/raid1/www/Hosts/bankrupt/TCR_Public/130804.mbx
T R O U B L E D C O M P A N Y R E P O R T E R
Sunday, August 4, 2013, Vol. 17, No. 214
Headlines
ABFC 2004-OPT2: Moody's Hikes Rating on Class M-2 Certs to 'Ca'
ABS REPACKAGING: S&P Puts 'B-' Rating on 5-A-1 Notes on Watch Neg.
ACAS CLO 2007-1: Fitch Affirms 'Bsf' Rating on $15.5MM Cl. D Notes
ACCREDITED MORTGAGE: Moody's Raises Ratings on $312MM of RMBS
AIRLIE CLO 2006-I: Moody's Lifts Rating on $31MM Notes From 'Ba1'
ALESCO PREFERRED I: Moody's Hikes Ratings on 2 Notes to 'Caa2'
ALESCO PREFERRED V: S&P Raises Rating on Class A-2 Notes to 'CCC'
AMERICAN CREDIT 2013-2: S&P Assigns Prelim. BB Rating on D Notes
AMMC CLO IV: Moody's Raises Rating on Class D Notes From 'Ba1'
ARES XXVII: S&P Assigns 'BB' Rating to Class E Notes
BEAR STEARNS 2006-1: Moody's Takes Action on Four Note Tranches
BEAR STEARNS 2007-BBA8: Moody's Keeps Ratings over Rights Transfer
BEAR STEARNS 2007-TOP26: DBRS Cuts Ratings on 2 Debt Classes to D
C-BASS MORTGAGE 2002-CB1: Moody's Hikes B-1 Certs' Rating to Ba1
CALLIDUS DEBT: S&P Raises Rating on Class D Notes to 'BB+'
CENTURION CDO 8: Moody's Hikes Rating on $16.5-Mil. Notes to Ba3
CGBAM COMMERCIAL 2013-BREH: Moody's Rates Cl. E Certificates 'Ba3'
CHEVY CHASE 2003-4: S&P Lowers Rating on Class B-4 Notes to D
CITIFINANCIAL MORTGAGE: Moody's Hikes Cl. MF-2 Debt Rating to Csf
COLTON RDA 1999: Moody's Confirms Ba1 Rating on Successor Agency
COMM 2005-FL10: Moody's Cuts Ratings on Two CMBS Classes to 'C'
CREDIT SUISSE 2001-CK6: Moody's Affirms Caa3 Rating on A-X Certs
CREDIT SUISSE 2003-C4: Moody's Cuts Cl. A-X Certs Rating to 'Caa1'
CSMC TRUST 2013-6: S&P Assigns 'B' Rating on Class B-4 Notes
CWABS 2005-BC2: Moody's Hikes Rating on Cl. M-5 Certs to 'Caa2'
DEUTSCHE MORTGAGE: S&P Affirms 'B(sf)' Ratings on 2 Note Classes
FBR SECURITIZATION: Moody's Ups 8 Tranch Ratings of 4 RMBS Deals
FM LEVERAGED I: Moody's Hikes Rating on Cl. D Notes From 'Ba1'
FM LEVERAGED I: S&P Affirms 'CCC-' Rating on Class E Notes
GANNETT PEAK I: Moody's Hikes Rating on $33.5MM Notes From 'Ba1'
GE COMMERCIAL 2005-C3: Fitch Affirms 'C' Rating on 4 Cert. Classes
GMAC COMMERCIAL 2004-C3: Fitch Cuts Class D Certs Rating to 'CC'
GOLUB CAPITAL 2007-1: Moody's Affirms Ba2 Rating on Cl. E Notes
GREENWICH CAPITAL 2005-FL3: Fitch Affirms 'CCC' Ratings on 5 Certs
GS MORTGAGE 2007-GG10: Fitch Cuts Rating on Cl. A-M Certs to CCC
GS MORTGAGE 2013-GC13: Fitch Rates $13.33-Mil. Class F Certs 'B'
HEWETTS ISLAND IV: Moody's Lifts Rating on Cl. E Debt From Ba2
INSTITUTIONAL MORTGAGE 2012-2: DBRS Keeps BB Rating on Cl. F Debt
JASPER CLO: Moody's Raises Rating on $35MM Cl. C Notes From Ba1
JASPER CLO: S&P Raises Rating on 2 Note Classes to 'BB+'
JP MORGAN 2006-CIBC14: Moody's Cuts Rating on Cl. C Certs to 'Csf'
JP MORGAN 2010-C1: Fitch Affirms 'B-' Rating on Cl. H Certificates
JP MORGAN 2013-3: Fitch Rates $3.6-Mil. Class B-4 Certs at 'BB'
JP MORGAN 2013-C14: Fitch to Rate $22MM Class Ga Certificates 'B'
JP MORGAN 2013-JWRZ: Rights Transfer No Impact on Moody's Ratings
KKR FINANCIAL 2005-1: Moody's Ups Rating on Cl. F Notes From Ba2
LB COMMERCIAL 1999-C1: Moody's Affirms 'C' Rating on Cl. J Certs
LB-UBS COMMERCIAL 2004-C6: Fitch Cuts Rating on Cl. J Certs to 'C'
LIME STREET: Moody's Affirms B1 Rating on $12.6MM Class E Notes
LONG BEACH 2002-1: Moody's Hikes Rating on Cl. II-M1 Debt to Ba3
MERRILL LYNCH 2005-1: Moody's Cuts Cl. 2-A-2 RMBS Rating to Caa2
MILLENNIUM PARK I: Moody's Hikes Rating on Cl. C Notes to Caa3
MMCAPS FUNDING XVII: S&P Raises Rating on Class A-2 Notes to BB-
MORGAN STANLEY 1999-RM1: Moody's Ups Rating on Cl. X Certs to Caa1
MORGAN STANLEY 2007-TOP25: Fitch Affirms D Rating on Class F Certs
MORGAN STANLEY 2012-C5: Moody's Affirms B1 Rating on Cl. X-C Certs
MORGAN STANLEY 2013-C11: Fitch to Rate $20.3MM Class G Notes 'B'
NCF GRANTOR: S&P Puts B- Rating on Class A-5-1 Notes on Watch Neg.
NOMURA ASSET 2007-2: Moody's Hikes Rating on Cl. A-1B Debt to Caa3
NORTHSHORE RE 2013-1: S&P Assigns Prelim BB- Rating on Cl. A Notes
OPTEUM MORTGAGE 2005-2: Moody's Lifts Cl. M-3 Debt Rating to Ba2
OWS CLO I: Moody's Lifts Rating on $8.5MM Class D Notes to 'Caa1'
PHILADELPHIA SCHOOL: Moody's Lowers GO Debt to 'Ba2'
POPULAR ABS: Moody's Hikes $158-Mil. of RMBS Issued 2005 to 2007
RACE POINT IV: Moody's Lifts Rating on $39.9MM Notes From 'Ba2'
REGIONAL DIVERSIFIED 2005-1: Moody's Keeps 7 Notes' Ratings
RESOURCE REAL 2006-1: Fitch Cuts Rating on Class J Certs to 'CCsf'
RESOURCE REAL 2007-1: Fitch Keeps CC Rating on $28.8MM Cl. M Debt
SAN JOSE RDA: Moody's Confirms Ba2 Rating on Successor Agency
SAXON ASSET 2004-1: Moody's Confirms B1 Rating on Class M-1 RMBS
SEQUOIA MORTGAGE 2007-2: Moody's Confirms Ratings on 3 Classes
SEQUOIA MORTGAGE 2013-10: Fitch Rates Class B-4 Certs at 'BB'
SOUND POINT III: Moody's Assigns Ratings to Eight Note Classes
SOUTHEAST HOUSING: Moody's Lowers Rating on Cl. I Bonds to 'Ba3'
STRUCTURED ASSET 2005-NC1: Moody's Ups Cl. M3 Debt Rating to Caa1
TPF II: Moody's Rates $475MM Senior Term Loan 'B2'
TRAPEZA CDO II: Moody's Cuts Rating on 2 Note Classes to Caa3(sf)
TRAPEZA CDO VI: Moody's Raises Ratings on 2 Note Classes to Caa2
TRAPEZA CDO XIII: Moody's Ups Rating on $21MM Cl. A-3 Notes to Ba2
TROPIC CDO III: Moody's Hikes Rating on $31MM Notes to 'B2'
UBS COMMERCIAL 2007-FL1: Moody's Cuts Rating on 2 Certs to 'B2'
WACHOVIA BANK 2003-C6: Moody's Cuts Rating on Class IO Certs to B2
WASHINGTON MUTUAL 2005-C1: Fitch Affirms 'D' Rating on Cl. N Certs
WAYFARER 2006-2: Moody's Hikes Ratings on 5 CBO Note Classes
WELLS FARGO 2013-LC12: Fitch Rates $14.09MM Cl. F Certificates 'B'
WFRBS 2011-C3: Moody's Keeps Ratings over Servicer Replacement
WFRBS 2012-C6: Moody's Keeps Ratings on Servicing Rights Transfer
WFRBS 2013-C15: Fitch to Rate Class F Certificates 'B'
WHITEHORSE III: Moody's Confirms 'Ba1' Rating on $12MM Notes
ZOHAR III: S&P Lowers Rating on Class A-2 Notes to 'B-'
* Fitch Says U.S. Bank TruPS CDOs Decreased at 2013 2nd Quarter
* Fitch Takes Various Actions on 20 Trust Preferred CDOs
* Fitch Lowers Ratings on 43 Bonds to 'D'
* Moody's Takes Action on $2.4-Bil. of RMBS Issued 2005 to 2006
* Moody's Takes Action on $1-Bil. of RMBS Issued From 2003 to 2004
* Moody's Takes Action on $580.4MM of RMBS Issued 2001 to 2005
* Moody's Hikes Ratings on 18 RMBS Tranches Issued 2005 to 2006
* Moody's Takes Action on $692MM of RMBS Issued 2005 to 2007
* Moody's Hikes Ratings on $151MM RMBS From Greenpoint & Lehman
* S&P Hikes 41 Tranche Ratings on 39 Synthetic CDO Transactions
* S&P Lowers 52 Ratings From 16 U.S. RMBS Transactions
*********
ABFC 2004-OPT2: Moody's Hikes Rating on Class M-2 Certs to 'Ca'
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one
tranche, confirmed the ratings of one tranche, and upgraded the
ratings of two tranches backed by Subprime loans, issued by ABFC
Asset-Backed Certificates, Series 2004-OPT2.
Complete rating actions are as follows:
Issuer: ABFC Asset-Backed Certificates, Series 2004-OPT2
Cl. A-2, Downgraded to Aa1 (sf); previously on Apr 29, 2013 Aaa
(sf) Placed Under Review for Possible Downgrade
Cl. M-1, Upgraded to B1 (sf); previously on Apr 29, 2013 Caa1 (sf)
Placed Under Review for Possible Upgrade
Cl. M-2, Upgraded to Ca (sf); previously on Apr 29, 2013 C (sf)
Placed Under Review for Possible Upgrade
Cl. M-3, Confirmed at C (sf); previously on Apr 29, 2013 C (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. In addition, the rating actions reflect the correction
of an error in the Structured Finance Workstation (SFW) cash flow
model previously used by Moody's in rating this transaction.
In prior rating actions for ABFC Asset-Backed Certificates Series
2004-OPT2, the cash flow model under-estimated the excess spread
available to the deal, which decreased the total cash flow
available to pay down the bonds. Due to discovery of this error,
four tranches were placed on review on April 29, 2013. The error
has now been corrected, and these rating actions reflect this
change.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
ABS REPACKAGING: S&P Puts 'B-' Rating on 5-A-1 Notes on Watch Neg.
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on Student
Loan ABS Repackaging Trust Series 2007-1's class 1-A-1, 1-A-IO, 7-
A-1, and 7-A-IO certificates to 'A+' from 'AA-'. S&P also removed
these ratings from CreditWatch, where it had placed them with
negative implications on April 18, 2013.
At the same time, S&P placed its 'B-' ratings on the class 5-A-1
and 5-A-IO certificates on CreditWatch with negative implications.
S&P also affirmed its ratings on the class 6-A-1 and 6-A-IO
certificates.
Student Loan ABS Repackaging Trust Series 2007-1 is a repackaging
of various notes issued from KeyCorp Student Loan Trust 1999-B,
NCF Grantor Trust 2005-1, NCF Grantor Trust 2005-3 Series 2005-GT3
due 2033 class A-5-1, and North Star Education Finance Series
2006-A.
S&P's ratings on the class 1-A-l and 1-A-IO certificates are
dependent on the lower of the ratings on: (i) Deutsche Bank AG,
New York Branch ('A/A-1'), which provides an interest rate swap on
the certificates; and (ii) Key Corp Student Loan Trust 1999-B
class A-2 notes ('AAA (sf').
The ratings on the class 7-A-1 and 7-A-IO certificates are
dependent on the lower of the ratings on: (i) Deutsche Bank AG
('A/A-1'), which provides an interest rate swap on the
certificates; and (ii) the higher of the ratings on North Star
Education Finance Series 2006-A's class A-4 notes ('AAA (sf)') and
Ambac Assurance Corp. (not rated), which provides a financial
guarantee insurance policy on the underlying securities.
In addition, S&P's ratings on the class 1-A-l,1-A-IO, 7-A-1, and
7-A-IO certificates benefit from a one-notch raise above the
support provider's rating, to reflect S&P's criteria for
transactions that require replacement of a support provider if a
rating trigger is breached.
The ratings on the class 5-A-1 and 5-A-IO certificates are
dependent on the lower of S&P's ratings on (i) Deutsche Bank AG
(A/A-1), which provides an interest rate swap on the certificates;
and (ii) the higher of the ratings on the underlying securities,
NCF Grantor Trust 2005-1's class A-5-1 and A-5-2 certificates
(B- (sf)/Watch Neg), and the rating on Ambac Assurance Corp.,
which provides a financial guarantee insurance policy on the
underlying securities.
S&P's ratings on the class 6-A-l and 6-A-IO certificates are
dependent on the lower of the ratings on: (i) the underlying
security, Transferable Custody Receipts relating to NCF Grantor
Trust 2005-3 Series 2005-GT3 due 2033 class A-5-1 ('B- (sf)'); and
(ii) Deutsche Bank AG, New York Branch.
The rating actions follows S&P's July 2, 2013, lowering of its
ratings on the swap counterparty, Deutsche Bank AG, to 'A' from
'AA-' and the removal of the rating from CreditWatch, where it had
been placed with negative implications on March 26, 2013. The
rating actions also follows S&P's July 15, 2013, placement of its
rating on the underlying securities on CreditWatch with negative
implications. S&P could take subsequent rating actions on the
certificates as a result of changes in its ratings on the
underlying security or the swap counterparty.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Student Loan ABS Repackaging Trust Series 2007-1
RATINGS LOWERED
Rating
Class To From
1-A-1 A+ AA-/Watch Neg
1-A-IO A+ AA-/Watch Neg
7-A-1 A+ AA-/Watch Neg
7-A-IO A+ AA-/Watch Neg
RATINGS PLACED ON CREDITWATCH NEGATIVE
Rating
Class To From
5-A-1 B-/Watch Neg B-
5-A-IO B-/Watch Neg B-
RATINGS AFFIRMED
Rating
Class To From
6-A-1 B- B-
6-A-IO B- B
ACAS CLO 2007-1: Fitch Affirms 'Bsf' Rating on $15.5MM Cl. D Notes
------------------------------------------------------------------
Fitch Ratings has affirmed seven classes of notes issued by ACAS
CLO 2007-1 Ltd./Corp. (ACAS CLO 2007-1) as follows:
-- $110,750,000 class A-1 at 'AAAsf'; Outlook Stable;
-- $135,000,000 class A-1-S at 'AAAsf'; Outlook Stable;
-- $33,750,000 class A-1-J at 'AAAsf'; Outlook Stable;
-- $25,000,000 class A-2 at 'AAsf'; Outlook Stable;
-- $22,000,000 class B at 'Asf'; Outlook Stable;
-- $21,000,000 class C at 'BBBsf'; Outlook Stable;
-- $15,500,000 class D at 'Bsf'; Outlook Stable.
Key Rating Drivers
The affirmation of the notes is based on the steady credit
enhancement levels for all classes, as well as the stable
performance of the underlying portfolio since Fitch's last rating
action in August 2012.
The current portfolio continues to generate a considerable amount
of excess spread, and all classes of notes are likely to perform
at or above their current ratings under modeled stresses. ACAS CLO
2007-1 is currently in its reinvestment period through April 20,
2014. 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 increasing
concentration risks from reinvestment activity or portfolio
amortization. However, Fitch's stressed analysis shows the notes
performing at their current rating levels so long as the portfolio
concentrations are within permitted limitations.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis
in CDOs'. Fitch's modeling results for the class A-2, B, C and D
notes indicated a higher passing rating when analyzing with the
current portfolio's characteristics. However, analysis with the
portfolio concentrations stressed to certain permitted limitations
indicated that an upgrade was not warranted for these notes.
ACAS CLO 2007-1 is a cash flow collateralized loan obligation
(CLO) that closed April 26, 2007, and is managed by American
Capital Asset Management, LLC. The current portfolio has a Fitch
weighted-average rating factor of 'B+/B' and is composed of 94.5%
senior secured loans, with the remaining 5.5% including senior
unsecured bonds, junior secured/mezzanine debt and structured
finance assets.
ACCREDITED MORTGAGE: Moody's Raises Ratings on $312MM of RMBS
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 10 tranches
from three transactions backed by subprime RMBS loans, issued by
Accredited Mortgage Loan Trust.
Complete rating actions are as follows:
Issuer: Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes,
Series 2005-1
Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 16, 2012
Downgraded to Ba3 (sf)
Cl. M-2, Upgraded to B2 (sf); previously on Aug 16, 2012 Confirmed
at Caa2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Jun 1, 2010
Downgraded to Ca (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Jun 1, 2010
Downgraded to C (sf)
Issuer: Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes,
Series 2005-2
Cl. M-1, Upgraded to A3 (sf); previously on Aug 16, 2012 Confirmed
at Baa3 (sf)
Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 16, 2012 Upgraded
to B2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Aug 16, 2012 Upgraded
to Ca (sf)
Cl. M-4, Upgraded to Caa2 (sf); previously on Aug 16, 2012
Confirmed at C (sf)
Issuer: Accredited Mortgage Loan Trust 2006-1
Cl. A-3, Upgraded to A3 (sf); previously on Aug 16, 2012 Confirmed
at Baa3 (sf)
Cl. A-4, Upgraded to Caa2 (sf); previously on Aug 16, 2012
Confirmed at Ca (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or building credit enhancement on the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
AIRLIE CLO 2006-I: Moody's Lifts Rating on $31MM Notes From 'Ba1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Airlie CLO 2006-I Ltd.:
$16,500,000 Class B Senior Secured Deferrable Floating Rate Notes
Due May 20, 2020, Upgraded to Aaa (sf); previously on July 15,
2013 Upgraded to Aa2 (sf) and Placed Under Review for Possible
Upgrade;
$31,000,000 Class C Senior Secured Deferrable Floating Rate Notes
Due May 20, 2020, Upgraded to Baa1 (sf); previously on September
14, 2011 Upgraded to Ba1 (sf).
Moody's also affirmed the ratings of the following notes:
$287,000,000 Class A-1 Senior Secured Floating Rate Notes Due May
20, 2020 (current outstanding balance $110,855,085), Affirmed Aaa
(sf); previously on September 14, 2011 Upgraded to Aaa (sf);
$16,000,000 Class A-2 Senior Secured Floating Rate Notes Due May
20, 2020, Affirmed Aaa (sf); previously on July 15, 2013 Upgraded
to Aaa (sf);
$8,000,000 Class D Senior Secured Deferrable Floating Rate Notes
Due May 20, 2020, Affirmed Ba3 (sf); previously on September 14,
2011 Upgraded to Ba3 (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,
particularly since September 2012. Moody's notes that the Class A-
1 Notes have been paid down by approximately 52% or $120.8 million
since September 2012. Based on the latest trustee report dated
July 12, 2013, the Class A, Class B, Class C, and Class D
overcollateralization ratios are reported at 156.4%, 138.4%,
113.8% and 108.8%, respectively, versus Sept 2012 levels of
126.5%, 119.4%, 108.0%, and 105.4%, respectively. In taking the
foregoing actions, Moody's also announced that it had concluded
its review of its ratings on the issuer's Class B Notes announced
on July 15, 2013. At that time, Moody's said that it had upgraded
and placed certain of the issuer's ratings on review primarily as
a result of substantial deleveraging of the senior notes and
increases in OC ratios resulting from high rates of loan
collateral prepayments during the first half of 2013.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $191.9 million, defaulted par of $1.8 million,
a weighted average default probability of 17.09% (implying a WARF
of 2574), a weighted average recovery rate upon default of 51.76%,
and a diversity score of 41. 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.
Airlie CLO 2006-I, Ltd., issued in May 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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% (2059)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3089)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: -2
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.
ALESCO PREFERRED I: Moody's Hikes Ratings on 2 Notes to 'Caa2'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Alesco Preferred Funding I, Ltd.:
$149,000,000 Class A-1 First Priority Senior Secured Floating Rate
Notes Due October 15, 2033 (current balance of $47,128,137.05),
Upgraded to Aa1 (sf); previously on September 27, 2012 Upgraded to
Aa3 (sf)
$66,000,000 Class A-2 Second Priority Senior Secured Floating Rate
Notes Due October 15, 2033, Upgraded to Aa3 (sf); previously on
September 27, 2012 Upgraded to A2 (sf)
$56,700,000 Class B-1 Mezzanine Secured Floating Rate Notes Due
October 15, 2033 (current balance of $59,716,774.64, including
deferring interest), Upgraded to Caa2 (sf); previously on
September 27, 2012 Upgraded to Ca (sf)
$45,000,000 Class B-2 Mezzanine Secured Fix/Floating Rate Notes
Due October 15, 2033 (current balance of $47,394,265.57), Upgraded
to Caa2 (sf); previously on September 27, 2012 Upgraded to Ca (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A-1 Notes, an
increase in the transaction's overcollateralization ratios as well
as the improvement in the credit quality of the underlying
portfolio as measured by the weighted average rating factor
(WARF). The deleveraging is due to diversion of excess interest
after paying interest on the Class A-1, A-2, B-1 and B-2 Notes and
the redemption of performing and deferring assets.
Moody's notes that the Class A-1 Notes have been paid down by
approximately 41.76% or $33.78 million since last rating action,
due to diversion of excess interest proceeds and disbursement of
principal proceeds from redemptions of underlying assets. As a
result of this deleveraging, the Class A-1 notes' par coverage
improved to 409.15% from 247.94% since the last rating action, as
calculated by Moody's. Based on the latest trustee report dated
July 15, 2013, the Senior Principal Coverage Ratio and Senior
Subordinate Principal Coverage Ratio are reported at 168.92%
(limit 125.00%) and 87.68% (limit 105.57%) respectively, versus
the August 31, 2012 levels of 137.09% and 79.47% respectively.
Going forward, the Class A-1 notes will continue to benefit from
the diversion of excess interest and the proceeds from future
redemptions of any assets in the collateral pool.
Moody's also notes that the deal benefited from an improvement in
the credit quality of the underlying portfolio. Based on Moody's
calculation, the weighted average rating factor (WARF) improved to
804 compared to 1103 as of September 2012. The total par amount
that Moody's treated as defaulted or deferring declined to $15
million compared to $39 million as of the last rating action date.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor and weighted
average recovery rate, are based on its published methodology and
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 $192.8 million, defaulted/deferring par of $15
million, a weighted average default probability of 17.71%
(implying a WARF of 804), Moody's Asset Correlation of 21.16%, and
a weighted average recovery rate upon default of 10.00%. In
addition to the quantitative factors that are explicitly modeled,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of triggering an Event of Default, recent deal
performance under current market conditions, the legal
environment, and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
Alesco Preferred Funding I, Ltd., issued on September 25, 2003, is
a collateralized debt obligation backed by a portfolio of bank
trust preferred securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks that are generally not publicly rated by Moody's. To
evaluate the credit quality of bank TruPS without public ratings,
Moody's uses RiskCalc model, an econometric model developed by
Moody's KMV, to derive their credit scores. Moody's evaluation of
the credit risk for a majority of bank obligors in the pool relies
on FDIC financial data reported as of Q1-2013.
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs" published in May 2011.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Cross Sector Rating Methodology "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 446 points from the
base case of 804, the model-implied rating of the Class A-1 notes
is one notch worse than the base case result. Similarly, if the
WARF is decreased by 304 points, the model-implied rating of the
Class A-1 notes is one notch better than the base case result.
In addition, Moody's also performed one additional sensitivity
analysis as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the sensitivity analysis, Moody's ran
alternative default-timing profile scenarios to reflect the lower
likelihood of a large spike in defaults.
Summary of the impact on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Sensitivity Analysis:
Class A-1: 0
Class A-2: 0
Class B-1: 0
Class B-2: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as Moody's outlook on the banking
sector has change to stable from negative. The pace of FDIC bank
failures continues to decline in 2013 compared to the last four
previous years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
ALESCO PREFERRED V: S&P Raises Rating on Class A-2 Notes to 'CCC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1 and A-2 notes from ALESCO Preferred Funding V Ltd., a U.S.
collateralized bond obligation (CBO) transaction, backed by trust
preferred securities (TruPs) mainly issued by financial
institutions and managed by Cohen Brothers Financial Management.
At the same time, S&P removed the class A-1 notes from CreditWatch
with positive implications, where it placed them on May 17, 2013.
At the same time, S&P affirmed its 'CCC- (sf)' rating on the class
B notes.
The upgrades reflect paydowns to the class A-1 notes and an
improvement in the credit support available to the notes since S&P
last upgraded the class in May 2012, following an update to its
criteria for rating CDOs backed by bank trust preferred
securities. Since then, and after taking into account the June
2013 distribution, the transaction has paid down the class A-1
notes by approximately $29.07 million, leaving the notes' balance
at 56.48% of their original amount.
The upgrades also reflect an improvement in the
overcollateralization (O/C) available to the notes, mainly due to
the aforementioned paydowns, since S&P's most recent rating
action. The trustee reported the following O/C ratios in the June
2013 monthly report:
-- The class A O/C ratio was 137.10%, up from a reported ratio
of 109.4% in March 2012; and
-- The class B/C/D O/C ratio was 79.61%, up from a reported
ratio of 68.0% in March 2012.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
ALESCO Preferred Funding V Ltd.
Rating
Class To From
A-1 BB (sf) B+/Watch Pos (sf)
A-2 CCC (sf) CCC- (sf)
B CCC- (sf) CCC- (sf)
AMERICAN CREDIT 2013-2: S&P Assigns Prelim. BB Rating on D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to American Credit Acceptance Receivables Trust 2013-2's
$196.64 million asset-backed notes.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The preliminary ratings are based on information as of July 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 availability of approximately 53.3%, 43.1%, 36.4%, and
31.1% 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 2.25x, 1.80x, 1.50x, and 1.25x our expected net
loss range of 22.70%-23.20% for the class A, B, C, and D
notes, respectively.
-- The timely interest and principal payments made to the
preliminary rated notes by the assumed legal final maturity
dates under S&P's stressed cash flow modeling scenarios that
it believes is appropriate for the assigned preliminary
ratings.
-- S&P's expectation that under a moderate, or 'BBB', stress
scenario the ratings on the class A and B notes would remain
within one rating category and the ratings on the class C
and D notes would remain within two rating categories of
S&P's preliminary 'AA (sf)', 'A (sf)', 'BBB (sf)', and
'BB (sf)' ratings, respectively. These potential rating
movements are consistent with S&P's credit stability
criteria, which outlines the outer bound of credit
deterioration equal to a one-rating category downgrade
within the first year for 'AA' and a two-rating 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/1690.pdf
PRELIMINARY RATINGS ASSIGNED
American Credit Acceptance Receivables Trust 2013-2
Class Rating Type Interest Amount
rate (mil. $)(i)
A AA (sf) Senior Fixed 117.44
B A (sf) Subordinate Fixed 36.05
C BBB (sf) Subordinate Fixed 22.39
D BB (sf) Subordinate Fixed 20.76
(i) The actual size of these tranches will be determined on the
pricing date.
AMMC CLO IV: Moody's Raises Rating on Class D Notes From 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by AMMC CLO IV, Ltd.
$25,000,000 Class C Floating Rate Deferrable Notes Due March 25,
2017, Upgraded to Aa1 (sf); previously on July 15, 2013 A2 (sf)
Placed Under Review for Possible Upgrade;
$30,000,000 Class D Floating Rate Deferrable Notes Due March 25,
2017, Upgraded to Baa2 (sf); previously on August 10, 2011
Upgraded to Ba1 (sf).
Moody's also affirmed the ratings of the following notes:
$330,000,000 Class A-1 Floating Rate Notes Due 2017 (current
outstanding balance of $136,232,031), Affirmed Aaa (sf);
previously on August 10, 2011 Upgraded to Aaa (sf);
$50,000,000 Class A-2 Floating Rate Notes Due 2017 (current
outstanding balance of $13,301,521), Affirmed Aaa (sf); previously
on June 14, 2005 Assigned Aaa (sf);
$12,500,000 Class A-3 Floating Rate Notes Due 2017, Affirmed Aaa
(sf); previously on August 10, 2011 Upgraded to Aaa (sf);
$20,000,000 Class B Floating Rate Notes Due 2017, Affirmed Aaa
(sf); previously on July 15, 2013 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 ratio since
January 2013. Moody's notes that the Class A-1 Notes and Class A-2
Notes have been paid down by approximately 53.8% or $158.4 million
and 69.3% or $30.0 million, respectively, since January 2013.
Based on the latest trustee report dated July 2, 2013, the Senior
overcollateralization ratio is reported at 138.33%, versus January
2013 levels of 117.62%.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $251.5 million, defaulted par of $6.6 million,
a weighted average default probability of 13.27% (implying a WARF
of 2424), a weighted average recovery rate upon default of 51.72%,
and a diversity score of 46. 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.
AMMC CLO IV, Ltd., issued in March 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (1939)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: +1
Class D: +3
Moody's Adjusted WARF + 20% (2909)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: -1
Class D: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
4) Sensitivity to default timing scenarios: The junior and
mezzanine notes of this CLO structure rely significantly on excess
interest for additional credit enhancement. However, the
availability of such credit enhancement from excess interest is
subject to uncertainties relating to the timing and the amount of
defaults. Moody's modeled additional scenarios using concentrated
default timing profiles to assess the sensitivity of the notes'
ratings to volatility in the amount of excess interest available
after defaults.
ARES XXVII: S&P Assigns 'BB' Rating to Class E Notes
----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Ares
XXVII CLO Ltd./Ares XXVII CLO LLC's $368.8 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 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%-11.57%.
-- 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.
-- The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of up to
50% of available excess interest proceeds into principal
proceeds to purchase additional collateral assets during the
reinvestment period that are available before paying
uncapped administrative expenses and fees, deferred asset
management fees, and collateral manager incentive fees.
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/1686.pdf
RATINGS ASSIGNED
Ares XXVII CLO Ltd./Ares XXVII CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 99.00
A-2 AAA (sf) 150.00
B AA (sf) 46.00
C (deferrable) A (sf) 34.00
D (deferrable) BBB (sf) 22.00
E (deferrable) BB (sf) 17.80
Subordinated notes NR 44.00
NR-Not rated.
BEAR STEARNS 2006-1: Moody's Takes Action on Four Note Tranches
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches and confirmed the rating of one tranche backed by Prime
Jumbo RMBS loans, issued by Bear Stearns.
Complete rating actions are as follows:
Issuer: Bear Stearns ARM Trust 2006-1
Cl. A-1, Upgraded to B1 (sf); previously on May 6, 2013 B2 (sf)
Placed Under Review Direction Uncertain
Cl. A-2, Upgraded to Ba1 (sf); previously on May 6, 2013 Ba3 (sf)
Placed Under Review Direction Uncertain
Cl. A-3, Upgraded to Caa1 (sf); previously on May 6, 2013 Caa3
(sf) Placed Under Review Direction Uncertain
Cl. A-4, Confirmed at Ca (sf); previously on May 6, 2013 Ca (sf)
Placed Under Review Direction Uncertain
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pool and reflect Moody's updated loss expectations on
the pool. In addition, these actions reflect correction of errors
in the cash flow model used by Moody's in rating this transaction.
In prior rating actions, the model incorrectly assumed that
realized losses would be reimbursed to the senior bonds after
interest payment to Class X and also allocated losses incorrectly
to both senior and subordinate bonds. As a result, the ratings of
four tranches were placed on review direction uncertain on May 6,
2013. These errors have now been corrected, and these ratings
actions reflect these changes.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
BEAR STEARNS 2007-BBA8: Moody's Keeps Ratings over Rights Transfer
------------------------------------------------------------------
Moody's Investors Service was informed that BREDS Loan Capital
LLC, as the Directing Holder, intends to remove CW Capital Asset
Management LLC and appoint CT Investment Management Co., LLC as
the successor Special Servicer for the Westcore Colorado Portfolio
Loan. The Proposed Special Servicer Transfer and Replacement will
become effective upon satisfaction of the conditions precedent set
forth in the governing documents.
Moody's has reviewed the Proposed Special Servicer Replacement.
Moody's has determined that this proposed special servicing
replacement will not, in and of itself, and at this time, result
in a downgrade or withdrawal of the current ratings to any class
of certificates rated by Moody's for Bear Stearns Commercial
Mortgage Securities Trust, Series 2007-BBA8 (the Certificates).
Moody's opinion only addresses the credit impact associated with
the proposed designation and transfer of special servicing rights.
Moody's is not expressing any opinion as to whether this change
has, or could have, other non-credit related effects that may have
a detrimental impact on the interests of note holders and/or
counterparties.
The last rating action for Bear Stearns Commercial Mortgage
Securities Trust, Series 2007-BBA8 was taken on June 6, 2013.
The methodology used in monitoring this transaction was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions",
published on July 2000.
Moody's will continue to monitor the ratings. Any change in the
ratings will be publicly disseminated by Moody's through
appropriate media.
On June 6, 2013, Moody' upgraded the ratings of six pooled classes
and affirmed ten classes, including seven pooled classes and three
non-pooled, or rake, classes of Bear Stearns 2007-BBA8 as follows:
Cl. A-2, Affirmed Aaa (sf); previously on Apr 26, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Aug 23, 2012 Upgraded to
Aaa (sf)
Cl. C, Upgraded to Aaa (sf); previously on Aug 23, 2012 Upgraded
to Aa1 (sf)
Cl. D, Upgraded to Aa2 (sf); previously on Aug 23, 2012 Upgraded
to Aa3 (sf)
Cl. E, Upgraded to A1 (sf); previously on Aug 23, 2012 Upgraded to
A2 (sf)
Cl. F, Upgraded to Baa2 (sf); previously on Aug 23, 2012 Upgraded
to Baa3 (sf)
Cl. G, Upgraded to Ba1 (sf); previously on Aug 23, 2012 Upgraded
to Ba2 (sf)
Cl. H, Upgraded to Ba3 (sf); previously on Dec 3, 2009 Downgraded
to B1 (sf)
Cl. J, Affirmed B3 (sf); previously on Dec 9, 2010 Downgraded to
B3 (sf)
Cl. K, Affirmed Caa2 (sf); previously on Dec 9, 2010 Downgraded to
Caa2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Dec 9, 2010 Downgraded to
Caa3 (sf)
Cl. PH-1, Affirmed Caa2 (sf); previously on Oct 13, 2011
Downgraded to Caa2 (sf)
Cl. PH-2, Affirmed Caa2 (sf); previously on Oct 13, 2011
Downgraded to Caa2 (sf)
Cl. PH-3, Affirmed Caa3 (sf); previously on Oct 13, 2011
Downgraded to Caa3 (sf)
Cl. X-1B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. X-2, Affirmed B2 (sf); previously on Feb 22, 2012 Downgraded
to B2 (sf)
BEAR STEARNS 2007-TOP26: DBRS Cuts Ratings on 2 Debt Classes to D
----------------------------------------------------------------
DBRS has downgraded two classes of Bear Stearns Commercial
Mortgage Securities Trust, Series 2007-TOP26 and removed the
interest in arrears designation from both of those classes, as
follows:
-- Class F to D (sf) from C (sf)
-- Class G to D (sf) from C (sf)
The downgrades are a result of two liquidations that occurred with
the July 2013 remittance report and ultimately caused losses to be
realized by the trust. Two loans, Prospectus ID#25 - DRA Lake Emma
Corporate Park and Prospectus ID#30 - 100 Challenger, were
liquidated as of the July 2013 remittance report.
Prospectus ID#25 - DRA Lake Emma Corporate Park was secured by a
low-rise office property featuring two Class B buildings that were
originally constructed in 1975 and 1996. The properties are
located in Lake Mary, Florida, which is a northern suburb of
Orlando. AT&T was previously one of the sole tenants at the
property, accounting for approximately 31% of the NRA. AT&T
vacated at lease expiry in October 2009 and shortly thereafter the
loan transferred to the special servicer. The asset has been REO
since February 2012 and the special servicer was marketing the
property for sale. The loan liquidated with the July 2013
remittance report at a loss of $9.0 million, slightly higher than
the $8.2 million loss that was previously projected by DBRS. The
variance in loss projection can be attributed to the actual
liquidation expenses being slightly higher than what DBRS had
projected.
Prospectus ID#30 - 100 Challenger was secured by an office
property in Ridgefield Park, New Jersey. The loan transferred to
special servicing as a result of significant occupancy declines
over time (from 90% down to 30%). The DBRS loss projection had
contemplated a significant haircut to the appraised value of the
asset from issuance, as the draft updated appraisal was under
review at that time, and the figure was unable to be used in the
DBRS loss projection. The DBRS loss projection also included
inflated liquidation expenses. This resulted in a DBRS projected
loss of $6.2 million, which is lower than the actual realized loss
of $12.7 million. The reason for the variance can be attributed
to the most recent appraised value coming in at $5.9 million,
which is substantially lower than the DBRS projected value based
on a haircut to the issuance appraised value.
Although these most recent losses were in excess of what DBRS had
projected on a loan level, in aggregate, the DBRS projected losses
for this transaction are in line with what has been realized by
the trust to date. In aggregate, the DBRS cumulative loss
projections for the loans in the transaction that have realized
loss is 100.7% of the cumulative realized losses to date.
Further, of the few remaining loans in special servicing, many of
the stories have improved over the past 12 months. Specifically,
the largest loan in special servicing, Prospectus ID#7 909 A
Street, has experienced significant leasing activity and is
pending return to the master servicer. DBRS previously modeled a
significant loss associated with this loan and intends to obtain
all available information from the special servicer and re-
evaluate the outlook and loss projection for this loan.
DBRS is in the process of gathering all information from and
corresponding with the master and special servicer and intends to
finalize a full annual surveillance review with the next
remittance period.
C-BASS MORTGAGE 2002-CB1: Moody's Hikes B-1 Certs' Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
backed by Subprime loans, issued by C-BASS Mortgage Loan Asset-
Backed Certificates, Series 2002-CB1.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2002-CB1
Cl. B-1, Upgraded to Baa1 (sf); previously on May 8, 2013 Ba1 (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale:
The action is a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
In addition, the rating actions reflect the correction of an error
in the Structured Finance Workstation (SFW) cash flow model
previously used by Moody's in rating this transaction.
In prior rating actions for C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2002-CB1, the calculation of the cumulative
losses trigger was coded incorrectly, resulting in incorrect
principal allocation to the bonds outstanding. Due to the
discovery of this error, one tranche was placed on review on May
8, 2013. The error has now been corrected, and these rating action
reflects this change.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
CALLIDUS DEBT: S&P Raises Rating on Class D Notes to 'BB+'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1A, A-1B, A-2, B, C, and D notes from Callidus Debt Partners CLO
Fund IV Ltd., a collateralized loan obligation (CLO) transaction
managed by GSO/Blackstone Debt Funds Management. At the same
time, S&P removed all of the ratings from CreditWatch with
positive implications.
The upgrades reflect an improvement in credit support following
paydowns to the class A-1A and A-1B notes since S&P's April 2012
rating actions.
The transaction exited its reinvestment period in April 2012 and
has commenced paying down the class A-1A and A-1B notes pro rata.
On April 17, 2013, class A-1A and A-1B notes received a total of
$72.7 million principal paydown. Currently, the class A-1A and A-
1B notes' outstanding balance is about 44% of the original
balance. As a result of the paydowns, the class A
overcollateralization ratio increased to 150.4% in June 2013 from
the 124.1% noted in the March 2012 trustee report.
The June 2013 monthly trustee report indicated that the collateral
pool did not hold any defaulted assets.
S&P will continue to review whether, in its view, its ratings on
the notes remain consistent with the credit enhancement available
to support them, 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
RATING ACTIONS
Callidus Debt Partners CLO Fund IV Ltd.
Rating Rating
Class To From
A-1A AAA (sf) AA+ (sf)/Watch Pos
A-1B AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C A- (sf) BBB (sf)/Watch Pos
D BB+ (sf) BB (sf)/Watch Pos
CENTURION CDO 8: Moody's Hikes Rating on $16.5-Mil. Notes to Ba3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Centurion CDO 8 Limited:
$13,000,000 Class B-1 Deferrable Fixed Rate Notes Due 2017,
Upgraded to Aa2 (sf); previously on July 15, 2013 Upgraded to A3
(sf) and Placed Under Review for Possible Upgrade
$41,000,000 Class B-2 Deferrable Floating Rate Notes Due 2017,
Upgraded to Aa2 (sf); previously on July 15, 2013 Upgraded to A3
(sf) and Placed Under Review for Possible Upgrade
$16,500,000 Class C Deferrable Floating Rate Notes Due 2017,
Upgraded to Baa1 (sf); previously on July 15, 2013 Ba2 (sf) Placed
Under Review for Possible Upgrade
$16,500,000 Class D Deferrable Floating Rate Notes Due 2017
(current balance of $ 16,251,453), Upgraded to Ba3 (sf);
previously on July 15, 2013 B1 (sf) Placed Under Review for
Possible Upgrade
Moody's also affirmed the rating of the following notes:
$465,000,000 Class A Floating Rate Notes Due 2017 (current
Balance: $ 194,286,797.88), Affirmed Aaa (sf); previously on
September 20, 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.
Moody's notes that the Class A Notes have been paid down by
approximately 30% or $139.3 million since December 2012. Based on
the latest trustee report dated June 28, 2013 the Class A, Class
B, Class C and Class D overcollateralization ratios are reported
at 160.65%, 125.71%, 117.88%, and 111.06%, respectively, versus
December 2012 levels of 136.78%, 117.72%, 112.92%and 108.55%,
respectively. In taking the foregoing actions, Moody's also
announced that it had concluded its review of its ratings on the
issuer's Class B-1, B-2, C, and D notes announced on July 15,
2013. At that time, Moody's said that it had upgraded and placed
certain of the issuer's ratings on review primarily as a result of
substantial deleveraging of the senior notes and increases in OC
ratios resulting from high rates of loan collateral prepayments
during the first half of 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 the July 2013 trustee report, securities that
mature after the maturity date of the notes currently make up
approximately 12.84% 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.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $303.1 million, defaulted par of $12.5
million, a weighted average default probability of 13.48%
(implying a WARF of 2548), a weighted average recovery rate upon
default of 49.1%, and a diversity score of 36. 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.
Centurion CDO 8 Limited, issued in January 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (2038)
Class A: 0
Class B-1: +1
Class B-2: +1
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3058)
Class A: 0
Class B-1: -2
Class B-2: -2
Class C: -2
Class D: -2
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will 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.
4) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal is allowed to reinvest certain proceeds
after the end of the reinvestment period, and as such the manager
has the flexibility to deteriorate some collateral quality metrics
to the covenant levels. Based on the latest trustee report in June
2013, there is $56.6 million of cash in the principal collections
account, some of which can be used to reinvest in additional
assets on future payment dates rather than pay down the notes.
Moody's tested different scenarios in its analysis by varying the
amount of cash that are used to reinvest.
CGBAM COMMERCIAL 2013-BREH: Moody's Rates Cl. E Certificates 'Ba3'
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to nine classes of
CMBS securities, issued by CGBAM Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates Series 2013-BREH
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. X-ACP, Definitive Rating Assigned Aaa (sf)
Cl. X-BCP, Definitive Rating Assigned A2 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
Cl. X-NCP, Definitive Rating Assigned Aa2 (sf)
Ratings Rationale:
The Certificates are collateralized by a single loan backed by
cross-collateralized and cross-defaulted mortgage liens on 61 fee
simple interests and 4 leasehold interests in U.S. hotel
properties located throughout 18 states. The portfolio is
comprised of nine different nationally recognized flags within the
Marriott franchise (59.4%) or the Hilton franchise (40.6%). The
mortgage loan has an initial 3-year term, and two one-year
extension options (five-year fully extended term) evidenced by a
single promissory note. The total principal balance of the
mortgage loan is $600 million. Debt service is calculated using an
interest only payment.
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.
Based on Moody's assessment of stabilized net cash flow and the
current interest rate, Moody's Trust DSCR is 3.70X and Moody's
Total Debt DSCR (inclusive of mezzanine debt) is 2.41X.
Based on Moody's assessment of stabilized net cash flow and a
stressed constant of 9.25%, the Moody's Trust Stressed DSCR is
1.41X and Moody's Total Debt Stressed DSCR (inclusive of mezzanine
debt) is 1.09X.
The first mortgage balance of $600,000,000 represents a Moody's
LTV ratio of 85.4% which is slightly higher than other single-
borrower lodging portfolios that have been assigned a bottom-
dollar credit assessment of Ba3 by Moody's. Moody's also considers
subordinate financing when assigning ratings. The loan is
structured with $175,000,000 of additional financing in the form
of mezzanine debt, raising Moody's Total LTV ratio to 110.3%.
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 Classes X-
ACP, X-BCP, and X-NCP was "Moody's Approach to Rating Structured
Finance Interest-Only Securities" published in February 2012.
Other methodologies and factors that may have been considered in
the process of rating this issuer can also be found on Moody's
website.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
The 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%, 14%, or 22%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa2, or A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
CHEVY CHASE 2003-4: S&P Lowers Rating on Class B-4 Notes to D
-------------------------------------------------------------
Standard & Poor's Ratings Services corrected its rating on class
B-1 from Chevy Chase Funding LLC series 2003-4 by lowering it to
'B- (sf)' from 'B+ (sf)'. At the same time, S&P lowered its
rating on class B-4 to 'D (sf)' and affirmed its ratings on five
additional classes from the same transaction.
On Jan. 2, 2013, S&P lowered its rating on class B-1 to 'B+ (sf)'
from 'AA (sf)' and removed it from CreditWatch with negative
implications, based on incorrect delinquency roll-rates applied to
the transaction during that review. Using the correct delinquency
roll-rates, the rating recommendation during the prior review
would have been 'B- (sf)'. S&P is now correcting this rating to
'B- (sf)' based on the May 2013 performance information. The
corrected rating reflects S&P's current view of the projected
credit enhancement relative to its projected base case loss.
S&P lowered its rating on class B-4 to 'D (sf)' due to its
assessment of confirmed interest shortfalls to this class. The
lowered rating also reflects S&P's view of the magnitude of the
interest payment deficiencies that have affected the class to
date, compared with the remaining principal balance owed, and the
likelihood that certificateholders will be reimbursed for these
deficiencies.
The 'A+ (sf)' affirmations on classes A-1, A-2, and A-NA reflect
S&P's view that the projected credit enhancement will be
sufficient to cover projected losses at this rating level. Class
A-1 also has the benefit of bond insurance from Ambac Assurance
Corp. (not rated).
The 'CCC (sf)' and 'CC (sf)' affirmations on classes B-2 and B-3,
respectively, reflects S&P's current view that the projected
credit enhancement for these classes will remain insufficient to
cover its base case projected loss.
Subordination and bond insurance provide credit support for the
reviewed transaction. The underlying collateral for this
transaction consists of negatively amortizing (Neg-Am) mortgage
loans.
ECONOMIC OUTLOOK
When analyzing U.S. residential mortgage backed securities (RMBS)
collateral pools to determine their relative credit quality and
the potential impact on rated securities, the degree of remaining
losses stems, to a certain extent, from S&P's outlook regarding
the behavior of such loans in conjunction with expected economic
conditions. Overall, Standard & Poor's baseline macroeconomic
outlook assumptions for variables that we believe could affect
residential mortgage performance are as follows:
-- The unemployment rate will be 7.5% for 2013 and 6.9% for
2014, compared with the actual 8.1% rate in 2012.
-- Home prices will increase 11% in 2013, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 2.0% in 2013 and 3.1% in 2014.
-- The 30-year mortgage rate will average 3.9% for 2013 and
reach slightly higher levels in 2014.
-- Inflation will be 1.3% in 2013 and 1.6% in 2014.
Overall, S&P's outlook for RMBS is stable. Although S&P views
overall housing fundamentals positively, it believes RMBS
fundamentals still hinges on additional factors, such as the
ultimate fate of modified loans, the propensity of servicers to
advance on delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, S&P believes that the credit quality of U.S. RMBS would
weaken. S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment remains at 7.7% for the rest of 2013, but
rises to 8.1% in 2014, and job growth slows to almost zero
in 2013 and 2014.
-- Downward pressure causes 1.5% GDP growth in 2013 and 0.6%
growth in 2014, fueled by increased unemployment levels.
-- Thirty-year fixed mortgage rates fall back to 3.5% in 2013
and remain there throughout 2014, but capitalizing on such
lower rates could be hampered by limited access to credit
and pressure on home prices.
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 LIST
Rating Corrected
Chevy Chase Funding LLC
Series 2003-4
Rating
Class CUSIP To 01/02/13 Pre-01/02/13
B-1 16678RAL1 B- (sf) B+ (sf) AA (sf)/Watch Neg
Rating Lowered
Chevy Chase Funding LLC
Series 2003-4
Rating
Class CUSIP To From
B-4 16678RAP2 D (sf) CC (sf)
Ratings Affirmed
Chevy Chase Funding LLC
Series 2003-4
Class CUSIP Rating
A-1 16678RAJ6 A+ (sf)
A-2 16678RAK3 A+ (sf)
A-NA 16678R9A6 A+ (sf)
B-2 16678RAM9 CCC (sf)
B-3 16678RAN7 CC (sf)
CITIFINANCIAL MORTGAGE: Moody's Hikes Cl. MF-2 Debt Rating to Csf
-----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of 32 tranches
and upgraded the ratings of two tranches from five transactions,
backed by Subprime mortgage loans issued by CitiFinancial.
Complete rating actions are as follows:
Issuer: CitiFinancial Mortgage Securities Inc. 2003-1
Cl. AF-4, Confirmed at Baa1 (sf); previously on Apr 29, 2013 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A2 (sf); previously on Apr 29, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. AF-PT, Confirmed at A3 (sf); previously on Apr 29, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at B1 (sf); previously on Apr 29, 2013 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. MV-3, Confirmed at Caa3 (sf); previously on Apr 29, 2013 Caa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-2
Cl. AF-4, Confirmed at Baa1 (sf); previously on Apr 29, 2013 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at Baa1 (sf); previously on Apr 29, 2013 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at Ba3 (sf); previously on Apr 29, 2013 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Confirmed at Caa1 (sf); previously on Apr 29, 2013 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. MV-2, Confirmed at Caa2 (sf); previously on Apr 29, 2013 Caa2
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-3
Cl. AF-4, Confirmed at A3 (sf); previously on Apr 29, 2013 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A1 (sf); previously on Apr 29, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. MF-1, Upgraded to Ba2 (sf); previously on Apr 29, 2013 B1 (sf)
Placed Under Review for Possible Downgrade
Cl. MF-2, Upgraded to Ca (sf); previously on Apr 9, 2012
Downgraded to C (sf)
Cl. MV-3, Confirmed at Caa3 (sf); previously on Apr 29, 2013 Caa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2003-4
Cl. AF-4, Confirmed at A2 (sf); previously on Apr 29, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A2 (sf); previously on Apr 29, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. AF-6, Confirmed at A1 (sf); previously on Apr 29, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at Ba2 (sf); previously on Apr 29, 2013 Ba2
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Confirmed at Ba3 (sf); previously on Apr 29, 2013 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-3, Confirmed at B2 (sf); previously on Apr 29, 2013 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. MF-4, Confirmed at Caa2 (sf); previously on Apr 29, 2013 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. MV-4, Confirmed at Baa1 (sf); previously on Apr 29, 2013 Baa1
(sf) Placed Under Review for Possible Downgrade
Cl. MV-5, Confirmed at Caa2 (sf); previously on Apr 29, 2013 Caa2
(sf) Placed Under Review for Possible Downgrade
Cl. MV-6, Confirmed at Caa3 (sf); previously on Apr 29, 2013 Caa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CitiFinancial Mortgage Securities Inc. 2004-1
Cl. AF-3, Confirmed at A2 (sf); previously on Apr 29, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. AF-4, Confirmed at A2 (sf); previously on Apr 29, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. AF-5, Confirmed at A1 (sf); previously on Apr 29, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. MF-1, Confirmed at Baa3 (sf); previously on Apr 29, 2013 Baa3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-2, Confirmed at Ba1 (sf); previously on Apr 29, 2013 Ba1
(sf) Placed Under Review for Possible Downgrade
Cl. MF-3, Confirmed at Ba3 (sf); previously on Apr 29, 2013 Ba3
(sf) Placed Under Review for Possible Downgrade
Cl. MF-4, Confirmed at B2 (sf); previously on Apr 29, 2013 B2 (sf)
Placed Under Review for Possible Downgrade
Cl. MF-5, Confirmed at Caa1 (sf); previously on Apr 29, 2013 Caa1
(sf) Placed Under Review for Possible Downgrade
Cl. MF-6, Confirmed at Caa3 (sf); previously on Apr 29, 2013 Caa3
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale:
The rating action reflects the recent performance of the
underlying pools and Moody's updated expected losses on the pools.
In addition, the rating action reflects correction of errors in
the cash flow models previously used by Moody's in rating these
transactions.
The cash flow models used in the previous rating actions had
incorrectly applied separate interest and principal waterfalls. In
the impacted deals, all collected principal and interest is
commingled into one payment waterfall to pay all interest due on
bonds first, and then to pay principal. As stated in the deals'
pooling and servicing agreements, principal and interest
collections in these deals are commingled first and used to make
payments on the bonds. With the commingling of funds, principal
proceeds can be used to pay accrued interest, which could result
in reduced principal recovery for the bonds outstanding.
The errors have now been corrected and these rating actions
reflect the changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
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 8.2% in June 2012 to 7.6% in June 2013. Moody's
forecasts an unemployment central range of 7.0% to 8.0% for 2013.
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.
COLTON RDA 1999: Moody's Confirms Ba1 Rating on Successor Agency
----------------------------------------------------------------
Moody's Investors Service has confirmed the Ba1 rating on the
Successor Agency to the Colton RDA 1999 Mount Vernon Corridor Tax
Allocation Bonds.
Rating Rationale:
The rating reflects the small size and concentration of the
project area. The rating also incorporates current and projected
total project area debt service coverage amounts that are lean on
a semi-annual basis. Coverage is somewhat healthier for the Mt.
Vernon project area alone on an annual basis. The bonds are
secured by tax increment revenues of the project areas.
Strengths:
Local economy is slowly emerging from down turn
Assessed valuation grew in 2013 with reasonable prospects for
modest growth in 2014
Challenges:
Assuming no further growth in the project areas, debt service
coverage of total debt is weak
Small project area size
Weaker than typical socio-economic profile
What Could Change The Rating Up
Sizable increase in incremental AV of the project area, leading
to greater debt service coverage in all semi-annual periods
What Could Change The Rating Down
Decline in the district's assessed valuation
Rating Methodology:
The principal methodology used in this rating was Moody's Analytic
Approach To Rating California Tax Allocation Bonds published in
December 2003.
COMM 2005-FL10: Moody's Cuts Ratings on Two CMBS Classes to 'C'
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings of two interest-
only classes of COMM 2005-FL10, Commercial Mortgage Pass-Through
Certificates. Moody's rating action is as follows:
Cl. X-2-DB, Downgraded to C (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Cl. X-3-DB, Downgraded to C (sf); previously on Feb 22, 2012
Downgraded to Caa3 (sf)
Ratings Rationale:
The downgrades are due to worse than expected loan performance of
the underlying loan that the interest-only bonds reference, the
Berkshire Mall Loan. The mall's performance is not showing signs
of improvement, and the credit assessment of the loan has been
lowered from Caa3 at last review to C. Furthermore, the loan's
forbearance period ends in March 2014 and the transaction's final
rated maturity date is in April 2017.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery in the 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 principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated September 26, 2012.
Deal Performance
As of the July 15, 2013 payment date, the transaction's aggregate
certificate balance remains unchanged from last review at $37
million. The Certificates are collateralized by one floating rate
whole loan, the Berkshire Mall Loan. Moody's does not rate the
deal's outstanding P&I classes.
The Berkshire Mall Loan is secured by a regional mall located in
Lanesborough, MA, in Berkshire County. It is the only enclosed
mall in Berkshire County and totals 589,490 square feet (excluding
Target). It is anchored by Sears, Macy's, J.C. Penney, Best Buy,
and Regal Cinemas (10 screens). The Best Buy's lease expires in
2014, J.C. Penny, Macy's and Sears's leases expire in 2018, and
Regal Cinemas lease expires in September of this year. At last
review, the sponsors (Robert J. Congel and Woodchuck Hill
Associates) were in discussions with Regal Cinemas to rebuild the
theater with stadium seating. Moody's is not aware of further
developments at this time.
A loan modification closed in March 2012 that provided two years
of forbearance terms, and the transaction's final rated maturity
date is in April 2017.
The local manufacturing economy continues to erode, and the
property's performance was significantly impacted due to loss of
multiple junior anchors (Gap, Linens 'N Things, Steve & Barry's,
Famous Labels and Old Navy). As of May 2013, the property was 79%
leased (includes anchor owned space).
The property's Net Cash Flow for 2012 was $1.0 million, down from
$1.2 million achieved during the trailing twelve month period
ending July 2012. Moody's stabilized LTV is in excess of 100% and
Moody's credit assessment of the loan is C. As of the current
payment date, the transaction has incurred cumulative bond losses
totaling approximately $7 million and outstanding interest
shortfall totaling $91,234.
CREDIT SUISSE 2001-CK6: Moody's Affirms Caa3 Rating on A-X Certs
----------------------------------------------------------------
Moody's upgraded the ratings of two classes and affirmed four
classes of Credit Suisse First Boston Mortgage Securities Corp.
Commercial Mortgage Pass-Through Certificates, Series 2001-CK6 as
follows:
Cl. H, Upgraded to Ba1 (sf); previously on Aug 2, 2012 Downgraded
to B1 (sf)
Cl. J, Upgraded to B1 (sf); previously on Aug 2, 2012 Downgraded
to B3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Aug 2, 2012 Downgraded to
Caa3 (sf)
Cl. L, Affirmed C (sf); previously on Sep 22, 2011 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Sep 22, 2011 Downgraded to C
(sf)
Cl. A-X, Affirmed Caa3 (sf); previously on Aug 2, 2012 Downgraded
to Caa3 (sf)
Ratings Rationale:
Two P&I classes were upgraded due to increased credit support from
loan payoffs and amortization. The pool has paid down 20% since
Moody's last review and 94% since securitization. The ratings of
three P&I classes are consistent with Moody's expected loss and
thus are affirmed. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for rated classes could decline below the
current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The IO Class, Class A-X, is affirmed as the rating is aligned with
the expected credit performance of its reference classes.
Moody's rating action reflects a base expected loss of 31.9% of
the current balance. At last review, Moody's base expected loss
was 41.2%. Moody's base expected loss plus realized losses is now
5.4% of the original pooled balance compared to 5.7% at last
review. 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 in the 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of eight compared to ten at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated August 2, 2012.
Deal Performance:
As of the July 17, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $56.3
million from $976.4 million at securitization. The Certificates
are collateralized by 12 mortgage loans ranging in size from less
than 1% to 26% of the pool, with the top ten loans representing
98% of the pool.
Five loans, representing 59% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $35.1 million (36% loss severity
overall). There are five loans in special servicing at this time.
The largest specially serviced loan is the Kittery Outlet Center &
Kittery Barn Loan ($6.3 million -- 11.2% of the pool), which is
secured by a 50,403 square foot (SF) factory outlet center located
in Kittery, Maine. The collateral is part of the larger Tanger
Outlet Center that is not part of the collateral. The loan
transferred to special servicing in January 2011 for imminent
payment default and was originally scheduled to mature in August
2011. The property was 68% leased as of year-end 2012 compared to
71% leased at last review. Property performance has declined due
to a decrease in both occupancy and base rents. The special
servicer and borrower are negotiating a discounted pay off.
The second largest specially serviced loan is the Trolley
Industrial Park Loan ($4.5 million -- 8.0% of the pool), which is
secured by four industrial buildings totaling 242,678 SF located
in Taylor, Michigan. The loan was transferred to special servicing
in April 2011 due to maturity default and a receiver was appointed
in June 2012. The property was constructed between 1967 and 1968
and was 67% leased as of February 2013, the same occupancy as at
last review. The master servicer recognized a $1.9 million
appraisal reduction in November 2012.
The remaining three specially serviced properties are secured by
multi-family properties. Moody's estimates an aggregate $8.8
million loss for all five specially serviced loans (51% expected
loss on average).
Moody's has assumed a high default probability for two poorly
performing loans representing 20% of the pool and has estimated a
$6.2 million aggregate loss (55% expected loss based on an 87%
probability default) from these troubled loans.
Moody's anticipates that the pool will continue to experience
interest shortfalls because of the high exposure to specially
serviced loans. Interest shortfalls are caused by special
servicing fees, including workout and liquidation fees, appraisal
entitlement reductions (ASERs), loan modifications and
extraordinary trust expenses.
Moody's was provided with full year 2012 operating results for
100% of the pool and partial year 2013 operating results for 21%
of the pool. Excluding specially serviced and troubled loans for
which Moody's has estimated a loss, Moody's weighted average LTV
is 100% compared to 119% at Moody's prior review. Moody's net cash
flow reflects a weighted average haircut of 5.2% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.8%.
Excluding specially serviced and troubled loans for which Moody's
has estimated a loss, Moody's actual and stressed DSCRs are 1.16X
and 1.15X, respectively, compared to 1.05X and 0.94X at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The top three performing conduit loans represent 47% of the pool.
The largest conduit loan is the IBM Building Loan ($20.5 million
-- 26.3% of the pool), which is secured by a 160,000 SF Class A
office building located in Boca Raton, Florida. The loan was
transferred to special servicing in March 2011 due to IBM's
upcoming September 2011 lease expiration. A loan modification
closed in February 2012 that included an A/B Note structure ($15.0
million A-Note and $5.5 million B-Note) and an extension of the
maturity date to October 2014. Other key modification terms
include a new payment guaranty of $3.75 million and the Borrower
to fund additional capital to pay for any shortfalls in relation
to (i) operating expenses, (ii) monthly debt service on the A-
Note, (iii) the replacement escrow account and (iv) tenant
improvement and leasing commissions. In September of 2011, IBM
renewed 24% of the NRA through June 2020. In addition, Philips
Electronic signed a lease representing 13% of the NRA through
March 2018. The loan returned to the master servicer in March 2012
and the A-Note is currently being monitored on the master
servicer's watchlist. Due to the high property vacancy, Moody's
expects a significant loss to the $5.5 million B-Note and views
this as a troubled loan. Moody's LTV and stressed DSCR for the A
note are 124% and 0.87X, respectively compared to 126% and 0.86X
at last review.
The second largest conduit loan is the Best Western Ontario Loan
(formerly known as the Holiday Inn Ontario), ($5.8 million --
10.3% of the pool), which is secured by a 150-key full service
hotel located in Ontario, California. The loan transferred to
special servicing in May 2011 due to maturity default. A loan
modification was completed in February 2012, which extended the
maturity date to January 2015 and reduced the interest rate to
5.0% from 8.28%. Other key modification terms included a principal
write down and borrower equity contributions that were used to pay
down the loan. For the year-to-date January 2013, the occupancy
was 73% with a revenue per available room (RevPAR) of $46.63
compared to April 2012 occupancy of 75% and RevPAR of $49.13. Due
to soft market conditions and decreased demand for hotels in the
area, Moody's views this as a troubled loan. Moody's LTV and
stressed DSCR are 191% and 0.65X, respectively, compared to 186%
and 0.67X at last review.
The third largest conduit loan is the Sierra Point Apartments Loan
($5.7 million -- 10.2% of the pool), which is secured by a 212-
unit garden style multifamily property located in Irving, Texas.
The property was built in 1972 and renovated in 1998. As of March
2013, the property was 96% leased compared to 82% leased as of
March 2012. The loan transferred to special servicing in October
2008 due to imminent payment default and the borrower filed
bankruptcy in September 2010. The bankruptcy was completed in
December 2011 when a new borrower assumed the loan for $5.8
million and the remainder of the loan balance was written off. The
loan modification extended the maturity for three years to
December 2014, with an initial one year interest only period
followed by a 25-year amortization period. Other key modification
terms included an interest rate reduction from 7.34% to 4.0% and a
borrower equity infusion of $200,000 to cover operating shortages
and renovations. This performing loan was transferred back to the
Master Servicer in March 2012. Since that time, property
performance has increased dramatically. Moody's LTV and DSCR are
70% and 1.46, respectively compared to 160% and 0.64X at last
review.
CREDIT SUISSE 2003-C4: Moody's Cuts Cl. A-X Certs Rating to 'Caa1'
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of six classes,
affirmed two classes and downgraded one class of Credit Suisse
First Boston Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 2003-C4 as follows:
Cl. D, Upgraded to Aaa (sf); previously on Dec 10, 2010 Confirmed
at Aa2 (sf)
Cl. E, Upgraded to Aaa (sf); previously on Dec 10, 2010 Confirmed
at A1 (sf)
Cl. F, Upgraded to Aaa (sf); previously on Dec 10, 2010 Downgraded
to Baa2 (sf)
Cl. G, Upgraded to A1 (sf); previously on Dec 10, 2010 Downgraded
to Ba3 (sf)
Cl. H, Upgraded to B1 (sf); previously on Dec 10, 2010 Downgraded
to Caa1 (sf)
Cl. J, Upgraded to B2 (sf); previously on Dec 10, 2010 Downgraded
to Caa2 (sf)
Cl. K, Affirmed Ca (sf); previously on Dec 10, 2010 Downgraded to
Ca (sf)
Cl. L, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. A-X, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale:
The upgrades of the six P&I classes are due to increased credit
support due to loan payoffs and amortization and anticipated
further paydowns due to approaching maturities of defeased loans
and other loans that are well positioned for refinance.
The ratings of two below-investment grade P&I classes are
consistent with Moody's expected loss and thus are affirmed.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated classes could decline below the
current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The downgrade of the interest only class, Class A-X, is based on
the WARF of its referenced classes after the payoffs of highly
rated reference classes.
Moody's rating action reflects a base expected loss of 10.7% of
the current balance. At last review, Moody's base expected loss
was 4.2%. Moody's base expected loss plus realized losses is now
3.5% of the original pooled balance down from 5.2% at last review.
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 in the 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10 compared to 28 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 16, 2012.
Deal Performance:
As of the July 17, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $113 million
from $1.3 billion at securitization. The Certificates are
collateralized by 23 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten non-defeased loans
representing 64% of the pool. Three loans, representing 25% of the
pool, have defeased and are secured by U.S. Government securities.
Eight loans, representing 27% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Twenty seven loans have been liquidated from the pool, resulting
in an aggregate realized loss of $34.9 million (32% loss severity
on average). Eight loans, representing 38% of the pool, are
currently in special servicing. The largest specially serviced
loan is the 800 Apollo Loan ($16.7 million -- 14.8% of the pool),
which is secured by a 190,000 square foot (SF) office building
located in El Segundo, California. The property has been
completely vacant since April 2011. The servicer is dual tracking
foreclosure and a possible workout. The loan is one month
delinquent and the servicer has not recognized an appraisal
reduction.
The second largest specially serviced loan is the Princeton Square
Apartments Loan ($11.8 million -- 10.5% of the pool), which is
secured by a 288-unit garden apartment complex located in
Jacksonville, Florida. The loan was transferred to special
servicing in April 2010 due to payment default, and the property
became real estate owned (REO) in June 2012. As of December 2012,
the property was 94% leased compared to 89% at the prior review.
The remaining six specially serviced loans are secured by
multifamily and industrial properties. Moody's estimates an
aggregate $10.6 million loss for the specially serviced loans (25%
expected loss on average).
Moody's has assumed a high default probability for one loan
representing 4% of the pool and has estimated an aggregate
$900,000 loss (40% expected loss based on a 50% probability
default) from this troubled loan.
Moody's was provided with full year 2012 operating results for 74%
of the pool's non-specially serviced loans. Excluding specially
serviced and troubled loans, Moody's weighted average LTV is 63%
compared to 83% at Moody's prior review. Moody's net cash flow
reflects a weighted average haircut of 10.5% to the most recently
available net operating income. Moody's value reflects a weighted
average capitalization rate of 9.2%.
Excluding special serviced and troubled loans, Moody's actual and
stressed DSCRs are 1.54X and 1.80X, respectively, compared to
1.48X and 1.36X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three conduit loans represent 21% of the pool. The largest
conduit loan is the Country View Mobile Home Park Loan ($13.0
million -- 11.5% of the pool), which is secured by a 760-unit
mobile home park located in Sioux Falls, South Dakota. The
property is on the watchlist due to an approaching maturity (June
2013), however the loan is expected to payoff in full in August
2013. As of March 2013 the property is 90% leased, compared to 89%
at last review. Moody's LTV and stressed DSCR is 84% and 1.09X,
respectively, compared to 86% and 1.07X at last review.
The second largest conduit loan is the Concord Self-Storage Loan
($5.2 million -- 4.7% of the pool), which is secured by a 155,000
SF self-storage facility located in Concord, California. The
property is currently 83% leased compared to 86% at last review
and 87% at securitization. The loan is stable, benefitting from
amortization, and does not mature until 2018. Moody's LTV and
stressed DSCR are 40% and 2.55X, respectively, compared to 43% and
2.39X at last review.
The third largest conduit loan is the 3535 Technology Drive NW
Loan ($4.9 million -- 4.3% of the pool), which is secured by a
260,000 SF industrial property located in Rochester, Minnesota.
The property was built in 1997 and renovated in 2001. As of
December 2012, the property was 100% leased to Benchmark
Electronics, Inc. The loan is fully amortizing and is scheduled to
mature in 2023.
CSMC TRUST 2013-6: S&P Assigns 'B' Rating on Class B-4 Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CSMC
Trust 2013-6's $589,254 million mortgage-pass-through certificates
series 2013-6.
The note issuance is a residential mortgage-backed securitization
backed by first-lien, fixed-rate residential mortgage loans
secured by single-family residences to prime borrowers.
The ratings are based on information as of July 30, 2013. The
ratings assigned to CSMS Trust 2013-6's mortgage pass-through
certificates reflects S&P's view of:
-- The pool's high-quality collateral, as described in the
Collateral Summary section;
-- The quality of DLJ Mortgage Capital Inc.'s (DLJ's) flow
acquisition program, as well as First Republic Bank's and
Quicken Loans Inc.'s origination quality; and
-- The credit enhancement and the associated structural deal
mechanics.
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/1696.pdf
NEW RATINGS
CSMC Trust 2013-6
Class Rating Amount
(mil. $)
1-A-2 AAA (sf) 178.414
1-A-3 AAA (sf) 4.149
1-A-4 AAA (sf) 4.150
1-A-5 AAA (sf) 6.223
1-A-8(i) AAA (sf) 182.563
1-A-7(i) AAA (sf) 186.713
1-A-6(i) AAA (sf) 192.936
1-A-9(i) AAA (sf) 178.414
1-A-10(i) AAA (sf) 182.563
1-A-11(i) AAA (sf) 186.713
1-A-1(i) AAA (sf) 192.936
1-A-12(i) AAA (sf) 178.414
1-A-13(i) AAA (sf) 182.563
1-A-14(i) AAA (sf) 186.713
1-A-15(i) AAA (sf) 192.936
1-A-16(i) AAA (sf) 4.149
1-A-17(i) AAA (sf) 4.149
1-A-18(i) AAA (sf) 4.150
1-A-19(i) AAA (sf) 4.150
1-A-20(i) AAA (sf) 6.223
1-A-21(i) AAA (sf) 6.223
1-A-X-1(i) AAA (sf) 178.414
1-A-X-2(i) AAA (sf) 178.414
1-A-X-9(i) AAA (sf) 178.414
1-A-X-3(i) AAA (sf) 4.149
1-A-X-4(i) AAA (sf) 4.149
1-X-10(i) AAA (sf) 4.149
1-A-X-5(i) AAA (sf) 4.150
1-A-X-6(i) AAA (sf) 4.150
1-X-11(i) AAA (sf) 4.150
1-A-X-7(i) AAA (sf) 6.223
1-A-X-8(i) AAA (sf) 6.223
1-X-12(i) AAA (sf) 6.223
1-X-13(i) AAA (sf) 192.936
1-X-14(i) AAA (sf) 192.936
1-X-15(i) AAA (sf) 14.522
1-X-16(i) AAA (sf) 14.522
1-X-17(i) AAA (sf) 10.373
1-X-18(i) AAA (sf) 10.373
1-X-19(i) AAA (sf) 186.713
1-X-20(i) AAA (sf) 186.713
1-X-21(i) AAA (sf) 182.563
1-X-22(i) AAA (sf) 182.563
2-A-6 AAA (sf) 335.279
2-A-7 AAA (sf) 7.797
2-A-8 AAA (sf) 19.493
2-A-9(i) AAA (sf) 343.076
2-A-10(i) AAA (sf) 362.569
2-A-11(i) AAA (sf) 335.279
2-A-12(i) AAA (sf) 343.076
2-A-13(i) AAA (sf) 362.569
2-A-3(i) AAA (sf) 335.279
2-A-2(i) AAA (sf) 343.076
2-A-1(i) AAA (sf) 362.569
2-A-X-1(i) AAA (sf) 335.279
2-A-X-2(i) AAA (sf) 335.279
2-A-X-3(i) AAA (sf) 335.279
2-X-10(i) AAA (sf) 335.279
2-X-11(i) AAA (sf) 335.279
2-A-X-4(i) AAA (sf) 7.797
2-A-X-5(i) AAA (sf) 7.797
2-A-X-6(i) AAA (sf) 7.797
2-X-12(i) AAA (sf) 7.797
2-X-13(i) AAA (sf) 7.797
2-A-X-7(i) AAA (sf) 19.493
2-A-X-8(i) AAA (sf) 19.493
2-A-X-9(i) AAA (sf) 19.493
2-X-14(i) AAA (sf) 19.493
2-X-15(i) AAA (sf) 19.493
2-X-16(i) AAA (sf) 343.076
2-X-17(i) AAA (sf) 343.076
2-X-18(i) AAA (sf) 362.569
2-X-19(i) AAA (sf) 362.569
2-X-27(i) AAA (sf) 362.569
B-1 AA (sf) 7.766
B-2 A (sf) 7.466
B-3 BB (sf) 11.051
B-4 B (sf) 7.466
B-5 NR 8.064
2-A-14(i) AAA (sf) 253.798
2-A-15(i) AAA (sf) 108.771
2-A-16(i) AAA (sf) 253.798
2-A-17(i) AAA (sf) 108.771
2-X-20(i) AAA (sf) 253.798
2-X-21(i) AAA (sf) 108.771
2-X-22(i) AAA (sf) 253.798
2-X-23(i) AAA (sf) 108.771
2-A-18(i) AAA (sf) 253.798
2-A-19(i) AAA (sf) 108.771
2-A-20(i) AAA (sf) 253.798
2-A-21(i) AAA (sf) 108.771
2-X-24(i) AAA (sf) 362.569
2-X-25(i) AAA (sf) 362.569
2-X-26(i) AAA (sf) 362.569
2-A-22(i) AAA (sf) 7.797
2-A-23(i) AAA (sf) 19.493
2-A-24(i) AAA (sf) 7.797
2-A-25(i) AAA (sf) 19.493
2-X-28(i) AAA (sf) 7.797
2-X-29(i) AAA (sf) 19.493
(i) Refers to a notional amount for the classes.
NR - Not rated.
CWABS 2005-BC2: Moody's Hikes Rating on Cl. M-5 Certs to 'Caa2'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches and confirmed the rating of one tranche issued by CWABS
Asset-Backed Certificates Trust 2005-BC2.
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-BC2
Cl. M-2, Confirmed at A3 (sf); previously on May 1, 2013
Downgraded to A3 (sf) and Remained On Review for Possible
Downgrade
Cl. M-3, Upgraded to A3 (sf); previously on May 1, 2013 Baa3 (sf)
Placed Under Review Direction Uncertain
Cl. M-4, Upgraded to Ba3 (sf); previously on May 1, 2013 Caa1 (sf)
Placed Under Review Direction Uncertain
Cl. M-5, Upgraded to Caa2 (sf); previously on Apr 14, 2010
Downgraded to C (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. In addition, the rating actions reflect the correction
of an error in the Structured Finance Workstation (SFW) cash flow
model previously used by Moody's in rating this transaction.
In prior rating actions for CWABS Asset-Backed Certificates Trust
2005-BC2, the cash flow model incorrectly modeled the
overcollateralization target. Due to the discovery of this error,
two tranches were placed on review, and one tranche was placed on
further review, on May 1, 2013. The error has now been corrected,
and these rating actions reflect this change.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
DEUTSCHE MORTGAGE: S&P Affirms 'B(sf)' Ratings on 2 Note Classes
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on eight
classes and affirmed its ratings on four classes from Deutsche
Mortgage Securities Inc. REMIC Trust Certificates Series 2010-RS2.
At the same time, S&P removed all of the ratings from CreditWatch
with negative implications.
On Dec. 19, 2011, S&P downgraded the classes it upgraded due to
interest shortfalls according to its interest shortfall criteria.
However, the trustee issued an amended trust agreement in June
2013, which changes the transaction's distribution waterfall such
that interest payments are now allocated in a sequential manner.
In particular, if the available interest funds are insufficient to
distribute accrued interest due to classes A2, A2A, A2IO, A3, A3A,
A3IO, A4, A4A, A4IO, A5, A5A, A5IO, A6, A6A, A6IO, A7, A7A, A7IO,
and A8, then the shortfall amount will be allocated in reverse
sequential order starting with class A8 and then the next senior
class and so forth (classes A2, A3, A4, A5, A6, and A7 are "base
certificates," which can be exchanged for a combination of the
related "A" and "IO" designated certificates ["exchanged
certificates"]).
The payment waterfall for this transaction was amended to reflect
the following:
-- The application of recoverable interest shortfalls on a
reverse sequential basis;
-- To the extent available interest funds are insufficient to
pay all accrued interest to classes A2 through A8, the
application of such interest shortfalls in reverse
sequential order beginning with class A8 (any exchanged
certificates with the same numeric designation will share
interest shortfalls pro rata).
The upgrades and affirmations primarily reflect the change to the
interest payment waterfall and sufficient credit enhancement to
cover projected losses to the resecuritized real estate mortgage
investment conduit (re-REMIC) classes. The revision to the
waterfall enabled most classes to withstand more stressful rating
scenarios in which S&P projects interest shortfalls from
underlying securities to be passed-on to the re-REMIC trust.
However, several factors including the existence of observed
interest shortfalls in the past and S&P's overall view of the
underlying RMBS that collateralize the re-REMIC limit S&P's
ratings. As such, S&P's ratings are no higher than 'AA+ (sf)'
according to its interest shortfall criteria.
Deutsche Mortgage Securities Inc. REMIC Trust Certificates Series
2010-RS2 is backed by residential mortgage-backed securities
(RMBS) classes from 46 underlying transactions. The underlying
RMBS are backed by an assortment of different collateral types
including, but not limited to, prime jumbo, Alternative-A, and
subprime mortgage loans. Subordination, overcollateralization
(when available), and applicable excess interest generally provide
credit support for the underlying securities backing this re-REMIC
transaction.
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
Deutsche Mortgage Securities Inc. REMIC Trust Certificates Series
2010-RS2
Rating
Class CUSIP To From
A2 25158KAC6 AA+ (sf) BB+ (sf)/Watch Neg
A2A 25158KAM4 AA+ (sf) BB+ (sf)/Watch Neg
A3 25158KAD4 AA (sf) BB+ (sf)/Watch Neg
A3A 25158KAP7 AA (sf) BB+ (sf)/Watch Neg
A4 25158KAE2 A (sf) BB+ (sf)/Watch Neg
A4A 25158KAR3 A (sf) BB+ (sf)/Watch Neg
A5 25158KAF9 BBB (sf) BB+ (sf)/Watch Neg
A5A 25158KAT9 BBB (sf) BB+ (sf)/Watch Neg
A6 25158KAG7 BB (sf) BB (sf)/Watch Neg
A6A 25158KAV4 BB (sf) BB (sf)/Watch Neg
A7 25158KAH5 B (sf) B (sf)/Watch Neg
A7A 25158KAX0 B (sf) B (sf)/Watch Neg
FBR SECURITIZATION: Moody's Ups 8 Tranch Ratings of 4 RMBS Deals
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of eight
tranches and downgraded the ratings of four tranches from four
RMBS transactions backed by Subprime loans, issued by FBR
Securitization Trust.
Issuer: FBR Securitization Trust 2005-2
Cl. AV1, Downgraded to A3 (sf); previously on May 6, 2013 Aa2 (sf)
Placed Under Review Direction Uncertain
Cl. AV2-3A, Downgraded to A3 (sf); previously on May 6, 2013 A2
(sf) Placed Under Review Direction Uncertain
Cl. AV2-3B2, Downgraded to A3 (sf); previously on May 6, 2013 A2
(sf) Placed Under Review Direction Uncertain
Cl. M-1, Upgraded to Ba1 (sf); previously on May 6, 2013 B1 (sf)
Placed Under Review Direction Uncertain
Cl. M-2, Upgraded to Caa1 (sf); previously on Jul 14, 2010
Downgraded to Ca (sf)
Issuer: FBR Securitization Trust 2005-3
Cl. AV1, Upgraded to Ba2 (sf); previously on May 6, 2013 B1 (sf)
Placed Under Review Direction Uncertain
Cl. AV2-4, Upgraded to Caa1 (sf); previously on May 6, 2013 Caa3
(sf) Placed Under Review Direction Uncertain
Issuer: FBR Securitization Trust 2005-4, Mortgage-Backed Notes,
Series 2005-4
Cl. AV1, Upgraded to A3 (sf); previously on May 6, 2013 Baa2 (sf)
Placed Under Review Direction Uncertain
Cl. AV2-4, Upgraded to B3 (sf); previously on May 6, 2013 Caa2
(sf) Placed Under Review Direction Uncertain
Issuer: FBR Securitization Trust 2005-5
Cl. AV1, Downgraded to A3 (sf); previously on May 6, 2013 A2 (sf)
Placed Under Review Direction Uncertain
Cl. AV2-4, Upgraded to Ba1 (sf); previously on May 6, 2013 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. M-1, Upgraded to Caa1 (sf); previously on May 6, 2013 Caa3
(sf) Placed Under Review Direction Uncertain
Ratings Rationale:
The upgrade rating actions are primarily due to improvement in
collateral performance and/ or build-up in credit enhancement. The
downgrade rating actions reflect the structural limitations in the
transactions that will impede recoupment of interest shortfalls
even if funds are available in subsequent periods. The four
tranches downgraded do not have any interest shortfalls to date,
but in the event of an interest shortfall, future missed interest
payments on the tranches can only be made up from excess interest.
In these transactions since overcollateralization is already below
target due to poor performance, any future missed interest
payments to the tranche are unlikely to be paid. Moody's typically
caps the ratings of such tranches with weak interest shortfall
reimbursement at A3 (sf) as long as they have not experienced any
shortfalls.
In addition, the rating actions reflect errors in the Structured
Finance Workstation (SFW) cash flow model previously used by
Moody's in rating this transaction. In prior rating actions for
FBR Securitization Trust 2005-2, 2005-3, 2005-4, and 2005-5, the
principal payments to the senior bonds did not change from
sequential to pro-rata after the aggregate Adjusted Class
Principal Amounts of the Class M Notes are reduced to zero as
noted in the deal documents. In addition, the cash flow model used
in prior rating actions for FBR Securitization Trust 2005-3
allocated losses to the subordinate bonds even though the
governing deal documents do not contain a provision allocating
losses to these bonds. Due to the discovery of these errors,
certain tranches were placed on review on May 6, 2013. The errors
have now been corrected, and these rating actions reflect those
changes.
The rating actions also reflect recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
FM LEVERAGED I: Moody's Hikes Rating on Cl. D Notes From 'Ba1'
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating of the following
notes issued by FM Leveraged Capital Fund I:
$24,600,000 Class D Fourth Priority Deferrable Floating Rate Notes
Due August 1, 2017 (current outstanding balance of $23,105,733),
Upgraded to Baa3 (sf); previously on April 3, 2013 Affirmed Ba1
(sf)
Moody's also affirmed the rating of the following notes:
$12,200,000 Class E Fifth Priority Deferrable Floating Rate Notes
Due August 1, 2017, Affirmed Caa2 (sf); previously on April 3,
2013 Downgraded to Caa2 (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in April 2013. Moody's notes that the Class C
Notes have been paid off in full and the Class D Notes have been
paid down by approximately 6% or $1.5 million since the last
rating action. Based on Moody's calculations, the Class D and
Class E overcollateralization ratios are currently 152.04% and
99.50%, respectively, versus April 2013 levels of 127.06% and
99.40%, respectively.
Notwithstanding benefits of the deleveraging, Moody's notes that
the credit quality of the underlying portfolio has deteriorated
since the last rating action. Based on Moody's calculations, the
weighted average rating factor is currently 5503 compared to 4262
in April 2013. Moody's 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, for each CE where the related exposure constitutes
more than 3% of the collateral pool, Moody's applied a 2-notch
equivalent assumed downgrade. This adjustment was applied to
approximately 30% of the pool.
Additionally, Moody's notes that the underlying portfolio includes
a number of investments in securities that mature after the
maturity date of the notes. Based on Moody's calculation,
securities that mature after the maturity date of the notes
currently make up approximately 7.5% 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.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $32.7 million, defaulted par of $9.6 million,
a weighted average default probability of 26.14% (implying a WARF
of 5503), a weighted average recovery rate upon default of 42.19%,
and a diversity score of 8. 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 and non-senior secured loans, with significant
exposure to middle market loans.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013. In
addition, due to the low diversity of the collateral pool, CDOROM
2.8-9 was used to simulate a default distribution that was then
applied as an input in the cash flow model. Moody's also
supplemented its modeling with individual scenario analysis to
assess the ratings impact of jump-to-default by certain large
obligors.
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% (4402)
Class D: +1
Class E: 0
Moody's Adjusted WARF + 20% (6604)
Class D: -2
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
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.
4) Exposure to credit estimates: The deal is exposed to a large
number of securities whose default probabilities are assessed
through credit estimates. In the event that Moody's is not
provided the necessary information to update the credit estimates
in a timely fashion, the transaction may be impacted by any
default probability 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.
FM LEVERAGED I: S&P Affirms 'CCC-' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class D and E notes from FM Leveraged Capital Fund I, a
collateralized loan obligation (CLO) transaction managed by
GSO/Blackstone Debt Funds Management. At the same time, S&P
removed the rating on the class D notes from CreditWatch with
positive implications.
The affirmations on the class D and E notes reflect the
availability of sufficient credit support at the current rating
levels.
The transaction is in its amortization phase following the end of
its reinvestment period in December 2011. The class A, B, and C
notes had completely paid down. In June 2013, the class D notes
received about $1.5 million of principal paydown, which reduced
its outstanding balance to 94% of the original balance. The class
E notes received the interest payment due for the payment period.
Although the class D principal coverage ratio has increased as a
result of the paydowns, the asset concentration in the pool has
increased. The pool consists of less than 20 performing obligors,
which increases the risk of higher losses if one of the largest
obligors defaults. According to the June 2013 trustee report, the
largest obligor accounted for 10.9% of the pool.
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 REMOVED FROM CREDITWATCH POSITIVE
FM Leveraged Capital Fund I
Rating
Class To From
D B+ (sf) B+ (sf)/Watch Pos
RATING AFFIRMED
FM Leveraged Capital Fund I
Class Rating
E CCC- (sf)
GANNETT PEAK I: Moody's Hikes Rating on $33.5MM Notes From 'Ba1'
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Gannett Peak CLO I, Ltd.:
$26,000,000 Class B-1 Senior Secured Deferrable Floating Rate
Notes, Due 2020, Upgraded to Aa1 (sf); previously on July 15, 2013
Upgraded to A1 (sf) and Placed Under Review For Possible Upgrade;
$9,000,000 Class B-2 Senior Secured Deferrable Fixed Rate Notes,
Due 2020, Upgraded to Aa1 (sf); previously on July 15, 2013
Upgraded to A1 (sf) and Placed Under Review For Possible Upgrade;
$33,500,000 Class C Senior Secured Deferrable Floating Rate Notes,
Due 2020, Upgraded to Baa2 (sf); previously on July 15, 2013 Ba1
(sf) Placed Under Review For Possible Upgrade;
US$14,000,000 Type I Combo Note Due 2020 (current rated balance of
$8,773,468.81), Upgraded to Aaa (sf); previously on July 15, 2013
A1 (sf) Placed Under Review For Possible Upgrade.
Moody's also affirmed the ratings of the following notes:
$369,100,000 Class A-1a Senior Secured Floating Rate Notes, Due
2020 (current outstanding balance of $234,857,828.45), Affirmed
Aaa (sf); previously on September 25, 2012 Upgraded to Aaa (sf);
$60,000,000 Class A-1b Senior Secured Revolving Floating Rate
Notes, Due 2020 (current outstanding balance of $38,177,918.45),
Affirmed Aaa (sf); previously on September 25, 2012 Upgraded to
Aaa (sf);
$41,000,000 Class A-2 Senior Secured Floating Rate Notes, Due
2020, Affirmed Aaa (sf); previously on July 15, 2013 Upgraded to
Aaa (sf);
$19,000,000 Class D-1 Secured Deferrable Floating Rate Notes, Due
2020, Affirmed B1 (sf); previously on September 25, 2012 Upgraded
to B1 (sf);
$5,000,000 Class D-2 Secured Deferrable Fixed Rate Notes, Due
2020, Affirmed B1 (sf); previously on September 25, 2012 Upgraded
to B1 (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes, an
increase in the transaction's overcollateralization ratios and an
improvement in the weighted average recovery rate since the rating
action in September 2012.
Moody's notes that since the end of the reinvestment period in
October 2012, the Class A-1a and Class A-1b Notes have been paid
down by 36.37%. The Class A-1a Notes received payments of $20.1
million in January 2013 and $114.1 million in April 2013. The
class A-2b Notes received payments of $3.2 million in January 2013
and $18.5 million in April 2013. Based on the latest trustee
report dated June 1, 2013, the Class A, Class B, Class C, and
Class D overcollateralization ratios are reported at 137.5%,
123.7%, 112.9%, and 106.2%, respectively, versus September 2012
levels of 126.5%, 117.8%, 110.5%, and 105.7%, respectively.
Additionally, the June 2013 trustee report indicates that the deal
has $63.9 million of proceeds in its principal collections
account, which Moody's expects will be used to repay the Class A-
1a and A-2b Notes on the July 2013 payment date.
The deal has also benefited from an improvement in the weighted
average recovery rate since the last rating action in September
2012. As of June 2013, Moody's calculates an average recovery rate
of 50.14%, compared to 46.85% as of August 2012.
Moody's also announced that it has concluded its review of its
ratings on the issuer's Class B-1 Notes, Class B-2 Notes, Class C
Notes, and Type I Combo Notes announced on July 15, 2013. At that
time, Moody's said that it had upgraded and placed certain of the
issuer's ratings on review primarily as a result of substantial
deleveraging of the senior notes and increases in OC ratios
resulting from high rates of loan collateral prepayments during
the first half of 2013.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $419 million, defaulted par of $15.3 million,
a weighted average default probability of 19.75% (implying a WARF
of 2943), a weighted average recovery rate upon default of 50.14%,
and a diversity score of 46. 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.
Gannett Peak CLO I, Ltd., issued in October 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, with exposures to structured finance
securities, non-senior secured loans and bonds.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013. The methodology used in rating the Type I Combo Notes
was "Using the Structured Note Methodology to Rate CDO Combo-
Notes" published in February 2004.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (2357)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B-1: +1
Class B-2: +1
Class C: +3
Class D-1: +2
Class D-2: +1
Type I Combo Note: 0
Moody's Adjusted WARF + 20% (3535)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B-1: -3
Class B-2: -3
Class C: -1
Class D-1: 0
Class D-2: -1
Type I Combo Note: -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.
GE COMMERCIAL 2005-C3: Fitch Affirms 'C' Rating on 4 Cert. Classes
------------------------------------------------------------------
Fitch Ratings affirms all classes of GE Commercial Mortgage
Corporation, series 2005-C3 commercial mortgage pass-through
certificates.
Key Rating Drivers
The affirmations are the result of stable overall pool performance
since Fitch's last rating action. Fitch expected losses are 7.1%
of the current balance or 4.9% of the original pool, including
losses incurred to date (0.9%). Currently, there are two loans in
special servicing (5.9%) including the fourth largest in the
transaction (5.4%). Three loans (2.5%) are defeased.
As of the July 2013 distribution date, the pool's aggregate
principal balance has paid down 44.3% to $1.2 billion from $2.1
billion at issuance, including the 0.9% in realized losses.
Cumulative interest shortfalls total $3 million and affect classes
P and the non-rated class Q.
The largest contributors to loss are 123 William Street (6.9%),
One Main Place (5.4%) and Portland Storage (0.5%).
123 William Street is the third largest loan in the pool and
secured by a 500,000 sf office property located in Manhattan on
William Street between Fulton and John. The loan had previously
been in special servicing after the Superintendent of Insurance
vacated eight floors. The loan was split into an A/B Note
structure, with an A Note of $77.9 million and B Note of $5.3
million. The loan has returned to the master servicer. The latest
reported occupancy was 55% as of the January 2013 rent roll.
One Main Place is the largest loan in special servicing. The loan
is secured by a 1 million square foot (sf) office building located
in downtown Dallas, TX and is currently categorized as
nonperforming matured. Current occupancy is approximately 64%. The
borrower continues its efforts to sign new leases and renewals.
The special servicer continues to consider various workout
options, including a note sale and foreclosure. An appraisal
reduction based on an updated valuation has been performed.
Portland Storage is the second largest loan in special servicing.
The collateral consists of two self-storage properties totaling
1,150 units located in Spokane, WA. The special servicer continues
to evaluate workout options.
Rating Sensitivities
Classes A-6 through F have Stable Outlooks as no rating actions on
these classes are anticipated. If additional loans transfer to
special servicing and/or if expected losses increase, classes G
and H could be downgraded.
Fitch affirms the ratings, maintains the Outlooks and Recovery
Estimates for the following classes:
-- $43.6 million class A-6 at 'AAAsf'; Outlook Stable;
-- $43.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $386.7 million class A-7A at 'AAAsf'; Outlook Stable;
-- $55.2 million class A-7B at 'AAAsf/'; Outlook Stable;
-- $263.2 million class A-1A at 'AAAf'; Outlook Stable;
-- $161.4 million class A-J at 'AAsf'; Outlook Stable;
-- $13.2 million class B at 'AAsf'; Outlook Stable;
-- $29.1 million class C at 'Asf'; Outlook Stable;
-- $21.2 million class D at 'BBBsf'; Outlook Stable;
-- $34.4 million class E at 'BBB-sf'; Outlook Stable;
-- $18.5 million class F at 'BBsf'; Outlook Stable;
-- $23.8 million class G at 'BBsf'; Outlook Negative.
-- $21.2 million class H at 'B-sf'; Outlook Negative;
-- $31.7 million class J at 'CCCsf'; RE 30%;
-- $7.9 million class K to 'CCsf'; RE 0%;
-- $7.9 million class L to 'Csf'; RE 0%;
-- $10.6 million class M to 'Csf'; RE 0%
-- $2.6 million class N at 'Csf'; RE 0%;
-- $7.9 million class O at 'Csf'; RE 0%.
The $7.9 million class P and $4.2 million class Q are not rated by
Fitch. Classes A-1, A-2, A-3FX, A-3FL, A-4, and A-5 have paid in
full. Fitch previously withdrew the ratings on the interest only
classes X-C and X-P.
GMAC COMMERCIAL 2004-C3: Fitch Cuts Class D Certs Rating to 'CC'
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 17 classes of
GMAC Commercial Mortgage Securities, Inc., series 2004-C3,
commercial mortgage pass-through certificates.
Key Rating Drivers
The downgrade reflects further certainty of losses on the already
distressed class. Fitch modeled losses of 11.6% of the remaining
pool; expected losses on the original pool balance total 8.8%,
including $39.7 million (3.2% of the original pool balance) in
realized losses to date. Fitch has designated 18 loans (34.8% of
the pool) as Fitch Loans of Concern, which includes eight
specially serviced assets (17% of the pool).
As of the July 2013 distribution date, the pool's aggregate
principal balance has been reduced by 51.4% to $608.6 million from
$1.25 billion at issuance. Per the servicer reporting, six loans
(6.4% of the pool) are defeased. Interest shortfalls are currently
affecting classes D through P.
The largest contributor to expected losses is a a 302,089 square
foot (sf), 10-story office building located in Chicago, IL (5.3%
of the pool). The loan transferred to Special Servicing in April
2009. The Trust took title through foreclosure on January 2011.
The servicer's workout strategy has been to reposition and
stabilize the asset. Major capital improvements have been
completed and the property is expected to be marketed for sale
when lease-up is complete. Property was 71% occupied with a 0.90x
NOI DSCR as of YE 2012.
The second largest contributor to expected losses are two four-
story buildings which are part of a three-building student housing
property located near Winthrop University in Rock Hill, SC(2.3%).
The two buildings are comprised of 124 units with 432 beds. The
loan transferred to special servicing in September 2009 due to
monetary default. The Trust took title in February 2012. The
servicer has stated, their current strategy is to stabilize and
reposition the Property by 1st Quarter 2015. The property was 77%
occupied as of April 2013. As of July 2013, the Property was 79%
pre-leased for the 2013/2014 school-year.
The third largest contributor to expected losses is a 196,493
square foot (sf) community retail center in Waxahachie, TX (Dallas
MSA)(2.1%). The loan transferred to special servicing in January
2011 for imminent monetary default. Foreclosure occurred in May
2011 and per the special servicer the property will be listed for
sale by the end of 2013. The property was 79.9% occupied with a
0.74x NOI DSCR as of YE 2012.
Rating Sensitivity
The ratings of the senior classes A-1A , A-4, A-AB, A-5 , and A-J
are expected to remain stable as credit enhancement has been
increasing. Rating Outlooks on classes B and C are negative as
they may be subject to further rating actions should loans not
refinance at their expected maturity dates and realized losses be
greater than Fitch's expectations. The distressed classes (those
rated below 'B') may be subject to further downgrades as losses
are realized on the specially serviced loans.
Fitch downgrades the following class:
-- $20.3 million class D to 'CCsf' from 'CCCsf', RE 80%.
Fitch affirms the following classes:
-- $181.9 million class A-1A at 'AAAsf', Outlook Stable;
-- $48.9 million class A-4 at 'AAAsf', Outlook Stable;
-- $28.7 million class A-AB at 'AAAsf', Outlook Stable;
-- $138.6 million class A-5 at 'AAAsf', Outlook Stable;
-- $82.9 million class A-J at 'BBBsf', Outlook Stable;
-- $31.3 million class B at 'BBsf', Outlook Negative;
-- $14.1 million class C at 'Bsf', Outlook Negative;
-- $12.5 million class E at 'Csf', RE 0%;
-- $15.6 million class F at 'Csf', RE 0%;
-- $10.9 million class G at 'Csf', RE 0%;
-- $20.3 million class H at 'Csf', RE 0%;
-- $2.6 million class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', 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.
GOLUB CAPITAL 2007-1: Moody's Affirms Ba2 Rating on Cl. E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating of the following
notes issued by Golub Capital Management CLO 2007-1, Ltd.:
$28,000,000 Class B Senior Notes Due July 31, 2021, Upgraded to
Aa2 (sf); previously on October 12, 2011 Confirmed at Aa3 (sf).
Moody's also affirmed the ratings of the following notes:
$369,000,000 Class A Senior Notes Due July 31, 2021, Affirmed
Aaa (sf); previously on July 26, 2007 Assigned Aaa (sf);
$32,000,000 Class C Deferrable Mezzanine Notes Due July 31,
2021, Affirmed A3 (sf); previously on October 12, 2011 Upgraded
to A3 (sf);
$19,750,000 Class D Deferrable Mezzanine Notes Due July 31,
2021, Affirmed Baa3 (sf); previously on October 12, 2011
Upgraded to Baa3 (sf);
$20,250,000 Class E Deferrable Mezzanine Notes Due July 31,
2021, Affirmed Ba2 (sf); previously on October 12, 2011 Upgraded
to Ba2 (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 July 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 a higher weighted average spread (WAS)
compared to the levels assumed at rating reviews undertaken during
the reinvestment period.
Notwithstanding the foregoing, Moody's notes that the credit
quality of the underlying portfolio has deteriorated in the past
year. Based on the June 2013 trustee report, the weighted average
rating factor is currently 2955 compared to 2685 in June 2012.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $497.9 million, defaulted par of $4.7 million,
a weighted average default probability of 23.41% (implying a WARF
of 3251), a weighted average recovery rate upon default of 48.54%,
a WAS of 4.69%, and a diversity score of 56. 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.
Golub Capital Management CLO 2007-1, Ltd., issued in July 2007, 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013. Moody's also evaluated the sensitivity of the
transaction to the volatility of credit estimates used to assess
the approximate credit quality of certain unrated collateral debt
securities, as described in Moody's Cross Sector Rating
Methodology "Updated Approach to the Usage of Credit Estimates in
Rated Transactions" published in October 2009.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (2601)
Class A: 0
Class B: +2
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3901)
Class A: 0
Class B: -2
Class C: -2
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
1) Deleveraging: A 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 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.
GREENWICH CAPITAL 2005-FL3: Fitch Affirms 'CCC' Ratings on 5 Certs
------------------------------------------------------------------
Fitch Ratings has affirmed Greenwich Capital Commercial Funding
Corp. (GCCFC) commercial mortgage pass-through certificates,
series 2005-FL3.
Key Ratings Drivers
Although the year-end (YE) 2012 cash flow remains below issuance
levels, the affirmations of the pooled and non-pooled certificates
are warranted as Fitch expects minimal, if any, losses to the
certificates based on the quality and location of the underlying
asset and the overall improvement in the hospitality industry.
Revenue per available room (RevPAR) remains strong compared to
issuance. The servicer reported that YE 2012 occupancy and RevPAR
were 67.6% and $614, respectively, compared to issuance levels of
81.8% and $511. Fitch analyzed servicer reported operating
statements, previous valuations and market comparables.
The remaining loan in the transaction is the $39 million Lowell
Hotel loan: a $26 million pooled note and a $13 million non-pooled
rake. There is additional debt held outside the trust. The Lowell
Hotel is a 17-story full-service luxury hotel located on 63rd
Street between Madison and Park Avenues in New York City. There
are 70 rooms with a high percentage of suites and suites with
fireplaces. The special servicer had previously modified the loan
to include two additional one-year extension options and pay down
of the loan. The borrower utilized their extension options, with
the final extended maturity date of September 2013.
Rating Sensitivities
The investment grade classes are expected to remain stable pending
the expected disposition of the remaining trust loan by its
extended maturity date.
Fitch affirms the pooled and non-pooled certificates as follows:
-- $4.3 million class J at 'AAAsf'; Outlook Stable;
-- $4.4 million class K at 'AAsf'; Outlook Stable;
-- $5.1 million class L at 'BBBsf'; Outlook Stable;
-- $12.2 million class M at 'CCCsf'; RE 100%;
-- $5.1 million class H-LH at 'CCCsf'; RE 100%;
-- $3.4 million class K-LH at 'CCCsf'; RE 100%;
-- $3.4 million class M-LH at 'CCCsf'; RE 100%;
-- $1 million class N-LH at 'CCCsf'; RE 100%.
Classes A-1 through H, X-1, and various non-pooled classes related
to individual loans have paid in full.
GS MORTGAGE 2007-GG10: Fitch Cuts Rating on Cl. A-M Certs to CCC
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 21 classes of
GS Mortgage Securities Trust series 2007-GG10 (GSMSC) commercial
mortgage pass-through certificates series 2007-GG10.
Key Rating Drivers
The downgrade and Negative Rating Outlooks was due to an increase
in expected losses on the specially serviced loans as well as
continued underperformance of many of the larger loans not in
special servicing.
Many of the loans have been in special servicing for a number of
years as anticipated resolutions have not occurred. These
unresolved specially serviced loans have resulted in additional
trust expenses and a significant increase in interest shortfalls
from approximately $83 million as of the August 2012 distribution
date to more than $135 million as of the July 2013 distribution
date. Resolved specially serviced loans consist primarily of loans
modified with A/B structures where Fitch deems the B-Notes
unlikely to be recovered.
Additionally, while many of the performing larger loans have
institutional quality borrowers, these loans continue to show
declines in net operating income (NOI) or fail to show performance
improvement from stressed levels. The downgrade and Rating Outlook
revisions reflect an expectation of significant credit enhancement
erosion to these classes as losses are realized on the junior
classes.
Fitch modeled losses of 23.9% of the remaining pool; expected
losses on the original pool balance total approximately 24%,
including $203.4 million (2.7% of the original pool balance) in
realized losses to date. Fitch has designated 119 loans (83.1%) as
Fitch Loans of Concern, which includes 32 specially serviced
assets (19.9%).
As of the June 2013 distribution date, the pool's aggregate
principal balance has been reduced by 10.3% to $6.79 billion from
$7.56 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes A-J through S.
The largest contributor to losses, the Two California Plaza asset
(6.8%), which is secured by a 1,329,810 square foot (sf) office
property located in downtown Los Angeles, CA. At origination, the
loan was underwritten assuming expiring leases would roll to
higher market rents. The projected increases never materialized,
and occupancy has declined significantly to approximately 61% as
of June 2013 from 94% at issuance. A major tenant occupying 12% of
the NRA vacated at lease expiration in May 2013. . The loan
transferred to the special servicer in December 2010. Modification
negotiations were unsuccessful and the property is now REO.
The next largest contributor to expected losses is the Shorenstein
Portland Portfolio (10.3%), the largest loan in the pool is
secured by a portfolio of 46 office buildings encompassing
3,882,036 sf located throughout greater Portland, OR. As of March
2013, the portfolio was 83.4% occupied, which is an improvement
over year-end (YE) 2011 occupancy of 74%. While the increase in
occupancy is positive, leases executed prior to 2007 are at above-
market rates and as leases roll, renewals and replacement leases
are at lower rates with significant concessions. The effects of
this are becoming apparent as YE 2012 NCF DSCR declined to 0.88x
from 0.95x at YE 2011. The borrower expects things to stabilize in
2013 and to achieve a 1.0x DSCR by YE 2014 when some of the
concessions burn off.
The third largest contributor to expected losses is the TIAA
Rexcorp New Jersey loan (4%), which is secured by a portfolio of
six office buildings totaling 1,042,000 sf located in suburban New
Jersey. Performance declined significantly throughout 2011 and
2012 as several major tenants vacated and replacement tenants were
signed at lower rents with significant free rent periods. Reported
NCF debt service coverage ratio (DSCR) was 0.66x at YE 2012
compared to 1.23 at YE 2010. YE 2012 occupancy was 76.9% up
slightly from 73.6% at YE 2011 but still below 86.8% at YE 2010.
Due to free rent periods and low occupancy it is predicted that
the DSCR will remain below 1.0x until 2015.
Rating Sensitivity
Rating Outlooks on classes A-2, A-3 and A-AB remain Stable due to
significant credit enhancement. Additionally, paydown from
expected dispositions will pay off classes A-2, A-3 and A-AB
before they take losses. Rating Outlooks on classes A-4 and A-1A
are Negative due to a continuing decline in appraised values for
loans in special servicing as well as continued performance
declines from many of the performing loans.
Fitch downgrades the following class and assigns Recovery
Estimates (REs) as indicated:
-- $756.3 million class A-M to 'CCCsf' from 'Bsf', RE 0%;
Fitch affirms the following classes but revises Rating Outlooks as
indicated:
-- $3.7 billion class A-4 at 'Asf', Outlook to Negative from
Stable;
-- $447.9 million class A-1A at 'Asf', Outlook to Negative from
Stable.
Fitch affirms the following classes as indicated:
-- $309.3 million class A-2 at 'AAAsf', Outlook Stable;
-- $246.6 million class A-3 at 'AAAsf', Outlook Stable;
-- $57.5 million class A-AB at 'AAAsf', Outlook Stable;
-- $519.9 million class A-J at 'CCCsf', RE 0%;
-- $75.6 million class B at 'CCCsf', RE 0%;
-- $94.5 million class C at 'CCsf', RE 0%;
-- $56.7 million class D at 'CCsf', RE 0%;
-- $56.7 million class E at 'Csf', RE 0%;
-- $75.6 million class F at 'Csf', RE 0%;
-- $75.6 million class G at 'Csf', RE 0%;
-- $104 million class H at 'Csf', RE 0%;
-- $94.5 million class J at 'Csf', RE 0%;
-- $75.6 million class K at 'Csf', RE 0%;
-- $37.8 million class L at 'Csf', RE 0%;
-- $18.9 million class M at 'Csf', RE 0%;
-- $22.6 million 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%.
Class A-1 has been paid in full. Fitch does not rate the class S
certificates. Fitch previously withdrew the rating on the
interest-only class X certificates.
GS MORTGAGE 2013-GC13: Fitch Rates $13.33-Mil. Class F Certs 'B'
----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to GS Mortgage Securities Trust 2013-GC13 commercial
mortgage pass-through certificates.
Fitch rates the transaction and assigns Rating Outlooks as
follows:
-- $66,860,000 class A-1 'AAAsf'; Outlook Stable;
-- $72,740,000 class A-2 'AAAsf'; Outlook Stable;
-- $149,690,000 class A-3 'AAAsf'; Outlook Stable;
-- $135,000,000 class A-4 'AAAsf'; Outlook Stable;
-- $420,255,000 class A-5 'AAAsf'; Outlook Stable;
-- $89,211,000 class A-AB 'AAAsf'; Outlook Stable;
-- $1,032,134,000a class X-A 'AAAsf'; Outlook Stable;
-- $98,378,000bc class A-S 'AAAsf'; Outlook Stable;
-- $88,374,000bc class B 'AA-sf'; Outlook Stable;
-- $50,023,000bc class C 'Asf'; Outlook Stable;
-- $236,775,000bc class PEZ 'Asf'; Outlook Stable;
-- $76,701,000b class D 'BBB-sf'; Outlook Stable;
-- $30,014,000b class E BBsf'; Outlook Stable;
-- $30,014,000ab class X-B 'BBsf'; Outlook Stable;
-- $13,339,000b class F 'Bsf'; Outlook Stable.
A Notional amount and interest-only.
B Privately placed pursuant to Rule 144A.
C Class A-S, class B, and class C certificates may be exchanged
for class PEZ certificates, and class PEZ certificates may be
exchanged for up to the full certificate principal amount of the
class A-S, class B and class C certificates.
Fitch does not rate the $43,353,540 class G or class X-C, which is
an interest-only class.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 67 loans secured by 98 commercial
properties having an aggregate principal balance of approximately
$1.334 billion as of the cutoff date. The loans were contributed
to the trust by Goldman Sachs Mortgage Company, Citigroup Global
Markets Realty Corp., and Starwood Mortgage Funding I LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.8% of the properties
by balance and cash flow analysis and asset summary reviews on
85.0% of the pool.
Key Rating Drivers
Highly Concentrated Deal: The top 10 loans represent 62.3% of the
pool, exceeding the average of 54.3% for Fitch-rated transactions
from 2012 through June 2013. The loan concentration index (LCI)
and sponsor concentration index (SCI) are 530 and 715,
respectively, indicating less loan and sponsor diversity as
compared to recent transactions.
High Concentration of Full-Term Interest-Only Loans: Five loans
representing 26.3% of the pool are subject to full-term interest-
only payments. These figures are higher than those for Fitch-rated
transactions from 2012 through June 2013, which had average full-
term interest-only loans of 19.0%.
Above-Average Quality Assets in Primary Markets: Of the inspected
properties, 44.7% received asset quality scores of 'B+' or better.
Three of the top 10 loans (24.7% of the pool) are secured by
properties located in New York, NY.
Rating Sensitivities
For this transaction, Fitch's net charge-offs (NCF) was 9.8% below
the full-year 2012 net operating income (NOI) (for properties for
which 2012 NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severity on defaulted loans, and could result in potential rating
actions on the certificates. Fitch evaluated the sensitivity of
the ratings assigned to GSMS 2013-GC13 certificates and found that
the transaction displays average sensitivity to further declines
in NCF. In a scenario in which NCF declined a further 20% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'A+sf' could result. In a more severe scenario, in which NCF
declined a further 30% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'BBB+sf' could result. The presale report
includes a detailed explanation of additional stresses and
sensitivities in the Rating Sensitivity and Rating Stresses
sections.
The master servicer will be Wells Fargo Bank, N.A., rated 'CMS2'
by Fitch. The special servicer will be LNR Partners, LLC, rated
'CSS1-' by Fitch.
HEWETTS ISLAND IV: Moody's Lifts Rating on Cl. E Debt From Ba2
--------------------------------------------------------------
Moody's upgrades the ratings of $44 million of notes issued by
Hewetts Island CLO IV, Ltd.
Moody's Investors Service has upgraded the ratings of the
following notes issued by Hewetts Island CLO IV, Ltd.
$14,500,000 Class C Third Priority Senior Secured Deferrable
Floating Rate Notes Due 2018, Upgraded to Aaa (sf); previously on
July 15, 2013 Upgraded to Aa2 (sf) and Placed Under Review for
Possible Upgrade
$11,000,000 Class D-1 Fourth Priority Mezzanine Deferrable
Floating Rate Notes Due 2018, Upgraded to Aa1 (sf); previously on
July 15, 2013 Upgraded to A3 (sf) and Placed Under Review for
Possible Upgrade
$3,000,000 Class D-2 Fourth Priority Mezzanine Deferrable Fixed
Rate Notes Due 2018, Upgraded to Aa1 (sf); previously on July 15,
2013 Upgraded to A3 (sf) and Placed Under Review for Possible
Upgrade
$17,000,000 Class E Fifth Priority Mezzanine Deferrable Floating
Notes Due 2018 (current outstanding balance of $15,794,536),
Upgraded to Baa3 (sf); previously on July 15, 2013 Upgraded to Ba2
(sf) and Placed Under Review for Possible Upgrade
Moody's also affirmed the ratings of the following notes:
$300,000,000 Class A First Priority Senior Secured Floating Rate
Notes Due 2018 (current outstanding balance of $47,550,198),
Affirmed Aaa (sf); previously on August 22, 2011 Upgraded to Aaa
(sf)
$33,000,000 Class B Second Priority Senior Secured Floating Rate
Notes Due 2018, Affirmed Aaa (sf); previously on July 15, 2013
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 in the
last twelve months. Moody's notes that the Class A Notes have been
paid down by approximately 83% or $229 million since July 2012.
Based on the latest trustee report dated July 2, 2013, the Class
A/B, Class C, Class D and Class E overcollateralization ratios are
reported at 167.7%, 142.1%, 123.9% and 108.2%, respectively,
versus July 2012 levels of 118.7%, 113.4%, 108.7% and 103.9%,
respectively. Additionally, the principal proceeds account
currently has about $35 million of cash, which Moody's expected
will be used to pay down the Class A Notes on the next payment
date in August 2013. Moody's also announced that it had concluded
its review of its ratings on the issuer's Class B, C, D-1, D-2 and
E Notes announced on July 15, 2013. At that time, Moody's said
that it had upgraded and placed certain of the issuer's ratings on
review for upgrade primarily as a result of substantial
deleveraging of the senior notes and increases in OC ratios
resulting from high rates of loan collateral prepayments during
the first half of 2013.
Moody's also notes that the deal has benefited from an improvement
in the credit quality of the underlying portfolio since July 2012.
Based on the July 2, 2013 trustee report, the weighted average
rating factor is currently 2172 compared to 2402 in July 2012.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $135 million, defaulted par of $6.7 million, a
weighted average default probability of 13.52% (implying a WARF of
2344), a weighted average recovery rate upon default of 50.53%,
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.
Hewetts Island CLO IV, Ltd., issued in May 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (1875)
Class A: 0
Class B: 0
Class C: 0
Class D-1: +1
Class D-2: +1
Class E: +2
Moody's Adjusted WARF + 20% (2812)
Class A: 0
Class B: 0
Class C: 0
Class D-1: -1
Class D-2: -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 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.
INSTITUTIONAL MORTGAGE 2012-2: DBRS Keeps BB Rating on Cl. F Debt
-----------------------------------------------------------------
DBRS has confirmed the ratings of Institutional Mortgage
Securities Canada Inc., 2012-2 as follows:
-- Class A-1 at AAA (sf)
-- Class A-2 at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (sf)
-- Class G at B (sf)
-- Class XP at AAA (sf)
-- Class XC at AAA (sf)
All trends are Stable.
The collateral for the transaction consists of 31 fixed-rate loans
secured by 33 properties. The properties are located throughout
eight provinces in Canada with the highest concentration in
Ontario and Alberta, at 29.8% and 22.0% of the pool balance,
respectively. As of the July 2013 remittance report, the pool has
a balance of approximately $235.4 million, representing a
collateral reduction of 2.0% since issuance. The transaction also
benefits from the majority of the underlying loans being
structured with original amortization schedules of 25 years. The
total expected amortization for the pool is approximately 18%
during the expected life of the transaction.
As of the July 2013 remittance report, there are no loans on the
servicer's watchlist and there are no delinquent or specially
serviced loans; however, according to the servicer, Prospectus ID
#5, Evton Office was added to the watchlist after the release of
the July remittance report and this will be reflected in the
August 2013 remittance report. The loan is secured by an eight-
storey Class B office building located in Midtown Toronto. The
property will be added to the watchlist for a decline in occupancy
as a result of the largest tenant and an additional smaller tenant
vacating the property late in 2012, which caused occupancy to
decline from 90.5% at issuance to 66.9% in December 2012. The
lease expiry date of the previous large tenant was contemplated at
issuance and as such, the loan was structured with an upfront
TI/LC reserve of $274,650 to cover re-tenanting the space.
Additionally, according to the listing agent's website, the
property has had a recent uptick in leasing activity. DBRS has
requested updated leasing information and rent roll from the
servicer to verify if any leasing activity has taken place. DBRS
will continue to monitor the loan and will provide more
information when available.
The DBRS analysis included an in-depth review of the 15 largest
loans in the transaction, which represents approximately 75.5% of
the current pool balance. Due to volatility in net cash flow a
year out from origination, the DBRS underwriting net cash flow
from issuance were applied during the modeling process, where
applicable.
JASPER CLO: Moody's Raises Rating on $35MM Cl. C Notes From Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Jasper CLO Ltd.:
$ 35,000,000 Class B Floating Rate Senior Secured Extendable Notes
Due 2017, Upgraded to Aa1 (sf); previously on July 15, 2013
Upgraded to Aa3 (sf) and Placed Under Review for Possible Upgrade;
$35,000,000 Class C Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 2017, Upgraded to Baa2 (sf);
previously on July 15, 2013 Ba1 (sf) Placed Under Review for
Possible Upgrade;
$5,000,000 Class 2 Extendable Composite Securities Due 2017
(current rated balance of $3,025,697) Upgraded to A3 (sf);
previously on July 15, 2013 Baa2 (sf) Placed under review for
possible upgrade.
Moody's also affirmed the ratings of the following notes:
$521,500,000 Class A Floating Rate Senior Secured Extendable Notes
Due 2017 (current balance of $269,887,120), Affirmed Aaa (sf);
previously on July 15, 2013 Upgraded to Aaa (sf);
$33,500,000 Class D-1 Floating Rate Senior Secured Deferrable
Interest Extendable Notes Due 20 17 (current balance of
$17,984,317), Affirmed Ba2 (sf); previously on August 11, 2011
Upgraded to Ba2 (sf);
$5,000,000 Class D-2 Fixed Rate Senior Secured Deferrable Interest
Extendable Notes Due 2017 (current balance of $2,673,147),
Affirmed Ba2 (sf); previously on August 11, 2011 Upgraded to Ba2
(sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in September 10, 2012. Moody's notes that the
Class A Notes have been paid down by approximately 45% or $218
million since the last rating action. Based on the latest trustee
report dated June 30, 2013, the Class A/B, Class C, and Class D
overcollateralization ratios are reported at 125.73%, 112.78%, and
106.32%, respectively, versus July 22, 2012 levels of 117.85%,
110.45%, and 106.51%, respectively. Additionally, there is $59
million in principal collections which Moody's expects to be used
to pay down the Class A Notes on the next payment date in August
2013. Moody's also announced that it had concluded its review of
its ratings on the issuer's Class B Notes, Class C Notes, and
Class 2 Composite Notes announced on July 15, 2013. At that time,
Moody's said that it had upgraded and placed certain issuer's
ratings on review for upgrade primarily as a result of substantial
deleveraging of the senior notes and increases in OC ratios
resulting from high rates of loan collateral prepayments during
the first half of 2013.
Notwithstanding the improved collateral coverage, Moody's notes
that the issuer has a significant exposure to defaulted
securities. Based on the trustee report dated June 30, 2013,
defaulted securities total $47.3 million. In addition, Moody's has
modeled a further $9.7 million of securities with speculative
grade ratings as if they are defaulted. A high proportion of such
defaulted collateral is believed to be illiquid, and there may be
significant uncertainty in the ultimate recoveries realized on
such defaults.
Moody's further notes that the underlying portfolio includes a
number of investments in securities that mature after the maturity
date of the notes. Based on the June 2013 trustee report,
securities that mature after the maturity date of the notes
currently make up approximately 12.32% 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.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $375.3 million, defaulted par of $57.0
million, a weighted average default probability of 18.27%
(implying a WARF of 3008), a weighted average recovery rate upon
default of 51.44%, and a diversity score of 28. 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.
Jasper CLO Ltd., issued in June 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013. The methodology used in rating Class 2 Extendable
Composite Securities was "Using the Structured Note Methodology to
Rate CDO Combo-Notes" published in February 2004.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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 5% 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% (2406)
Class A: 0
Class B: +1
Class C: +2
Class D-1: +1
Class D-2: +1
Moody's Adjusted WARF + 20% (3610)
Class A: 0
Class B: -1
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: A 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. Because much of the $47.3 million of trustee reported
defaults appear to be in illiquid investments, Moody's notes that
there can be significant uncertainty relating to the recovery
value of these defaulted loans.
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.
JASPER CLO: S&P Raises Rating on 2 Note Classes to 'BB+'
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A, B, C, D-1, and D-2 notes from Jasper CLO Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Highland Capital Management L.P. At the same time, S&P removed
its ratings on the class A and B notes from CreditWatch with
positive implications, where they were placed on July 9, 2013.
The upgrades of the class A, B, C, D-1, and D-2 notes reflects an
increase in their credit support following paydowns to the class A
notes since S&P's September 2012 rating actions.
The transaction is in its amortization phase and continues to pay
down the class A notes. As of the June 30, 2013, monthly trustee
report, the class A note balance is $269 million (51.7% of its
original balance), down from $467 million (around 93% of its
original balance) in September 2012, when S&P last upgraded the
class A, B, D-1, and D-2 notes. These paydowns increased the
credit support available to all the notes.
The class D-1 and D-2 note balances, which are pari passu, are
about 53% of their original balance. This is due to prior
paydowns resulting from a failure of the class D coverage tests in
the past. The transaction is structured such that failure of the
class D coverage tests will divert all available interest proceeds
-- after payment of the class D-1 and D-2 note interest -- to pay
down the class D notes first. All coverage tests are currently
passing, and the class D-1 and D-2 note balances have not changed
since the last rating action.
Standard & Poor's notes that the existing defaults -- $47 million
in par as of the June 2013 trustee report -- is higher than the
$39 million reported in July 2012 due to additional defaults that
occurred in October 2012.
In addition, according to the June 2013 monthly report, the
transaction's exposure to the long-dated securities has increased
to 12.32% from 9.39% in June 2012. According to the transaction's
documents, this percentage is calculated by using the total
portfolio balance, which includes defaults and principal cash.
When calculated based on the performing assets as reported in the
latest monthly report, the percentage increases to 16.3%. This
exposure was considered during S&P's analysis.
The ratings on the class B, C, D-1, and D-2 notes were impacted by
the application of S&P's largest-obligor default test, one of two
supplemental tests that S&P introduced as part of its revised
corporate CDO criteria. S&P applies the supplemental tests to
address event risk and model risk that may be present in rated
transactions. The largest-obligor default test assesses whether a
CDO tranche has sufficient credit enhancement (excluding excess
spread) to withstand specified combinations of underlying asset
defaults based on the ratings on the underlying assets, with a
flat recovery.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATING AND CREDITWATCH ACTIONS
Jasper CLO Ltd.
Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C BBB+ (sf) BB+ (sf)
D-1 BB+ (sf) B- (sf)
D-2 BB+ (sf) B- (sf)
JP MORGAN 2006-CIBC14: Moody's Cuts Rating on Cl. C Certs to 'Csf'
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings of four classes
and affirmed eight classes of J.P. Morgan Chase Commercial
Mortgage Securities Corp., Commercial Mortgage Pass-Through
Certificates, Series 2006-CIBC14 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Mar 28, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-3B, Affirmed Aaa (sf); previously on Mar 28, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 28, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Mar 28, 2006 Definitive
Rating Assigned Aaa (sf)
Cl. A-M, Affirmed A1 (sf); previously on Aug 16, 2012 Downgraded
to A1 (sf)
Cl. A-J, Downgraded to Caa1 (sf); previously on Aug 16, 2012
Downgraded to B2 (sf)
Cl. B, Downgraded to Caa3 (sf); previously on Aug 16, 2012
Downgraded to Caa2 (sf)
Cl. C, Downgraded to C (sf); previously on Aug 16, 2012 Downgraded
to Caa3 (sf)
Cl. D, Affirmed C (sf); previously on Aug 16, 2012 Downgraded to C
(sf)
Cl. E, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C
(sf)
Cl. F, Affirmed C (sf); previously on Dec 2, 2010 Downgraded to C
(sf)
Cl. X-1, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale:
The downgrades of three P&I classes are due to higher than
expected losses from troubled loans and loans in special
servicing. The downgrade of the IO Class, Class X-1, is a result
of the decline in the credit performance of its referenced
classes.
The affirmations of the P&I classes A-3B, A-4, A-SB, A-1A and AM
are due to key parameters, including Moody's loan to value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. Based
on Moody's current base expected loss, the credit enhancement
levels for the affirmed classes are sufficient to maintain their
current ratings. The ratings of Classes D through F are consistent
with Moody's expected loss and thus are affirmed. Depending on the
timing of loan payoffs and the severity and timing of losses from
specially serviced loans, the credit enhancement level for rated
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's rating action reflects a base expected loss of 10.6% of
the current balance. At last review, Moody's base expected loss
was 9.0%. Realized losses have increased from 5.5% of the original
balance to 6.1% since the prior review. Moody's base expected loss
plus realized losses is now 13.9% of the original pooled balance
compared to 12.7% at last review.
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 in the 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 principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23 compared to 24 at Moody's prior review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated August 9, 2012.
Deal Performance:
As of the July 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 26% to $2.03
billion from $2.75 billion at securitization. The Certificates are
collateralized by 153 mortgage loans ranging in size from less
than 1% to 14% of the pool, with the top ten non-defeased loans
representing 47% of the pool. One loan, representing less than 1%
of the pool, has defeased and is secured by U.S. Government
securities. The pool contains two loans with investment grade
credit assessments, representing 20% of the pool.
Thirty-two loans, representing 13% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Forty-one loans have been liquidated from the pool, resulting in
an aggregate realized loss of $167.4 million (32% loss severity on
average). Nineteen loans, representing 14% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Avion Business Park Portfolio Loan ($91.9 million --
4.5% of the pool), which is secured by seven suburban office
properties located in Chantilly, Virginia. The loan was
transferred to special servicing in October 2010 and is now real
estate owned (REO). The servicer has recognized a $30.5 million
appraisal reduction for this loan.
The remaining five specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $152.3 million
loss for the specially serviced loans (56% expected loss on
average).
Moody's has assumed a high default probability for 29 poorly
performing loans representing 2% of the pool and has estimated an
aggregate $42.8 million loss (41% expected loss based on a 51%
probability default) from these troubled loans.
Based on the most recent remittance statement, Classes C through
NR have experienced cumulative interest shortfalls totaling $16.8
compared to $13.6 million at last review. Moody's anticipates that
the pool will continue to experience interest shortfalls because
of the high exposure to specially serviced and troubled loans.
Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate
entitlement reductions (ASERs) and extraordinary trust expenses.
Moody's was provided with full year 2012 operating results for 88%
of the pool's non-specially serviced loans. Excluding specially
serviced and troubled loans, Moody's weighted average conduit LTV
is 91% compared to 96% at Moody's prior review. Moody's net cash
flow reflects a weighted average haircut of 10% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.2%.
Excluding special serviced and troubled loans, Moody's actual and
stressed conduit DSCRs are 1.45X and 1.14X, respectively, compared
to 1.39X and 1.10X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The largest loan with a credit assessment is the Houston Galleria
Loan ($290 million -- 14.3%), which represents a 50% pari-passu
interest in a $580 million first mortgage secured by a 2.3 million
square foot (SF) super-regional mall located in Houston, Texas.
The center is anchored by Macy's, Neiman Marcus, Nordstrom and
Saks Fifth Avenue. The property was 99% leased as of March 2013,
compared to 93% as of December 2011. Year-end 2012 in-line sales
of $1,053 per square foot (PSF) compared to year-end 2011 of
$1,030 PSF. Performance has improved due to higher revenues. The
loan is interest only for the entire term. Moody's current credit
assessment and stressed DSCR are Baa1 and 1.41X, respectively,
compared to Baa1 and 1.35X at last review.
The second loan with a credit assessment is the Patrick Henry
Building Loan ($120 million --5.9%), which is secured by a 520,180
SF office building located in Washington, DC. The property is 100%
leased to the U.S. Department of Justice until August 2015. The
loan matures in January 2016. Moody's is concerned about the
refinance risk if the tenant doesn't re-new the lease; however,
the risk is mitigated by the strong performance of the Washington
DC office market. Moody's current credit assessment and stressed
DSCR are Baa3 and 1.33X, respectively, compared to Baa3 and 1.38X
at last review.
The top three performing conduit loans represent 17% of the pool
balance. The largest loan is the Ballantyne Corporate Park Loan
($217.0 million -- 10.7%). The loan is secured by 20 cross-
collateralized and cross-defaulted properties located in
Charlotte, North Carolina. Two of the properties are hotels with a
total of 208 rooms and the remaining 18 properties are offices
with a total of 1.65 million SF. The offices' weighted average
occupancy was 83% as of March 2013 compared to 87% at last review.
The hotels' weighted average occupancy was 70.5% and RevPar was
$97.6 as of April 2013. Performance has improved due to higher
revenues from rent steps and lower expenses despite lower
occupancy. Moody's LTV and stressed DSCR are 96% and 1.07X,
respectively, compared to 106% and 0.97X at last review.
The second largest conduit loan is the Colony Line II Loan ($65.0
million -- 3.2% of the pool), which was originally secured by
eight cross-defaulted and cross-collateralized properties located
in Georgia, Texas, Illinois, Washington and Virginia. The
collateral consisted of four industrial, two multifamily and two
office properties. The loan was modified in December 2012, broken
down into three components. The first two components have paid
down the loan by approximately $94 million. The last component's
maturity date is March 2014. As of March 2013, weighted average
occupancy was 89%. Moody's LTV and stressed DSCR are 106% and
0.97X, respectively, compared to 132% and 0.78X at last review.
The third largest conduit loan is the Chartwell II Portfolio Loan
($63.6 million -- 3.1%), which is secured by three senior housing
properties totaling 499 units. Two of the properties are located
in Colorado, while the third is located in Temple, Texas. The
portfolio's occupancy was 88% as of March 2013 compared to 85% at
last review. Performance has roughly remained the same. Moody's
LTV and stressed DSCR are 97% and 1.23X, respectively, compared to
100% and 1.19X at last review.
JP MORGAN 2010-C1: Fitch Affirms 'B-' Rating on Cl. H Certificates
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Fitch Ratings has affirmed all classes of JP Morgan Chase
Commercial Mortgage Securities Trust commercial mortgage pass
through certificates, series 2010-C1.
Key Rating Drivers
Fitch's affirmations are based on generally stable performance of
the underlying collateral pool since issuance. There are currently
no delinquent or specially serviced loans. Fitch reviewed
servicer-provided year-end (YE) 2012 financial performance for
98.3% of the collateral pool in addition to updated rent rolls for
the top 15 loans, which represent 67.9% of the transaction.
Rating Sensitivities
The Rating Outlooks for all of the classes are Stable. No rating
actions are expected as the majority of the pool has maintained
performance consistent with issuance. As of the July 2013
distribution date, the pool's certificate balance has paid down
3.9% to $688.7 million from $716.3 million at issuance. There are
currently 36 loans collateralized by 96 properties. No loans have
defeased since issuance.
Fitch has concerns with the decline in performance of the largest
loan in the pool, The Gateway at Salt Lake City (13.5% of the
pool). The property is a 623,972 square foot (sf) retail center
located in downtown Salt Lake City, UT. The property is anchored
by Dick's Sporting Goods, Barnes & Noble and Gateway Theaters. As
of March 2013, the property was 76% occupied, down from 85.5% a
year ago and 93% at year-end (YE) 2011. The property was 96.4%
occupied at issuance. The decline in occupancy is due to tenants,
upon lease expiration, migrating to a competing retail center
(City Creek Center) that was completed in 2012. The servicer-
reported debt service coverage ratio (DSCR) at year-end (YE)2012
was 1.36 times (x), compared to 1.70x at YE2011. Fitch however
expects that occupancy at the subject property (The Gateway)
should stabilize as the City Creek Center appears to be fully
occupied. The risk of additional tenants migrating to the
competing center exists, but the future rollover may be limited
space in the immediate competitive set. Furthermore, the subject
property's attractive retail location is viewed as a positive, and
the property benefits from strong sponsorship and management.
Fitch will continue to monitor the performance of this loan.
The second largest loan (6.7%) is secured by a portfolio of four
multi-tenant retail properties totaling 469,000 sf. The properties
are located in Virginia, California, New Jersey and Texas. As of
December 2012, the servicer-reported occupancy was 90% with a DSCR
of 1.51x, compared to an occupancy rate of 91% with a DSCR of
1.53x at YE2011.
Fitch affirms the following classes:
-- $388.5 million class A-1 at 'AAAsf'; Outlook Stable;
-- $131.3 million class A-2 at 'AAAsf'; Outlook Stable;
-- $61.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- Interest Only class X-A at 'AAAsf'; Outlook Stable.
-- $16.1 million class B at 'AAsf'; Outlook Stable;
-- $26.9 million class C at 'A-sf'; Outlook Stable;
-- $14.3 million class D at 'BBBsf'; Outlook Stable;
-- $9 million class E at 'BBB-sf'; Outlook Stable;
-- $7.2 million class F at 'BBsf'; Outlook Stable;
-- $6.3 million class G at 'B+sf'; Outlook Stable;
-- $11.6 million class H at 'B-sf'; Outlook Stable;
Fitch does not rate classes NR and X-B.
JP MORGAN 2013-3: Fitch Rates $3.6-Mil. Class B-4 Certs at 'BB'
---------------------------------------------------------------
Fitch Ratings assigns the following ratings to J.P. Morgan
Mortgage Trust 2013-3 (JPMMT 2013-3):
-- $289,612,000 class A-1 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $289,612,000 class A-2 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $289,612,000 class A-3 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $231,945,000 class A-4 certificates 'AAAsf'; Outlook Stable;
-- $57,667,000 class A-5 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $231,945,000 class A-6 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $57,667,000 class A-7 exchangeable certificates 'AAAsf';
Outlook Stable;
-- $28,833,500 class A-8 certificates 'AAAsf'; Outlook Stable;
-- $28,833,500 class A-9 certificates 'AAAsf'; Outlook Stable;
-- $20,000,000 class A-10 certificates 'AAAsf'; Outlook Stable;
-- $931,000 class A-11 certificates 'AAAsf'; Outlook Stable;
-- $231,945,000 class A-IO1 notional certificates 'AAAsf';
Outlook Stable;
-- $57,667,000 class A-IO2 notional certificates 'AAAsf';
Outlook Stable;
-- $289,612,000 class A-IO3 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $289,612,000 class A-IO4 notional certificates 'AAAsf';
Outlook Stable;
-- $289,612,000 class A-IO5 notional exchangeable certificates
'AAAsf'; Outlook Stable;
-- $3,451,000 class B-1 certificates 'AAsf'; Outlook Stable;
-- $7,418,000 class B-2 certificates 'Asf'; Outlook Stable;
-- $5,003,000 class B-3 certificates 'BBBsf'; Outlook Stable;
-- $3,623,000 class B-4 certificates 'BBsf'; Outlook Stable;
The 'AAAsf' rating on the senior certificates reflects the 10.00%
subordination provided by the 2.95% class A-M, 1.00% class B-1,
2.15% class B-2, 1.45% class B-3, 1.05% class B-4 and 1.40% class
B-5. The $10,179,000 class A-M certificates and $4,831,665 class
B-5 certificates will not be rated by Fitch.
Fitch's ratings reflect the high quality of the underlying
collateral, the clear capital structure and the high percentage of
loans reviewed by third party underwriters. In addition, Wells
Fargo Bank, N.A. will act as the master servicer and U.S. Bank
Trust N.A. will act as the trustee for the transaction. For
federal income tax purposes, elections will be made to treat the
trust as one or more real estate mortgage investment conduits
(REMICs).
This transaction includes the use of Pentalpha Surveillance LLC
(Pentalpha) as representation & warranties (R&W) breach reviewer
for the benefit of the trust. The securities administrator will
instruct Pentalpha to review any loan that satisfies the review
trigger. Pentalpha will review the loan using the breach
determination review procedures outlined in the transaction
documents to identify failures with respect to one or more of the
breach determination procedures. If a failure exists, Pentalpha
will determine whether or not the failure is material, based on
materiality conditions outlined in the transaction documents.
Pentalpha will then provide the final results of its review and
determination to the securities administrator.
JPMMT 2013-3 will be J.P. Morgan Mortgage Acquisition Corp.'s
third transaction of prime residential mortgages in 2013. The
certificates are supported by a pool of prime fixed-rate mortgage
loans, 87.9% of which are fully amortizing, with the remaining
12.1% containing a 10-year interest-only period. The aggregate
pool included loans originated or acquired by JPMorgan Chase Bank,
National Association (JPMCB, 44.5%), First Republic Bank (FRB,
38.4%) and other various mortgage lending institutions, each of
which contributed less than 10% to the transaction.
As of the cut-off date, the aggregate pool consisted of 389 loans
with a total balance of $345,048,665; an average balance of
$887,015; a weighted average original combined loan-to-value ratio
(CLTV) of 66.3%, and a weighted average coupon (WAC) of 3.8%.
Rate/Term and cash-out refinances account for 48.8% and 9.7% of
the loans, respectively. The weighted average original FICO credit
score of the pool is 769. Owner-occupied properties comprise 96.9%
of the loans. The states that represent the largest geographic
concentration are California (49.3%), New York (17.2%) and
Illinois (7.5%).
Key Rating Drivers
High-Quality Mortgage Pool: The collateral pool consists entirely
of 30-year fixed-rate mortgages (FRMs) to borrowers with strong
credit profiles and full documentation. Strong borrower quality is
reflected in the 769 weighted average (WA) original FICO, 66.3% WA
CLTV, $543,551 WA household income and $2.4 million WA liquid
reserves. In addition, third-party due diligence was conducted on
100% of the pool and the results indicated strong underwriting
controls.
Weak Representations and Warranties Framework: While the
transaction benefits from JPMCB, J.P. Morgan Mortgage Acquisition
Corp. (JPMMAC, rated 'A+/F1' by Fitch) and FRB (rated 'BBB+/F2')
as rep providers for approximately 98.2% of the pool, Fitch
believes the value of the R&W framework is diluted by the presence
of qualifying and conditional language, as well as by the
inclusion of sunset provisions, each of which substantially reduce
lender loan-breach liability. While the agency believes that the
high credit quality pool and clean diligence results mitigate the
R&W risks to some degree, Fitch considered the weaker framework in
its analysis.
High Geographic Concentration: The pools' primary concentration
risk is California, where 49% of the properties are located. In
addition, 54.6% of the properties are located in the pool's top
five regions, representing metropolitan statistical areas (MSAs)
in California, New York and Illinois. The pool has significant
regional concentrations that resulted in an additional penalty of
approximately 32% to the pool's lifetime default expectation.
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 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 in the
mortgage pool, Chicago-Joliet-Naperville, IL (6.5% of the mortgage
pool), Fitch's SHP model does not project declines in home prices.
Fitch conducted sensitivity analyses assuming sMVDs of 10%, 15%,
and 20% for this identified metropolitan area. The sensitivity
analyses 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 15.6% for this pool. The analysis indicates there
is some potential rating migration with higher MVDs, compared with
the model projection.
In its analysis, Fitch considered placing a greater emphasis on
recent economic performance in determining market value declines.
While Fitch's current loan loss model looks to three years of
historical data and one year of projections, this does not
incorporate recent notable economic improvement. To reflect the
more recent economic environment, a sensitivity analysis was
performed using two years of historical economic data and two
years of projections. The result of this sensitivity analysis was
included in the consideration of the loss expectations for this
transaction. This sensitivity analysis resulted in a base sMVD of
14.5%, down from 15.6%.
JP MORGAN 2013-C14: Fitch to Rate $22MM Class Ga Certificates 'B'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on the J.P. Morgan Chase
Commercial Mortgage Securities Trust, Series 2013-C14 commercial
mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $80,032,000 class A-1 'AAAsf'; Outlook Stable;
-- $278,327,000 class A-2 'AAAsf'; Outlook Stable;
-- $75,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $288,526,000 class A-4 'AAAsf'; Outlook Stable;
-- $81,821,000 class A-SB 'AAAsf'; Outlook Stable;
-- $80,371,000 class A-S 'AAAsf'; Outlook Stable;
-- $884,077,000b class X-A 'AAAsf'; Outlook Stable;
-- $121,991,000b class X-B 'A-sf'; Outlook Stable;
-- $76,065,000 class B 'AA-sf'; Outlook Stable;
-- $45,926,000 class C 'A-sf'; Outlook Stable;
-- $53,102,000 class Da 'BBB-sf'; Outlook Stable;
-- $11,482,000 class Ea 'BBB-sf'; Outlook Stable;
-- $12,916,000 class Fa 'BB+sf'; Outlook Stable;
-- $22,963,000 class Ga 'Bsf'; Outlook Stable.
a Privately placed pursuant to Rule 144A.
b Notional amount and interest only.
The expected ratings are based on information provided by the
issuer as of July 26, 2013. Fitch does not expect to rate the
$41,620,829 class NR or the $77,499,829 class X-C.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 45 loans secured by 89 commercial
properties having an aggregate principal balance of approximately
$1.148 billion as of the cutoff date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association and
Barclays Bank PLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.5% of the properties
by balance, cash flow analysis of 87.8%, and asset summary reviews
on 87.8% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.28x, a Fitch stressed loan-to-value (LTV) of 99.8%,
and a Fitch debt yield of 9.33%. Fitch's aggregate net cash flow
represents a variance of 5.72% to issuer cash flows.
Key Rating Drivers
Pool Concentration: The pool is more concentrated by loan size and
sponsor than average transactions from 2013, as evidenced by a
loan concentration index (LCI) of 484 and sponsor concentration
index (SCI) of 486. Also, the top 10 loans represent 61.4% of the
pool, which is higher than for 2013 transactions (at 54.3%).
High Retail Concentration: Retail properties represent the largest
concentration at 43.3% of the pool. This is higher than the 2012
and 2013 average retail concentration of 35.9% and 31.6%,
respectively. The next largest property type concentrations are
for hotel (14.7%), mixed use (14.1%), office (12.0%) and
industrial (11.1%).
Fitch Leverage: The transaction trust leverage is in line with the
average across 2013 conduit transactions, with a Fitch DSCR of
1.28x and Fitch LTV of 99.8%. The average DSCR and LTV for 2013
transactions are 1.36x and 99.8%, respectively.
Single-Tenant Properties/Increased Refinance Risk: Properties with
single or multiple but related tenants comprise 16.9% of the pool,
including two of the top 11 loans. Tenants occupying the two
larger loans have leases expiring during the term, creating
increased refinance risk.
Rating Sensitivities
Fitch performed two model-based break-even analyses to determine
the level of cash flow and value deterioration the pool could
withstand prior to $1 of loss being experienced by the 'BBB-sf'
and 'AAAsf' rated classes. Fitch found that the JPMCC 2013-C14
pool could withstand a 47.95% decline in value (based on appraised
values at issuance) and an approximately 34.06% decrease to the
most recent actual cash flow prior to experiencing $1 of loss to
the 'BBB-sf' rated class. Additionally, Fitch found that the pool
could withstand a 51.49% decline in value and an approximately
38.55% decrease in the most recent actual cash flow prior to
experiencing $1 of loss to any 'AAAsf' rated class.
The Master Servicer and Special Servicer will be Midland Loan
Services, Inc., rated 'CMS1' and 'CSS1', respectively, by Fitch.
JP MORGAN 2013-JWRZ: Rights Transfer No Impact on Moody's Ratings
-----------------------------------------------------------------
Moody's Investors Service was informed that the Holder of
Certificates evidencing a majority of the Voting Rights allocated
to the Controlling Class have designated Strategic Asset Services
LLC (SAS) as the successor Special Servicer and to replace Midland
Loan Services, A Division of PNC Bank National Association
(Midland) as the Special Servicer for the transaction. The
Proposed Special Servicer Replacement and Transfer will become
effective upon satisfaction of the conditions precedent set forth
in the governing documents.
Moody's has reviewed the Proposed Special Servicer Replacement
from Midland to SAS. Moody's has determined that this proposed
special servicing transfer will not, in and of itself, and at this
time, result in a downgrade or withdrawal of the current ratings
to any class of certificates rated by Moody's for J.P. Morgan
Chase Commercial Mortgage Securities Trust, Commercial Mortgage
Pass-Through Certificates, Series 2013-JWRZ. Moody's opinion only
addresses the credit impact associated with the proposed transfer
of special servicing rights. Moody's is not expressing any opinion
as to whether the this change has, or could have, other non-credit
related effects that may have a detrimental impact on the
interests of note holders and/or counterparties.
The last rating action for JPMCC 2013-JWRZ was taken on June 4,
2013.
The primary methodology used in monitoring this transaction was
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's will continue to monitor the ratings. Any change in the
ratings will be publicly disseminated by Moody's through
appropriate media.
On June 4, 2013, Moody's assigned definitive ratings to six
classes of CMBS securities, issued by JP Morgan Chase Commercial
Mortgage Securities Trust 2013-JWRZ, Commercial Mortgage Pass-
Through Certificates, Series 2013-JWRZ:
Cl. A, Definitive Rating Assigned Aaa (sf)
Cl. X-CP, Definitive Rating Assigned Baa3 (sf)
Cl. B, Definitive Rating Assigned Aa3 (sf)
Cl. C, Definitive Rating Assigned A3 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba3 (sf)
KKR FINANCIAL 2005-1: Moody's Ups Rating on Cl. F Notes From Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by KKR Financial CLO 2005-1, Ltd.:
$64,000,000 Class D Deferrable Mezzanine Secured Floating Rate
Notes Due April 26, 2017 (current outstanding balance of
$52,000,000), Upgraded to Aa3 (sf); previously on July 15, 2013
Upgraded to A3 (sf) and Placed Under Review for Possible
Upgrade (sf);
$15,000,000 Class E Deferrable Mezzanine Secured Floating Rate
Notes Due April 26, 2017, Upgraded to A3 (sf); previously on
July 15, 2013 Ba1 (sf) Placed Under Review for Possible Upgrade
(sf);
$5,000,000 Class F Deferrable Mezzanine Secured Floating Rate
Notes Due April 26, 2017, Upgraded to Baa2 (sf); previously on
July 15, 2013 Ba2 (sf) Placed Under Review for Possible Upgrade
(sf).
Moody's also affirmed the ratings of the following notes:
$615,000,000 Class A-1 Senior Secured Floating Rate Notes Due
April 26, 2017 (current outstanding balance of $83,497,768.58),
Affirmed Aaa (sf); previously on March 10, 2011 Upgraded to Aaa
(sf);
$58,000,000 Class B Senior Secured Floating Rate Notes Due
April 26, 2017, Affirmed Aaa (sf); previously on September 26,
2011 Upgraded to Aaa (sf);
$64,000,000 Class C Deferrable Mezzanine Secured Floating Rate
Notes Due April 26, 2017, Affirmed Aaa (sf); previously on July
15, 2013 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 October 2012. Moody's notes that the Class A-
1 Notes have been paid down by approximately 77.0% or $279.7
million since the last rating action. Based on the latest trustee
report dated July 16, 2013, the Senior, Class C/D and Class E
overcollateralization ratios are reported at 220.2%, 138.3% and
131.9%, respectively, versus October 2012 levels of 156.3%, 122.6%
and 119.2%, respectively. Moody's notes the reported July
overcollateralization ratios do not reflect the July 26, 2013
payment of $54.3 million to the Class A-1 Notes.
In taking the foregoing actions, Moody's also announced that it
had concluded its review of its ratings on the issuer's Class D
Notes, Class E Notes and Class F Notes announced on July 15, 2013.
At that time, Moody's said that it had upgraded and placed certain
of the issuer's ratings on review primarily as a result of
substantial deleveraging of the senior notes and increases in OC
ratios resulting from high rates of loan collateral prepayments
during the first half of 2013.
These actions also reflect a correction to Moody's modeling of the
overcollateralization tests. Due to an input error at the time of
the October 2012 rating action, Moody's did not include expected
recoveries from future defaults in the numerators of the
overcollateralization tests. This error has now been corrected,
and these rating actions reflect this change.
Moody's notes that the underlying portfolio includes a number of
investments in securities that mature after the maturity date of
the notes. Based on the July 2013 trustee report, securities that
mature after the maturity date of the notes currently make up
approximately 35.7% 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.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a performing par balance of
$341.9 million, defaulted par of $51.8 million, a weighted average
default probability of 17.26% (implying a WARF of 2756), a
weighted average recovery rate upon default of 50.93%, and a
diversity score of 14. The default and recovery properties of the
collateral pool are incorporated in cash flow model analysis where
they are subject to stresses as a function of the target rating of
each CLO liability being reviewed. The default probability is
derived from the credit quality of the collateral pool and Moody's
expectation of the remaining life of the collateral pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the collateral pool.
In each case, historical and market performance trends and
collateral manager latitude for trading the collateral are also
factors.
KKR Financial CLO 2005-1, Ltd., issued in March 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (2205)
Class A-1: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +1
Class F: +2
Moody's Adjusted WARF + 20% (3307)
Class A-1: 0
Class B: 0
Class C: 0
Class D: -1
Class E: -1
Class F: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
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. In consideration of the size of the deal's exposure
to long-dated assets, which increases its sensitivity to the
liquidation assumptions used in the rating analysis, Moody's ran
different scenarios considering a range of liquidation value
assumptions. However, actual long-dated asset exposure and
prevailing market prices and conditions at the CLO's maturity will
drive the extent of the deal's realized losses, if any, from long-
dated assets.
LB COMMERCIAL 1999-C1: Moody's Affirms 'C' Rating on Cl. J Certs
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed three classes of LB Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 1999-C1 as follows:
Cl. F, Upgraded to Aaa (sf); previously on May 20, 2011 Upgraded
to A2 (sf)
Cl. G, Upgraded to Baa1 (sf); previously on Dec 13, 2012
Downgraded to B1 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Dec 13, 2012 Downgraded
to Caa3 (sf)
Cl. J, Affirmed C (sf); previously on Oct 28, 2010 Downgraded to C
(sf)
Cl. X, Affirmed Caa2 (sf); previously on Feb 22, 2012 Downgraded
to Caa2 (sf)
Ratings Rationale:
The upgrades of two P&I classes are due to increased credit
support from paydowns and amortization as well as upcoming
maturity of a defeased loan. The pool has paid down by 32% since
Moody's last review.
The affirmations of two P&I classes are due to the ratings being
consistent with Moody's expected loss. Depending on the timing of
loan payoffs and the severity and timing of losses from specially
serviced loans, the credit enhancement level for investment grade
classes could decline below the current levels. If future
performance materially declines, the expected level of credit
enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
The rating of the IO Class, Class X, is consistent with the
expected credit performance of its referenced classes and thus is
affirmed.
Moody's rating action reflects a base expected loss of 16.5% of
the current balance compared to 21.6% at last review.
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 methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
In rating this transaction, Moody's also used its credit-tenant
lease (CTL) financing methodology approach (CTL approach). Under
Moody's CTL approach, the rating of the CTL component is primarily
based on the senior unsecured debt rating (or the corporate family
rating) of the tenant, usually an investment grade rated company,
leasing the real estate collateral supporting the bonds. This
tenant's credit rating is the key factor in determining the
probability of default on the underlying lease. The lease
generally is "bondable", which means it is an absolute net lease,
yielding fixed rent paid to the trust through a lock-box,
sufficient under all circumstances to pay in full all interest and
principal of the loan. The leased property should be owned by a
bankruptcy-remote, special purpose borrower, which grants a first
lien mortgage and assignment of rents to the securitization trust.
The dark value of the collateral, which assumes the property is
vacant or "dark", is then examined to determine a recovery rate
upon a loan's default. Moody's also considers the overall
structure and legal integrity of the transaction. For deals that
include a pool of credit tenant loans, Moody's currently uses a
Gaussian copula model, incorporated in its public CDO rating model
CDOROMv2.8-8 to generate a portfolio loss distribution to assess
the ratings.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 3 compared to 5 at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated December 13, 2012.
Deal Performance:
As of the July 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $56.0
million from $1.6 billion at securitization. The Certificates are
collateralized by 24 mortgage loans ranging in size from less than
1% to 30% of the pool, with the top ten loans representing 59% of
the pool. Four loans, representing 41% of the pool, have defeased
and are secured by U.S. Government securities. Defeasance at last
review represented 29% of the pool. The pool contains a Credit
Tenant Lease (CTL) component that represents 30% of the pool.
Two loans, representing 6% of the pool, is on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Thirty-one loans have been liquidated from the pool since
securitization resulting in an aggregate $37.9 million loss (33%
loss severity on average). One loan, Washington Place Shopping
Center ($5.3 million -- 10% of the pool), is in special servicing.
This loan is secured by a multi-tenant shopping center located in
Indianapolis, Indiana. This property is currently under contract
through an REO auction and is expected to close in early August.
Moody's has assumed a significant loss for this loan.
Moody's was provided with both full year 2011 and partial year
2012 operating results for 100% of the performing pool. Excluding
the specially serviced loan, Moody's weighted average LTV is 71%
compared to 73% at last review. Moody's net cash flow reflects a
weighted average haircut of 10% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.6%.
Excluding the specially serviced and troubled loan, Moody's actual
and stressed DSCRs are 1.22X and 1.64X, respectively, compared to
1.20X and 1.55X, respectively, at last review. Moody's actual DSCR
is based on Moody's net cash flow (NCF) and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The top three performing conduit loans represent 15% of the pool
balance. The largest conduit loan is the Kohl's Shopping Center
Loan ($4.8 million -- 9% of the pool), which is secured by a
101,964 square foot (SF) retail center located in suburban
Knoxville, Tennessee. The property was 100% leased as of April
2013, the same as at the prior review. Kohl's Department Store
leases 86% of the net rentable area (NRA) through February 2019.
Moody's LTV and stressed DSCR are 68% and 1.50X, respectively,
compared to 73% and 1.41X at last review.
The second largest loan is the Spalding Shopping Center ($1.8
million -- 3% of the pool), which is secured by a 58,973 SF retail
center located 25 miles from Atlanta's CBD. The property was 86%
least as of April 2013, the same as at last review. This loan is
currently on the watchlist due to a decline in occupancy from Best
Thrift (22% of the NRA) vacating in June 2011, however, Jump has
occupied this entire space starting in February 2013. The loan
fully amortizes over its term. Moody's LTV and stressed DSCR are
72% and 1.58X, respectively, compared to 65% and 1.76X at last
review.
The third largest loan is the Office Max -- Grand Forks ($1.6
million -- 3% of the pool), which is secured by a 23,500 SF
single-tenant retail property occupied by OfficeMax located in
Grand Forks, North Dakota. OfficeMax has recently extended its
lease through September 30, 2018. Moody's LTV and stressed DSCR
are 97% and 1.17X, respectively, compared to 97% and 1.17X at last
review.
The CTL component includes 13 loans secured by properties leased
under bondable leases. Moody's provides public ratings for 73% of
the CTL component and an internal credit assessment on the
remainder of the loans. The largest exposures include Rite Aid
Corp. (51% of the CTL component, Moody's senior unsecured rating
Caa2 -- stable outlook) and CVS/Caremark (22% of the CTL
component; Moody's senior unsecured rating Baa2 -- positive
outlook). The bottom dollar WARF of the CTL component is 4079
compared to 3977 at last review.
LB-UBS COMMERCIAL 2004-C6: Fitch Cuts Rating on Cl. J Certs to 'C'
------------------------------------------------------------------
Fitch Ratings has downgraded four classes and affirmed 11 classes
of LB-UBS Commercial Mortgage Trust commercial mortgage pass-
through certificates, series 2004-C6.
Key Rating Drivers
The downgrades reflect an increase in expected losses associated
with the specially serviced loans. Fitch modeled losses of 8.7% of
the remaining pool; expected losses on the original pool balance
total 5.5%. The pool has experienced $11.4 million (0.85% of the
original pool balance) in realized losses to date. Fitch has
designated 14 loans (20.1%) as Fitch Loans of Concern, which
includes five specially serviced assets (9.9%).
As of the July 2013 distribution date, the pool's aggregate
principal balance has been reduced by 47.1% to $712.9 million from
$1.35 billion at issuance. Seven loans are currently defeased
(37.3) including the largest loan in the pool, the Northshore
Mall, which defeased following the July remittance. Interest
shortfalls are currently affecting classes H through T.
Rating Sensitivities
Rating Outlooks on classes A-5 through C remain Stable due to
increasing credit enhancement from continued paydown and
defeasance. The Negative Outlooks on classes D, E, F, and G
reflect the thin supporting tranches, as well as the concentration
of upcoming loan maturities over the next 12 to 18 months, which
make these bonds susceptible to downgrade should loans not
refinance or if losses exceed Fitch expectations. The distressed
classes (those rated below 'B-sf') are subject to further
downgrades as losses are realized.
The largest contributor to expected losses is secured by a seven-
building office property totaling 471,442 square feet (sf) in
Atlanta, GA (4.79% of the pool). The loan had originally
transferred to special servicing in November 2009 upon the
borrowers request for a loan modification. The property saw a
significant decline in performance when the largest tenant,
representing 38% of net rentable area (NRA), vacated in February
2011. The loan became lender real estate owned (REO) in February
2012. The property is 50% occupied as of the June 2013 rent roll.
The servicer is actively working to lease and stabilize the
property.
The next largest contributor to expected losses is secured by a
176,240 sf office tower located in Bakersfield, CA (2.9%). The
asset had transferred to special servicing in December 2009 for
payment default. The loan became REO in February 2013. The June
2013 rent roll reported occupancy at 87%. Chevron (33.5% NRA) is
the largest tenant with a five year lease beginning in February
2012. The servicer is working to stabilize the property, and
eventually market for sale.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs):
-- $15.1 million class F to 'BBsf' from 'BBB-sf', Outlook
Negative;
-- $11.8 million class G to 'B-sf' from 'Bsf', Outlook Negative;
-- $11.8 million class H to 'CCsf' from 'CCCsf', RE 60%;
-- $8.4 million class J to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes and revises the Rating Outlook
on class D as indicated:
-- $13.6 million class A-5 at 'AAAsf', Outlook Stable;
-- $470.1 million class A-6 at 'AAAsf', Outlook Stable;
-- $75.7 million class A-1A at 'AAAsf', Outlook Stable;
-- $13.5 million class B at 'AA+sf', Outlook Stable;
-- $23.6 million class C at 'AAsf', Outlook Stable;
-- $15.1 million class D at 'AA-sf', Outlook to Negative from
Stable;
-- $13.5 million class E at 'Asf', Outlook Negative.
-- $16.8 million class K at 'Csf', RE 0%;
-- $1.7 million class L at 'Csf', RE 0%;
-- $6.7 million class M at 'Csf', RE 0%;
-- $5 million class N at 'Csf', RE 0%.
The class A-1, A-2, A-3 and A-4 certificates have paid in full.
Fitch does not rate the class P, Q, S and T certificates. Fitch
previously withdrew the ratings on the interest-only class XCL and
XCP certificates.
LIME STREET: Moody's Affirms B1 Rating on $12.6MM Class E Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Lime Street CLO, Ltd.:
$290,000,000 Class A Senior Floating Rate Notes Due 2021, Upgraded
to Aaa (sf); previously on August 30, 2011 Upgraded to Aa1 (sf);
$30,000,000 Class B Senior Floating Rate Notes Due 2021, Upgraded
to Aa3 (sf); previously on August 30, 2011 Upgraded to A2 (sf);
and
$22,000,000 Class C Deferrable Floating Rate Notes Due 2021,
Upgraded to Baa1 (sf); previously on August 30, 2011 Upgraded to
Baa2 (sf).
Moody's also affirmed the ratings of the following notes:
$15,000,000 Class D Deferrable Floating Rate Notes Due 2021,
Affirmed Ba2 (sf); previously on August 30, 2011 Upgraded to Ba2
(sf); and
$12,600,000 Class E Deferrable Floating Rate Notes Due 2021,
Affirmed B1 (sf); previously on August 30, 2011 Upgraded to B1
(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 September 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 higher weighted average spread and
weighted average recovery rate. Moody's modeled a weighted average
spread and a weighted average recovery rate of 3.90% and 49.39%,
respectively.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $378.5 million, defaulted par of $15.3
million, a weighted average default probability of 22.90%
(implying a WARF of 2953), a weighted average recovery rate upon
default of 49.39%, and a diversity score of 60. The default and
recovery properties of the collateral pool are incorporated in
cash flow model analysis where they are subject to stresses as a
function of the target rating of each CLO liability being
reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Lime Street CLO, Ltd., issued in August 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (2362)
Class A: 0
Class B: +2
Class C: +2
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (3543)
Class A: 0
Class B: -2
Class C: -2
Class D: 0
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.
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.
LONG BEACH 2002-1: Moody's Hikes Rating on Cl. II-M1 Debt to Ba3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two
tranches, and confirmed the ratings of two tranches backed by
Subprime loans, issued by Long Beach Mortgage Loan Trust.
Complete rating actions are as follows:
Issuer: Long Beach Mortgage Loan Trust 2001-4, Asset Backed
Certificates, Series 2001-4
Cl. II-A1, Confirmed at Aa1 (sf); previously on May 8, 2013 Aa1
(sf) Placed Under Review Direction Uncertain
Cl. II-A3, Confirmed at Aa1 (sf); previously on May 8, 2013 Aa1
(sf) Placed Under Review Direction Uncertain
Cl. II-M1, Upgraded to B1 (sf); previously on May 8, 2013 B3 (sf)
Placed Under Review Direction Uncertain
Issuer: Long Beach Mortgage Loan Trust 2002-1
Cl. II-M1, Upgraded to Ba3 (sf); previously on May 8, 2013 B3 (sf)
Placed Under Review Direction Uncertain
Ratings Rationale:
The action is a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
In addition, the rating actions reflect correction of errors in
the Structured Finance Workstation (SFW) cash flow model
previously used by Moody's in rating this transaction.
In prior rating actions for Long Beach Mortgage Loan Trust 2001-4
and Long Beach Mortgage Loan Trust 2002-1, the excess cash flow
waterfall was calculated incorrectly. In prior rating actions for
Long Beach Mortgage Loan Trust 2001-4, the overcollateralization
target was also coded incorrectly. Due to the discovery of these
errors, four tranches were place on review on May 8, 2013. The
errors have now been corrected, and these rating actions reflect
these changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
MERRILL LYNCH 2005-1: Moody's Cuts Cl. 2-A-2 RMBS Rating to Caa2
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of four
tranches, upgraded the rating of one tranche, and confirmed the
ratings of three tranches backed by Prime Jumbo RMBS loans, issued
by Merrill Lynch.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-1
Cl. 1-A, Confirmed at B2 (sf); previously on May 9, 2013 B2 (sf)
Placed Under Review Direction Uncertain
Cl. 2-A-1, Confirmed at B1 (sf); previously on May 9, 2013 B1 (sf)
Placed Under Review Direction Uncertain
Cl. 2-A-2, Confirmed at Ba3 (sf); previously on May 9, 2013 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. 2-A-3, Downgraded to Caa2 (sf); previously on May 9, 2013 Caa1
(sf) Placed Under Review Direction Uncertain
Cl. 2-A-5, Upgraded to B1 (sf); previously on May 9, 2013 B2 (sf)
Placed Under Review Direction Uncertain
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2005-B
Cl. A-1, Downgraded to Ba2 (sf); previously on May 7, 2013 Ba1
(sf) Placed Under Review Direction Uncertain
Cl. A-2, Downgraded to Ba2 (sf); previously on May 7, 2013 Ba1
(sf) Placed Under Review Direction Uncertain
Cl. X-A, Downgraded to Ba2 (sf); previously on May 7, 2013 Ba1
(sf) Placed Under Review Direction Uncertain
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. In addition, these actions reflect correction of errors
in the cash flow models used by Moody's in rating these
transactions. In prior rating actions for Merrill Lynch Mortgage
Investors Trust MLCC 2005-B, the model underestimated the amount
of interest paid to Classes X-A and X-B and miscalculated the
principal payments from cross collateralization to senior bonds in
the under-collateralized group. As a result, the ratings of three
tranches were placed on review direction uncertain on May 7, 2013.
In prior rating actions for Merrill Lynch Mortgage Investors Trust
MLCC 2005-1, the senior percentage calculation was incorrect and
therefore principal payable to the senior bonds was miscalculated.
As a result, the ratings of five tranches were placed on review
direction uncertain on May 9, 2013. These errors have now been
corrected, and these ratings actions reflect these changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
MILLENNIUM PARK I: Moody's Hikes Rating on Cl. C Notes to Caa3
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Millennium Park CDO I, Ltd.:
$1,740,000,000 Class A-1 Contingent Funding Notes Due March 21,
2014 (current outstanding balance of $1,689,673,704), Upgraded to
Aa3 (sf); previously on May 9, 2013 Baa2 (sf) Placed Under Review
for Possible Upgrade;
$95,000,000 Class A-2 Floating Rate Notes Due March 21, 2014,
Upgraded to B2 (sf); previously on May 9, 2013 Caa3 (sf) Placed
Under Review for Possible Upgrade;
$50,000,000 Class B Floating Rate Notes Due March 21, 2014,
Upgraded to Caa2 (sf); previously on May 9, 2013 Ca (sf) Placed
Under Review for Possible Upgrade;
$20,000,000 Class C Floating Rate Notes Due March 21, 2014
(current outstanding balance of $21,989,842), Upgraded to Caa3
(sf); previously on May 9, 2013 C (sf) Placed Under Review for
Possible Upgrade.
Moody's also confirmed the rating of the following notes:
$35,000,000 Class D Floating Rate Notes Due March 21, 2014
(current outstanding balance of $41,146,438), Confirmed at C (sf);
previously on May 9, 2013 C (sf) Placed Under Review for Possible
Upgrade.
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are a
result of the level of credit enhancement remaining in the
portfolio relative to the time to maturity of the notes as well as
applying revised CLO assumptions described in "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013. Moody's also announced that it had concluded its review
of its ratings on the issuer's Class A-1 Notes, Class A-2 Notes,
Class B Notes, Class C Notes and Class D Notes announced on May 9,
2013.
Moody's notes that the transaction has a remaining time to
maturity of 0.6 years. In order for the Class B Notes and Class C
Notes to experience losses, credit event losses from the reference
pool would have to exceed $30 million and $8 million,
respectively, between now and the maturity date of the
transaction.
These actions also reflect key changes to modeling assumptions
applied by Moody's in its methodology for rating CLOs and CBOs,
which impact transactions that have material exposure to
obligations other than first-lien loans. As part of the
methodology announced on May 9, 2013, Moody's uses its corporate
family rating, when available, to determine the default
probability of both first-lien loans and other less common
instruments, including senior secured, senior unsecured and
subordinated bonds, senior secured floating rate notes, as well as
second-lien and senior unsecured loans. Moody's also harmonized
its recovery rate treatment of senior secured bonds, second-lien
loans and senior secured floating rate notes as one group, and
senior unsecured loans, senior unsecured bonds and subordinated
bonds as another. In the case of Millennium Park CDO I, Ltd., the
methodology update resulted in Moody's assuming a lower weighted
average rating factor (WARF) and weighted average recovery rate
(WARR) in its analysis when compared to the previous methodology.
In addition, as a result of the failure of Class A/B Par Value
Test, excess interest will continue to be diverted towards
reducing the commitment of the Class A-1 Notes. The failure of
this test has resulted in the deferral of interest payments on the
Class C Notes and the Class D Notes since January 2009.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and may be different from the trustee's
reported numbers. In its base case, Moody's analyzed the
underlying collateral pool to have a total notional balance of
$1.84 billion, a weighted average default probability of 0.97%
(implying a WARF of 1120) and a WARR upon default of 21.94%. The
default and recovery properties of the collateral pool are
incorporated in the 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.
Millennium Park CDO I, Ltd., issued in March 2007, is a
collateralized bond obligation backed primarily by a synthetic
portfolio of corporate bonds with originally investment grade
ratings.
The methodologies used in this rating were "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013, and "Moody's Approach to Rating Collateralized Corporate
Synthetic Obligations" published in September 2009.
This publication, "Moody's Global Approach to Rating
Collateralized Loan Obligations" (May 2013), incorporates rating
criteria that apply to both collateralized loan obligations and
collateralized bond obligations.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the default distribution of the reference
obligations. Within this framework, defaults are generated so that
they occur with the frequency indicated by the adjusted default
probability pool for each reference obligation.
Once the default distribution for the collateral has been
calculated, each scenario is associated with the interest and
principal received by the rated liability classes via the CDOEdge
cash-flow model. The Expected Loss (EL) for each tranche is the
weighted average of losses to each tranche across all the
scenarios, where the weight is the likelihood of the scenario
occurring. Moody's defines the loss as the shortfall in the
present value of cash flows to the tranche relative to the present
value of the promised cash flows. The present values are
calculated using the promised tranche coupon rate as the discount
rate. For floating rate tranches, the discount rate is based on
the promised spread over Libor and the assumed Libor scenario.
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% (896)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: 0
Moody's Adjusted WARF + 20% (1344)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C: 0
Class D: 0
Moody's notes that this transaction is subject to performance
uncertainties including (a) variations over time in default rates
for instruments with a given rating, (b) variations in recovery
rates for instruments with particular seniority/security
characteristics and (c) the default and recovery correlations
characteristics of the reference pool.
MMCAPS FUNDING XVII: S&P Raises Rating on Class A-2 Notes to BB-
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and B notes from MMCapS Funding XVII Ltd., a U.S.
collateralized bond obligation (CBO) transaction, backed by trust
preferred securities (TruPs) and mainly issued by financial
institutions. At the same time, S&P removed the class A-1 note
rating from CreditWatch with positive implications, where S&P
placed it on May 17, 2013.
The upgrades reflect paydowns to the class A-1 notes and an
improvement in the credit support available to the notes since S&P
last upgraded the class A-1 and A-2 notes in June 2012, following
an update to S&P's criteria for rating CDOs backed by bank trust
preferred securities. Since then, and after taking into account
the June 2013 distribution, the transaction has paid down the
class A-1 notes by approximately $26.35 million, leaving the notes
at 58.0% of their original balance.
The upgrades also reflect an improvement in the
overcollateralization (O/C) available to the notes, mainly due to
the aforementioned paydowns, since the most recent rating action.
The trustee reported the following O/C ratios in the May 2013
monthly report:
-- The class A/B O/C ratio was 139.01%, compared with a
reported ratio of 129.81% in May 2012.
-- The class C O/C ratio was 93.78%, compared with a reported
ratio of 93.47% in May 2012.
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
RATINGS RAISED
MMCapS Funding XVII Ltd.
Rating Rating
Class To From
A-2 BB- (sf) CCC+ (sf)
B CCC (sf) CCC-(sf)
RATING RAISED; REMOVED FROM CREDITWATCH
MMCapS Funding XVII Ltd.
Rating
Class To From
A-1 BB+ (sf) B+ (sf)/Watch Pos
MORGAN STANLEY 1999-RM1: Moody's Ups Rating on Cl. X Certs to Caa1
------------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class,
affirmed one class and downgraded one class of Morgan Stanley
Mortgage Capital I Inc., Commercial Mortgage Pass-Through
Certificates, Series 1999-RM1 as follows:
Cl. M, Upgraded to Baa3 (sf); previously on Mar 14, 2013 Affirmed
B1 (sf)
Cl. N, Affirmed Caa3 (sf); previously on Mar 14, 2013 Affirmed
Caa3 (sf)
Cl. X, Downgraded to Caa3 (sf); previously on Mar 14, 2013
Affirmed Caa1 (sf)
Ratings Rationale:
The upgrade of one P&I class is due to increased credit support
from paydowns and amortization. The pool has paid down by 63%
since Moody's last review.
The rating of Class N is consistent with Moody's expected loss and
thus is affirmed. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for investment grade classes could
decline below the current levels. If future performance materially
declines, the expected level of credit enhancement and the
priority in the cash flow waterfall may be insufficient for the
current ratings of these classes.
The downgrade of the IO Class, Class X, is due to the decline in
credit performance of its referenced classes due to the paydown of
highly rated classes.
Moody's rating action reflects a base expected loss of 2.6% of the
current balance, compared to 1.5% at last review. Moody's base
expected loss plus realized losses is now 1.7% of the original
balance, the same as last review.
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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 7 compared to 12 at last review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated March 14, 2013.
Deal Performance:
As of the July 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $14.9
million from $859.4 million at securitization. The Certificates
are collateralized by 14 mortgage loans ranging in size from less
than 1% to 19% of the pool, with the top ten loans representing
85% of the pool. Two loans, representing 14% of the pool, have
defeased and are secured by U.S. Government securities.
Seven loans, representing 29% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of its
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
Fifteen loans have been liquidated from the pool since
securitization resulting in an aggregate $14.4 million loss (24%
loss severity on average). There are currently no loans in special
servicing.
Moody's was provided with both full year 2011 and partial year
2012 operating results for 100% of the pool. Moody's weighted
average LTV is 49% compared to 51% at last review. Moody's net
cash flow reflects a weighted average haircut of 12% to the most
recently available net operating income. Moody's value reflects a
weighted average capitalization rate of 9.9%.
Moody's actual and stressed DSCRs are 1.25X and 2.83X,
respectively, compared to 1.45X and 2.38X, respectively, at last
review. Moody's actual DSCR is based on Moody's net cash flow
(NCF) and the loan's actual debt service. Moody's stressed DSCR is
based on Moody's NCF and a 9.25% stressed rate applied to the loan
balance.
The top three performing conduit loans represent 47% of the pool
balance. The largest conduit loan is the Print Pack Buildings loan
($2.8 million -- 19% of the pool), which is secured by a 149,302
square foot (SF) industrial property located in Williamsburg,
Virginia. The property has been 100% occupied by Print Pack since
securitization. The lease expires in February 2018. Moody's LTV
and stressed DSCR are 55% and 2.06X, respectively, compared to 56%
and 2.03X at last review.
The second largest conduit loan is the Springrove Mobile Home Park
loan ($2.1 million -- 14% of the pool), which is secured by a 424
unit mobile home park located in Springfield Township, Missouri.
The property is currently on the watchlist due to low DSCR from a
decrease in occupancy and an increase in expenses. Moody's LTV and
stressed DSCR are 44% and 2.32X, respectively, compared to 41% and
2.51X at last review.
The third largest conduit loan is the Claremont Commons loan ($2.1
million -- 14% of the pool), which is secured by a which is
secured by a 37,023 SF retail property located in Claremont, North
Carolina. Lowe's Food Store occupies 87% of the center with a
lease expiration in March 2018. Moody's LTV and stressed DSCR are
78% and 1.31X, respectively, compared to 79% and 1.30X at last
review.
MORGAN STANLEY 2007-TOP25: Fitch Affirms D Rating on Class F Certs
------------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of Morgan Stanley Capital I
Trust 2007-TOP25 (MSCI 2007-TOP25).
Key Rating Drivers
Fitch modeled losses of 8.6% of the remaining pool; expected
losses on the original pool balance total 12.1%, including $71.4
million (4.6% of the original pool balance) in realized losses to
date. Fitch has designated 65 loans (31.3%) as Fitch Loans of
Concern, which includes seven specially serviced assets (1.9%).
Approximately 40% of the top 15 loans in the pool consist of
retail properties. Sales information was not provided by the
servicer, and Fitch made conservative assumptions in its modeling
on these loans.
As of the July 2013 distribution date, the pool's aggregate
principal balance has been reduced by 12.7% to $1.36 billion from
$1.55 billion at issuance. Interest shortfalls are currently
affecting classes F through P.
The largest contributor to expected losses is the Mount Pleasant
Towne Centre loan (7% of the pool), which is the largest loan in
the pool. The collateral consists of a 443,521 square foot (sf)
retail center located in Mount Pleasant, SC. As of the March 2013
rent roll, the property was 95.9% occupied. Approximately 40% of
the tenancy rolls before the loan's maturity in December 2016.
The next largest contributor to expected losses is the Shoppes at
Park Place loan (5.2%), which is secured by a 325,270 sf retail
center located in Pinellas Park, FL. As of the March 2013 rent
roll, the property was 98.9% occupied. However, nearly half of the
total property square footage has lease expirations prior to the
loan's maturity in January 2017. Further, the average rent at the
property is above market levels.
The third largest contributor to expected losses is the Shops at
Kildeer loan (2.4%), which is secured by a 167,477 sf retail
center located in Kildeer, IL. As of the March 2013 rent roll, the
property was 100% occupied. However, the servicer-reported 2012
debt service coverage ratio was 1.05x.
Rating Sensitivity
The ratings on the senior classes A-1A through A-3 are expected to
remain stable. Class A-M is subject to downgrade should expected
losses increase in the future. The distressed classes are subject
to further downgrade as losses are realized.
Fitch affirms the following classes but assigns or revises Rating
Outlooks and REs as indicated:
-- $155.5 million class A-M at 'Asf', Outlook to Negative from
Stable;
-- $110.8 million class A-J at 'CCCsf', RE 80%.
Fitch affirms the following classes as indicated:
-- $133.2 million class A-1A at 'AAAsf', Outlook Stable;
-- $48.9 million class A-2 at 'AAAsf', Outlook Stable;
-- $42.8 million class A-AB at 'AAAsf', Outlook Stable;
-- $784.4 million class A-3 at 'AAAsf', Outlook Stable;
-- $27.2 million class B at 'CCCsf', RE 0%;
-- $11.7 million class C at 'CCCsf', RE 0%;
-- $25.3 million class D at 'CCsf', RE 0%;
-- $11.7 million class E at 'Csf', RE 0%;
-- $5.4 million class F at 'Dsf', RE 0%;
-- $0 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%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class O at 'Dsf', RE 0%.
Class A-1 has paid in full. Fitch does not rate the class P
certificates. Fitch previously withdrew the rating on the
interest-only class X certificates.
MORGAN STANLEY 2012-C5: Moody's Affirms B1 Rating on Cl. X-C Certs
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 16 classes of
Morgan Stanley Bank of America Merrill Lynch Trust, Commercial
Mortgage Pass-Through Certificates, Series 2012-C5 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aa2 (sf)
Cl. PST, Affirmed A1 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned A1 (sf)
Cl. C, Affirmed A2 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Ba2 (sf)
Cl. G, Affirmed Ba3 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Ba3 (sf)
Cl. H, Affirmed B2 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed Aa2 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned Aa2 (sf)
Cl. X-C, Affirmed B1 (sf); previously on Aug 3, 2012 Definitive
Rating Assigned B1 (sf)
Ratings Rationale:
The affirmations of the P&I bonds are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on Moody's current base
expected loss, the credit enhancement levels for the affirmed
classes are sufficient to maintain their current ratings.
Depending on the timing of loan payoffs and the severity and
timing of losses from specially serviced loans, the credit
enhancement level for rated classes could decline below the
current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The ratings of the interest-only (IO) classes, Class X-A, X-B and
X-C, are consistent with the expected credit performance of each
IO bond's referenced classes and thus are affirmed.
This is Moody's first full review of MSBAM 2012-C5. Moody's rating
action reflects a base expected loss of 2.5% of the current
balance. 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 in the 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 principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 23, the same as at securitization.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. This is Moody's first full
monitoring review of this transaction.
Deal Performance:
As of the July 17, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.3 billion
from $1.4 billion at securitization. The Certificates are
collateralized by 71 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans representing 54% of
the pool. The pool contains two loans with investment grade credit
assessments, representing 12% of the pool.
No loans are on the master servicer's watchlist and no loans have
been liquidated from the pool. There are no loans in special
servicing.
Moody's was provided with full year 2012 operating results for 78%
of the pool. Moody's weighted average conduit LTV is 101% compared
to 105% at securitization. Moody's net cash flow reflects a
weighted average haircut of 7% to the most recently available net
operating income. Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.48X and 1.05X,
respectively, compared to 1.41X and 1.0X at securitization.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The largest loan with a credit assessment is the Silver Sands
Factory Stores Loan ($100.0 million -- 7.5% of the pool), which is
secured by a 440,000 square foot (SF) outlet center located in
Miramar Beach, Florida. The largest tenants include Saks Fifth
Avenue Off Fifth (7% of the net rentable area (NRA); lease
expiration May 2014) and Polo Ralph Lauren (4% of the NRA; lease
expiration December 2020). As of December 2012 the property was
83% leased compared to 89% at securitization. Since the start of
2011, 22 new leases have been signed at the property. The loan is
interest only for the entire ten-year term. Moody's credit
assessment and stressed DSCR are Baa3 and 1.39X, respectively,
same as at securitization.
The second largest loan with a credit assessment is the 635
Madison -- Leased Fee Loan ($64.0 million -- 4.8% of the pool),
which is secured by a first priority fee mortgage on the land
beneath 635 Madison Avenue in Manhattan. The land is improved with
a 19-story office building leased primarily to medical tenants.
The ground lease is dated April 25, 1955 and the ground lessee
exercised its 2nd renewal option on May 1, 2009 extending the
ground lease to April 30th, 2030 (annual ground rent payment
$3,677,574) with one remaining option to extend for a third term
of 21 years through April 30th, 2051. The ground lessee is
responsible for all taxes, common charges, operating expenses and
insurance related to the property. Moody's credit assessment is
Baa3, same as at securitization.
The top three conduit loans represent 26% of the pool. The largest
conduit loan is the Legg Mason Tower Loan ($180.0 million -- 13.4%
of the pool), which is secured by a 610,000 SF, 24-story Class A
office building located in Baltimore, Maryland. The property is
currently 83% leased compared to 85% at securitization. The
largest tenant is Legg Mason which leases 61% of the NRA through
August 2024. Moody's LTV and stressed DSCR are 107% and 0.91X,
respectively, the same as at securitization.
The second largest conduit loan is the US Bank Tower Loan ($88.7
million -- 6.6% of the pool), which is secured by a 520,000 SF,
Class A office building located in the CBD of Denver, Colorado. As
of December 2012 the property was 93% leased compared to 89% at
securitization. The largest tenant is US Bank which leases 28% of
the NRA through December 2016. Moody's LTV and stressed DSCR are
110% and 1.33X, respectively, compared to 112% and 1.33X at
securitization.
The third largest conduit loan is the Hamilton Town Center Loan
($84.0 million -- 6.3% of the pool), which is secured by a 490,000
SF lifestyle center located in Noblesville, Indiana. The property
was constructed in 2008 and was 94% leased as of December 2012
compared to 89% at securitization. The largest tenants include
Dick's Sporting Goods (9% of the NRA; lease expiration January
2019), Stein Mart (7% of the NRA; lease expiration April 2018) and
Bed Bath & Beyond (5% of the NRA; lease expiration January 2019).
The loan is interest only for the first three years. Moody's LTV
and stressed DSCR are 85% and 1.17X, respectively, same as at
securitization.
MORGAN STANLEY 2013-C11: Fitch to Rate $20.3MM Class G Notes 'B'
----------------------------------------------------------------
Fitch Ratings has issued a presale report on Morgan Stanley Bank
of America Merrill Lynch Trust, series 2013-C11 commercial
mortgage trust pass-through certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $53,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $142,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $72,980,000 class A-AB 'AAAsf'; Outlook Stable;
-- $125,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $206,448,000 class A-4 'AAAsf'; Outlook Stable;
-- $648,667,000* class X-A 'AAAsf'; Outlook Stable;
-- $49,239,000b class A-S 'AAAsf'; Outlook Stable;
-- $61,013,000b class B 'AA-sf'; Outlook Stable;
-- $144,505,000b class PST 'A-sf'; Outlook Stable;
-- $34,253,000b class C 'A-sf'; Outlook Stable;
-- $38,535,000a class D 'BBB-sf'; Outlook Stable;
-- $9,634,000a class E 'BBB-sf'; Outlook Stable;
-- $8,563,000a class F 'BB+sf'; Outlook Stable;
-- $20,338,000a class G 'Bsf'; Outlook Stable.
* Notional amount and interest only.
a Privately placed pursuant to Rule 144A.
b Class A-S, class B and class C certificates may be exchanged for
class PST Certificates, and class PST Certificates may be
exchanged for class A-S, class B and class C certificates.
The expected ratings are based on information provided by the
issuer as of July 24, 2013. Fitch does not expect to rate the
$10,747,000 class H, the $24,576,746 class J or the notional class
X-B.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 38 loans secured by 72 commercial
properties having an aggregate principal balance of approximately
$856.3 million as of the cutoff date. The loans were contributed
to the trust by Bank of America, National Association; Morgan
Stanley Mortgage Capital Holdings LLC; and CIBC Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 79.3% of the properties
by balance, cash flow analysis of 87.5%, and asset summary reviews
on 89.9% of the pool.
Key Rating Drivers
Fitch Leverage: The Fitch debt service coverage ratio (DSCR) of
1.25x is slightly better than the 2012 DSCR of 1.24x, but worse
than the first-half 2013 DSCR of 1.36x. The Fitch loan-to-value
(LTV) of 101.8% is higher than the 2012 and first-half 2013
average LTVs of 97.2% and 99.8%, respectively.
Loan and Sponsor Concentration: The top 10 loans represent 67.0%
of the total balance, which is the highest of any Fitch-rated deal
since 2011. The average top 10 concentration of Fitch-rated
transactions in the first half of 2013 was 54.3%. Additionally,
Simon Property Group, L.P. is the sponsor of loans representing
17.5% of the pool.
Hotel Concentration: Hotel properties represent 24.6% of the pool,
which exceeds the 2012 and first-half 2013 average concentration
of 13.5% and 13.8%, respectively. Three loans in the top 10,
Marriott Chicago River North, Hilton Waterfront Beach Resort, and
the Beverly Garland Hotel, are secured by hotel properties.
Amortization and No Interest-Only Loans: The pool is scheduled to
amortize 15.4% prior to maturity. There are no interest-only
loans. Nine loans (46.5% of the pool) are partial interest-only
loans and 29 loans (53.5% of the pool) are balloon loans.
Approximately 82.5% of the pool consists of 10-year loans and
17.5% consists of five-year loans.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 18.4% below
the most recent reported net operating income (NOI) (for
properties for which NOI was provided, excluding properties that
were stabilizing during this period). Unanticipated further
declines in property-level NCF could result in higher defaults and
loss severity on defaulted loans and could result in potential
rating actions on the certificates. Fitch evaluated the
sensitivity of the ratings assigned to MSBAM 2013-C11 certificates
and found that the transaction displays average sensitivity to
further declines in NCF. In a scenario in which NCF declined a
further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'Asf' could result. In a more severe scenario, in
which NCF declined a further 30% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'BBBsf' could result. The
presale report includes a detailed explanation of additional
stresses and sensitivities.
The master servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
Midland Loan Services, a Division of PNC Bank, National
Association, rated 'CSS1' by Fitch.
NCF GRANTOR: S&P Puts B- Rating on Class A-5-1 Notes on Watch Neg.
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on Bank of
New York (SPE)'s class A-5-1 transferable custody receipts related
to NCF Grantor Trust 2005-3 certificates due 2033 and Custody
Receipts Related To $169,520,000 Of National Collegiate Student
Loan Trust 2006-2's class A-4 floating-rate student loan asset-
backed notes due Sept. 25, 2013, on CreditWatch with negative
implications.
S&P's rating on the class A-5-1 custody receipts reflects the
higher of S&P's ratings on the underlying security, NCF Grantor
Trust 2005-3's class A-5-1 certificates due Oct. 25, 2033
('B- (sf)/Watch Neg'), and the insurance provider, Ambac Assurance
Corp. (not rated).
S&P's rating on the class A-4 custody receipts reflects the higher
of its ratings on the underlying security, National Collegiate
Student Loan Trust 2006-2's class A-4 floating-rate student loan
asset-backed notes due Sept. 25, 2031 ('B- (sf)/Watch Neg'), and
the insurance provider, Ambac Assurance Corp. (not rated).
The rating actions follows the July 15, 2013, placement of S&P's
ratings on the underlying securities on CreditWatch with negative
implications. S&P may take subsequent rating actions on the
certificates due to changes in its ratings on the underlying
securities or swap counterparty.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS PLACED ON CREDITWATCH NEGATIVE
Bank of New York (SPE)
US$290.948 million transferable custody receipts relating to NCF
Grantor Trust 2005-3 series 2005-GT3 certificates due 2033
Rating
Class To From
A-5-1 B- (sf)/Watch Neg B- (sf)
Custody Receipts Related To $169,520,000 Of National Collegiate
Student Loan Trust 2006-2
US$169.52 million national collegiate student loan trust 2006-2
floating rate
Rating
Class To From
A-4 B- (sf)/Watch Neg B- (sf)
NOMURA ASSET 2007-2: Moody's Hikes Rating on Cl. A-1B Debt to Caa3
------------------------------------------------------------------
Moody's Investors Service has upgraded Class A-1B from Nomura
Asset Acceptance Corporation, Alternative Loan Trust, Series
2007-2, backed by Alt-A loans.
Complete rating actions are as follows:
Issuer: Nomura Asset Acceptance Corporation, Alternative Loan
Trust, Series 2007-2
Cl. A-1B, Upgraded to Caa3 (sf); previously on May 2, 2013 Ca (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale:
The action is a result of the recent performance of the underlying
pool and reflect Moody's updated loss expectation on the
transaction.
Class A-1B is upgraded to Caa3 to reflect the change in principal
payment and loss allocation to the senior bonds subsequent to
subordinate depletion. The losses to Class A-1B were misallocated
and starting in April 2013 the trustee report correctly allocated
losses pro-rata between the Class A- 1A and Class A-1B.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
NORTHSHORE RE 2013-1: S&P Assigns Prelim BB- Rating on Cl. A Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services said that it assigned its
'BB-(sf)' preliminary rating to the Series 2013-1 Class A notes to
be issued by Northshore Re Ltd. The notes cover losses on an
aggregate basis in most of the U.S. from catastrophes identified
by the property claim services (PCS) division of Insurance
Services Office Inc. as including hurricanes or earthquakes.
The Class A notes cover a portion of losses between the attachment
point of $1 billion and the exhaustion point of $1.2 billion over
the franchise deductible of $50 million. The loss figures for the
reinsurance agreement will be based on the PCS estimates of
industry loss scaled by factors that depend on the state and are
roughly proportional to AXIS's market share by state.
The preliminary rating is based on the lowest of the following:
the rating on the catastrophe risk ('BB-'), the rating on the
assets in the collateral account ('AAAm'), and the rating on the
ceding insurers and reinsurers, which are operating companies
within the AXIS group ('A+').
RATINGS LIST
New Rating
Northshore Re Ltd.
Series 2013-1 Class A sr unsec notes BB-(sf)(prelim)
OPTEUM MORTGAGE 2005-2: Moody's Lifts Cl. M-3 Debt Rating to Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches backed by Alt-A loans, issued by Opteum Mortgage
Acceptance Corporation 2005-2.
Complete rating actions are as follows:
Issuer: Opteum Mortgage Acceptance Corporation, Asset Backed Pass-
Through Certificates, Series 2005-2
Cl. M-1, Upgraded to A3 (sf); previously on Aug 30, 2012 Upgraded
to Baa1 (sf)
Cl. M-2, Upgraded to Baa1 (sf); previously on Aug 30, 2012
Upgraded to Ba2 (sf)
Cl. M-3, Upgraded to Ba2 (sf); previously on Aug 30, 2012 Upgraded
to B3 (sf)
Cl. M-4, Upgraded to B1 (sf); previously on Aug 30, 2012 Upgraded
to Caa1 (sf)
Ratings Rationale:
The actions are primarily a result of the recent performance of
the underlying pools and reflect Moody's updated loss expectations
on the pools. The upgrades are a result of improvement in
performance of the underlying collateral and an increase in credit
enhancement available to these bonds provided by subordination and
excess spread.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
OWS CLO I: Moody's Lifts Rating on $8.5MM Class D Notes to 'Caa1'
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by OWS CLO I:
$14,000,000 Class B Floating Rate Notes Due January 6, 2016
(current outstanding balance of $13,195,048), Upgraded to Aaa
(sf); previously on January 18, 2013 Upgraded to Aa1 (sf)
$8,000,000 Class C Floating Rate Notes Due January 6, 2016,
Upgraded to Aa3 (sf); previously on January 18, 2013 Upgraded to
Baa2 (sf)
$8,500,000 Class D Floating Rate Notes Due January 6, 2016
(current outstanding balance of $8,711,692), Upgraded to Caa1
(sf); previously on January 18, 2013 Affirmed Caa3 (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 January 2013. Notwithstanding the improvement
in the overcollateralization levels, the magnitude of the ratings
upgrades were tempered by the low diversity in the deal, which
could substantially impact the notes' performance if one or more
of the large obligors jumps to default. Based on Moody's
calculations, the portfolio's Diversity Score has decreased to 8
from 25 since the last rating action in January 2013.
Moody's notes that the Class A and Class X Notes have been paid
down in full, or by $37.8 million since the last rating action.
Based on the latest trustee report dated June 30, 2013, the Class
B, Class C and Class D overcollateralization ratios are reported
at 202.6%, 151.9% and 119.9%, respectively, versus December 2012
levels of 138.9%, 122.2% and 108.1%, respectively. The
overcollateralization ratios reported in the June 2013 trustee
report do not include the July 2013 payment distribution, when $16
million of principal proceeds were used to pay down the Class A, X
and B Notes. Further, the deal currently has commitments for
trades that have not yet settled, totaling $14.9 million, in the
principal collections account based on the latest trustee report,
which Moody's expects will be used to pay down the notes on the
next payment date in November.
The rapid deleveraging was partially driven by the collateral
manager's decision to sell a substantial portion of securities
that mature after the maturity date of the notes, or long-dated
assets. Based on Moody's calculations, the collateral pool's
exposure to long-dated assets has decreased to 4.5%, or $1.33
million, from 50.9%, or $34.8 million, since the last rating
action in January 2013. Moody's assumes in its analysis a par
haircut to long-dated assets at the legal maturity of the CLO
notes to account for uncertainties in loan pricing during stressed
market conditions. Given the recent high levels of loan prices,
the proceeds realized from the sale of the long-dated assets
exceeded the liquidation value Moody's assumed at the time of the
last rating action, which also contributed to the positive rating
actions.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $29.6 million, defaulted par of $8.0 million,
a weighted average default probability of 10.58% (implying a WARF
of 2732), a weighted average recovery rate upon default of 48.87%,
and a diversity score of 8. 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.
OWS CLO I, issued in November 2005, is a collateralized loan
obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013. In
addition, due to the low diversity of the collateral pool, CDOROM
2.8 was used to simulate a default distribution that was then
applied as an input in the cash flow model. Moody's also
supplemented its modeling with individual scenario analysis to
assess the ratings impact of jump-to-default by certain large
obligors.
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, for each CE where the related exposure constitutes
more than 3% of the collateral pool, Moody's applied a 2-notch
equivalent assumed downgrade. This adjustment was applied to
approximately 8.56% of the 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% (2186)
Class B: 0
Class C: 0
Class D: +1
Moody's Adjusted WARF + 20% (3278)
Class B: 0
Class C: 0
Class D: 0
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
1) Deleveraging: A significant 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) 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 non-investment grade, especially when they
experience jump to default. Due to the deal's low diversity score
and lack of granularity, Moody's supplemented its typical Binomial
Expansion Technique analysis with a simulated default distribution
using Moody's CDOROMTM software and individual scenario analysis.
PHILADELPHIA SCHOOL: Moody's Lowers GO Debt to 'Ba2'
----------------------------------------------------
Moody's Investors Service has downgraded to Ba2 from Ba1 the
rating of the Philadelphia School District (PA), affecting $2.2
billion in general obligation debt directly issued by the district
and $1.1 billion in parity debt issued through the State Public
School Building Authority (SPSBA); the outlook remains negative.
The bonds are secured by the school district's general obligation,
as it has pledged its full faith and credit and taxing power to
secure payments on its directly-issued GO bonds as well as
payments owed to the SPSBA on its lease revenue bonds.
Rating Rationale:
The downgrade to Ba2 reflects the district's weak financial
position, characterized by extremely narrow operating fund
balances and a high level of dependence on annual cash flow
borrowing to fund operations. In Moody's view, the district's
financial position is unlikely to improve over the medium term
given cost pressures related to charter schools, debt service and
pensions, and a limited ability to increase revenues to support
operations. The Ba2 also reflects the district's weak demographic
profile and above-average unemployment, modest property value
growth, and a heavy debt burden with moderate exposure to variable
rate debt and interest rate swaps.
The negative outlook reflects Moody's view that further
expenditure reductions may be difficult to achieve given the
significant cuts in district services in previous years. Narrow
fund balances and liquidity will make it difficult for the
district to respond to any unforeseen cost pressures given its
lack of financial flexibility. The negative outlook also factors
high costs related to charter schools, which accounted for nearly
25% of General Fund expenditures in fiscal 2012. Moody's expects
these costs to remain elevated over the near-term.
Moody's also maintains an enhanced Aa3 rating, with a stable
outlook, on all of the district's direct general obligation debt,
reflecting its current assessment of the Pennsylvania School
District Fiscal Agent Agreement Intercept Program, which provides
for the intercept of state aid due in the current fiscal year in
the event of a threatened payment failure by the district. Moody's
also maintains an enhanced Aa3 rating on all of the GO-secured
debt issued through the SPSBA, reflecting its current assessment
of the Pennsylvania State Public School Building Authority Lease
Intercept Program, through which the state treasurer withholds
appropriated state aid due to the school district and makes
payments directly to the bond trustee 30 days in advance of debt
service payment dates. The ratings on both programs reflect the
credit profile of the Commonwealth itself, whose general
obligation bonds are rated Aa2/stable.
Strengths:
- District benefits from state oversight entity
- Large, diverse tax base; economic center for a multistate
region
Challenges:
- Constrained revenue-raising ability given city control of
property tax millage rate
- Depletion of reserves and very narrow liquidity requiring
annual cash flow borrowing
- Above average debt burden
- Growing fixed costs related to employee pensions
- Opportunities for further cost reductions are difficult to
identify
- Expenditure challenges related to charter school enrollment
growth
Outlook
The negative outlook on the district's general obligation and
lease revenue debt is driven by the district's weak reserve and
liquidity levels and that likelihood that reserves and cash
balances are unlikely to improve in the near term, even as cost
pressures related to charter schools and employee benefits, such
as pensions, will remain high over the same period.
What Could Make The Underlying Rating Go Up (Removal Of The
Negative Outlook)
- Progress toward eliminating the structural budget gap over the
course of the five-year plan
- A return to surplus General Fund operations in the near term
- Improvements in cash and reserve levels
What Could Make The Underlying Rating Go Down
- Continued operating deficits in fiscal 2014 and beyond
- Failure to achieve structural balance in fiscal 2015
- Further weakening of liquidity and reserve levels
The principal methodology used in this rating was General
Obligation Bonds Issued by US Local Governments published in April
2013.
POPULAR ABS: Moody's Hikes $158-Mil. of RMBS Issued 2005 to 2007
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of seven
tranches from three transactions, backed by Subprime mortgage
loans, issued by Popular ABS Mortgage Pass-Through Trust.
Complete rating actions are as follows:
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-1
Cl. AV-1A, Upgraded to Baa2 (sf); previously on Aug 21, 2012
Confirmed at Ba1 (sf)
Cl. AV-1B, Upgraded to Ba2 (sf); previously on Aug 21, 2012
Confirmed at B1 (sf)
Cl. AV-2, Upgraded to Baa3 (sf); previously on Aug 21, 2012
Confirmed at Ba1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Aug 21, 2012
Upgraded to Caa3 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-4
Cl. AF-5, Upgraded to A3 (sf); previously on Aug 21, 2012
Confirmed at Baa1 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded
to Caa1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-A
Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 21, 2012
Confirmed at Ba3 (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
RACE POINT IV: Moody's Lifts Rating on $39.9MM Notes From 'Ba2'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Race Point IV CLO, Ltd.:
$72,500,000 Class A-1-B Floating Rate Notes Due August 20, 2021,
Upgraded to Aaa (sf); previously on July 12, 2011 Upgraded to Aa2
(sf);
$50,000,000 Class A-2 Floating Rate Notes Due August 20, 2021,
Upgraded to Aaa (sf); previously on July 12, 2011 Upgraded to Aa1
(sf);
$22,000,000 Class B Floating Rate Notes Due August 20, 2021,
Upgraded to Aa1 (sf); previously on July 12, 2011 Upgraded to A1
(sf);
$33,000,000 Class C Floating Rate Deferrable Notes Due August 20,
2021, Upgraded to A1 (sf); previously on July 12, 2011 Upgraded to
Baa2 (sf);
$39,900,000 Class D Floating Rate Notes Due August 20, 2021,
Upgraded to Baa1 (sf); previously on July 12, 2011 Upgraded to Ba2
(sf).
Moody's also affirmed the ratings of the following notes:
$290,000,000 Class A-1-A Floating Rate Notes Due 2021, Affirmed
Aaa (sf); previously on August 30, 2007 Assigned Aaa (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes
reflect the benefit of the short period of time remaining before
the end of the deal's reinvestment period in August 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 during the previous analysis, when
covenant levels factored strongly in Moody's review.
These actions also reflect a correction to Moody's modeling of the
Loss Replenishment Account feature. At the time of the August 2011
rating action, Moody's incorrectly calculated the amount of
Interest proceeds that should be diverted as per the Loss
Replenishment Account. This error has now been corrected, and
these rating actions reflect this change.
Moody's also notes that the June 2013 trustee reported
overcollateralization ratios of the rated notes have been stable
since June 2012.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $565.6 million, defaulted par of $1.0 million,
a weighted average default probability of 19.13% (implying a WARF
of 2617), a weighted average recovery rate upon default of 50.51%,
a weighted average spread of 3.3%, and a diversity score of 63.
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.
Race Point IV CLO, Ltd., issued in August 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 Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (2093)
Class A-1-A: 0
Class A-1-B: 0
Class A-2: 0
Class B: 0
Class C: +3
Class D: +2
Moody's Adjusted WARF + 20% (3140)
Class A-1-A: 0
Class A-1-B: 0
Class A-2: 0
Class B: -1
Class C: -2
Class D: -2
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Sensitivity to default timing scenarios: The junior and
mezzanine notes of this CLO structure rely significantly on excess
interest for additional credit enhancement. However, the
availability of such credit enhancement from excess interest is
subject to uncertainties relating to the timing and the amount of
defaults. Moody's modeled additional scenarios using concentrated
default timing profiles to assess the sensitivity of the notes'
ratings to volatility in the amount of excess interest available
after defaults.
4) Post-Reinvestment Period Trading: Subject to certain
requirements, the deal is allowed to reinvest certain proceeds
after the end of the reinvestment period, and as such the manager
has the flexibility to deteriorate some collateral quality metrics
to the covenant levels. Given that the post-reinvestment period
reinvesting criteria do not require the reinvestment to have a
Moody's rating equal to or better than the rating of the security
sold or prepaid, Moody's considered the deal's sensitivity to a
portfolio having a higher WARF.
REGIONAL DIVERSIFIED 2005-1: Moody's Keeps 7 Notes' Ratings
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings of the
following notes issued by Regional Diversified Funding 2005-1
Ltd.:
$170,000,000 Class A-1a Floating Rate Senior Notes Due 2036
(Current Balance $90,081,545.17), Affirmed B2 (sf); previously on
April 21, 2011 Downgraded to B2 (sf);
$10,000,000 Class A-1b Fixed Rate Senior Notes Due 2036 (Current
Balance $5,298,914.34), Affirmed B2 (sf); previously on April 21,
2011 Downgraded to B2 (sf);
$70,000,000 Class A-2 Floating Rate Senior Notes Due 2036,
Affirmed Caa3 (sf); previously on April 21, 2011 Downgraded to
Caa3 (sf);
$79,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due
2036 (Current Balance $85,258,029.69, including deferring
interest), Affirmed C (sf); previously on April 21, 2011
Downgraded to C (sf);
$10,000,000 Class B-2 Fixed Rate Senior Subordinate Notes Due 2036
(Current Balance $13,003,177.82, including deferring interest),
Affirmed C (sf); previously on April 21, 2011 Downgraded to C
(sf).
Moody's also affirms the ratings of the two combination notes:
Regional Diversified Funding 2005-1 Series Trust I : $13,000,000
Series A Trust Units (rated balance: $3,182,236.89), Affirmed C
(sf); previously on May 23, 2012 Downgraded to C (sf).
Regional Diversified Funding 2005-1 Series Trust II: $15,500,000
Series N Trust Units (rated balance: 3,712,714.71), Affirmed C
(sf); previously on May 23, 2012 Downgraded to C (sf).
Rationale:
According to Moody's, these rating affirmations are primarily the
result of a reduced likelihood for the deal to trigger an Event of
Default (EoD) and accelerate principal payment to the notes,
improvement of the credit quality of the underlying portfolio, the
deleveraging of the Class A1 notes and the increase of the assumed
defaulted amount since the last review.
Moody's notes that missed interest payments on the Class A1 or A2
notes will trigger an EoD. If an EoD occurs, the deal may
accelerate principal payments to the notes or liquidate the
collateral, both of which require the vote from two thirds (66
2/3%) of the Class A notes. Acceleration of principal payments
would be beneficial to the Class A1 notes as payment to the Class
A2 and Class B notes will be subordinated. In light of the
possibility of acceleration, Moody's performed two analyses: one
in which an EOD is triggered and acceleration occurs and one in
which an EoD is not triggered and there is no acceleration. In
Moody's opinion, since the last review, the probability of EoD
being triggered has declined substantially because of the
improvement in the credit quality of the underlying collateral,
resulting in a lower likelihood of an acceleration occurring. The
modeled output in an EoD acceleration scenario can be multiple
notches higher for the Class A notes than in a non-EoD scenario.
Moody's notes that since the last review the deal has benefited
from an improvement in the credit quality of the underlying
portfolio. Based on Moody's calculation, the WARF improved to 963
compared to1564. Further, the Class A-1a and Class A-1b notes have
paid down by approximately $10 million due to diversion of excess
interest proceeds and disbursements of principal proceeds. Going
forward, the Class A-1a and A-1b notes will continue to benefit
from the diversion of excess interest and the proceeds from future
redemptions of any assets in the collateral pool. Notwithstanding
these improvements, Moody's notes that the total par amount that
Moody's treated as defaulted or deferring increased to $204
million compared to $197 million.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $93
million, defaulted/deferring par of $204 million, a weighted
average default probability of 21.98% (implying a WARF of 963),
Moody's Asset Correlation of 22.82%, and a weighted average
recovery rate upon default of 10%. In addition to the quantitative
factors that are explicitly modeled, qualitative factors are part
of rating committee considerations. Moody's considers the
structural protections in the transaction, the risk of triggering
an Event of Default, recent deal performance under current market
conditions, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, inputs from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
Regional Diversified Funding 2005-1, Ltd., issued on April 12,
2005, is a collateral debt obligation backed by a portfolio of
bank trust preferred securities (the 'TruPS CDO') and TruPS CDO
tranches.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by [small to medium sized U.S. community
banks and insurance companies]that are generally not publicly
rated by Moody's. To evaluate the credit quality of bank TruPS
without public ratings, Moody's uses RiskCalc model, an
econometric model developed by Moody's KMV, to derive their credit
scores. Moody's evaluation of the credit risk for a majority of
bank obligors in the pool relies on FDIC financial data reported
as of Q1-2013.
The methodologies used in this rating are "Moody's Approach to
Rating TruPS CDOs" published in May 2011, and "Updated Approach to
the Usage of Credit Estimates in Rated Transactions" published in
October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF increased to 1200 points from the base
case of 963, the model-implied rating of the Class A1-a and A1-b
notes is one notch worse than the base case result. Similarly, if
the WARF is decreased to 850 points, the model-implied rating of
the Class A1-a and A1-b notes is one notch better than the base
case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TRUPS CDOs"
published in August 2012. In the first, Moody's gave par credit to
banks that are deferring interest on their TruPS but satisfy
specific credit criteria and thus have a strong likelihood of
resuming interest payments. Under this sensitivity analysis,
Moody's gave par credit to $24 million of bank TruPS. In the
second sensitivity analysis, it ran alternative default-timing
profile scenarios to reflect the lower likelihood of a large spike
in defaults.
Summary of the impact on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Sensitivity Analysis 1:
Class A-1a: +3
Class A-1B: +3
Class A-2: 0
Class B-1: 0
Class B-2: 0
Sensitivity Analysis 2:
Class A-1a: +1
Class A-1B: +1
Class A-2: 0
Class B-1: 0
Class B-2: 0
Moody's notes that this transaction is still subject to a high
level of macroeconomic uncertainty although its outlook on the
banking sector has changed to stable from negative. The pace of
FDIC bank failures continues to decline in 2013 compared to the
last few years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
RESOURCE REAL 2006-1: Fitch Cuts Rating on Class J Certs to 'CCsf'
------------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed 10 classes of
Resource Real Estate Funding CDO 2006-1 Ltd./LLC (RRE 2006-1)
reflecting Fitch's base case loss expectation of 48.2%. Fitch's
performance expectation incorporates prospective views regarding
commercial real estate market values and cash flow declines.
Key Rating Drivers
The performance of the transaction has been in line with
expectations over the last year. Per Fitch categorizations,
commercial real estate loans (CREL) comprise approximately 87.2%
of the collateral of the CDO. Approximately 61.1% of the pool is
comprised of whole loans or A-notes and the remainder of B-notes
or mezzanine loans. Commercial mortgage backed securities (CMBS)
represents 12.8% of the total collateral. Per the current trustee
reporting, the transaction passes all interest coverage and
overcollateralization tests.
Under Fitch's methodology, approximately 85.1% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. Fitch estimates that average recoveries will be
43.3% reflecting the recovery expectations upon default of the
CMBS tranches and real estate loans.
The largest component of Fitch's base case loss expectation is a
mezzanine loan (11.5%) secured by a portfolio of 12 luxury resorts
and hotels consisting of 4,742 keys located in beachfront and
waterfront locations, including Puerto Rico, Jamaica, Florida,
Arizona, and California. Three of the hotels within the portfolio
are located in Puerto Rico and contain a casino/gaming component.
Performance overall is significantly below issuance expectations
and the loan transferred to the special servicer in April 2012 in
advance of its June 2012 maturity. The loan was modified in August
2012 to allow an extended maturity date while a long term
modification was finalized. Fitch modeled a full loss in its base
case scenario.
The second largest component is the modeled losses on the CMBS
collateral.
The next largest contributor to Fitch's base case loss expectation
is a whole loan (5.9%) secured by a multifamily property located
in Las Vegas, NV. The borrower continues to have difficulty in
increasing occupancy with credit worthy tenant due to market
conditions. The loan was previously amended to extend the
maturity.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies Recoveries are based on stressed cash
flows and Fitch's long-term capitalization rates. The default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under various default timing
and interest rate stress scenarios as described in the report
'Global Criteria for Cash Flow Analysis in CDOs'.
The breakeven rates for classes A-1 through D generally pass the
cash flow model above their current ratings. However, given
uncertainty regarding the performance of several of the largest
loans, an upgrade is not warranted at this time. The Stable
Outlook on the classes A-1 through D reflects the classes' senior
position in the capital structure and the substantial credit
enhancement to the classes.
The 'CCC' and 'CC' ratings for classes E through K are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to the credit enhancement of each class.
Rating Sensitivities
The ratings on the class A-1 through D notes is expected to remain
stable. However, the ratings on the class E through K notes may be
subject to further downgrades as losses are realized.
Resource Real Estate, Inc. is the collateral asset manager for the
transaction. The CDO's reinvestment period ended in August 2011.
Fitch has downgraded the following class as indicated:
-- $14.7 million class J to 'CCsf' from 'CCCsf'; RE 0%.
Fitch has affirmed the following classes as indicated:
-- $52.4 million class A-1 at 'Asf'; Outlook Stable;
-- $5 million class A-2 FX at 'BBBsf'; Outlook Stable;
-- $17.4 million class A-2 FL at 'BBBsf'; Outlook Stable;
-- $13 million class C at 'BBsf'; Outlook Stable;
-- $10 million class D at 'Bsf'; Outlook Stable;
-- $13.7 million class E at 'CCCsf'; RE 100%;
-- $14.6 million class F at 'CCCsf'; RE 100%;
-- $17.3 million class G at 'CCCsf'; RE 25%;
-- $12.9 million class H at 'CCCsf'; RE 0%;
-- $28.5 million class K at 'CCsf'; RE 0%.
Fitch previously withdrew its ratings of class B following the
full surrender of those certificates. Fitch does not rate the
$36.3 million preferred shares.
RESOURCE REAL 2007-1: Fitch Keeps CC Rating on $28.8MM Cl. M Debt
-----------------------------------------------------------------
Fitch Ratings has affirmed 13 classes of Resource Real Estate
Funding CDO 2007-1 Ltd./LLC (RRE 2007-1), reflecting Fitch's base
case loss expectation of 36.9%. Fitch's performance expectation
incorporates prospective views regarding commercial real estate
market values and cash flow declines.
Key Rating Drivers
The performance of the transaction has been in line with
expectations over the last year. Per Fitch categorizations,
commercial real estate loans (CREL) comprise approximately 79.3%
of the collateral of the CDO. Approximately 74.9% of the pool are
whole loans or A-notes and the remainder are preferred equity or
mezzanine loans. Commercial mortgage backed securities (CMBS)
represents 20.7% of the total collateral. Per the current trustee
reporting, the transaction passes all interest coverage and
overcollateralization tests.
Under Fitch's methodology, approximately 70.8% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. Fitch estimates that average recoveries will be
47.9% reflecting the recovery expectations upon default of the
CMBS tranches and real estate loans.
While the largest component of Fitch's base case loss expectation
is the modeled losses on the CMBS collateral, the second largest
component is an A-note (5.3%) secured by a 191 room hotel property
in Los Angeles, CA. The hotel continues to undergo renovations
which are being funded through a mezzanine loan. Fitch modeled a
substantial loss in its base case scenario on this loan.
The next largest contributor to Fitch's base case loss expectation
is a whole loan (8%) secured by a multifamily property located in
Renton, WA. While occupancy at the property has improved, cash
flow remains insufficient to cover debt service. Despite this,
shortfalls have been funded by the borrower and the loan remains
current. Fitch modeled a substantial loss in its base case
scenario on this loan.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies recoveries are based on stressed cash
flows and Fitch's long-term capitalization rates. The default
levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under various default timing
and interest rate stress scenarios as described in the report
'Global Criteria for Cash Flow Analysis in CDOs'.
The breakeven rates for classes A-1 through C generally pass the
cash flow model at the ratings listed below. The Outlook remains
Negative on classes A-1 through C due to continued uncertainty
regarding the future cash flow from the several large assets.
The 'CCC' and 'CC' ratings for classes D through M are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to the credit enhancement of each class.
Rating Sensitivities
The ratings on the class A-1 through C notes may be subject to
further downgrades if collateral performance deteriorates. The
ratings on the class D through M notes may be subject to further
downgrades as losses are realized. In addition, the transaction
faces cash flow risk from the significant hedge in place.
Resource Real Estate, Inc. is the collateral asset manager for the
transaction. The CDO's reinvestment period ended in June 2012.
Fitch has affirmed the following classes as indicated:
-- $120 million class A-1 at 'BBBsf'; Outlook Negative;
-- $57.5 million class A-2 at 'BBsf'; Outlook Negative;
-- $15 million class B at 'Bsf'; Outlook Negative;
-- $7 million class C at 'Bsf'; Outlook Negative;
-- $26.8 million class D at 'CCCsf'; RE 100%;
-- $11.9 million class E at 'CCCsf'; RE 100%;
-- $5.4 million class F at 'CCCsf'; RE 100%;
-- $5 million class G at 'CCCsf'; RE 25%;
-- $625,000 class H at 'CCCsf'; RE 0%;
-- $11.3 million class J at 'CCCsf'; RE 0%;
-- $10 million class K at 'CCCsf'; RE 0%;
-- $18.8 million class L at 'CCCsf'; RE 0%;
-- $28.8 million class M at 'CCsf'; RE 0%.
Fitch previously withdrew its rating on class A-1R notes. Fitch
does not rate the $41.3 million preferred shares.
SAN JOSE RDA: Moody's Confirms Ba2 Rating on Successor Agency
-------------------------------------------------------------
Moody's Investors Service has confirmed the Ba2 rating on
Successor Agency to San Jose RDA's non-housing bonds which benefit
from cash funded debt service reserves and surety bonds from NPFG;
and Ba3 rating of the agency's non-housing bonds which rely on
debt service reserve with surety bonds from insurers who are
unrated or rated below Baa3. Moody's has also confirmed the Ba1
rating on the Agency's housing bonds. The outlook on these ratings
is stable.
Rating Rationale:
Moody's has confirmed the Ba2 the agency's senior lien non-
housing bonds, Series 1993, Series 1997, Series 2003, Series 2004,
Series 2005A, Series 2006C, Series 2008A, and Series 2008B,
(totaling $979 million) and the Ba3 rating on Series 1999, Series
2002, Series 2005 B, Series 2006 A, Series 2006 B Series 2006 D
and Series 2007(totaling $632 million) as well as the Ba1 rating
on $233 million of the agency's senior lien housing bonds. The
very low debt service coverage level on an aggregate basis is the
key driver for these ratings. The confirmation of the ratings also
reflects the recent strong growth of the tax base, the very large
size of the merged project area securing the bonds, high increment
to assessed value (AV) ratio, the generally high income levels in
San Jose and declining tax payer concentration. Also a key credit
strength for the non-housing bonds is the requirement to submit to
the trustee 50% of the principal due in August, from the preceding
July through December revenues. Housing bonds also benefit from a
similar requirement, which calls for a reserve to be maintained
from July to December revenues, eight months before principal
payment requirement in August. These provisions effectively level
the semi-annual debt service payments and avoid the uncertainty
associated with uneven semi-annual debt service payments.
The one notch distinction between the ratings on the non-housing
bonds reflects the relative weakness of the debt service reserves
for Ba3 rated bonds, which are met with sureties from unrated
insurers or insurers whose ratings are below Baa3. The Ba2 rated
non-housing bonds benefit from cash funded reserves or sureties
from an insurer with ratings above Baa3.
The one notch distinction between the Ba2 rated non-housing bonds
and the Ba1 housing bonds reflects the legal bases underlying the
original securities of these obligations. The originally pledged
20% of incremental revenues provide much broader coverage of
housing bonds than the originally pledged 80% provide for the non-
housing bonds. Given the very low coverage levels on an aggregate
basis of all housing and non-housing bonds and senior and junior
pass through obligations, in case of insufficiency to meet all of
these obligations, Moody's believes that the housing bonds would
benefit from the original pledge of 20% of incremental revenues.
The outlook on all of the ratings is stable.
Strengths:
Very large project area tax base spanning most of downtown San
Jose
Very large total and incremental Assessed Value (AV)
Incremental to total AV ratio is very high
Largest tax payers are well known successful firms
Improving economy, including lower unemployment and higher sales
tax receipts
For non-housing bonds, the requirement to submit to the trustee
50% for August debt service from July -- December receipts.
For housing bonds, strong debt service coverage levels
Weaknesses
Very narrow coverage levels of all obligations including pass
throughs
High tax payer concentration
For some non-housing bonds, debt service reserve provided with
sureties from non-rated or below Baa3 rated insurers
Outlook
The stable outlook on the ratings reflects the resumption of AV
growth which is likely to continue at least for the next year or
so.
What could move the rating - UP
Significant and sustained increase in assessed valuation
What could move the rating - DOWN
Erosion of semi-annual debt service coverage
Protracted assessed value decline
Indication that original security pledges for housing and non-
housing bonds would not be applicable in case of shortfall to
meet all obligations
Rating Methodology:
The principal methodology used in this rating was Moody's Analytic
Approach To Rating California Tax Allocation Bonds published in
December 2003.
SAXON ASSET 2004-1: Moody's Confirms B1 Rating on Class M-1 RMBS
----------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of two
tranches, backed by Subprime mortgage loans issued by Saxon Asset
Securities Trust 2004-1.
Complete rating actions are as follows:
Issuer: Saxon Asset Securities Trust 2004-1
Cl. A, Confirmed at A3 (sf); previously on Apr 29, 2013 Downgraded
to A3 (sf) and Placed Under Review for Possible Downgrade
Cl. M-1, Confirmed at B1 (sf); previously on Apr 29, 2013 B1 (sf)
Placed Under Review Direction Uncertain
Ratings Rationale:
The rating actions reflect the correction of errors in the
Structured Finance Workstation (SFW) cash flow model used by
Moody's in rating this transaction. In prior rating actions, the
model allocated losses to the subordinate bonds, even though the
governing deal documents do not contain a provision allocating
losses to these bonds. As a result, the ratings on these bonds
were placed on review on April 29, 2013. The errors have now been
corrected, and these rating actions reflect these changes. The
rating actions also reflect recent performance of the underlying
pools and Moody's updated expected losses on the pools.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
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 8.2% in June 2012 to 7.6% in June 2013. Moody's
forecasts an unemployment central range of 7.0% to 8.0% for 2013.
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.
SEQUOIA MORTGAGE 2007-2: Moody's Confirms Ratings on 3 Classes
--------------------------------------------------------------
Moody's Investors Service has confirmed the ratings of three
tranches backed by Prime Jumbo RMBS loans, issued by Sequoia.
Issuer: Sequoia Mortgage Trust 2007-2, Mortgage Pass-Through
Certificates, Series 2007-2
Cl. 1-A1, Confirmed at B2 (sf); previously on May 9, 2013 B2 (sf)
Placed Under Review Direction Uncertain
Cl. 1-A2, Confirmed at B1 (sf); previously on May 9, 2013 B1 (sf)
Placed Under Review Direction Uncertain
Cl. 1-XA, Confirmed at B2 (sf); previously on May 9, 2013 B2 (sf)
Placed Under Review Direction Uncertain
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pool and reflect Moody's updated loss expectations on
the pool. In addition, these actions reflect correction of an
error in the cash flow model used by Moody's in rating this
transaction. In prior rating actions, the calculation of principal
paid to subordinate bonds was incorrect. As a result, the ratings
of three tranches were placed on review direction uncertain on May
9, 2013. The error has now been corrected, and these ratings
actions reflect this change.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
SEQUOIA MORTGAGE 2013-10: Fitch Rates Class B-4 Certs at 'BB'
-------------------------------------------------------------
Fitch Ratings assigns the following ratings to Sequoia Mortgage
Trust 2013-10, mortgage pass-through certificates, series 2013-10
(SEMT 2013-10):
-- $371,622,000 class A-1 exchangeable certificate 'AAAsf';
Outlook Stable;
-- $185,811,000 class A-2 certificate 'AAAsf'; Outlook Stable;
-- $185,811,000 class A-3 certificate 'AAAsf'; Outlook Stable;
-- $185,811,000 class A-4 exchangeable certificate 'AAAsf';
Outlook Stable;
-- $185,811,000 class A-5 exchangeable certificate 'AAAsf';
Outlook Stable;
-- $185,811,000 class A-6 exchangeable certificate 'AAAsf';
Outlook Stable;
-- $185,811,000 class A-7 exchangeable certificate 'AAAsf';
Outlook Stable;
-- $371,622,000 class A-8 exchangeable certificate 'AAAsf';
Outlook Stable;
-- $185,811,000 class A-IO1 notional certificate 'AAAsf'; Outlook
Stable;
-- $185,811,000 class A-IO2 notional certificate 'AAAsf'; Outlook
Stable;
-- $185,811,000 class A-IO3 notional certificate 'AAAsf'; Outlook
Stable;
-- $371,622,000 class A-IO notional certificate 'AAAsf'; Outlook
Stable;
-- $10,217,000 class B-1 certificate 'AAsf'; Outlook Stable;
-- $6,811,000 class B-2 certificate 'Asf'; Outlook Stable;
-- $4,608,000 class B-3 certificate 'BBBsf'; Outlook Stable;
-- $3,205,000 non-offered class B-4 certificate 'BBsf'; Outlook
Stable.
The 'AAAsf' rating on the senior certificates reflects the 7.25%
subordination provided by the 2.55% class B-1, 1.70% class B-2,
1.15% class B-3, 0.80% non-offered class B-4 and 1.05% non-offered
class B-5. The $4,208,564 non-offered class B-5 certificates will
not be rated by Fitch.
Fitch's ratings reflect the high quality of the underlying
collateral, the clear capital structure and the high percentage of
loans reviewed by third party underwriters. In addition,
CitiMortgage, Inc. will act as the master servicer and Wilmington
Trust will act as the Trustee for the transaction. For federal
income tax purposes, elections will be made to treat the trust as
one or more real estate mortgage investment conduits (REMICs).
SEMT 2013-10 will be Redwood Residential Acquisition Corporation's
tenth transaction of prime residential mortgages in 2013. The
certificates are supported by a pool of prime fixed rate mortgage
loans. All of the loans are fully amortizing. The aggregate pool
included loans originated from PrimeLending (8.5%) and WJ Bradley
Mortgage Capital (7.6%). The remainder of the mortgage loans was
originated by various mortgage lending institutions, each of which
contributed less than 5% to the transaction.
As of the cut-off date, the aggregate pool consisted of 529 loans
with a total balance of $400,671,564; an average balance of
$757,413; a weighted average original combined loan-to-value ratio
(CLTV) of 68.1%, and a weighted average coupon (WAC) of 3.9%.
Rate/Term and cash out refinances account for 45.5% and 5.0% of
the loans, respectively. The weighted average original FICO credit
score of the pool is 775. Owner-occupied properties comprise 95.2%
of the loans. The states that represent the largest geographic
concentration are California (40.9%), Texas (9.4%) and Virginia
(6.7%).
Key Rating Drivers
High-Quality Mortgage Pool: The collateral pool consists of 30-
year fully amortizing, fully documented FRMs to borrowers with
strong credit profiles, low leverage, and substantial liquid
reserves. Third-party loan-level due diligence was conducted on
99.8% of the pool, and Fitch believes the results of the review
generally indicate strong underwriting controls.
Originators with Limited Performance History: The majority of the
pool was originated by lenders with limited non-agency performance
history. 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 collateral pool is geographically
diverse. The percentage in the top three metropolitan statistical
areas (MSAs) is 23.1% and concentration in California is 40.9%,
similar to recent SEMT transactions. The agency did not apply a
default penalty to the pool due to the low geographic
concentration risk.
Transaction Provisions Enhance Deal Framework: The representation,
warranty and enforcement mechanism framework is viewed positively,
as it is consistent with Fitch criteria. As in other recent Fitch-
rated SEMT transactions, SEMT 2013-10 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. This region is Dallas-Plano-Irving in Texas (4.3%).
Fitch conducted sensitivity analysis assuming sMVDs of 10%, 15%,
and 20% compared with those projected by Fitch's SHP model for
this region. The sensitivity analysis indicated no impact on
ratings for all bonds in each scenario.
In its analysis, Fitch considered placing a greater emphasis on
recent economic performance in determining market value declines.
While Fitch's current loan loss model looks to three years of
historical data and one year of projections, this does not
incorporate recent notable economic improvement. To reflect the
more recent economic environment, a sensitivity analysis was
performed using two years of historical economic data and two
years of projections. The result of this sensitivity analysis was
included in the consideration of the loss expectations for this
transaction. This sensitivity analysis resulted in a base sMVD of
13.7%, slightly less than the 14.5% base sMVD projected in the
current model.
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 14.5% for this pool. The analysis indicates there
is some potential rating migration with higher MVDs, compared with
the model projection.
SOUND POINT III: Moody's Assigns Ratings to Eight Note Classes
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Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Sound Point
CLO III, Ltd.:
$4,000,000 Class X Senior Notes due 2025 (the "Class X Notes"),
Assigned (P)Aaa (sf)
$248,000,000 Class A Senior Notes due 2025 (the "Class A Notes"),
Assigned (P)Aaa (sf)
$53,500,000 Class B Senior Notes due 2025 (the "Class B Notes"),
Assigned (P)Aa2 (sf)
$20,000,000 Class C-1 Floating Rate Mezzanine Notes due 2025 (the
"Class C-1 Notes"), Assigned (P)A2 (sf)
$5,000,000 Class C-2 Fixed Rate Mezzanine Notes due 2025 (the
"Class C-2 Notes"), Assigned (P)A2 (sf)
$23,500,000 Class D Mezzanine Notes due 2025 (the "Class D
Notes"), Assigned (P)Baa3 (sf)
$19,000,000 Class E Junior Notes due 2025 (the "Class E Notes"),
Assigned (P)Ba3 (sf)
$8,750,000 Class F Junior Notes due 2025 (the "Class F Notes"),
Assigned (P)B2 (sf)
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinion. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating (if any) may differ
from a provisional rating.
Ratings Rationale:
Moody's provisional ratings of the Class X Notes, the Class A
Notes, the Class B Notes, the Class C-1 Notes, the Class C-2
Notes, the Class D Notes, the Class E Notes and the Class F Notes
(the "Notes") address the expected losses posed to noteholders.
The provisional ratings reflect the risks due to defaults on the
underlying portfolio of loans, the transaction's legal structure,
and the characteristics of the underlying assets.
Sound Point CLO III is a managed cash flow CLO. The transaction is
collateralized primarily by broadly syndicated first-lien senior
secured corporate loans. At least 92.5% of the portfolio must be
invested in senior secured loans and eligible investments and up
to 7.5% of the portfolio may consist of senior secured bonds,
senior secured floating rate notes, senior unsecured bonds and
second lien loans. At closing, the portfolio is expected to be
approximately [70]% ramped and 100% ramped within [six] months
thereafter.
Sound Point Capital Management LP will direct the selection,
acquisition and disposition of collateral on behalf of the Issuer.
Sound Point may engage in trading activity, including
discretionary trading, during the transaction's four-year
reinvestment period. Thereafter, unscheduled principal payments
and sale proceeds of credit risk assets may be used to purchase
additional collateral obligations, subject to certain conditions.
In addition to the notes rated by Moody's, the Issuer will issue
subordinated notes. The transaction incorporates coverage tests,
both par and interest, which, if triggered, divert interest and
principal proceeds to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
For modeling purposes, Moody's used the following base-case
assumptions:
Target Par Amount of $400,000,000
Diversity: 48
WARF: 2500
Weighted Average Spread: 3.74%
Weighted Average Coupon: 6.00%
Weighted Average Recovery Rate: 48.0%
Weighted Average Life: 8 years
The performance of the Notes is subject to uncertainty. The Notes'
performance is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. Sound Point's investment decisions and management
of the transaction will also affect the Notes' performance.
Together with the set of modeling assumptions, Moody's conducted
additional sensitivity analysis which was an important component
in determining the ratings assigned to the Notes. This sensitivity
analysis includes increased default probability relative to the
base case.
Summary of the impact of an increase in default probability
(expressed in terms of WARF level) on the Notes (shown in terms of
the number of notch difference versus the current model output,
whereby a negative difference corresponds to higher expected
losses), holding all other factors equal:
Percentage Change in Moody's WARF -- Moody's WARF + 15% (from 2500
to 2875)
Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B Notes: 0
Class C-1 Notes: -1
Class C-2 Notes: -1
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in Moody's WARF -- Moody's WARF +30% (from 2500
to 3250)
Impact in Rating Notches
Class X Notes: 0
Class A Notes: 0
Class B Notes: -1
Class C-1 Notes: -2
Class C-2 Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: -1
The V Score for this transaction is Medium/High. Moody's assigned
this V Score in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector, as described in the
special report titled "V Scores and Parameter Sensitivities in the
Global Cash Flow CLO Sector," dated July 6, 2009.
Moody's has assessed the "Experience of, Arrangements Among and
Oversight of Transaction Parties," a sub-component of Governance
in the V Score analysis, as Medium for this transaction, instead
of Low/Medium for the benchmark CLO. The score of Medium reflects
the fact that Sound Point is a relatively untested manager. This
higher score for "Experience of, Arrangements Among and Oversight
of the Transaction Parties" does not, however, cause this
transaction's overall composite V Score of Medium/High to differ
from that of the CLO sector benchmark.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction,
rather than individual tranches.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
SOUTHEAST HOUSING: Moody's Lowers Rating on Cl. I Bonds to 'Ba3'
----------------------------------------------------------------
Moody's has downgraded the rating on $451,700,000 Southeast
Housing, LLC'S Taxable Military Housing Revenue Bonds, Series 2007
Class I Bonds to Ba3 from Ba1. The outlook remains negative.
Rating Rationale:
The downgrade is based on continued elevated vacancy rates at
several of the bases included in the project, scheduled increase
in debt service by 2014 when the bonds begin to amortize, and the
loss of support from the capitalized interest account, all of
which point to declining debt service coverage beginning in 2014.
It further reflects uncertainties about the completion of the
sponsors' plans for improving financial performance through sale
of real estate assets to reduce indebtedness, in light of property
tax litigation impacting those asset sales, and the need for
successful bondholder tenders in order to repurchase bonds. The
outlook on the bonds remains negative because of the uncertainty
around the execution, timing, and amount of the sale of
disposition properties and associated financial restructuring.
Credit Strengths:
- Construction funds of approximately $19.7 million (as of June
30, 2013) remain available after project completion and can be
used to pay debt service if not applied to other project
purposes
- Projected rental revenue growth from an increase in the Basic
Allowance for Housing (BAH) of 3.29% for 2013
- Debt service reserve fund equal to maximum annual debt service
funded through a surety from National Public Finance Guarantee
Corporation (Baa1 / positive)
Credit Weaknesses
- Thin maximum annual debt service coverage of 1.00x projected
for 2014 as bonds begin to amortize and debt service increases
by $2.4 million coupled with the depletion of the capitalized
interest account; capitalized interest draws for 2012 increased
funds available for debt service by of $2.6 million
- Future financial performance contingent upon sale of
disposition properties at Naval Air Station Key West (FL) and
subsequent debt restructuring consented to by bondholders
- Though weighted average occupancy for 2012 was maintained at
93%, the project faces occupancy challenges in Mayport (FL) and
Gulfport (MS), which together comprise 27% of total units
online, pushing weighted average occupancy down to 91.7% as of
May 2013. In addition, real estate market is affordable to both
renters and buyers - soft real estate submarkets in some Navy
Southeast bases
Outlook
The outlook on the bonds remains negative because of the
uncertainty around the execution, timing, and amount of the sale
of disposition properties and subsequent financial restructuring.
What could change the rating UP:
- While a near term upgrade is unlikely, the outlook could
stabilize if Moody's sees strong financial improvement or a
successful completion of sale of Peary Court properties and
reduction of debt through successful tender and purchases of
bonds
What could change the rating DOWN:
- Failure to complete sale of the Peary Court properties and
anticipated reduction in debt
- Any material decreases in the amount of monies in the project's
Construction Fund that are available to pay debt service
- Drop in occupancy rates due to further decline in market
position or changes in troop populations at one or more of the
project's bases
Principal Methodology
The principal methodology used in this rating was Global Housing
Projects published in July 2010.
STRUCTURED ASSET 2005-NC1: Moody's Ups Cl. M3 Debt Rating to Caa1
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Moody's Investors Service has upgraded the ratings of 3 tranches
of Structured Asset Securities Corp Trust 2005-NC1, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Structured Asset Securities Corp Trust 2005-NC1
Cl. M1, Upgraded to A3 (sf); previously on Aug 20, 2012 Upgraded
to Ba1 (sf)
Cl. M2, Upgraded to Ba2 (sf); previously on Aug 20, 2012 Upgraded
to B3 (sf)
Cl. M3, Upgraded to Caa1 (sf); previously on Aug 20, 2012 Upgraded
to Ca (sf)
Ratings Rationale:
The rating actions reflect recent performance of the underlying
pools and Moody's updated expected losses on the pools. The
upgrades are due to improvement in collateral performance, and/ or
build-up in credit enhancement.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in June 2013.
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 8.2% in June 2012 to 7.6% in June 2013. Moody's
forecasts an unemployment central range of 7.0% to 8.0% for 2013.
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.
TPF II: Moody's Rates $475MM Senior Term Loan 'B2'
--------------------------------------------------
Moody's Investors Service has assigned a B2 rating to TPF II LC,
LLC (TPF II) and TPF II Rolling Hills, LLC's (Rolling Hills)
(together the Project's) joint and several $475 million 6-year
senior secured term loan due in 2019 and a B1 rating to its $20
million 5-year first priority senior secured working capital
facility due in 2018. The rating outlook is stable.
Proceeds of the term loan will be used to repay TPF II's existing
$68 million term loan (unrated), fund debt service and liquidity
reserves totaling about $42 million, pay fees and expenses, and to
pay a dividend of approximately $350 million to the Project
owners.
TPF II and Rolling Hills are both wholly owned by TPF II, L.P., a
second generation private equity fund managed by Tenaska Capital
Management. TPF II is a portfolio of two natural gas fired simple-
cycle (peaking) power generation projects, Crete Energy Venture
(328 MW) and Lincoln Generating Facility (656 MW) located 30 and
48 miles respectively outside of Chicago. Rolling Hills is an 850
MW peaking facility located in southeastern Ohio.
Ratings Rationale:
The B2 rating for the term loan recognizes the cash flow
volatility expected from the Project's portfolio of fully merchant
generating facilities, but also considers the transparency and
support provided by the base capacity auction process within the
PJM Interconnection (PJM) market where all of the plants operate.
The rating reflects Moody's expectation that over the next three
years credit metrics for the Project will score within the mid-to-
low B ranges indicated in Moody's December 2012 Rating Methodology
for Power Generation Projects (the Methodology), and that the
operational performance of the plants will be consistent with
recent history, during which they have been available about 99% of
the time but run very little (capacity factors under 5%). The B1
rating for the working capital facility reflects the priority
position of the facility within the Project's capital structure.
The Project's cash flow generating ability is highly dependent on
capacity revenues it receives from its ownership of electric
generating assets in the PJM market, where capacity prices for
available generation are determined annually for twelve month
periods on a three-year forward basis. The three-year forward
auction process provides transparency and predictability for the
most significant portion of the Project's cash flows; however as a
result of factors such as tepid load growth, changing transmission
constraints, and varying supply profiles impacted by potential
plant closures, planned new build, demand response and increased
imports, capacity prices have themselves been very unpredictable.
The assets are all located in the RTO pricing region of PJM, where
recent auction results have surprised market participants on both
an upward and downward basis. Currently, the Project is being paid
a very low rate of $27.73 MW-day - the clearing price in the
2013/2014 auction conducted three years ago. Subsequent auctions
for the 2014/2015 and 2015/2016 periods resulted in higher values
of $125.99 and $136.00 MW-day respectively; however, the most
recent auction for 2016/2017 cleared at a surprisingly low $59.37
MW-day. Although the Project owners believe that capacity values
will trend upward significantly from this price point, as a result
of their demonstrated volatility, for its analysis Moody's
utilizes an average of prior capacity prices (four years) as the
basis of its longer term projections. Based on these assumptions,
over the life of the term loan, Moody's anticipates over 50% of
the Project's gross margin will be generated by known capacity
payments. When Moody's includes fixed ancillary service revenues
(for which the projects receive contracted or tariff based
payments), the percentage increases to about 60%.
The B2 rating assumes the TPF II and Rolling Hills projects will
continue to demonstrate solid operating performance, exemplified
by consistently high availabilities and low forced outage rates.
The project's equivalent demand forced outage rates (the metric
used by PJM when calculating the availability based capacity
payments due to the projects) have been well below the historical
weighted average of 7.2% calculated by PJM for all combustion
turbines.
The B2 rating reflects the considerable leverage that is being
employed at the Project relative to its cash flow generating
ability. The majority of the incremental debt being incurred will
pay the sponsors a sizeable dividend at financial close, a credit
negative. Until June 2014, cash available for debt service is
expected to be insufficient to cover payments for interest and
mandatory principal repayments; as a result, a reserve of up to
$26 million will be funded at closing with a portion of the term
loan proceeds. Beyond 2013, over the next few years Moody's
anticipates the Project's average percentage of funds from
operations to total debt to score at the low end of the B range
indicated for this factor in the Methodology; over the same
period, Moody's anticipates cash flow coverage of mandatory debt
service will score around the middle of the B range and that debt
to capital, calculated on a book basis, will remain near 80% which
is the upper bound of the Caa scoring range.
The lenders will be protected by fairly traditional project
financing structure, including joint and several guarantees from
each co-borrower, pledges of all assets, accounts and equity
interests of both borrowers, limitations on debt, a trustee
administered waterfall of accounts, a cash funded six month debt
service reserve, a $26 million liquidity reserve and an annual
(June) sweep of 100% of excess cash flow (after $10 million to be
retained for working capital, reserves for scheduled major
maintenance, and tax distributions to the owner) to repay debt.
There will be a debt service coverage covenant, initially set to a
minimum 1.0 time (allowing use of the liquidity facility in the
calculation) stepping up and down modestly over the life of the
term loan. The Project will be permitted to sell any of the
individual projects subject to minimum sales prices and the use of
100% of net proceeds to repay debt; any such sales would be
expected to be neutral to positive to credit quality. In addition,
the term loan is structurally subordinate to the revolving credit.
Although the financing structure includes an annual 100% cash flow
sweep, expected debt repayment is heavily dependent on the results
of future capacity auctions and is relatively modest under most
scenarios evaluated by Moody's. Moody's currently anticipates the
amount of term loan principal outstanding at its June 2019
maturity to be in a range of 65-75% of the original face amount
which represents material refinancing risk. In forecasts utilizing
management's assumptions of future capacity prices, a smaller
percentage (approximately 46%) of the term loan balance is
expected remain outstanding after applying cash available for the
final June 30, 2019 sweep of excess cash flow.
The B1 rating on the revolving credit facility reflects its
priority position vis-a-vis the term loan on both an ongoing basis
as well as in a default scenario. In the ongoing case, interest
payments and repayment of all outstanding principal (whether or
not due) on the revolving credit facility will be made prior to
the payment of interest on the term loans. In the event of a
bankruptcy, or an event that permits the exercise of remedies by
the lenders, all proceeds of collateral are to be applied to
amounts owing under the revolving credit facility prior to
payments of amounts owed the first-lien term loan holders.
The stable outlook reflects Moody's assumption that the PJM
capacity markets will continue to provide support and clarity
around future cash flows and that the plants will be operated and
maintained in a manner consistent with past practice in an effort
to ensure availability and dependable responsiveness. Upward
pressure on the ratings could develop if the Project were to
secure longer term contracts for the majority of its output, or if
debt were to be repaid significantly more rapidly than currently
envisioned. Negative pressure on the ratings could develop in the
event there were to be material operational issues at the plants,
if the $26 million liquidity reserve proves insufficient to cover
debt service shortfalls through June 2014, if future capacity
auctions in PJM produce results in the RTO region that are less
than $50MW-day, or if market conditions otherwise weaken such that
Moody's could expect the Project's funds from operations as a
percentage of debt to remain below 5%, or cash flow coverage of
debt service to remain below 1.3 times on a sustained basis.
The ratings are predicated upon final documentation in accordance
with Moody's current understanding of the transaction and final
debt sizing and model outputs consistent with initially projected
credit metrics and cash flows.
TPF II and Rolling Hills are both wholly owned by TPF II, L.P., a
second generation private equity fund focused on the North
American power and midstream sectors. TPF II, L.P. is managed by
Tenaska Capital Management (TCM) whose assets under management
currently total about $3.5 billion. TCM and its affiliates
currently manage 16 power generation facilities with about 12,000
MW of generating capacity.
TPF II is a portfolio of two natural gas fired simple-cycle
(peaking) power generation projects, Crete Energy Venture (328 MW)
and Lincoln Generating Facility (656 MW) located 30 and 48 miles
respectively outside of Chicago. Both Crete and Lincoln operate in
the Commonwealth Edison Northern Illinois sub-region of PJM.
Rolling Hills is an 850 MW peaking facility located in
Wilkesville, Ohio operating in the AEP zone of PJM.
The principal methodology used in this rating was Power Generation
Projects published in December 2012.
TRAPEZA CDO II: Moody's Cuts Rating on 2 Note Classes to Caa3(sf)
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Trapeza CDO II, LLC:
$100,000,000 Class A1B Second Priority Senior Secured Floating
Rate Notes due October 5, 2033 (current balance of
$55,276,236.71), Upgraded to Aaa (sf); previously on December 22,
2009 Downgraded to A3 (sf)
$27,000,000 Class B Third Priority Senior Secured Floating Rate
Notes due October 5, 2033, Upgraded to A1 (sf); previously on
December 22, 2009 Downgraded to Ba1 (sf)
$43,500,000 Class C-1 Fourth Priority Senior Secured Floating Rate
Notes due October 5, 2033 (current balance of $47,069,222.74
including interest shortfall), Upgraded to Caa3 (sf); previously
on December 22, 2009 Downgraded to Ca (sf)
$54,800,000 Class C-2 Fourth Priority Senior Secured Floating Rate
Notes due October 5, 2033 (current balance of $59,296,400.14
including interest shortfall), Upgraded to Caa3 (sf); previously
on December 22, 2009 Downgraded to Ca (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A1B Notes, an
increase in the transaction's overcollateralization ratios as well
as the improvement in the credit quality of the underlying
portfolio as measured by the weighted average rating factor
(WARF), The deleveraging is due to diversion of excess interest
after paying interest on the Class A1B, C1, C2, and D Notes and
the redemption of performing and deferring assets.
Moody's notes that the Class A1B Notes have been paid down by
approximately 45% or $44.7 million since October 2012, due to the
diversion of excess interest proceeds and disbursement of
principal proceeds from redemptions of underlying assets. As a
result of this deleveraging, the Class A1B notes' par coverage
improved to 282.12% based on Moody's calculation. According to the
latest trustee report dated June 30, 2013, the Class A/B
Overcollateralization Test, and Class C/D Overcollateralization
Test Ratio are reported at 191.61% (limit 154.49%) and 77.04%
(limit 106.41%), respectively, versus November 2012 levels of
170.50%, and 75.41%, respectively. Going forward, the Class A1B
notes will continue to benefit from the diversion of excess
interest and the proceeds from future redemptions of any assets in
the collateral pool. Moody's also notes that the credit quality of
the overall portfolio as measured by the Moody's calculated WARF
is now 805.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $155.9 million, defaulted/deferring par of
$85.0 million, a weighted average default probability of 17.72%
(implying a WARF of 805), Moody's Asset Correlation of 20.5%, and
a weighted average recovery rate upon default of 10%. In addition
to the quantitative factors that are explicitly modeled,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of triggering an Event of Default, recent deal
performance under current market conditions, the legal
environment, and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
Trapeza CDO II, LLC, issued on March 11, 2003, is a collateralized
debt obligation backed by a portfolio of bank trust preferred
securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks that are generally not publicly rated by Moody's. To
evaluate the credit quality of bank TruPS without public ratings,
Moody's uses RiskCalc model, an econometric model developed by
Moody's KMV, to derive their credit scores. Moody's evaluation of
the credit risk for a majority of bank obligors in the pool relies
on FDIC financial data reported as of Q1-2013.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Cross Sector Rating Methodology "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The methodologies used in this rating were "Moody's Approach to
Rating TRUP CDOs" published in May 2011, and "Updated Approach to
the Usage of Credit Estimates in Rated Transactions" published in
October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8.9 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 239 points from the
base case of 805, the model-implied rating of the A1B notes is one
notch worse than the base case result. Similarly, if the WARF is
decreased by 67 points, the model-implied rating of the A1B notes
is one notch better than the base case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first sensitivity analysis,
Moody's gave par credit to banks that are deferring interest on
their TruPS but satisfy specific credit criteria and thus have a
strong likelihood of resuming interest payments. Under this
sensitivity analysis, it gave par credit to $13.3 million of bank
TruPS. In the second sensitivity analysis, it also ran alternative
default-timing profile scenarios to reflect the lower likelihood
of a large spike in defaults.
Summary of the impact on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Sensitivity Analysis 1:
Class A1B: +0
Class B: +0
Class C1: +3
Class C2: +3
Class D: +0
Sensitivity Analysis 2:
Class A1B: +0
Class B: +0
Class C1: +3
Class C2: +3
Class D: +0
Moody's notes that this transaction is still subject to a high
level of macroeconomic uncertainty although its outlook on the
banking sector has changed to stable from negative. The pace of
FDIC bank failures continues to decline in 2013 compared to the
last four years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
TRAPEZA CDO VI: Moody's Raises Ratings on 2 Note Classes to Caa2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Trapeza CDO VI, Ltd:
$155,000,000 Class A-1A First Priority Senior Secured Floating
Rate Notes due November 16, 2034 (current balance of
$40,084,356.69), Upgraded to Aaa (sf); previously on September 26,
2012 Upgraded to Aa1 (sf)
$21,000,000 Class A-1B Second Priority Senior Secured Floating
Rate Notes due November 16, 2034, Upgraded to Aa2 (sf); previously
on September 26, 2012 Upgraded to Aa3 (sf)
$59,350,000 Class A-2 Third Priority Senior Secured Floating Rate
Notes due November 16, 2034, Upgraded to A1 (sf); previously on
September 26, 2012 Upgraded to A3 (sf)
$39,500,000 Class B-1 Fourth Priority Secured Floating Rate Notes
due November 16, 2034 (current balance of $43,206,814.74 including
interest shortfall), Upgraded to Caa2 (sf); previously on March
27, 2009 Downgraded to Ca (sf)
$56,500,000 Class B-2 Fourth Priority Secured Fixed/Floating Rate
Notes due November 16, 2034 (current balance of $62,087,918.55
including interest shortfall), Upgraded to Caa2 (sf); previously
on March 27, 2009 Downgraded to Ca (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A1A Notes and an
increase in the transaction's overcollateralization ratios. The
deleveraging is due to diversion of excess interest after paying
interest on the Class A-1A, A-1B, A-2, B-1 and B-2 Notes and the
redemptions of underlying assets.
Moody's notes that the Class A-1A Notes have been paid down by
approximately 50% or $40.1 million since November 2012, due to the
diversion of excess interest proceeds and disbursement of
principal proceeds from redemptions of underlying assets. As a
result of this deleveraging, the Class A-1A notes' par coverage
improved to 486.43% based on Moody's calculation. According to the
latest trustee report dated July 15, 2013, the Class A
Overcollateralization Test and Class B Overcollateralization Test
are reported at 164.93% (limit 139.40%) and 88.00% (limit
103.10%), respectively, versus September 2012 levels of 132.10%,
and 79.78%, respectively. Going forward, the Class A-1A notes will
continue to benefit from the diversion of excess interest and the
proceeds from future redemptions of any assets in the collateral
pool.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, are based on its published
methodology and 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 $195.0 million, defaulted/deferring par of $73.0
million, a weighted average default probability of 20.49%
(implying a WARF of 939), Moody's Asset Correlation of 22.37%, and
a weighted average recovery rate upon default of 10%. In addition
to the quantitative factors that are explicitly modeled,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of triggering an Event of Default, recent deal
performance under current market conditions, the legal
environment, and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
Trapeza CDO VI, Ltd, issued on April 20, 2004, is a collateralized
debt obligation backed by a portfolio of bank trust preferred
securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks that are generally not publicly rated by Moody's. To
evaluate the credit quality of bank TruPS without public ratings,
Moody's uses RiskCalc model, an econometric model developed by
Moody's KMV, to derive their credit scores. Moody's evaluation of
the credit risk for a majority of bank obligors in the pool relies
on FDIC financial data reported as of Q1-2013.
The methodologies used in this rating were "Moody's Approach to
Rating TRUP CDOs" published in May 2011, and "Updated Approach to
the Usage of Credit Estimates in Rated Transactions" published in
October 2009.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Cross Sector Rating Methodology "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8.9 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 100 points from the
base case of 939, the model-implied rating of the A-1A notes is
one notch worse than the base case result..
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first sensitivity analysis,
Moody's gave par credit to banks that are deferring interest on
their TruPS but satisfy specific credit criteria and thus have a
strong likelihood of resuming interest payments. Under this
sensitivity analysis, Moody's gave par credit to $14.0 million of
bank TruPS. In the second sensitivity analysis, Moody's ran
alternative default-timing profile scenarios to reflect the lower
likelihood of a large spike in defaults.
Summary of the impact on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Sensitivity Analysis 1:
Class A-1A: +0
Class A-1B: +0
Class A-2: +1
Class B-1: +2
Class B-2: +2
Sensitivity Analysis 2:
Class A-1A: +0
Class A-1B: +0
Class A-2: +1
Class B-1: +2
Class B-2: +2
Moody's notes that this transaction is still subject to a high
level of macroeconomic uncertainty although Moody's outlook on the
banking sector has changed to stable from negative. The pace of
FDIC bank failures continues to decline in 2013 compared to the
last four years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
TRAPEZA CDO XIII: Moody's Ups Rating on $21MM Cl. A-3 Notes to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Trapeza CDO XIII, Ltd:
$375,000,000 Class A-1 Senior Secured Floating Rate Notes due 2042
(current balance of $316,882,989.70), Upgraded to Baa1 (sf);
previously on December 22, 2009 Downgraded to Baa2 (sf)
$97,000,000 Class A-2a Senior Secured Floating Rate Notes due
2042, Upgraded to Baa3 (sf); previously on December 22, 2009
Downgraded to Ba2 (sf)
$5,000,000 Class A-2b Senior Secured Fixed/Floating Rate Notes due
2042, Upgraded to Baa3 (sf); previously on December 22, 2009
Downgraded to Ba2 (sf)
$21,000,000 Class A-3 Senior Secured Floating Rate Notes due 2042,
Upgraded to Ba2 (sf); previously on December 22, 2009 Downgraded
to B1 (sf)
Moody's also affirmed the ratings of the following notes:
$65,000,000 Class B Secured Deferrable Floating Rate Notes due
2042 (current balance of $67,409,820.11 including interest
shortfall), Affirmed Caa3 (sf); previously on December 22, 2009
Downgraded to Caa3 (sf)
$58,000,000 Class C-1 Secured Deferrable Floating Rate Notes due
2042 (current balance of $61,494,874.11 including interest
shortfall), Affirmed Ca (sf); previously on December 22, 2009
Downgraded to Ca (sf)
$5,000,000 Class C-2 Secured Fixed/Floating Rate Notes due 2042
(current balance of $6,513,708.49 including interest shortfall),
Affirmed Ca (sf); previously on December 22, 2009 Downgraded to Ca
(sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A-1 Notes, an
increase in the transaction's overcollateralization ratios as well
as the improvement in the credit quality of the underlying
portfolio. The deleveraging is due to the redemption of underlying
assets and diversion of excess interest after paying interest on
the Class A-1, A-1a, A-1b and A-3 Notes. Moody's notes that the
Class B, C-1 and C-2 notes continue to defer interest due to the
failure of the Class A Overcollateralization test.
Moody's notes that the Class A-1 Notes have been paid down by
approximately 10.8% or $34.1 million since February 2013, due to
the diversion of excess interest proceeds and disbursement of
principal proceeds from redemptions of underlying assets. As a
result of this deleveraging, the Class A-1 notes' par coverage
improved to 161.57% based on Moody's calculation. According to the
latest trustee report dated June 30, 2013, the Class A, Class B
and Class C Overcollateralization Test are reported at 119.54%
(limit 129.50%), 103.66% (limit 119.00%) and 91.40% (limit
113.50%) respectively, versus February 2013 levels of 117.47%,
102.90%, and 91.51%, respectively. Going forward, the Class A1
notes will continue to benefit from the diversion of excess
interest and the proceeds from future redemptions of any assets in
the collateral pool.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate are based on its published
methodology and 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 $512.0 million, defaulted/deferring par of $207.0
million, a weighted average default probability of 29.15%
(implying a WARF of 1212), Moody's Asset Correlation of 20.3%, and
a weighted average recovery rate upon default of 8.9%. In addition
to the quantitative factors that are explicitly modeled,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of triggering an Event of Default, recent deal
performance under current market conditions, the legal
environment, and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision.
Trapeza CDO XIII, Ltd, issued on August 15, 2007, is a
collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks that are generally not publicly rated by Moody's. To
evaluate the credit quality of bank TruPS without public ratings,
Moody's uses RiskCalc model, an econometric model developed by
Moody's KMV, to derive their credit scores. Moody's evaluation of
the credit risk for a majority of bank obligors in the pool relies
on FDIC financial data reported as of Q1-2013. For insurance TruPS
without public ratings, Moody's relies on the assessment of
Moody's Insurance team based on the credit analysis of the
underlying insurance firms' annual statutory financial reports.
The methodologies used in this rating were "Moody's Approach to
Rating TRUP CDOs" published in May 2011, and "Updated Approach to
the Usage of Credit Estimates in Rated Transactions" published in
October 2009.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Cross Sector Rating Methodology "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8.9 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 61 points from the
base case of 1212, the model-implied rating of the A1 notes is one
notch worse than the base case result. Similarly, if the WARF is
decreased by 108 points, the model-implied rating of the A1 notes
is one notch better than the base case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first sensitivity analysis,
Moody's gave par credit to banks that are deferring interest on
their TruPS but satisfy specific credit criteria and thus have a
strong likelihood of resuming interest payments. Under this
sensitivity analysis, Moody's gave par credit to $74.5 million of
bank TruPS. In the second sensitivity analysis, Moody's ran
alternative default-timing profile scenarios to reflect the lower
likelihood of a large spike in defaults.
Summary of the impact on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Sensitivity Analysis 1:
Class A-1: +3
Class A-2a: +3
Class A-2b: +2
Class B: +2
Class C-1: +1
Class C-2: +1
Sensitivity Analysis 2:
Class A-1: +1
Class A-1a: +1
Class A-1b: +0
Class B: +0
Class C-1: +0
Class C-2: +0
Moody's notes that this transaction is still subject to a high
level of macroeconomic uncertainty although its outlook on the
banking sector has changed to stable from negative. The pace of
FDIC bank failures continues to decline in 2013 compared to the
last four years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
Moody's continues to have a stable outlook on the insurance
sector, other than the negative outlook on the U.S. life insurance
industry.
TROPIC CDO III: Moody's Hikes Rating on $31MM Notes to 'B2'
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating of the following
notes issued by Tropic CDO III, Ltd.:
$158,000,000 Class A-1L Floating Rate Notes Due 2034 (current
balance of $80,289,897), Upgraded to Aa2 (sf); previously on
October 30, 2009 Downgraded to Baa2 (sf);
$45,000,000 Class A-2L Floating Rate Notes Due 2034, Upgraded
to A2 (sf); previously on March 27, 2009 Downgraded to Ba1
(sf);
$31,000,000 Class A-3L Floating Rate Notes Due 2034 (current
balance of $33,104,494), Upgraded to B2 (sf); previously on
October 30, 2009 Downgraded to Caa3 (sf).
Moody's also affirmed the ratings of the following notes:
$19,500,000 Class A-4L Floating Rate Notes Due 2034 (current
balance of $21,349,773), Affirmed C (sf); previously on October
30, 2009 Downgraded to C (sf);
$40,500,000 Class A-4A Fixed/Floating Rate Notes Due 2034
(current balance of $44,341,836), Affirmed C (sf); previously
on October 30, 2009 Downgraded to C (sf);
$20,000,000 Class A-4B Fixed/Floating Rate Notes Due 2034
(current balance of $25,851,162), Affirmed C (sf); previously
on October 30, 2009 Downgraded to C (sf).
Ratings Rationale:
According to Moody's, the upgrade rating actions taken on the
notes are primarily a result of the deleveraging of the Class A-1L
notes, an increase in the transaction's overcollateralization
ratios, and the improvement in the credit quality of the
underlying portfolio.
Moody's notes that the Class A-1L notes have been paid down by
approximately 31% or $35.7 million since September 2012, due to
disbursement of principal proceeds from redemptions of underlying
assets and diversion of excess interest proceeds. In addition, the
transaction's overcollateralization ratios have increased due to
the decrease in the amount of defaulted securities. Since
September 2012, three previously deferring banks with a total par
of $25 million have resumed interest payments on their TruPS while
three assets with a total par of $29.8 million have redeemed at
par. Based on the latest trustee note valuation report dated June
24, 2013, the Senior, Senior Subordinate and Subordinate principal
coverage ratios are reported at 141.00% (limit 140.00%), 113.04%
(limit 125.00%) and 74.77% (limit 104.00%), respectively, versus
September 2012 levels of 112.91%, 94.67% and 66.82%, respectively.
Going forward, the Class A-1L will continue to benefit from the
diversion of excess interest and the proceeds from future
redemptions of any assets in the collateral pool.
Moody's also notes that the deal benefited from an improvement in
the credit quality of the underlying portfolio. Based on Moody's
calculation, the weighted average rating factor (WARF) improved to
836 compared to 942 during the last rating review in May 2012. The
total par amount that Moody's treated as defaulted or deferring
declined to $96.7 million compared to $141.7 million as of the
last rating review.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, are based on its published
methodology and may be different from the trustee's reported
numbers. In its base case, Moody's analyzed the underlying
collateral pool to have a performing par balance of $174.7
million, defaulted/deferring par of $96.7 million, a weighted
average default probability of 18.78% (implying a WARF of 836),
Moody's Asset Correlation of 19.1%, and a weighted average
recovery rate upon default of 10%. In addition to the quantitative
factors that are explicitly modeled, qualitative factors are part
of rating committee considerations. Moody's considers the
structural protections in the transaction, the risk of triggering
an Event of Default, recent deal performance under current market
conditions, the legal environment, and specific documentation
features. All information available to rating committees,
including macroeconomic forecasts, inputs from other Moody's
analytical groups, market factors, and judgments regarding the
nature and severity of credit stress on the transactions, may
influence the final rating decision.
Tropic CDO III, Ltd., issued in February 2004, is a collateralized
debt obligation backed by a portfolio of bank trust preferred
securities.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks and insurance companies that are generally not publicly
rated by Moody's. To evaluate the credit quality of bank TruPS
without public ratings, Moody's uses RiskCalc model, an
econometric model developed by Moody's KMV, to derive their credit
scores. Moody's evaluation of the credit risk for a majority of
bank obligors in the pool relies on FDIC financial data received
as of Q1-2013.
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs" published in May 2011.
Moody's also evaluates the sensitivity of the rated transaction to
the volatility of the credit estimates, as described in Moody's
Cross-Sector Rating Methodology "Updated Approach to the Usage of
Credit Estimates in Rated Transactions" published in October 2009.
The transaction's portfolio was modeled using CDOROM v.2.8.9 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained. This parameter was then used
as an input in a cash flow model using CDOEdge.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 200 points from the
base case of 836, the model-implied rating of the Class A-1L notes
is one notch worse than the base case result. Similarly, if the
WARF is decreased by 180 points, the model-implied rating of the
Class A-1L notes is one notch better than the base case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first, Moody's gave par credit to
banks that are deferring interest on their TruPS but satisfy
specific credit criteria and thus have a strong likelihood of
resuming interest payments. Under this sensitivity analysis,
Moody's gave par credit to $19.2 million of bank TruPS. In the
second sensitivity analysis, Moody's ran alternative default-
timing profile scenarios to reflect the lower likelihood of a
large spike in defaults.
Summary of the impact on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Sensitivity Analysis 1:
Class A-1L: +1
Class A-2L: +1
Class A-3L: +2
Class A-4L: 0
Class A-4A: 0
Class A-4B: 0
Sensitivity Analysis 2:
Class A-1L: 0
Class A-2L: +1
Class A-3L: +1
Class A-4L: 0
Class A-4A: 0
Class A-4B: 0
Moody's notes that this transaction is still subject to a high
level of macroeconomic uncertainty although Moody's outlook on the
banking sector has changed to stable from negative. The pace of
FDIC bank failures continues to decline in 2013 compared to 2012,
2011, 2010 and 2009, and some of the previously deferring banks
have resumed interest payment on their trust preferred securities.
UBS COMMERCIAL 2007-FL1: Moody's Cuts Rating on 2 Certs to 'B2'
---------------------------------------------------------------
Moody's Investors Service upgraded the ratings of four classes,
downgraded two classes and affirmed five classes of UBS Commercial
Mortgage Trust, Commercial Mortgage Pass-Through Certificates,
Series 2007-FL1 as follows:
Cl. B, Upgraded to Aaa (sf); previously on Dec 6, 2012 Upgraded to
Aa3 (sf)
Cl. C, Upgraded to Aaa (sf); previously on Dec 6, 2012 Upgraded to
A2 (sf)
Cl. D, Upgraded to A1 (sf); previously on Dec 6, 2012 Upgraded to
Baa1 (sf)
Cl. E, Upgraded to A2 (sf); previously on Dec 6, 2012 Upgraded to
Baa2 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Dec 6, 2012 Upgraded to
Ba1 (sf)
Cl. G, Affirmed Ba3 (sf); previously on Dec 6, 2012 Upgraded to
Ba3 (sf)
Cl. H, Affirmed B1 (sf); previously on Dec 6, 2012 Upgraded to B1
(sf)
Cl. J, Affirmed B3 (sf); previously on Dec 6, 2012 Upgraded to B3
(sf)
Cl. K, Affirmed Caa3 (sf); previously on Jun 15, 2012 Upgraded to
Caa3 (sf)
Cl. O-MD, Downgraded to B2 (sf); previously on Dec 2, 2010
Downgraded to B1 (sf)
Cl. X, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale:
The upgrades are due to loan payoffs resulting in an increase in
credit support. The downgrade of the non-pooled, or rake, Class O-
MD is due to a deterioration in the performance of the Marriott
Washington D.C. loan. The affirmations of the principal classes
are due to key parameters, including Moody's loan to value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR),
remaining within acceptable ranges. The downgrade of IO class,
Class X, is consistent with the credit quality of its referenced
classes.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment 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 principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.5. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and
Remittance Statements. On a periodic basis, Moody's also performs
a full transaction review that involves a rating committee and a
press release. Moody's prior transaction review is summarized in a
press release dated December 6, 2012.
Deal Performance
As of the July 15, 2013 Payment Date, the transaction's
certificate balance decreased by approximately 48% since last
review to $256.7 million from the payoff of three loans. The
Certificates are collateralized by senior interests in four
floating rate whole loans and one REO property. The four loans
range in size from 8% to 51% of the pool. The loan backed by the
REO property has a current balance representing 5% of the pooled
trust balance.
Moody's weighted average pooled trust LTV ratio is 101% compared
to 94% at last review. Moody's weighted average stressed DSCR for
the pooled trust debt is 1.27x.
Cumulative pool bond loss total $4.4 million and affects Class L.
As of the July 15, 2013 Payment Date outstanding servicing
advances total $1.7 million in connection with the Rex Corp
NJ/Long Island Land Loan that is REO. There are currently three
loans, representing 72% of the pooled balance, in special
servicing, including the Maui Prince Resort loan, the Hilton Long
Beach loan and the RexCorp NJ/Long Island Land loan.
The largest loan in the pool is secured by a fee interest in the
Maui Prince Resort ($130.0 million -- 51% of the pooled balance),
a 310-key full-service hotel with two 18-hole golf courses and
1,194 acres of undeveloped land located in Wailea-Maena, Hawaii.
The $150.0 million whole loan includes a $20.0 million non-trust
subordinate debt component. The hotel is now called the Makena
Beach & Golf Resort. The loan was transferred to Special Servicing
in June 2009 for Maturity Default. The rake investor assumed the
A-Note and converted its interest in the rakes, or non-pooled
bonds, to equity as part of the loan assumption. The A-Note
received a principal pay down of $12.5 million and loan maturity
was extended to July 9, 2013 with two one-year extension options.
The Borrower exercised the first 12-month extension on July 9,
2013 and paid down the loan by another $20 million. Moody's did
not rate the three rake bonds associated with this loan (Classes
M-MP, N-MP and O-MP). The hotel had negative cash flow in calendar
year 2012. Moody's current credit assessment is Caa3 compared to
B3 at last review.
The second largest loan is the Marriott Washington D.C. loan
($51.2 million -- 20%) secured by a 471-key full-service hotel
located in Washington, D.C. The $114.5 million whole-loan includes
a $1.7 million rake bond (Class O-MD) and a $61.6 million non-
trust subordinate debt component. The loan was modified in June
2012 and extended to May 2015. RevPAR for calendar year 2012 was
$127, a 5.0% decline from the preceding year. Moody's current
credit assessment is B2 compared to Ba3 at last review.
The third largest loan is the Hilton Long Beach loan ($39.1
million -- 15%) secured by a 393-key full-service hotel located in
Long Beach, California. The loan was transferred to special
servicing in June 2012 due to maturity default. The special
servicer is currently structuring a loan modification with the
Senior Mezzanine Lender to contribute fresh capital and extend the
loan contingent upon the Senior Mezzanine Lender obtaining title
to the property. The $53.0 million whole loan includes a $13.9
million non-trust subordinate debt component. The mezzanine debt
has a current balance of $24.0 million. Moody's current credit
assessment is Caa3, the same as last review.
WACHOVIA BANK 2003-C6: Moody's Cuts Rating on Class IO Certs to B2
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of seven classes,
affirmed one class and downgraded one class of Wachovia Bank
Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2003-C6 as follows:
Cl. G, Upgraded to Aaa (sf); previously on Sep 6, 2012 Upgraded to
Aa2 (sf)
Cl. H, Upgraded to Aaa (sf); previously on Sep 6, 2012 Upgraded to
A2 (sf)
Cl. J, Upgraded to Aa2 (sf); previously on Sep 6, 2012 Upgraded to
Baa2 (sf)
Cl. K, Upgraded to A2 (sf); previously on Sep 17, 2003 Definitive
Rating Assigned Ba2 (sf)
Cl. L, Upgraded to Baa1 (sf); previously on Sep 17, 2003
Definitive Rating Assigned Ba3 (sf)
Cl. M, Upgraded to Ba1 (sf); previously on Sep 17, 2003 Definitive
Rating Assigned B1 (sf)
Cl. N, Upgraded to B2 (sf); previously on Dec 2, 2010 Downgraded
to Caa1 (sf)
Cl. O, Affirmed Caa3 (sf); previously on Dec 2, 2010 Downgraded to
Caa3 (sf)
Cl. IO, Downgraded to B2 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Ratings Rationale:
The upgrades are due to an increase in credit support from loan
amortization and payoffs. The deal has paid down 84% since Moody's
last review. Further credit support improvement is expected
because the deal's largest remaining loan ($23 million - 32.1% of
the pool) is fully defeased and matures in August 2013.
The rating of Class O is consistent with Moody's expected loss and
thus is affirmed. Depending on the timing of loan payoffs and the
severity and timing of losses from specially serviced loans, the
credit enhancement level for rated classes could decline below the
current levels. If future performance materially declines, the
expected level of credit enhancement and the priority in the cash
flow waterfall may be insufficient for the current ratings of
these classes.
The rating of the interest-only class, Class IO, is downgraded to
align its expected credit performance with that of its referenced
classes.
Moody's rating action reflects a base expected loss of 3.8% of the
current pooled balance compared to 2.8% at last review. The deal
has paid down substantially since Moody's last review, but
realized losses have only increased by $1 million. Moody's based
expected loss plus realized losses is now 0.9% of the original
deal balance compared to 1.8% at last review.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time to
time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key
parameters may indicate that the collateral's credit quality is
stronger or weaker than Moody's had anticipated during the current
review. Even so, deviation from the expected range will not
necessarily result in a rating action. There may be mitigating or
offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to
amortization and loan payoffs or a decline in subordination due to
realized losses.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery in the 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 methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September 2000
and "Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.62 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a paydown analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the credit assessment
level, is incorporated for loans with similar credit assessments
in the same transaction.
CMBS Conduit Model v 2.62 includes an IO calculator, which uses
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit assessments; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type as defined in the published methodology.
The calculator then returns a calculated IO rating based on both a
target and mid-point. For example, a target rating basis for a
Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis
for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3
(sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If
the calculated IO rating factor is 700, the CMBS IO calculator
would provide both a Baa3 (sf) and Ba1 (sf) IO indication for
consideration by the rating committee.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of eight compared to 19 at Moody's prior review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel based Large Loan Model v 8.5 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated September 6, 2012.
WASHINGTON MUTUAL 2005-C1: Fitch Affirms 'D' Rating on Cl. N Certs
------------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed eight classes
of Washington Mutual Asset Securities Corporation (WAMU)
commercial mortgage pass-through certificates, series 2005-C1.
Key Rating Drivers
Fitch modeled losses of 4.2% of the remaining pool; expected
losses on the original pool balance total 0.4%, including $1.2
million (0.2% of the original pool balance) in realized losses to
date. Fitch has designated five loans (7.3%) as Fitch Loans of
Concern. There are currently no specially serviced loans in the
transaction.
As of the July 2013 distribution date, the pool's aggregate
principal balance has been reduced by 94.8% to $33.8 million from
$649.5 million at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes L through N.
Rating Sensitivity
Rating Outlooks on classes D through G remain Stable and classes H
and J are revised to Stable from Negative due to increasing credit
enhancement and continued paydown. Although the credit enhancement
remains high, future upgrades are limited due to upcoming
maturities, small balance nature of the loans and adverse
selection.
The largest loan of concern (2.8%) is secured by an office
property consisting of 23,017 square feet (sf) located in Cameron
Park, CA. The property is 86% occupied as of March 2013 with
average asking rent of $15.64 per square foot (psf). The largest
tenants are Rapid Health Walk In Clinic (22%), lease expiration
March 2014; Church of the Foothills (13%), lease expiration July
2014, and Choices Transitional Services (12%), lease expiration
March 2014. The property has upcoming rollover of 9% in 2013 and
50% in 2014. Per REIS as of the second quarter of 2013, the
Sacramento metro office market vacancy rate is 21.4% with average
asking rents of $23.70 psf. The El Dorado County office submarket
vacancy rate is 20.7% with average asking rents of $19.79 psf.
Fitch upgrades the following classes as indicated:
-- $4.9 million class F to 'AAAsf' from 'AAsf', Outlook Stable ;
-- $5.7 million class G to 'AAsf' from at 'Asf', Outlook Stable.
Fitch affirms the following classes and revises Rating Outlooks as
indicated:
-- $26,676 class D at 'AAAsf', Outlook Stable;
-- $5.7 million class E at 'AAAsf', Outlook Stable;
-- $8.1 million class H at 'BBBsf', Outlook to Stable from
Negative;
-- $3.3 million class J at 'BBsf', Outlook to Stable from
Negative;
-- $2.4 million class K at 'CCCsf', RE 100%;
-- $2.4 million class L at 'Csf', RE 0%;
-- $812,000 class M at 'Csf', RE 0%;
-- $460,308 class N at 'Dsf', RE 0%.
The class A-1, A-2, A-J, B and C certificates have paid in full.
Fitch previously withdrew the rating on the interest-only class X
certificates.
WAYFARER 2006-2: Moody's Hikes Ratings on 5 CBO Note Classes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by SGS Inv. Grade Credit Fund (Wayfarer
2006-2), Ltd.:
$870,300,000 (current outstanding balance of $850,254,652) Class
A-1 Delayed Drawdown Notes, Due December 2013, Upgraded to Aaa
(sf); previously on May 9, 2013 Aa1 (sf) Placed Under Review for
Possible Upgrade
$60,000,000 Class A-2 Floating Rate Notes, Due December 2013,
Upgraded to Baa2 (sf); previously on May 9, 2013 B2 (sf) Placed
Under Review for Possible Upgrade
$20,000,000 Class B Floating Rate Notes, Due December 2013,
Upgraded to B1 (sf); previously on May 9, 2013 Caa3 (sf) Placed
Under Review for Possible Upgrade
$10,000,000 Class C Deferrable Floating Rate Notes, Due December
2013, Upgraded to Caa2 (sf); previously on May 9, 2013 Ca (sf)
Placed Under Review for Possible Upgrade
$15,000,000 Class D Deferrable Floating Rate Notes (current
outstanding balance of $9,754,949), Due December 2013, Upgraded to
Caa3 (sf); previously on May 9, 2013 Ca (sf) Placed Under Review
for Possible Upgrade
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are a
result of the level of credit enhancement remaining in the
portfolio relative to the time to maturity of the notes as well as
applying revised CLO assumptions described in "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013. Moody's also announced that it had concluded its review
of its ratings on the issuer's Class A-1 Notes, Class A-2 Notes,
Class B Notes, Class C Notes and Class D Notes announced on May 9,
2013.
Moody's notes that the transaction has a remaining time to
maturity of 0.4 years. In addition, as a result of the failure of
the Class C overcollateralization test, excess interest payments
are currently being diverted into a collateral account and the
Class A-1 Notes commitment amount is reduced by the interest
diverted. The commitment amount of the Class A-1 Notes has been
reduced by $8.5 million, or 1.0%, since the rating action in April
2012. While the credit quality of the portfolio has deteriorated
since the last rating action in April 2012, the interest payment
diversions are credit positive for the Notes. Additionally,
Moody's notes that interest payments are current for the Class C
Notes as of the last payment period in June 2013. The Class A/B,
Class C and Class D overcollateralization ratios are reported at
103.09%, 102.00% and 100.93%, respectively, versus March 2012
levels of 102.26%, 101.18% and 100.17%, respectively.
In addition, these actions reflect key changes to modeling
assumptions applied by Moody's in its methodology for rating CLOs,
which impact transactions that have material exposure to
collateral other than first-lien loans. As part of the methodology
update, Moody's uses its corporate family rating, when available,
to determine the default probability of both first-lien loans and
other less common instruments, including senior secured, senior
unsecured and subordinated bonds, senior secured floating rate
notes, as well as second-lien and senior unsecured loans. Moody's
also harmonized its recovery rate treatment of senior secured
bonds, second-lien loans and senior secured floating rate notes as
one group, and senior unsecured loans, senior unsecured bonds and
subordinated bonds as another. In the case of SGS Inv. Grade
Credit Fund (Wayfarer 2006-2), Ltd., the methodology update
resulted in Moody's assuming a lower WARF in its analysis when
compared to the previous methodology.
Moody's notes that key model inputs used by Moody's in it
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 $956 million, defaulted par of $10
million, a weighted average default probability of 0.41% (implying
a WARF of 1069), a weighted average recovery rate upon default of
21.32%, and a diversity score of 48. The default and recovery
properties of the collateral pool are incorporated in cash flow
model analysis. 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.
SGS Inv. Grade Credit Fund (Wayfarer 2006-2), Ltd., issued in
December 2006, is a collateralized bond obligation backed
primarily by a synthetic portfolio of corporate bonds with
originally investment grade ratings.
The methodologies used in this rating were "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013, and "Moody's Approach to Rating Corporate Collateralized
Synthetic Obligations" published in September 2009.
This publication, "Moody's Global Approach to Rating
Collateralized Loan Obligations" (May 2013), incorporates rating
criteria that apply to both collateralized loan obligations and
collateralized bond obligations.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8 to model the default distribution of the reference
obligations. Within this framework, defaults are generated so that
they occur with the frequency indicated by the adjusted default
probability pool for each reference obligation.
Once the default distribution for the collateral has been
calculated, each scenario is associated with the interest and
principal received by the rated liability classes via the CDOEdge
cash-flow model . The Expected Loss (EL) for each tranche is the
weighted average of losses to each tranche across all the
scenarios, where the weight is the likelihood of the scenario
occurring. Moody's defines the loss as the shortfall in the
present value of cash flows to the tranche relative to the present
value of the promised cash flows. The present values are
calculated using the promised tranche coupon rate as the discount
rate. For floating rate tranches, the discount rate is based on
the promised spread over Libor and the assumed Libor scenario.
Moody's notes that this transaction is subject to performance
uncertainties including (a) variations over time in default rates
for instruments with a given rating, (b) variations in recovery
rates for instruments with particular seniority/security
characteristics and (c) the default and recovery correlations
characteristics of the reference pool.
WELLS FARGO 2013-LC12: Fitch Rates $14.09MM Cl. F Certificates 'B'
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
Wells Fargo Commercial Mortgage Trust 2013-LC12 pass-through
certificates:
-- $130,432,000 class A-1 'AAAsf'; Outlook Stable;
-- $80,000,000 class A-2 'AAAsf'; Outlook Stable;
-- $160,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $363,055,000 class A-4 'AAAsf'; Outlook Stable;
-- $149,929,000 class A-SB 'AAAsf'; Outlook Stable;
-- $103,000,000** class A-3FL# 'AAAsf'; Outlook Stable;
-- $0** class A-3FX 'AAAsf'; Outlook Stable;
-- $116,257,000 class A-S 'AAAsf'; Outlook Stable;
-- $986,416,000* class X-A 'AAAsf'; Outlook Stable;
-- $88,072,000 class B 'AA-sf'; Outlook Stable;
-- $56,367,000 class C 'A-sf'; Outlook Stable;
-- $260,696,000 class PEX 'A-sf'; Outlook Stable;
-- $66,936,000** class D 'BBB-sf'; Outlook Stable;
-- $28,183,000** class E 'BBsf'; Outlook Stable;
-- $14,092,000** class F 'Bsf'; Outlook Stable.
# Floating rate
* Notional amount and interest-only
** Privately placed pursuant to Rule 144A
Class A-S, class B and class C certificates may be exchanged for a
related amount of class PEX certificates. Class PEX certificates
may be exchanged for a related amount of class A-S, class B and
class C certificates.
Fitch does not rate the $95,118,821 interest-only class X-B or the
$52,843,821 class G. Several class balances have been updated
since Fitch issued its expected ratings on July 9, 2013. In
addition, one class (A-5) has been withdrawn. The classes above
reflect the final ratings and deal structure.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 83 loans secured by 150 commercial
properties having an aggregate principal balance of approximately
$1.409 billion as of the cutoff date. The loans were contributed
to the trust by Ladder Capital Finance LLC, The Royal Bank of
Scotland plc, and Wells Fargo Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 82.4% of the properties
by balance, cash flow analysis of 79.7%, and asset summary reviews
on 79.7% of the pool.
Key Rating Drivers
Fitch Leverage: This transaction has slightly higher leverage than
other recent Fitch-rated fixed-rate deals. The pool's Fitch DSCR
and LTV are 1.26x and 103.6%, respectively, compared to the 2012
averages of 1.24x and 97.2%, and first half 2013 averages of 1.36x
and 99.8%.
Pool Concentration: The pool is slightly more concentrated by loan
size and sponsor than average transactions in 2012 and first half
2013. The top 10 loans represent 56.2% of the pool, higher than
the 2012 and first half 2013 average concentrations of 54.2% and
54.3%, respectively. The pool has a loan concentration index of
366.
Retail Properties: The pool has a 39.8% concentration of retail
properties, which is higher than the 2012 and first half 2013
average retail concentrations of 35.9% and 31.6%, respectively.
Four of the six largest loans are secured by regional malls, which
collectively represent 23.9% of the pool.
Lack of Amortization: This pool has nine full-term interest only
loans, representing 14% of the pool, compared to the 2012 average
interest only concentration of 13%. The pool also has 17 partial
interest loans (48.8%), which represent a higher concentration
than the average 2012 partial interest concentration of 20.1%. The
pool is scheduled to amortize 14.9% prior to maturity.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 14.2% below
the full-year 2012 net operating income (NOI) (for properties that
2012 NOI was provided, excluding properties that were stabilizing
during this period). Unanticipated further declines in property-
level NCF could result in higher defaults and loss severity on
defaulted loans and could result in potential rating actions on
the certificates.
Fitch evaluated the sensitivity of the ratings assigned to WFCM
2013-LC12 certificates and found that the transaction displays
average sensitivity to further declines in NCF. In a scenario in
which NCF declined a further 20% from Fitch's NCF, a downgrade of
the junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf'
could result. The presale report includes a detailed explanation
of additional stresses and sensitivities on pages 86-87.
The Master Servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
Rialto Capital Advisors, LLC, rated 'CSS2-' by Fitch.
WFRBS 2011-C3: Moody's Keeps Ratings over Servicer Replacement
--------------------------------------------------------------
Moody's Investors Service was informed that Rialto Real Estate
Fund, LP, as Subordinate Class Representative (SCR) has elected to
terminate Midland Loan Services (Midland) as the existing Special
Servicer and has elected to appoint Rialto Capital Advisors, LLC,
as the successor Special Servicer. The Proposed Special Servicer
Transfer and Replacement will become effective upon satisfaction
of the conditions precedent set forth in the governing documents.
Moody's has reviewed the Proposed Special Servicer Replacement.
Moody's has determined that this proposed special servicing
replacement will not, in and of itself, and at this time, result
in a downgrade or withdrawal of the current ratings to any class
of certificates rated by Moody's for:
WFRBS Commercial Mortgage Trust 2011-C3, Pass-Through
Certificates, Series 2011-C3;
WFRBS Commercial Mortgage Trust 2011-C4, Pass-Through
Certificates, Series 2011-C4
Moody's opinion only addresses the credit impact associated with
the proposed designation and transfer of special servicing rights.
Moody's is not expressing any opinion as to whether this change
has, or could have, other non-credit related effects that may have
a detrimental impact on the interests of note holders and/or
counterparties.
The last rating action for WFRBS Commercial Mortgage Trust 2011-
C3, Pass-Through Certificates, Series 2011-C3 was taken on May 9,
2013. The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
The last rating action for WFRBS Commercial Mortgage Trust 2011-
C4, Pass-Through Certificates, Series 2011-C4 was taken on May 30,
2013. The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's will continue to monitor these ratings. Any change in the
ratings will be publicly disseminated by Moody's through
appropriate media.
On May 30, 2013, Moody's affirmed the ratings of 14 classes of WF-
RBS Commercial Mortgage Trust 2011-C4, Commercial Mortgage Pass-
Through Certificates, Series 2011-C4 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-FL, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-FX, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Aug 10, 2011 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Ba2 (sf)
Cl. G, Affirmed B2 (sf); previously on Aug 10, 2011 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Aug 10, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Also on May 9, 2013, Moody's affirmed the ratings of 12 classes of
WFRBS Commercial Mortgage Trust 2011-C3, Commercial Mortgage Pass-
Through Certificates, Series 2011-C3 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Aaa (sf)
Cl.A-3FL, Affirmed Aaa (sf); previously on Jun 9, 2011 Assigned
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Jun 9, 2011 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Jun 9, 2011 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun 9, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
WFRBS 2012-C6: Moody's Keeps Ratings on Servicing Rights Transfer
-----------------------------------------------------------------
Moody's Investors Service was informed that RREF CMBS AIV, LP, as
Subordinate Class Representative (SCR) has elected to terminate
Midland Loan Services (Midland) as the existing Special Servicer
and has elected to appoint Rialto Capital Advisors, LLC, as the
successor Special Servicer. The Proposed Special Servicer Transfer
and Replacement will become effective upon satisfaction of the
conditions precedent set forth in the governing documents.
Moody's has reviewed the Proposed Special Servicer Replacement.
Moody's has determined that this proposed special servicing
replacement will not, in and of itself, and at this time, result
in a downgrade or withdrawal of the current ratings to any class
of certificates rated by Moody's for WFRBS Commercial Mortgage
Trust 2012-C6, Pass-Through Certificates, Series 2012-C6.
Moody's opinion only addresses the credit impact associated with
the proposed designation and transfer of special servicing rights.
Moody's is not expressing any opinion as to whether this change
has, or could have, other non-credit related effects that may have
a detrimental impact on the interests of note holders and/or
counterparties.
The last rating action for WFRBS Commercial Mortgage Trust 2012-
C6, Pass-Through Certificates, Series 2012-C6 was taken on May 14,
2013.
The methodology used in monitoring this transaction was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
On March 14, 2013, Moody's affirmed the ratings of 11 classes of
WF-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-C6 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Apr 5, 2012 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Apr 5, 2012 Definitive
Rating Assigned Aaa (sf)
WFRBS 2013-C15: Fitch to Rate Class F Certificates 'B'
------------------------------------------------------
Fitch Ratings has issued a presale report on WFRBS Commercial
Mortgage Trust 2013-C15 Pass-Through Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $60,151,000 Class A-1 'AAAsf'; Outlook Stable;
-- $48,146,000 Class A-2 'AAAsf'; Outlook Stable;
-- $260,000,000 Class A-3 'AAAsf'; Outlook Stable;
-- $301,785,000 Class A-4 'AAAsf'; Outlook Stable;
-- $104,819,000 Class A-SB 'AAAsf'; Outlook Stable;
-- $80,257,000 Class A-S 'AAAsf'; Outlook Stable;
-- $855,158,000* Class X-A 'AAAsf'; Outlook Stable;
-- $74,723,000 Class B 'AA-sf'; Outlook Stable;
-- $42,896,000 Class C 'A-sf'; Outlook Stable;
-- $197,876,000b Class PEX 'A-sf'; Outlook Stable;
-- $62,269,000a Class D 'BBB-sf'; Outlook Stable;
-- $22,140,000a Class E 'BBsf'; Outlook Stable;
-- $11,070,000a Class F 'Bsf'; Outlook Stable.
* Notional amount and interest-only.
a Privately placed pursuant to Rule 144A.
b Class A-S, class B and class C certificates may be exchanged
for class PEX certificates; and class PEX certificates may be
exchanged for class A-S, class B and class C certificates.
The expected ratings are based on information provided by the
issuer as of July 29, 2013. Fitch does not expect to rate the
$38,745,430 Class G.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 86 loans secured by 136 commercial
properties having an aggregate principal balance of approximately
$1.107 billion as of the cutoff date. The loans were contributed
to the trust by The Royal Bank of Scotland; Wells Fargo Bank,
National Association; NCB, FSB; Liberty Island Group I LLC; C-III
Commercial Mortgage LLC; and Basis Real Estate Capital II, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 78.7% of the properties
by balance, cash flow analysis of 87.1%, and asset summary reviews
on 87.1% of the pool.
Key Rating Drivers
Fitch Leverage: The Fitch debt service coverage ratio (DSCR) and
loan-to-value (LTV) of 1.74x and 96.6%, respectively, are better
than the average DSCR and LTV of 1.36x and 99.8% of Fitch-rated
conduit transactions for the first half of 2013. Excluding the
loans collateralized by cooperative housing (co-op) properties,
which make up 9.4% of the pool, the Fitch DSCR and LTV are 1.25x
and 103.1%.
Loan Concentration: The 10 largest loans account for 56.2% of the
pool balance, which is higher than the respective average 2012 and
first half 2013 top 10 loan concentrations of 54.2% and 54.3%. In
addition, no loan accounts for more than 10% of the pool's
aggregate cut-off principal balance. The loan concentration index
(LCI) of 441 represents one of the more concentrated conduit pools
by loan size.
Property Type Diversity: The pool has a higher concentration of
retail (38.8%) than the average conduit transactions through the
first-half 2013, with three malls in the top-six loans.
Additionally, three of the top-10 loans are secured by self-
storage properties, a property type not common in the top-10, but
which has historically exhibited a delinquency rate of less than
half the overall CMBS delinquency rate. Further, there is a higher
exposure to hotels, at 18.0% of the pool, which is somewhat
mitigated by the high concentration of multifamily/manufactured
housing of 17.5%. The average first-half 2013 property type
concentrations for retail, hotel and multifamily/manufactured
housing are, respectively, 31.6%, 13.8%, and 15.0%.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 16.5% below
the full-year 2012 net operating income (NOI) (for properties for
which 2012 NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severity on defaulted loans, and could result in potential rating
actions on the certificates. Fitch evaluated the sensitivity of
the ratings assigned to WFRBS 2013-C15 certificates and found that
the transaction displays average sensitivity to further declines
in NCF. In a scenario in which NCF declined a further 20% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to
'AAsf' could result. In a more severe scenario, in which NCF
declined a further 30% from Fitch's NCF, a downgrade of the junior
'AAAsf' certificates to 'A-sf' could result. The presale report
includes a detailed explanation of additional stresses and
sensitivities on pages 78-79.
The Master Servicers will be Wells Fargo Bank, N.A. and NCB, FSB,
rated 'CMS2' and 'CMS2-', respectively, by Fitch. The special
servicers will be CWCapital Asset Management LLC and NCB, FSB
rated 'CSS1-' and 'CSS3+', respectively, by Fitch.
WHITEHORSE III: Moody's Confirms 'Ba1' Rating on $12MM Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the
following notes issued by Whitehorse III Ltd.:
$19,000,000 Class A-3L Notes, Upgraded to Aaa (sf); previously on
July 15, 2013 Upgraded to A1 (sf) and Placed Under Review for
Possible Upgrade
$12,000,000 Class B-1L Notes, Upgraded to A2 (sf); previously on
July 15, 2013 Upgraded to Baa2 (sf) and Placed Under Review for
Possible Upgrade
Moody's also affirmed the ratings of the following notes:
$254,000,000 Class A-1L Notes (current outstanding balance of
$119,120,187), Affirmed Aaa (sf); previously on September 6, 2011
Upgraded to Aaa (sf)
$30,000,000 Class A-2L Notes (Current Outstanding Balance of
$18,500,000), Affirmed Aaa (sf); previously on July 15, 2013
Upgraded to Aaa (sf)
Lastly, Moody's confirmed the rating of the following notes:
$12,000,000 Class B-2L Notes (Current Outstanding Balance of
$10,332,877), Confirmed at Ba1 (sf); previously on July 15, 2013
Upgraded to Ba1 (sf) and Placed Under Review for Possible Upgrade
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.
Moody's notes that the Class A-1L Notes have been paid down by
approximately 41% or $83.1 million since December 2012. Based on
the latest trustee report dated June 20, 2013, the Senior Class A,
Class A, Class B-1L, and Class B-2L overcollateralization ratios
are reported at 145.4%, 127.8%, 118.7%, and 111.8%, respectively,
versus December 2012 levels of 128.7%, 118.6%, 112.9%, and 108.3%,
respectively.
Moody's notes that the underlying portfolio includes a number of
investments in securities that mature after the maturity date of
the notes. Based on the June 2013 trustee report, securities that
mature after the maturity date of the notes currently make up
approximately 7.5% 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. Notwithstanding
the increase in the overcollateralization ratio of the Class B-2L
Notes, Moody's confirmed the rating of the Class B-2L Notes due to
the market risk posed by the exposure to these long-dated assets.
Moody's also announced that it has concluded its review of its
ratings on the issuer's Class A-3L Notes, Class B-1L Notes, and
Class B-2L Notes announced on July 15, 2013. At that time, Moody's
said that it had upgraded and placed certain of the issuer's
ratings on review primarily as a result of substantial
deleveraging of the senior notes and increases in OC ratios
resulting from high rates of loan collateral prepayments during
the first half of 2013.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, diversity
score, and weighted average recovery rate, are based on its
published methodology and 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 $192.0 million, defaulted par of $12.0
million, a weighted average default probability of 17.10%
(implying a WARF of 2672), a weighted average recovery rate upon
default of 50.28%, and a diversity score of 46. 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.
Whitehorse III Ltd., issued in February 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
May 2013.
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 Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
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% (WARF = 2138)
Class A-1L: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: +2
Class B-2L: +2
Moody's Adjusted WARF + 20% (WARF = 3206)
Class A-1L: 0
Class A-2L: 0
Class A-3L: -2
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 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.
ZOHAR III: S&P Lowers Rating on Class A-2 Notes to 'B-'
-------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-1D, A-1R, A-1T, Swingline, A-2, and A-3 notes from Zohar
III Ltd., a U.S. collateralized loan obligation (CLO) transaction
of mainly middle market loans, managed by Patriarch Partners LLC.
The majority of obligors in Zohar III Ltd.'s collateral pool are
not rated by Standard & Poor's, but instead are credit estimated
for purposes of the CLO analysis based on the companies' financial
statements that the collateral manager provided.
The downgrades partially reflect a decrease in the
overcollateralization (O/C) available to support the notes since
S&P's last rating actions in April 2010, when it lowered its
ratings on all of the tranches following the application of S&P's
updated collateralized debt obligation (CDO) criteria. In the
June 2013 monthly report, the trustee reported the class A O/C
ratio at 120.05%, compared with a reported class A O/C ratio of
125.06% in March 2010.
Additionally, despite having a large collateral pool by CLO
standards (approximately $1.19 billion) Zohar III Ltd. has a
relatively small number of obligors, with some individual
positions representing a significant portion of the overall
collateral. According to S&P's records, the top 10 obligors in
the transaction represent more than 50% of the total assets. As a
result, the downgrades also partially reflect the application of
S&P's largest obligor exposure default test, one of two
supplemental tests in S&P's corporate CDO criteria intended to
address event risk and model risk that may be present in
rated transactions. The largest obligor test assesses whether a
CDO tranche has sufficient credit enhancement (not counting excess
spread) to withstand specified combinations of underlying asset
defaults based on the ratings on the underlying assets, with a
flat recovery of 5%. Either of S&P's supplemental tests may be a
limiting factor for its rating on a CDO tranche, in addition to
the cash flow analysis and output of the CDO Evaluator.
Additionally, the downgrades also reflect assumptions S&P made in
its analysis of certain obligors in the collateral pool. There
are approximately eight obligors in the underlying pool for which
S&P do not currently have either a rating or credit estimate based
on current information. For these assets from obligors for which
S&P has limited information, it treated the loans as defaulted and
given little or no recovery credit.
The transaction exited its reinvestment period in March 2012, and
has since begun to incrementally pay-down the class A-1 notes, pro
rata. After taking into account the June 2013 payment, each of
the class A-1 notes stand at approximately 90.9% of their original
balances.
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 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 LOWERED
Zohar III Ltd.
Rating
Class To From
Swingline A- (sf) AA+ (sf)
A-1D A- (sf) AA+ (sf)
A-1R A- (sf) AA+ (sf)
A-1T A- (sf) AA+ (sf)
A-2 B- (sf) BB+ (sf)
A-3 CCC- (sf) CCC+ (sf)
TRANSACTION INFORMATION
Issuer: Zohar III Ltd.
Co-issuer: Zohar III Corp.
Collateral manager: Patriarch Partners LLC
Underwriter: IXIS Capital Markets
Trustee: Bank of America N.A.
Transaction type: Cash flow CDO
CDO-Collateralized debt obligation.
* Fitch Says U.S. Bank TruPS CDOs Decreased at 2013 2nd Quarter
---------------------------------------------------------------
Combined defaults and deferrals for U.S. bank TruPS CDOs has
further decreased to 27.8% at the end of the second quarter of
2013 (2Q'13) from 28.2% at the end of 1Q'13, according to Fitch
Ratings.
Similar to the previous quarter, the number of new cures outpaced
the number of new defaults. While the number of new cures in
2Q'13, at 11, was lower than 25 in 1Q'13, it remains on par with
the average number of cures in the past two years.
The total number of bank issuers outstanding across Fitch rated
U.S. TruPS CDOs stood at 1435 at the end of 2Q'13. Of this total,
220 bank issuers were in default and 302 were in deferral.
* Fitch Takes Various Actions on 20 Trust Preferred CDOs
--------------------------------------------------------
Fitch Ratings has affirmed 61 tranches, upgraded 27 tranches, and
downgraded two tranches from 20 Collateralized Debt Obligations
(CDOs) backed primarily by Trust Preferred (TruPS) securities
issued by banks. In addition, Fitch has assigned various Rating
Outlooks.
The rating action report, titled 'Fitch Takes Various Rating
Actions on 20 TruPS CDOs', dated July 25, 2013, details the
individual rating actions and portfolio characteristics for each
rated CDO. It can be found on Fitch's website at
www.fitchratings.com' by performing a title search or by using the
link below. For further information and transaction research,
please refer to 'www.fitchratings.com'.
Key Rating Drivers:
Credit Quality of Collateral: For the most transactions, the
credit quality of the collateral portfolios, as measured by a
combination of Fitch's bank scores and ratings, remained stable or
improved. As reported in the rating action report, in 18 CDOs
average credit quality has improved since last review. Only eight
transactions experienced new deferrals and defaults, with most of
new defaults deferring at last review.
Collateral Redemptions: Since last rating action, Fitch has
continued to observe a meaningful level of redemptions used to pay
down the senior-most notes in TruPS CDOs contributing to increased
credit enhancement (CE) levels for rated liabilities. The
magnitude of redemptions for each CDO is reported in the rating
action report. Redemptions averaged three issuers per deal or 8.2%
of collateral balances since the last rating action.
The impact of redemptions varies across TruPS CDOs. In more
seasoned transactions with a relatively small senior note balance,
prepayments provided a significant deleveraging effect. However,
potential upgrades were weighed against the risk of adverse
selection in the remaining portfolios and the likelihood of the
remaining balance to be outstanding for an extended period of
time.
Excess Spread and CDO Structure: Excess spread continued to
contribute to deleveraging most of the CDOs. Given the steady
trends of declining new defaults and deferrals and increasing
numbers of cures, Fitch updated its criteria to estimate and
credit the future levels of excess spread over a five-year horizon
in its rating analysis. The details of the analytical framework
are explained in the criteria 'Surveillance Criteria for TruPS
CDOs,' dated July 10, 2013.
Future levels of excess spread will be affected by the state of
the coverage tests. As reported in the rating action report, six
of the 20 CDOs are currently failing the most senior
overcollateralization test and seven are currently failing the
second-tier overcollateralization test. Three transactions are
passing their coverage test but are currently capturing excess
spread through the Optimal Principal Distribution Amount (OPDA)
mechanism.
Fitch estimated time to cure for the most senior
overcollateralization coverage test using its base prepayment
assumptions, as described in Fitch criteria. This estimate assumes
no new defaults, deferrals or cures and a flat interest rate
environment.
Across the 20 deals, this additional credit enhancement did not
provide a meaningful uplift to the passing ratings given the
haircuts applied to the base line of excess spread levels for
various rating stresses. In addition, for some transactions whose
senior coverage tests recently came back in compliance, excess
spread is directed to re-pay accumulated deferred interest to the
second-priority classes previously cut off from receiving interest
by the failing coverage tests. This diminishes excess spread
available in the near-term future to deleverage transactions.
Resolution and Recovery of Defaults and Deferrals: The number of
cures continues to trend upward, as Fitch reports in its quarterly
Fitch Bank TruPS CDO index. Fitch assesses the likelihood of a
cure for a current deferral based on the score history of a
deferring issuer since deferral as described in its criteria.
Currently deferring issuers defined as 'strong' are assigned a
higher likelihood of curing than 'weak' deferrals.
Rating Sensitivities
Changes in the rating drivers described above could lead to rating
changes in the TruPS CDO notes.
To account for uncertainty around the pace of early redemptions,
and consequently, magnitude of future excess spread, Fitch's
rating analysis capped the levels of excess spread to the amounts
projected only over the near-term future.
In addition, to address potential risks of adverse selection and
increased portfolio concentration after likely redemptions by the
issuers with asset size of $15 billion or more, Fitch applied a
sensitivity scenario, as described in the criteria.
* Fitch Lowers Ratings on 43 Bonds to 'D'
-----------------------------------------
Fitch Ratings has taken various actions on already distressed
bonds in 27 U.S. commercial mortgage-backed securities (CMBS)
transactions. Fitch downgraded 43 bonds to 'D', as the bonds have
incurred a principal write-down. The bonds were all previously
rated 'C', which indicates that Fitch expected an imminent
default.
Fitch has also withdrawn the rating of one bond in the Merrill
Lynch 1996-C1 transaction as it has been reduced to zero due to
paydown or realized losses. The bond was rated 'Dsf'.
Key Rating Drivers
The downgrades are limited to just the bonds with write-downs. Any
remaining bonds in these transactions have not been analyzed as
part of this review.
A spreadsheet detailing Fitch's rating actions on the affected
transactions is available at 'www.fitchratings.com' by performing
a title search for: 'Fitch Downgrades, Withdraws Distressed
Classes in 27 Transactions'.
* Moody's Takes Action on $2.4-Bil. of RMBS Issued 2005 to 2006
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
and upgraded the ratings of 44 tranches backed by Alt-A and Option
ARM RMBS loans, issued by 14 RMBS transactions
Complete rating actions are as follows:
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J4
Cl. M-1, Upgraded to Baa3 (sf); previously on Aug 27, 2012
Upgraded to Ba1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-J7
Cl. X-A, Downgraded to Caa3 (sf); previously on Aug 27, 2012
Upgraded to Caa1 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2006-HY12
Cl. A-1, Upgraded to A2 (sf); previously on Aug 27, 2012 Upgraded
to Baa1 (sf)
Cl. A-2, Upgraded to A2 (sf); previously on Aug 27, 2012 Upgraded
to Baa1 (sf)
Cl. A-3, Upgraded to A2 (sf); previously on Aug 27, 2012 Upgraded
to Baa3 (sf)
Cl. A-4, Upgraded to Ba2 (sf); previously on Aug 13, 2010
Downgraded to B1 (sf)
Cl. A-4X, Upgraded to Ba2 (sf); previously on Aug 13, 2010
Downgraded to B1 (sf)
Issuer: Greenpoint Mortgage Funding Trust 2005-AR4
Cl. I-A-1, Upgraded to Ba2 (sf); previously on Aug 29, 2012
Upgraded to B3 (sf)
Cl. I-A-2a, Upgraded to Caa3 (sf); previously on Dec 14, 2010
Downgraded to Ca (sf)
Cl. I-A-2b Grantor Trust, Upgraded to Caa3 (sf); previously on Dec
14, 2010 Downgraded to Ca (sf)
Cl. I-A-2b Underlying, Upgraded to Caa3 (sf); previously on Dec
14, 2010 Downgraded to Ca (sf)
Issuer: Greenpoint Mortgage Funding Trust 2005-HY1
Cl. 1-A1A, Upgraded to Baa2 (sf); previously on Aug 30, 2012
Upgraded to Ba1 (sf)
Cl. 1-A1B, Upgraded to Caa2 (sf); previously on Aug 30, 2012
Upgraded to Caa3 (sf)
Cl. 2-A, Upgraded to Ba3 (sf); previously on Aug 30, 2012 Upgraded
to B3 (sf)
Issuer: HarborView Mortgage Loan Trust 2005-9
Cl. 1-A, Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded
to Caa1 (sf)
Underlying Rating: Upgraded to B2 (sf); previously on Dec 7, 2010
Downgraded to Caa1 (sf)
Financial Guarantor: Ambac Assurance Corporation (Segregated
Account - Unrated)
Cl. 1-X, Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded
to Caa1 (sf)
Cl. 2-A-1A, Upgraded to Baa2 (sf); previously on Aug 20, 2012
Upgraded to Ba1 (sf)
Cl. 2-A-1B, Upgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Underlying Rating: Upgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Financial Guarantor: Syncora Guarantee Inc. (Insured Rating
Withdrawn Nov 08, 2012)
Cl. 2-A-1C, Upgraded to B3 (sf); previously on Dec 7, 2010
Downgraded to Caa3 (sf)
Cl. 2-X, Upgraded to Ba3 (sf); previously on Aug 20, 2012
Confirmed at Caa1 (sf)
Cl. B-1, Upgraded to Ca (sf); previously on Dec 7, 2010 Downgraded
to C (sf)
Issuer: J.P. Morgan Alternative Loan Trust 2007-A2
Cl. 1-2-A3, Upgraded to Caa1 (sf); previously on Aug 30, 2012
Upgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates Series 2005-AR6
Trust
Cl. 1-A-1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-1A, Upgraded to Baa3 (sf); previously on Aug 17, 2012
Upgraded to Ba3 (sf)
Cl. 2-A-1B2, Upgraded to Caa1 (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Cl. 2-A-1B3, Upgraded to Caa1 (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR11
Cl. A-1A, Upgraded to Baa2 (sf); previously on Aug 17, 2012
Upgraded to Ba1 (sf)
Cl. A-1B2, Upgraded to Caa1 (sf); previously on Aug 17, 2012
Upgraded to Caa3 (sf)
Cl. A-1B3, Upgraded to Caa1 (sf); previously on Aug 17, 2012
Upgraded to Caa3 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR2
Cl. 1-A-1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-1A, Upgraded to Ba1 (sf); previously on Aug 17, 2012
Upgraded to Ba3 (sf)
Cl. 2-A-1B, Upgraded to Caa3 (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Cl. 2-A-2A1, Upgraded to B2 (sf); previously on Dec 3, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-2A3, Upgraded to B2 (sf); previously on Dec 3, 2010
Downgraded to Caa1 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR8
Cl. 1-A-1A, Upgraded to Baa1 (sf); previously on Aug 17, 2012
Upgraded to Ba1 (sf)
Cl. 2-A-1A, Upgraded to Baa1 (sf); previously on Aug 17, 2012
Upgraded to Baa3 (sf)
Cl. 2-A-1B2, Upgraded to B3 (sf); previously on Aug 17, 2012
Upgraded to Caa2 (sf)
Cl. 2-A-1B3, Upgraded to B3 (sf); previously on Aug 17, 2012
Upgraded to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2005-AR9
Cl. A-1B, Upgraded to Ba1 (sf); previously on Aug 17, 2012
Upgraded to B2 (sf)
Cl. A-1C3, Upgraded to Caa3 (sf); previously on Dec 3, 2010
Downgraded to Ca (sf)
Cl. A-2A, Upgraded to Caa1 (sf); previously on Dec 3, 2010
Downgraded to Caa2 (sf)
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2006-AR1
Cl. 2A-1A, Upgraded to Ba1 (sf); previously on Aug 17, 2012
Upgraded to Ba3 (sf)
Issuer: Wells Fargo Alternative Loan 2005-2 Trust
Cl. A-4, Upgraded to Aa3 (sf); previously on Aug 30, 2012 Upgraded
to A1 (sf)
Cl. A-5, Upgraded to A1 (sf); previously on Aug 30, 2012 Upgraded
to Baa1 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Aug 30, 2012
Upgraded to Caa3 (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 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) 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 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
8.2% in June 2012 to 7.6% in June 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 Action on $1-Bil. of RMBS Issued From 2003 to 2004
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 140
tranches, upgraded the ratings of four tranches, and confirmed the
ratings of 23 tranches backed by Prime Jumbo RMBS loans, issued by
miscellaneous issuers.
Complete rating actions are as follows:
Issuer: Banc of America Mortgage 2003-10 Trust
Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Financial Guarantor: Radian Asset Assurance Inc. (Affirmed at Ba1
on Feb 27, 2013, Outlook Negative)
Cl. 1-A-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-9 Trust
Cl. I-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Underlying Rating: Downgraded to Baa1 (sf); previously on Jun 19,
2013 A3 (sf) Placed Under Review for Possible Downgrade
Financial Guarantor: MBIA Insurance Corporation (Upgraded to B3,
Outlook Positive on May 21, 2013)
Cl. I-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-3, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-4, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A-5, Downgraded to Ba2 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X-B-1, Downgraded to Caa1 (sf); previously on May 11, 2012
Downgraded to B1 (sf)
Cl. X-B-2, Downgraded to Ca (sf); previously on May 11, 2012
Downgraded to Caa2 (sf)
Issuer: Banc of America Mortgage 2003-C Trust
Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2003-D Trust
Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-2 Trust
Cl. 4-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Banc of America Mortgage 2004-B Trust
Cl. 1-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2003-10
Cl. A-4, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-14, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-15, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-16, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-17, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2003-11
Cl. A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-6, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-22, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-31, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-32, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-33, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2003-39
Cl. A-8, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-12, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. A-16, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-18, Confirmed at A2 (sf); previously on Jun 19, 2013 A2 (sf)
Placed Under Review for Possible Downgrade
Cl. A-19, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf)
Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2003-49
Cl. A-6, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. A-7, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. A-8-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. A-8-B, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ba2 (sf); previously on Apr 13, 2012
Confirmed at Baa3 (sf)
Issuer: CHL Mortgage Pass-Through Trust 2003-J5
Cl. 1-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A-10, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-11, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. 1-A-12, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. 2-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: CHL Mortgage Pass-Through Trust 2004-J4
Cl. 3-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Citicorp Mortgage Securities, Inc. 2003-9
Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-22, Confirmed at Aa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-23, Confirmed at A1 (sf); previously on Jun 19, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. A-24, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. A-PO, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-1
Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. D-B-1, Downgraded to Baa3 (sf); previously on Nov 16, 2012
Downgraded to Baa1 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-11
Cl. I-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-5, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-31, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-32, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-39, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-A-40, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. I-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-B-2, Downgraded to B1 (sf); previously on Apr 25, 2013
Downgraded to Ba2 (sf)
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-17
Cl. I-A-2, Confirmed at Aa3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-24, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-25, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-28, Confirmed at Aa3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. I-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-11, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-12, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-3, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Confirmed at Aa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. III-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. IV-P, Confirmed at A3 (sf); previously on Jun 19, 2013 A3 (sf)
Placed Under Review for Possible Downgrade
Cl. IV-X, Downgraded to B2 (sf); previously on Apr 10, 2012
Confirmed at Ba3 (sf)
Cl. V-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. V-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. A-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-21
Cl. I-A-14, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-22, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. V-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-23
Cl. I-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-7, Upgraded to Baa2 (sf); previously on Feb 15, 2013
Affirmed Ba1 (sf)
Cl. I-A-18, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-21, Upgraded to Ba1 (sf); previously on Feb 15, 2013
Affirmed Ba3 (sf)
Cl. I-P, Upgraded to Ba1 (sf); previously on Feb 15, 2013 Affirmed
Ba3 (sf)
Cl. II-A-1, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-5, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-8, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
CL. III-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa1 (sf) Placed Under Review for Possible Downgrade
CL. III-A-5, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
CL. III-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
CL. III-A-8, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
CL. III-A-9, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
CL. III-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. VI-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. VII-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. VIII-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-8
Cl. I-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Confirmed at A1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-24, Confirmed at Baa1 (sf); previously on May 9, 2013
Baa1 (sf) Placed Under Review Direction Uncertain
Cl. III-A-25, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. IV-PPA-1, Confirmed at A3 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. V-P, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-P, Confirmed at A3 (sf); previously on May 9, 2013 A3 (sf)
Placed Under Review Direction Uncertain
Cl. C-B-2, Upgraded to Caa1 (sf); previously on Apr 10, 2012
Downgraded to Ca (sf)
Cl. D-B-1, Downgraded to Ba1 (sf); previously on May 9, 2013 Baa2
(sf) Placed Under Review Direction Uncertain
Cl. D-B-2, Confirmed at Caa2 (sf); previously on May 9, 2013 Caa2
(sf) Placed Under Review Direction Uncertain
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2004-4
Cl. I-A-11, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-14, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-15, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. II-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-9, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-11, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-7, Downgraded to Baa2 (sf); previously on Jun 19, 2013
A3 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-11, Downgraded to Baa2 (sf); previously on Jun 19, 2013
A3 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-3, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. V-A-4, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. D-B-2, Downgraded to Caa3 (sf); previously on May 24, 2012
Downgraded to Caa1 (sf)
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-C
Cl. A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. X-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-D
Cl. A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2003-F
Cl. A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
CL. A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. X-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. B-1, Downgraded to Baa3 (sf); previously on Apr 18, 2011
Downgraded to Baa1 (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. In addition, the downgrades reflect the exposure of the
affected bonds to tail risk due to the pro-rata pay nature of the
transaction. The rating actions for CSFB Mortgage-Backed Pass-
Through Certificates, Series 2003-8 also reflect the correction of
an error in the Structured Finance Workstation (SFW) cash flow
model used by Moody's in rating this transaction. In prior rating
actions, the cash flow model underestimated the amount of interest
paid to Class III-A-4. As a result, the ratings of 12 tranches
were placed on review direction uncertain on May 9, 2013. The
error has now been corrected and these rating actions reflect this
change.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
Subject to the results of a stress scenario analysis, Moody's caps
the ratings of bonds exposed to tail-end risk to A3 (sf) or below,
unless the bonds are expected to pay off within a year or are
expected to pay off well before the underlying pool is expected to
be small pool (100 loans).
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
8.2% in June 2012 to 7.6% in June 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 Action on $580.4MM of RMBS Issued 2001 to 2005
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 79
tranches from 13 RMBS transactions backed by Alt-A loans, issued
by various issuers.
Complete rating actions are as follows:
Issuer: Structured Asset Mortgage Investments II Trust 2004-AR1
Cl. I-A-1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-3, Downgraded to Baa3 (sf); previously on Jul 5, 2012
Downgraded to Baa2 (sf)
Cl. II-A-1, Downgraded to Baa3 (sf); previously on Jul 5, 2012
Downgraded to Baa1 (sf)
Issuer: Structured Asset Mortgage Investments II Trust 2005-AR5
Cl. A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. X-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. X-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Mortgage Investments Trust 2003-AR1
Cl. A-5, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corp 2003-8
Cl. 1-A2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 1-A4, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. 1-AP, Downgraded to Ba1 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A3, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A4, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A5, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A6, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A7, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A8, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A9, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A10, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A11, Downgraded to Ba1 (sf); previously on Jul 20, 2012
Downgraded to Baa1 (sf)
Cl. 2-A13, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-AP, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corp Trust 2002-17
Cl. 1-A7, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 1-AP, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A2, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A3, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corp Trust 2003-32
Cl. 1-A1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-A1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Cl. 3-A1, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 4-A1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 5-A1, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. 2-AP, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa3
(sf) Placed Under Review for Possible Downgrade
Issuer: Structured Asset Securities Corporation Mortgage Pass-
Through Certificates, Series 2001-16H
Cl. A1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1 (sf)
Placed Under Review for Possible Downgrade
Cl. A2, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1 (sf)
Placed Under Review for Possible Downgrade
Cl. A3, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1 (sf)
Placed Under Review for Possible Downgrade
Cl. AP, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1 (sf)
Placed Under Review for Possible Downgrade
Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-CB1
Cl. I-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-3, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-4, Downgraded to Baa1 (sf); previously on Jun 19, 2013
Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-5, Downgraded to Baa2 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
Cl. III-A-6, Downgraded to Baa1 (sf); previously on Jun 19, 2013
A1 (sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Ba1 (sf); previously on Jun 29, 2012
Downgraded to Baa2 (sf)
Cl. V-A, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Cl. VI-A, Downgraded to Ba1 (sf); previously on Jun 29, 2012
Downgraded to Baa3 (sf)
Cl. C-P, Downgraded to Baa2 (sf); previously on Jun 19, 2013 A3
(sf) Placed Under Review for Possible Downgrade
Issuer: Washington Mutual MSC 2003-AR4 Trust
Cl. I-A, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. V-A, Downgraded to A3 (sf); previously on Jun 19, 2013 A1 (sf)
Placed Under Review for Possible Downgrade
Cl. VI-A, Downgraded to A3 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Issuer: Washington Mutual MSC Mortgage 2003-AR1 Trust
Cl. I-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. V-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to B2 (sf); previously on Jun 29, 2012
Downgraded to Ba3 (sf)
Issuer: Washington Mutual MSC Mortgage 2003-AR3 Trust
Cl. I-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. II-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. III-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1
(sf) Placed Under Review for Possible Downgrade
Cl. IV-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. V-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Ba3 (sf); previously on Jun 29, 2012
Downgraded to Ba1 (sf)
Issuer: Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2002-AR3 Trust
Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-7, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa2
(sf) Placed Under Review for Possible Downgrade
CL. II-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to Baa3 (sf); previously on Jun 29, 2012
Downgraded to Baa2 (sf)
Issuer: Wells Fargo Alternative Loan Trust 2003-1 Trust
Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2
(sf) Placed Under Review for Possible Downgrade
Cl. I-A-2, Downgraded to Ba1 (sf); previously on Jun 15, 2012
Downgraded to Baa1 (sf)
Cl. I-A-3, Downgraded to Ba1 (sf); previously on Jun 15, 2012
Downgraded to Baa1 (sf)
Cl. II-A-1, Downgraded to A3 (sf); previously on Jun 19, 2013 Aa1
(sf) Placed Under Review for Possible Downgrade
Cl. A-PO, Downgraded to Ba1 (sf); previously on Jun 15, 2012
Downgraded to Baa1 (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The downgrades reflect the exposure of the affected
bonds to tail risk due to the pro-rata pay nature of the
transaction. The ratings of these securities are being capped to
A3 (sf) or below due to tail risk.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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 Hikes Ratings on 18 RMBS Tranches Issued 2005 to 2006
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 18 tranches
from seven transactions backed by subprime RMBS loans, issued by
various issuers.
Complete rating actions are as follows:
Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1
Cl. A-1, Upgraded to A3 (sf); previously on Dec 28, 2010 Upgraded
to Baa3 (sf)
Cl. A-2C, Upgraded to A3 (sf); previously on Aug 22, 2012
Confirmed at Ba1 (sf)
Cl. M-1, Upgraded to Ba2 (sf); previously on Aug 22, 2012 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded
to Caa2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Jul 19, 2010
Downgraded to C (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Jul 19, 2010
Downgraded to C (sf)
Cl. M-5, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Downgraded to C (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2005-HE1
Cl. M-1, Upgraded to Ba1 (sf); previously on Aug 22, 2012 Upgraded
to B2 (sf)
Issuer: Merrill Lynch Mortgage Investors, Inc. 2005-WMC1
Cl. M-1, Upgraded to A1 (sf); previously on Aug 22, 2012 Confirmed
at Baa1 (sf)
Cl. M-2, Upgraded to Baa2 (sf); previously on Aug 22, 2012
Confirmed at Ba1 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-C
Cl. A-1, Upgraded to Ba3 (sf); previously on Aug 21, 2012
Confirmed at B3 (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-D
Cl. A-1, Upgraded to B3 (sf); previously on Aug 21, 2012 Confirmed
at Caa2 (sf)
Issuer: NovaStar Mortgage Funding Trust 2005-3
Cl. A-2D, Upgraded to A1 (sf); previously on Aug 20, 2012
Confirmed at A3 (sf)
Cl. M-1, Upgraded to Ba2 (sf); previously on Aug 20, 2012
Confirmed at B2 (sf)
Cl. M-2, Upgraded to Caa1 (sf); previously on Aug 20, 2012
Confirmed at Caa3 (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2005-2
Cl. M-1, Upgraded to A3 (sf); previously on Aug 20, 2012 Confirmed
at Baa3 (sf)
Cl. M-2, Upgraded to Ba3 (sf); previously on Aug 20, 2012 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Aug 20, 2012
Upgraded to Ca (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or building credit enhancement on the bonds.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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 Action on $692MM of RMBS Issued 2005 to 2007
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 71
tranches and upgraded 14 tranches backed by Prime Jumbo RMBS
loans, issued by miscellaneous issuers from 2005 to 2007.
Complete rating actions are as follows:
Issuer: Banc of America Funding 2006-1 Trust, Mortgage Pass-
Through Certificates, Series 2006-1
Cl. 1-A-4, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-9, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-26, Upgraded to Baa3 (sf); previously on Feb 22, 2012
Upgraded to B1 (sf)
Cl. 1-A-27, Upgraded to Baa3 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 1-A-28, Upgraded to Baa3 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Cl. 2-A-1, Downgraded to Caa2 (sf); previously on Aug 6, 2012
Downgraded to B3 (sf)
Cl. 3-A-2, Downgraded to C (sf); previously on Apr 30, 2010
Downgraded to Ca (sf)
Cl. X-IO, Downgraded to Caa1 (sf); previously on Aug 6, 2012
Downgraded to B1 (sf)
Cl. X-PO, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Issuer: Banc of America Funding 2006-5 Trust, Mortgage Pass-
Through Certificates, Series 2006-5
Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-6, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-13, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. 1-A-14, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-11, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Cl. 2-A-12, Downgraded to Caa2 (sf); previously on Apr 30, 2010
Downgraded to Caa1 (sf)
Cl. 3-A-1, Downgraded to Caa2 (sf); previously on Aug 6, 2012
Downgraded to Caa1 (sf)
Cl. 30-PO, Downgraded to Caa3 (sf); previously on Apr 30, 2010
Downgraded to Caa2 (sf)
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-5
Cl. 1-A-7, Upgraded to Baa1 (sf); previously on Aug 6, 2012
Upgraded to Baa3 (sf)
Cl. 1-A-8, Upgraded to Baa1 (sf); previously on Aug 6, 2012
Upgraded to Baa3 (sf)
Cl. 3-A-2, Upgraded to Baa1 (sf); previously on Aug 6, 2012
Upgraded to Baa3 (sf)
Cl. 3-A-3, Upgraded to Baa1 (sf); previously on Aug 6, 2012
Upgraded to Baa3 (sf)
Issuer: Banc of America Funding Corporation, Mortgage Pass-Through
Certificates, Series 2005-7
Cl. 1-A-1, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-2, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B3 (sf)
Cl. 1-A-4, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf)
Cl. 1-A-5, Downgraded to Caa1 (sf); previously on Feb 22, 2012
Downgraded to B3 (sf)
Cl. 3-A-1, Downgraded to B1 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 3-A-2, Upgraded to Baa1 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Cl. 3-A-14, Upgraded to Baa1 (sf); previously on Apr 30, 2010
Downgraded to Ba3 (sf)
Issuer: Banc of America Mortgage 2005-1 Trust
Cl. 1-A-3, Downgraded to B1 (sf); previously on Aug 15, 2012
Upgraded to Ba1 (sf)
Cl. 1-A-4, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-5, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-6, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-15, Downgraded to B1 (sf); previously on Apr 21, 2010
Downgraded to Ba1 (sf)
Cl. 1-A-16, Downgraded to B1 (sf); previously on Apr 21, 2010
Downgraded to Ba1 (sf)
Cl. 1-A-17, Downgraded to Caa2 (sf); previously on Aug 15, 2012
Upgraded to B3 (sf)
Cl. 1-A-18, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-20, Downgraded to B1 (sf); previously on Aug 15, 2012
Upgraded to Ba2 (sf)
Cl. 1-A-21, Downgraded to B1 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-24, Downgraded to B1 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 30-PO, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba2 (sf)
Issuer: Banc of America Mortgage 2005-3 Trust
Cl. 1-A-2, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-3, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-4, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-5, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-11, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-15, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-21, Downgraded to B1 (sf); previously on Aug 15, 2012
Downgraded to Ba1 (sf)
Cl. 1-A-22, Downgraded to Caa3 (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-23, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)
Cl. 1-A-24, Downgraded to B1 (sf); previously on Aug 15, 2012
Downgraded to Ba1 (sf)
Cl. 1-A-28, Downgraded to B2 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)
Cl. 1-A-29, Downgraded to B1 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Cl. 1-A-30, Downgraded to Ca (sf); previously on Apr 21, 2010
Downgraded to Caa1 (sf)
Cl. 1-A-IO, Downgraded to B1 (sf); previously on Feb 22, 2012
Downgraded to Ba3 (sf)
Cl. 2-A-1, Downgraded to B3 (sf); previously on Apr 21, 2010
Downgraded to B2 (sf)
Cl. 2-A-2, Upgraded to Ba1 (sf); previously on Apr 21, 2010
Downgraded to B1 (sf)
Cl. 2-A-3, Downgraded to Caa1 (sf); previously on Apr 21, 2010
Downgraded to B3 (sf)
Cl. 30-PO, Downgraded to B3 (sf); previously on Apr 21, 2010
Downgraded to Ba3 (sf)
Issuer: Banc of America Mortgage 2005-E Trust
Cl. 3-A-1, Downgraded to B2 (sf); previously on Aug 15, 2012
Upgraded to Ba1 (sf)
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-10
Cl. 1-A-5, Upgraded to Ba3 (sf); previously on Aug 15, 2012
Upgraded to B2 (sf)
Cl. 1-A-13, Downgraded to B3 (sf); previously on Apr 30, 2010
Downgraded to B2 (sf)
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-11
Cl. 1-A-8, Downgraded to Caa1 (sf); previously on Aug 15, 2012
Downgraded to B3 (sf)
Cl. 2-A-1, Downgraded to B1 (sf); previously on Aug 15, 2012
Downgraded to Ba2 (sf)
Cl. X-IO, Downgraded to Caa1 (sf); previously on Apr 30, 2010
Downgraded to B1 (sf)
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-6
Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Aug 15, 2012
Confirmed at Caa1 (sf)
Cl. 1-A-16, Upgraded to Baa3 (sf); previously on Aug 15, 2012
Upgraded to B1 (sf)
Cl. 1-A-17, Upgraded to Baa3 (sf); previously on Aug 15, 2012
Upgraded to B1 (sf)
Issuer: GSR Mortgage Loan Trust 2006-7F
Cl. 2A-1, Upgraded to Caa2 (sf); previously on Aug 3, 2012
Downgraded to Caa3 (sf)
Cl. 3A-1, Downgraded to Caa3 (sf); previously on Aug 3, 2012
Downgraded to Caa2 (sf)
Cl. 3A-2, Downgraded to Caa3 (sf); previously on Aug 3, 2012
Downgraded to Caa2 (sf)
Cl. 3A-6, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-1, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 4A-5, Downgraded to Ca (sf); previously on Aug 3, 2012
Downgraded to Caa3 (sf)
Cl. 5A-1, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to Caa3 (sf)
Cl. 5A-2, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to Caa3 (sf)
Issuer: GSR Mortgage Loan Trust 2007-3F
Cl. 1A-2, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 2A-7, Downgraded to B3 (sf); previously on Aug 3, 2012
Confirmed at B2 (sf)
Cl. 3A-3, Downgraded to Caa3 (sf); previously on Aug 3, 2012
Downgraded to Caa2 (sf)
Cl. 3A-4, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 3A-5, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 3A-6, Downgraded to Caa3 (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Cl. 3A-7, Downgraded to Caa2 (sf); previously on Apr 27, 2010
Downgraded to Caa1 (sf)
Cl. 4A-1, Downgraded to Ca (sf); previously on Aug 3, 2012
Downgraded to Caa3 (sf)
Cl. 4A-2, Downgraded to Ca (sf); previously on Apr 27, 2010
Downgraded to Caa2 (sf)
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The downgrade rating actions reflect deterioration of
in collateral performance. The upgrade rating actions are a result
of improving performance of the related pools and/or faster pay-
down of the bonds due to high prepayments/faster liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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 Hikes Ratings on $151MM RMBS From Greenpoint & Lehman
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches backed by Alt-A and Option ARM RMBS loans, issued by two
RMBS transactions.
Complete rating actions are as follows:
Issuer: Greenpoint Mortgage Funding Trust 2005-AR5
Cl. I-A-1, Upgraded to Caa1 (sf); previously on May 2, 2013 Ca
(sf) Placed Under Review for Possible Upgrade
Issuer: Lehman XS Trust Series 2006-1
Cl. 1-A1, Upgraded to Ba2 (sf); previously on May 2, 2013 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-A2, Upgraded to Ba2 (sf); previously on May 2, 2013 Caa1
(sf) Placed Under Review for Possible Upgrade
Cl. 1-M1, Upgraded to Caa3 (sf); previously on May 2, 2013 C (sf)
Placed Under Review for Possible Upgrade
Ratings Rationale:
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools.
In addition, the rating actions reflect correction of errors in
the cash flow models previously used by Moody's in rating these
transactions. For Lehman XS Trust Series 2006-1, the cash flow
model used in prior rating actions applied a larger haircut than
it should have on the excess spread available to the deal, which
decreased the total cash flow available to pay down the bonds.
For Greenpoint Mortgage Funding Trust 2005-AR5, the cash flow
model used in prior rating actions allocated losses to senior
certificates from related groups after depletion of the
subordinate classes without regard to any loss allocation limit.
However, the Pooling and Servicing Agreement states that losses
will not be allocated to the certificates if, by such allocation,
the balance of these certificates becomes lower than the balance
of the related loan group.
Due to the discovery of these errors, four tranches were placed on
review for upgrade on May 2, 2013. The errors have now been
corrected, and these rating actions reflect these changes.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in June 2013.
The primary source of assumption uncertainty is the uncertainty in
Moody's central macroeconomic forecast and performance volatility
due to servicer-related issues. The unemployment rate fell from
8.2% in June 2012 to 7.6% in June 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.
* S&P Hikes 41 Tranche Ratings on 39 Synthetic CDO Transactions
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 41
tranche ratings from 39 corporate-backed synthetic collateralized
debt obligation (CDO) transactions and removed them from
CreditWatch positive. S&P also placed its ratings on 24 tranches
from 21 corporate-backed synthetic CDO transactions on CreditWatch
with positive implications and placed two tranches from two
synthetic CUSIP commercial mortgage-backed securities (CMBS)-
backed CDO transactions on CreditWatch with negative implications.
At the same time, S&P affirmed its ratings on two tranches from
two corporate-backed synthetic CDO transactions and removed one
from CreditWatch negative.
The rating actions follows S&P's monthly review of synthetic CDO
transactions. The CreditWatch positive placements and upgrades
reflect the seasoning of the transactions, the rating stability of
the obligors in the underlying reference portfolios over the past
few months, and the synthetic rated overcollateralization (SROC)
ratios, which had risen above 100% at the next-highest rating
level. The CreditWatch negative placements reflect a
deterioration of the underlying reference portfolio, which caused
the SROC ratio to fall below 100% at the current rating level.
The affirmations are from synthetic CDOs that had SROC ratios
above 100% or had sufficient credit enhancement at their current
rating levels.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS PLACED ON CREDITWATCH POSITIVE
Archstone Synthetic CDO II SPC
EUR7.5 mil, JPY5.5 bil, US$115 mil Archstone Synthetic CDO II SPC
Rating
To From
Class D-2 AA- (sf)/Watch Pos AA- (sf)
Corsair (Jersey) No. 4 Ltd.
US$4 bil Corsair (Jersey) No. 4 Ltd. Series 10 Partial Credit Loss
Protected Step-Down Portfolio USD$40,000,000 Credit Linked Notes
due 2027
Rating
To From
Notes BB+ (sf)/Watch Pos BB+ (sf)
Galena CDO II (Ireland) PLC
US$20 mil Class A-1U10-B Floating Rate Secured Portfolio Credit
Linked Notes due 2017
Rating
To From
Class A-1U10-B B+ (sf)/Watch Pos B+ (sf)
Greylock Synthetic CDO 2006
US$100 mil. Series 6 Sub-Class A1A-$LMS Notes Due 2014
Series 6
Rating
To From
Class A1A-$LMS AA- (sf)/Watch Pos AA- (sf)
Greylock Synthetic CDO 2006
US$96 mil Series 2 Sub-Class A3-LMS Notes Due 2017, Sub-Class A3-
FMS Notes Due 2017, Sub- Class A3A-FMS Notes Due 2017, Sub-Class
A3B-LMS Notes Due 2017
Rating
Class To From
A3-$FMS BB (sf)/Watch Pos BB (sf)
A3-$LMS BB (sf)/Watch Pos BB (sf)
A3A-$FMS BB (sf)/Watch Pos BB (sf)
A3B-$LMS BB (sf)/Watch Pos BB (sf)
Infiniti SPC Ltd.
US$20 mil. Infiniti SPC Ltd. acting on behalf of and for the
account of the Potomac Synthetic CDO 2007-2 Segregated Portfolio,
Series 10A-2
Rating
To From
Class 10A-2 BBB- (sf)/Watch Pos BBB- (sf)
Infinity SPC Ltd.
US$25 mil. Class B Floating Rate Notes (CPORTS POTOMAC 2007-1)
Rating
To From
Class B B+ (sf)/Watch Pos B+ (sf)
Lorally CDO Ltd. Series 2006-2
JPY2.5 bil. Lorally CDO Ltd. Series 2006-2
Rating
To From
Class 2006-2 AA- (sf)/Watch Pos AA- (sf)
Lorally CDO Ltd. Series 2006-4
JPY8.2 bil. Lorally CDO Ltd. Series 2006-4
Rating
To From
Class 2006-4 AA- (sf)/Watch Pos AA- (sf)
Marvel Finance 2007-3 LLC
US$112 mil. Marvel Finance 2007-3 LLC 2007-3
Rating
To From
Class IA BB- (sf)/Watch Pos BB- (sf)
Morgan Stanley ACES SPC
US$410 mil. Morgan Stanley ACES SPC 2006-27
Rating
To From
Class A BB (sf)/Watch Pos BB (sf)
Morgan Stanley ACES SPC
US$75 mil. Morgan Stanley ACES SPC 2006-35
Rating
To From
Class I B (sf)/Watch Pos B (sf)
PARCS Master Trust
US$2 mil. PARCS Master Trust Class 2007-6 Calvados (fixed
recovery) Units
2007-6 CALVADOS
Rating
To From
Trust unit B- (sf)/Watch Pos B- (sf)
PARCS-R Master Trust
US$228.15 mil. PARCS-R Master Trust, Series 2007-12
Rating
To From
Trust unit BBB (sf)/Watch Pos BBB (sf)
PARCS-R Master Trust
US$92.75 million PARCS-R Master Trust Class 2007-2 LSS (floating
recovery)
units
Rating
To From
Units BBB- (sf)/Watch Pos BBB- (sf)
Repacs Trust Series 2007 Rigi Debt Units
US$25 mil Repacs Trust Series 2007 Rigi Debt Units
Rating
To From
Debt units B- (sf)/Watch Pos B- (sf)
STARTS (Cayman) Ltd.
JPY200 mil. Maple Hill II Managed Synthetic CDO Series 2007-16
Rating
Class To From
B2-J2 B- (sf)/Watch Pos B- (sf)
STARTS (Cayman) Ltd.
US$10 mil. Maple Hill II Managed Synthetic CDO Series 2007-28
Rating
Class To From
A4-D4 B- (sf)/Watch Pos B- (sf)
STARTS (Cayman) Ltd.
US$20 mil. STARTS (Cayman) Ltd. Series 2006-5
Rating
Class To From
A2-D2 A (sf)/Watch Pos A (sf)
Strata Trust, Series 2007-5
US$3 mil. Strata Trust, Series 2007-5
Rating
To From
Notes B- (sf)/Watch Pos B- (sf)
Strata Trust, Series 2007-7
US$10 mil. Strata Trust, Series 2007-7
Rating
To From
Notes BB+ (sf)/Watch Pos BB+ (sf)
RATINGS PLACED ON CREDITWATCH NEGATIVE
Credit Default Swap
US$1 bil. Credit Default Swap - CRA600016
Rating
To From
Swap A+srp (sf)/Watch Neg A+srp (sf)
Credit Default Swap
US$1 bil. Credit Default Swap - CRA600036
Rating
To From
Swap A+srp (sf)/Watch Neg A+srp (sf)
RATINGS RAISED
Archstone Synthetic CDO II SPC
EUR7.5 mil., JPY5.5 bil., US$115 mil. Archstone Synthetic CDO II
SPC
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
Cloverie PLC
EUR100 mil. Floating-Rate Credit Linked Notes Series 2007-44
Rating
To From
Notes BB- (sf) B+ (sf)/Watch Pos
Cloverie PLC
EUR50 mil. Floating-Rate Credit Linked Notes Series 2007-43
Rating
To From
Notes BB- (sf) B+ (sf)/Watch Pos
Credit Default Swap
US$10 mil. Swap Risk Rating - Protection Buyer, CDS Reference
#CA1119131
Rating
To From
Tranche Asrb (sf) BBBsrb (sf)/Watch Pos
Credit Default Swap
US$10.891 bil Swap Risk Rating - Portfolio CDS Ref No.
SDB506494096
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.891 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506551445
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.892 bil. Swap Risk rating - Portfolio CDS Ref No.
SDB506551406
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.892 bil Swap Risk rating - Portfolio CDS Ref No.
SDB506551414
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.892 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506551423
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.893 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506546950
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$10.893 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506546955
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$10.893 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506547004
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$10.893 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506551442
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.894 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506551435
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.895 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506551383
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.895 bil. Swap Risk Rating - Portfolio CDS Ref No
SDB506494104
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$10.895 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506546935
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$10.895 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506546943
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$10.895 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506550851
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.895 bil. Swap Risk Rating - Portfolio CDS Ref. No.
SDB506551403
Rating
To From
Notes BB+srp (sf) BBsrp (sf)/Watch Pos
Credit Default Swap
US$10.896 bil. Swap Risk Rating - Portfolio CDS Ref No.
SDB506546906
Rating
To From
Notes A-srp (sf) BBBsrp (sf)/Watch Pos
Credit Default Swap
US$300 mil. Morgan Stanley Capital Services Inc. - ESP Funding I
Ltd. REF:
NGNGX
Rating
To From
Tranche A+srb (sf) A-srb (sf)/Watch Pos
Greylock Synthetic CDO 2006
US$185 mil. Series 1 Sub-Class A1-$LMS Notes Due 2014, Sub-Class
A1A-$LS Notes
Due 2014, Sub-Class A3-$LMS Notes Due 2014
Rating
To From
Class A3-$LMS A+ (sf) BBB+ (sf)/Watch Pos
Morgan Stanley ACES SPC
US$1 bil. Morgan Stanley ACES SPC 2007-6 Series NF8BK
Rating
To From
Notes AA+srp (sf) AA-srp (sf)/Watch Pos
Morgan Stanley ACES SPC
US$500 mil. Morgan Stanley ACES SPC 2007-6
Series NF8BM
Rating
To From
Notes AA+srp (sf) AA-srp (sf)/Watch Pos
Morgan Stanley ACES SPC
US$500 mil. Morgan Stanley ACES SPC 2007-6
Series NF8T1
Rating
To From
Notes AA+srp (sf) AA-srp (sf)/Watch Pos
Morgan Stanley ACES SPC
US$500 mil. Morgan Stanley ACES SPC 2007-6
Series NF8T4
Rating
To From
Notes AA+srp (sf) AA-srp (sf)/Watch Pos
Morgan Stanley ACES SPC
JPY7.5 bil., US$2.2 mil. class I secured fixed rate notes due 2017
and US$2.2 mil. class II secured floating rate notes (unrated) due
2017 Series 2007-38
Rating
To From
Class I B- (sf) CCC- (sf)/Watch Pos
ORSO Portfolio Tranche Index Certificates
US$28 mil. ORSO Portfolio Tranche Index Certificates Series 1
Trust
Rating
To From
Class CL AA+ (sf) AA- (sf)/Watch Pos
PARCS Master Trust
US$300 mil. PARCS Master Trust Class 2007-10 CDX7 10Y 10-15
(Floating
Recovery) Units
2007-10
Rating
To From
Trust unit BBB (sf) BBB- (sf)/Watch Pos
PARCS Master Trust
US$4 mil. PARCS Master Trust Class 2007-5 Calvados (fixed
recovery) Units
2007-5 CALVADOS
Rating
To From
Trust unit BB+ (sf) B+ (sf)/Watch Pos
REVE SPC
EUR5 mil. Series 26 Dryden XVII Notes of Series 2008-1 Class B 26
Rating
To From
Class B B+ (sf) B (sf)/Watch Pos
REVE SPC
EUR50 mil., JPY3 bil. US$154 mil REVE SPC Dryden XVII Notes Series
2007-1
Rating
Class To From
A Series 18 BB- (sf) B+ (sf)/Watch Pos
JSS Series 23 BBB+ (sf) BBB (sf)/Watch Pos
Rutland Rated Investments
US$105 mil. Dryden XII - IG Synthetic CDO 2006-2 DRYDEN06-2
Rating
To From
Class A1A-$LS A- (sf) BBB+ (sf)/Watch Pos
STARTS (Cayman) Ltd.
HKD200 mil. STARTS (Cayman) Ltd. 2006-7
Rating
To From
Class B1-H1 B+ (sf) B (sf)/Watch Pos
STARTS (Cayman) Ltd.
US$10 mil. STARTS (Cayman) Ltd. 2006-9
Rating
To From
Class B3-D3 B+ (sf) B (sf)/Watch Pos
STARTS (Cayman) Ltd.
US$30 mil. STARTS (Cayman) Ltd. 2006-4
Rating
To From
Class B2-D2 B+ (sf) B (sf)/Watch Pos
STARTS (Cayman) Ltd.
US$300 mil. STARTS (Cayman) Limited 2006-3
Rating
To From
Class B1-D1 B+ (sf) B (sf)/Watch Pos
STARTS (Ireland) PLC
US$50 mil. Maple Hill II Managed Synthetic CDO series 2007-31
2007-31
Rating
To From
Class A2-D2 BBB (sf) BBB- (sf)/Watch Pos
RATINGS AFFIRMED
Morgan Stanley Managed ACES SPC
EUR46 mil., JPY7.2 bil., US$310 mil. Morgan Stanley Managed ACES
SPC series
2006-6
Rating
Class To From
Jr Sup Sr CCC- (sf) CCC- (sf)
REVE SPC
EUR15 mil., JPY3 bil., US$81 mil. REVE SPC Segregated Portfolio of
Dryden XVII
Notes Series 34, 36, 37, 38, 39, and 40
Rating
To From
Series 37 CCC+ (sf) CCC+ (sf)/Watch Pos
* S&P Lowers 52 Ratings From 16 U.S. RMBS Transactions
------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on 52
classes from 16 U.S. residential mortgage-backed securities (RMBS)
transactions backed primarily by second-lien mortgage loans,
removing nine of them from CreditWatch with developing
implications and 41 of them from CreditWatch with negative
implications. One class from American Home Mortgage Investment
Trust 2004-4 remains on CreditWatch negative. S&P also raised its
ratings on eight classes from four transactions, removing seven of
them from CreditWatch developing. In addition, S&P affirmed its
ratings on 82 classes from 32 transactions, removing five of them
from CreditWatch developing and 12 of them from CreditWatch
negative.
The rating actions follows S&P's recently implemented revised
criteria for the surveillance of pre-2009 RMBS transactions backed
by second-lien mortgage loans, which includes closed-end second-
lien loans, home equity line of credit (HELOC) loans, and second-
lien high-combined loan-to-value (HLTV) loans.
S&P reviewed 142 ratings from 40 U.S. RMBS transactions issued
between 2001 and 2007 that are backed primarily by adjustable- and
fixed-rate closed-end second-lien, HELOC, and second-lien HLTV
mortgage loans on one- to four-family residential properties. Two
of these transactions are re-REMICs (real estate mortgage
investment conduits) backed by securities from second-lien
transactions.
"On March 29, 2013, we placed our ratings on 75 classes from 26
transactions within this review on CreditWatch negative or
developing, along with ratings from another group of RMBS
securities backed by second-lien mortgage loans. CreditWatch
negative placements accounted for approximately 72% of the total
CreditWatch actions, while CreditWatch developing placements
totaled approximately 28%. The high number of CreditWatch
negative placements reflected our view that the credit support
available for the majority of the classes was insufficient to
withstand our revised projected losses for their respective rating
categories. We completed our review using the new methodology and
assumptions, and today's rating actions resolve all of the
remaining CreditWatch placements except, as noted below, for the
rating on one class, which was lowered and remains on CreditWatch
negative; an overview of the CreditWatch resolutions is shown in
table 1," S&P said.
Table 1
CreditWatch Action Summary
Three or fewer More than three
From Affirmations notches notches
Up Down Up Down
Watch Pos 0 0 0 0 0
Watch Neg 12 0 24 0 18
Watch Dev 5 3 5 4 4
Table 2
Deals/Structures Reviewed
No. deals/
structures
Shelf Name reviewed
American Home Mortgage Investment Trust (AHM) 4/5
CWABS/CWHEQ (CWH) 17/20
First Franklin Mortgage Loan Trust (FFML) 3/3
GMACM Home Equity (GMAC) 3/3
GSAA Home Equity Trust (GSAH) 1/2
Irwin Home Equity Loan Trust (IRHE) 2/4
Macquarie Mortgage Funding Trust (MCQ) 1/1
Home Equity Loan Trust (RFC) 2/3
Structured Asset Securities Corp. (SAS) 4/4
Terwin Mortgage Trust (TMT) 1/2
Wachovia Asset Securitization Issuance II (WAS) 2/2
Table 3
Summary of Rating Actions By Shelf
Shelf No. IG No. non-IG No. IG to No. down/up
name affirmed affirmed non-IG more than
three notches
AHM 1 2 0 0/0
CWH 11 50 12 9/0
FFML 1 2 3 3/0
GMAC 1 0 1 2/1
GSAH 1 0 0 0/0
IRHE 1 3 1 1/3
MCQ 1 0 0 0/0
RFC 1 1 1 0/0
SAS 2 1 5 6/0
TMT 0 2 0 0/0
WAS 0 1 1 1/0
IG -- Investment grade.
Of the 52 downgrades, S&P lowered 31 ratings out of investment-
grade (investment-grade indicates a rating of 'BBB-' or higher),
with seven ratings remaining at investment-grade after being
lowered. The remaining downgraded classes already had
speculative-grade ratings (speculative-grade indicates a rating of
'BB+' or lower) before the actions. Senior tranches accounted
for 31 of the lowered ratings.
The downgrades stemmed primarily from increased loss projections
due to longer loss horizons and the roll-rates applied to
nondelinquent loans, as well as an increase in our default
multiples applied to each rating category, including increased
stress multiples applied to ratings 'A (sf)' and above.
Class VII-A from American Home Mortgage Investment Trust 2004-4
was lowered to 'BBB- (sf)' and kept on CreditWatch negative as a
result of principal forbearance modifications that the servicer,
Homeward Residential Inc., made to loans in this transaction
during 2010-2012, resulting in losses that were never passed
through to the transaction. Homeward Residential Inc. is now
owned by Ocwen Loan Servicing Inc. (Ocwen). This transaction was
part of a list of transactions provided to S&P by Ocwen, which
recently notified us of these upcoming losses. Standard & Poor's
intends to resolve this CreditWatch placement as the losses from
the modifications are passed through to the transaction.
Despite the increase in remaining projected losses for a majority
of the transactions, S&P raised its ratings on eight classes from
four transactions and removed seven of them from CreditWatch
developing.
The upgrades reflect sufficient projected credit enhancement to
support projected losses at the respective rating level. Some of
these classes are the senior-most tranches outstanding in their
respective transactions. Some transactions, especially those from
the pre-2005 vintages, are exhibiting better pool performance than
others. The upgrades also reflect these transactions' structural
mechanics, including situations where cumulative loss triggers
embedded in the deals have failed, causing principal to be
distributed sequentially, which helps prevent credit support
erosion and increases the likelihood that these tranches will
receive full principal payments before S&P's projected losses are
realized. S&P upgraded other classes because of an extended loss
horizon that increases the excess spread available for projected
credit support.
The ratings on classes 1M1 and 2M2 from Irwin Whole Loan Home
Equity Trust 2005-C were raised higher than 'A+ (sf)'. As
specified in the criteria, the ratings for classes in pre-2009
second-lien transactions will generally be limited to 'A+ (sf)',
but there are limited cases in which S&P may assign a rating above
'A+ (sf)', but only if the following conditions are present:
-- S&P's forward-looking projection at the applicable rating
level indicates the security will be paid in full within 12-
24 months, and the transaction benefits from hard credit
enhancement (i.e., not including excess spread) that is
equal to at least 2x the level of total credit enhancement
needed to support a 'AA' or 'AAA' rating for that
transaction; or if such a security is projected to be paid
in full in less than one year, it would need to have hard
credit support equal to at least 1.5x the level of credit
enhancement needed to support a 'AA' or 'AAA' rating.
-- The collateral pool performance trend is not deteriorating.
S&P affirmed its ratings on 82 classes from 32 transactions,
including 27 classes 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 (sf)'
reflects S&P's opinion that the credit support for these classes
will remain sufficient to cover the revised projected losses.
In line with S&P's counterparty criteria, it considered any
applicable hedges related to these securities when performing
these rating actions.
Based on S&P's criteria, a collateral pool's total cumulative
losses is used to determine its risk score, which in turn is used
to determine the default rates applied to the pool's nondelinquent
and delinquent loans. Some transactions in this review benefits
from a pool policy which covers certain losses on specific loans.
In addition, some transactions have the benefit of seller's loss
coverage, where the seller makes payments to the trust fund to the
extent realized losses on the mortgage loans are not covered by
the pool policy. Therefore, the reported cumulative losses may
not fully indicate actual collateral performance, so S&P evaluates
these transactions by adding the amounts drawn on each collateral
pool's respective pool policy or seller's loss coverage to the
reported cumulative loss amounts to determine the collateral
pool's actual cumulative losses. This may have resulted in higher
risk scores and higher projected default rates.
Because pool policy agreements may also include certain conditions
precedent to coverage, data S&P has reviewed has shown that
transactions benefiting from pool policies still experience
significant losses despite this pool policy coverage. Also,
because of the existence of these conditions, some transactions
have shown sporadic coverage by their pool policies, while others
have shown no pool policy coverage in several years while still
experiencing realized losses. Hence, in S&P's analysis and where
the pool policy provider has an investment-grade rating, S&P will
start by considering the underlying credit rating on the security
determined without the pool policy's benefit. Then in instances
where S&P has observed that the pool policy provider has
consistently covered losses over a period of time, it may assign a
rating on the security up to two notches above the underlying
credit rating. Transactions with seller's loss coverage may be
given credit in rating categories up to the rating on the seller's
loss coverage provider, if the loss coverage is sufficient to
maintain the rating at that category.
Subordination, overcollateralization (when available), and excess
interest (as applicable) generally provide credit support for
these transactions. Bond insurance might also benefit some
classes. In these cases, the long-term rating on the class
reflects the higher of the rating on the bond insurer and the
underlying credit rating on the security without the bond
insurance's benefit.
ECONOMIC OUTLOOK
When analyzing U.S. RMBS collateral pools to determine their
relative credit quality and the potential impact on rated
securities, the degree of remaining losses stems, to a certain
extent, from S&P's outlook regarding the behavior of such loans in
conjunction with expected economic conditions. Overall, Standard
& Poor's baseline macroeconomic outlook assumptions for variables
that it believes could affect residential mortgage performance are
as follows:
-- S&P's unemployment rate forecast is 7.5% for 2013 and 6.9%
for 2014, compared with the actual 8.1% rate in 2012.
-- Home prices will increase 11% in 2013, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 2.0% in 2013 and 3.1% in 2014.
-- The 30-year mortgage rate will average 3.9% for 2013 and
reach slightly higher levels in 2014.
-- Inflation will be 1.3% in 2013 and 1.6% in 2014.
Overall, S&P's outlook for RMBS is stable. Although S&P views
overall housing fundamentals positively, it believes RMBS
fundamentals still hinges on additional factors, such as the
ultimate fate of modified loans, the propensity of servicers to
advance on delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, S&P believes that the credit quality of U.S. RMBS would
weaken. S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment remains at 7.7% for the rest of 2013, but
rises to 8.1% in 2014 and job growth would slow to almost
zero in 2013 and 2014.
-- Downward pressure causes 1.5% GDP growth in 2013 and 0.6%
growth in 2014, fueled by increased unemployment levels.
-- Thirty-year fixed mortgage rates fall back to 3.5% in 2013
and remain there throughout 2014, but capitalizing on such
lower rates could be hampered by limited access to credit
and pressure on home prices.
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
American Home Mortgage Investment Trust 2004-4
Series 2004-4
Rating
Class CUSIP To From
VII-A 02660TCU5 BBB- (sf)/Watch Neg BBB+ (sf)/Watch Neg
Custody Receipt Evidencing Ownership Of CWHEQ Revolving Home
Equity Loan Trust
Series 2007-G
Rating
Class CUSIP To From
A 23242JAQ1 AA- (sf) AA- (sf)/Watch Dev
CWABS Inc.
Series 2002-S1
Rating
Class CUSIP To From
A-4 126671PU4 A+ (sf) A+ (sf)/Watch Neg
A-5 126671PV2 A+ (sf) A+ (sf)/Watch Neg
CWABS Inc.
Series 2002-S2
Rating
Class CUSIP To From
A-5 126671QN9 A+ (sf) A+ (sf)/Watch Neg
CWABS Inc.
Series 2002-SC1
Rating
Class CUSIP To From
M-2 126671SE7 B (sf) B (sf)/Watch Neg
CWABS Inc.
Series 2002-S3
Rating
Class CUSIP To From
A-5 126671RV0 A (sf) A+ (sf)/Watch Neg
CWABS Inc.
Series 2002-S4
Rating
Class CUSIP To From
A-5 126671UD6 A (sf) A+ (sf)/Watch Neg
M-1 126671UF1 BBB- (sf) A+ (sf)/Watch Neg
CWABS Inc.
Series 2003-S1
Rating
Class CUSIP To From
A-5 126671ZP4 A+ (sf) A+ (sf)/Watch Neg
M-1 126671ZS8 BBB+ (sf) BBB+ (sf)/Watch Neg
CWABS Inc.
Series 2004-S1
Rating
Class CUSIP To From
A-3 126673TD4 A (sf) A+ (sf)/Watch Neg
M-1 126673TF9 BBB- (sf) BBB- (sf)/Watch Dev
CWHEQ Revolving Home Equity Loan Resecuritization Trust
Series 2006-RES
Rating
Class CUSIP To From
04-D-1a 23242YAA3 CCC (sf) B (sf)/Watch Neg
04-D-1b 23242YAB1 CCC (sf) B (sf)/Watch Neg
04-E-1a 23242YAC9 CCC (sf) B- (sf)/Watch Neg
04-E-1b 23242YAD7 CCC (sf) B- (sf)/Watch Neg
04-F-1a 23242YAE5 CCC (sf) B (sf)/Watch Neg
04-F-1b 23242YAF2 CCC (sf) B (sf)/Watch Neg
04-K-1a 23242YAG0 CCC (sf) B- (sf)/Watch Neg
04-K-1b 23242YAH8 CCC (sf) B- (sf)/Watch Neg
04-L-1a 23242YAJ4 BB+ (sf) BBB (sf)/Watch Neg
04-L-1b 23242YAK1 BB+ (sf) BBB (sf)/Watch Neg
04-M-1a 23242YAL9 BB+ (sf) BBB (sf)/Watch Neg
04-M-1b 23242YAM7 BB+ (sf) BBB (sf)/Watch Neg
04-N-1a 23242YAN5 CCC (sf) B (sf)/Watch Neg
04-N-1b 23242YAP0 CCC (sf) B (sf)/Watch Neg
04-Q-1a 23242YAS4 CCC (sf) BBB (sf)/Watch Neg
04-Q-1b 23242YAT2 CCC (sf) BBB (sf)/Watch Neg
04-R-1a 23242YAU9 CCC (sf) BBB (sf)/Watch Neg
04-R-1b 23242YAV7 CCC (sf) BBB (sf)/Watch Neg
04-T-1a 23242YAW5 CCC (sf) B- (sf)/Watch Neg
04-T-1b 23242YAX3 CCC (sf) B- (sf)/Watch Neg
05-G-1a 23242YBN4 CCC (sf) BBB (sf)/Watch Neg
05-G-1b 23242YBP9 CCC (sf) BBB (sf)/Watch Neg
05-H-1a 23242YBQ7 CCC (sf) BBB+ (sf)/Watch Neg
05-H-1b 23242YBR5 CCC (sf) BBB+ (sf)/Watch Neg
FFMLT Trust 2005-FFA
Series 2005-FFA
Rating
Class CUSIP To From
M-2 362341HE2 A+ (sf) A+ (sf)/Watch Neg
M-3 362341HF9 CCC (sf) A (sf)/Watch Neg
First Franklin Mortgage Loan Trust 2004-FFA
Series 2004-FFA
Rating
Class CUSIP To From
M3-A 32027NFU0 B- (sf) A (sf)/Watch Dev
M3-F 32027NFV8 B- (sf) A (sf)/Watch Dev
First Franklin Mortgage Loan Trust 2004-FFB
Series 2004-FFB
Rating
Class CUSIP To From
M-4 22541SRC4 BB+ (sf) BB+ (sf)/Watch Neg
GMACM Home Equity Loan Trust 2001-HE2
Series 2001-HE2
Rating
Class CUSIP To From
II-A-7 361856BG1 A+ (sf) BBB (sf)/Watch Dev
GMACM Home Equity Loan Trust 2004-HE2
Series 2004-HE2
Rating
Class CUSIP To From
A-4 361856DB0 A+ (sf) A+ (sf)/Watch Neg
M-1 361856DD6 B- (sf) A+ (sf)/Watch Neg
M-2 361856DE4 CCC (sf) BB+ (sf)/Watch Neg
GMACM Home Equity Notes 2004 Variable Funding Trust
Series 2004 NOTES
Rating
Class CUSIP To From
VFN 36186FAA4 A+ (sf) BBB+ (sf)/Watch Dev
GSAA Home Equity Trust 2006-S1
Series 2006-S1
Rating
Class CUSIP To From
I-A-1 40051CAA5 CC (sf) CCC (sf)
II-M-1 40051CAR8 A+ (sf) A+ (sf)/Watch Neg
Home Equity Loan Trust 2001-HS3
Series 2001-HS3
Rating
Class CUSIP To From
A-II 76110VHB7 A (sf) A (sf)/Watch Dev
Home Equity Loan Trust 2004-HS3
Series 2004-HS3
Rating
Class CUSIP To From
A 76110VQY7 BB+ (sf) BBB (sf)/Watch Neg
Irwin Home Equity Loan Trust 2006-P1
Series 2006-P1
Rating
Class CUSIP To From
II-A-2 46412AAC6 B (sf) CC (sf)
Irwin Whole Loan Home Equity Trust 2005-C
Series 2005-C
Rating
Class CUSIP To From
1M-1 464187DK6 AAA (sf) AA (sf)/Watch Dev
1M-2 464187DL4 A+ (sf) A (sf)/Watch Dev
1M-3 464187DM2 BBB (sf) BBB (sf)/Watch Dev
1M-4 464187DN0 BB+ (sf) BBB- (sf)/Watch Dev
1B-1 464187DZ3 BB- (sf) BB+ (sf)/Watch Neg
1B-2 464187EA7 B- (sf) BB+ (sf)/Watch Neg
2M-2 464187DQ3 AA+ (sf) A (sf)/Watch Dev
2M-3 464187DR1 A+ (sf) BBB (sf)/Watch Dev
2M-4 464187DS9 A+ (sf) BBB- (sf)/Watch Dev
2B-1 464187DT7 B+ (sf) BB+ (sf)/Watch Dev
Structured Asset Securities Corp.
Series 2003-S2
Rating
Class CUSIP To From
M1-A 86359BBL4 B- (sf) A+ (sf)/Watch Neg
M1-F 86359BBM2 B- (sf) A+ (sf)/Watch Neg
M2-A 86359BBN0 CCC (sf) BB+ (sf)/Watch Dev
M2-F 86359BBP5 CCC (sf) BB+ (sf)/Watch Dev
Structured Asset Securities Corp.
Series 2004-S2
Rating
Class CUSIP To From
M4 86359BSV4 BBB+ (sf) A- (sf)/Watch Dev
M5 86359BSW2 B- (sf) BBB+ (sf)/Watch Neg
M6 86359BSX0 CC (sf) B- (sf)/Watch Neg
Structured Asset Securities Corp.
Series 2004-S3
Rating
Class CUSIP To From
M1 86359BB67 A+ (sf) A+ (sf)/Watch Neg
M2 86359BB75 BBB+ (sf) A+ (sf)/Watch Neg
M3 86359BB83 BB+ (sf) BBB (sf)/Watch Dev
M4 86359BB91 B+ (sf) BB (sf)/Watch Dev
Structured Asset Securities Corp. Mortgage Loan Trust 2005-S7
Series 2005-S7
Rating
Class CUSIP To From
A2 863576DT8 A+ (sf) A+ (sf)/Watch Neg
M1 863576DU5 CCC (sf) A+ (sf)/Watch Neg
Terwin Mortgage Trust 2006-1
Series 2006-1
Rating
Class CUSIP To From
II-A-1a 881561H80 B (sf) B (sf)/Watch Dev
Wachovia Asset Securitization Issuance II LLC 2007-HE2 Trust
Series 2007-HE2
Rating
Class CUSIP To From
A 92978LAA6 CCC (sf) BBB (sf)/Watch Neg
RATINGS AFFIRMED
American Home Mortgage Investment Trust 2005-1
Series 2005-1
Class CUSIP Rating
IX-A 02660TDZ3 CC (sf)
American Home Mortgage Investment Trust 2005-2
Series 2005-2
Class CUSIP Rating
VI-A 02660TEV1 CC (sf)
American Home Mortgage Investment Trust 2007-A
Series 2007-A
Class CUSIP Rating
III-A 026931AF2 AA- (sf)
CWABS Inc.
Series 2002-S1
Class CUSIP Rating
M-1 126671PP5 CC (sf)
CWABS Inc.
Series 2002-S2
Class CUSIP Rating
M-1 126671QQ2 CC (sf)
CWABS Inc.
Series 2002-S3
Class CUSIP Rating
M-1 126671RX6 CC (sf)
CWABS Inc.
Series 2002-S4
Class CUSIP Rating
M-2 126671UG9 CC (sf)
CWABS Inc.
Series 2003-S1
Class CUSIP Rating
M-2 126671ZT6 CC (sf)
CWABS Inc.
Series 2004-S1
Class CUSIP Rating
M-2 126673TG7 CC (sf)
CWHEQ Home Equity Loan Trust (Series 2006-S8)
Series 2006-S8
Class CUSIP Rating
A-2 12668XAB1 B (sf)
A-3 12668XAC9 B (sf)
A-4 12668XAD7 B (sf)
A-5 12668XAE5 B (sf)
A-6 12668XAF2 B (sf)
CWHEQ Home Equity Loan Trust (Series 2006-S9)
Series 2006-S9
Class CUSIP Rating
A-2 12668GAB8 B (sf)
A-3 12668GAC6 B (sf)
A-4 12668GAD4 B (sf)
A-5 12668GAE2 B (sf)
A-6 12668GAF9 B (sf)
CWHEQ Home Equity Loan Trust (Series 2007-S1)
Series 2007-S1
Class CUSIP Rating
A-2 12669RAB3 B (sf)
A-3 12669RAC1 B (sf)
A-4 12669RAD9 B (sf)
A-5 12669RAE7 B (sf)
A-6 12669RAF4 B (sf)
CWHEQ Home Equity Loan Trust (Series 2007-S2)
Series 2007-S2
Class CUSIP Rating
A-2 12670BAB5 B (sf)
A-3 12670BAC3 B (sf)
A-4-F 12670BAD1 B (sf)
A-4-V 12670BAL3 B (sf)
A-5-F 12670BAE9 B (sf)
A-5-V 12670BAM1 B (sf)
A-6 12670BAF6 B (sf)
CWHEQ Home Equity Loan Trust (Series 2007-S3)
Series 2007-S3
Class CUSIP Rating
A-2 12670HAB2 B (sf)
A-3 12670HAC0 B (sf)
CWHEQ Revolving Home Equity Loan Resecuritization Trust
Series 2006-RES
Class CUSIP Rating
04-P-1a 23242YAQ8 B (sf)
04-P-1b 23242YAR6 B (sf)
04-U-1a 23242YAY1 CCC (sf)
04-U-1b 23242YAZ8 CCC (sf)
05-A-1a 23242YBA2 B (sf)
05-A-1b 23242YBB0 B (sf)
05-B-1a 23242YBC8 CC (sf)
05-B-1b 23242YBD6 CC (sf)
05-C-1a 23242YBE4 AA- (sf)
05-C-1b 23242YBF1 AA- (sf)
05-D-1a 23242YBG9 AA- (sf)
05-D-1b 23242YBH7 AA- (sf)
05-E-1a 23242YBJ3 B (sf)
05-E-1b 23242YBK0 B (sf)
05-F-1a 23242YBL8 CCC (sf)
05-F-1b 23242YBM6 CCC (sf)
CWHEQ Revolving Home Equity Loan Trust (Series 2005-F)
Series 2005-F
Class CUSIP Rating
1-A 126685AJ5 CCC (sf)
2-A 126685AK2 CC (sf)
CWHEQ Revolving Home Equity Loan Trust (Series 2006-E)
Series 2006-E
Class CUSIP Rating
1-A 23242QAD4 B (sf)
2-A 23242QAE2 B (sf)
CWHEQ Revolving Home Equity Loan Trust (Series 2006-H)
Series 2006-H
Class CUSIP Rating
1-A 126686AA2 CC (sf)
2-A-1A 126686AB0 CC (sf)
2-A-1B 126686AC8 CC (sf)
First Franklin Mortgage Loan Trust 2004-FFB
Series 2004-FFB
Class CUSIP Rating
M-5 22541SRD2 CC (sf)
Home Equity Loan Trust 2001-HS3
Series 2001-HS3
Class CUSIP Rating
M-I-2 76110VGZ5 CC (sf)
Irwin Home Equity Loan Trust 2006-P1
Series 2006-P1
Class CUSIP Rating
I-A 46412AAA0 CC (sf)
II-A-3 46412AAD4 CC (sf)
II-A-4 46412AAE2 CC (sf)
Macquarie Mortgage Funding Trust 2007-1
Series 2007-1
Class CUSIP Rating
Notes 556083AA1 AA- (sf)
Structured Asset Securities Corp.
Series 2004-S3
Class CUSIP Rating
M5 86359BC25 CC (sf)
Terwin Mortgage Trust 2006-1
Series 2006-1
Class CUSIP Rating
II-A-1b 881561H98 CC (sf)
Wachovia Asset Securitization Issuance II LLC 2007-HE1 Trust
Series 2007-HE1
Class CUSIP Rating
A 92976YAA0 CCC (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
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A list of Meetings, Conferences and Seminars appears in each
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related conferences are encouraged. Send announcements to
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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.
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Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2013. All rights reserved. ISSN: 1520-9474.
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*** End of Transmission ***