance team based on the
credit analysis of the underlying insurance firms' annual
statutory financial reports. For REIT TruPS without public ratings
by Moody's, their credit quality is assessed by Moody's REIT group
using the REIT firms annual financial reporting.
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 principal methodology used in these ratings was "Moody's
Approach to Rating TRUP CDOs" published in May 2011. The
methodology used in rating the Combination Certificates was "Using
the Structured Note Methodology to Rate CDO Combo-Notes" published
in February 2004.
The transaction's portfolio was modeled using CDOROM v.2.8 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 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 183 points from the
base case of 867, 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 147 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 $52 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.
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: 0
Class A-2: +1
Class A-FP: 0
Class B-1: +1
Class B-2: +1
Class B-FP: +1
Class C-1: +2
Class C-2: +2
Class C-FP: +2
Combination Certificates: 0
Sensitivity Analysis 2:
Class A-1: 0
Class A-2: +1
Class A-FP: 0
Class B-1: +0
Class B-2: +0
Class B-FP: +0
Class C-1: +1
Class C-2: +1
Class C-FP: +1
Combination Certificates: 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 2013 compared to the last few years, and some of the
previously deferring banks have resumed interest payment on their
trust preferred securities. Moody's continues to have a stable
outlook in the insurance sector, other than the negative outlook
on the U.S. life insurance industry.
* S&P Lowers Ratings on 9 Tranches From 4 CDO Transactions
----------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on two
tranches from two corporate-backed synthetic collateralized debt
obligation (CDO) transactions on CreditWatch with positive
implications and seven tranches from three corporate-backed
synthetic CDO transactions on CreditWatch negative. In addition,
Standard & Poor's placed on CreditWatch negative two tranches from
two synthetic CDO transactions with ratings that are linked to one
corporate-backed synthetic CDO transaction. At the same time,
Standard & Poor's raised 24 tranche ratings from 21 corporate-
backed synthetic CDO transactions and removed them from
CreditWatch with positive implications and affirmed nine tranche
ratings from four corporate-backed synthetic CDO transactions,
removing two from CreditWatch positive. S&P also lowered nine
tranche ratings from six synthetic CDO of CMBS and two tranche
ratings from one corporate-backed synthetic CDO transaction,
removing them from CreditWatch negative. These rating actions
followed S&P's monthly review of synthetic CDO transactions.
The CreditWatch positive placements and upgrades 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 CreditWatch negative placements and downgrades reflect a
deterioration of the underlying reference portfolio, which caused
the SROC ratio to fall below 100% at the current rating level.
The affirmations are from synthetic CDOs that had SROC ratios
above 100% or had sufficient credit enhancement at the current
rating levels.
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
ARLO Ltd. Series 2006 (SKL CDO-Series 11)
Rating
Class To From
A BBB+p (sf) BBB-p (sf)/Watch Pos
Athenee CDO PLC Series 2007-4
Rating
Class To From
Tranche B BB+ (sf) BB (sf)/Watch Pos
Athenee CDO PLC Series 2007-6
Rating
Class To From
Tranche B BB+ (sf) BB (sf)/Watch Pos
Athenee CDO PLC Series 2007-14
Rating
Class To From
Tranche B BB+ (sf) BB (sf)/Watch Pos
Corsair (Jersey) No. 4 Ltd.
Series 10 Partial Credit Loss Protected Step-Down Portfolio
USD$40,000,000 Credit Linked Notes due 2027
Rating
Class To From
Nts BB+ (sf) BB (sf)/Watch Pos
Greylock Synthetic CDO 2006 Series 6
Rating
Class To From
A1A-$LMS AA- (sf) A+ (sf)/Watch Pos
Greylock Synthetic CDO 2006 Series 2
Rating
Class To From
A3-$FMS BB (sf) BB- (sf)/Watch Pos
A3-$LMS BB (sf) BB- (sf)/Watch Pos
A3A-$FMS BB (sf) BB- (sf)/Watch Pos
A3B-$LMS BB (sf) BB- (sf)/Watch Pos
Infinity SPC Limited
US$25 mil Class B Floating Rate Notes (CPORTS POTOMAC 2007-1)
Rating
Class To From
B B+ (sf) B (sf)/Watch Pos
Lorally CDO Limited Series 2006-2
Rating
Class To From
2006-2 AA- (sf) A+ (sf)/Watch Pos
Lorally CDO Limited Series 2006-4
Rating
Class To From
2006-4 AA- (sf) A+ (sf)/Watch Pos
Morgan Stanley ACES SPC Series 2006-27
Rating
Class To From
A BB (sf) BB- (sf)/Watch Pos
Morgan Stanley ACES SPC Series 2006-13
Rating
Class To From
A AA+ (sf) A- (sf)/Watch Pos
Morgan Stanley ACES SPC Series 2006-35
Rating
Class To From
I B (sf) B- (sf)/Watch Pos
Morgan Stanley Managed ACES SPC (Aviva) Series 2007-16
Rating
Class To From
IB BB+ (sf) BB (sf)/Watch Pos
PARCS Master Trust Series 2007-6 Calvados
Rating
Class To From
Trust Unit B- (sf) CCC- (sf)/Watch Pos
PARCS-R Master Trust Series 2007-12
Rating
Class To From
Trust Unit BBB (sf) BBB- (sf)/Watch Pos
Repacs Trust Series 2007 Rigi Debt Units
Rating
Class To From
Debt Units B- (sf) CCC- (sf)/Watch Pos
STARTS (Cayman) Ltd. Series 2007-9
Rating
Class To From
Nts BBB- (sf) BB+ (sf)/Watch Pos
STARTS (Cayman) Ltd. Series 2007-28
Rating
Class To From
A4-D4 B- (sf) CCC (sf)/Watch Pos
STARTS (Cayman) Ltd. Series 2006-5
Rating
Class To From
A2-D2 A (sf) A- (sf)/Watch Pos
Strata Trust Series 2007-5
Rating
Class To From
Nts B- (sf) CCC- (sf)/Watch Pos
RATINGS LOWERED
Claris Ltd.
US$2.5 bil Sonoma Valley 2007-1 Synthetic CDO of CMBS Variable
Notes due 2049 Series 92/2007
Rating
Class To From
Trnch 1 B+ (sf) BB+ (sf)/Watch Neg
Claris Ltd.
US$2.5 bil Sonoma Valley 2007-1Synthetic CDO of CMBS Variable
Notes due 2049 Series 93/2007
Rating
Class To From
Trnch 1 B+ (sf) BB+ (sf)/Watch Neg
Claris Ltd.
US$2.5 bil Sonoma Valley 2007-1 Synthetic CDO of CMBS Variable
Notes due 2049 Series 94/2007
Rating
Class To From
Trnch 1 B+ (sf) BB+ (sf)/Watch Neg
Pegasus 2007-1, Ltd.
Rating
Class To From
A1 CCC+ (sf) B- (sf)/Watch Neg
A2 CCC+ (sf) B- (sf)/Watch Neg
REPACS Trust Series 2006-1 Monte Rosa
Rating
Class To From
A-1 CCC- (sf) B+ (sf)/Watch Neg
A-2 CCC- (sf) B (sf)/Watch Neg
Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
Rating
Class To From
A CCC+ (sf) B+ (sf)/Watch Neg
B CCC+ (sf) B+ (sf)/Watch Neg
Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd
Rating
Class To From
A CCC+ (sf) B+ (sf)/Watch Neg
B CCC+ (sf) B+ (sf)/Watch Neg
RATINGS AFFIRMED
Galena CDO II (Ireland) PLC Series A-1U10-B
Rating
Class To From
A-1U10-B B+ (sf) B+ (sf)/Watch Pos
Morgan Stanley ACES SPC Series 2007-8
Rating
Class To From
A1 CCC- (sf) CCC- (sf)
A2 B- (sf) B- (sf)
Senior BB+ (sf) BB+ (sf)
REVE SPC EUR50-mil, JPY3-bil,
US$154 mil REVE SPC Dryden XVII Notes Series 2007-1
Rating
Class To From
A Series18 B+ (sf) B+ (sf)/Watch Pos
STARTS (Cayman) Ltd. Series 2007-14
Rating
Class To From
A1-D CCC- (sf) CCC- (sf)
A2-A CCC- (sf) CCC- (sf)
A2-D CCC- (sf) CCC- (sf)
A2-J CCC- (sf) CCC- (sf)
RATINGS PLACED ON CREDITWATCH POSITIVE
STARTS (Cayman) Ltd.
AUD6 mil Maple Hill II Managed Synthetic CDO Series 2007-18
Rating
Class To From
B1-A1 CCC- (sf)/Watch Pos CCC- (sf)
STARTS (Cayman) Ltd.
US$60 mil Maple Hill II Managed Synthetic CDO, Series 2007-29
Rating
Class To From
B3-D3 CCC- (sf)/Watch Pos CCC- (sf)
RATINGS PLACED ON CREDITWATCH NEGATIVE
Camber Master Trust Series 7
Rating
Class To From
Series 7 B (sf)/Watch Neg B (sf)
Camber Master Trust Series 8
Rating
Class To From
Series 8 B (sf)/Watch Neg B (sf)
Credit Linked Notes Ltd. Series 2006-1
Rating
Class To From
Nts B (sf)/Watch Neg B (sf)
Newport Waves CDO Series 8
Rating
Class To From
A3-ELS BB- (sf)/Watch Neg BB- (sf)
Newport Waves CDO Series 2
Rating
Class To From
A1-$LS BB+ (sf)/Watch Neg BB+ (sf)
A1A-$LS BB+ (sf)/Watch Neg BB+ (sf)
A1B-$LS BB (sf)/Watch Neg BB (sf)
A3-$LMS BB- (sf)/Watch Neg BB- (sf)
A3A-$LMS BB- (sf)/Watch Neg BB- (sf)
* S&P Lowers Rating on 61 Classes from 14 US RMBS Transactions
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 61
classes from 14 U.S. residential mortgage-backed securities (RMBS)
transactions. S&P also affirmed its ratings on 58 classes from
these transactions. In addition, S&P withdrew its ratings on four
classes from two transactions due to its interest-only (IO)
criteria which prompts withdrawal on these classes when S&P rates
the reference classes below 'AA- (sf)'.
Each of the 14 structures reviewed is backed by prime jumbo
mortgage collateral. The transactions in this review were issued
between 2002 and 2004 and are backed by adjustable- and fixed-rate
mortgage loans secured primarily by first liens on one- to four-
family residential properties.
S&P reviewed these transactions between September and December
2012. These transactions have generally experienced increases in
projected losses primarily due to an increase in delinquencies, a
decrease in the amount of credit enhancement provided to the
classes, and/or large loan delinquency shifts (i.e. a high balance
loan within the transaction moving into the 90-plus-days
delinquent bucket from 30 days delinquent since the last review).
For example, the Thornburg Mortgage Securities Trust 2002-4
transaction contains one loan, with a $2,435,900 balance, that
became 90-plus-days delinquent since its last review on Nov. 7,
2012. This loan accounts for 5.65% of the current pool balance
and has caused S&P's projected loss to increase 283% for this
transaction since its last review.
In addition, some of the reviewed transactions are backed by a
small remaining pool of mortgage loans. Standard & Poor's
believes that the liquidation of one or more of the loans in
transactions with a small number of remaining loans may have an
adverse effect on the credit support for the remaining loans.
This potential "tail risk" to the rated classes resulted from one
or more of the following factors:
-- Shifting-interest payment structures increase the
possibility of volatile credit performance. The cash flow
mechanics within these transactions allow unscheduled
principal to be paid 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;
and
-- The lack of credit enhancement floors that could add
additional protection to the classes within a structure.
Securities that S&P currently rates '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 is
approaching 100 loans remaining, S&P addressed tail risk by
conducting additional loan-level analysis that stresses the loan
concentration risk within the specific pool. S&P may calculate
loss severities at the loan level using assumptions, such as
market-value declines published in its 2009 RMBS criteria, instead
of using pool-level assumptions. Because S&P developed its loss
severity assumptions using an aggregate sample set of data, it
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 S&P used
in its analysis is equal to the higher of the calculated loss
severity and 20%. S&P uses 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, S&P applies 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 S&P's
revised surveillance criteria and the rating derived by applying
its tail risk criteria.
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 might allow for additional allocation of
principal to the subordinate classes if they begin passing their
delinquency triggers again. In these instances, according to
S&P's criteria, it affirmed these ratings at 'AA+ (sf)' even
though some of these classes pass S&P's 'AAA (sf)' stress
scenario.
Of the 61 downgraded classes, S&P lowered its ratings on 16 to
speculative-grade from investment-grade. S&P lowered its ratings
on each of these classes to between 'BB+ (sf)' and 'B- (sf)'. In
addition, 29 of the lowered ratings remain at investment-grade.
The remaining 16 downgraded classes already had speculative-grade
ratings before the downgrades.
Of the 58 affirmed ratings, S&P affirmed 24 in investment-grade
categories of 'AA+ (sf)' and 'A+ (sf)', while S&P affirmed its
ratings on 34 classes in the 'CCC (sf)' or 'CC (sf)' categories.
S&P believes that the projected credit support for the 'CCC (sf)'
and 'CC (sf)' rated classes will remain insufficient to cover the
revised base-case projected losses to these classes.
In accordance with S&P's counterparty criteria, it considered any
applicable hedges related to these securities when performing
these rating actions.
Subordination provides the credit support for each of these prime
jumbo transactions.
Temporary telephone contact numbers: Michael Graffeo, (1) 646-584-
7722; Terry Osterweil, (1) 718-986-8140.
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
Banc of America Funding 2003-1 Trust Series 2003-1
Rating
Class CUSIP To From
B-1 05946XBZ5 AA (sf) AA+ (sf)
B-2 05946XCA9 B- (sf) BBB+ (sf)
B-3 05946XCB7 CCC (sf) B- (sf)
CHL Mortgage Pass-Through Trust 2003-J3 Series 2003-J3
Rating
Class CUSIP To From
1-A-1 12669D5Y0 AA (sf) AA+ (sf)
1-A-2 12669D5Z7 AA (sf) AA+ (sf)
1-A-3 12669D6A1 AA (sf) AA+ (sf)
1-A-10 12669D6H6 A+ (sf) AA+ (sf)
1-X 12669D6J2 AA (sf) AA+ (sf)
2-A-1 12669D6K9 A+ (sf) AA+ (sf)
2-X 12669D6L7 NR AA+ (sf)
M 12669D6P8 B (sf) BBB+ (sf)
B-1 12669D6Q6 B- (sf) BB+ (sf)
B-2 12669D6R4 CCC (sf) B- (sf)
CHL Mortgage Pass-Through Trust 2003-J6 Series 2003-J6
Rating
Class CUSIP To From
3-A-1 12669EQX7 AA (sf) AA+ (sf)
M 12669ERA6 B- (sf) BB+ (sf)
B-1 12669ERB4 CCC (sf) B- (sf)
Citicorp Mortgage Securities Inc. Series 2004-4
Rating
Class CUSIP To From
A-6 172973XW4 A (sf) A+ (sf)
A-7 172973XX2 A (sf) A+ (sf)
A-11 172973YB9 A (sf) A+ (sf)
A-PO 172973YE3 A (sf) A+ (sf)
B-1 172973YF0 CCC (sf) B- (sf)
Citigroup Mortgage Loan Trust, Series 2004-UST1
Rating
Class CUSIP To From
A-4 17307GLB2 BBB- (sf) A+ (sf)
B-1 17307GCI7 BB- (sf) BBB+ (sf)
GMACM Mortgage Loan Trust 2003-AR1
Rating
Class CUSIP To From
A-4 36185NYY0 AA (sf) AA+ (sf)
A-5 36185NYZ7 AA (sf) AA+ (sf)
A-6 36185NZA1 AA (sf) AA+ (sf)
M-1 36185NZE3 B- (sf) BB+ (sf)
GMACM Mortgage Loan Trust 2003-J7 Series 2003-J7
Rating
Class CUSIP To From
A-7 36185ND56 B (sf) BBB+ (sf)
A-8 36185ND64 BBB (sf) A+ (sf)
A-9 36185ND72 B (sf) BBB+ (sf)
A-10 36185ND80 BB (sf) BBB+ (sf)
PO 36185ND98 B (sf) BBB+ (sf)
M-1 36185NE55 CCC (sf) B- (sf)
RFMSI Series 2003-S19 Trust
Rating
Class CUSIP To From
A-9 76111XCP6 A (sf) A+ (sf)
A-10 76111XCQ4 A (sf) A+ (sf)
A-P 76111XCT8 A (sf) A+ (sf)
M-1 76111XCX9 B- (sf) BB- (sf)
M-2 76111XCY7 CCC (sf) B- (sf)
Sequoia Mortgage Trust 10 Series 10
Rating
Class CUSIP To From
1A 81743VAA1 A (sf) A+ (sf)
2A-2 81743VAN3 A (sf) A+ (sf)
B-1 81743VAG8 B- (sf) BB (sf)
Sequoia Mortgage Trust 11
Rating
Class CUSIP To From
A 81744AAA6 BBB- (sf) A+ (sf)
B-1 81744AAB4 CCC (sf) B- (sf)
Sequoia Mortgage Trust 2003-1
Rating
Class CUSIP To From
1A 81743PAA4 AA- (sf) AA+ (sf)
2A 81743PAB2 AA (sf) AA+ (sf)
X-1A 81743PAC0 NR AA+ (sf)
X-1B 81743PAD8 NR AA+ (sf)
X-2 81743PAE6 NR AA+ (sf)
B-1 81743PAH9 B- (sf) BB+ (sf)
Thornburg Mortgage Securities Trust 2002-4
Rating
Class CUSIP To From
I-A 885220CA9 BB- (sf) A+ (sf)
II-A 885220CB7 BB (sf) A+ (sf)
III-A 885220CC5 BB (sf) A+ (sf)
IV-A 885220CD3 BB+ (sf) AA+ (sf)
B-1 885220CE1 CCC (sf) BB- (sf)
Wells Fargo Mortgage Backed Securities 2004-F Trust
Rating
Class CUSIP To From
A-4 949770AD3 BB+ (sf) AA- (sf)
A-5 949770AE1 BBB (sf) AA- (sf)
A-6 949770AF8 BBB+ (sf) AA+ (sf)
A-7 949770AG6 BBB+ (sf) AA+ (sf)
A-9 949770AJ0 BB+ (sf) AA- (sf)
A-10 949770AK7 BB+ (sf) AA- (sf)
A-11 949770AL5 BB+ (sf) AA- (sf)
B-1 949770AN1 CCC (sf) B+ (sf)
Wells Fargo Mortgage Backed Securities 2004-G Trust
Rating
Class CUSIP To From
A-2 94978JAB5 BBB- (sf) BBB+ (sf)
A-4 94978JAD1 BB- (sf) BBB+ (sf)
B-1 94978JAF6 CCC (sf) B- (sf)
RATINGS AFFIRMED
Banc of America Funding 2003-1 Trust
Class CUSIP Rating
A-1 05946XBV4 AA+ (sf)
A-WIO 05946XBX0 AA+ (sf)
B-4 05946XCC5 CCC (sf)
B-5 05946XCD3 CCC (sf)
CHL Mortgage Pass-Through Trust 2003-J3
Class CUSIP Rating
1-A-8 12669D6F0 A+ (sf)
1-A-9 12669D6G8 A+ (sf)
PO 12669D6M5 A+ (sf)
B-3 12669EBN5 CCC (sf)
B-4 12669EBP0 CCC (sf)
CHL Mortgage Pass-Through Trust 2003-J6
Class CUSIP Rating
1-A-1 12669EQS8 A+ (sf)
2-A-1 12669EQT6 AA+ (sf)
2-A-3 12669EQV1 AA+ (sf)
2-X 12669EQW9 AA+ (sf)
PO 12669EQY5 A+ (sf)
B-2 12669ERC2 CCC (sf)
B-3 12669EVN3 CC (sf)
B-4 12669EVP8 CC (sf)
Citicorp Mortgage Securities Inc.
Class CUSIP Rating
A-4 172973XU8 AA+ (sf)
A-10 172973YA1 AA+ (sf)
A-12 172973YC7 AA+ (sf)
B-2 172973YG8 CCC (sf)
B-3 172973YH6 CCC (sf)
B-4 172973YJ2 CC (sf)
Citigroup Mortgage Loan Trust, Series 2004-UST1
Class CUSIP Rating
A-1 17307GKY3 AA+ (sf)
A-2 17307GKZ0 A+ (sf)
A-3 17307GLA4 AA+ (sf)
A-5 17307GLC0 AA+ (sf)
A-6 17307GLD8 AA+ (sf)
B-2 17307GCO4 CCC (sf)
B-3 17307GDI6 CCC (sf)
B-4 17307GDO3 CCC (sf)
B-5 17307GEI5 CCC (sf)
GMACM Mortgage Loan Trust 2003-AR1
Class CUSIP Rating
M-2 36185NZF0 CCC (sf)
GMACM Mortgage Loan Trust 2003-J7
Class CUSIP Rating
M-2 36185NE63 CCC (sf)
M-3 36185NE71 CC (sf)
B-1 36185NE89 CC (sf)
RFMSI Series 2003-S19 Trust
Class CUSIP Rating
A-7 76111XCM3 AA+ (sf)
A-8 76111XCN1 A+ (sf)
A-V 76111XCU5 AA+ (sf)
M-3 76111XCZ4 CCC (sf)
B-1 76111XDA8 CC (sf)
B-2 76111XDB6 CC (sf)
Sequoia Mortgage Trust 10
Class CUSIP Rating
2A-1 81743VAB9 AA+ (sf)
X-2 81743VAP8 AA+ (sf)
B-2 81743VAH6 CCC (sf)
B-3 81743VAJ2 CCC (sf)
B-4 81743VAK9 CC (sf)
Sequoia Mortgage Trust 11
Class CUSIP Rating
B-2 81744AAG3 CC (sf)
Sequoia Mortgage Trust 2003-1
Class CUSIP Rating
B-2 81743PAJ5 CCC (sf)
B-3 81743PAK2 CCC (sf)
B-4 81743PAL0 CC (sf)
Thornburg Mortgage Securities Trust 2002-4
Class CUSIP Rating
B-2 885220CF8 CCC (sf)
B-3 885220CG6 CC (sf)
Wells Fargo Mortgage Backed Securities 2004-F Trust
Class CUSIP Rating
B-2 949770AP6 CCC (sf)
B-3 949770AQ4 CCC (sf)
B-4 949770AR2 CC (sf)
Wells Fargo Mortgage Backed Securities 2004-G Trust
Class CUSIP Rating
A-3 94978JAC3 AA+ (sf)
B-2 94978JAG4 CC (sf)
* S&P Lowers Rating on 145 Classes From 72 U.S. RMBS Deals
----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 145
classes from 72 U.S. residential mortgage-backed securities (RMBS)
transactions that are insured by MBIA Insurance Corp. (MBIA).
The rating actions follow the Feb. 28, 2013, lowering of S&P's
financial strength rating on MBIA to 'CCC' from 'B'. The outlook
on the company remains negative.
Based on S&P's criteria, the rating on a bond-insured class
reflects the higher of the rating on the respective bond insurer
or the rating on the class without the benefit of the bond
insurance.
Two re-REMIC securities that are not bond-insured were also part
of this review due to the underlying class being bond-insured by
MBIA and the insured payments are passed through to the re-REMIC
securities. These two classes do not benefit from additional
credit enhancement.
The underlying collateral for these transactions consists of
Alternative-A (Alt-A), prime jumbo, subprime, closed-end second-
lien (CES), and home equity line of credit (HELOC) securities.
Standard & Poor's will continue to monitor its ratings on all U.S.
RMBS classes that MBIA insures and take rating actions as S&P
deems appropriate based on its criteria.
Temporary telephone contact numbers: Jessica Barbara,
(1) 201-341-9193; Terry Osterweil, (1) 718-986-8140
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
ABFS Mortgage Loan Trust 2001-1
Rating
Class CUSIP To From
A-1 000759BU3 CCC (sf) B (sf)
ABFS Mortgage Loan Trust 2001-2
Rating
Class CUSIP To From
A-1 00079CAB5 CCC (sf) B (sf)
A-4 00079CAE9 CCC (sf) B (sf)
ABFS Mortgage Loan Trust 2001-3
Rating
Class CUSIP To From
A-1 000759BW9 CCC (sf) B (sf)
A-2 000759BY5 CCC (sf) B (sf)
ABFS Mortgage Loan Trust 2001-4
Rating
Class CUSIP To From
A 000759CA6 CCC (sf) B (sf)
AFC Trust Series 2000-2
Rating
Class CUSIP To From
1A 00105HEJ1 CCC (sf) B (sf)
2A 00105HEK8 CCC (sf) B (sf)
Alternative Loan Trust 2005-34CB
Rating
Class CUSIP To From
1-A-3 12667GW66 CCC (sf) B (sf)
Alternative Loan Trust 2005-J1
Rating
Class CUSIP To From
1-A-3 12667FT39 CCC (sf) B (sf)
Alternative Loan Trust 2005-J2
Rating
Class CUSIP To From
1-A-11 12667F6G5 CCC (sf) B (sf)
Alternative Loan Trust 2007-15CB
Rating
Class CUSIP To From
A-1 02151CAA4 CCC (sf) B (sf)
Alternative Loan Trust 2007-J1
Rating
Class CUSIP To From
3-A-2 02149MCJ6 CCC (sf) B (sf)
BankBoston Home Equity Loan Trust 1998-1
Rating
Class CUSIP To From
A-5 06606WAE4 CCC (sf) B (sf)
CHL Mortgage Pass Through Trust 2005-5
Rating
Class CUSIP To From
A-4 12669GQT1 CCC (sf) B (sf)
CHL Mortgage Pass-Through Trust 2005-15
Rating
Class CUSIP To From
A-4 12669GQ87 CCC (sf) B (sf)
CHL Mortgage Pass-Through Trust 2005-24
Rating
Class CUSIP To From
A-5 126694JV1 CCC (sf) B (sf)
ContiMortgage Home Equity Loan Trust 1994-5
Rating
Class CUSIP To From
A-4 21075WAS4 CCC (sf) B (sf)
ContiMortgage Home Equity Loan Trust 1996-2
Rating
Class CUSIP To From
A-8 21075WCV5 CCC (sf) B (sf)
ContiMortgage Home Equity Loan Trust 1996-3
Rating
Class CUSIP To From
A-7 21075WDD4 CCC (sf) B (sf)
ContiMortgage Home Equity Loan Trust 1996-4
Rating
Class CUSIP To From
A-8 21075WDQ5 CCC (sf) B (sf)
A-9 21075WDR3 CCC (sf) B (sf)
A-10 21075WDS1 CCC (sf) B (sf)
CWABS Asset Backed Certificates Trust 2005-11
Rating
Class CUSIP To From
AF-5B 126670DR6 CCC (sf) B (sf)
CWABS Asset Backed Certificates Trust 2005-13
Rating
Class CUSIP To From
AF-5 126670GS1 CCC (sf) B (sf)
CWABS Asset-Backed Certificates Trust 2005-4
Rating
Class CUSIP To From
AF-5B 126673N81 B- (sf) B (sf)
CWABS Revolving Home Equity Loan Trust, Series 2004-I
Rating
Class CUSIP To From
Notes 126673FH0 CCC (sf) B (sf)
CWHEQ Home Equity Loan Trust, Series 2006-S10
Rating
Class CUSIP To From
A-2 12668YAB9 CCC (sf) B (sf)
A-3 12668YAC7 CCC (sf) B (sf)
CWHEQ Home Equity Loan Trust, Series 2006-S8
Rating
Class CUSIP To From
A-2 12668XAB1 CCC (sf) B (sf)
A-3 12668XAC9 CCC (sf) B (sf)
A-4 12668XAD7 CCC (sf) B (sf)
A-5 12668XAE5 CCC (sf) B (sf)
A-6 12668XAF2 CCC (sf) B (sf)
CWHEQ Home Equity Loan Trust, Series 2006-S9
Rating
Class CUSIP To From
A-2 12668GAB8 CCC (sf) B (sf)
A-3 12668GAC6 CCC (sf) B (sf)
A-4 12668GAD4 CCC (sf) B (sf)
A-5 12668GAE2 CCC (sf) B (sf)
A-6 12668GAF9 CCC (sf) B (sf)
CWHEQ Home Equity Loan Trust, Series 2007-S1
Rating
Class CUSIP To From
A-1-A 12669RAA5 CCC (sf) B (sf)
A-1-B 12669RAL1 CCC (sf) B (sf)
A-2 12669RAB3 CCC (sf) B (sf)
A-3 12669RAC1 CCC (sf) B (sf)
A-4 12669RAD9 CCC (sf) B (sf)
A-5 12669RAE7 CCC (sf) B (sf)
A-6 12669RAF4 CCC (sf) B (sf)
CWHEQ Home Equity Loan Trust, Series 2007-S2
Rating
Class CUSIP To From
A-2 12670BAB5 CCC (sf) B (sf)
A-3 12670BAC3 CCC (sf) B (sf)
A-4-F 12670BAD1 CCC (sf) B (sf)
A-4-V 12670BAL3 CCC (sf) B (sf)
A-5-F 12670BAE9 CCC (sf) B (sf)
A-5-V 12670BAM1 CCC (sf) B (sf)
A-6 12670BAF6 CCC (sf) B (sf)
CWHEQ Home Equity Loan Trust, Series 2007-S3
Rating
Class CUSIP To From
A-2 12670HAB2 CCC (sf) B (sf)
A-3 12670HAC0 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Resecuritization Trust
Rating
Class CUSIP To From
05-E-1a 23242YBJ3 CCC (sf) B (sf)
05-E-1b 23242YBK0 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-E
Rating
Class CUSIP To From
1-A 126685AG1 CCC (sf) B (sf)
2-A 126685AH9 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-I
Rating
Class CUSIP To From
1-A 126685AQ9 CCC (sf) B (sf)
2-A 126685AR7 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2005-M
Rating
Class CUSIP To From
A-1 126685BT2 CCC (sf) B (sf)
A-4 126685BW5 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2006-E
Rating
Class CUSIP To From
1-A 23242QAD4 CCC (sf) B (sf)
2-A 23242QAE2 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Trust Series 2006-G
Rating
Class CUSIP To From
1-A 23243JAA5 CCC (sf) B (sf)
2-A 23243JAB3 CCC (sf) B (sf)
CWHEQ Revolving Home Equity Loan Trust, Series 2007-E
Rating
Class CUSIP To From
A 12670TAA8 CCC (sf) B (sf)
Delta Funding Home Equity Loan Trust 1995-2
Rating
Class CUSIP To From
A-5 24763LAE0 CCC (sf) B (sf)
Delta Funding Home Equity Loan Trust 1998-1
Rating
Class CUSIP To From
A-6F 24763LDC1 CCC (sf) B (sf)
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-1
Rating
Class CUSIP To From
I-A-4A 25151YAF6 CCC (sf) B (sf)
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR3
Rating
Class CUSIP To From
I-A-1 25150VAA4 CCC (sf) B (sf)
I-A-2 25150VAB2 CCC (sf) B (sf)
I-A-3 25150VAC0 CCC (sf) B (sf)
I-A-4 25150VAD8 CCC (sf) B (sf)
Flagstar Home Equity Loan Trust 2007-1
Rating
Class CUSIP To From
AF-3 33848JAC9 CCC (sf) B (sf)
AF-4 33848JAD7 CCC (sf) B (sf)
AF-5 33848JAE5 CCC (sf) B (sf)
GMACM Home Equity Loan Trust 2000-HE2
Rating
Class CUSIP To From
A-1 361856AN7 CCC (sf) B (sf)
GMACM Home Equity Loan Trust 2000-HE4
Rating
Class CUSIP To From
A-1 361856AQ0 CCC (sf) B (sf)
A-2 361856AR8 CCC (sf) B (sf)
GMACM Home Equity Loan Trust 2004-HE4
Rating
Class CUSIP To From
A-3 361856DP9 CCC (sf) B (sf)
A-2 VPRN 361856DR5 CCC (sf) B (sf)
GMACM Home Equity Loan Trust 2006-HE4
Rating
Class CUSIP To From
A-1 38012UAA7 CCC (sf) B (sf)
A-2 38012UAB5 CCC (sf) B (sf)
A-3 38012UAC3 CCC (sf) B (sf)
GMACM Home Equity Loan Trust 2007-HE1
Rating
Class CUSIP To From
A-3 36186KAC9 CCC (sf) B (sf)
A-4 36186KAD7 CCC (sf) B (sf)
A-5 36186KAE5 CCC (sf) B (sf)
GSR Trust 2007-HEL1
Rating
Class CUSIP To From
A 36245HAA9 CCC (sf) B (sf)
Home Equity Loan Trust 2006-HSA4
Rating
Class CUSIP To From
A 43709WAA1 CCC (sf) B (sf)
Home Equity Loan Trust 2006-HSA5
Rating
Class CUSIP To From
A 437099AA2 CCC (sf) B (sf)
Home Equity Loan Trust 2007-HSA1
Rating
Class CUSIP To From
A 43710MAA0 CCC (sf) B (sf)
Variable F 43710M9A2 CCC (sf) B (sf)
Home Equity Loan Trust 2007-HSA2
Rating
Class CUSIP To From
A-4 43710RAE1 CCC (sf) B (sf)
A-5 43710RAF8 CCC (sf) B (sf)
A-6 43710RAG6 CCC (sf) B (sf)
Home Equity Loan Trust 2007-HSA3
Rating
Class CUSIP To From
A-I-4 43710WAD2 CCC (sf) B (sf)
A-I-5 43710WAE0 CCC (sf) B (sf)
A-I-6 43710WAF7 CCC (sf) B (sf)
A-II 43710WAG5 CCC (sf) B (sf)
Home Equity Mortgage Loan Asset Backed Trust, Series INDS 2007-1
Rating
Class CUSIP To From
A 43708DAA4 CCC (sf) B (sf)
Home Equity Mortgage Loan Asset-Backed Trust, Series INDS 2007-2
Rating
Class CUSIP To From
A 43710CAA2 CCC (sf) B (sf)
Home Equity Mortgage Trust 2007-2
Rating
Class CUSIP To From
2A-1F 43710DAR3 CCC (sf) B (sf)
2A-1A 43710DAB8 CCC (sf) B (sf)
2A-2 43710DAC6 CCC (sf) B (sf)
2A-3 43710DAD4 CCC (sf) B (sf)
2A-4 43710DAE2 CCC (sf) B (sf)
IndyMac Home Equity Mortgage Loan Asset Backed Trust, Series 2006-
H4
Rating
Class CUSIP To From
Notes 45660JAD6 CCC (sf) B (sf)
Lehman Mortgage Trust 2005-3
Rating
Class CUSIP To From
2-A5 52520MED1 CCC (sf) B (sf)
Lehman XS Trust, Series 2005-2
Rating
Class CUSIP To From
2-A3A 86359DMX2 CCC (sf) B (sf)
Morgan Stanley Mortgage Loan Trust 2006-15XS
Rating
Class CUSIP To From
A-2-B 61750YAC3 CCC (sf) B (sf)
A-4-B 61750YAF6 CCC (sf) B (sf)
A-5-B 61750YAH2 CCC (sf) B (sf)
A-6-B 61750YAK5 CCC (sf) B (sf)
Morgan Stanley Mortgage Loan Trust 2006-17XS
Rating
Class CUSIP To From
A-2-W 61751DAD6 CCC (sf) B (sf)
A-5-W 61751DAH7 CCC (sf) B (sf)
Morgan Stanley Mortgage Loan Trust 2007-10XS
Rating
Class CUSIP To From
A-1-W 61751MAB0 CCC (sf) B (sf)
A-3-W 61751MAD6 CCC (sf) B (sf)
Morgan Stanley Mortgage Loan Trust 2007-8XS
Rating
Class CUSIP To From
A-1-W 61754PAB0 CCC (sf) B (sf)
A-3-W 61754PAD6 CCC (sf) B (sf)
Morgan Stanley Mortgage Loan Trust 2007-9SL
Rating
Class CUSIP To From
A 61754TAA4 CCC (sf) B (sf)
Mortgage Lenders Network Home Equity Loan Trust 1999-1
Rating
Class CUSIP To From
A-1 61913JAE6 CCC (sf) B (sf)
Provident Bank Home Equity Loan Trust 1998-4
Rating
Class CUSIP To From
A-6 743844CA8 CCC (sf) B (sf)
A-7 743844CB6 CCC (sf) B (sf)
A-9 743844CD2 CCC (sf) B (sf)
Provident Bank Home Equity Loan Trust 1999-3
Rating
Class CUSIP To From
A-1 743844CU4 CCC (sf) B (sf)
A-3 743844CW0 CCC (sf) B (sf)
Provident Bank Home Equity Loan Trust 2000-1
Rating
Class CUSIP To From
A-1 743844CY6 CCC (sf) B (sf)
A-2 743844CZ3 CCC (sf) B (sf)
Provident Bank Home Equity Loan Trust 2000-2
Rating
Class CUSIP To From
A-1 743844DA7 CCC (sf) B (sf)
A-2 743844DB5 CCC (sf) B (sf)
Residential Funding Mortgage Securities II Inc.
Rating
Class CUSIP To From
A-1-4 76110VQJ0 CCC (sf) B (sf)
A-1-5 76110VQK7 CCC (sf) B (sf)
A-1-6 76110VQL5 CCC (sf) B (sf)
A-II 76110VQM3 CCC (sf) B (sf)
Southern Pacific Secured Assets Corp.
Rating
Class CUSIP To From
A-1 843590CK4 CCC (sf) B (sf)
A-6 843590CQ1 CCC (sf) B (sf)
A-7 843590CR9 CCC (sf) B (sf)
Southern Pacific Secured Assets Corp.
Rating
Class CUSIP To From
A-1 843590DC1 CCC (sf) B (sf)
A-7 843590DJ6 CCC (sf) B (sf)
A-8 843590DK3 CCC (sf) B (sf)
TBW Mortgage-Backed Trust 2006-6
Rating
Class CUSIP To From
A-4 87222PAE3 CCC (sf) B (sf)
A-5A 87222PAF0 CCC (sf) B (sf)
TBW Mortgage-Backed Trust 2007-1
Rating
Class CUSIP To From
A-7A 87222EAG3 CCC (sf) B (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., 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 2013. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
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herein is obtained from sources believed to be reliable, but is
not guaranteed.
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are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-241-8200.
*** End of Transmission ***