/raid1/www/Hosts/bankrupt/TCR_Public/130407.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, April 7, 2013, Vol. 17, No. 95
Headlines
ADIRONDACK PARK: S&P Assigns 'BB-' Rating on Class E Notes
AMERICAN CREDIT 2013-1: S&P Assigns 'BB' Rating on Class D Notes
AMERICREDIT AUTOMOBILE: Fitch to Rate Class E Notes at 'BB'
APIDOS CDO II: Moody's Lifts Rating on Class D Notes to 'Ba2'
ARES XXVI: S&P Assigns 'BB' Rating on Class E Notes
BAKER STREET II: Fitch Affirms 'B' Rating on Class E Notes
BANC OF AMERICA 2003-2: S&P Affirms BB+ Rating on Class HS-E Notes
BEAR STEARNS 2002-TOP8: Fitch Cuts Rating on Class M Certs to 'C'
BEAR STEARNS 2007-PWR16: Fitch Affirms 'D' Rating on Cl. M Certs.
BUSINESS LOAN 2003-1: S&P Affirms 'B+' Rating on Class M Notes
BXG RECEIVABLES: No Rating Impact on Timeshare ABS From BFC Merger
CARLYLE GLOBAL 2013-2: S&P Assigns 'BB' Rating to Class E Notes
CEDAR CREEK: S&P Assigns 'BB' Rating to Class E Notes
CEDAR FUNDING II: S&P Assigns 'BB' Rating to Class E Notes
CREDIT SUISSE 2001-CP4: Fitch Affirms 'D' Rating on Class H Certs
CREST DARTMOUTH: Fitch Lowers Rating on Class D Notes to 'CCC'
DENALI CAPITAL X: S&P Assigns 'BB-' Rating to Class B-2L Notes
DEUTSCHE ALT-A 2007-2: Moody's Cuts Rating on I-A-1 Secs. to 'B1'
ECP CLO 2013-5: S&P Assigns 'BB' Rating to Class D Notes
EVERBANK MORTGAGE: Fitch Assigns 'BB' Rating to Class B-4 Certs.
EVERGLADES RE: S&P Assigns 'B' Rating to Series 2013-1 Notes
FAIRWAY LOAN: S&P Raises Rating on Class B-1L Notes to 'BB+'
FM LEVERAGED I: Moody's Lowers Rating on Cl. E Notes to 'Caa2'
FM LEVERAGED I: S&P Raises Rating on Class E Notes to 'BB'
G-STAR 2002-1: Debt Amendment No Impact on Moody's Ratings
GRADY COUNTY: S&P Lowers Rating on Series 2011 Bonds to 'BB+'
GREYWOLF CLO II: S&P Assigns 'BB' Rating to Class D Notes
GS MORTGAGE 2013-NYC5: Moody's Assigns 'Ba2' Rating to Cl. F CMBS
GS MORTGAGE 2013-NYC5: S&P Assigns 'BB' Rating to Class F Notes
GSAMP TRUST 2002-HE2: Moody's Lifts Rating on Class A-1 Secs to B3
HALCYON 2005-1: Fitch Affirms 'CC' Ratings on Class A & B Notes
HALCYON 2005-2: Fitch Affirms 'CC' Ratings on Class A to C Certs.
HALCYON LN: S&P Lowers Rating on Class D Notes to 'B+'
HALCYON LOAN 2013-1: S&P Assigns 'BB' Rating to Class D Notes
ING IM 2013-1: S&P Assigns 'BB' Rating to Class D Notes
ING IM 2013-2: S&P Assigns Prelim. 'BB' Rating on Class D Notes
ING IM 2012-4: S&P Affirms 'BB' Rating on Class D Notes
JC PENNY: S&P Lowers Rating on 8 Classes of Transactions to 'CCC+'
JFIN CLO 2013: S&P Assigns 'BB' Rating on Class D Notes
KATONAH X: Moody's Affirms 'Ba3' Rating on $20MM Class E Notes
LANDMARK IV CDO: Moody's Hikes Rating on Class B-2L Notes to 'Ba1'
LEHMAN BROTHERS: S&P Lowers Rating on Class B Notes to 'CCC+'
MASTR ASSET 2005-NC1: Moody's Affirms C Ratings on 4 RMBS Classes
MERRILL LYNCH 1997-C2: Fitch Affirms 'D' Rating on Class H Certs.
MORGAN STANLEY 2001-TOP3: Fitch Affirms 'D' Rating on Cl. G Certs
MORGAN STANLEY 2005-TOP19: Fitch Affirms 'CC' Ratings on 6 Certs
MORGAN STANLEY 2006-TOP23: S&P Hikes Rating on Cl. C Notes to BB+
MORGAN STANLEY 2007-HQ13: S&P Cuts Rating on Class A-M Notes to B-
N-45 FIRST CMBS: S&P Affirms 'BB+' Rating to Class D Notes
N-STAR REAL: Moody's Lowers Rating on Class A-1 Notes to 'B2'
SASCO 2007-BHC1: Moody's Affirms C Rating on Class A-1 Notes
SEAWALL 2007-1: Moody's Affirms 'C' Rating on Class A Notes
SEQUOIA MORTGAGE 2013-5: Fitch to Rate Class B-4 Certs 'BB'
SHACKLETON 2013-III: S&P Assigns 'BB' Rating to Class E Notes
SNAAC AUTO 2013-1: S&P Assigns Prelim. BB Rating on Class D Notes
SOUND POINT CLO II: S&P Assigns 'BB-' Rating to Class B-2L Notes
SPRINGLEAF MORTGAGE: S&P Assigns 'B' Rating on Class B-2 Notes
TIERS GEORGIA: S&P Affirms 'CCC-' Rating on 2006-1 Certificates
TIMBERSTAR TRUST I: S&P Affirms 'BB' Rating on Class F Notes
TRALEE CLO II: S&P Assigns 'BB-' Rating to Class E Notes
WACHOVIA BANK 2007-C30: Fitch Affirms 'CC' Ratings on 6 Certs.
WARTBURG COLLEGE: Fitch Affirms 'BB' Revenue Bonds Rating
WIND RIVER II: Moody's Lifts Ratings on 2 Note Classes to 'Ba3'
WMC MORTGAGE 1999-A: Moody's Affirms 'Ca' Rating on Class M-3 RMBS
* Fitch Says New U.S. CMBS Defaults Plunge to Five-Year Low
* Moody's Cuts Rating on US$1.5MM of Boise County's Bonds to 'Ba1'
* Moody's Takes Actions on Nine Tranches of Subprime GSAMP RMBS
* Moody's Takes Actions on 33 Tranches of Alt-A Backed Loans
* Moody's Takes Actions on 153 Subprime RMBS-Backed Tranches
* Moody's Takes Actions on US$6.03-Bil. of RMBS from Wells Fargo
* S&P Affirms 11 Ratings from 2 U.S. CDO Cash Flow Trust
* S&P Cuts Ratings on 14 Classes From U.S. RMBS Alt-A Deals
* S&P Withdraws Rating on 68 Classes From 19 CLO Transactions
*********
ADIRONDACK PARK: S&P Assigns 'BB-' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Adirondack Park CLO Ltd./Adirondack Park CLO Corp.'s
$466.5 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The 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 primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.2801%-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; collateral manager
incentive fees; and subordinated note payments into
principal proceeds to purchase additional collateral assets
during the reinvestment period.
-- The weighted average spread in the identified portfolio is
below the minimum weighted average spread covenanted to in
the transaction documents. However, the target pool
presented to Standard & Poor's for its analysis represents
that the portfolio will satisfy the minimum covenanted
weighted average spread. If the collateral manager is unable
to acquire portfolio collateral during the ramp-up period
with characteristics similar to the unidentified collateral
in the target portfolio, the break-even default rates (BDRs)
may decrease and the cushion outlined in the ratings table -
the difference between the BDRs and the scenario default
rates - could be diminished. If this difference becomes
negative, we may not affirm the ratings on the effective
date.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1418.pdf
RATINGS ASSIGNED
Adirondack Park CLO Ltd./Adirondack Park CLO Corp.
Class Rating Amount
(mil. $)
X AAA (sf) 3.00
A AAA (sf) 322.50
B AA (sf) 45.00
C (deferrable) A (sf) 46.00
D (deferrable) BBB (sf) 25.00
E (deferrable) BB- (sf) 25.00
Subordinated notes NR 53.50
NR-Not rated.
AMERICAN CREDIT 2013-1: S&P Assigns 'BB' Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 ratings reflect S&P's view of:
-- The availability of approximately 44.6%, 41.0%, 35.5%, and
31.6% 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 rated
notes by the assumed legal final maturity dates under S&P's
stressed cash flow modeling scenarios that S&P believes is
appropriate for the assigned 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 '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
RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2013-1
Class Rating Type Interest Amount
rate (mil. $)
A A+ (sf) Senior Fixed 156
B A (sf) Subordinate Fixed 12
C BBB (sf) Subordinate Fixed 19
D BB (sf) Subordinate Fixed 18
AMERICREDIT AUTOMOBILE: Fitch to Rate Class E Notes at 'BB'
-----------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Rating
Outlooks to the notes issued by AmeriCredit Automobile Receivables
Trust 2013-2:
-- $214,700,000 class A-1 notes 'F1+sf';
-- $382,800,000 class A-2 notes 'AAAsf'; Outlook Stable;
-- $183,800,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $84,170,000 class B notes 'AAsf'; Outlook Stable;
-- $104,490,000 class C notes 'Asf'; Outlook Stable;
-- $102,750,000 class D notes 'BBBsf'; Outlook Stable;
-- $27,290,000 class E notes 'BBsf'; Outlook Stable.
Key Rating Drivers
Consistent Credit Quality: The credit quality of 2013-2 is
consistent with 2013-1 and 2012 transactions. The weighted average
(WA) Fair Isaac Corp. score is 566, and WA internal credit score
is 240. Used cars total 56.7% and WA loan-to-value (LTV) ratio is
110%, all consistent with recent pools.
Consistent Credit Enhancement Structure: The cash flow
distribution is a sequential-pay structure. Initial hard credit
enhancement (CE) is consistent with the last four transactions.
The reserve is 2.00% (non-declining) and initial
overcollateralization (OC) is 5.25% (both of the initial pool
balance), growing to a target of 14.25% of the current pool
balance, less the reserve.
Stronger Portfolio/Securitization Performance: Losses on GM
Financial's portfolio and 2009 - 2012 AMCAR securitizations have
declined to some of the lowest levels ever seen, supported by the
gradual economic recovery and strong used vehicle values
supporting higher recovery rates.
Stable Corporate Health: Fitch rates GM 'BB+' with a Stable
Outlook, and GM Financial 'BB' with a Positive Watch. GM Financial
recorded positive corporate financial results since 2010, and the
overall health of GM has also improved.
Consistent Origination/Underwriting/Servicing: AFSI demonstrates
adequate abilities as originator, underwriter, and servicer, as
evidenced by historical portfolio delinquency and loss experience
and securitization performance. Fitch deems AFSI capable of
adequately servicing this series.
Rating Sensitivity
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce CNL levels higher
than the base case and would likely result in declines of CE and
remaining loss coverage levels available to the notes. Decreased
CE may make certain note ratings susceptible to potential negative
rating actions, depending on the extent of the decline in
coverage. Hence, Fitch conducts sensitivity analysis by stressing
a transaction's initial base case CNL assumption by 1.5x and 2.5x
and examining the rating implications on all classes of issued
notes. The 1.5x and 2.5x increases of the base case CNL represent
moderate and severe stresses, respectively, and are intended to
provide an indication of the rating sensitivity of notes to
unexpected deterioration of a trust's performance.
APIDOS CDO II: Moody's Lifts Rating on Class D Notes to 'Ba2'
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Apidos CDO II Ltd.:
US$22,500,000 Class A-3 Floating Rate Notes Due 2018 Notes,
Upgraded to Aaa (sf); previously on August 16, 2011 Upgraded to
Aa1 (sf);
US$24,000,000 Class B Deferrable Floating Rate Notes Due 2018
Notes, Upgraded to Aa2 (sf); previously on August 16, 2011
Upgraded to A3 (sf);
US$13,000,000 Class C Floating Rate Notes Due 2018 Notes,
Upgraded to Baa1 (sf); previously on August 16, 2011 Upgraded to
Ba1 (sf);
US$13,500,000 Class D Floating Rate Notes Due 2018 Notes,
Upgraded to Ba2 (sf); previously on August 16, 2011 Upgraded to
B1 (sf).
In addition, Moody's affirmed the ratings of the following notes:
US$195,000,000 Class A-1 Floating Rate Notes Due 2018 Notes
(current outstanding balance $121,769,844), Affirmed Aaa (sf);
previously on August 16, 2011 Upgraded to Aaa (sf);
US$100,000,000 Class A-2 Delayed Draw Notes Due 2018 Notes
(current outstanding balance $62,446,074), Affirmed Aaa (sf);
previously on August 16, 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 Class A-1 and the Class
A-2 notes and an increase in the transaction's
overcollateralization ratios since the rating action in June 2011.
Moody's notes that the Class A-1 and the Class A-2 notes have been
paid down by approximately 38% or $110 million since the last
rating action. Based on the latest trustee report dated February
27, 2013 the Class A, Class B, Class C, and Class D
overcollateralization ratios are reported at 133.3%, 119.5%,
113.1%, and 107.2%, respectively, versus July 2011 levels of
121.6%, 113.1%, 108.9%, and 104.9%, 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 $276 million,
defaulted par of $2.0 million, a weighted average default
probability of 17.29% (implying a WARF of 2625), a weighted
average recovery rate upon default of 47.7%, 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.
Apidos CDO II Ltd., issued in December of 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.
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% (2100)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: +2
Class C: +3
Class D: +2
Moody's Adjusted WARF + 20% (3150)
Class A-1: 0
Class A-2: 0
Class A-3: 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:
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 XXVI: S&P Assigns 'BB' Rating on Class E Notes
---------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Ares
XXVI CLO Ltd./Ares XXVI CLO LLC's $841.7 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 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 asset 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 0.3100% to 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
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.
BAKER STREET II: Fitch Affirms 'B' Rating on Class E Notes
----------------------------------------------------------
Fitch Ratings has affirmed six classes of notes issued by Baker
Street CLO II Ltd./Corp. as follows:
-- $262,769,119 class A-1 notes 'AAAsf' ; Outlook Stable;
-- $29,196,569 class A-2 notes 'AAAsf'; Outlook Stable;
-- $20,100,000 class B notes 'AAsf' ; Outlook Stable;
-- $21,000,000 class C notes 'BBBsf'; Outlook Stable;
-- $15,900,000 class D notes 'BBsf'; Outlook Stable;
-- $11,402,275 class E notes 'Bsf'; Outlook Stable.
Key Rating Drivers
The affirmations are based on the credit enhancement available to
the rated notes and the stable performance of the portfolio. Since
Fitch's last review, the credit quality of the performing
portfolio has been maintained at 'B+/B' and exposure to assets
considered 'CCC' category or below by Fitch is 8.9% of the
performing portfolio, down from 9.1% in the last review. One new
asset has defaulted, marginally increasing defaults to 3.2% of the
portfolio from 3.1%. As of the March 2013 trustee report, all
overcollateralization (OC) tests, interest coverage (IC) tests,
and portfolio collateral quality tests were passing. Additionally,
the performing portfolio balance was $351.6 million with an
additional $25.8 million in principal proceeds.
The transaction had exited its reinvestment period in October
2012, but the collateral manager still has the ability to reinvest
unscheduled principal proceeds and proceeds from credit risk
sales, pursuant to the satisfaction of certain investment
criteria. The affirmations reflect the notes' ability to perform
at their current rating levels, given the manager's ability to
manage the portfolio to the permitted concentration limitations
described in the indenture. Fitch maintains a Stable Outlook on
the notes reflecting the expectation of stable rating performance
over the next one to two years.
Rating Sensitivities
The notes' performance may be sensitive to the increasing
concentration risks from reinvestment activity or portfolio
amortization. However, Fitch stressed analysis shows the notes
performing at their current rating levels so long as the portfolio
concentrations are within permitted limitations.
Baker Street II is a revolving cash flow transaction
collateralized by a portfolio of primarily leveraged loans that
closed on Sept. 15, 2006 and is managed by Seix Investment
Advisors LLC (Seix). Baker Street II's performing portfolio is
currently composed of 96.1% senior secured obligations and 3.9%
second lien loans and unsecured obligations. The stated maturity
of the transaction is Oct. 15, 2019.
BANC OF AMERICA 2003-2: S&P Affirms BB+ Rating on Class HS-E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on two
nonpooled classes of 'HS' certificates from Banc of America
Commercial Mortgage Inc.'s series 2003-2, a U.S. commercial
mortgage-backed securities (CMBS) transaction. S&P based these
upgrades on its analysis of the Hines-Sumitomo Office Portfolio.
At the same time, S&P affirmed its ratings on 10 pooled classes,
including the rating on the interest-only (IO) class.
Concurrently, S&P affirmed its ratings on 14 other nonpooled 'HS'
and 'BW' certificate classes from the same transaction based on
its analysis of collateral securing the Hines-Sumitomo and the
1328 Broadway loans.
The rating actions follow S&P's analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS.
S&P's analysis included a review of the credit characteristics of
all of the remaining assets in the pool, the transaction
structure, and the liquidity available to the trust.
The upgrades of the 'HS-A' and 'HS-B' non-pooled raked
certificates reflect the improved net cash flow of the Hines-
Sumitomo loan, as well as the long-term nature of the leases
within this office portfolio. The raked certificates derive 100%
of their cash flows from the office properties securing this loan.
The affirmations of S&P's ratings on the pooled 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. The affirmed ratings also reflect S&P's
review of the credit characteristics and performance of the
remaining assets and the transaction-level changes. While
available credit enhancement levels for the pooled classes may
suggest positive rating movement, S&P affirmed its ratings on
these classes because its analysis also considered the volume of
non-defeased, performing loans that are scheduled to mature
through Dec. 31, 2014 (80 loans, $739.4 million, 89.2% of the
trust
balance).
"We affirmed our ratings on the 14 remaining nonpooled 'HS' and
'BW' raked certificates to reflect our analysis of the Hines-
Sumitomo and 1328 Broadway loans. The 'HS' raked certificates
derive 100% of their cash flows from the Hines Sumitomo office
properties securing this loan. We affirmed our ratings on the HS-
C and HS-D certificates to reflect our analysis of the office
properties securing the loan. We affirmed the 'BB+ (sf)' rating
on class HS-E based on our criteria for rating U.S. and Canadian
CMBS transactions, which applies a credit enhancement minimum
equal to 1% of the transaction or loan amount to address the
potential for unexpected trust expenses that may be incurred
during the life of the loan or transaction. These potential,
unexpected trust expenses may include servicer fees, servicer
advances, workout or corrected mortgage fees, and potential trust
legal fees," S&P said.
The affirmations of the 'AA+ (sf)' ratings on the class 'BW' raked
certificates reflect the application of S&P's U.S. CMBS defeasance
criteria and follows S&P's long-term credit rating on the U.S.
(AA+/Negative/--). All of the 'BW' raked certificates derive 100%
of their cash flows from the 1328 Broadway loan, whose collateral
was defeased with U.S. government obligations. The loan is paying
in line with S&P's expectations.
S&P affirmed its 'AAA (sf)' rating on the class X-C IO
certificates based on its 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 RAISED - NON POOLED CERTIFICATES
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2003-2
Rating
Class To From
HS-A AAA (sf) A+ (sf)
HS-B AA+ (sf) A- (sf)
RATINGS AFFIRMED - POOLED CERTIFICATES
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2003-2
Class Rating Credit enhancement (%)
A-1A AAA (sf) 29.18
A-4 AAA (sf) 29.18
B AAA (sf) 22.49
C AAA (sf) 20.02
D AA+ (sf) 14.82
E AA (sf) 12.09
F A- (sf) 9.61
G BBB-(sf) 6.89
H CCC+(sf) 4.41
X-C AAA (sf) N/A
RATINGS AFFIRMED - NONPOOLED CERTIFICATES
Banc of America Commercial Mortgage Inc.
Commercial mortgage pass-through certificates series 2003-2
Class Rating
HS-C BBB+(sf)
HS-D BBB (sf)
HS-E BB+ (sf)
BW-A AA+ (sf)
BW-B AA+ (sf)
BW-C AA+ (sf)
BW-D AA+ (sf)
BW-E AA+ (sf)
BW-F AA+ (sf)
BW-G AA+ (sf)
BW-H AA+ (sf)
BW-J AA+ (sf)
BW-K AA+ (sf)
BW-L AA+ (sf)
N/A-Not applicable.
BEAR STEARNS 2002-TOP8: Fitch Cuts Rating on Class M Certs to 'C'
-----------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed nine
classes of Bear Stearns Commercial Mortgage Securities Trust
(BSCMST 2002-Top8) commercial mortgage pass-through certificates
series 2002-Top8.
Key Rating Drivers
The downgrades reflect an increase in Fitch-modeled losses across
the pool due to further deterioration of loan performance. Fitch
modeled losses of 15.6% of the remaining pool; expected losses on
the original pool balance total 2.9%, including losses already
incurred. The pool has experienced $3.8 million (0.5% of the
original pool balance) in realized losses to date. Fitch has
designated six loans (20.9%) as Fitch Loans of Concern, which
includes five specially serviced assets (20.1%).
Rating Sensitivities
The 'AAA' rated classes are expected to remain stable based on
expected paydown from defeasance proceed of the largest loan in
the pool. Despite improved credit enhancement levels, the revision
to Stable Outlooks on classes C through F reflect the limited
prospect for upgrades given the concentrated nature of the pool
and the high amount of Loans of Concern.
While classes G through J are expected to remain stable, further
downgrades may be warranted should realized losses be greater than
expected. In addition, the distressed classes (those rated below
'B') are expected to be subject to further downgrades as losses
are realized.
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 84.3% to $131.8 million from
$842.2 million at issuance. Two loans (39.9% of the pool) are
defeased. Interest shortfalls are currently affecting classes H
through O.
The largest contributor to expected losses is a 233,953 square
foot (sf) office property (8.3% of the pool) located in
Portsmouth, NH. The property has suffered occupancy issues since
2011 with the most recent servicer-reported occupancy at 64% as of
September 2012. Additionally, two tenants representing 12% of the
net rentable area (NRA) have lease expirations in mid-2013 and the
borrower is in negotiations for renewal. The loan was modified in
January 2012 with a new sponsor contributing additional capital in
exchange for a maturity extension of the loan to September 2013.
The loan has paid current since the modification.
The next largest contributor to expected losses is a 205,000 sf
single-tenant retail asset (5.6%) that is a portion of a retail
mall located in Sacramento, CA. The loan transferred to special
servicing in September 2010 due to imminent maturity default and
became REO in June 2012. The tenant is operating under a short-
term lease which expires in October 2013. The tenant is
anticipated to vacate at lease expiration.
The third largest contributor to expected losses is a 49,065 sf
single-tenant industrial property (2.2%) located in Farmington
Hills, MI. The loan transferred to special servicing when the
tenant vacated the building at lease expiration in 2010. The asset
was foreclosed upon in December 2012 and is subject to a six-month
redemption period. The servicer is evaluating a disposition
strategy.
Fitch downgrades the following classes and revises Recovery
Estimates (REs) as indicated:
-- $8.4 million class H to 'Bsf' from 'BBsf', Outlook Stable;
-- $3.2 million class J to 'CCCsf' from 'Bsf', RE 5%;
-- $3.2 million class L to 'CCsf' from 'CCCsf', RE 0%;
-- $3.2 million class M to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes but revises Rating Outlooks
and REs as indicated:
-- $28.4 million class C at 'AAsf', Outlook to Stable from
Positive;
-- $9.5 million class D at 'Asf', Outlook to Stable from Positive;
-- $11.6 million class E at 'BBB+sf', Outlook to Stable from
Positive;
-- $6.3 million class F at 'BBBsf', Outlook to Stable from
Positive;
-- $4.2 million class K at 'CCCsf', RE 0%.
Fitch affirms the following classes as indicated:
-- $17.7 million class A-2 at 'AAAsf', Outlook Stable;
-- $25.3 million class B at 'AAAsf', Outlook Stable;
-- $4.2 million class G at 'BBB-sf', Outlook Stable;
-- $2.1 million class N at 'Csf', RE 0%.
Classes A-1 and X-2 have paid in full. Fitch does not rate the
class O certificates. Fitch previously withdrew the rating on the
interest-only class X-1 certificates.
BEAR STEARNS 2007-PWR16: Fitch Affirms 'D' Rating on Cl. M Certs.
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 21 classes of
Bear Stearns Commercial Mortgage Securities Trust, series 2007-
PWR16 commercial mortgage pass-through certificates.
Key Rating Drivers
The downgrades reflect an increase in expected losses primarily
due to updated property valuations on the specially serviced
loans. Fitch modeled losses of 14.8% of the remaining pool;
expected losses on the original pool balance total 14.6%,
including losses already incurred. The pool has experienced $87.2
million (2.6% of the original pool balance) in realized losses to
date. Fitch has designated 53 loans (42%) as Fitch Loans of
Concern, which includes 12 specially serviced assets (9.4%).
Rating Sensitivities
The super senior classes are expected to maintain their 'AAAsf'
rating due to increasing credit enhancement. The assignment of a
Negative Outlook to class A-M reflects the high percentage of
Fitch Loans of Concern including 10 of the top 15 (30.6%). Future
downgrades to the class A-M are possible if the performance these
loans deteriorate further. Additional downgrades to the distressed
classes (those rated below 'B') are expected as losses are
realized.
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 18.7% to $2.69 billion from
$3.31 billion at issuance. One loan (0.2% of the pool) is
currently defeased. Interest shortfalls are currently affecting
classes G through S.
The largest contributor to expected losses is the Beacon Seattle &
DC Portfolio loan (10.2% of the pool), which was initially secured
by 16 properties, the pledge of the mortgage and the borrower's
ownership interest in one property, as well as the pledge of cash
flows from three properties. In the aggregate, the 20 properties
comprised approximately 9.8 million square feet (sf) of space. The
loan transferred to special servicing in April 2010 and remained
current as the borrower was negotiating a modification, which
closed in December 2010. Key modification terms included a five-
year extension of the loan to May 2017, a deleveraging structure
that provided for the release of properties over time, and an
interest rate reduction. The loan was returned to the master
servicer in May 2012 and is performing under the modified terms.
Under the modification, nine properties were released in total,
which included Market Square (Washington, D.C.), Key Center
(Bellevue, WA), City Center Bellevue (Bellevue, WA), 1616 North
Fort Myer Drive (Arlington, VA), Liberty Place (Washington, D.C.),
Army and Navy Building (Washington, D.C.), 1300 North Seventeenth
Street (Arlington, VA), Reston Town Center (Reston, VA), and
Washington Mutual Tower (Seattle, WA). As of the March 2013
remittance, the loan has been paid down by $1.2 billion or 43%.
Following the sale and release of the Market Square property in
March 2011, the contract interest rate adjusted to 5.00% from
5.797% retroactively effective as of Dec. 7, 2010. Since the total
debt was paid down by at least $900 million by May 7, 2012 (the
original maturity date), the interest rate was reduced further to
4.50%. Beginning in June 2012, the pay rate became 3.75% with
required quarterly payments of excess cash flow up to a pay rate
of 4.50%.
Combined occupancy for the 11 remaining properties is 78.4%, down
sharply from 96.4% at issuance for the same properties. For the
nine months ended Sept. 30, 2012, annualized servicer-reported net
operating income (NOI) was $86.6 million for the remaining
properties, a 1% increase from the same period in 2011 for the
same properties.
The second largest contributor to expected losses is a loan
secured by a 195,896 sf office campus with three multi-story
buildings in Conshohocken, PA, 15 miles southwest of the
Philadelphia CBD (1.7%). The loan was transferred to the special
servicer in August 2012 due to payment default. Cash Management,
via a springing lock box, has been triggered. Occupancy as of
November 2012 was 75.6%
The third largest contributor to expected losses is a 145,536-sf
home furnishing retail center located in Palm Beach Gardens, FL
(1.1%). The loan was transferred to special servicing in February
2009 due to monetary default. Per the special servicer, the former
largest tenant (66% of the net rentable area) rejected its lease
after filing for Chapter 11 bankruptcy protection and has since
vacated. Foreclosure sale took place on Feb. 21, 2013 and the
property has been a real estate owned (REO) asset since March
2013. As of February 2012, the property is 19% occupied.
Fitch downgrades the following class, removes the rating from
Rating Watch Negative and assigns an Outlook as indicated:
-- $331.4 million class A-M to 'Asf' from 'AAAsf'; Outlook
Negative.
Fitch affirms these classes as indicated:
-- $336.9 million class A-2 at 'AAAsf', Outlook Stable;
-- $58.2 million class A-3 at 'AAAsf', Outlook Stable;
-- $111.9 million class A-AB at 'AAAsf', Outlook Stable;
-- $954.4 million class A-4 at 'AAAsf', Outlook Stable;
-- $324.9 million class A-1A at 'AAAsf', Outlook Stable;
-- $273.4 million class A-J at 'CCCsf', RE 65%;
-- $33.1 million class B at 'CCCsf', RE 0%;
-- $33.1 million class C at 'CCCsf', RE 0%;
-- $33.1 million class D at 'CCsf', RE 0%;
-- $20.7 million class E at 'CCsf', RE 0%;
-- $24.9 million class F at 'Csf', RE 0%;
-- $29 million class G at 'Csf', RE 0%;
-- $41.4 million class H at 'Csf', RE 0%;
-- $33.1 million class J at 'Csf', RE 0%;
-- $33.1 million class K at 'Csf', RE 0%;
-- $16.6 million class L at 'Csf', RE 0%;
-- $4.8 million class M at 'Dsf; RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%;
-- $0 class Q 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 rating on
the interest-only class X certificates.
BUSINESS LOAN 2003-1: S&P Affirms 'B+' Rating on Class M Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on six
classes of Business Loan Express SBA Loan Trust 2003-1, 2003-2,
and 2005-1 transactions.
All three transactions are asset-backed securities transactions
collateralized primarily by a pool of small business development
loans that are not insured or guaranteed by any governmental
agency. The vast majority of the loans are secured by first-lien,
multipurpose commercial real estate. Roughly 10%-20% of the
properties are non-owner-occupied. The collateral consists solely
of SBA 7(a) small business loans.
The rating affirmations reflect the availability of adequate
credit support at the current rating levels.
Standard & Poor's will continue to review whether the current
ratings on these transactions remain consistent with the credit
enhancement available to support the ratings, and S&P will 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
Business Loan Express SBA Loan Trust 2003-1
2003-1
Class Rating
A AA-(sf)
M B+(sf)
Business Loan Express SBA Loan Trust 2003-2
2003-2
Class Rating
A AAA(sf)
M A(sf)
Business Loan Express SBA Loan Trust 2005-1
2005-1
Class Rating
A A+(sf)
M BBB+(sf)
BXG RECEIVABLES: No Rating Impact on Timeshare ABS From BFC Merger
------------------------------------------------------------------
Moody's Investors Service reports that the BFC Financial Corp. and
Bluegreen Corporation Merger in and of itself and at this time,
does not result in the downgrade or withdrawal of the timeshare
receivables backed ABS notes issued by BXG Receivables Note Trust
2008-A, BXG Receivables Note Trust 2007-A, BXG Receivables Note
Trust 2006-B and BXG Receivables Note Trust 2005-A.
Pursuant to the Merger, Bluegreen Corporation will become an
indirect wholly owned subsidiary of BFC Financial Corporation. BFC
is a diversified holding company and its subsidiary Woodbridge
Holdings, LLC, is currently the majority shareholder of Bluegreen.
The Merger is to be effected through a cash transaction, where the
holders of Bluegreen's common stock (other than those shares held
directly or indirectly by BFC and shares owned by holders who
exercised and perfected their appraisal rights in accordance with
Massachusetts law) will be entitled to a predetermined price for
each share of common stock held.
In assessing the potential impact on the ratings of the notes,
Moody's focused on the change in ownership structure. Because the
Merger is with the majority owner, there will not be a change of
controlling parties. Existing management will continue to run the
business and there will be no material impact on day-to-day
operations. Thus, Moody's believed that the proposed change in
ownership did not have an adverse effect on the credit quality of
the securities such that the Moody's ratings were impacted.
Moody's did not express an opinion as to whether the Merger could
have other, non-credit-related effects.
The principal methodology used in rating this transaction was
Moody's Approach to Rating Vacation Timeshare Loan Securitizations
published in September 2011. Other methodologies and factors that
may have been considered in the process of rating this issue can
also be found in the Credit Policy & Methodologies directory.
On July 29, 2009, Moody's took these rating actions:
Issuer: BXG Receivables Note Trust 2004-B
Pool Current Expected Cumulative Gross Charge-offs: 28.5% (as a
percentage of the sum of the original loan pool balance and
cumulative loan substitution amount to date)
Class D, Downgraded to Ba1 from Baa3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Issuer: BXG Receivables Note Trust 2005-A
Pool Current Expected Cumulative Gross Charge-offs: 30% (as a
percentage of the sum of the original loan pool balance and
cumulative loan substitution amount to date)
Class B, Downgraded to Aa3 from Aa2; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class C, Downgraded to A3 from A2; previously Placed Under Review
for Possible Downgrade on 4/23/2009
Class D, Downgraded to Ba2 from Baa1; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class E, Downgraded to B1 from Baa3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class F, Downgraded to B2 from Ba2; previously Placed Under Review
for Possible Downgrade on 4/23/2009
Issuer: BXG Receivables Note Trust 2006-B
Pool Current Expected Cumulative Gross Charge-offs: 32% (as a
percentage of the sum of the original loan pool balance and
cumulative loan substitution amount to date)
Class B, Downgraded to Aa3 from Aa2; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class C, Downgraded to A3 from A2; previously Placed Under Review
for Possible Downgrade on 4/23/2009
Class D, Downgraded to Ba2 from Baa1; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class E, Downgraded to B1 from Baa3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class F, Downgraded to B2 from Ba2; previously Placed Under Review
for Possible Downgrade on 4/23/2009
Issuer: BXG Receivables Note Trust 2007-A
Pool Current Expected Cumulative Gross Charge-offs: 32% (as a
percentage of the sum of the original loan pool balance and
cumulative loan substitution amount to date)
Class C, Downgraded to Baa1 from A3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class D, Downgraded to Baa3 from Baa1; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class E, Downgraded to Ba2 from Baa2; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class F, Downgraded to B1 from Baa3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class G, Downgraded to B2 from Ba2; previously Placed Under Review
for Possible Downgrade on 4/23/2009
Issuer: BXG Receivables Note Trust 2008-A
Pool Current Expected Cumulative Gross Charge-offs: 25% (as a
percentage of the sum of the original loan pool balance and
cumulative loan substitution amount to date)
Class C, Downgraded to Baa1 from A3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class D, Downgraded to Baa3 from Baa1; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class E, Downgraded to Ba2 from Baa2; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class F, Downgraded to B1 from Baa3; previously Placed Under
Review for Possible Downgrade on 4/23/2009
Class G, Downgraded to B2 from Ba2; previously Placed Under Review
for Possible Downgrade on 4/23/2009
CARLYLE GLOBAL 2013-2: S&P Assigns 'BB' Rating to Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2013-2 Ltd./Carlyle Global Market
Strategies CLO 2013-2 LLC's $578.0 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 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 to 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 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 0.29% to 13.84%.
-- 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.
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/1432.pdf
RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2013-2 Ltd./Carlyle Global
Market
Strategies CLO 2013-2 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.50
A-1 AAA (sf) 352.50
A-2 (delayed draw)(i) AAA (sf) 35.00
B AA (sf) 67.00
C-1 (deferrable) A (sf) 37.00
C-2 (deferrable) A (sf) 10.00
D (deferrable) BBB (sf) 30.00
E (deferrable) BB (sf) 25.00
F (deferrable) B (sf) 12.00
P(ii) AA+ pNRi (sf) 5.00
Subordinate notes NR 50.00
(i)Class A-2 is a delayed-draw note. The amount shown above
represents the commitment amount. At closing, the issuer does not
expect to have drawn down on the note. The class A-2 noteholders
are entitled to a commitment fee of 0.575% on the undrawn portion
of the note. The interest rate noted above is payable on the drawn
portion. (ii)The class P securities consist of approximately $1.24
million in subordinated notes and zero-coupon U.S. Treasury
securities due February 2025, with a total face value of
$5 million.
NR - Not rated.
CEDAR CREEK: S&P Assigns 'BB' Rating to Class E Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Cedar
Creek CLO Ltd./Cedar Creek CLO LLC's $371.6 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 Ratings Services' 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 portfolio 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 0.34%-11.88%.
-- 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 50% of
excess interest proceeds that are available prior to paying
uncapped administrative expenses and fees, subordinated
hedge termination payments, portfolio manager incentive
fees, and subordinated note payments to principal proceeds
for the purchase of additional collateral assets during the
reinvestment period, and to reduce the balance of the rated
notes outstanding, sequentially, after the reinvestment
period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1429.pdf
RATINGS ASSIGNED
Cedar Creek CLO Ltd./Cedar Creek CLO LLC
Class Rating Face amount Current amount
(mil. $) (mil. $)
A AAA (sf) 264.00 264.00
B AA (sf) 35.00 35.00
C (deferrable) A (sf) 37.40 37.40
D (deferrable) BBB (sf) 16.20 16.20
E (deferrable) BB (sf) 17.00 17.00
F (deferrable) B- (sf) Up to 7.16 2.00
A subordinated notes NR Up to 36.49 10.20
B subordinated notes NR Up to 43.65 31.45
NR - Not rated.
CEDAR FUNDING II: S&P Assigns 'BB' Rating to Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned ratings to Cedar
Funding II CLO Ltd./Cedar Funding II CLO LLC's fixed- and
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 0.29% to 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/1415.pdf
RATINGS ASSIGNED
Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC
Class Rating Amount (Mil. $)
A-1 AAA (sf) 228.00
A-X AAA (sf) 6.50
B-1 AA (sf) 25.00
B-2 AA (sf) 10.00
C (deferrable) A (sf) 20.00
D (deferrable) BBB (sf) 17.00
E (deferrable) BB (sf) 24.00
Subordinated notes NR 34.75
CREDIT SUISSE 2001-CP4: Fitch Affirms 'D' Rating on Class H Certs
-----------------------------------------------------------------
Fitch Ratings has downgraded two and affirmed eight classes of
Credit Suisse First Boston Mortgage Securities Corp., series 2001-
CP4.
Key Rating Drivers
The downgrades reflect an increase in expected losses primarily
due to updated property valuations on the loans in special
servicing. Fitch modeled losses of 53.8% of the remaining pool;
expected losses on the original pool balance total 10.3%,
including losses already incurred. The pool has experienced $82.7
million (7% of the original pool balance) in realized losses to
date. Fitch has designated seven loans (77.5%) as Fitch Loans of
Concern, which includes six specially serviced assets (72.9%).
Rating Sensitivities
Class D is expected to remain stable upon resolution of the Rating
Watch status. As of the March 2013 distribution date, this class
has recovered a substantial amount of interest shortfalls. The
servicer, after stopping future advances in cases deemed non-
recoverable, has recovered all previous advances. It is
anticipated that all interest shortfalls incurred to this class
will be recovered by the April distribution date. However, with
fewer performing loans principal distributions will be limited.
The Rating Outlook Negative assigned to class E reflects Fitch's
concern over the highly concentrated nature of the transaction and
the collateral quality of the remaining pool. Currently, there are
only 12 loans remaining in the pool, six of which are in special
servicing.
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 94% to $71 million from
$1.18 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes D through O.
The largest contributor to expected losses is a loan secured by a
156,776 square foot (sf) office property located in Shelton, CT
(21.6%). The loan was transferred to special servicing in June
2008 due to monetary default and the borrower subsequently filed
for bankruptcy protection. The property became a real estate owned
asset (REO) in June 2012 after the bankruptcy sale. The servicer-
reported occupancy rate as of Feb. 28, 2013 was 56.5%. The special
servicer is pursuing a value-add strategy to lease up the
property.
The second and third largest contributors to expected losses are
the Somerset Center & Somerset Place loan, which is secured by
166,594 sf of office property located in Raleigh, NC (18.7%), as
well as the Somerset Park loan, which is secured by 207,767 sf of
office property also located in Raleigh, NC (17.9%). The two loans
have the same sponsor. Both loans were transferred to special
servicing in December 2009 due to monetary default. Foreclosure
sales were originally scheduled for November 2010 until the
borrower filed for bankruptcy, which delayed the foreclosure
sales. Both loans matured in May 2011. Currently the special
servicer and the borrower are finalizing discussions regarding a
negotiated bankruptcy plan.
Fitch downgrades the following classes, removes the ratings from
Rating Watch Negative and assigns Outlooks as indicated:
-- $15.3 million class D to 'BBBsf' from 'Asf', Outlook Stable;
-- $16.2 million class E to 'Bsf' from 'BBBsf', Outlook Negative.
Fitch affirms the following classes as indicated:
-- $16.2 million class F at 'CCCsf', RE 10%;
-- $11.8 million class G at 'Csf', RE 0%;
-- $11.5 million class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%.
Fitch does not rate the class O certificates. Fitch previously
withdrew the rating on the interest-only class A-X certificates.
CREST DARTMOUTH: Fitch Lowers Rating on Class D Notes to 'CCC'
--------------------------------------------------------------
Fitch Ratings has upgraded one and downgraded one class issued by
Crest Dartmouth Street 2003-1, Ltd./Corp.
Key Rating Drivers:
Since the last rating action in April 2012, approximately 15.1% of
the collateral has been downgraded and 17.2% has been upgraded.
Currently, 32% of the portfolio has a Fitch derived rating below
investment grade and 32% has a rating in the 'CCC' category and
below, compared to 14.5% and 3.5%, respectively, at the last
rating action. Over this period, the transaction has received
$108.2 million in pay downs which has resulted in the full
repayment of the class A and B notes and $6.1 million in paydowns
to the class C 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. The class C notes have been upgraded to reflect that
they are reliant on 'AAA' collateral. The upgrade was limited to
'Asf' due to the increased risk for interest shortfall on the
notes as a result of increased concentration and adverse
selection.
For the class D 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 D
notes have been downgraded to 'CCCsf', indicating that default is
possible, although a moderate to strong recovery is expected.
The Stable Outlook on the class C 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 Dartmouth Street 2003-1 is a cash flow commercial real
estate collateralized debt obligation (CRE CDO) which closed on
April 10, 2003. The collateral is composed of nine assets from
nine obligors of which 94.6% are commercial mortgage backed
securities (CMBS) and 5.4% are real estate investment trusts
(REITs).
Fitch has taken these actions:
-- $8,803,284 class C notes upgraded to 'Asf' from 'BBB-sf';
Outlook Stable;
-- $12,905,239 class D notes downgraded to 'CCCsf' from 'Bsf'.
DENALI CAPITAL X: S&P Assigns 'BB-' Rating to Class B-2L Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 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%-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
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.
DEUTSCHE ALT-A 2007-2: Moody's Cuts Rating on I-A-1 Secs. to 'B1'
-----------------------------------------------------------------
Moody's Investors Service downgraded the rating of one tranche,
and affirmed the rating of seven tranches, issued by Deutsche Alt-
A Securities Mortgage Loan Trust, Series 2007-2, backed by Alt-A
loans.
Complete rating actions are as follows:
Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series
2007-2
Cl. I-A-1, Downgraded to B1 (sf); previously on Sep 8, 2010
Upgraded to Ba1 (sf)
Cl. I-A-2, Affirmed Ca (sf); previously on Sep 8, 2010 Confirmed
at Ca (sf)
Cl. I-X-1, Affirmed Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. I-X-2, Affirmed Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. II-A-1, Affirmed Caa2 (sf); previously on Sep 8, 2010
Confirmed at Caa2 (sf)
Cl. II-A-2, Affirmed C (sf); previously on Sep 8, 2010 Downgraded
to C (sf)
Cl. II-X-1, Affirmed Caa2 (sf); previously on Sep 8, 2010
Confirmed at Caa2 (sf)
Cl. II-X-2, Affirmed Caa2 (sf); previously on Sep 8, 2010
Confirmed at Caa2 (sf)
Ratings Rationale:
The actions are a result of recent performance of this deal and
reflect Moody's updated loss expectations on the underlying pools.
The downgrade on Class I-A-1 is due to the outstanding interest
shortfall of 1.0% (as a percentage of original balance) on the
bond. Class I-A-1 along with the other senior tranches in the
transaction did not receive interest payments from October 2010
until August 2012 due to the swap payments being deducted out of
the interest collections. The swap expired in September 2012 and
the interest payments to the senior tranches have now resumed.
However, Moody's believes the outstanding interest shortfall on
the senior tranches is unlikely to be reimbursed as the definition
of the Net WAC Pass Through Rate states that the interest promised
on the senior certificates will be reduced by the net swap
payments.
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. Other factors used in these ratings are
described in "Moody's Approach to Rating Structured Finance
Securities in Default" published in November 2009.
Moody's adjusts the methodologies for its current view on loan
modifications. As a result of an extension of the Home Affordable
Modification Program (HAMP) to 2013 and an increased use of
private modifications, Moody's is extending its previous view that
loan modifications will only occur through the end of 2012. It is
now assuming that the loan modifications will continue at current
levels until 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.
ECP CLO 2013-5: S&P Assigns 'BB' Rating to Class D Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to ECP CLO
2013-5 Ltd./ECP CLO 2013-5 LLC's $379.1 million floating-rate
notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.28%-12.87%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of excess interest
proceeds that are available prior to paying uncapped
administrative expenses; deferred senior and incentive
management fees; and subordinated note payments into
principal proceeds for the purchase of additional collateral
assets during the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1430.pdf
RATINGS ASSIGNED
ECP CLO 2013-5 Ltd./ECP CLO 2013-5 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 260.00
A-2 AA (sf) 42.80
B (deferrable) A (sf) 28.80
C (deferrable) BBB (sf) 20.00
D (deferrable) BB (sf) 19.50
E (deferrable) B (sf) 8.00
Subordinated notes NR 36.87
NR-Not rated.
EVERBANK MORTGAGE: Fitch Assigns 'BB' Rating to Class B-4 Certs.
----------------------------------------------------------------
Fitch Ratings assigns the following ratings to EverBank Mortgage
Loan Trust 2013-1:
-- $75,000,000 class A-1 certificate 'AAAsf'; Outlook Stable;
-- $207,618,000 class A-2 certificate 'AAAsf'; Outlook Stable;
-- $282,618,000 class A-IO notional certificate 'AAAsf'; Outlook
Stable;
-- $75,000,000 class A-IO1 notional certificate 'AAAsf'; Outlook
Stable;
-- $6,762,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $6,147,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $4,150,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $3,535,000 class B-4 certificate 'BBsf'; Outlook Stable;
-- $4,149,394 class B-5 certificate not rated.
The 'AAAsf' rating on the senior certificates reflects the 8.05%
subordination provided by the 2.20% class B-1, 2.00% class B-2,
1.35% class B-3, 1.15% class B-4 and 1.35% class B-5. The class B-
5 is not rated by Fitch.
On March 20, 2013, Fitch published expected ratings for 15 classes
for EBMLT 2013-1. Since then, however, the transaction structure
was changed to include only nine classes to which Fitch has
assigned the ratings as noted above. The reduction reflects a
decline in the number of senior classes from 10 down to four.
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 68.06%, 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 (16.8%) and 30-year
(83.2%) 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 year 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 14.4% 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.
EVERGLADES RE: S&P Assigns 'B' Rating to Series 2013-1 Notes
------------------------------------------------------------
Standard & Poor's Ratings Services said that it assigned its
'B(sf)' rating to the Series 2013-1 notes issued by Everglades Re
Ltd. The notes provide indemnified coverage to Citizens
Property Insurance Corp. during a three-year risk period for
losses in Florida from hurricanes on a per-occurrence basis.
The rating is based on the lower of the rating on the catastrophe
risk ('B'), the rating on the assets in the collateral account
('AAAm'), and the long-term issuer credit rating ('A+') on
Citizens.
The notes will cover 100% of ultimate net losses from hurricanes
between the initial attachment point of $5.139 billion and the
initial exhaustion point of $5.389 billion.
This is the second Everglades issuance rated by Standard & Poor's.
RATINGS LIST
New Rating
Everglades Re Ltd.
Series 2013-1 Notes B(sf)
FAIRWAY LOAN: S&P Raises Rating on Class B-1L Notes to 'BB+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-3L and B-1L notes from Fairway Loan Funding Co., a U.S.
collateralized loan obligation (CLO) managed by Pacific Investment
Management CO. LLC. In addition, S&P affirmed its ratings on the
class A-1L, A-1LV, A-2L, B-2L, and C-6 notes.
The upgrades to the class A-3L and B-1L notes reflect principal
paydowns to the class A-1 note balance and a resulting increase in
overcollateralization (O/C) levels, as well as improvement in the
credit quality of the underlying assets since S&P's February 2011
rating actions. The affirmed ratings on the class A-1L, A-1LV, A-
2L, and B-2L notes reflect S&P's view that the credit support
available to support these tranches is commensurate with the
currently assigned ratings. The class C-6 notes are backed by a
U.S. Treasury principal strip.
The class A-1 notes have been paid down by $115.73 million in
aggregate since January 2011, primarily due to post- reinvestment
period amortization of the underlying collateral. The paydowns
have resulted in an increase in the transaction's senior A, class
A, B-1L, and B-2L O/C ratios (by 3.88%, 2.17%, 1.29%, and 0.6%,
respectively).
The amount of 'CCC' rated collateral held in the transaction's
asset portfolio declined since the time of S&P's last rating
action. According to the Feb. 6, 2013, trustee report, the
transaction held $43.44 million in 'CCC' rated collateral, down
from $59.99 million noted in the Jan. 5, 2011, trustee report,
which S&P used for its February 2011 rating actions. The
transaction also held $2 million of defaulted securities, down
from $3.71 million over the same period.
S&P notes that the transaction has exposure to long-dated assets,
(i.e. assets maturing after the stated maturity of the CLO).
According to the February 2013 trustee report, the balance of
collateral with a maturity date after the stated maturity of the
transaction represented 1.78% of the portfolio, or $11.13 million
in par. This, combined with the application of S&P's largest
obligor default test (a supplemental stress test S&P introduced as
part of its 2009 corporate criteria update), limited the upgrades
to its ratings on the class A-3L and B-1L notes.
In addition, the transaction had an undrawn commitment amount of
$25 million on the class A-1LV notes which ended in October 2012.
S&P observed that the commitment fee continued to be paid on the
January 2013 note valuation report. When running S&P's cash flow
analyses, it considered several different scenarios that included
both the A-1LV notes being fully drawn and the notes not drawing
on the $25 million commitment amount.
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
Fairway Loan Funding Co.
Rating
Class To From
A-1L AAA (sf) AAA (sf)
A-1LV AAA (sf) AAA (sf)
A-2L AA+ (sf) AA+ (sf)
A-3L A+ (sf) BBB+ (sf)
B-1L BB+ (sf) B+ (sf)
B-2L CCC- (sf) CCC- (sf)
C-6 AA+ (sf) AA+ (sf)
FM LEVERAGED I: Moody's Lowers Rating on Cl. E Notes to 'Caa2'
--------------------------------------------------------------
Moody's Investors Service downgraded the rating of the following
notes issued by FM Leveraged Capital Fund I:
US$12,200,000 Class E Fifth Priority Deferrable Floating Rate
Notes Due August 1, 2017, Downgraded to Caa2 (sf); previously on
October 20, 2011 Upgraded to Caa1 (sf).
Moody's also affirmed the ratings of $41.9 million of the
following notes:
US$24,600,000 Class C Third Priority Deferrable Floating Rate
Notes Due August 1, 2017 (current outstanding balance of
$19,254,586.32), Affirmed Aaa (sf); previously on May 18, 2012
Upgraded to Aaa (sf);
US$24,600,000 Class D Fourth Priority Deferrable Floating Rate
Notes Due August 1, 2017, Affirmed Ba1 (sf); previously on October
20, 2011 Upgraded to Ba1 (sf).
Ratings Rationale:
According to Moody's, the downgrade action on the Class E Notes is
primarily a result of the deterioration in the collateral coverage
for the Class E Notes since the rating action in May 2012. Based
on the trustee report dated March 8, 2013, the Class E
overcollateralization ratio has declined to 92.2% from the April
2012 level of 94.9%. Additionally, the deal has been negatively
impacted by a decline in the diversity score since the last rating
action. In particular, Moody's modeled a diversity score of 13
compared to 25 at the time of the last rating action.
The rating affirmations on the notes are primarily a result of the
amortization of the senior notes, and an increase the collateral
coverage ratios for the Class C and Class D Notes, since the
rating action in May 2012. Moody's notes that the Class A Notes
and Class B Notes have been fully paid down, and the Class C Notes
have been paid down by approximately 21.7% or $5.3 million, since
the last rating action. Based on the March 2013 trustee report,
the Class C, and Class D overcollateralization ratios are reported
at 222.6% and 114.4%, respectively, versus April 2012 levels of
144.3% and 107.6%, respectively. Moody's also notes that the
reported March 2013 overcollateralization ratios do not reflect
the principal paydown of $1.4 million to the Class B Notes, and
$5.3 million to the Class C Notes, on the March 15th payment date.
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 $45.7 million,
defaulted par of $17.4 million, a weighted average default
probability of 21.78% (implying a WARF of 4262), a weighted
average recovery rate upon default of 43.73%, and a diversity
score of 13. 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.
FM Leveraged Capital Fund I, issued in December 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, with significant exposure to middle market
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.
For securities whose default probabilities are assessed through
credit estimates ("CEs"), Moody's applied additional default
probability adjustments. For each CE where the related exposure
constitutes more than 3% of the collateral pool, Moody's applied a
2-notch equivalent assumed downgrade (but only on the CEs
representing in aggregate the largest 30% of the pool) as
described in Moody's Ratings Implementation Guidance "Updated
Approach to the Usage of Credit Estimates in Rated Transactions",
October 2009.
In addition to the base case analysis, 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% (3410)
Class C: 0
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (5114)
Class C: 0
Class D: -2
Class E: 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.
3) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability adjustments Moody's may assume in lieu of
updated credit estimates. Moody's also conducted tests to assess
the collateral pool's concentration risk in obligors bearing a
credit estimate that constitute more than 3% of the collateral
pool.
4) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors that are rated Caa1 or lower, especially when they
experience jump to default.
FM LEVERAGED I: S&P Raises Rating on Class E Notes to 'BB'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, and E notes from FM Leveraged Capital Fund II, a
collateralized loan obligation (CLO) transaction, managed by GSO
Capital Partners LP. At the same time, S&P affirmed its 'AAA
(sf)' ratings on the class A-1 and A-2 notes.
FM Leveraged Capital Fund II ended its reinvestment period on
Nov. 15, 2012, and used $59.89 million in principal proceeds to
pay down the class A-1 notes on the Feb. 15, 2013 distribution
date. The class A-1 notes have had a total paydown of
$143.7 million till date and are currently about 41.36% of their
original notional balance.
The transaction has seen many improvements since the last upgrade.
As of the Feb. 8, 2013 trustee report, the transaction held
$10.56 million in defaulted assets, compared with over
$19.98 million noted in the Dec. 20, 2010 trustee report, which
S&P referenced for its Feb. 2011 rating actions.
The upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes since
Dec. 2010. On average the O/C ratios have improved about 1.02%
since S&P's last upgrade in February 2011.
Currently, the transaction has no 'C-Basket Excess' amount being
haircut in the O/C calculations. The corresponding number at the
time of the last rating action was over $32.15 million. As of the
Feb. 8, 2013 report, the transaction had 8.3% in S&P C-basket
securities, compared with 13.7% noted in the Dec. 20, 2010 report.
The maximum percent allowed by the transaction documents is 10%.
The affirmation of the ratings on the class A-1 and A-2 notes
reflects the availability of credit support at the 'AAA (sf)'
rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
RATINGS LIST
FM Leveraged Capital Fund II
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)
C AA+ (sf) A+ (sf)
D A+ (sf) BBB (sf)
E BB (sf) B+ (sf)
TRANSACTION INFORMATION
Issuer: FM Leveraged Capital Fund II
Co-issuer: FM Leveraged Capital Fund II LLC
Collateral manager: GSO Capital Partners LP
Trustee: U.S. Bank N.A.
Transaction type: Cash flow CLO
G-STAR 2002-1: Debt Amendment No Impact on Moody's Ratings
----------------------------------------------------------
Moody's Investors Service reviewed the proposed Supplemental
Indenture No. 3 between G-Star 2002-1, Ltd., G-Star 2002-1, Corp.
and US Bank, National Association.
Moody's has determined that the actions permitted under the
Amendment should not, if implemented, in and of itself and at this
time, result in a downgrade or withdrawal of the current ratings
of the Notes issued by G-Star 2002-1, Ltd. and the Co-Issuer.
Moody's opinion addresses only the credit impact of the proposed
transactions, and Moody's is not expressing any opinion as to
whether the actions have, or could have, other non-credit related
effects that may have a detrimental impact on the interests of
holders and/or counterparties.
The Amendment may be summarized as follows: the definition of
Eligible Bidder in the Indenture dated as of April 25, 2002, is
amended to exclude the minimum short-term ratings requirements of
such bidder. Clause (j) of Section 12.3 in the Indenture is also
amended to remove the minimum short-term ratings requirements for
any purchaser of the collateral. The Schedule for Specified Bid
Procedures in the Indenture states that the settlement date for
any auction of collateral must occur a minimum of ten business
days prior to the Auction Payment Date, and any failure in
settlement will result in the cancellation of the auction.
The methodologies used in these ratings were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
On March 13, 2013, Moody's took these rating actions on note
classes issued by G-Star 2002-1:
Class BFL Floating Rate Notes Due 2037, Upgraded to Baa2 (sf);
previously on Mar 28, 2012 Upgraded to Ba1 (sf)
Class BFX 7.075% Notes Due 2037, Upgraded to Baa2 (sf); previously
on Mar 28, 2012 Upgraded to Ba1 (sf)
Class C 8% Notes, Upgraded to B1 (sf); previously on Mar 28, 2012
Upgraded to Caa1 (sf)
GRADY COUNTY: S&P Lowers Rating on Series 2011 Bonds to 'BB+'
-------------------------------------------------------------
Standard & Poor's Ratings Services said it lowered to 'BB+' from
'BBB-' its long-term rating on Grady County Criminal Justice
Authority, Okla.'s series 2011 revenue refunding bonds. The
outlook is stable.
"The downgrade is based on a decline in pledged net revenues due
to a reduction in demand for the facility," said Standard & Poor's
credit analyst Russell Bryce.
Net of operating expenses, criminal justice revenues have declined
significantly over the past two years, lowering coverage of annual
debt service to 1.05x, and coverage of maximum annual debt service
to a level S&P considers insufficient at 0.83x. In fiscal 2012,
reduced demand for the facility led to a 63% decline in net
criminal justice revenues to $1.2 million.
The bonds are secured by a first lien on Grady County Criminal
Justice Authority's net criminal justice revenues derived from a
facilities lease with Grady County, as well as a leasehold
mortgage on the prison site and facilities. The prison facilities
are located in Chickasha, about 36 miles from the Federal Bureau
of Prisons' Oklahoma City Federal Transfe Center, along Interstate
40.
GREYWOLF CLO II: S&P Assigns 'BB' Rating to Class D Notes
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 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 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 0.29%-12.81%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1394.pdf
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 2013-NYC5: Moody's Assigns 'Ba2' Rating to Cl. F CMBS
-----------------------------------------------------------------
Moody's Investors Service assigned 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, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. XA-1, Definitive Rating Assigned Aaa (sf)
Cl. XA-2, Definitive Rating Assigned B2 (sf)
Cl. XB-1, Definitive Rating Assigned 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.
GS MORTGAGE 2013-NYC5: S&P Assigns 'BB' Rating to Class F Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to GS
Mortgage Securities Corp. Trust 2013-NYC5's $410.0 million
commercial mortgage pass-through certificates.
The note issuance is a commercial mortgage-backed securities
transaction backed by one $410.0 million five-year, fixed-rate
commercial mortgage loan secured by the fee and leasehold
interests in five hotels in Manhattan.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the
transaction's structure.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1374.pdf
RATINGS ASSIGNED
GS Mortgage Securities Corp. Trust 2013-NYC5
Class Rating Amount ($)
A AAA (sf) 172,969,000
XA-1 AAA (sf) 172,969,000(i)
XA-2 AAA (sf) 172,969,000(i)
XB-1 BBB (sf) 121,531,000(i)
XB-2 BBB (sf) 121,531,000(i)
B AA- (sf) 55,431,000
C A- (sf) 40,600,000
D BBB (sf) 25,500,000
E BBB- (sf) 30,300,000
F BB (sf) 49,300,000
G BB- (sf) 35,900,000
(i) Notional balance. The class XA-1 and XA-2 certificates'
notional amount will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the
class A certificates. The class XB-1 and XB-2 certificates'
notional amount will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the
class B, C, and D certificates.
GSAMP TRUST 2002-HE2: Moody's Lifts Rating on Class A-1 Secs to B3
------------------------------------------------------------------
Moody's Investors Service upgraded the rating of three tranches
and affirmed the rating of one tranche from GSAMP Trust 2002-HE2,
backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: GSAMP Trust 2002-HE2
Cl. A-1, Upgraded to B3 (sf); previously on Mar 17, 2011
Downgraded to Caa3 (sf)
Underlying Rating: Upgraded to B3 (sf); previously on Mar 17, 2011
Downgraded to Caa3 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. A-2, Upgraded to B2 (sf); previously on Apr 9, 2012 Confirmed
at Caa2 (sf)
Underlying Rating: Upgraded to B2 (sf); previously on Apr 9, 2012
Confirmed at Caa2 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. B-1, Upgraded to Ca (sf); previously on Mar 17, 2011
Downgraded to C (sf)
Cl. B-2, Affirmed C (sf); previously on Mar 17, 2011 Downgraded to
C (sf)
Ratings Rationale:
The actions are a result of recent performance review of this
transaction and reflect Moody's updated loss expectation on this
pool. Primarily they reflect the updated pool loss relative to the
total credit enhancement available from subordination, as well as
excess spread. In addition, Moody's considered the volatility of
the projected losses and the timing of the expected defaults.
The actions also take into account a correction to the Structured
Finance Workstation (SFW) cash flow model used in rating this
transaction. In the previous rating action on April 9, 2012 the
stepdown cash flows were modeled as failing the delinquency event
for certain periods, which resulted in the sequential payment of
principal to the senior bonds instead of limiting the principal
distribution to the target principal distribution amounts. The
error has now been corrected, and the rating actions reflect that
change.
The methodologies used in this rating 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 "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 8.3% in February 2012 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 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.
HALCYON 2005-1: Fitch Affirms 'CC' Ratings on Class A & B Notes
---------------------------------------------------------------
Fitch Ratings has affirmed two classes issued by Halcyon 2005-1,
Ltd. as follows:
-- EUR51,875,000 class A notes at 'CCsf';
-- EUR15,000,000 class B notes at 'CCsf'.
Key Rating Drivers
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 degree of correlated
default risk of the reference collateral is high given the single
sector and vintage concentration. Based on this analysis and given
the credit enhancement available to classes A and B, the credit
characteristics of the bonds are consistent with the 'CC'
category. Since Fitch's last rating action in April 2012, 29.7% of
the underlying collateral has been downgraded and 3.3% has been
upgraded. Currently, 3.3% of the portfolio has a Fitch derived
rating below investment grade and 3.3% has a rating in the 'CCC'
category and below, compared to 3.3% and 3.3%, respectively, at
the last rating action.
Halcyon 2005-1 is a static synthetic collateralized debt
obligation (CDO) and closed on July 25, 2005. The note proceeds
collateralize a credit default swap that references a $1.5 billion
portfolio of 30 CMBS assets with DEPFA Bank plc (DEPFA - rated
'BBB+/F2'/Outlook Negative by Fitch), the swap counterparty. DEPFA
bought protection from the issuer on US$96 million of realized
losses in the portfolio; the U.S. dollar losses are converted into
Euros at a fixed exchange rate of US$1.20 to EUR1 to the extent
such losses are applied to the euro-denominated class A and class
B notes. Fitch previously withdrew the ratings on the class C
notes.
Rating Sensitivities
Further deterioration of the underlying collateral could lead to
further rating actions on the distressed notes.
HALCYON 2005-2: Fitch Affirms 'CC' Ratings on Class A to C Certs.
-----------------------------------------------------------------
Fitch Ratings has affirmed three classes issued by Halcyon 2005-2,
Ltd. as follows:
-- EUR38,400,000 class A notes at 'CCsf';
-- EUR25,800,000 class B notes at 'CCsf';
-- $15,750,000 class C notes at 'CCsf'.
Key Rating Drivers
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 degree of correlated
default risk of the reference collateral is high given the single
sector and vintage concentration. Based on this analysis and given
the credit enhancement available to classes A through C, the
credit characteristics of the bonds are consistent with the 'CC'
category. Since Fitch's last rating action in April 2012, 46.7% of
the underlying collateral has been downgraded and 6.7% has been
upgraded. Currently, 30% of the portfolio has a Fitch derived
rating below investment grade and 10% has a rating in the 'CCC'
category and below, compared to 20% and 3.3%, respectively, at the
last rating action.
Halcyon 2005-2 is a synthetic collateralized debt obligation (CDO)
and closed on Oct. 7, 2005. The note proceeds collateralize a
credit default swap that references a $1.5 billion portfolio of 30
CMBS A-J bonds with DEPFA Bank plc. (DEPFA), the swap
counterparty. DEPFA (rated 'BBB+/F2', Outlook Negative by Fitch)
bought protection from the issuer on $96 million of realized
losses in the portfolio; the U.S. dollar losses are converted into
Euros at a fixed exchange rate of $1.25 to EUR1 to the extent such
losses are applied to the euro-denominated class A and class B
notes. DEPFA has also entered into a credit support annex to
provide additional collateral to mitigate market value risk of
liquidation on the Euro and U.S dollar denominated securities due
to an early redemption of the notes in an event of default by the
swap counterparty. Currently, the proceeds of the notes are
invested in U.S. dollar and Euro denominated cash accounts.
Rating Sensitivities
Further deterioration of the underlying collateral could lead to
further rating actions on the distressed notes.
HALCYON LN: S&P Lowers Rating on Class D Notes to 'B+'
------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
D note from Halcyon Ln Investors CLO I Ltd., a U.S. cash-flow
collateralized loan obligation transaction managed by Halcyon Loan
Investors. At the same time, S&P affirmed its ratings on the A-
1A, A-1B, A-2, B, and C notes.
The transaction is in its reinvestment period, which is expected
to end in November 2013. S&P's last rating action on this
transaction was in January 2011, when S&P raised its ratings on
the class A-1B, A-2, B, C, and D notes, and affirmed the class A-
1A rating.
Though the transaction is in a stable condition with all coverage
ratios passing, the current principal coverage - i.e.
overcollateralization - ratios, have decreased slightly since
S&P's last rating action. The trustee reports the following
principal coverage ratios in its February 2013 monthly report:
-- The class A ratio is 123.1%, down from 124.2% in the January
2011 monthly trustee report;
-- The class B ratio is 115.8%, compared with 116.8% in January
2011;
-- The class C ratio is 110.0%, compared with 110.9% in January
2011; and
-- The class D ratio is 105.2%, compared with 106.1% in January
2011 (Minimum requirement - 100.9%).
This decline is primarily due to a small increase in defaults; the
February 2013 monthly trustee report indicates that the
transaction had $2.7 million par in default with an expected
recovery value of $99,200. In addition, one of the obligors
restructured its debt in October 2012 in exchange for equity.
The erosion of the portfolio's balance affected the class D top
obligor test, which addresses model or event risks based on
obligor concentrations, leading to its downgrade.
S&P affirmed its ratings on the remaining notes to reflect the
availability of adequate credit support at their current rating
levels.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING LOWERED
Halcyon Ln Investors CLO I Ltd.
Rating
Class To From
D B+ (sf) BB (sf)
RATINGS AFFIRMED
Halcyon Ln Investors CLO I Ltd.
Class Rating
A-1A AA+ (sf)
A-1B AA+ (sf)
A-2 AA- (sf)
B A- (sf)
C BBB (sf)
HALCYON LOAN 2013-1: S&P Assigns 'BB' Rating to Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 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.
-- 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 0.34%-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
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.
ING IM 2013-1: S&P Assigns 'BB' Rating to Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to ING IM
CLO 2013-1 Ltd./ING IM CLO 2013-1 LLC's $556.5 million floating-
rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The 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 primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.28%-13.84%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
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/1420.pdf
RATINGS ASSIGNED
ING IM CLO 2013-1 Ltd./ING IM CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 393.00
A-2 AA (sf) 66.75
B (deferrable) A (sf) 42.75
C (deferrable) BBB (sf) 29.25
D (deferrable) BB (sf) 24.75
Income notes NR 61.85
NR-Not rated.
ING IM 2013-2: S&P Assigns Prelim. 'BB' Rating on Class D Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to ING IM CLO 2013-2 Ltd./ING IM CLO 2013-2 LLC's
$427.45 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 29,
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 primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which 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 0.28%-13.84%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of up to 50% of the
excess interest proceeds that are available prior to paying
uncapped administrative expenses, subordinated and incentive
management fees, and subordinated note payments into
principal proceeds for the purchase of additional collateral
assets during the reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1436.pdf
PRELIMINARY RATINGS ASSIGNED
ING IM CLO 2013-2 Ltd./ING IM CLO 2013-2 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 297.00
A-2a AA (sf) 25.00
A-2b AA (sf) 20.00
B (deferrable) A (sf) 34.85
C (deferrable) BBB (sf) 21.40
D (deferrable) BB (sf) 19.10
E (deferrable) B (sf) 10.10
Subordinated securities NR 42.80
NR-Not rated.
ING IM 2012-4: S&P Affirms 'BB' Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on ING IM
CLO 2012-4 Ltd./ING IM CLO 2012-4 LLC's $381.2 million floating-
rate notes following the transaction's effective date as of
Feb. 12, 2013.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio.
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that 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 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 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
ING IM CLO 2012-4 Ltd./ING IM CLO 2012-4 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 262.0
A-2 (deferrable) AA (sf) 45.2
B (deferrable) A (sf) 28.8
C (deferrable) BBB (sf) 19.2
D (deferrable) BB (sf) 16.0
Combination securities A-p (sf)NRi(i) 10.0
(i) The 'p' subscript indicates that the rating addresses only
the principal portion of the obligation.
'NRi' indicates that the interest is not rated.
NR - Not rated.
JC PENNY: S&P Lowers Rating on 8 Classes of Transactions to 'CCC+'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on eight
classes of certificates linked to J.C. Penney Co. Inc. debentures.
S&P lowered the ratings to 'CCC+' from 'B-'. The downgraded
certificates relate to five J.C. Penney Co. Inc.-related
transactions.
S&P's ratings on the eight classes are dependent on its rating on
the underlying security, J.C. Penny Co. Inc.'s 7.625% debentures
due March 1, 2097 ('CCC+')
The rating actions reflect the Feb 28, 2013, lowering of its
rating on the underlying security to 'CCC+' from 'B-'. S&P may
take subsequent rating actions on these transactions due to
changes in its rating assigned to the underlying security.
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
CABCO Trust for JC Penney Debentures
US$52.65 mil ser:trust certificates due 03/01/2097
Class To From
Certs. CCC+ B-
CorTS Trust For J.C. Penney Debentures
US$100 mil corporate-backed trust securities (CorTS) certificates
Class To From
Certs CCC+ B-
Corporate Backed Callable Trust Certificates J C Penney
Debenture-Backed Series 2006-1
US$27.5 mil
Class To From
A-1 CCC+ B-
A-2 CCC+ B-
Corporate Backed Callable Trust Certificates J.C. Penney
Debenture Backed Series 2007-1 Trust
US$55 mil corporate backed callable trust certificates
J.C. Penney debentures-backed series 2007-1
Class To From
A-1 CCC+ B-
A-2 CCC+ B-
Structured Asset Trust Unit Repackaging (SATURNS)
J.C. Penny Company US$54.5 mil units Series 2007-1
Class To From
A CCC+ B-
B CCC+ B-
JFIN CLO 2013: S&P Assigns 'BB' Rating on Class D Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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
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.
-- 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 0.30%-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
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.
KATONAH X: Moody's Affirms 'Ba3' Rating on $20MM Class E Notes
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Katonah X CLO Ltd.:
US$40,000,000 Class B Floating Rate Notes Due 2020, Upgraded to
Aa1 (sf); previously on July 22, 2011 Upgraded to Aa3 (sf);
US$25,000,000 Class C Deferrable Floating Rate Notes Due 2020,
Upgraded to A2 (sf); previously on July 22, 2011 Upgraded to Baa1
(sf);
US$22,500,000 Class D Deferrable Floating Rate Notes Due 2020,
Upgraded to Baa3 (sf); previously on July 22, 2011 Upgraded to Ba1
(sf).
Moody's also affirmed the ratings of the following notes:
US$94,000,000 Class A-1a Floating Rate Notes, Due 2020; Affirmed
Aaa (sf); previously on May 17, 2007 Assigned Aaa (sf);
US$23,500,000 Class A-1b Floating Rate Notes, Due 2020; Affirmed
Aaa (sf); previously on July 22, 2011 Upgraded to Aaa (sf);
US$50,000,000 Class A-2a Revolving Floating Rate Notes, Due 2020;
Affirmed Aaa (sf); previously on May 17, 2007 Assigned Aaa (sf);
US$187,500,000 Class A-2b Floating Rate Notes, Due 2020, Affirmed
Aaa (sf); previously on May 17, 2007 Assigned Aaa (sf).
US$20,000,000 Class E Deferrable Floating Rate Notes Due 2020,
Affirmed Ba3 (sf); previously on July 22, 2011 Upgraded to Ba3
(sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in 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 2531 and 3.37%,
respectively, compared to 2630 and 3.2%, respectively, at the time
of the last rating action. Moody's also notes that the
transaction's reported overcollateralization ratios have improved
slightly 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 $487 million,
defaulted par of $0.6 million, a weighted average default
probability of 17.95% (implying a WARF of 2531), a weighted
average recovery rate upon default of 51.42%, 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.
Katonah X CLO Ltd., issued in May 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% (2025)
Class A-1a: 0
Class A-1b: 0
Class A-2a: 0
Class A-2b: 0
Class B: +1
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3037)
Class A-1a: 0
Class A-1b: 0
Class A-2a: 0
Class A-2b: 0
Class B: -2
Class C: -2
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
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.
LANDMARK IV CDO: Moody's Hikes Rating on Class B-2L Notes to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Landmark IV CDO, Ltd.:
US$15,500,000 Class B-1L Floating Rate Notes Due December 15,
2016, Upgraded to Aa1 (sf); previously on June 15, 2012 Upgraded
to A3 (sf);
US$10,500,000 Class B-2L Floating Rate Notes Due December 15,
2016 (current outstanding balance of $9,777,117), Upgraded to
Ba1 (sf); previously on September 12, 2011 Upgraded to Ba3 (sf);
Moody's also affirmed the ratings of the following notes:
US$20,000,000 Class A-2L Floating Rate Notes Due December 15,
2016 (current outstanding balance of $8,824,188), Affirmed Aaa
(sf); previously on September 12, 2011 Upgraded to Aaa (sf);
US$19,000,000 Class A-3L Floating Rate Notes Due December 15,
2016, Affirmed Aaa (sf); previously on June 15, 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 June 2012. Moody's notes that the Class A-1L,
Class A-1LA, and Class A-1LB notes have been fully paid down and
the Class A-2L Notes have been paid down by approximately 56% or
$11.2 million since the last rating action. Based on the latest
trustee report dated March 7, 2013, the Senior Class A, Class A,
Class B-1L and Class B-2L overcollateralization ratios are
reported at 260.48%, 166.24%, 128.35% and 112.22%, respectively,
versus May 2012 levels of 159.41%, 131.80%, 115.48% and 106.90%,
respectively. The March 2013 trustee reported
overcollateralization levels do not reflect the payment
distribution of approximately $24.5 million to the Class A-1L, A-
1LB and A-2L notes on the March 15, 2013 payment date.
Notwithstanding benefits of the deleveraging, Moody's notes that
the credit quality of the underlying portfolio has deteriorated
since the last rating action. Based on Moody's calculation, the
weighted average rating factor is currently 3346 compared to 2934
in June 2013.
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 of $56.6 million, defaulted par of $14.5 million, a
weighted average default probability of 18.35% (implying a WARF of
3346), a weighted average recovery rate upon default of 50.50%,
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.
Landmark IV CDO, Ltd., issued in October 2004, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's
Approach to Rating Collateralized Loan Obligations" published in
June 2011.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in June 2011.
Moody's also notes that a material proportion of the collateral
pool includes debt obligations whose credit quality has been
assessed through Moody's Credit Estimates ("CEs"). Moody's
analysis reflects the application of certain adjustments with
respect to the default probabilities associated with CEs.
Specifically, Moody's assumed an equivalent of Caa3 for assets
with CEs that were not updated within the last 15 months, which
represent approximately 9% of the collateral pool.
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% (2677)
Class A-2L: 0
Class A-3L: 0
Class B-1L: +1
Class B-2L: +1
Moody's Adjusted WARF + 20% (4015)
Class A-2L: 0
Class A-3L: 0
Class B-1L: -2
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 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) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability adjustments Moody's may assume in lieu of
updated credit estimates.
LEHMAN BROTHERS: S&P Lowers Rating on Class B Notes to 'CCC+'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 27
classes and affirmed its ratings on 32 classes from eight Lehman
Bros. Small Balance Commercial transactions. At the same time,
S&P removed eight ratings from CreditWatch with negative
implications. These transactions are backed by a pool of small
business development loans.
The downgrades reflect the deteriorating credit performances of
the transactions since S&P's last rating actions in June 2011.
The transactions experienced an increase in the new delinquencies
according to the February 2013 servicer reports. All the
transactions in this review have depleted their reserve accounts
due to performance deterioration of the pools backing them. The
cumulative net losses are between 6.18% and 14.29% of the original
pool balances and they have breached their cumulative net loss
trigger of 5%. As a result, many of the junior tranches have been
accumulating a carry forward interest balance with each payment
period.
The affirmations reflect the availability of adequate credit
support at the current rating levels.
S&P will continue to review whether, in its view, the ratings
currently assigned to the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Lehman Bros. Small Balance Commercial
2005-2
Rating
Class To From
M1 BB+ (sf) BB+ (sf)/Watch Neg
M2 BB (sf) BB (sf)/Watch Neg
M3 B+ (sf) B+ (sf)/Watch Neg
B CCC+ (sf) CCC+ (sf)/Watch Neg
Lehman Bros. Small Balance Commercial
2006-1
Rating
Class To From
M1 BBB+ (sf) BBB+ (sf)/Watch Neg
M2 BB+ (sf) BB+ (sf)/Watch Neg
M3 B+ (sf) B+ (sf)/Watch Neg
B CCC+ (sf) B (sf)/Watch Neg
Lehman Bros. Small Balance Commercial Mortgage Trust
2006-2
Rating
Class To From
1A BBB+ (sf) A+ (sf)
2A3 BBB+ (sf) A+ (sf)
M1 BB+ (sf) BBB+ (sf)
M2 B+ (sf) BB+ (sf)
M3 CCC+ (sf) B+ (sf)
B CCC- (sf) CCC+ (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2006-3
Rating
Class To From
M1 B+ (sf) BB+ (sf)
M2 CCC+ (sf) B+ (sf)
M3 CCC- (sf) B- (sf)
B CCC- (sf) CCC+ (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2007-1
Rating
Class To From
M1 B- (sf) BB- (sf)
M2 CCC (sf) B- (sf)
M3 CCC- (sf) CCC (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2007-2
Rating
Class To From
1A2 A+ (sf) AA+ (sf)
1A3 BB+ (sf) BBB- (sf)
1A4 BB+ (sf) BBB- (sf)
2A2 A+ (sf) AA+ (sf)
2A3 BB+ (sf) BBB- (sf)
M1 B- (sf) BB- (sf)
M2 CCC+ (sf) B+ (sf)
M3 CCC- (sf) CCC+ (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2007-3
Rating
Class To From
AM BBB- (sf) BBB (sf)
AJ BB- (sf) BB (sf)
M1 B- (sf) B+ (sf)
M2 CCC (sf) CCC+ (sf)
M3 CCC- (sf) CCC (sf)
RATINGS AFFIRMED
Lehman Bros. Small Balance Commercial
2005-2
Class Rating
1A A+ (sf)
2A A+ (sf)
Lehman Bros. Small Balance Commercial
2006-1
Class Rating
1A A+ (sf)
2A A+ (sf)
3A3 A+ (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2006-3
Class Rating
1A BBB+ (sf)
2A2 AAA (sf)
2A3 BBB+ (sf)
Lehman Bros. Small Balance Commercial Loan Trust
2006-SBA
Class Rating
A BBB- (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2007-1
Class Rating
1A BBB- (sf)
2A2 AA+ (sf)
2A3 BBB- (sf)
M4 CCC- (sf)
B CCC- (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2007-2
Class Rating
M4 CCC- (sf)
M5 CCC- (sf)
B CCC- (sf)
Lehman Bros. Small Balance Commercial Mortgage Trust
2007-3
Class Rating
1A2 AAA (sf)
1A3 A+ (sf)
1A4 A+ (sf)
2A2 AAA (sf)
2A3 A+ (sf)
M4 CCC- (sf)
M5 CCC- (sf)
B CCC- (sf)
MASTR ASSET 2005-NC1: Moody's Affirms C Ratings on 4 RMBS Classes
-----------------------------------------------------------------
Moody's Investors Service downgraded the rating of 2 tranches,
confirmed the rating of 1 tranche, and affirmed the rating of 5
tranches from 1 transaction, backed by Subprime mortgage loans.
Issuer: MASTR Asset Backed Securities Trust 2005-NC1
Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 10, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Downgraded to Ba3 (sf); previously on May 30, 2012 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. M-3, Confirmed at B3 (sf); previously on May 30, 2012 B3 (sf)
Placed Under Review for Possible Downgrade
Cl. M-4, Affirmed Ca (sf); previously on May 5, 2010 Downgraded to
Ca (sf)
Cl. M-5, Affirmed C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on May 5, 2010 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 20, 2009 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 20, 2009 Downgraded to
C (sf)
Ratings Rationale:
The actions are a result of the recent performance review of this
transaction and reflect Moody's updated loss expectations on this
pool.
These rating actions constitute of 2 downgrades, 5 affirmations,
and 1 confirmation. The downgrade of the Class M1 is primarily due
to the tranches' weak interest shortfall reimbursement mechanism
and existing interest shortfalls. Missed interest payments on this
tranche can typically only be made up from excess interest after
the overcollateralization is built to a target amount. In this
transaction since overcollateralization is already below target
due to poor performance, existing interest shortfalls are unlikely
to be repaid.
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 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 these methodologies for its current view on loan
modifications. As a result of an extension of the Home Affordable
Modification Program (HAMP) to 2013 and an increased use of
private modifications, Moody's is extending its previous view that
loan modifications will only occur through the end of 2012. It is
now assuming that the loan modifications will continue at current
levels 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).
Other factors used in this rating are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
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 8.3% in February 2012 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 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.
MERRILL LYNCH 1997-C2: Fitch Affirms 'D' Rating on Class H Certs.
-----------------------------------------------------------------
Fitch Ratings has affirmed four classes of Merrill Lynch Mortgage
Trust's commercial mortgage pass-through certificates, series
1997-C2.
Key Rating Drivers
The affirmations are due to sufficient credit enhancement to the
remaining Fitch rated classes and minimal Fitch expected losses
across the pool. The pool has experienced $23.3 million (3.4% of
the original pool balance) in realized losses to date. Fitch has
designated two loans (32.9% of the pool) as Fitch Loans of
Concern; however, there are currently no specially serviced loans.
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 94% to $41.5 million from
$686.3 million at issuance. Per the servicer reporting, there are
currently no defeased loans. Interest shortfalls are currently
affecting classes H through K.
The largest Loan of Concern is a 368,229 square foot (sf) retail
center located in Tucker, GA in the Atlanta metropolitan
statistical area (MSA; 31.9% of the pool and largest loan in the
pool). The property was 80% occupied as of December 2012, which is
an improvement from the previous year end (YE) of 73% as of YE
2011, however, the loan has a low debt service coverage ratio
(DSCR) of 0.97x as of September 2012. In addition, the largest
tenant has a lease that expires in January 2014.
Rating Sensitivity
The ratings are expected to remain stable. The pool is
concentrated; therefore, a scenario was run assuming the largest
loan representing 31.9% of the pool takes a 75% loss, which would
not impact the current ratings.
Fitch affirms these classes as indicated:
-- $25.3 million class F at 'Asf', Outlook Stable;
-- $6.9 million class G at 'BB+sf', Outlook Stable;
-- $9.3 million class H at 'Dsf', RE 75%;
-- $0 class J at 'Dsf', RE 0%.
The class A-1, A-2, B, C and D certificates have paid in full.
Fitch does not rate the class E and K certificates. Fitch
previously withdrew the rating on the interest-only class IO
certificates.
MORGAN STANLEY 2001-TOP3: Fitch Affirms 'D' Rating on Cl. G Certs
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 11 classes of
Morgan Stanley Dean Witter Capital I Trust commercial mortgage
pass-through certificates series 2001-Top3.
Key Rating Drivers
The downgrade reflects an increase in Fitch-modeled losses across
the pool due to further deterioration of loan performance. The
Negative Outlook reflects the potential for further losses on
underperforming loans. Fitch modeled losses of 15.2% of the
remaining pool; expected losses on the original pool balance total
6%, including losses already incurred. The pool has experienced
$42.7 million (4.2% of the original pool balance) in realized
losses to date. Fitch has designated six loans (16.3%) as Fitch
Loans of Concern, which includes three specially serviced assets
(14.3%).
rating sensitivities
The investment grade classes are expected to remain stable and no
rating actions are anticipated. Despite improved credit
enhancement levels, the Stable Outlooks on classes C and D reflect
the limited prospect for upgrades given the concentrated nature of
the pool and a significant percentage of loans (69%) with single-
tenant exposure.
The 'BB' rated class may be subject to further downgrade should
pool performance deteriorate and loss expectations increase. In
addition, the distressed class (rated below 'B') may be subject to
further rating actions as losses are realized.
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 88% to $123 million from
$1.03 billion at issuance. Per the servicer reporting, three loans
(2.9% of the original pool balance) have defeased since issuance.
Interest shortfalls are currently affecting classes F through N.
The largest contributor to expected losses is a vacant 221,374
square foot (sf) industrial building (5.5% of the pool) located in
Duluth, GA. The asset transferred to special servicing due to the
single tenant vacating in September 2009 and subsequently became
real estate owned (REO) in March 2011. Offers for purchase have
been received and a contract is being circulated for execution.
Fitch expects significant losses upon disposition of the asset.
The next largest contributor to expected losses is a 98,973 sf
industrial property (6.4%) located in Fremont, CA. As of March
2012, the property was 50% occupied with two tenants remaining in
the building. The largest remaining tenant, representing 27% of
the net rentable area (NRA), is on a month-to- month lease. Due to
the decline in vacancy, the cash flow has been insufficient to
service the debt with servicer reported debt service coverage
ratio (DSCR) as of December 2012 at 0.07x. Despite the reduced
cash flow, the loan has remained current.
The third largest contributor to expected losses is an 80,209 sf
office complex (6.5%) located in North Wales, PA. The loan
transferred to special servicing in January 2012 due to maturity
default. The property faces significant near-term rollover with
16% of leases expiring in 2013. The property was 37% occupied as
of March 2013. The servicer is dual-tracking foreclosure and a
potential modification contingent on the borrower securing
additional financing.
Fitch downgrades the following class and revises the Recovery
Estimate (RE) as indicated:
-- $11.6 million class F to 'CCsf' from 'CCCsf', RE 45%.
Fitch affirms the following classes but revises the Rating Outlook
as indicated:
-- $18 million class E at 'BBsf', Outlook to Negative from
Stable.
Fitch affirms these classes as indicated:
-- $11.5 million class A-4 at 'AAAsf', Outlook Stable;
-- $30.8 million class B at 'AAAsf', Outlook Stable;
-- $28.3 million class C at 'AAsf', Outlook Stable;
-- $12.9 million class D at 'Asf', Outlook Stable;
-- $10 million class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%.
Classes A-1, A-2, A-3 and X-2 have paid in full. Fitch does not
rate the class N certificates. Fitch previously withdrew the
rating on the interest-only class X-1 certificates.
MORGAN STANLEY 2005-TOP19: Fitch Affirms 'CC' Ratings on 6 Certs
----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Morgan Stanley Capital I
Trust Series 2005-TOP19 (MSCI 2005-TOP19) commercial mortgage
pass-through certificates.
Key Rating Drivers
The affirmations reflect sufficient credit enhancement to offset
Fitch modeled losses across the pool. Fitch modeled losses of 6.7%
of the remaining pool; expected losses on the original pool
balance total 5.8%, including losses already incurred. Fitch has
designated 30 loans (24.8%) as Fitch Loans of Concern, which
includes two specially serviced assets (1.9%).
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 22.5% to $952.3 million from
$1.2 billion at issuance. Nine loans (8.4%) are currently
defeased. Interest shortfalls are currently affecting class P.
The largest contributor to expected losses is a 466,000 square
foot (sf) office building (8.9% of the pool) located in the
Buckhead area of Atlanta, GA. The property experienced a
significant decline in occupancy from 89% at YE 2009 to 73% at YE
2010. Since this time occupancy has improved, the building was 79%
occupied as of YE 2012; however, it remains a concern with an
additional 20% of the NRA rolling over the next 12 months.
The next largest contributor to expected losses is an 11,671 sf
retail property (2% of the pool) located in Honolulu, HI. The
property is located in a prime location in Oahu; however, rents
are significantly below market average. Additionally, there is
significant roll over risk with 59.4% of leases expiring prior to
YE2014, including the largest tenant (30.8% of net rentable area)
who is currently subleasing its space.
The third largest contributor to expected losses is collateralized
by a 124-room Quality Suites and an adjacent 107-room Sleep Inn
limited service hotels (1% of the pool) located in Rockville, MD.
Occupancy and DSCR has been historically low due to low economic
performance and seasonal lodging conditions. DSCR and occupancy
were 0.61x and 58%, respectively, at YE2012.
Rating Sensitivities
The ratings on the class A-AB through A-J notes are expected to be
stable as the credit enhancement is increasing. The ratings on the
class B through D notes may be subject to future downgrades if
losses are greater than expected. Distressed classes (those rated
below 'B') are expected to be subject to further downgrades as
losses are realized.
Fitch has affirmed the following classes as indicated:
-- $20.1 million class A-AB at 'AAAsf'; Outlook Stable;
-- $642.8 million class A-4A at 'AAAsf'; Outlook Stable;
-- $88.1 million class A-4B at 'AAAsf'; Outlook Stable;
-- $87.5 million class A-J at 'Asf'; Outlook Stable;
-- $23 million class B at 'BBB-sf'; Outlook Negative;
-- $12.3 million class C at 'BBsf'; Outlook Negative;
-- $15.4 million class D at 'Bsf'; Outlook Negative;
-- $12.3 million class E at 'CCC'; RE 75%;
-- $9.2 million class F at 'CCC' RE 0%;
-- $9.2 million class G at 'CCC' RE 0%;
-- $10.7 million class H at 'CCCsf'; RE 0%.
-- $3.1 million class J at 'CCsf'; RE 0%;
-- $3.1 million class K at 'CCsf'; RE 0%;
-- $6.1 million class L at 'CCsf'; RE 0%;
-- $1.5 million class M at 'Csf'; RE 0%;
-- $3.1 million class N at 'Csf'; RE 0%;
-- $3.1 million class O at 'Csf'; RE 0%.
The class A-1, A-2, and A-3 certificates have paid in full. Fitch
does not rate the class P certificates. Fitch previously withdrew
the ratings on the interest-only class X-1 and X-2 certificates.
MORGAN STANLEY 2006-TOP23: S&P Hikes Rating on Cl. C Notes to BB+
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on seven
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2006-TOP23, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, S&P
affirmed its ratings on nine other classes from the same
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 reflect S&P's expected available credit enhancement
for the classes, which S&P believes is greater than its most
recent estimate of necessary credit enhancement for the most
recent rating levels, as well as S&P's reviews regarding the
current and future performance of the collateral supporting the
transaction.
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 Class X interest-only (IO) certificate
reflects S&P's current 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 RAISED
Morgan Stanley Capital I Trust 2006-TOP23
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M AA (sf) A+ (sf) 18.39
A-J BBB (sf) BBB- (sf) 10.05
B BBB- (sf) BB (sf) 7.67
C BB+ (sf) BB- (sf) 6.48
D BB- (sf) B (sf) 4.54
E B+ (sf) B- (sf) 3.50
F B- (sf) CCC+ (sf) 2.61
RATINGS AFFIRMED
Morgan Stanley Capital I Trust 2006-TOP23
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 30.31
A-3 AAA (sf) 30.31
A-AB AAA (sf) 30.31
A-4 AAA (sf) 30.31
G CCC (sf) 1.57
H CCC- (sf) 0.82
J CCC- (sf) 0.52
K CCC- (sf) 0.23
X AAA (sf) N/A
N/A-Not applicable.
MORGAN STANLEY 2007-HQ13: S&P Cuts Rating on Class A-M Notes to B-
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on two
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2007-HQ13, a U.S. commercial
mortgage-backed securities (CMBS) transaction. In addition, the
ratings on six classes will remain on CreditWatch with negative
implications, where they were initially placed on March 13, 2013.
Furthermore, S&P withdrew its 'AAA (sf)' rating on the Class X
interest-only (IO) certificates.
The downgrades and negative CreditWatch placements reflect
interest shortfalls to all of the outstanding classes due
primarily to the master servicer, Wells Fargo Bank N.A. (Wells
Fargo), recouping its outstanding servicer advances on The Pier at
Caesars real-estate-owned (REO) asset. On Aug. 24, 2012, Wells
Fargo determined that future advances on this asset would be
nonrecoverable. According to the March 15, 2013, trustee
remittance report, Wells Fargo recovered $1.8 million of its
outstanding advances. Wells Fargo stated that the current
outstanding advances total approximately $9.4 million.
Based on information S&P received from Wells Fargo, S&P expects
them to continue recovering the outstanding servicer advances for
at least the next two months. According to Wells Fargo, after
discussions with the current special servicer, C-III Asset
Management LLC (C-III), the increased recoveries follow an
unexpected, significant decline in the value of the Pier at
Caesar's asset, as reflected in the reported Jan. 18, 2013,
appraised value. Standard & Poor's believes that there will
likely be a significant loss to the trust upon the eventual
liquidation of the asset due to this valuation decline.
According to the March 2013 trustee remittance report, all of the
outstanding classes incurred interest shortfalls. S&P lowered its
rating on the Class A-2 certificates to 'A+ (sf)' because, based
on S&P's discussions with Wells Fargo, S&P expects this class to
continue to experience interest shortfalls for at least two
additional months. S&P lowered its rating on the Class A-M
certificates to 'B- (sf)' because, based on information from the
master servicer, S&P expects the accumulated interest shortfalls
to remain outstanding for the foreseeable future. In the event
that any of the rated classes continue to experience interest
shortfalls and/or have accumulated interest shortfalls outstanding
for an extended period of time, S&P could lower its ratings on
these classes further.
S&P withdrew its 'AAA (sf)' rating on the Class X IO certificates
in accordance with its criteria for rating IO securities because
the ratings on the rated principal and interest paying classes are
now below 'AA-(sf)'.
As of the March 15, 2013, trustee remittance report, the
transaction collateral consisted of 65 mortgage loans and one REO
asset totaling $742.8 million. Based on information received from
C-III, there are seven ($165.9 million, 22.3%) assets with the
special servicer, including The Pier at Caesars asset.
The Pier at Caesars asset is the largest asset in the pool and has
a trust balance of $80.5 million (10.8%). The total reported
exposure as of the March 15, 2013, trustee remittance report was
$94.0 million. The asset consists of a leasehold interest in a
294,611-sq.-ft. retail and entertainment center in Atlantic City,
N.J. The loan was transferred to the special servicer on Oct. 15,
2009, due to imminent payment default, and the property became REO
on Oct. 28, 2011. According to the Dec. 31, 2012, rent roll, the
property was 58.5% occupied. C-III reported that net operating
income was not sufficient to cover debt service for the year ended
Dec. 31, 2011.
S&P will resolve its CreditWatch negative placements after further
discussions with the master and special servicers, and as more
information regarding this asset becomes available.
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 REMAINING ON CREDITWATCH NEGATIVE
Morgan Stanley Capital I Trust 2007-HQ13
Commercial mortgage pass-through certificates
--Rating-- Credit
Class To From enhancement (%)
A-2 A+ (sf)/Watch Neg AAA (sf)/Watch Neg 32.17
A-M B- (sf)/Watch Neg BB- (sf)/Watch Neg 18.17
RATINGS REMAINING ON CREDITWATCH NEGATIVE
Morgan Stanley Capital I Trust 2007-HQ13
Commercial mortgage pass-through certificates
Credit
Class Rating enhancement (%)
A-1A A+ (sf)/Watch Neg 32.17
A-3 A+ (sf)/Watch Neg 32.17
A-J CCC (sf)/Watch Neg 8.38
B CCC- (sf)/Watch Neg 5.93
RATING WITHDRAWN
Morgan Stanley Capital I Trust 2007-HQ13
Commercial mortgage pass-through certificates
--Rating-- Credit
Class To From enhancement (%)
X NR AAA (sf) N/A
NR - Not rated.
N/A - Not applicable.
N-45 FIRST CMBS: S&P Affirms 'BB+' Rating to Class D Notes
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on six
classes of commercial mortgage-backed bonds from N-45 First CMBS
Issuer Corp.'s series 2003-2, a Canadian commercial mortgage-
backed securities (CMBS) transaction.
The affirmations follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transaction, and a review of the transaction structure and
liquidity available to the trust. The analysis of standalone
(single borrower) transactions is predominantly a recovery-based
approach that assumes a loan default. Reflecting this approach,
S&P's property-level analysis included a revaluation of the office
properties securing the two mortgage loans in the trust. Based on
S&P's analysis, it derived its aggregate sustainable in place net
cash flow, which S&P then divided by a weighted average
capitalization rate of 7.31% to determine its aggregate expected-
case value. This yielded a loan-to-value (LTV) ratio of 46.9% on
the total trust balance. S&P's analysis also considered that both
loans are scheduled to mature Nov. 1, 2013.
The affirmed ratings on the principal and interest certificate
classes reflect subordination and liquidity support levels that
are consistent with the outstanding ratings.
S&P affirmed the 'BB+ (sf)' rating on class D based on its
criteria for rating U.S. and Canadian CMBS transactions, which
applies a credit enhancement minimum equal to 1% of the
transaction or loan amount to address the potential for unexpected
trust expenses that may be incurred during the life of the loan or
transaction. These potential unexpected trust expenses may
include servicer fees, servicer advances, workout or corrected
mortgage fees, and potential trust legal fees.
S&P affirmed its 'AAA (sf)' rating on the class IO interest-only
certificates based on its criteria for rating interest-only
securities.
As of the March 15, 2013, trustee remittance report, the trust
consists of two amortizing fixed-rate mortgage loans totaling
C$312.5 million. The mortgage loans are secured by the Bankers
Hall Complex and Royal Bank Building, both located in Calgary,
Alberta. The two loans are cross-defaulted but not cross-
collateralized. The sponsors for the two loans are Brookfield
Office Properties Inc. (BBB/Negative/--) and British Columbia
Investment Management Corp., an agent of the Crown in right of the
Province of British Columbia (AAA/Stable/A-1+).
S&P based its analysis on the two loans, in part, on a review of
the borrower's operating statements for the office collateral for
the years ended Dec. 31, 2011 and 2010, and the Jan. 1, 2012, rent
rolls. Based on S&P's review of the borrower's operating
statements, the office properties securing the two loans have
stable operating performance which reflects the stable market
conditions in the central core of downtown central business
district submarket of Calgary. S&P's analysis also considered the
expected increase in office space supply in Calgary, coupled with
slowing demand for office space. Details on the two loans are:
-- The larger of the two loans in the pool is the BH Secured
loan, with a trust and whole-loan balance of C$293.1 million
(93.8%). The loan is secured by the Bankers Hall Complex,
which consists of the East Tower, West Tower, a Podium, an
underground parking garage, and an above-ground parking
garage. The East and West Towers are two 47-story class AA
office buildings totaling 1.6 million sq. ft. The Podium,
which connects the two office towers, comprises a seven-
story office/retail structure totaling 225,218 sq. ft. The
mortgage loan amortizes on a 30-year schedule and pays
interest based on 7.204% per year. The reported occupancy
was 99.7% according to the Jan. 1, 2012, rent roll. The
master servicer, Gespa CDPQ Inc., a member of Otera Capital
(Gespa), reported a debt service coverage (DSC) of 1.83x for
year-end 2011. S&P's adjusted valuation, using a 7.25%
capitalization rate, yielded an in-trust stressed LTV ratio
of 49.6%.
-- The smaller of the two loans in the pool is the RBB Secured
loan, with a trust and whole-loan balance of C$19.4 million
(6.2%). The loan is secured by the Royal Bank Building,
which consists of a 24-story, 317,974-sq.-ft. class A office
tower located directly adjacent to the Bankers Hall Complex
property. The mortgage loan amortizes on a 24-year schedule
and pays interest based on 6.691% per year. The reported
occupancy was 96.1% according to the Jan. 1, 2012, rent
roll. Gespa reported a DSC of 2.97x for year end-2011.
S&P's adjusted valuation, using a 7.75% capitalization rate,
yielded an in-trust stressed LTV ratio of 25.8%.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
N-45 First CMBS Issuer Corp.
Commercial mortgage-backed bonds series 2003-2
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
B AAA (sf)
C AA- (sf)
D BB+ (sf)
IO AAA (sf)
N-STAR REAL: Moody's Lowers Rating on Class A-1 Notes to 'B2'
-------------------------------------------------------------
Moody's downgraded the rating of one class and affirmed the
ratings of eleven classes of Notes issued by N-Star Real Estate
CDO IX, Ltd. The downgrade is due to negative credit migration
within the pool of assets as evidenced by the Moody's weighted
average rating factor (WARF). The affirmations are due to the key
transaction parameters performing within levels commensurate with
the existing ratings levels.
The rating action is the result of Moody's on-going surveillance
of commercial real estate collateralized debt obligation (CRE CDO
and Re-REMIC) transactions.
Moody's rating action is as follows:
Cl. A-1, Downgraded to B2 (sf); previously on Mar 30, 2011
Downgraded to Ba3 (sf)
Cl. A-2, Affirmed Caa1 (sf); previously on Mar 30, 2011 Downgraded
to Caa1 (sf)
Cl. A-3, Affirmed Caa2 (sf); previously on Mar 30, 2011 Downgraded
to Caa2 (sf)
Cl. B, Affirmed Caa2 (sf); previously on Apr 28, 2010 Downgraded
to Caa2 (sf)
Cl. C, Affirmed Caa3 (sf); previously on Apr 28, 2010 Downgraded
to Caa3 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Apr 28, 2010 Downgraded
to Caa3 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Apr 28, 2010 Downgraded
to Caa3 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Apr 28, 2010 Confirmed at
Caa3 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Apr 28, 2010 Confirmed at
Caa3 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Apr 28, 2010 Confirmed at
Caa3 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Apr 28, 2010 Confirmed at
Caa3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Apr 28, 2010 Confirmed at
Caa3 (sf)
Ratings Rationale:
N-Star Real Estate CDO IX, Ltd. is a currently static CRE CDO
transaction; the reinvestment period ended in June 2012. The
collateral pool contains 62.3% commercial mortgage backed
securities (CMBS) of which approximately 89% was issued between
2005 and 2008. The remaining collateral includes CRE CDO (28.1%),
CMBS rake bonds (0.2%), real estate investment trust (REIT) debt
(0.7%), small business loans (0.3%), and commercial real estate
whole loans, b-notes and mezzanine interests (8.4%).
The pool contains fifty one assets totaling $278.3 million (26.8%
of the collateral pool balance) that are listed as defaulted
securities as of the March 1, 2013 trustee report. Forty one of
these assets (70.4% of the defaulted balance) are CMBS, nine
assets are CRE CDO (25.1%), and one asset is a commercial real
estate loan (4.5%). While there have been limited realized losses
on the underlying collateral to date, Moody's does expect
significant losses to occur on the defaulted securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), weighted average recovery rate (WARR), and
Moody's asset correlation (MAC). These parameters are typically
modeled as actual parameters for static deals and as covenants for
managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF, including
defaulted assets, of 6,643 compared to 5,182 at last review.
Moody's modeled a bottom-dollar WARF, excluding defaulted assets,
of 5,649 compared to 3,358 at last review (excluding defaulted
securities). The current distribution of Moody's rated collateral
and assessments for non-Moody's rated collateral is as follows:
Aaa-Aa3 (5.5% compared to 7.1% at last review), A1-A3 (1.0%
compared to 5.2% at last review), Baa1-Baa3 (3.5% compared to
12.2% at last review), Ba1-Ba3 (5.7% compared to 16.9% at last
review), B1-B3 (22.8% compared to 25.2% at last review), and Caa1-
C (61.5% compared to 33.4% at last review).
Moody's modeled a WAL of 3.9 years compared to 5.0 years at last
review. The current WAL is based on the assumption about
extensions on the underlying collateral.
Moody's modeled a fixed WARR, excluding defaulted assets, of 11.1%
compared to 18.5% at last review.
Moody's modeled a MAC of 100% compared to 12.3% at last review.
The increase in MAC is due to the reduced distribution of credit
risk of the underlying collateral names.
Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating
models, which was released on March 22, 2012.
The cash flow model, CDOEdge v3.2.1.2, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
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. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption down from
11.1% to 1.1% or up to 21.1% would result in a modeled rating
movement on the rated tranches of 0 to 1 notch downward and 0 to 2
notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment 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 SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
SASCO 2007-BHC1: Moody's Affirms C Rating on Class A-1 Notes
------------------------------------------------------------
Moody's Investors Service has affirmed one class of notes issued
by SASCO 2007-BHC1 Trust. The affirmation is due to key
transaction parameters performing within levels commensurate with
the existing ratings levels. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation and re-remic (CRE CDO and Re-Remic)
transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed C (sf); previously on May 9, 2012 Downgraded to
C (sf)
Ratings Rationale:
SASCO 2007-BHC1 Trust, Commercial Mortgage-Backed Securities Pass-
Through Certificates, Series 2007-BHC1 is a static cash re-REMIC
transaction backed by a portfolio of 100.0% commercial mortgage
backed securities (CMBS). As of the March 20, 2013 payment date
statement, the aggregate certificate balance of the transaction,
excluding deferred interest, has decreased to $427.6 million from
$501.3 million at issuance due to realized losses to Class B
through Class T certificate. The current collateral par amount is
net of $73.7 million (14.7%) in cumulative realized losses to the
collateral pool since securitization; compared to $27.0 million
(5.4%) in cumulative realized losses at last review.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 9,437
compared to 9,075 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Ba1-Ba3 (2.0% compared to 1.8% at last
review), B1-B3 (1.7% compared to 1.6% at last review), and Caa1-
Ca/C (96.3% compared to 96.6% at last review).
Moody's modeled to a WAL of 4.0 years, compared to 4.5 years at
last review.
Moody's modeled a fixed WARR of 0.3%, the same as at last review.
Moody's modeled a MAC of 0.0%, the same as last review.
Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating
models, which was released on March 22, 2012.
The cash flow model, CDOEdge v3.2.1.2, was used to analyze the
cash flow waterfall and its effect on the capital structure of the
deal.
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 or certificates
are particularly sensitive to changes in recovery rate
assumptions. However, in light of the performance indicators,
Moody's believes that it is unlikely that the rating is sensitive
to further changes.
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 methodologies used in this rating were "Moody's Approach to
Rating SF CDOs" published in May 2012, and "Moody's Approach to
Rating Commercial Real Estate CDOs" published in July 2011.
SEAWALL 2007-1: Moody's Affirms 'C' Rating on Class A Notes
-----------------------------------------------------------
Moody's affirmed the rating of one class of Notes issued by
Seawall 2007-1, Ltd. due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
Synthetic) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed C (sf); previously on Apr 4, 2012 Downgraded to C
(sf)
Ratings Rationale:
Seawall 2007-1, Ltd. is a static synthetic transaction backed by a
portfolio of credit default swaps referencing commercial mortgage
backed securities (CMBS) (94.8% of the reference obligation
balance) and real estate investment trust (REIT) securities
(5.2%). As of the February 28, 2013 Trustee report, the aggregate
issued notional balance of the transaction has decreased to $386.8
million from $550.0 million at issuance, due to writedowns on the
underlying reference obligations and resultant protection payments
made to the counterparty.
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 9,083 compared to 8,931 at last review. The current
distribution of Moody's rated reference obligations and
assessments for non-Moody's rated reference obligations is as
follows: Baa1-Baa3 (5.2% compared to 5.9% at last review), and
Caa1-C (94.8% compared to 94.1% at last review).
Moody's modeled a WAL of 2.7 years compared to 3.6 years at last
review.
Moody's modeled a variable WARR with a mean of 1.4% compared to
2.0% at last review.
Moody's modeled a MAC of 0% compared to 0% 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 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 in the positive direction or one notch in the negative
direction will not result in any further changes to the model
results.
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 SF CDOs" published in May 2012.
SEQUOIA MORTGAGE 2013-5: Fitch to Rate Class B-4 Certs 'BB'
-----------------------------------------------------------
Fitch Ratings expects to rate Sequoia Mortgage Trust 2013-5 as
follows:
-- $217,192,500 class A-1 certificate 'AAAsf'; Outlook Stable;
-- $217,192,500 class A-2 certificate 'AAAsf'; Outlook Stable;
-- $217,192,500 class A-IO1 notional certificate 'AAAsf'; Outlook
Stable;
-- $434,385,000 class A-IO2 notional certificate 'AAAsf'; Outlook
Stable;
-- $9,035,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $7,645,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $5,097,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $2,316,000 non-offered class B-4 certificate 'BBsf'; Outlook
Stable.
The $4,866,441 non-offered class B-5 certificate will not be rated
by Fitch.
Key Rating Drivers
High-Quality Mortgage Pool: The collateral pool consists primarily
of 30-year fixed-rate fully documented loans to borrowers with
strong credit profiles, low leverage, and substantial liquid
reserves. All of the loans are fully amortizing. Third-party loan-
level due diligence was conducted on 100% of the overall pool, and
Fitch believes the results of the review generally indicate strong
underwriting controls.
Originators with Limited Performance History: The entire pool was
originated by lenders with limited non-agency performance history.
While the significant contribution of loans from these originators
is a concern, Fitch believes the lack of performance history is
partially mitigated by the 100% third-party diligence conducted on
these loans that resulted in immaterial findings. Fitch also
considers the credit enhancement (CE) on this transaction
sufficient to mitigate the originator risk.
Geographically Diverse Pool: The overall geographic diversity has
improved from other SEMT transactions. The percentage of the top
three metropolitan statistical areas (MSA) is 20.8%, the lowest
concentration to date. Concentration in California (37.6%) is also
the lowest to date compared to prior SEMT transactions. The agency
did not apply a default penalty to the pool due to the low
geographic concentration risk.
Transaction Provisions Enhance Performance: As in other recent
SEMT transactions rated by Fitch, SEMT 2013-5 contains binding
arbitration provisions that may serve to provide timely resolution
to representation and warranty disputes. In addition, all loans
that become 120 days or more delinquent will be reviewed for
breaches of representations and warranties.
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 one of the top 10 regions, Fitch's
sustainable home price (SHP) model does not project declines in
home prices and for two others, the projected decline is less than
10%. These regions are Seattle-Bellevue-Everett in Washington
(7%), Chicago-Joliet-Naperville in Illinois (4.2%) and Boston-
Quincy in Massachusetts (3.7%). Fitch conducted sensitivity
analysis assuming sMVDs of 10%, 15%, and 20% compared with those
projected by Fitch's SHP model for these regions. The sensitivity
analysis indicated no impact on ratings for all bonds in each
scenario.
Another sensitivity analysis was focused on determining 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 13% for this pool. The analysis indicates there is
some potential rating migration with higher MVDs, compared with
the model projection.
SHACKLETON 2013-III: S&P Assigns 'BB' Rating to Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Shackleton 2013-III CLO Ltd./Shackleton 2013-III CLO LLC's
$476.5 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 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 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 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 0.29%-11.67%.
-- 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,
subordinate and incentive management fees, expenses for
refinancing and additional securities issued, expense
reserve account top-up, hedge amounts, and class G and
subordinated note payments) to principal proceeds to
purchase additional collateral assets or to pay principal on
the notes sequentially, at the option of the collateral
manager.
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/1433.pdf
RATINGS ASSIGNED
Shackleton 2013-III CLO Ltd./Shackleton 2013-III CLO LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.00
A AAA (sf) 316.00
B-1 AA (sf) 37.00
B-2 AA (sf) 18.50
C-1 (deferrable) A (sf) 36.50
C-2 (deferrable) A (sf) 6.00
D (deferrable) BBB (sf) 26.00
E (deferrable) BB (sf) 23.75
F (deferrable) B (sf) 8.75
G NR 2.00
Subordinated notes NR 46.75
NR-Not rated.
SNAAC AUTO 2013-1: S&P Assigns Prelim. BB Rating on Class D Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to SNAAC Auto Receivables Trust 2013-1's $185 million
notes.
The note issuance is an ABS securitization backed by subprime auto
loan receivables.
The preliminary ratings are based on information as of April 1,
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 36.1%, 28.5%, 21.7%, and
18.6% of credit support for the Class A, B, C, and D notes,
respectively, based on stress cash-flow scenarios (including
excess spread), which provide coverage of slightly more than
3.10x, 2.40x, 1.75x, and 1.50x S&P's 10.5%-11.5% expected
cumulative net loss (CNL).
-- The timely interest and principal payments made under stress
cash-flow modeling scenarios appropriate to the assigned
preliminary ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the Class A
and B notes would remain within one rating category of S&P's
preliminary 'AA (sf)' and 'A (sf)' ratings, respectively,
within the first year and our ratings on the Class C and D
notes would remain within two rating categories of S&P's
preliminary 'BBB (sf)' and 'BB (sf)' ratings, respectively,
within the first year. These potential rating movements are
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'
rated securities and a two-category downgrade within the
first year for 'A' through 'BB' rated securities under
moderate stress conditions
-- The credit enhancement in the form of subordination,
overcollateralization, reserve account, and excess spread.
-- The favorable track record of the management team, which has
many years of experience individually in the industry and
together at the company.
-- The collateral characteristics of the statistical pool, with
8.5 months of seasoning and 52.6 months of remaining term.
-- The transaction's payment and legal structures.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1439.pdf
PRELIMINARY RATINGS ASSIGNED
SNAAC Auto Receivables Trust 2013-1
Preliminary Preliminary amount
Class rating (Mil. $)(i)
A AA (sf) 141.70
B A (sf) 18.00
C BBB (sf) 16.90
D BB (sf) 8.40
(i) The interest rates and actual sizes of these tranches will be
determined on the pricing date.
SOUND POINT CLO II: S&P Assigns 'BB-' Rating to Class B-2L Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Sound
Point CLO II Ltd./Sound Point CLO II LLC's $357.5 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 ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows 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 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 0.2801%-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 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,
subordinate and incentive management fees, expenses for
refinancing and additional securities issued, expense
reserve account top-up, hedge amounts, and subordinated note
payments) to principal proceeds for the purchase of
additional collateral assets or to pay principal on the
notes sequentially, at the option of the collateral manager.
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/1364.pdf
RATINGS ASSIGNED
Sound Point CLO II Ltd./Sound Point CLO II LLC
Class Rating Amount
(mil. $)
A-1L AAA (sf) 230.5
A-1F AAA (sf) 10.0
A-2L AA (sf) 27.5
A-2F AA (sf) 10.0
A-3L (deferrable) A (sf) 31.5
B-1L (deferrable) BBB (sf) 19.5
B-2L (deferrable) BB- (sf) 19.0
B-3L (deferrable) B (sf) 9.5
Subordinated notes NR 42.5
NR-Not rated.
SPRINGLEAF MORTGAGE: S&P Assigns 'B' Rating on Class B-2 Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Springleaf Mortgage Loan Trust 2013-1's
$835.114 million mortgage-backed notes series 2013-1.
The note issuance is a residential mortgage-backed securities
transaction backed by residential mortgage loans.
The preliminary ratings are based on information as of April 2,
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 loan's characteristics that are, from a credit
perspective, significantly more risky than S&P's
archetypical pool.
-- The operations and counterparty risks, including Springleaf
Finance Corp. and its decision to exit the origination
business.
-- The financial ability of the representation and warranty
provider to meet potential repurchase claims in a 'AAA' or
'AA' rating scenario.
-- The credit enhancement provided by an excess interest cash
flow structure with no step-down and an interest rate
reserve fund.
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/1440.pdf
PRELIMINARY RATINGS ASSIGNED
Springleaf Mortgage Loan Trust 2013-1
Class Rating Amount
(mil. $)
A AAA (sf) 500.704
M-1 AA (sf) 83.792
M-2 A+ (sf) 49.048
M-3 A- (sf) 58.000
M-4 BBB (sf) 36.276
B-1 BB (sf) 54.669
B-2 B (sf) 52.625
B-3 NR 184.177
B-3-A NR 46.044
B-3-B NR 46.044
B-3-C NR 46.044
B-3-D NR 46.044
B-3-E NR 92.089
B-3-F NR 138.133
X-A(i) NR 500.704
X-M1(i) NR 83.792
X-M2(i) NR 49.048
X-M3(i) NR 58.000
X-M4(i) NR 36.276
X-B1(i) NR 54.669
C NR 2.555
R NR N/A
(i) Component of the class X notes.
NR--Not rated.
N/A--Not applicable.
TIERS GEORGIA: S&P Affirms 'CCC-' Rating on 2006-1 Certificates
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its rating on the
certificates from TIERS Georgia Floating Rate Credit Linked Trust
Series 2006-1, a corporate-backed synthetic collateralized debt
obligation (CDO) transaction.
The affirmation reflects S&P's belief that the credit support
available is commensurate with the current rating level.
S&P will continue to review whether, in its view, the rating
currently assigned to the notes remains consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AFFIRMED
TIERS Georgia Floating Rate Credit Linked Trust Series 2006-1
Class Rating
Certs CCC-(sf)
TIMBERSTAR TRUST I: S&P Affirms 'BB' Rating on Class F Notes
------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
Class A, B, C, D, E, and F notes from TimberStar Trust I's
$800 million commercial mortgage pass through certificates, Series
2006-1.
TimberStar Trust I is an asset-backed securities transaction
backed by 800,000 acres of timberlands in Arkansas, Louisiana, and
Texas. The timber is mostly Southern Yellow Pine and is sold as
pulpwood, chip and saw, saw timber, biomass, and pole products.
There is a lesser amount of hardwood timber also grown on the
property. The transaction receives cash flow from the sale of
harvested timber, the sale of higher-and-better-use land, land
lease payments, and easement payments derived from the extraction
of Haynesville Shale natural gas from its land. Hancock Natural
Resources Group manages all of the standing timber owned by the
issuer.
The primary drivers for determining the cash flow generated by
TimberStar are timber prices, harvest volumes, and the appraisal
value of the land. Since S&P's review in December 2010, it has
observed an increase in prices for most types of trees harvested
in the transaction's timberlands. TimberStar has maintained its
harvest volume within the sufficient range of its base harvest
plan so as to avoid an under-harvest or over-harvest condition,
which would result in the redirection of cash flow to a reserve
account. Also, S&P has observed an increase in the appraisal
value of the land owned by the transaction.
The transaction also benefits from cash flow generated by the sale
of higher-and-better-use land, land lease payments, and easement
payments derived from the extraction of Haynesville Shale natural
gas from its land. The December 2012 servicer report shows debt-
service coverage ratio of 1.55, which indicates that transaction
cash flows are sufficient to cover interest payments. It is S&P's
view that the general increase in timber prices, the increase in
appraisal value of the land, and the multiple sources of cash flow
benefit the credit quality of the transaction.
S&P applied simulated cash-flow stress scenarios commensurate with
each rating category, which assume annual stresses on log prices,
harvest volumes, and miscellaneous expenses. S&P's affirmations
reflect the transaction's ability to withstand its stresses at
each rating category and continue to pay timely interest and
ultimate principal.
S&P will continue to review its ratings on the notes and assess
whether, in its view, the ratings remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
TimberStar Trust I
$800 million commercial mortgage pass through certificates, Series
2006-1
Class Rating
A AAA (sf)
B AA (sf)
C A (sf)
D BBB (sf)
E BBB- (sf)
F BB (sf)
TRALEE CLO II: S&P Assigns 'BB-' Rating to Class E Notes
--------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Tralee
CLO II Ltd./Tralee CLO II LLC's $376.5 million 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 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 to 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
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 0.29% to 11.57%; and
-- 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.
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/1428.pdf
RATINGS ASSIGNED
Tralee CLO II Ltd./Tralee CLO II LLC
Class Rating Interest rate Amount
(mil. $)
A AAA (sf) Three-month LIBOR + 1.18% 250.00
B-1 AA (sf) Three-month LIBOR + 1.80% 42.00
B-2 AA (sf) 3.36% 10.00
C (def.) A (sf) Three-month LIBOR + 2.80% 28.00
D (def.) BBB (sf) Three-month LIBOR + 3.85% 20.50
E (def.) BB- (sf) Three-month LIBOR + 5.65% 17.50
F (def.) B (sf) Three-month LIBOR + 6.50% 8.50
Sub. notes NR N/A 38.49
Def. - Deferrable.
Sub. - Subordinate.
NR - Not rated.
N/A - Not applicable.
WACHOVIA BANK 2007-C30: Fitch Affirms 'CC' Ratings on 6 Certs.
--------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed 14 classes
of Wachovia Bank Commercial Mortgage Trust's commercial mortgage
pass-through certificates, series 2007-C30 due to an increase in
Fitch's expected loss.
Key Rating Drivers
Fitch modeled losses of 17.3% of the remaining pool; expected
losses on the original pool balance total 16.1%, including losses
already incurred. The pool has experienced $69.6 million (0.9% of
the original pool balance) in realized losses to date. Fitch has
designated 69 loans (52.2%) as Fitch Loans of Concern, which
includes 41 specially serviced assets (35.5%).
Rating Sensitivities
The ratings on the super senior classes are expected to remain
stable. The A-M and A-MFL classes may be subject to a downgrade if
there is further deterioration to the pool's cash flow performance
and/or decrease in value of the specially serviced loans.
Additional downgrades to the distressed classes (those rated below
B) are expected as losses are realized.
As of the March 2013 distribution date, the pool's aggregate
principal balance has been reduced by 11.9% to $6.96 billion from
$7.9 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes C through S.
The largest contributor to expected losses is the specially-
serviced Peter Cooper Village/Stuyvesant Town (PCV/ST) loan (21.6%
of the pool), which is secured by 56 multi-story apartment
buildings, situated on 80 acres, and includes a total of 11,227
units. The special servicer gained control of the property by
acquiring the mezzanine debt of the borrower. The special servicer
reports that as of third-quarter 2012, the property was 99%
leased. Performance has continued to improve which can be somewhat
attributed to lower labor costs and management fees. A settlement
has been reached in the Roberts Litigation. This settlement
appears to be a positive in the resolution of the loan as it
addresses amounts due on historical and future rents. However
Fitch expects the workout will continue for at least the next 18
months as finding a new buyer will likely be difficult until
appeals and final rulings occur. The property is also still
undergoing some repairs to the basements of the buildings from
Hurricane Sandy. The special servicer reports that all damages
should be recovered through ample insurance proceeds.
The next largest contributor to expected losses is the Five Times
Square loan (7.7%), which is secured by a leasehold interest in a
1.1 million square foot (sf) office property located in the heart
of Times Square in New York City. The December 2011 year-to-date
(YTD) OSAR reflects a DSCR of 1.03x and the September 2012 OSAR
has a DSCR of 1.09x with an occupancy of 100%. The property is
96.7% leased to Ernst & Young through 2022 with two 10-year
extension options. Red Lobster, the largest retail tenant,
recently extended the lease term for an additional five years. The
loan is highly leveraged, with the A-note at $973 per sf and total
debt at $1,095 per sf.
The third largest contributor to expected losses is the specially-
serviced One Congress Street loan (2.7%), which is secured by a
1.2 million sf building which features approximately 313,527 sf of
office and retail space and a parking garage with approximately
886,473 sf in downtown Boston, MA near City Hall. The loan
transferred to special servicing in November 2011 due to imminent
monetary default. As of September 2012, the building's office and
retail occupancy is at 71% up from 33% in January 2012 and the
OSAR reflects a year end 2011 DSCR of 0.86x for the A and B notes.
The Special Servicer and the borrower have reached an agreement on
the terms of a modification and documents are being finalized by
counsel.
Fitch downgrades the following classes and assigns or revises
Rating Outlooks as indicated:
-- $540.3 million class A-M to 'BBB-sf' from 'BBBsf'; Outlook to
Negative from Stable;
-- $250 million class A-MFL to 'BBB-sf' from 'BBBsf'; Outlook to
Negative from Stable;
-- $79 million class K to 'Csf' from 'CCsf'; RE 0%.
Fitch affirms the following classes:
-- $288.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $195.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $102.4 million class A-PB at 'AAAsf'; Outlook Stable;
-- $1.9 billion class A-5 at 'AAAsf'; Outlook Stable;
-- $2.2 billion class A-1A at 'AAAsf'; Outlook Stable;
-- $671.8 million class A-J at 'CCCsf'; RE 45%.
-- $49.4 million class B at 'CCCsf'; RE 0%;
-- $79 million class C at 'CCCsf'; RE 0%;
-- $69.2 million class D at 'CCsf'; RE 0%;
-- $59.3 million class E at 'CCsf'; RE 0%;
-- $69.2 million class F at 'CCsf'; RE 0%;
-- $98.8 million class G at 'CCsf'; RE 0%;
-- $79 million class H at 'CCsf'; RE 0%;
-- $88.9 million class J at 'CCsf'; RE 0%.
The Class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class L, M, N, O, P, Q and S certificates. Fitch
previously withdrew the ratings on the interest-only class X-P, X-
C and X-W certificates.
WARTBURG COLLEGE: Fitch Affirms 'BB' Revenue Bonds Rating
---------------------------------------------------------
Fitch Ratings affirms the rating on the following bonds issued by
the Iowa Higher Education Loan Authority on behalf of Wartburg
College (Wartburg, or WC)
-- Approximately $47.3 million in outstanding private college
facility revenue bonds, series 2005A at 'BB'.
The Rating Outlook is Stable.
Security
Private facility revenue bonds are a general obligation of the
college, secured by a lien on revenues of the college and a
mortgage on the core campus.
KEY RATING DRIVERS
WEAK FINANCIAL AND DEBT PROFILES: The 'BB' rating continues to
reflect a steadily improving operating margin (albeit still
negative), a weak financial cushion, and a high debt burden.
ENROLLMENT DECLINE A CONCERN: Wartburg experienced a 3.7%
reduction in full-time equivalent (FTE) enrollment for fall 2012,
driven by a weakened economic climate and high student quality
measures which led to lower admittance rates. Management expects
at least a partial rebound in student enrollment in fall of 2013,
although Fitch's expectation of such stabilization is tempered.
Potential rating pressure exists if the growth forecast is
unrealized.
LIMITED FLEXIBILITY: Wartburg remains dependent on student fees
for over 85% of total operating revenue, which, when coupled with
relatively high discounting of tuition, requires critical reliance
on a limited resource base.
RATING SENSITIVITIES
OPERATING PERFORMANCE, RESOURCE DETERIORATION: Failure to sustain
improvements in financial and credit metrics experienced over the
past three years would be expected to pressure the rating.
Wartburg's operating performance could be directly affected as a
result of stagnant or declining enrollment.
Credit Profile
Wartburg, established in 1852 as a liberal arts college of the
Evangelical Lutheran church, is located in Waverly, IA and serves
predominantly in-state undergraduate students.
Operating Margin Improved
Wartburg's operating margin, calculated by Fitch to exclude any
non-operating income except for scheduled annual endowment
support, improved in fiscal 2012 but still remained negative
(4.1%). Fiscal 2013 is expected to end with similar operating
results. Noting that Wartburg does not budget for non-cash
expenses, notably depreciation, Fitch expects positive cash-based
operating margins for fiscal 2013. Additionally, enrollment
stabilization for fall 2013 and attendant operations are expected
to assist Wartburg in improving operating performance; Fitch
expects WC to generate an accrual basis break-even operating
margin by fiscal 2014.
Student Fees Dominate Revenues
Wartburg's revenue sources are limited, with student-generated
revenues (including auxiliary revenues) representing over 85% of
fiscal 2012 total operating revenues. Wartburg remains extremely
dependent upon enrollment growth. Wartburg's practice of regularly
implemented increases in tuition and fees is tempered by an
increasing tuition discount rate - 49.8% for fiscal 2012. While
the college expects to reduce or curb the rate of growth of
financial support, Fitch expects Wartburg to continue to have a
relatively high discount rate compared to private colleges and
universities similarly rated by Fitch.
Liquidity Levels Weaker for Fiscal 2012
Balance sheet resources declined somewhat for the fiscal 2012 as a
result of weaker investment returns, down 6.5%, than recorded in
fiscal 2011 (22.7%). Cash and investments totaled $60.6 million in
fiscal 2012, down from $63.3 million the prior year. Similarly,
available funds - defined as unrestricted cash and investments -
decreased to $24 million in fiscal 2012 from $28.6 million in
fiscal 2011.
Wartburg's available funds continue to offer some cushion despite
weaker performance in fiscal 2012, covering 47.1% of operating
expenditures and 28.8% of long-term debt. Fitch notes that year-
to-date investment returns are in excess of 14% and will likely
reverse the unrealized and realized losses from the previous year.
However, the college's reliance upon enrollment-related revenues
necessitates maintenance of the liquidity cushion at or above
current levels to manage potential demand volatility.
Wartburg's long-term debt of $83.4 million yields a high maximum
annual debt service (MADS) burden of 12.8%, although down from
13.5% in fiscal 2011. Offsetting the debt burden magnitude to some
degree is the college's ability to cover debt service from
operations. Coverage of MADS increased to 1.05x for fiscal 2012,
as calculated by Fitch. Annual debt service coverage was equal to
about 1.2x based on net income available for debt service. The
college's debt burden is expected to decline over time due to
normal amortization and lack of any new debt plans.
WIND RIVER II: Moody's Lifts Ratings on 2 Note Classes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of the following
notes issued by Wind River CLO II -- Tate Investors, Ltd.:
US$32,500,000 Class A-2 Senior Secured Floating Rate Notes Due
2017, Upgraded to Aaa (sf); previously on July 6, 2011 Upgraded to
A1 (sf)
US$24,250,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes Due 2017, Upgraded to Aa1 (sf); previously on July 6, 2011
Upgraded to Baa2 (sf)
US$9,750,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes
Due 2017, Upgraded to Aa1 (sf); previously on July 6, 2011
Upgraded to Baa2 (sf)
US$29,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2017, Upgraded to Baa2 (sf); previously on July 6, 2011
Upgraded to Ba3 (sf)
US$12,250,000 Class D-1 Secured Deferrable Floating Rate Notes Due
2017, Upgraded to Ba3 (sf); previously on July 6, 2011 Upgraded to
Caa2 (sf)
US$4,250,000 Class D-2 Secured Deferrable Fixed Rate Notes Due
2017, Upgraded to Ba3 (sf); previously on July 6, 2011 Upgraded to
Caa2 (sf)
Moody's also affirmed the rating of the following notes:
US$397,000,000 Class A-1 Senior Secured Floating Rate Notes Due
2017 (current outstanding balance of $200,485,799), Affirmed Aaa
(sf); previously on July 6, 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 July 2011. Moody's notes that the Class A-1
Notes have been paid down by approximately 49.5% or $196.5 million
since the last rating action. Based on the latest trustee report
dated March 1, 2013, the Class A, Class B, Class C and Class D
overcollateralization ratios are reported at 145.3%, 126.8%,
114.4% and 108.4%, respectively, versus June 2011 levels of
126.5%, 117.2%, 110.3% and 106.7%, respectively. In addition,
Moody's was informed that another $87 million of proceeds in the
principal collection account, based on the March 1, 2013 trustee
report, will be used to pay down the Class A-1 Notes on the next
payment date on April 19, 2013.
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 Moody's calculation, securities that mature
after the maturity date of the notes currently make up
approximately 8.8% 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 $330.5 million,
defaulted par of $13.3 million, a weighted average default
probability of 16.83% (implying a WARF of 2841), a weighted
average recovery rate upon default of 47.93%, and a diversity
score of 25. 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.
Wind River CLO II -- Tate Investors, Ltd., issued in September
2005, is a collateralized loan obligation backed primarily by a
portfolio of senior secured loans, with material exposure to non-
senior secured loans, bonds, and 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% (2273)
Class A-1: 0
Class A-2: 0
Class B-1: +1
Class B-2: +1
Class C: +2
Class D-1: +1
Class D-2: +1
Moody's Adjusted WARF + 20% (3409)
Class A-1: 0
Class A-2: 0
Class B-1: -2
Class B-2: -2
Class C: -1
Class D-1: -1
Class D-2: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of 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.
WMC MORTGAGE 1999-A: Moody's Affirms 'Ca' Rating on Class M-3 RMBS
------------------------------------------------------------------
Moody's Investors Service downgraded the rating of one tranche,
and affirmed the rating of two tranches issued by WMC Mortgage
Pass-Through Certificates, Series 1999-A, backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: WMC Mortgage Pass-Through Certificates, Series 1999-A
Cl. M-1, Downgraded to Baa3 (sf); previously on Jan 10, 2013 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B3 (sf); previously on Mar 4, 2011 Downgraded to
B3 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Mar 4, 2011 Downgraded to
Ca (sf)
Ratings Rationale:
The actions are a result of recent performance reviews of this
transaction and reflect Moody's updated loss expectations on the
pool. The downgrade is primarily due to an existing interest
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 and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012.
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.
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.
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 8.3% in February 2012 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 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.
* Fitch Says New U.S. CMBS Defaults Plunge to Five-Year Low
-----------------------------------------------------------
The stabilization trend continues for U.S. CMBS, with new defaults
falling to their lowest levels since 2008, according to Fitch
Ratings in its latest annual loan default study.
CMBS defaults fell for the third year in a row in 2012, 46% lower
than 2011 and 67% off the 2010 peak. Last year's new default rate
was at its lowest level since 2008, when 364 loans totaling $3.2
billion defaulted.
'Commercial real estate loan defaults are on pace to decline again
in 2013, albeit at a more modest pace,' said Senior Director Britt
Johnson. 'With new issuance gradually increasing and default
levels likely to remain stable, cumulative CMBS defaults are not
likely to exceed 14% by the end of this year.' The 2012 cumulative
default rate was 13.4%.
Not surprisingly, 2007 deals remain the most problematic. Of the
new defaults in 2012, 58% came from the 2007 vintage. This is in
stark contrast to older CMBS vintages such as 2006 (18%) and 2005
(12%). Office loans continued to lead defaults with 45% ($3.3
billion) of the total number last year. Retail came in second with
32.5% of the total ($2.4 billion), followed by multifamily with
7.2% ($528 million).
'Helping to keep new CMBS default rates stable is the fact that
servicers are still modifying loans before a monetary default,'
said Johnson. 'If modified loans that were never categorized as in
default are included, the 2012 cumulative default rate would be
15.8% instead of 13.4%.'
* Moody's Cuts Rating on US$1.5MM of Boise County's Bonds to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service downgrades to Ba1 from Baa1 the rating
on Boise County S.D. No. 73 (Horseshoe Bend), ID's Series 2010
General Obligation Bonds outstanding in the approximate amount of
$1.5 million. The bonds are secured by the district's unlimited
property tax pledge.
Ratings Rationale:
The downgrade primarily reflects the district's extremely stressed
financial position that is made worse by its lack of reserves and
funding pressures from the state. The district also has little to
no liquidity and relies on its Debt Service Fund to meet cash flow
needs. The rating additionally reflects the district's
exceptionally small tax base that suffered large declines during
the recession and below average wealth indices.
Strengths:
Demonstrated willingness to make large expenditure reductions
Recently received voter approval of a two-year supplemental tax
levy
Challenges:
Negative General Fund balance and no liquidity due to a trend of
unbalanced financial operations
Extremely limited financial flexibility to manage future revenue
declines and/or expenditure increases
Exceptionally small and concentrated tax base
What Could Make The Rating Go Up
Substantial and sustainable improvement in reserves and liquidity
Significant and sustained increases in assessed valuation
What Could Make The Rating Go Down
Further weakening of the district's financial position, including
the narrowing of reserves and liquidity
Prolonged assessed value contractions
The principal methodology used in this rating was General
Obligation Bonds Issued by U.S. Local Governments published in
October 2009.
* Moody's Takes Actions on Nine Tranches of Subprime GSAMP RMBS
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of seven tranches
and affirmed the ratings of three tranches from two GSAMP RMBS
transactions, backed by Subprime mortgage loans.
Issuer: GSAMP Trust 2004-FM1
Cl. M-1, Upgraded to Ba1 (sf); previously on Apr 9, 2012 Confirmed
at Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012
Confirmed at Ca (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Apr 9, 2012 Downgraded
to C (sf)
Cl. B-1, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to
C (sf)
Cl. B-2, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to
C (sf)
Issuer: GSAMP Trust 2004-FM2
Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 9, 2012 Upgraded
to Ba3 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Apr 9, 2012 Upgraded
to Caa2 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Apr 9, 2012
Downgraded to C (sf)
Cl. B-3, Upgraded to Ca (sf); previously on Apr 9, 2012 Downgraded
to C (sf)
Cl. B-4, Affirmed C (sf); previously on Apr 9, 2012 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 upgrades and
affirmations. The rating actions take into account the updated
pool losses relative to the total credit enhancement available
from subordination, as well as excess spread and external
enhancement such as pool insurance policies, reserve accounts, and
guarantees. In addition, Moody's considered the volatility of the
projected losses and the timing of the expected defaults.
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 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 8.3% in February 2012 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 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 33 Tranches of Alt-A Backed Loans
------------------------------------------------------------
Moody's Investors Service downgraded 23 tranches, upgraded one
tranche and affirmed nine tranches from four RMBS transactions
backed by Alt-A loans, issued by miscellaneous issuers.
Complete rating actions are as follows:
Issuer: GSAA Home Equity Trust 2004-6
Cl. A-1, Affirmed B3 (sf); previously on Mar 15, 2011 Downgraded
to B3 (sf)
Cl. A-2, Upgraded to Baa1 (sf); previously on Jun 18, 2012
Upgraded to Ba1 (sf)
Cl. M-1, Affirmed Ca (sf); previously on Mar 15, 2011 Downgraded
to Ca (sf)
Cl. M-2, Affirmed C (sf); previously on Mar 15, 2011 Downgraded to
C (sf)
Issuer: HarborView Mortgage Loan Trust 2003-2
Cl. 1-A, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. 2-A-1, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. 2-A-2, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. 3-A, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. 1-X, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. B-1, Downgraded to B1 (sf); previously on Jun 29, 2012
Downgraded to Ba3 (sf)
Cl. B-2, Downgraded to Caa3 (sf); previously on Jun 29, 2012
Downgraded to Caa2 (sf)
Cl. B-3, Affirmed C (sf); previously on Mar 22, 2011 Downgraded to
C (sf)
Issuer: HarborView Mortgage Loan Trust 2004-1
Cl. 1-A, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. 2-A, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. 3-A, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A2 (sf)
Cl. 4-A, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A2 (sf)
Cl. X, Downgraded to Baa2 (sf); previously on Jun 29, 2012
Downgraded to A3 (sf)
Cl. B-1, Downgraded to B3 (sf); previously on Jun 29, 2012
Downgraded to Ba3 (sf)
Cl. B-2, Downgraded to Caa3 (sf); previously on Jun 29, 2012
Downgraded to Caa2 (sf)
Cl. B-3, Affirmed Ca (sf); previously on Mar 22, 2011 Downgraded
to Ca (sf)
Cl. B-4, Affirmed C (sf); previously on Mar 22, 2011 Downgraded to
C (sf)
Issuer: Washington Mutual MSC Mortgage 2003-AR2 Trust
Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. I-A-2, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. II-A-2, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. II-A-3, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. II-A-4, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. III-A, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. IV-A, Downgraded to Baa1 (sf); previously on Jun 29, 2012
Downgraded to A1 (sf)
Cl. M, Downgraded to B3 (sf); previously on Jun 29, 2012
Downgraded to B1 (sf)
Cl. B-1, Affirmed Ca (sf); previously on Feb 28, 2011 Downgraded
to Ca (sf)
Cl. B-2, Affirmed C (sf); previously on Feb 28, 2011 Downgraded to
C (sf)
Cl. B-3, Affirmed C (sf); previously on Feb 28, 2011 Downgraded to
C (sf)
Ratings Rationale:
The actions reflect the recent performance of the underlying pools
and Moody's updated loss expectations on the pools. The downgrades
are a result of deteriorating performance and structural features
resulting in higher expected losses for certain bonds than
previously anticipated.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "Pre-2005 US RMBS Surveillance Methodology"
published in January 2012. The methodology used in rating
interest-only securities was "Moody's Approach to Rating
Structured Finance Interest-Only Securities" published in February
2012.
Moody's adjusts these 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
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 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 7.7% in February 2013. Moody's forecasts
an unemployment central range of 7.0% to 8.0% for the 2013 year.
Moody's expects house 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.
* Moody's Takes Actions on 153 Subprime RMBS-Backed Tranches
------------------------------------------------------------
Moody's Investors Service has downgraded the rating of 24
tranches, upgraded the rating of 6 tranches, and affirmed the
rating of 123 tranches from 26 transactions, backed by Subprime
mortgage loans.
Complete rating actions are as follows:
Issuer: Aames Mortgage Investment Trust 2004-1
Cl. M4, Affirmed B1 (sf); previously on Dec 28, 2012 Downgraded to
B1 (sf)
Cl. M5, Affirmed B2 (sf); previously on Dec 28, 2012 Downgraded to
B2 (sf)
Cl. M6, Affirmed Caa1 (sf); previously on Jul 27, 2012 Downgraded
to Caa1 (sf)
Cl. M7, Affirmed C (sf); previously on Dec 28, 2012 Downgraded to
C (sf)
Cl. M8, Affirmed C (sf); previously on Mar 17, 2011 Downgraded to
C (sf)
Cl. M9, Affirmed C (sf); previously on Jun 30, 2009 Downgraded to
C (sf)
Issuer: Ace Securities Corp. Home Equity Loan Trust. Series 2001-
HE1
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed B3 (sf); previously on Mar 15, 2011 Downgraded
to B3 (sf)
Issuer: Aegis Asset Backed Securities Trust 2004-5
Cl. M1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Affirmed Caa2 (sf); previously on Mar 13, 2011 Downgraded
to Caa2 (sf)
Cl. M3, Affirmed Ca (sf); previously on Mar 13, 2011 Downgraded to
Ca (sf)
Cl. B1, Affirmed C (sf); previously on Mar 13, 2011 Downgraded to
C (sf)
Issuer: Argent Securities Inc., Series 2003-W3
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B2 (sf); previously on Mar 18, 2011 Downgraded
to B2 (sf)
Cl. M-3, Affirmed Caa3 (sf); previously on Mar 18, 2011 Downgraded
to Caa3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 18, 2011 Downgraded
to Ca (sf)
Cl. M-5, Affirmed Ca (sf); previously on Mar 18, 2011 Downgraded
to Ca (sf)
Cl. MV-6, Affirmed C (sf); previously on Mar 18, 2011 Downgraded
to C (sf)
Cl. MF-6, Affirmed C (sf); previously on Mar 18, 2011 Downgraded
to C (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE2
Cl. M1, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Affirmed Ba3 (sf); previously on Mar 11, 2011 Downgraded
to Ba3 (sf)
Cl. M3, Affirmed B2 (sf); previously on Mar 11, 2011 Downgraded to
B2 (sf)
Cl. M4, Affirmed Caa3 (sf); previously on Apr 12, 2012 Upgraded to
Caa3 (sf)
Cl. M5, Affirmed C (sf); previously on Apr 12, 2012 Confirmed at C
(sf)
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-FR1
Cl. M-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-3, Affirmed B3 (sf); previously on Mar 11, 2011 Downgraded
to B3 (sf)
Cl. M-4, Affirmed Caa3 (sf); previously on Mar 11, 2011 Downgraded
to Caa3 (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)
Cl. M-7, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Cl. M-8B, Affirmed C (sf); previously on Jun 5, 2009 Downgraded to
C (sf)
Issuer: Bear Stearns Asset Backed Securities Trust 2004-HE1
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Caa3 (sf); previously on Apr 9, 2012 Downgraded
to Caa3 (sf)
Cl. M-3, Affirmed C (sf); previously on Apr 9, 2012 Downgraded to
C (sf)
Cl. M-4, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-ECC2
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B2 (sf); previously on Mar 17, 2011 Downgraded
to B2 (sf)
Cl. M-3, Affirmed Caa3 (sf); previously on Apr 16, 2012 Confirmed
at Caa3 (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 16, 2012 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Apr 16, 2012 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 16, 2012 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Apr 16, 2012 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Apr 16, 2012 Downgraded to
C (sf)
Cl. B, Affirmed C (sf); previously on Apr 16, 2012 Downgraded to C
(sf)
Issuer: Fieldstone Mortgage Investment Trust 2004-5
Cl. M2, Affirmed B1 (sf); previously on Dec 28, 2012 Downgraded to
B1 (sf)
Cl. M3, Affirmed Caa1 (sf); previously on Jul 27, 2012 Downgraded
to Caa1 (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: GSAA Home Equity Trust 2005-2
Cl. B-1, Downgraded to B1 (sf); previously on Sep 11, 2012
Confirmed at Baa1 (sf)
Cl. B-2, Affirmed Caa1 (sf); previously on Jun 21, 2010 Downgraded
to Caa1 (sf)
Cl. B-3, Affirmed C (sf); previously on Jun 21, 2010 Downgraded to
C (sf)
Issuer: GSAMP Trust 2004-AR2
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B3 (sf); previously on Mar 17, 2011 Downgraded
to B3 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Mar 17, 2011 Downgraded
to Ca (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 17, 2011 Downgraded
to Ca (sf)
Cl. M-5, Affirmed Ca (sf); previously on Mar 17, 2011 Downgraded
to Ca (sf)
Cl. M-6, Affirmed Ca (sf); previously on Mar 17, 2011 Downgraded
to Ca (sf)
Cl. B-1, Affirmed Ca (sf); previously on Mar 17, 2011 Confirmed at
Ca (sf)
Cl. B-2, Affirmed C (sf); previously on May 1, 2009 Downgraded to
C (sf)
Issuer: MASTR Asset Backed Securities Trust 2003-OPT1
Cl. M-2, Downgraded to B1 (sf); previously on May 3, 2012
Confirmed at Baa1 (sf)
Cl. M-3, Affirmed Caa2 (sf); previously on Mar 11, 2011 Downgraded
to Caa2 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 11, 2011 Downgraded
to Ca (sf)
Cl. MF-5, Affirmed C (sf); previously on Mar 11, 2011 Downgraded
to C (sf)
Cl. MV-5, Affirmed C (sf); previously on Mar 11, 2011 Downgraded
to C (sf)
Issuer: MASTR Asset Backed Securities Trust 2003-OPT2
Cl. M-2, Downgraded to B1 (sf); previously on May 3, 2012 Upgraded
to A1 (sf)
Cl. M-3, Affirmed B3 (sf); previously on May 3, 2012 Confirmed at
B3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 11, 2011 Downgraded
to Ca (sf)
Cl. M-5, Affirmed C (sf); previously on May 3, 2012 Downgraded to
C (sf)
Issuer: MASTR Asset Backed Securities Trust 2004-FRE1
Cl. M-5, Downgraded to B1 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-6, Downgraded to B2 (sf); previously on May 3, 2012 Upgraded
to Ba2 (sf)
Cl. M-7, Affirmed Caa2 (sf); previously on May 3, 2012 Upgraded to
Caa2 (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Jun 3, 2009 Downgraded to
C (sf)
Issuer: MASTR Asset Backed Securities Trust 2004-WMC3
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Upgraded to Ba1 (sf); previously on May 3, 2012 Upgraded
to Ba3 (sf)
Cl. M-3, Upgraded to B2 (sf); previously on May 3, 2012 Upgraded
to Caa1 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on May 3, 2012 Upgraded
to Ca (sf)
Cl. M-5, Affirmed C (sf); previously on May 3, 2012 Confirmed at C
(sf)
Cl. M-6, Affirmed C (sf); previously on Mar 11, 2011 Downgraded to
C (sf)
Issuer: Meritage Mortgage Loan Trust 2005-1
Cl. M-4, Upgraded to Baa3 (sf); previously on Sep 5, 2012
Downgraded to Ba1 (sf)
Cl. M-5, Upgraded to Caa1 (sf); previously on Sep 5, 2012
Confirmed at Ca (sf)
Cl. M-6, Affirmed C (sf); previously on Apr 29, 2010 Downgraded to
C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE7
Cl. M-1, Downgraded to Baa1 (sf); previously on Jan 10, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B2 (sf); previously on Mar 15, 2011 Downgraded
to B2 (sf)
Cl. M-3, Affirmed Caa3 (sf); previously on Mar 15, 2011 Downgraded
to Caa3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 15, 2011 Downgraded
to Ca (sf)
Cl. M-5, Affirmed Ca (sf); previously on Mar 15, 2011 Downgraded
to Ca (sf)
Cl. B-1, Affirmed Ca (sf); previously on Mar 15, 2011 Downgraded
to Ca (sf)
Cl. B-2, Affirmed C (sf); previously on Feb 11, 2009 Downgraded to
C (sf)
Cl. B-3, Affirmed C (sf); previously on Feb 11, 2009 Downgraded to
C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE9
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B3 (sf); previously on Jun 8, 2012 Upgraded to
B3 (sf)
Cl. M-3, Affirmed Ca (sf); previously on Mar 15, 2011 Downgraded
to Ca (sf)
Cl. M-4, Affirmed C (sf); previously on Jun 8, 2012 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Jun 8, 2012 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Jun 8, 2012 Downgraded to
C (sf)
Cl. B-1, Affirmed C (sf); previously on Jun 8, 2012 Downgraded to
C (sf)
Cl. B-2, Affirmed C (sf); previously on Jun 8, 2012 Downgraded to
C (sf)
Cl. B-3, Affirmed C (sf); previously on Mar 15, 2011 Downgraded to
C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6
Cl. M-1, Affirmed Aa3 (sf); previously on Jul 15, 2010 Downgraded
to Aa3 (sf)
Cl. M-2, Upgraded to Baa3 (sf); previously on Sep 12, 2012
Confirmed at Ba1 (sf)
Cl. M-3, Affirmed Caa1 (sf); previously on Sep 12, 2012 Confirmed
at Caa1 (sf)
Cl. M-4, Affirmed C (sf); previously on Sep 12, 2012 Confirmed at
C (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: Option One Mortgage Loan Trust 2004-3
Cl. A-1, Affirmed Aaa (sf); previously on Mar 18, 2011 Confirmed
at Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 18, 2011 Confirmed
at Aaa (sf)
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Ba2 (sf); previously on Mar 18, 2011 Downgraded
to Ba2 (sf)
Cl. M-3, Affirmed B2 (sf); previously on Mar 18, 2011 Downgraded
to B2 (sf)
Cl. M-4, Affirmed Caa2 (sf); previously on Mar 18, 2011 Downgraded
to Caa2 (sf)
Cl. M-5, Affirmed Caa3 (sf); previously on Mar 18, 2011 Downgraded
to Caa3 (sf)
Cl. M-6, Affirmed Ca (sf); previously on Mar 18, 2011 Downgraded
to Ca (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M-9, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-MCW1
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed Ba3 (sf); previously on Mar 18, 2011 Downgraded
to Ba3 (sf)
Cl. M-3, Affirmed Caa2 (sf); previously on Apr 12, 2012 Downgraded
to Caa2 (sf)
Cl. M-4, Affirmed C (sf); previously on Apr 12, 2012 Downgraded to
C (sf)
Cl. M-5, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M-8, Affirmed C (sf); previously on Jan 13, 2009 Downgraded to
C (sf)
Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2004-WHQ1
Cl. M-1, Downgraded to A3 (sf); previously on Jan 10, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. M-2, Affirmed B3 (sf); previously on Mar 18, 2011 Downgraded
to B3 (sf)
Cl. M-3, Affirmed Caa3 (sf); previously on Mar 18, 2011 Downgraded
to Caa3 (sf)
Cl. M-4, Affirmed Ca (sf); previously on Mar 18, 2011 Downgraded
to Ca (sf)
Cl. M-5, Affirmed Ca (sf); previously on Mar 18, 2011 Downgraded
to Ca (sf)
Cl. M-6, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M-7, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Issuer: People's Choice Home Loan Securities Trust 2004-2
Cl. M1, Downgraded to A3 (sf); previously on Jan 10, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. M2, Affirmed B1 (sf); previously on May 4, 2012 Upgraded to B1
(sf)
Cl. M3, Affirmed Caa3 (sf); previously on Mar 18, 2011 Downgraded
to Caa3 (sf)
Cl. M4, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M5, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Cl. M6, Affirmed C (sf); previously on Mar 18, 2011 Downgraded to
C (sf)
Issuer: Salomon Mortgage Loan Trust, Series 2002-CB3 C-BASS
Mortgage Loan Asset-Backed Certificates
Cl. B-1, Downgraded to B1 (sf); previously on May 14, 2012
Downgraded to Ba3 (sf)
Cl. B-2, Affirmed Caa3 (sf); previously on May 14, 2012 Downgraded
to Caa3 (sf)
Cl. B-3, Affirmed C (sf); previously on Mar 7, 2011 Downgraded to
C (sf)
Issuer: Saxon Asset Securities Trust 2000-1
Cl. MF-2, Downgraded to A3 (sf); previously on Jan 10, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. BF-1, Affirmed Ca (sf); previously on Mar 10, 2011 Downgraded
to Ca (sf)
Issuer: Soundview Home Loan Trust 2004-WMC1
Cl. M-1, Downgraded to B1 (sf); previously on May 4, 2012 Upgraded
to A2 (sf)
Cl. M-2, Downgraded to B2 (sf); previously on May 4, 2012 Upgraded
to B1 (sf)
Cl. M-3, Affirmed Caa1 (sf); previously on May 4, 2012 Upgraded to
Caa1 (sf)
Cl. M-4, Affirmed Caa2 (sf); previously on May 4, 2012 Upgraded to
Caa2 (sf)
Cl. M-5, Affirmed C (sf); previously on May 4, 2012 Confirmed at C
(sf)
Cl. M-6, Affirmed C (sf); previously on May 4, 2012 Confirmed at C
(sf)
Cl. M-7, Affirmed C (sf); previously on Mar 13, 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.
These 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.
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 20184.
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.
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).
Other factors used in these ratings are described in "Moody's
Approach to Rating Structured Finance Securities in Default"
published in November 2009.
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 8.3% in February 2012 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 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 US$6.03-Bil. of RMBS from Wells Fargo
----------------------------------------------------------------
Moody's Investors Service downgraded 87 tranches, upgraded eleven
tranches and affirmed the ratings on 151 tranches from nine RMBS
transactions issued by Wells Fargo.
The collateral backing these deals primarily consists of first-
lien, fixed and adjustable-rate prime Jumbo residential mortgages.
The actions impact approximately $6.03 billion of RMBS issued from
2005 to 2007.
Complete rating actions are as follows:
Issuer: Wells Fargo Mortgage Backed Securities 2005-14 Trust
Cl. I-A-1, Affirmed Ba3 (sf); previously on Jul 20, 2011
Downgraded to Ba3 (sf)
Cl. I-A-2, Affirmed Ca (sf); previously on Jul 20, 2011 Downgraded
to Ca (sf)
Cl. I-A-3, Upgraded to Ba2 (sf); previously on Jul 20, 2011
Downgraded to B1 (sf)
Cl. I-A-4, Upgraded to Ba2 (sf); previously on Jul 20, 2011
Downgraded to B1 (sf)
Cl. I-A-5, Affirmed B1 (sf); previously on Jul 20, 2011 Downgraded
to B1 (sf)
Cl. I-A-6, Affirmed Ba3 (sf); previously on Jul 20, 2011
Downgraded to Ba3 (sf)
Cl. I-A-7, Upgraded to Caa1 (sf); previously on Jul 20, 2011
Downgraded to Ca (sf)
Cl. I-A-8, Upgraded to B3 (sf); previously on Jul 20, 2011
Downgraded to Caa3 (sf)
Cl. I-A-9, Upgraded to Ba2 (sf); previously on Jul 20, 2011
Downgraded to B2 (sf)
Cl. I-A-11, Upgraded to Ba2 (sf); previously on Jul 20, 2011
Downgraded to B2 (sf)
Cl. I-A-PO, Affirmed B3 (sf); previously on Jul 20, 2011
Downgraded to B3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2005-18 Trust
Cl. I-A-1, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Confirmed at B3 (sf)
Cl. I-A-PO, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. II-A-1, Downgraded to B2 (sf); previously on Apr 12, 2010
Downgraded to Ba3 (sf)
Cl. II-A-2, Affirmed Ca (sf); previously on Apr 12, 2010
Downgraded to Ca (sf)
Cl. II-A-5, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Cl. II-A-6, Upgraded to Baa3 (sf); previously on Apr 12, 2010
Downgraded to Ba2 (sf)
Cl. II-A-7, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Cl. II-A-8, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Cl. II-A-10, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Cl. II-A-11, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)
Cl. II-A-PO, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2006-6 Trust
Cl. I-A-2, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-3, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-4, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-6, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-7, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-8, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-9, Affirmed C (sf); previously on May 19, 2010 Downgraded
to C (sf)
Cl. I-A-11, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-12, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B2 (sf)
Cl. I-A-14, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-15, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-16, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-17, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-18, Affirmed C (sf); previously on May 19, 2010 Downgraded
to C (sf)
Cl. I-A-20, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-21, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-22, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-1, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-2, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-3, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. A-PO, Affirmed Caa1 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2006-AR14 Trust
Cl. I-A-1, Affirmed Caa1 (sf); previously on May 14, 2010
Confirmed at Caa1 (sf)
Cl. I-A-2, Affirmed Caa1 (sf); previously on May 14, 2010
Downgraded to Caa1 (sf)
Cl. I-A-3, Downgraded to Caa1 (sf); previously on May 14, 2010
Confirmed at B3 (sf)
Cl. I-A-4, Affirmed Caa1 (sf); previously on May 14, 2010
Confirmed at Caa1 (sf)
Cl. I-A-5, Downgraded to Caa1 (sf); previously on May 14, 2010
Confirmed at B3 (sf)
Cl. I-A-6, Downgraded to Caa1 (sf); previously on May 14, 2010
Confirmed at B3 (sf)
Cl. I-A-7, Affirmed Caa1 (sf); previously on May 14, 2010
Downgraded to Caa1 (sf)
Cl. I-A-8, Downgraded to C (sf); previously on Apr 28, 2009
Downgraded to Ca (sf)
Cl. I-A-9, Affirmed Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. I-A-10, Affirmed Caa1 (sf); previously on May 14, 2010
Downgraded to Caa1 (sf)
Cl. III-A-1, Downgraded to Caa1 (sf); previously on May 14, 2010
Confirmed at B3 (sf)
Cl. III-A-2, Downgraded to C (sf); previously on Apr 28, 2009
Downgraded to Ca (sf)
Cl. III-A-3, Downgraded to Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2007-11 Trust
Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-3, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-4, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-5, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-8, Affirmed Caa1 (sf); previously on Apr 12, 2010 Downgraded
to Caa1 (sf)
Cl. A-9, Affirmed Caa1 (sf); previously on Apr 12, 2010 Downgraded
to Caa1 (sf)
Cl. A-10, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-11, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-12, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-13, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-14, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-15, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-19, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-20, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-21, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-22, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-23, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-24, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-25, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-26, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-27, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-28, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-29, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-30, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-31, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-32, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-33, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-34, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-35, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-36, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-37, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-41, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-42, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-43, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-51, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-56, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-57, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-58, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-59, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-60, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-61, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-62, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-63, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-64, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-65, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-66, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-67, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-68, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-69, Affirmed Ca (sf); previously on Apr 12, 2010 Downgraded
to Ca (sf)
Cl. A-70, Affirmed Ca (sf); previously on Apr 12, 2010 Downgraded
to Ca (sf)
Cl. A-73, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-74, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-75, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-76, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-79, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)
Cl. A-80, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-81, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-82, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-83, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-84, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-85, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-86, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-89, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-90, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-91, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-92, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-94, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-95, Upgraded to Ca (sf); previously on Apr 12, 2010
Downgraded to C (sf)
Cl. A-96, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-97, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-PO, Affirmed Caa1 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2007-2 Trust
Cl. I-A-1, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-2, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-3, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-4, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-5, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-6, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-7, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-8, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-9, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-10, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-11, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. I-A-12, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-13, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-15, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-16, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-17, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-18, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-19, Affirmed Caa2 (sf); previously on Feb 22, 2012
Downgraded to Caa2 (sf)
Cl. I-A-20, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-21, Affirmed C (sf); previously on May 19, 2010 Downgraded
to C (sf)
Cl. A-PO, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. II-A-1, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. III-A-1, Upgraded to Baa2 (sf); previously on May 19, 2010
Downgraded to Ba3 (sf)
Cl. III-A-2, Affirmed B1 (sf); previously on May 19, 2010
Downgraded to B1 (sf)
Cl. III-A-3, Upgraded to Baa3 (sf); previously on May 19, 2010
Downgraded to Ba3 (sf)
Cl. III-A-4, Affirmed B1 (sf); previously on May 19, 2010
Downgraded to B1 (sf)
Cl. III-A-5, Affirmed Ba2 (sf); previously on May 19, 2010
Downgraded to Ba2 (sf)
Cl. III-A-6, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. III-A-PO, Affirmed Ba3 (sf); previously on May 19, 2010
Downgraded to Ba3 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2007-6 Trust
Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-2, Affirmed Caa2 (sf); previously on Apr 12, 2010 Downgraded
to Caa2 (sf)
Cl. A-3, Affirmed Caa2 (sf); previously on Apr 12, 2010 Downgraded
to Caa2 (sf)
Cl. A-4, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-6, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-PO, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2007-7 Trust
Cl. A-1, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-2, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-3, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-4, Affirmed Caa2 (sf); previously on Apr 12, 2010 Downgraded
to Caa2 (sf)
Cl. A-6, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-7, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-8, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-9, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-10, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-11, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-12, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-13, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-14, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-15, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-16, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-17, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-18, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-19, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-20, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-21, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-22, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-23, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-24, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-25, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-26, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-27, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-28, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-29, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-30, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-31, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-32, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-33, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-34, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-35, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-36, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-37, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-38, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-39, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-40, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-41, Upgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Ca (sf)
Cl. A-42, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-43, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-44, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Cl. A-45, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-46, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-47, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-48, Affirmed C (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Cl. A-49, Affirmed Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa2 (sf)
Cl. A-50, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-51, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Cl. A-PO, Downgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Caa1 (sf)
Issuer: Wells Fargo Mortgage Backed Securities 2007-8 Trust
Cl. I-A-2, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-3, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-4, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-5, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-6, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-7, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-9, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-10, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-11, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-12, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-13, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-14, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-15, Affirmed C (sf); previously on May 19, 2010 Downgraded
to C (sf)
Cl. I-A-16, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-17, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. I-A-18, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-19, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-20, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-21, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-22, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. I-A-23, Affirmed C (sf); previously on May 19, 2010 Downgraded
to C (sf)
Cl. A-PO, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. II-A-1, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. II-A-2, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. II-A-3, Affirmed C (sf); previously on May 19, 2010 Downgraded
to C (sf)
Cl. II-A-4, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-5, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-6, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. II-A-8, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B3 (sf)
Cl. II-A-9, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B2 (sf)
Cl. II-A-10, Affirmed Caa2 (sf); previously on May 19, 2010
Downgraded to Caa2 (sf)
Cl. II-A-11, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B2 (sf)
Cl. II-A-12, Downgraded to Caa1 (sf); previously on May 19, 2010
Downgraded to B2 (sf)
Cl. II-A-14, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-15, Downgraded to Caa2 (sf); previously on May 19, 2010
Downgraded to Caa1 (sf)
Cl. II-A-16, Downgraded to Caa1 (sf); previously on May 19, 2010
Upgraded to B2 (sf)
Ratings Rationale:
The actions are a result of the recent performance of prime jumbo
pools originated from 2005 to 2007 and reflect Moody's updated
loss expectations on these pools.
The rating action consists of a number of upgrades, downgrades,
and affirmations. The majority of the upgrades are due to
significant improvement in collateral performance, and rapid
build-up in credit enhancement due to high prepayments. The
downgrades are a result of deteriorating performance and
structural features resulting in higher expected losses for
certain bonds than previously anticipated. The majority of the
downgrades are a result of change in principal payments and loss
allocation on the senior bonds subsequent to subordination
depletion.
The upgrade of Wells Fargo Mortgage Backed Securities 2007-11
Trust Class A-95 is due to the correction of a model input error.
In the April 2010 rating action, an incorrect rating factor was
applied in determining the weighted average rating factor for the
bond. The error has now been fixed, and the rating action reflects
that change.
The methodologies used in these ratings were "Moody's Approach to
Rating US Residential Mortgage-Backed Securities" published in
December 2008, and "2005-2008 US RMBS Surveillance Methodology"
published in July 2011. The methodology used in rating Interest-
Only Securities was "Moody's Approach to Rating Structured Finance
Interest-Only Securities" published in February 2012.
Moody's adjusts the methodologies 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
For pools with loans less than 100, Moody's adjusts its
projections of loss to account for the higher loss volatility of
such pools. For small pools, a few loans becoming delinquent would
greatly increase the pools' delinquency rate.
To project losses on prime jumbo pools with fewer than 100 loans,
Moody's first calculates an annualized delinquency rate based on
vintage, number of loans remaining in the pool and the level of
current delinquencies in the pool. For prime jumbo pools, Moody's
first applies a baseline delinquency rate of 3.5% for 2005, 6.5%
for 2006 and 7.5% for 2007. Once the loan count in a pool falls
below 76, this rate of delinquency is increased by 1% for every
loan fewer than 76. For example, for a 2005 pool with 75 loans,
the adjusted rate of new delinquency is 3.54%. Further, to account
for the actual rate of delinquencies in a small pool, Moody's
multiplies the rate calculated by a factor ranging from 0.20 to
2.0 for current delinquencies that range from less than 2.5% to
greater than 50% respectively. Moody's then uses this final
adjusted rate of new delinquency to project delinquencies and
losses for the remaining life of the pool under the approach
described in the methodology publication.
When assigning the final ratings to bonds, in addition to the
approach, Moody's considered the volatility of the projected
losses and timeline of the expected defaults.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
9.0% in September 2011 to 7.7% in February 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.
* S&P Affirms 11 Ratings from 2 U.S. CDO Cash Flow Trust
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on four
tranches of two U.S. cash flow trust preferred collateralized debt
obligation (CDO) transactions. At the same time, S&P removed its
ratings on eight tranches of three transactions from CreditWatch
with positive implications. Additionally, S&P affirmed 11 of its
ratings from the same transactions. The affected tranches are
from CDO transactions backed by trust preferred securities issued
by banks and/or insurance companies.
The upgrades mainly reflect improvements to the principal coverage
ratios as a result of paydowns the transactions have made to the
senior tranches of each CDO's capital structure. The paydowns
have generally accelerated over the last year because of an
increase in the redemption of the underlying trust preferred
securities. S&P believes that many of the transactions' documents
contain call provisions that may be triggered by changes in the
regulatory treatment of trust preferred securities. The Federal
Reserve's June 7, 2012 notice of proposed rulemaking (the Fed
Notice) may have triggered such provisions in many trust preferred
documents. The Fed Notice includes a proposal to phase out Tier 1
capital credit for trust preferred securities over a 10-year
period for a broader range of U.S. banks than what was previously
generally considered.
Most of the transaction's senior notes have also benefitted from
the excess spread that was captured due to overcollateralization
ratio failures, leading to further paydowns to the senior notes.
The upgrades also reflect a slight improvement in the credit
quality of the underlying collateral pools of the mainly bank
trust preferred transactions.
The affirmations of our ratings listed below reflect the
availability of credit support at the current rating levels.
S&P will continue to review whether the ratings it assigned to the
notes remain consistent with the credit enhancement available to
support them, and S&P will take further rating actions as it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LIST
Alesco Pfd Fdg XII Ltd.
Rating
Class To From
A-1 BB+ BB(sf)
A-2 B- CCC+(sf)
X A+ A-(sf)/Watch Pos
P-1 Combo AA+ AA+(sf)
ALESCO Preferred Funding IV Ltd.
Rating
Class To From
A-1 BB+ CCC+(sf)/Watch Pos
A-2 CCC- CCC-(sf)
A-3 CCC- CCC-(sf)
ICONS Ltd.
Rating
Class To From
A A- A-(sf)/Watch Pos
B BBB BBB(sf)/Watch Pos
C-1 B B(sf)/Watch Pos
C-2 B B(sf)/Watch Pos
C-3 B B(sf)/Watch Pos
D B- B-(sf)/Watch Pos
I A+ A+(sf)
II A- A-(sf)
* S&P Cuts Ratings on 14 Classes From U.S. RMBS Alt-A Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 14
classes from six U.S. RMBS transactions. S&P also affirmed its
ratings on 33 classes from all six transactions.
The transactions in this review were issued between 2002 and 2006,
and are backed primarily by adjustable- and fixed-rate Alt-A
mortgage loans secured primarily by first liens on one- to four-
family residential properties.
Shelf No. deals/
structures
Name reviewed
Alternative Loan Trust (CWF0) 1/1
MASTR Alternative Loan Trust (MALT) 1/2
Residential Asset Securitization Trust (RAS0) 1/1
Bear Stearns Asset Backed Securities Trust (BSHE) 1/1
HomeBanc Mortgage Trust (HMT0) 1/2
JPMorgan Alternative Loan Trust (JMA0) 1/1
Shelf # IG # Non-IG # IG to # Down
Name Affirmed Affirmed Non-IG >3 notches
BSHE 0 3 3 0
CWF0 3 1 1 1
HMT0 0 5 0 0
JMA0 1 0 0 0
MALT 11 6 0 1
RAS0 0 3 2 3
IG - Investment grade.
The tables below detail information on each reviewed transaction
as of January 2013.
Losses and Delinquencies*
Shelf Pool
Name Factor (%) Cum. Loss(%) Serious DQ (%) Total DQ (%)
BSHE 13.19 0.95 10.38 14.47
CWF0 3.51 0.35 12.59 15.31
HMT0 10.54 1.31 10.39 15.03
JMA0 33.47 14.09 30.92 37.67
MALT 15.86 0.66 6.68 10.31
RAS0 12.04 0.44 12.37 22.60
* Cumulative losses represent the percentage of the original pool
balance, and total and severe delinquencies represent the
percentage of the current pool balance.
S&P lowered its ratings on 14 classes from five transactions. Of
the lowered ratings, S&P downgraded six classes out of investment
grade. One rating remains at investment grade after being
lowered. The remaining downgraded classes already had
speculative-grade ratings prior to the actions. Senior tranches
accounted for 11 of the lowered ratings.
The downgrades were primarily a result of increased loss
projections due to a changing delinquency pipeline, as well as an
increase in actual prepayment speeds. The increase in prepayment
speeds resulted in increased payments to subordinate bonds,
decreasing credit support for the bonds they support. For
example, Alternative Loan Trust 2002-13 had a 12-month constant
prepayment rate of 12.89 in August 2012, versus 23.23 in January
2013. From September 2011 through August 2012, the transaction
averaged principal prepayments of about $249,603 per month. In
November 2012, however, the transaction experienced a principal
prepayment of $2,197,574. This transaction is passing both its
cumulative loss and delinquency triggers, which, in turn, allows
for the allocation of principal to subordinate bonds. Because of
this allocation, while the transaction experienced $455,555 in
losses between August 2012 and January 2013, class M lost
approximately $1,164,784 in credit support from subordinate bonds.
This resulted in our downgrading the rating on class M to 'BB
(sf)' from 'BBB+ (sf)'. The increase in prepayment speeds also
results in an increase in projected prepayments in some of S&P's
cash flow scenarios, resulting in a decrease in projected credit
support.
Alternative Loan Trust 2002-13 has less than 100 loans remaining
and is susceptible to tail risk. S&P addresses tail risk in
transactions such as these by conducting additional loan-level
analysis that stresses the loan concentration risk within the
applicable transactions. The ratings on this transaction were not
affected by this additional analysis.
S&P affirmed its ratings on 33 classes from all six transactions.
Of these, 18 classes are rated 'CCC (sf)' or 'CC (sf)'. S&P
believes that the projected credit support for these classes will
remain insufficient to cover the revised projected losses.
Conversely, the affirmations for classes with ratings above 'CCC'
reflect S&P's opinion that the credit support for these classes
will remain sufficient to cover the revised projected losses.
In accordance with S&P's counterparty criteria, it considered any
applicable hedges related to these securities when performing
these rating actions.
Subordination, overcollateralization (when available), and excess
interest as applicable generally provide credit support for these
transactions.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors, and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING ACTIONS
Alternative Loan Trust Series 2002-13
Series 2002-23
Rating
Class CUSIP To From
M 12669C6W5 BB (sf) BBB+ (sf)
B-1 12669C6X3 CCC (sf) B (sf)
Bear Stearns Asset Backed Securities Trust Series 2003-AC6
Rating
Class CUSIP To From
A-1 07384YNH5 BB (sf) BBB (sf)
A-2 07384YNU6 BBB- (sf) BBB+ (sf)
A-3 07384YNV4 BB (sf) BBB (sf)
A-4 07384YNW2 BB (sf) BBB (sf)
HomeBanc Mortgage Trust Series 2004-1
Rating
Class CUSIP To From
I-A 43739EAA5 B- (sf) BB- (sf)
II-A 43739EAB3 B (sf) BB (sf)
MASTR Alternative Loan Trust Series 2003-5
Rating
Class CUSIP To From
30-B-1 576434FU3 B- (sf) BB+ (sf)
Residential Asset Securitization Trust 2003-A11
Series 2003-K
Rating
Class CUSIP To From
A-2 45660NUU7 BB- (sf) BBB- (sf)
A-6 45660NUY9 B (sf) BB+ (sf)
A-8 45660NVG7 BB- (sf) BBB- (sf)
A-9 45660NVH5 B (sf) BB+ (sf)
PO 45660NVA0 B (sf) BB+ (sf)
RATINGS AFFIRMED
Alternative Loan Trust 2002-13
Series 2002-23
Class CUSIP Rating
A-13 12669C6S4 AA+ (sf)
A-14 12669C6T2 AA+ (sf)
PO 12669C6U9 AA+ (sf)
B-2 12669C6Y1 CCC (sf)
Bear Stearns Asset Backed Securities Trust 2003-AC6
Series 2003-AC6
Class CUSIP Rating
M-1 07384YNJ1 CCC (sf)
M-2 07384YNK8 CCC (sf)
BB 07384YNN2 CC (sf)
HomeBanc Mortgage Trust Series 2004-1
Class CUSIP Rating
I-M-1 43739EAC1 CCC (sf)
II-M-1 43739EAD9 CCC (sf)
I-M-2 43739EAE7 CC (sf)
II-M-2 43739EAF4 CC (sf)
I-B 43739EAG2 CC (sf)
JPMorgan Alternative Loan Trust Series 2006-A4
Class CUSIP Rating
A-1 46629EAA1 A+ (sf)
MASTR Alternative Loan Trust Series 2003-5
Class CUSIP Rating
1-A-1 576434FC3 AA+ (sf)
2-A-1 576434FD1 AA+ (sf)
3-A-1 576434FE9 AA+ (sf)
4-A-1 576434FF6 AA+ (sf)
5-A-1 576434FG4 A+ (sf)
6-A-1 576434FH2 AA+ (sf)
7-A-1 576434FJ8 A+ (sf)
8-A-1 576434FK5 AA+ (sf)
15-PO 576434FL3 A+ (sf)
30-PO 576434FM1 AA+ (sf)
30-AX 576434FP4 AA+ (sf)
15-B-1 576434FR0 CCC (sf)
15-B-2 576434FS8 CC (sf)
15-B-3 576434FT6 CC (sf)
30-B-2 576434FV1 CCC (sf)
30-B-3 576434FW9 CC (sf)
15-B-4 576434FX7 CC (sf)
Residential Asset Securitization Trust 2003-A11
Series 2003-K
Class CUSIP Rating
B-1 45660NVD4 CCC (sf)
B-2 45660NVE2 CC (sf)
B-3 45660NVF9 CC (sf)
* S&P Withdraws Rating on 68 Classes From 19 CLO Transactions
-------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 68
classes of notes from 19 collateralized loan obligation (CLO)
transactions.
The withdrawals follow the complete paydown of the notes on their
most recent payment dates.
Standard & Poor's notes that following transactions redeemed their
classes in full after providing notice to S&P that the appropriate
noteholders directed optional redemptions:
-- Babson CLO Ltd. 2004-I;
-- Carlyle Modena CLO Ltd.;
-- Carlyle Vantage CLO Ltd.;
-- Cavalry CLO I Ltd.;
-- CHGO Loan Funding Ltd.;
-- Dryden VII-Leveraged Loan CDO 2004;
-- Flagship CLO III;
-- Maps CLO Fund I LLC; and
-- Oak Hill Credit Partners III Ltd.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS WITHDRAWN
Ares X CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
Babson CLO Ltd. 2004-I
Rating
Class To From
A-1 NR AAA (sf)
A-2A NR AAA (sf)
A-2B NR AAA (sf)
A-2Bv NR AAA (sf)
B NR AA+ (sf)
C-1 NR A+ (sf)
C-2 NR A+ (sf)
D NR BB+ (sf)
Carlyle Modena CLO Ltd.
Rating
Class To From
C NR AAA (sf)
D NR B- (sf)
Carlyle Vantage CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-3 NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR AA (sf)
Cavalry CLO I Ltd.
Rating
Class To From
A-1a NR AAA (sf)
A-1b NR AAA (sf)
A-2 NR AAA (sf)
B-1 NR AAA (sf)
B-2 NR AAA (sf)
C NR AA (sf)
D NR A (sf)
CHGO Loan Funding Ltd.
Rating
Class To From
A NR BBB+ (sf)
Denali Capital CLO IV Ltd.
Rating
Class To From
B NR AAA (sf)
C NR AA+ (sf)
D NR AA+ (sf)
Dryden VII-Leveraged Loan CDO 2004
Rating
Class To From
A-3F NR AAA (sf)
B-1L NR AAA (sf)
B-2L NR A (sf)
Essex Park CDO Ltd.
Rating
Class To From
A-1a NR AAA (sf)
A-1v NR AAA (sf)
A-2a NR AAA (sf)
A-2v NR AAA (sf)
First 2004-II CLO Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
Flagship CLO III
Rating
Class To From
A Fund Nts NR AAA (sf)
A Revol Nt NR AAA (sf)
B NR AAA (sf)
C NR A+ (sf)
D NR BB+ (sf)
FM Leveraged Capital Fund I
Rating
Class To From
B NR AAA (sf)
Foxe Basin CLO 2003 Ltd.
Rating
Class To From
B NR A+ (sf)
Hewett's Island CLO II Ltd.
Rating
Class To From
A-1 NR AAA (sf)
Landmark IV CDO Ltd.
Rating
Class To From
A-1L NR AAA (sf)
A-1L B NR AAA (sf)
Maps CLO Fund I LLC
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
A-3 NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D-1 NR AA+ (sf)
D-2 NR AA+ (sf)
E NR A (sf)
Oak Hill Credit Partners III Ltd.
Rating
Class To From
A-1a NR AAA (sf)
A-1b NR AAA (sf)
A-2 NR AAA (sf)
B-1 NR AAA (sf)
B-2 NR AAA (sf)
C-1 NR BBB+ (sf)
C-2 NR BBB+ (sf)
D NR BBB (sf)
Type 1 CMP NR AAA (sf)
Type 3 CMP NR BBB+ (sf)
WhiteHorse I Ltd.
Rating
Class To From
A-1LB NR AAA (sf)
WhiteHorse II Ltd.
Rating
Class To From
A-1L NR AAA (sf)
NR-Not rated.
*********
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
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On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
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available at your local bookstore or through Amazon.com. Go to
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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
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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.
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