/raid1/www/Hosts/bankrupt/TCR_Public/131117.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, November 17, 2013, Vol. 17, No. 319
Headlines
ABACUS 2006-13: Moody's Affirms 'C' Rating on Class A Notes
ACA CLO 2006-2: S&P Affirms 'BB-(sf)' Rating on Class D Notes
ACAS CRE 2007-1: Moody's Affirms 'C' Rating on 17 Note Classes
AMERICREDIT AUTOMOBILE 2011-4: Fitch Ups E Notes Rating From BB
ANTHRACITE CDO 200-HY3: S&P Lowers Ratings on 2 Classes to D(sf)
ARES XXVIII: S&P Assigns 'BB' Rating to Class E Notes
ARES ENHANCED: S&P Affirms 'BB(sf)' Rating on Class D Notes
AVERY POINT III: S&P Assigns Prelim. 'BB' Rating on Class E Notes
BANC OF AMERICA 2007-4: Fitch Affirms CC Rating on 4 Note Classes
BLACK DIAMOND 2005-2: Moody's Hikes Rating on 2 Notes to 'Ba2'
BEAR STEARNS 2006-PWR14: Fitch Cuts Ratings on $24.7MM Notes to CC
CALCULUS CMBS: Moody's Affirms 'Ca' Ratings on 5 Debt Classes
CANTOR COMMERCIAL 2011-C2: Fitch Affirms B Rating on $9.7MM Notes
CANYON CAPITAL 2012-1: S&P Affirms 'BB(sf)' Rating on Cl. E Notes
CARLYLE GLOBAL 2013-4: S&P Assigns BB Rating to Class E Notes
CENTERLINE 2007-1: Moody's Affirms 'C' Rating on Class A-1 Notes
CFCRE COMMERCIAL 2011-C2: Moody's Affirms B2 Rating on Cl. G Notes
CHASE MANHATTAN: S&P Raises Rating on Class J Notes to BB+
CITIGROUP COMMERCIAL 2013-GC17: Fitch Rates Class E Notes 'BB'
COMM 2007-FL14: S&P Lowers Rating on 2 Debt Classes to D
CONNECTICUT VALLEY III: Moody's Ups Rating on 2 Note Classes to B3
CREDIT SUISSE 2003-C4: S&P Affirms 'B(sf)' Rating on Class K Notes
CREDIT SUISSE 2003-C5: S&P Affirms CCC-(sf) Rating on Cl. J Notes
CROWN POINT II: S&P Rates Class B-3L Notes 'B(sf)'
CRYSTAL RIVER 2006-1: Moody's Affirms 'C' Ratings on 9 Notes
DEUTSCHE BANK 2013-CCRE12: Fitch Rates $23.9MM Cl. E Notes 'BBsf'
EATON VANCE 2013-1: S&P Assigns 'BB' Rating on Class D Notes
EMBARCADERO AIRCRAFT: Moody's Cuts Class A-1 Debt Rating to Ca
FAIRWAY LOAN: Moody's Affirms 'Ba2' Rating on $32MM Cl. B-2L Notes
FIRST UNION-LEHMAN: S&P Affirms CCC+ Rating on Class J Notes
FORE CLO 2007-I: Moody's Affirms Ba2 Rating on $29.5MM Cl. D Notes
FORTRESS CREDIT II: S&P Assigns Prelim. 'BB' on Class E Notes
GALAXY VIII: S&P Affirms 'B (sf)' Rating on Class E Notes
GE CAPITAL 2002-2: Moody's Cuts Rating on Class X-1 Notes to Caa3
GE COMMERCIAL 2005-C1: Fitch Affirms 'CCC' Rating on Class F Notes
GMAC COMMERCIAL 2003-C2: S&P Raises Rating on Class H Notes to B-
GS MORTGAGE 2004-GG2: Moody's Affirms Ba2 Rating on Class E Notes
GS MORTGAGE 2013-GCJ16: Moody's Rates Class E Notes '(P)Ba1'
HALCYON 2005-2: Moody's Affirms 'Caa3' Rating on Class A Notes
HOMESTAR MORTGAGE: Moody's Hikes Rating on 2 Debt Classes
JP MORGAN 2006-FL2: Moody's Affirms 'Ba1' Rating on Class G Notes
JP MORGAN 2006-LDP7: Fitch Cuts Rating on $78.8MM Notes to 'CCC'
JP MORGAN 2006-LDP9: Fitch Cuts Rating on 2 Note Classes to CCC
LANDMARK V CDO: S&P Raises Rating on Class B-2L Notes to BB+
LB-UBS COMMERCIAL 2003-C3: S&P Affirms B- Rating on Cl. S Certs
LB-UBS COMMERCIAL 2003-C5: S&P Affirms BB Rating on Class J Notes
LEHMAN BROTHERS: Moody's Takes Action with Commercial Loan ABS
MORGAN STANLEY 1999-CAM1: S&P Hikes Class K Cert. Rating From BB-
MORGAN STANLEY 2004-TOP13: Moody's Affirms C Rating on Cl. O Notes
MOTEL TRUST 2012-MTL6: Fitch Affirms 'BB' Rating on 3 Note Classes
MOUNTAIN VIEW II: Moody's Hikes Rating on $19.7MM Notes From Ba1
N-STAR CDO VII: Fitch Lowers Ratings on 7 Notes to 'Dsf'
NAUTIQUE FUNDING: Moody's Hikes Rating on $31MM Cl. C Notes to Ba1
NOVASTAR MORTGAGE 2003-2: Moody's Raises Rating on 3 Debt Classes
OCTAGON INVESTMENT XVI: S&P Affirms BB Rating on Class E Notes
PEOPLE'S CHOICE 2005-3: Moody's Hikes Rating on 2 Loan Classes
PREFERRED TERM XVIII: Moody's Hikes $87.9MM Notes' Rating From Ba1
RAIT PREFFERED: Moody's Affirms Caa3 Rating on 4 Note Classes
RALI SERIES: Moody's Takes Action on $111 Million of Alt-A RMBS
RESIDENTIAL REINSURANCE 2013-II: S&P Rates Class 4 Notes 'BB-'
RESOURCE REAL ESTATE 2006-1: Fitch Rates 3 Note Classes 'CCC'
RESOURCE REAL ESTATE 2006-1: Moody's Ups Cl. F Notes Rating to B1
SAGUARO ISSUER: Moody's Confirms 'Ba2' Rating on 2 Debt Classes
SDART 2013-5: Fitch Assigns 'BB' Rating on $56.43MM Cl. E Notes
SDART 2013-5: Moody's Rates Class E Notes 'Ba2(sf)'
SEQUOIA MORTGAGE 2004-1: Moody's Hikes Rating on 2 RMBS Classes
THL CREDIT 2013-2: S&P Assigns Prelim. BB Rating to Class E Notes
TRYON PARK: S&P Affirms BB Rating on Class D Notes
UBS-CITIGROUP 2011-C1: Moody's Affirms Ba2 Rating on Class F Notes
VITALITY RE III: S&P Affirms 'BB+(sf)' Rating on Class B Notes
WACHOVIA BANK 2006-WHALE7: Fitch Cuts Ratings on 2 Notes to 'CCsf'
WACHOVIA BANK 2007-C34: Moody's Cuts Rating on Cl. A-J Notes to B1
WACHOVIA CRE CDO 2006-1: Fitch Rates 3 Note Classes 'CCC'
WACHOVIA CRE CDO 2006-1: Moody's Hikes 2 Note Classes to 'Caa2'
WEST CLO 2013-1: S&P Assigns 'BB' Rating to Class D Notes
WFRBS COMMERCIAL 2012-C9: Moody's Affirms Ba2 Rating on E Notes
* Moody's Takes Action on $336MM Subprime RMBS Issued 2006 to 2007
* Moody's Hikess Rating on $124MM Subprime RMBS Issued 2004-2006
* Moody's: YieldCo is Typically Credit Neg. for Bondholders
*********
ABACUS 2006-13: Moody's Affirms 'C' Rating on Class A Notes
-----------------------------------------------------------
Moody's has affirmed the rating of one class of notes issued by
Abacus 2006-13, Ltd. The affirmation is due to key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO Synthetic) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed C (sf); previously on Jan 18, 2013 Downgraded to C
(sf)
Ratings Rationale:
Abacus 2006-13, Ltd. is a static synthetic transaction backed by a
portfolio of credit default swaps on commercial mortgage backed
securities (CMBS) (100% of the reference obligation balance). As
of the October 28, 2013 Trustee report, the aggregate issued note
balance of the transaction has decreased to $153.9 million from
$329.5 million at issuance.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated reference obligations. Moody's modeled a bottom-dollar WARF
of 6,810 compared to 6,921 at last review. The current
distribution of Moody's rated reference obligations and
assessments for non-Moody's rated reference obligations is as
follows: Aaa-Aa3 (1.3% compared to 1.1% at last review), Baa1-Baa3
(6.9% compared to 6.7% at last review), Ba1-Ba3 (11.3% compared to
12.4% at last review), B1-B3 (8.8%, same as last review) and Caa1-
Ca/C (8.8%, same as last review).
Moody's modeled a WAL of 3.0 years, compared to 3.7 years at last
review. The current WAL is based on assumptions about extensions
on the underlying reference obligations.
Moody's modeled a fixed WARR of 3.4%, same as last review.
Moody's modeled a MAC of 100.0%, same as last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
Moody's analysis encompasses the assessment of stress scenarios.
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. The servicing decisions of the master and special
servicer and surveillance by the operating advisor with respect to
the collateral interests and oversight of the transaction will
also affect the notes' performance.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated Notes are are
particularly sensitive to changes in current ratings and credit
assessments of the reference obligations. Holding all other key
parameters static, changing the current ratings and credit
assessments of the reference obligations one notch downward or one
notch upward does not result in any rating changes to the rated
notes.
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.
ACA CLO 2006-2: S&P Affirms 'BB-(sf)' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, and C notes from ACA CLO 2006-2 Ltd., a U.S.
collateralized loan obligation (CLO) managed by Apidos Capital
Management.
"At the same time, we affirmed our rating on the class D
notes. In addition, we removed our ratings on all the notes from
CreditWatch with positive implications, where we had placed them
on Sept. 5, 2013."
"The transaction is currently in its amortization phase and is
paying down the notes. The upgrades largely reflect paydowns of
$105.90 million to the class A-1 notes since our February 2012
rating actions."
As a result, according to the Oct. 8, 2013, monthly trustee
report, the overcollateralization (O/C) ratios increased for each
class of notes as follows:
* The class A O/C ratio is 136.67%, up from 124.41% in January
2012, which we used for our February 2012 rating actions;
* The class B O/C ratio is 122.00%, up from 115.49% in January
2012; and
* The class C O/C ratio is 115.41%, up from 111.25% in January
2012; and
* The class D O/C ratio is 109.05%, up from 107.01% in January
2012.
According to the October 2013 trustee report, the transaction held
$7.18 million defaulted obligations, up from the $3.62 million
defaulted assets noted in the January 2012 trustee report. The
'CCC' rated assets also increased slightly to $12.53 million from
$12.21 million during the same period.
The 'CCC' rated assets account for approximately 6.4% of the
performing collateral.
However, the paydowns to the senior notes have offset the impacts
of the above.
"The affirmation on the class D notes reflects our belief that the
credit support available is commensurate with their current rating
levels."
"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit
enhancement available to support them, and we will take rating
actions as we deem necessary.
RATING AND CREDITWATCH ACTIONS
ACA CLO 2006-2 Ltd.
Class Rating Rating
To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA- (sf)/Watch Pos
B AA- (sf) A- (sf)/Watch Pos
C BBB+ (sf) BBB (sf)/Watch Pos
D BB- (sf) BB- (sf)/Watch Pos
ACAS CRE 2007-1: Moody's Affirms 'C' Rating on 17 Note Classes
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 17 classes
of notes issued by ACAS CRE CDO 2007-1, Ltd. The affirmations are
due to key transaction parameters performing within levels
commensurate with the existing ratings levels. The rating action
is the result of Moody's on-going surveillance of commercial real
estate collateralized debt obligation and re-remic (CRE CDO and
Re-Remic) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed C (sf); previously on Feb 16, 2011 Downgraded to C
(sf)
Cl. B, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. C-FL, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. C-FX, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. D, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. E-FL, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. E-FX, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. F-FL, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. F-FX, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. G-FL, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. G-FX, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to
C (sf)
Cl. H, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Cl. N, Affirmed C (sf); previously on Mar 5, 2010 Downgraded to C
(sf)
Ratings Rationale:
ACAS CRE CDO 2007-1, Ltd. is a static cash transaction backed by a
portfolio of commercial mortgage backed securities (CMBS) (100.0%
of the pool balance). As of the September 30, 2013 monthly trustee
report date, the collateral par amount is $399.1 million,
representing a $775.5 million decrease since securitization
primarily due to realized losses to the collateral pool.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 9,976
compared to 9,970 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Caa1-Caa3 (1.3% compared to 0.9% at last
review) and Ca-C (98.7% compared to 99.1% at last review).
Moody's modeled to a WAL of 6.3 years compared to 6.4 years at
last review. The current WAL is based on the assumption about
extensions on the underlying collateral.
Moody's modeled a fixed WARR of 0%, the same as last review.
Moody's modeled a MAC of 0.0%, the same as last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. However, in
light of the performance indicators noted above, Moody's believes
that it is unlikely that the ratings announced are sensitive to
further change.
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.
AMERICREDIT AUTOMOBILE 2011-4: Fitch Ups E Notes Rating From BB
---------------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has affirmed 1
and upgraded four classes of the AmeriCredit Automobile
Receivables Trust 2011-4 transaction as follows:
-- Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Class B upgraded to 'AAAsf' from 'AAsf'; Outlook revised to
Stable from Positive;
-- Class C upgraded to 'AAsf' from 'Asf'; Outlook Positive;
-- Class D upgraded to 'Asf' from 'BBBsf'; Outlook Positive;
-- Class E upgraded to 'BBBsf' from 'BBsf'; Outlook Positive.
Key Rating Drivers:
The rating actions are based on available credit enhancement, loss
performance and loss coverage. The collateral pool continues to
perform within Fitch's expectations, with low cumulative net
losses well within Fitch's initial expectations. Under the credit
enhancement structure, the securities are able to withstand stress
scenarios consistent with the current rating and make full
payments to investors in accordance with the terms of the
documents.
The ratings reflect the quality of AmeriCredit Financial Services,
Inc.'s retail auto loan originations, the strength of its
servicing capabilities, and the sound financial and legal
structure of the transaction.
Rating Sensitivity:
Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxy and impact available loss coverage
and multiples levels for the transactions. Lower loss coverage
could impact ratings and rating outlooks, depending on the extent
of the decline in coverage.
In Fitch's initial review of the transaction, the notes were found
to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's
base case loss expectation. To date, the transaction has exhibited
strong performance with losses within Fitch's initial expectations
with rising loss coverage and multiple levels consistent with the
current ratings. A material deterioration in performance would
have to occur within the asset pool to have potential negative
impact on the outstanding ratings.
ANTHRACITE CDO 200-HY3: S&P Lowers Ratings on 2 Classes to D(sf)
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on two classes and affirmed its 'CCC- (sf)' rating on one class
from Anthracite CRE CDO 2006-HY3 Ltd., a U.S. commercial real
estate collateralized debt obligation transaction.
"The downgrades reflect our analysis of the transaction following
interest shortfalls to the nondeferrable class B-FL and B-FX
certificates according to the Oct. 17, 2013, remittance report.
The interest shortfalls to the nondeferrable classes triggered an
event of default under the indenture based on the Oct. 29, 2013,
notice from the trustee, U.S. Bank N.A. Therefore, we lowered our
ratings on these classes to 'D (sf)' from 'CCC- (sf)'," said S&P.
"We affirmed the 'CCC- (sf)' rating on the class A certificates
because the class has not yet experienced interest shortfalls.
However, the class is susceptible to experience interest
shortfalls in the future, which may prompt us to lower the
rating."
The class B-FL and B-FX certificates experienced interest
shortfalls primarily because the underlying commercial mortgage-
backed securities (CMBS) collateral for Anthracite 2006-HY3 failed
to produce sufficient interest proceeds to pay the full interest
amounts due to the classes after payments to the hedge
counterparty (Bank of America N.A.) in the transaction. According
to the Oct. 17, 2013, remittance report, class B-FL received
$14,589 of the $20,669 accrued interest, while class B-FX received
$26,910 of the $38,126 accrued interest.
According to the trustee report for Anthracite 2006-HY3, the
current asset pool includes 15 CMBS tranches ($66.7 million,
55.0%), and two subordinated loans ($54.5 million, 45.0%), one of
which is defeased ($24.8 million, 20.5%).
The rating actions remain consistent with the credit enhancement
available to support them, and reflect S&P's analysis of the
transaction's liability structure and the underlying collateral's
credit characteristics.
ARES XXVIII: S&P Assigns 'BB' Rating to Class E Notes
-----------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Ares
XXVIII CLO Ltd./Ares XXVIII CLO LLC's $474.75 million floating-
rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.26%-13.84%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's 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/1864.pdf
RATINGS ASSIGNED
Ares XXVIII CLO Ltd./Ares XXVIII CLO LLC
Class Rating Amount
(mil. $)
A AAA (sf) 310.00
B-1 AA (sf) 57.50
B-2 AA (sf) 10.00
C-1 (deferrable) A (sf) 26.00
C-2 (deferrable) A (sf) 10.00
D (deferrable) BBB (sf) 26.00
E (deferrable) BB (sf) 22.25
F (deferrable) B (sf) 13.00
Equity NR 43.75
NR -- Not rated.
ARES ENHANCED: S&P Affirms 'BB(sf)' Rating on Class D Notes
-----------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Ares
Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan
Investment Strategy IR Corp.'s $463 million floating- and fixed-
rate notes following the transaction's effective date as of
Aug. 12, 2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that it assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that S&P used in its analysis and the results of its
review based on the information presented to S&P.
S&P believes the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deem
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Ares Enhanced Loan Investment Strategy IR Ltd./Ares Enhanced Loan
Investment Strategy IR Corp.
Class Rating Amount
(mil. $)
A-1A AAA (sf) 236.00
A-1B AAA (sf) 87.00
A-2A AA (sf) 40.00
A-2B AA (sf) 20.00
B (deferrable) A (sf) 34.00
C (deferrable) BBB (sf) 26.00
D (deferrable) BB (sf) 20.00
AVERY POINT III: S&P Assigns Prelim. 'BB' Rating on Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Avery Point III CLO Ltd./Avery Point III CLO Corp.'s
$464.50 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Nov. 13,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The portfolio manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2383%-12.5311%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's reinvestment overcollateralization test, a
failure of which will lead to the reclassification of excess
interest proceeds that are available prior to paying
uncapped administrative expenses and fees, subordinated
hedge termination payments, portfolio manager incentive
fees, and subordinated note payments to principal proceeds
for the purchase of additional collateral assets during the
reinvestment period.
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/1999.pdf
PRELIMINARY RATINGS ASSIGNED
Avery Point III CLO Ltd./Avery Point III CLO Corp.
Class Rating Amount
(mil. $)
X AAA (sf) 3.50
A AAA (sf) 317.75
B-1 AA (sf) 27.50
B-2 AA (sf) 19.50
C (deferrable) A- (sf) 52.00
D (deferrable) BBB (sf) 21.50
E (deferrable) BB (sf) 22.75
Subordinated notes NR 50.10
NR-Not rated.
BANC OF AMERICA 2007-4: Fitch Affirms CC Rating on 4 Note Classes
-----------------------------------------------------------------
Fitch Ratings has affirmed 21 classes of Banc of America
Commercial Mortgage Trust, series 2007-4 (BACM 2007-4). A detailed
list of rating actions follows at the end of this release.
Key Rating Drivers:
The affirmations reflect stable to improved performance across the
pool. Fitch modeled losses of 10.7% of the remaining pool and
12.4% of the original pool (including losses of 3.7% incurred to
date). Fitch has identified 29 loans (28.5%) as Fitch Loans of
Concern, which includes four specially serviced loans (3.6%).
As of the October 2013 distribution date, the pool's aggregate
principal balance was $1.8 billion, down from $2.2 billion at
issuance. There is one defeased loan (0.4%). There are cumulative
interest shortfalls in the amount of $5.7 million currently
affecting classes J through S.
The largest contributor to modeled losses was a partial interest-
only loan (5.9%) secured by a 231,512 square foot (sf) office
property located in La Jolla, CA. The property was not stabilized
when underwritten at issuance. Underwritten base rents were based
upon stabilized rents and not in-place rents. The March 2013
occupancy declined to 88% when compared to June 2012 occupancy of
93%, the debt service coverage (DSCR), based upon net operating
income (NOI), remained low at 0.37x for the period ended March 31,
2013. This represents an improvement from the 0.07x reported for
the TTM ended June 30, 2011, but still a significant decline from
the 1.29x reported at issuance. The property is located in the La
Jolla submarket of San Diego, which reported a market vacancy of
12% according to REIS as of third-quarter 2013. Although the
property is underperforming, the loan remains current. The
borrower has continued to cover debt service shortfalls out of
pocket.
The second largest contributor to losses was an interest-only loan
(3.5%) secured by a 256,670 sf office property located in
Scottsdale, AZ. As of March 2013, property occupancy was 95.8%,
representing an improvement from the 94% and 84% reported at YE
2012 and YE 2011, respectively. Multiple new leases were signed
throughout 2011 and 2012, which helped to boost occupancy.
Although occupancy has improved, the YE 2012 DSCR, on a NOI basis,
remained low at 0.95x, compared to 1.50x reported at issuance.
Approximately 67.9% of the total property square footage rolls
prior to the loan's maturity. The property is located in the
Scottsdale submarket of Phoenix, which reported a market vacancy
of 27.1% according to REIS as of third-quarter 2013.
The third largest contributor to losses was an interest-only loan
(1.1%) secured by a 248,900 sf industrial property located in
Phoenix, AZ. The property's lone tenant vacated the property upon
lease expiration in February 2012 and the property remains vacant.
The property broker continues to make an effort to show the
property.
Rating Sensitivity:
Rating Outlooks on classes A1-A through A-M are expected to remain
stable due to sufficient credit enhancement. An upgrade to the
class A-M notes is not recommended as the notes do not pass the
deterministic test which required credit enhancement of 22.9% at
the 'AAA' stress. Downgrades to the distressed classes (those
rated below 'B') are expected as losses are realized on specially
serviced loans.
Fitch has affirmed the following classes as indicated:
-- $179 million class A-1A at 'AAAsf'; Outlook Stable;
-- $176.2 million class A-3 at 'AAAsf'; Outlook Stable;
-- $62 million class A-SB at 'AAAsf'; Outlook Stable;
-- $817.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- $223.1 million class A-M at 'Asf'; Outlook to Stable from
Negative;
-- $178.5 million class A-J at 'CCCsf'; RE 70%;
-- $22.3 million class B at 'CCCsf'; RE 0%;
-- $19.5 million class C at 'CCCsf'; RE 0%;
-- $22.3 million class D at 'CCCsf'; RE 0%;
-- $22.3 million class E at 'CCsf'; RE 0%;
-- $13.9 million class F at 'CCsf'; RE 0%;
-- $16.7 million class G at 'CCsf'; RE 0%;
-- $27.9 million class H at 'CCsf'; RE 0%;
-- $22.3 million class J at 'Csf'; RE 0%;
-- $18.8 million 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%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
Fitch does not rate class S. Class A-1 and A-2 notes are paid in
full. The rating on class XW was previously withdrawn.
BLACK DIAMOND 2005-2: Moody's Hikes Rating on 2 Notes to 'Ba2'
--------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Black Diamond CLO 2005-2
Ltd.:
U.S. $70,000,000 Class C Floating Rate Notes Due January 2018,
Upgraded to Aa1 (sf); previously on October 26, 2012 Upgraded to
Aa2 (sf);
U.S. $67,000,000 Class D Floating Rate Notes Due January 2018,
Upgraded to Baa2 (sf); previously on October 26, 2012 Upgraded to
Baa3 (sf);
U.S. $31,000,000 Class E-1 Floating Rate Notes Due January 2018,
Upgraded to Ba2 (sf); previously on July 11, 2011 Upgraded to Ba3
(sf);
U.S. $4,000,000 Class E-2 Fixed Rate Notes Due January 2018,
Upgraded to Ba2 (sf); previously on July 11, 2011 Upgraded to Ba3
(sf).
Moody's also affirmed the ratings of the following notes:
U.S. $681,000,000 Class A Floating Rate Notes Due January 2018
(current outstanding balance of $502,918,996.69), Affirmed Aaa
(sf); previously on July 11, 2011 Upgraded to Aaa (sf);
U.S. $75,000,000 Class B Floating Rate Notes Due January 2018,
Affirmed Aaa (sf); previously on October 26, 2012 Upgraded to Aaa
(sf);
U.S. $45,000,000 Class I Combination Notes Due January 2018
(current rated balance of $7,377,610.55), Affirmed Aaa (sf);
previously on October 26, 2012 Upgraded to Aaa (sf);
U.S. $5,000,000 Class II Combination Notes Due January 2018
(current rated balance of $2,483,634.10), Affirmed Aaa (sf);
previously on October 26, 2012 Upgraded to Aaa (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
November 2012. Moody's notes that the Class A Notes have been paid
down by approximately 4% or $20.7 million since November 2012.
Based on the latest trustee report dated September 25, 2013, the
Class A/B, Class C, Class D and Class E overcollateralization
ratios are reported at 140.8%, 125.7%, 114.1% and 108.8%,
respectively, versus November 2012 levels of 139.7%, 125.0%,
113.6% and 108.5%, respectively. Moody's also notes that the
September overcollateralization ratios do not reflect the October
7, 2013 payment of $6.2 million to the Class A Notes.
Moody's notes that the deal also benefited from an improvement in
the weighted average recovery rate of the underlying portfolio
since the last rating action in October 2012. Moody's modeled a
weighted average recovery rate of 50.9% versus 49.4% in October
2012.
Notwithstanding the foregoing, 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 trustee
report dated September 25, 2013, securities that mature after the
maturity date of the notes currently make up approximately 5.8% of
the underlying portfolio. These investments potentially expose the
notes to market risk in the event of liquidation at the time of
the notes' maturity.
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
$810.2 million, defaulted par of $32.4 million, a weighted average
default probability of 15.56% (implying a WARF of 2626), a
weighted average recovery rate upon default of 50.85%, and a
diversity score of 48. The default and recovery properties of the
collateral pool are incorporated in cash flow model analysis where
they are subject to stresses as a function of the target rating of
each CLO liability being reviewed. The default probability is
derived from the credit quality of the collateral pool and Moody's
expectation of the remaining life of the collateral pool. The
average recovery rate to be realized on future defaults is based
primarily on the seniority of the assets in the collateral pool.
In each case, historical and market performance trends and
collateral manager latitude for trading the collateral are also
factors.
Black Diamond CLO 2005-2 Ltd., issued in October 2005, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
Moody's also performed sensitivity analyses to test the impact on
all rated notes of various default probabilities. Below is a
summary of the impact of different default probabilities
(expressed in terms of WARF levels) on all rated notes (shown in
terms of the number of notches' difference versus the current
model output, where a positive difference corresponds to lower
expected loss), assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2101)
Class A: 0
Class B: 0
Class C: +1
Class D: +3
Class E-1: 0
Class E-2: 0
Class I Combo: 0
Class II Combo: 0
Moody's Adjusted WARF + 20% (3151)
Class A: 0
Class B: 0
Class C: -2
Class D: -1
Class E-1: -1
Class E-2: -1
Class I Combo: 0
Class II Combo: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and
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.
BEAR STEARNS 2006-PWR14: Fitch Cuts Ratings on $24.7MM Notes to CC
------------------------------------------------------------------
Fitch Ratings has downgraded one distressed class of Bear Stearns
Commercial Mortgage Securities Trust, series 2006-PWR14 commercial
mortgage pass-through certificates. A detailed list of rating
actions follows the end of the release.
Key Ratings Drivers:
The downgrade to the distressed class is due to the higher
certainty of losses. Affirmations on the remaining classes are due
to relatively stable performance of the pool. Fitch modeled losses
of 8.8% of the remaining pool and expected losses based on the
original pool balance are 10.0%, of which 3.0% are losses realized
to date. Fitch designated 67 loans (37.3%) as Fitch Loans of
Concern, which include 11 specially serviced loans (6.3%).
As of the October 2013 distribution date, the pools' aggregate
principal balance has been reduced by 21.6% (including 3.0% of
realized losses) to $1.936 billion from $2.096 billion at
issuance. Interest shortfalls are affecting classes P through D.
One loan (0.2%) is defeased.
Ratings Sensitivity:
The Rating Outlook remains Negative for class A-J. A downgrade is
possible if additional loans transfer to special servicing or if
the litigation on a number of specially service loans continues to
hinder the ultimate disposition of those assets.
The largest contributor to Fitch's modeled losses is the specially
serviced loan, Philips at Sunrise Shopping Center (3.1% of the
pool). The loan is collateralized by a 414,082 square foot (sf)
retail center located in Massapequa, NY. The loan has remained
with the special servicer due to an ongoing dispute between the
lender and sponsor in regard to loan covenants. The current
occupancy is in line with the market average of 95% after a
recently signed tenant lease. The special servicer reported that
the center's cash flow is now covering debt service, but continues
to pursue foreclosure.
The second largest contributor to Fitch's modeled losses is the
specially serviced Drury Inn Portfolio (1.6% of the pool) with
three properties located in San Antonio, TX and Albuquerque, NM.
The hotels have Drury Inn and Best Western Flags. As of first
quarter 2013, the portfolio reported occupancy was 60.0%, which is
down from 81.1% at issuance. The last reported DSCR by the
servicer was 0.72x as of October 2013.
The third largest contributor to Fitch's modeled losses is One
Newark Center (4.2%), a 418,026 square foot office building
located in the Newark, NJ central business district. The loan was
modified into an A/B note structure, with a $5 million pay down of
the principal balance and the term of the loan extended 72 months
to Dec. 1, 2017. The loan modification was completed in August
2013 and the loan returned to the master servicer as corrected in
October 2013.
Fitch downgrades the following class as indicated:
-- $24.7 million class C to 'CCsf' from 'CCCsf'; RE 0%
Fitch affirms the following classes as indicated:
-- $36.1 million class A-3 at 'AAAsf'; Outlook Stable;
-- $72.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $950.9 million class A-4 at 'AAAsf'; Outlook Stable;
-- $226.1 million class A-1A at 'AAAsf'; Outlook Stable;
-- $246.8 million class A-M at 'AAAsf'; Outlook Stable;
-- $222.1 million class A-J at 'BBsf'; Outlook Negative;
-- $46.3 million class B at 'CCCsf'; RE 45%;
-- $37 million class D at 'CCsf'; RE 0%;
-- $21.5 million class E at 'Csf'; RE 0%
-- $24.6 million class F at 'Csf'; RE 0%
-- $24.6 million class G at 'Csf'; RE 0%.
Fitch does not rate class P. Class A-1 and A-2 have paid in full.
Class O, N, M, L, K, J, and H remain at 'Dsf';RE0 due to losses
incurred.
Fitch has previously withdrawn the ratings on the interest-only
classes X-1, X-2 and X-W.
CALCULUS CMBS: Moody's Affirms 'Ca' Ratings on 5 Debt Classes
-------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of six trust
units issued by Calculus CMBS Resecuritization Trust. The
affirmations are due to key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
Synthetic) transactions.
Moody's rating action is as follows:
Credit Default Swap Class A, Affirmed Caa3 (sf); previously on Jan
9, 2013 Downgraded to Caa3 (sf)
Series 2006-1 Trust Units, Affirmed Ca (sf); previously on Jan 18,
2012 Downgraded to Ca (sf)
Series 2006-2 Trust Units, Affirmed Ca (sf); previously on Jan 18,
2012 Downgraded to Ca (sf)
Series 2006-3 Trust Units, Affirmed Ca (sf); previously on Jan 18,
2012 Downgraded to Ca (sf)
Series 2006-4 Trust Units, Affirmed Ca (sf); previously on Jan 18,
2012 Downgraded to Ca (sf)
Series 2006-6 Trust Units, Affirmed Ca (sf); previously on Jan 18,
2012 Downgraded to Ca (sf)
Ratings Rationale:
Calculus CMBS Resecuritization Trust is a static synthetic credit
linked notes transaction backed by a portfolio of credit default
swaps referencing 100% commercial mortgage backed securities
(CMBS). All of the CMBS reference obligations were securitized in
2004 (2.5%), 2005 (77.7%), and 2006 (19.8%). Currently, 77% of the
reference obligations are publicly rated by Moody's.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated reference obligations. Moody's modeled a bottom-dollar WARF
of 692 compared to 484 at last review. The current distribution of
Moody's rated reference obligations and assessments for non-
Moody's rated reference obligations is as follows: Aaa-Aa3 (22.0%,
the same as last review), A1-A3 (28.0% compared to 35.2% at last
review), Baa1-Baa3 (22.0% compared to 23.0% at last review), Ba1-
Ba3 (15.5% compared to 12.3% at last review), B1-B3 (10.0%
compared to 7.5% at last review), and Caa1-Caa3 (2.5% compared to
0.0% at last review).
Moody's modeled to a WAL of 1.9 years compared to 2.7 years at
last review. The current WAL is based on the assumption about
extensions on the underlying reference obligations.
Moody's modeled a variable WARR with a mean of 38.4%, compared to
a mean of 40.2% at last review.
Moody's modeled a MAC of 21.5%, compared to 30.8% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated Notes are particularly
sensitive to changes in current ratings and credit assessments of
the reference obligations. Holding all other key parameters
static, changing the current ratings and credit assessments of the
reference obligations one notch downward or one notch upward would
result in no downward rating movements on the rated tranches and 0
to 1 notch upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery 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.
CANTOR COMMERCIAL 2011-C2: Fitch Affirms B Rating on $9.7MM Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of Cantor Commercial Real
Estate (CFCRE) Commercial Mortgage Trust 2011-C2 commercial
mortgage pass-through certificates.
Key Rating Drivers:
The affirmations are due to stable pool performance since
issuance. There have been no delinquencies since issuance,
although one loan (1.5% of the pool) is in special servicing. As
of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 2.3% to $756.3 million from
$774.1 million at issuance. No loans are defeased. No rated
classes are experiencing interest shortfalls.
The specially serviced loan is a 384 unit multifamily property in
Blacklick, OH. The loan transferred in July 2012 due to a
technical default related to a transfer of ownership.
Subsequently, the seizure of the collateral during an SEC
investigation of the sponsor's alleged connection in a $220
million Ponzi scheme further delayed a resolution of the loan.
Litigation remains ongoing. As of year-end (YE) 2012, debt service
coverage ratio (DSCR) was a reported 1.23x compared to 1.44x at
issuance.
The seventh largest loan, Hanford Mall (3.3%), has experienced a
material decline in DSCR since issuance (to 1.27x as of YE 2012
from 1.45x at issuance) due to lower expense reimbursements and
percentage rent. Occupancy increased to 92.7% from 89.8% during
the same period; lease rollover is limited to less than 6% per
year until year-end 2015.
Rating Sensitivity:
The Rating Outlook remains Stable for all classes. Due to the
recent issuance of the transaction and stable performance, Fitch
does not foresee ratings migration until a material economic or
asset level event changes the transaction's overall portfolio-
level metrics. Additional information on rating sensitivity is
available in the New Issue report 'CFCRE Commercial Mortgage Trust
2011-C2' published Dec. 29, 2011, available at
www.fitchratings.com.
Fitch affirms the following classes as indicated:
-- $34.5 million class A-1 at 'AAAsf', Outlook Stable;
-- $341.4 million class A-2 at 'AAAsf', Outlook Stable;
-- $34.1 million class A-3 at 'AAAsf', Outlook Stable;
-- $114 million class A-4 at 'AAAsf', Outlook Stable;
-- $602.4 million class X-A* at 'AAAsf'; Outlook Stable;
-- $78.4 million class A-J at 'AAAsf', Outlook Stable;
-- $28.1 million class B at 'AAsf', Outlook Stable;
-- $31.9 million class C at 'Asf', Outlook Stable;
-- $18.4 million class D at 'BBB+sf', Outlook Stable;
-- $28.1 million class E at 'BBB-sf', Outlook Stable;
-- $10.6 million class F at 'BBsf', Outlook Stable;
-- $9.7 million class G at 'Bsf', Outlook Stable.
*Notional amount and interest only
Fitch does not rate the class NR certificates.
A comparison of the transaction's Representations, Warranties, and
Enforcement (RW&E) mechanisms to those of typical RW&Es for the
asset class is available in the following report:
-- 'CFCRE Commercial Mortgage Trust 2011- C2-- Appendix' (Dec. 29,
2011).
CANYON CAPITAL 2012-1: S&P Affirms 'BB(sf)' Rating on Cl. E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Canyon
Capital CLO 2012-1 Ltd./Canyon Capital CLO 2012-1 LLC's $304.00
million fixed- and floating-rate notes following the transaction's
effective date as of April 22, 2013.
Most U.S. cash flow collateralized debt obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the
CLO transaction documents specify a date by which the targeted
level of portfolio collateral must be reached. The "effective
date" for a CLO transaction is usually the earlier of the date on
which the transaction acquires the target level of portfolio
collateral, or the date defined in the transaction documents.
Most transaction documents contain provisions directing the
trustee to request the rating agencies that have issued ratings
upon closing to affirm the ratings issued on the closing date
after reviewing the effective date portfolio (typically referred
to as an "effective date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us."
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This window
of time is typically referred to as a "ramp-up period." Because
some CLO transactions may acquire most of their assets from the
new issue leveraged loan market, the ramp-up period may give
collateral managers the flexibility to acquire a more diverse
portfolio of assets."
"For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to our effective date review are generally
based on the application of our criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to us by the
collateral manager, and may also reflect our assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased."
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio."
"Our analysis relies on the use of CDO Evaluator to estimate a
scenario default rate at each rating level based on the effective
date portfolio, full cash flow modeling to determine the
appropriate percentile break-even default rate at each rating
level, the application of our supplemental tests, and the
analytical judgment of a rating committee. (For more information
on our criteria and our analytical tools, see "Update To Global
Methodologies And Assumptions For Corporate Cash Flow And
Synthetic CDOs," published Sept. 17, 2009.)"
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO."
"On an ongoing basis after we issue an effective date rating
affirmation, we will periodically review whether, in our view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as we deem
necessary."
RATINGS AFFIRMED
Canyon Capital CLO 2012-1 Ltd. /Canyon Capital CLO 2012-1 LLC
Class Rating Amount
(mil. $)
X AAA (sf) 3.00
A AAA (sf) 200.00
B-1 AA (sf) 41.00
B-2 AA (sf) 7.50
C (deferrable) A (sf) 24.00
D (deferrable) BBB (sf) 14.50
E (deferrable) BB (sf) 14.00
CARLYLE GLOBAL 2013-4: S&P Assigns BB Rating to Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Carlyle
Global Market Strategies CLO 2013-4 Ltd./Carlyle Global Market
Strategies CLO 2013-4 LLC's $377.7 million floating- and fixed-
rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable to the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which it assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.24%-11.72%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1979.pdf
RATINGS ASSIGNED
Carlyle Global Market Strategies CLO 2013-4 Ltd./Carlyle Global
Market Strategies CLO 2013-4 LLC
Class Rating Amount (mil $)
X AAA (sf) 1.2000
A-1 AAA (sf) 122.000
A-2 AAA (sf) 130.000
B-1 AA (sf) 24.000
B-2 AA (sf) 20.000
C (deferrable) A (sf) 31.750
D (deferrable) BBB (sf) 21.750
E (deferrable) BB (sf) 18.500
F (deferrable) B (sf) 8.500
Subordinated notes NR 37.505
NR-Not rated.
CENTERLINE 2007-1: Moody's Affirms 'C' Rating on Class A-1 Notes
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
certificates issued by Centerline 2007-1 Resecuritization Trust.
The affirmations are due to the key transaction parameters
performing within levels commensurate with the existing ratings
levels. The rating action is the result of Moody's on-going
surveillance of commercial real estate collateralized debt
obligation and collateralized loan obligation (CRE CDO and Re-
remic) transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed C (sf); previously on Apr 12, 2011 Downgraded to
C (sf)
Ratings Rationale:
Centerline 2007-1 Resecuritization Trust is a static cash
transaction backed by a portfolio of: i) commercial mortgage
backed securities (CMBS) (51.6% of the pool balance); and ii) CRE
CDO bonds (48.4%). As of the October 22, 2013 payment date, the
aggregate certificate balance of the transaction has decreased to
$214.2 million from $985.9 million at issuance, as a result of
realized losses on the underlying collateral. Class Class A-1, the
senior most outstanding class, has experienced partial write-
downs.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 9,163
compared to 9,387 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: B1-B3 (4.2% compared to 3.2% at last
review), and Caa1-Ca/C (95.8% compared to 96.8% at last review).
Moody's modeled to a WAL of 8.9 years compared to 9.0 years at
last review. The current WAL incorporates Moody's assumptions
about extensions of the outstanding collateral assets.
Moody's modeled a fixed WARR of 0.2%, the same as that at last
review.
Moody's modeled a MAC of 0.0%, the same as that at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. However, in
light of the performance indicators noted above, Moody's believes
that it is unlikely that the ratings announced are sensitive to
further change.
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.
CFCRE COMMERCIAL 2011-C2: Moody's Affirms B2 Rating on Cl. G Notes
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes of
CFCRE Commercial Mortgage Trust, Series 2011-C2 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. A-J, Affirmed Aaa (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Dec 16, 2011 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Ba2 (sf)
Cl. G, Affirmed B2 (sf); previously on Dec 16, 2011 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Dec 16, 2011 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The affirmations of the P&I classes are due to key parameters,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. The ratings of the interest
only classes are consistent with the credit quality of their
referenced classes and are thus affirmed.
Based on our 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.
Moody's rating action reflects a base expected loss of
approximately 2.7% of the current deal balance compared to 2.5% at
last review. Moody's
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.64 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 our analysis. Based on the model
pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the
remaining conduit classes are either interpolated between these
two data points or determined based on a multiple or ratio of
either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit assessments
in the same transaction.
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 20, the same as 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.
Deal Performance:
As of the October 18, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $756 million
from $774 million at securitization. The Certificates are
collateralized by 51 mortgage loans ranging in size from less than
1% to 13% of the pool, with the top ten loans representing 57% of
the pool.
Two loans, representing 2% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of our
ongoing monitoring of a transaction, Moody's reviews the watchlist
to assess which loans have material issues that could impact
performance.
There have been no losses to the pool to date. Currently one loan,
representing 1% of the pool, is in special servicing. The loan is
secured by a 384-unit apartment complex located in Blacklick,
Ohio. The loan was transferred to the special servicer on July
7th, 2012 due to the guarantor being investigated by the SEC for
an alleged Ponzi scheme. The loan's performance has been stable.
Moody's also identified a second loan which Moody's believes has a
high probability of default. Moody's has estimated an aggregate
loss of $3.0 million (16.6% expected loss overall) for these two
loans.
Moody's was provided with full-year 2012 and partial year 2013
operating results for 100% and 57% of the performing pool,
respectively. Excluding the specially-serviced and troubled loans,
Moody's weighted average LTV is 90% compared to 92% at last full
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
9.45%
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.49X and 1.18X, respectively, compared to
1.45X and 1.13X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The top three performing conduit loans represent 31% of the pool.
The largest loan is the RiverTown Crossings Mall Loan ($96 million
-- 12.8% of the pool), which is a pari-passu interest in a $151
million first mortgage loan. The loan is secured by a 691,000
square foot (SF) portion of a 1.2 million SF regional mall located
in Grandville, Michigan. The Mall's anchors include Macy's,
Younkers, Sears, Kohl's, JCPenney (all non-collateral), and Dick's
Sporting Goods and Celebration Cinemas. As of June 2012 the total
mall was 92% leased, essentially the same as at last review.
Performance has been stable. The loan sponsor is and affiliate of
GGP. Moody's LTV and stressed DSCR are 81% and 1.17X compared to
82% and 1.15 at last review.
The second largest loan is the Plaza Mexico Loan ($79 million --
10.6% of the pool), which is secured by a 394,772 SF retail
community center located in Lynwood, California. The anchors are
Food 4 Less, La Curacao and Rite Aid. As of August 2012, the
property was 92% leased, the same as at last review. Property
performance has slightly declined due to higher expenses. Moody's
LTV and stressed DSCR are 88% and 1.07X, essentially the same as
at last review.
The third largest loan is the GSA -- FBI Portfolio Loan ($58.5
million -- 7.7% of the pool), which is secured by two single-
tenant office buildings that are 100% leased to the General
Services Administration. The properties are located in Las Vegas,
Nevada and Louisville, Kentucky and are occupied by the Federal
Bureau of Investigation (FBI). Both properties were built to suit
for the FBI. The two tenant leases are scheduled to expire beyond
the loan term, with the earliest expiration occurring in 2021.
Moody's LTV and stressed DSCR are 103% and 0.94X compared to 101%
and 0.96X at last review.
CHASE MANHATTAN: S&P Raises Rating on Class J Notes to BB+
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
G, H, I, and J commercial mortgage pass-through certificates from
Chase Manhattan Bank-First Union National Bank Commercial Mortgage
Trust's series 1999-1, a U.S. commercial mortgage-backed
securities (CMBS) transaction. Concurrently, S&P affirmed its
rating on the class K certificates from the same transaction.
The rating actions reflect S&P's analysis of the transaction,
which included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction
structure, and the liquidity available to the trust.
The upgrades reflect S&P's expectation of the available credit
enhancement for these classes, which we believe is greater than
its most recent estimate of necessary credit enhancement for the
most recent rating level. The upgrades also reflect S&P's views
regarding the current and future performance of the transaction's
collateral as well as the deleveraging of the trust balance.
The affirmation of the class K certificate reflects S&P's
expectation that the available credit enhancement for this class
will be within its estimated necessary credit enhancement required
for the current outstanding rating. The affirmation also reflects
S&P's review of the remaining loans' credit characteristics and
performance, as well as the transaction-level changes.
While the available credit enhancement level may suggest further
positive rating movements on classes H, I, and J, and positive
rating movement on class K, S&P's analysis also considered the
liquidity support available to these classes and interest
shortfall history experienced by the class J and K certificates.
S&P also considered the low reported debt service coverage (DSC)
ratio of one ($8.4 million, 13.8%) of the two loans on the master
servicer's watchlist ($9.3 million, 15.2%), and the refinance risk
on 10 credit lease balloon loans ($20.2 million, 33.1%) where the
single tenant lease expirations are coterminous with the loan
maturities in 2020.
As of the Oct. 18, 2013, trustee remittance report, the collateral
pool consisted of 37 loans with an aggregate principal balance of
$61.0 million, down from 205 loans with an aggregate balance of
$1.4 billion at issuance. The transaction currently includes 17
credit lease loans ($28.9 million, 47.4%) and 13 defeased loans
($16.6 million, 27.2%). In addition, there are currently no loans
reported with the special servicer and two loans ($9.3 million,
15.2%) are on the master servicer's (Berkadia Commercial Mortgage
LLC {Berkadia}) watchlist.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's DSC ratio of 1.10x and a loan-to-value
(LTV) ratio of 52.1% for 24 of the 37 remaining loans in the pool,
which exclude the 13 defeased loans. To date, the transaction has
experienced losses totaling $26.8 million or 1.9% of the
transaction's original pool balance.
Details on the two watchlist loans are as follows:
The Lodi Shopping Center loan ($8.4 million, 13.8%), the largest
loan in the pool and the larger of the two watchlist loans, is
secured by an 83,941-sq.-ft. retail property in Lodi, N.J. The
loan appears on the master servicer's watchlist because of a low
reported DSC, which Berkadia attributed to a decline in occupancy.
According to Berkadia, occupancy declined to 47.8% as of Dec. 31,
2010, primarily due to a grocery-anchor tenant vacating the
property. The reported DSC and occupancy for the six months ended
June 30, 2013, were 0.49x and 45.1%, respectively. According to
the July 1, 2013, rent roll, occupancy has increased to 93.6% due
to two new tenants, Aldi US (17,817-sq.-ft.) and Blink Fitness
(20,000-sq.-ft.) leasing the vacant space.
The Holiday Inn Express-Thornburg loan ($883,349; 1.4%) is secured
by a 54-key lodging property in Thornburg, Va. The loan appears
on the master service's watchlist because of its Nov. 1, 2013,
maturity date. According to Berkadia, the loan has been paid off
in full.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Chase Manhattan Bank-First Union National Bank Commercial Mortgage
Trust
Commercial mortgage pass-through certificates series 1999-1
Rating
Class To From Credit enhancement (%)
G AAA (sf) A+ (sf) 93.49
H AA (sf) A- (sf) 76.31
I A (sf) BBB- (sf) 59.13
J BB+ (sf) BB- (sf) 24.76
RATING AFFIRMED
Chase Manhattan Bank-First Union National Bank Commercial Mortgage
Trust
Commercial mortgage pass-through certificates Series 1999-1
Class Rating Credit enhancement (%)
K B+ (sf) 13.30
CITIGROUP COMMERCIAL 2013-GC17: Fitch Rates Class E Notes 'BB'
--------------------------------------------------------------
Fitch Ratings has issued a presale report on Citigroup Commercial
Mortgage Trust 2013-GC17 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $46,093,000 class A-1 'AAAsf'; Outlook Stable;
-- $192,952,000 class A-2 'AAAsf'; Outlook Stable;
-- $120,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $192,342,000 class A-4 'AAAsf'; Outlook Stable;
-- $55,534,000 class A-AB 'AAAsf'; Outlook Stable;
-- $676,284,000a class X-A 'AAAsf'; Outlook Stable;
-- $54,189,000a class X-B 'AA-sf'; Outlook Stable;
-- $17,341,000ab class X-C 'BBsf'; Outlook Stable;
-- $69,363,000 class A-S 'AAAsf'; Outlook Stable;
-- $54,189,000 class B 'AA-sf'; Outlook Stable;
-- $157,150,000c class PEZ 'A-sf'; Outlook Stable;
-- $33,598,000 class C 'A-sf'; Outlook Stable;
-- $42,267,000b class D 'BBB-sf'; Outlook Stable;
-- $17,341,000b class E 'BBsf'; Outlook Stable;
-- $8,670,000b class F 'Bsf'; Outlook Stable.
a Notional amount and interest-only.
b Privately placed pursuant to Rule 144A.
c Class A-S, B, and 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, B and C
certificates.
The expected ratings are based on information provided by the
issuer as of Nov. 5, 2013. Fitch does not expect to rate the
$34,681,987 class G or the $43,351,987 interest-only class X-D.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 65 loans secured by 70 commercial
properties having an aggregate principal balance of approximately
$867 million as of the cutoff date. The loans were contributed to
the trust by Citigroup Global Markets Realty Corp., Starwood
Mortgage Funding I LLC, Goldman Sachs Mortgage Company, Cantor
Commercial Real Estate Lending, L.P., and The Bancorp Bank.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.2% of the properties
by balance and cash flow analysis and asset summary reviews on
87.2% of the pool.
Key Rating Drivers:
Fitch Leverage: The pool's Fitch DSCR and LTV of 1.16x and 101.8%,
respectively, are slightly worse than the first half 2013 and 2012
averages of 1.36x and 99.8% and 1.24x and 97.2%, respectively.
Property Quality: Fitch assigned property quality grades of 'A' or
'A-' to four of the 10 largest loans in the pool, which represent
26.9% of the pool balance. Furthermore, property quality grades of
'B+' or better were assigned to 56.1% of the pool.
Retail Concentration: Retail properties represent the largest
concentration at 49.1% of the pool, including six of the top 10
loans. This is higher than the first half 2013 average retail
concentration of 31.6%. The next largest property type
concentrations are office (19.9%), and hotel (11.3%). The hotel
concentration is in line with the 2012 average pool concentration.
Limited Amortization: The pool is scheduled to amortize by 12.4%
of the initial pool balance prior to maturity. The pool's
concentration of partial-interest loans (39.9%), which includes
five of the 10 largest loans, is higher than the first-half 2013
average (30.7%). However, the pool's concentration of full-term
interest-only loans (15%) is slightly lower than the first-half
2013 average (19%).
Rating Sensitivities:
For this transaction, Fitch's net cash flow (NCF) was 9.7% below
the most recent net operating income (NOI) (for properties for
which most recent 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 CGCMT 2013-GC17 certificates and found
that the transaction displays slightly above-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 'BBB+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 of the presale.
The master servicer will be Wells Fargo Bank, N.A., rated 'CMS1-'
by Fitch. The special servicer will be LNR Partners LLC, rated
'CSS1-' by Fitch.
COMM 2007-FL14: S&P Lowers Rating on 2 Debt Classes to D
--------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
three U.S. commercial mortgage-backed securities (CMBS)
transactions to 'D (sf)' and removed them from CreditWatch with
negative implications. In addition, S&P affirmed and removed from
CreditWatch negative its ratings on two classes from two U.S. CMBS
transactions.
S&P placed nine ratings on CreditWatch negative in late October
2013 in connection with the de minimis shortfalls threshold
guidelines in its revised criteria for rating debt issues based on
imputed promises. The de minimis shortfalls threshold is now 1
basis point (bp) of the original certificate balance on a
cumulative basis.
S&P placed its ratings on the six aforementioned classes from five
U.S. CMBS transactions on CreditWatch negative because as of the
August 2013 data, these classes had principal losses or
accumulated interest shortfalls outstanding that exceeded the de
minimis threshold. The principal losses or interest shortfalls on
these classes stem mainly from trust-related expenses, such as
special servicing fees, appraisal subordinate entitlement
reduction amounts, and nonrecoverable determinations.
S&P lowered its rating to 'D (sf)' on class DHC-3 from Citigroup
Commercial Mortgage Trust 2006-FL2 and removed it from CreditWatch
negative because the $1,532 principal loss reported in the
Jan. 18, 2012, trustee remittance report exceeded the 1 bp de
minimis threshold at 0.14% of the original certificate balance.
In addition, S&P lowered its ratings to 'D (sf)' on classes GLB3
and GLB4 from COMM 2007-FL14 and class G from Wachovia Bank
Commercial Mortgage Trust's series 2007-WHALE8 (WBCMT 2007-WHALE8)
and removed them from CreditWatch negative because the accumulated
interest shortfalls exceeded the 1 bp de minimis threshold. As of
the Oct. 15, 2013, trustee remittance report, the accumulated
interest shortfalls amounts on classes GLB3 and GLB4 from COMM
2007-FL14 were 0.02% and 0.12%, respectively, of the original
certificate classes' balances and were outstanding for 19
consecutive months. As of the Oct. 18, 2013, trustee remittance
report, the accumulated interest shortfalls balance on class G
from WBCMT 2007-WHALE8 was 0.77% of the original class certificate
balance and was outstanding for 15 consecutive months.
S&P also affirmed and removed from CreditWatch negative its
ratings on two classes from two U.S. CMBS transactions because the
accumulated interest shortfalls amounts were repaid in full as of
the respective Oct. 2013 trustee remittance reports.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Citigroup Commercial Mortgage Trust 2006-FL2
Commercial mortgage pass-through certificates
Rating
Class To From
DHC-3 D (sf) CCC (sf)/Watch Neg
COMM 2007-FL14
Commercial mortgage pass-through certificates
Rating
Class To From
GLB3 D (sf) CCC- (sf)/Watch Neg
GLB4 D (sf) CCC- (sf)/Watch Neg
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2007-WHALE8
Rating
Class To From
G D (sf) CCC- (sf)/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
COMM 2006-FL12
Commercial mortgage pass-through certificates
Rating
Class To From
H CCC (sf) CCC (sf)/Watch Neg
Merrill Lynch Floating Trust
Commercial mortgage pass-through certificates series 2006-1
Rating
Class To From
L CCC- (sf) CCC- (sf)/Watch Neg
CONNECTICUT VALLEY III: Moody's Ups Rating on 2 Note Classes to B3
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Connecticut Valley
Structured Credit CDO III, Ltd.:
U.S. $225,500,000 Class A-1 Floating Rate Notes Due 2023 (current
outstanding balance of $58,847,072), Upgraded to Aaa (sf);
previously on March 22, 2013 Upgraded to Aa1 (sf);
U.S. $35,500,000 Class A-2 Floating Rate Notes Due 2023, Upgraded
to Aa2 (sf); previously on March 22, 2013 Upgraded to A1 (sf);
U.S. $48,000,000 Class A-3A Floating Rate Notes Due 2023, Upgraded
to Baa1 (sf); previously on March 22, 2013 Upgraded to Baa3 (sf);
U.S. $11,500,000 Class A-3B Fixed Rate Notes Due 2023, Upgraded to
Baa1 (sf); previously on March 22, 2013 Upgraded to Baa3 (sf);
U.S. $30,000,000 Class B-1 Floating Rate Notes Due 2023 (current
outstanding balance of $26,630,449), Upgraded to Ba3 (sf);
previously on March 22, 2013 Upgraded to B1 (sf);
U.S. $10,000,000 Class B-2 Fixed Rate Notes Due 2023 (current
outstanding balance of $8,835,334), Upgraded to Ba3 (sf);
previously on March 22, 2013 Upgraded to B1 (sf);
U.S. $14,500,000 Class C-1 Floating Rate Notes Due 2023 (current
outstanding balance of $11,041,448), Upgraded to B3 (sf);
previously on March 22, 2013 Upgraded to Caa1 (sf);
U.S. $2,500,000 Class C-2 Fixed Rate Notes Due 2023 (current
outstanding balance of $1,881,330), Upgraded to B3 (sf);
previously on March 22, 2013 Upgraded to Caa1 (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
February 2013. Moody's notes that the Class A-1 Notes have been
paid down by approximately 52% or $64 million since February 2013.
Based on the latest trustee report dated September 16, 2013, the
Class A, Class B, and Class C overcollateralization ratios are
reported at 135.5%, 112.8% and 106.4%, respectively, versus
February 2013 levels of 123.9%, 106.6% and 100.2%, respectively.
Moody's notes that the trustee reported overcollateralization
ratios do not reflect the $22.4 million paydown on the Class A-1
Notes on the September 23, 2013 payment date.
Additionally, Moody's notes that deferred interest on the Class C-
1 Notes and Class C-2 Notes has been fully repaid, with the Class
C-1 Notes and Class C-2 Notes collectively amortized by $1.1
million or 8.0% paid from interest proceeds diverted since
February 2013 as a result of the prior failure of Class C
overcollateralization test.
Connecticut Valley Structured Credit CDO III, Ltd., issued in
March 2006, is a collateralized debt obligation backed primarily
by a portfolio of CLO securities, with some exposure to Commercial
Real Estate CDOs, Emerging Market CDOs, and other structured
finance assets originated from 2002 to 2007.
Moody's applied the Monte Carlo simulation framework within
CDOROMv2.8-9 to model the loss distribution for SF CDOs. Within
this framework, defaults are generated so that they occur with the
frequency indicated by the adjusted default probability pool (the
default probability associated with the current rating multiplied
by the Resecuritization Stress) for each credit in the reference.
Specifically, correlated defaults are simulated using a normal (or
"Gaussian") copula model that applies the asset correlation
framework. Recovery rates for defaulted credits are generated by
applying within the simulation the distributional assumptions,
including correlation between recovery values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the
reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss
distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model . The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario.
Moody's notes that in arriving at its ratings of SF CDOs, there
exist a number of sources of uncertainty, operating both on a
macro level and on a transaction-specific level. Primary sources
of assumption uncertainty are the extent of the slowdown in growth
in the current macroeconomic environment and the residential real
estate property markets.
Moody's notes that in arriving at its ratings of SF CDOs backed by
CLOs, there exist a number of sources of uncertainty, operating
both on a macro level and on a transaction-specific level. These
uncertainties are 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. Primary sources of assumption uncertainty are the
extent of the slowdown in growth in the current macroeconomic
environment and the commercial and residential real estate
property markets. While commercial real estate property markets
are gaining momentum, a consistent upward trend will not be
evident until the volume of transactions increases, distressed
properties are cleared from the pipeline and job creation
rebounds. Among the uncertainties in the residential real estate
property market are those surrounding future housing prices, pace
of residential mortgage foreclosures, loan modification and
refinancing, unemployment rate and interest rates.
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's non-investment grade rated assets notched up by 2 rating
notches:
Class A-1: 0
Class A-2: +1
Class A-3A: +3
Class A-3B: +2
Class B-1: +3
Class B-2: +3
Class C-1: +3
Class C-2: +3
Moody's non-investment grade rated assets notched down by 2 rating
notches:
Class A-1: -1
Class A-2: -1
Class A-3A: -2
Class A-3B: -3
Class B-1: -3
Class B-2: -3
Class C-1: -3
Class C-2: -3
CREDIT SUISSE 2003-C4: S&P Affirms 'B(sf)' Rating on Class K Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
H and J commercial mortgage pass-through certificates from Credit
Suisse First Boston Mortgage Securities Corp.'s series2003-C4, a
U.S. commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P affirmed its rating on the class K certificates
from the same transaction.
The rating actions follow S&P's analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS.
S&P's analysis included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction
structure, and the liquidity available to the trust.
The raised ratings on classes H and J reflect Standard & Poor's
expected credit enhancement, which S&P believes is greater than
its most recent estimate of necessary credit enhancement for the
respective rating levels. The raised ratings also reflect S&P's
views regarding available liquidity support, the current and
future performance of the transaction's collateral, and the
continued reduction of the trust balance since issuance.
The affirmation on class K reflects S&P's expectation that the
available credit enhancement for this class will be within its
estimate of the necessary credit enhancement required for the
current outstanding rating. The affirmation also reflects S&P's
views regarding available liquidity support and the collateral's
current and future performance.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.56x and a loan-to-value (LTV) ratio of 38.6% for the remaining
loans in the pool, excluding the four specially serviced loans
($22.9 million, 49.6%) and two fully defeased loans ($9.1 million,
19.8%).
As of the Oct. 18, 2013, trustee remittance report, the collateral
pool had an aggregate trust balance of $46.1 million, down from
$1.337 billion at issuance. The pool comprises 11 loans and one
real estate owned (REO) asset, down from 171 loans at issuance.
To date, the transaction has experienced losses totaling
$34.8 million, or 2.6% of the transaction's original certificate
balance. The master servicer, Key Bank N.A., reported one loan,
the Walgreens-Omaha loan ($2.2 million, 4.8%), on its watchlist,
however, it is current and performing and is on the watchlist
because the servicer is awaiting a response regarding the
anticipated repayment date. The servicer reported a DSC ratio of
1.26x for the watchlist loan.
SPECIALLY SERVICED ASSETS
There are currently four assets ($22.9 million, 49.6%) with the
special servicer, LNR Partners LLC (LNR), of which one is REO
($11.7 million, 25.4%) and three are non-performing matured
balloon loans ($11.1 million, 24.2%). Details of the four assets
are below.
Princeton Square Apartments ($11.7 million, 25.4%) is the largest
asset in the pool and with the special servicer. The asset
consists of a 288-unit multifamily apartment complex in
Jacksonville, Fla., built in 1984 and renovated in 2002. The
asset secured an original loan that transferred to special
servicing on April 16, 2010, because of payment default, with the
property becoming REO on June 18, 2012 following a foreclosure
sale. According to LNR, a property manager has been engaged and
the occupancy is currently 94.4%. S&P expects a minimal loss upon
this asset's eventual resolution, which is considered to be a loss
less than or equal to 25% of the outstanding principal balance.
Park Square Center ($4.3 million, 9.4%) is the fifth-largest loan
in the pool and the second-largest asset with the special
servicer. The loan is secured by a 51,594-sq.-ft. retail shopping
center in Grove City, Ohio, built in 1996. The loan transferred
to the special servicer on July 16, 2013, because of maturity
default. The loan is current as of Sept. 1, 2013, and has a total
exposure of $4.4 million. According to LNR, the property is 90.8%
occupied as of June 30, 2013. S&P expects a minimal loss upon
this asset's eventual resolution.
Sante Fe Place Apartments ($3.8 million, 8.3%) is the sixth-
largest loan in the pool and the third-largest asset with the
special servicer. The loan is secured by a 327-unit multifamily
apartment complex in Balcones Heights, Texas, built in 1974. The
loan transferred to the special servicer on May 29, 2013, because
of maturity default. The loan is current as of April 11, 2013,
and has a total exposure of $4.0 million. According to LNR, the
property is 69.8% occupied as of Dec. 31, 2012. S&P expects a
minimal loss upon this asset's eventual resolution.
The seventh-largest loan in the pool and the smallest asset with
the special servicer is 111 & 121 Roberts Street ($3.0 million,
6.5%). The loan is secured by a 74,164-sq.-ft. industrial
building in East Hartford, Conn., built in 1985 and renovated in
2002. The loan transferred to the special servicer on March 15,
2013, because of maturity default. The loan was reported as being
current as of July 11, 2013, and has a total exposure of
$3.1 million. According to LNR, the property is 90.3% occupied as
of July 31, 2013. S&P expects a minimal loss upon this asset's
eventual resolution.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C4
Rating
Class To From Credit enhancement (%)
H AA (sf) BB+ (sf) 76.69
J BB (sf) B+ (sf) 44.08
RATING AFFIRMED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C4
Class Rating Credit enhancement (%)
K B (sf) 25.96
CREDIT SUISSE 2003-C5: S&P Affirms CCC-(sf) Rating on Cl. J Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
C commercial mortgage pass-through certificates from Credit Suisse
First Boston Mortgage Securities Corp.'s series 2003-C5, a U.S.
commercial mortgage-backed securities (CMBS) transaction, to to
'AAA (sf)' from 'AA+ (sf)'. Concurrently, S&P affirmed its
ratings on eight other classes from the same transaction,
including the interest-only (IO) class A-X certificates.
The rating actions follow S&P's analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS.
S&P's analysis included a review of the credit characteristics and
performance of the remaining loans in the pool, the transaction
structure, and the liquidity available to the trust.
The raised rating on class C reflects Standard & Poor's expected
credit enhancement, which S&P believes is greater than its most
recent estimate of necessary credit enhancement for the respective
rating level. The raised rating also reflects S&P's views
regarding available liquidity support, the current and future
performance of the transaction's collateral, and the continued
reduction of the trust balance since issuance.
The affirmation of S&P's rating on class B reflects its
expectation that the available credit enhancement for this class
will be within its estimate of the necessary credit enhancement
required for the current outstanding ratings. The affirmation
also reflects S&P's analysis of the remaining loans' credit
characteristics and performance.
S&P affirmed its 'AAA (sf)' rating on the class A-X IO
certificates based on its IO criteria.
The remaining affirmations reflect the remaining loans'
performance and S&P's expectation for liquidity support going
forward. Although the available credit enhancement levels suggest
positive rating movements on classes D, E, F, G, H, and J, S&P's
affirmations reflect its concerns regarding the largest loan, Mall
at Fairfield Commons, which has a whole loan balance of
$95.3 million and trust balance of $71.5 million (46.8% of pooled
trust balance). The 25% pari pasu portion is in the Merrill Lynch
Mortgage Trust 2003-KEY1 transaction. The loan is secured by a
1,046,726-sq.-ft. enclosed mall in Beavercreek, Ohio.
Elder Beerman is currently an anchor tenant in two separate spaces
at the Mall at Fairfield Commons, comprising 280,199 sq. ft total.
It is S&P's understanding from the master servicer, Midland Loan
Services (Midland), that beginning in February 2015, Elder Beerman
will consolidate its operations into its existing 150,000-sq.-ft.
space, vacating the 130,199-sq.-ft. space it also currently
occupies. As a result, S&P considered the impact this could have
on the collateral's future performance as well as its potential to
refinance when the loan matures in November 2014. In addition,
S&P considered the market the collateral is located in. The
Dayton Mall is in close proximity to the subject Mall at Fairfield
Commons and shares many of the same tenants. Moreover, The Greene
Town Center is a new mixed-use development that provides
additional competition to the Mall at Fairfield Commons.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.31x and a loan-to-value (LTV) ratio of 76.5% for the remaining
loans in the pool, excluding the four specially serviced loans
($18.9 million, 12.4%), the Delphi Building hope note
($7.6 million, 5.0%), and the Metcalf 127 Shops loan
($4.4 million, 2.9%).
As of the Oct. 18, 2013, trustee remittance report, the collateral
pool had an aggregate trust balance of $153.6 million, down from
$1.261 billion at issuance. The pool comprises 17 loans, down
from 153 loans at issuance. Of note, the Metcalf 127 Shops loan
is reflected in the above aggregate trust balance and loan count,
however it was repaid in full after the October trustee remittance
report.
To date, the transaction has experienced losses totaling
$24.6 million, or 2.0% of the transaction's original certificate
balance. Midland reported eight loans ($33.0 million, 21.6%) on
its watchlist: four ($23.3 million, 15.3%) are current and
performing and are on the watchlist only because of impending
maturity; one loan is current and performing and on the watchlist
because of a low DSC ratio; one loan is a performing matured
balloon loan ($3.2 million, 2.1%); one loan has since been repaid
in full since the date of the last remittance report
($4.4 million, 2.9%); and one loan ($1.1 million, 0.7%) is a non-
performing matured balloon.
SPECIALLY SERVICED LOANS
There are currently four loans ($18.9 million, 12.4%) with the
special servicer, Torchlight Investors LLC (Torchlight). Details
of the four assets are below.
Southcourt At South Square loan ($11.0 million, 7.2%) is the third
largest remaining loan in the pool and the largest loan with the
special servicer. The loan is secured by a 130,981-sq.-ft. office
building built in 1999 in Durham, N.C. The loan re-transferred to
the special servicer on Dec. 21, 2012, because of imminent default
caused by the borrower's inability to continue making debt service
payments due to low occupancy. According to Midland, the property
is 64.1% occupied as of Dec. 31, 2012. Midland indicated it is
moving forward with the foreclosure process. S&P expects a
minimal loss upon this asset's eventual resolution, which is
considered to be a loss less than 25% of the outstanding principal
balance.
The Evergreen - Beverly Plaza & Park Plaza loan ($4.4 million,
2.9%) is secured by two retail strip centers in Evergreen Park,
Ill., making up 45,570 sq. ft. The loan transferred to the
special servicer on Aug. 6, 2013, because of maturity default.
According to Torchlight, the borrower has refinancing in place and
expects to repay the loan in full.
The Dearborn Town Center loan ($2.2 million, 1.4%) is secured by a
24,974-sq.-ft. retail strip center built in 1999 in Dearborn,
Mich. The loan transferred to the special servicer on May 1,
2013, because of maturity default. The loan was reported as being
current as of March 11, 2013, and has a total exposure of
$2.3 million. S&P expects a moderate loss upon this asset's
eventual resolution, which is considered to be a loss between 26%
and 59% of the outstanding principal balance.
The Waynesburg Centre loan ($1.3 million, 1.0%) is secured by a
44,703-sq.-ft. grocery-anchored shopping center in Waynesburg,
Ohio, built in 1983. The loan transferred to the special servicer
on Oct. 21, 2011, because of payment default and because the DSC
ratio fell below the 1.10x threshold. The loan was reported as
being current as of Aug. 11, 2011, and has a total exposure of
$1.7 million. According to Midland, a receiver was appointed on
June 14, 2012. S&P expects a significant loss upon this asset's
eventual resolution, which is considered to be a loss greater than
60% of the outstanding principal balance.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATING RAISED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C5
Rating
Class To From Credit enhancement (%)
C AAA (sf) AA+ (sf) 79.44
RATINGS AFFIRMED
Credit Suisse First Boston Mortgage Securities Corp.
Commercial mortgage pass-through certificates series 2003-C5
Class Rating Credit enhancement (%)
B AAA (sf) 89.71
D A+ (sf) 58.91
E BBB- (sf) 47.62
F BB (sf) 36.33
G BB- (sf) 27.09
H B- (sf) 17.85
J CCC- (sf) 11.70
A-X AAA (sf) N/A
N/A-Not applicable.
CROWN POINT II: S&P Rates Class B-3L Notes 'B(sf)'
--------------------------------------------------
Standard & Poor's Ratings Services rated Crown Point CLO II
Ltd./Crown Point CLO II LLC's $412.9 million floating-rate notes.
The note issuance is a CLO securitization backed by a revolving
pool consisting primarily of broadly syndicated senior secured
loans.
RATINGS LIST
Crown Point CLO II Ltd./ Crown Point CLO II LLC
Floating-Rate Notes
Class Rating(i) Amount Interest rate (%)
(mil.)
A-1L AAA (sf) 157.80 3-month LIBOR plus 0.97
A-2L AA (sf) 20.80 3-month LIBOR plus 1.93
A-3L A (sf) 19.80 3-month LIBOR plus 2.86
B-1L BBB (sf) 18.20 3-month LIBOR plus 3.55
B-2L BB- (sf) 10.90 3-month LIBOR plus 4.60
B-3L B (sf) 6.80 3-month LIBOR plus 5.65
Sub nts NR 25.65 N/A
Combo nts AA (sf) 178.60 3-month LIBOR plus 1.08
CRYSTAL RIVER 2006-1: Moody's Affirms 'C' Ratings on 9 Notes
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of nine classes
of notes issued by Crystal River Resecuritization 2006-1 Ltd. The
affirmations are due to the key transaction parameters performing
within levels commensurate with the existing ratings levels. The
rating action is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
Re-remic) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. B, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. C, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Jan 24, 2013 Affirmed C (sf)
Ratings Rationale:
Crystal River Resecuritization 2006-1 Ltd. is a static cash
transaction backed by a portfolio of commercial mortgage backed
securities (CMBS) (100.0% of the pool balance). As of the October
22, 2013 payment date, the aggregate note balance of the
transaction including preferred shares has decreased to $388.4
million from $390.3 million at issuance.
There are 33 assets with a par balance of $179.8 million (93.9% of
the current pool balance) that are considered defaulted securities
as of the October 22, 2013 Trustee report. There have been losses
on the underlying collateral to date resulting in implied losses
on certain outstanding notes, and Moody's does expect significant
losses to occur on the defaulted securities once they are
realized. The transaction is currently under-collateralized by
$196.8 million.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 9,599
compared to 9,483 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: B1-B3 (0.4% compared to 4.2% at last
review), and Caa1-Ca/C (99.6% compared to 95.8% at last review).
Moody's modeled to a WAL of 6.1 years compared to 7.5 years at
last review.
Moody's modeled a fixed WARR of 0.0% compared to 0.2% at last
review.
Moody's modeled a MAC of 0.0%, the same as that at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. However, in
light of the performance indicators noted above, Moody's believes
that it is unlikely that the ratings announced are sensitive to
further change.
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.
DEUTSCHE BANK 2013-CCRE12: Fitch Rates $23.9MM Cl. E Notes 'BBsf'
-----------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Deutsche Bank Securities, Inc.'s COMM 2013-CCRE12
Commercial Mortgage Pass-Through Certificates:
-- $61,738,000 class A-1 'AAAsf'; Outlook Stable;
-- $98,472,000 class A-2 'AAAsf'; Outlook Stable;
-- $96,466,000 class A-SB 'AAAsf'; Outlook Stable;
-- $225,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $355,963,000 class A-4 'AAAsf'; Outlook Stable;
-- $913,924,000 class X-A 'AAAsf'(a); Outlook Stable;
-- $76,285,000 class A-M 'AAAsf'(c); Outlook Stable;
-- $79,277,000 class B 'AA-sf'(c); Outlook Stable;
-- $204,923,000 class PEZ 'A-sf'(c); Outlook Stable;
-- $49,361,000 class C 'A-sf'(c); Outlook Stable;
-- $192,957,000 class X-B 'BBB-sf'(a)(b); Outlook Stable;
-- $64,319,000 class D 'BBB-sf'(b); Outlook Stable;
-- $23,932,000 class E 'BBsf'(b); Outlook Stable;
-- $16,454,000 class F 'Bsf'(b); Outlook Stable.
(a) Notional amount and interest only.
(b) Privately placed pursuant to rule 144A.
(c) Class A-M, B, and C certificates may be exchanged for class
PEZ certificates, and class PEZ certificates may be exchanged for
class A-M, B, and C certificates.
Fitch does not rate the $89,747,377 interest-only class X-C or the
49,361,377 class G.
The classes above reflect the final ratings and deal structure.
The transaction closed on Nov. 7, 2013. The certificates represent
the beneficial ownership interest in the trust, primary assets of
which are 63 loans secured by 124 commercial properties having an
aggregate principal balance of approximately $1.197 billion, as of
the cutoff date. The loans were contributed to the trust by German
American Capital Corporation, Cantor Commercial Real Estate
Lending, L.P., and UBS Real Estate Securities Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 76.9% of the properties
by balance, cash flow analysis of 88.1%, and asset summary reviews
on 81.1% of the pool.
Key Rating Drivers:
High Fitch Leverage: The Fitch DSCR of 1.11x is below the average
2012 and first-half 2013 of 1.24x and 1.36x, respectively. The
Fitch loan-to-value (LTV) of 103.6% is higher than the 2012 and
first-half 2013 averages of 97.2% and 99.8%, respectively.
Property Type Diversity: The largest property type concentrations
are retail (31.3%) and office (27.0%), which are in-line with the
respective first-half 2013 averages of 31.6% and 22.3%.
Multifamily properties comprise 18.7% of the pool which is greater
than the first-half 2013 average of 8.9%. Additionally, hotels
comprise only 8.7% of the pool, compared to the first-half 2013
average of 13.8% for Fitch-rated multi-borrower transactions.
Pool Concentration: The top 10 loans represent 56.5% of the total
pool balance, which is slightly higher than the first-half 2013
top-10 loan average concentration of 54.3%.
Amortization and No Full-Term Interest-Only Loans: The pool is
scheduled to amortize 14.0% prior to maturity. There are no full
interest-only loans and 17 loans (58.4%) are partial interest
only. The remaining 46 loans (41.6%) are amortizing balloon loans.
There is one anticipated repayment date (ARD) loan (4.2%) in the
pool. Approximately 91.1% of the pool consists of 10-year loans
and 8.9% consists of five-year loans.
Rating Sensitivities:
For this transaction, Fitch's net cash flow (NCF) was 6.1% 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
severities on defaulted loans, and could result in potential
rating actions on the certificates. Fitch evaluated the
sensitivity of the ratings assigned to COMM 2013-CCRE12
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 72-73.
EATON VANCE 2013-1: S&P Assigns 'BB' Rating on Class D Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Eaton
Vance CLO 2013-1 Ltd./Eaton Vance CLO 2013-1 LLC's $399.1 million
floating-rate notes.
The note issuance is a collateralized loan obligation transaction
backed by a revolving pool consisting primarily of broadly
syndicated senior secured loans.
The 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 collateral manager's experienced management team.
-- The timely interest and ultimate principal payments on the
rated notes, which S&P assessed using its cash flow analysis
and assumptions commensurate with the assigned ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2386% to 13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test during the
reinvestment period, a failure of which will lead to the
reclassification of up to 50% of excess interest proceeds
that are available before paying interest on the class E
notes, uncapped administrative expenses and fees,
subordinated hedge payments, supplemental reserve account
deposits, and subordinated note payments to principal
proceeds to purchase additional collateral assets during the
reinvestment period. Subordinate management fees, including
the repayment of amounts previously deferred, are paid
before the interest diversion test. The payment of
management fees that were previously deferred at the
collateral manager's election may not be paid if it would
result in the deferral of interest to any class of rated
notes.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1856.pdf
RATINGS ASSIGNED
Eaton Vance CLO 2013-1 Ltd./Eaton Vance CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 257.000
A-2 AA (sf) 60.100
B (deferrable) A (sf) 36.000
C (deferrable) BBB (sf) 21.300
D (deferrable) BB (sf) 17.200
E (deferrable) B (sf) 7.500
Subordinated notes NR 35.125
NR-Not rated.
EMBARCADERO AIRCRAFT: Moody's Cuts Class A-1 Debt Rating to Ca
--------------------------------------------------------------
Moody's Investors Service announced that it is downgrading the
Class A-1 ratings of Embarcadero Aircraft Securitization Trust,
Series 2000-1 from Ca(sf) to C(sf). Macquarie Aircraft Leasing
Services (Ireland) Limited is the servicer.
The complete rating action is as follows:
Issuer: Embarcadero Aircraft Securitization Trust (EAST 2000),
Series 2000-1
Class A-1, Downgraded to C (sf); previously on Dec 1, 2011
Downgraded to Ca (sf)
Ratings Rationale:
All aircraft and engines were sold from the deal leaving a $14.7
million Class A Cash Collateral Account and a $1.3 million expense
account as part of the trust as of October 15, 2013. No new
receipts of delinquent lease rentals or any other significant
sources of incoming cashflows are expected for the deal. The
Controlling Trustees have initiated a Plan of Resolution in the
State of Delaware to identify and pay liabilities and expenses and
distribute any remaining funds to the Class A-1 noteholders. The
actual recovery of the Class A-1 noteholders will be impacted by
the amount of remaining expenses and liabilities and interest
payments made until the final resolution. A hearing is scheduled
for January 30, 2014 where the Plan of Resolution will be
reviewed.
FAIRWAY LOAN: Moody's Affirms 'Ba2' Rating on $32MM Cl. B-2L Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Fairway Loan Funding
Company:
U.S.$49,000,000 Class A-3L Deferrable Floating Rate Notes Due
October 2018, Upgraded to Aaa (sf); previously on July 2, 2013
Upgraded to Aa2 (sf);
U.S.$32,000,000 Class B-1L Floating Rate Notes Due October 2018,
Upgraded to A2 (sf); previously on July 2, 2013 Upgraded to Baa1
(sf).
Moody's also affirmed the ratings of the following notes:
U.S.$510,000,000 Class A-1L Floating Rate Notes Due October 2018
(current outstanding balance of $153,530,317.14), Affirmed Aaa
(sf); previously on July 2, 2013 Affirmed Aaa (sf);
U.S.$75,000,000 Class A-1LV Floating Rate Notes Due October 2018
(current outstanding balance of $14,876,816.96), Affirmed Aaa
(sf); previously on July 2, 2013 Affirmed Aaa (sf);
U.S.$52,000,000 Class A-2L Floating Rate Notes Due October 2018,
Affirmed Aaa (sf); previously on July 2, 2013 Upgraded to Aaa
(sf);
U.S.$32,000,000 Class B-2L Floating Rate Notes Due October 2018,
Affirmed Ba2 (sf); previously on July 2, 2013 Affirmed 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
July 2013. Moody's notes that the Class A-1 Notes have been paid
down by approximately 47.3% or $151.0 million since July 2013.
Based on the latest trustee report dated October 4, 2013, the
Senior Class A, Class A, Class B-1L and Class B-2L
overcollateralization ratios are reported at 148.7%, 125.9%,
114.4% and 104.8%, respectively, versus July 2013 levels of
135.7%, 119.9%, 111.4% and 104.0%, respectively. Moody's also
notes that the October overcollateralization ratios do not reflect
the October 17, 2013 payment of $49.3 million to the Class A-1
Notes.
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
$347.1 million, defaulted par of $12.4 million, a weighted average
default probability of 14.78% (implying a WARF of 2492), a
weighted average recovery rate upon default of 51.69%, a weighted
average spread of 2.82%, and a diversity score of 35. 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.
Fairway Loan Funding Company, issued in July 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
Moody's Adjusted WARF -- 20% (1994)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: +2
Class B-2L: +1
Moody's Adjusted WARF + 20% (2991)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: -1
Class B-1L: -2
Class B-2L: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and
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.
FIRST UNION-LEHMAN: S&P Affirms CCC+ Rating on Class J Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
G and H commercial mortgage pass-through certificates from First
Union-Lehman Brothers Commercial Mortgage Trust's series 1997-C2,
a U.S. commercial mortgage-backed securities (CMBS) transaction.
In addition, Standard & Poor's affirmed its 'CCC+ (sf)' rating on
class J from the same transaction.
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining loans in the
pool, the transaction structure, and the liquidity available to
the trust.
The upgrades reflect S&P's expected available credit enhancement
for classes G and H, which S&P believes is greater than its most
recent estimate of necessary credit enhancement for the respective
rating levels. The upgrades also reflect S&P's views regarding
the current and future performance of the transaction's
collateral, adequate liquidity support available to these classes,
and the deleveraging of the trust balance.
The affirmation on class J reflects S&P's expectation that the
available credit enhancement for the class will be within its
estimated necessary credit enhancement required for the current
outstanding rating. The affirmation also reflects S&P's review of
the remaining loans' credit characteristics and performance as
well as the transaction-level changes. S&P's analysis also
considered the historical interest shortfalls on class J and
reduced liquidity support due to principal losses of 93.6%-100% on
all classes subordinate to class J.
Using servicer-provided financial information, S&P calculated a
Standard & Poor's adjusted debt service coverage (DSC) of 1.09x
and a Standard & Poor's loan-to-value (LTV) ratio of 46.2% for 45
of the 46 remaining loans in the pool. The DSC and LTV
calculations exclude the defeased loan ($14.4 million, 19.3%).
The transaction includes 32 credit lease loans ($37.7 million,
50.4%), the details of which appear below. Excluding the credit-
tenant leases, we calculated a Standard & Poor's DSC of 1.24x and
a Standard & Poor's LTV ratio of 45.5%.
As of the Oct. 18, 2013, trustee remittance report, the collateral
pool had an aggregate trust balance of $74.9 million, down from
$2.2 billion at issuance. The pool comprises 46 loans, down from
422 loans at issuance. Of the 46 remaining loans, 32 are credit
lease loans ($37.7 million, 50.4%), in which the single tenants
are mainly Rite Aid Corp. ($17.4 million, 23.2%) and Blue Cross
Blue Shield ($17.1 million, 22.9%). In addition, 32
($39.2 million, 52.3%) of the 46 remaining loans in the pool are
fully amortizing loans, including 24 ($28.7 million, 38.3%) credit
lease loans.
Of the remaining credit lease loans, four are triple net leases
($4.3 million, 5.8%), 27 are double net leases ($16.3 million,
21.7%), and one (the largest remaining loan in the pool) is a
bond-type lease ($17.1 million, 22.9%). The credit lease loans
mature between 2015 and 2022. The largest credit lease loan is
the Blue Cross Blue Shield loan ($17.1 million, 22.9%). The loan
is secured by a 222,000-sq.-ft. office property in Salt Lake City,
Utah, and is 100% leased to Blue Cross Blue Shield. The bondable
triple net lease is coterminous with the loan maturity of
Nov. 2022. The reported DSC was 1.00x for the six months ended
June 30, 2013.
To date, the transaction has had losses totaling $64.7 million
(2.9% of the transaction's original certificate balance). No
loans were reported to be with the special servicer. The master
servicer, Wells Fargo Bank N.A. (Wells Fargo), provided financial
information for 91.7% of the nondefeased loans in the pool, of
which 89.3% were full-year 2012 data and the remainder were year-
end 2011 data. Seven loans ($5.3 million, 7.0%) are currently on
the master servicer's watchlist. Details of the three largest
loans on the master servicer's watchlist are as follows:
-- The Coral Gardens loan ($1.7 million, 2.2%), the ninth-
largest nondefeased loan in the pool, is the largest loan on
the master servicer's watchlist. The loan is secured by a
118-unit multifamily property in Phoenix, Az. The loan is
on the master servicer's watchlist because of a low reported
DSC, which was 1.03x for the six months ended June 30, 2013,
down from 1.22x at year-end 2012. Wells Fargo attributed the
low reported DSC to increased operating expenses. Reported
occupancy was 97.6% as of the June 1, 2013, rent roll.
-- The Rite Aid - West Branch credit lease loan ($1.0 million,
1.3%) is the second-largest loan on the master servicer's
watchlist. The loan is secured by an 11,180-sq.-ft. retail
property in West Branch, Mich., leased 100% to Rite Aid
Corp. The loan appears on the master servicer's watchlist
due to life safety deferred maintenance issues found during
the property inspection. Wells Fargo stated that it has
issued a letter of deferred maintenance requesting the
borrower's remediation plan. The reported DSC and
occupancy were 1.01x and 100.0%, respectively, at year-end
2012.
-- The Tower Gardens loan ($0.7 million, 1.0%) is the third-
largest loan on the master servicer's watchlist. The loan
is secured by a 23-unit multifamily property in Houston, Tx.
The loan appears on the master servicer's watchlist due to a
low reported DSC of 0.67x as of the six months ended
June 30, 2013, down from 0.99x as of year-end 2012.
-- Reported occupancy was 95.7% as of June 30, 2013.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
First Union-Lehman Brothers Commercial Mortgage Trust Commercial
mortgage pass-through certificates series 1997-C2
Rating
Class To From Credit enhancement (%)
G AAA (sf) A (sf) 82.74
H AA (sf) BB+ (sf) 60.69
RATING AFFIRMED
First Union-Lehman Brothers Commercial Mortgage Trust Commercial
mortgage pass-through certificates series 1997-C2
Class Rating Credit enhancement (%)
J CCC+ (sf) 1.87
FORE CLO 2007-I: Moody's Affirms Ba2 Rating on $29.5MM Cl. D Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Fore CLO Ltd. 2007-I:
U.S. $38,500,000 Class A-2 Senior Notes Due July 20, 2019,
Upgraded to Aaa (sf); previously on August 29, 2011 Upgraded to
Aa1 (sf)
U.S. $14,500,000 Class B Senior Notes Due July 20, 2019, Upgraded
to Aa1 (sf); previously on August 29, 2011 Upgraded to Aa3 (sf)
U.S. $31,000,000 Class C Deferrable Mezzanine Notes Due July 20,
2019, Upgraded to A2 (sf); previously on August 29, 2011 Upgraded
to A3 (sf)
Moody's also affirmed the ratings of the following notes:
U.S. $246,500,000 Class A-1a Senior Notes Due July 20, 2019
(current outstanding balance of $121,409,352.92), Affirmed Aaa
(sf); previously on June 29, 2007 Assigned Aaa (sf)
U.S. $100,000,000 Class A-1b Senior Delayed Draw Notes Due July
20, 2019 (current outstanding balance of $49,253,287.18), Affirmed
Aaa (sf); previously on June 29, 2007 Assigned Aaa (sf)
U.S. $29,500,000 Class D Deferrable Mezzanine Notes Due July 20,
2019 (current outstanding balance of $23,008,589.90), Affirmed Ba2
(sf); previously on August 29, 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 since the
end of the reinvestment period in July 2013. Moody's notes that
the Class A-1a and A-1b Notes have been paid down by approximately
50.7% or $175.8 million since the end of the reinvestment period
in July 2013. Moody's calculated Class A, Class B, Class C and
Class D overcollateralization ("OC") ratios are currently at
143.1%, 133.8%, 117.5%, and 107.8%, respectively and they reflect
the most recent payment to the notes in October 2013 whereas the
trustee reported metrics do not reflect the payment.
Notwithstanding the benefits of the deleveraging, Moody's notes
that the credit quality of the underlying portfolio has
deteriorated since November 2012. Based on the October 2013
trustee report, the weighted average rating factor is currently
2642 compared to 2393 in November 2012.
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 October 2013 trustee report, securities
that mature after the maturity date of the notes currently make up
approximately 3.4% or $16.4 million of the underlying portfolio.
Moody's notes that the exposure to long-dated assets has been
reduced since the end of the reinvestment period in July 2013 when
it was reported at 32.6% or $157.1 million. These investments
potentially expose the notes to market risk in the event of
liquidation at the time of the notes' maturity. Notwithstanding
deleveraging of the notes, Moody's affirmed the rating of the
Class D notes due to the market risk posed by the exposure to
these long-dated assets.
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 $294.3 million, defaulted par of $12.6
million, a weighted average default probability of 17.8% (implying
a WARF of 2614), a weighted average recovery rate upon default of
54.0%, and a diversity score of 35. 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.
Fore CLO Ltd. 2007-I, issued in June 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
FORTRESS CREDIT II: S&P Assigns Prelim. 'BB' on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Fortress Credit BSL II Ltd./Fortress Credit BSL II
LLC's $363.25 million floating- and fixed-rate notes.
The note issuance is backed by a revolving pool consisting
primarily of broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Nov. 12,
2013. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.
PRELIMINARY RATINGS ASSIGNED
Fortress Credit BSL II Ltd./Fortress Credit BSL II LLC
Class Rating Amount (mil. $)
A-1R AAA (sf) 69.00
A-1F AAA (sf) 162.50
B-1 AA (sf) 48.50
B-2 AA (sf) 10.00
C (deferrable) A (sf) 28.00
D (deferrable) BBB (sf) 22.75
E (deferrable) BB (sf) 22.50
Subordinated notes NR 48.50
GALAXY VIII: S&P Affirms 'B (sf)' Rating on Class E Notes
---------------------------------------------------------
"Standard & Poor's Ratings Services raised its ratings on class A,
B, and C notes from Galaxy VIII CLO Ltd., a cash flow
collateralized loan obligation (CLO) transaction, and removed them
from CreditWatch with positive implications, where we had placed
them on Sept. 5, 2013. At the same time, we affirmed our ratings
on class C and D notes."
"The transaction is currently in its amortization phase and is
paying down the notes. 's upgrades largely reflect paydowns of
$183.94 million to the class A notes since our December 2012
rating actions." As a result, according to the Oct. 15, 2013,
monthly trustee report, the overcollateralization (O/C) ratios
increased for each class of notes as follows:
* The senior O/C ratio is 127.37%, up from 119.21% in October
2012, which we used for our December 2012 rating actions;
* The class C O/C ratio is 116.72%, up from 112.38% in October
2012; and
* The class D O/C ratio is 109.69%, up from 107.65% in October
2012.
"In addition, the credit quality of the underlying portfolio
improved during this period. According to the Oct. 15, 2013,
trustee report, the transaction held $1.37 million in 'CCC' rated
assets, down from the $19.08 million noted in the October 2012
trustee report. Although the amount of defaulted collateral held
in the transaction's asset portfolio increased slightly to $1.76
million in October 2013 from $0.12 million in October 2012, it is
still at a low level and did not affect the credit support
available to the tranches."
"We also noted that the transaction held $6.02 million of long-
dated assets that mature after the transaction's stated maturity.
Our analysis took into account the potential market value and/or
settlement-related risk arising from the potential liquidation of
the remaining securities on the transaction's legal final maturity
date."
The affirmations reflect the availability of adequate credit
support at the current rating levels.
"Our ratings on the class C and E notes are driven by our largest
obligor default test, which addresses the potential concentration
of exposure to obligors in the transaction's portfolio."
"We will continue to review whether the ratings currently assigned
to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary."
RATINGS AND CREDITWATCH ACTIONS
Galaxy VIII CLO Ltd.
Rating Rating
Class To From
A AAA (sf) AA+ (sf)/Watch Pos
B AAA (sf) AA (sf)/Watch Pos
C A+ (sf) A (sf)/Watch Pos
D BBB (sf) BBB (sf)/Watch Pos
E B+ (sf) B+ (sf)/Watch Pos
GE CAPITAL 2002-2: Moody's Cuts Rating on Class X-1 Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service upgraded the rating of one class and
downgraded one class of GE Capital Commercial Mortgage
Corporation, Commercial Pass-Through Certificates, Series 2002-2
as follows:
Cl. O, Upgraded to B2 (sf); previously on Mar 1, 2006 Downgraded
to Caa1 (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Dec 6, 2012
Downgraded to Caa2 (sf)
Ratings Rationale:
The upgrade of the P&I class is due to increased credit support
from loan paydowns and amortization.
The rating of the IO Class, Class X-1, is downgraded due to a
decline in the credit quality of its referenced classes as a
result of the pay downs of the more highly rated classes.
Moody's rating action reflects a base expected loss of
approximately 14.3% ($1.9 million) of the current deal balance. At
last review, Moody's base expected loss was approximately 18.9%
($5.7). Moody's base expected loss plus realized loss is 1.1% of
the original, securitized deal balance compared to 1.4% at Moody's
last review.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2, compared to a Herf of 4 at Moody's prior
review.
In cases where the Herf falls below 20, Moody's employs the large
loan/single borrower methodology. This methodology uses the excel-
based Large Loan Model v 8.6 and then reconciles and weights the
results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated December 6, 2012.
Please see the ratings tab on the issuer / entity page on
moodys.com for the last rating action and the ratings history.
Deal Performance:
As of the October 11, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $13 million
from $971 million at securitization. The Certificates are
collateralized by three mortgage loans ranging in size from less
than 12% to 53% of the pool.
Six loans have liquidated from the pool, resulting in an aggregate
realized loss of $8.3 million (13.6% average loan loss severity).
Currently two loans, representing 46% of the pool, are in special
servicing. The largest specially serviced loan is the Oakwood
Shopping Center Loan ($4.6 million -- 35% of the pool), which is
secured by a 103,000 square foot (SF) anchored retail center
located in Rocky Mount, North Carolina. The loan defaulted on
maturity on August 1, 2012 and is currently in foreclosure. The
property was 89% leased as of March 2013. Moody's has estimated an
aggregate $1.9 million loss from the specially serviced loans
(30.7% expected loss overall).
The only conduit loan in the pool is the Sterling University Court
Loan ($7.1 million -- 53% of the pool), which is secured by a 138
unit multi-family property located in Lansing, Michigan. The
complex was 96% leased as of March 2013. Moody's LTV and stressed
DSCR are 83% and 1.16X, respectively, the same as at last review.
GE COMMERCIAL 2005-C1: Fitch Affirms 'CCC' Rating on Class F Notes
------------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of GE Commercial Mortgage
Corporation (GECMC) commercial mortgage pass-through certificates
series 2005-C1. A detailed list of rating actions follows at the
end of this press release.
Key Rating Drivers:
The affirmations reflect stable performance of the pool. Although
credit enhancement is increasing for classes A-J, B, and C, the
classes have been impacted by interest shortfalls.. While previous
interest shortfalls on these classes have been cured, Fitch
believes there is a possibility that interest shortfalls could
again affect these classes prior to repayment. According to
Fitch's global criteria for rating caps, Fitch will not assign or
maintain 'AAAsf' or 'AAsf' ratings for notes that it believes have
a high level of vulnerability to interest shortfalls or deferrals,
even if permitted under the terms of the documents (for more
information please see the full report titled 'Criteria for Rating
Caps and Limitations in Global Structured Finance Transactions',
dated June 12, 2013, at www.fitchratings.com). Interest shortfalls
are currently affecting classes E through P.
Fitch modeled losses of 2.9% of the remaining pool; expected
losses on the original pool balance total 5.7%, including $69.7
million (4.2% of the original pool balance) in realized losses to
date. Fitch has designated 21 loans (38.9%) as Fitch Loans of
Concern, which includes two specially serviced assets (2.1%).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 45.8% to $906.8 million from
$1.67 billion at issuance. Per the servicer reporting, 10 loans
(10.6% of the pool) are defeased.
The largest contributor to expected losses is secured by a 133,631
square foot (sf) grocery anchored retail center in Cincinnati, OH
(1.5% of the pool). The property is anchored by Bigg's (51.3% net
rentable area [NRA]). The property has experienced cash flow
issues since second quarter 2011, primarily due to the vacancy of
Gold's Gym (previously 33.9% NRA). The March 2013 rent roll
reported occupancy at 65%. The loan transferred to special
servicing in May 2012 for payment default. The servicer is
currently pursuing foreclosure.
The next largest contributor to expected losses is secured by a
62,177sf office building in Bay Shore, NY (0.6%). The property has
experienced cash flow issues from occupancy declines. The loan
transferred to special servicing in June 2011 for payment default.
The servicer reported occupancy was 27% as of July 2013. The
servicer is currently pursuing foreclosure.
The third largest contributor to expected losses is the Lakeside
Mall loan (8.9%), the second largest loan in the pool. The loan is
secured by the in-line space and one of five anchors (Macy's Men's
& Home) of a two-level 1.5 million SF regional mall located in
Sterling Heights, MI within the Detroit metropolitan statistical
area (MSA). Additional non-collateral anchors include Lord &
Taylor and Sears. The servicer reported the collateral occupancy
at 84.5% as of June 2013. The net operating income (NOI) debt
service coverage ratio (DSCR) for YTD June 2013 reported at 1.13x,
a decline from 1.29x for YE December 2012 and 1.25x for YE
December 2011. The decline is primarily due to a scheduled
increase in debt service payments beginning January 2013, which
was included in the January 2010 modification of the loan. The
loan is sponsored by General Growth Properties, and is current as
of the October 2013 payment date.
Rating Sensitivity:
Rating Outlooks on classes A-3 through C remain Stable due to
increasing credit enhancement, defeasance, and continued paydown.
The Negative Outlooks on classes D and E 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.
Fitch affirms the following classes as indicated:
-- $72.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $36.8 million class A-4 at 'AAAsf'; Outlook Stable;
-- $7.6 million class A-AB at 'AAAsf'; Outlook Stable;
-- $457.9 million class A-5 at 'AAAsf'; Outlook Stable;
-- $67 million class A-1A at 'AAAsf'; Outlook Stable;
-- $110.9 million class A-J at 'Asf'; Outlook Stable;
-- $41.9 million class B at 'Asf'; Outlook Stable;
-- $16.7 million class C at 'Asf'; Outlook Stable;
-- $27.2 million class D at 'BBBsf'; Outlook Negative;
-- $14.6 million class E at 'BBB-sf'; Outlook Negative;
-- $23 million class F at 'CCCsf'; RE 100%;
-- $14.6 million class G at 'CCsf'; RE 65%.
-- $16.1 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class P certificates. Fitch previously withdrew the
ratings on the interest-only class X-P and X-C certificates.
GMAC COMMERCIAL 2003-C2: S&P Raises Rating on Class H Notes to B-
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes of commercial mortgage pass-through certificates from GMAC
Commercial Mortgage Securities Inc.'s series 2003-C2, a U.S. CMBS
transaction. Concurrently, S&P affirmed its rating on the class J
certificates.
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of all of the remaining assets in
the pool, the transaction structure, and the liquidity available
to the trust.
The upgrades reflect S&P's expectation of the available credit
enhancement for the affected tranches, which S&P believes is
greater than its most recent estimate of necessary credit
enhancement for the respective rating levels. The upgrades also
reflect S&P's views regarding the current and future performance
of the transaction's collateral, as well as the deleveraging of
the trust balance.
The affirmation of the class J certificate reflects S&P's review
of the credit characteristics and performance of the remaining
loans, the transaction-level changes, as well as the potential for
future interest shortfalls resulting from the two specially
serviced assets.
S&P's analysis considered the current and potential additional
interest shortfalls related to Boulevard Mall ($38.6 million,
52.7 %) and Greenbriar Crossing Shopping Center ($5.1 million,
7.0 %), which are currently with their respective special
servicers, Midland Loan Services Inc. (Midland) and CWCapital
Asset Management LLC (CWCapital).
As of the Oct. 10, 2013, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $64,920,
primarily related to the $55,772 appraisal subordinate entitlement
reduction amount and $9,027 special servicing fees. The interest
shortfalls affected the classes subordinate to and including class
J.
Also as of the October 2013 trustee remittance report, the
collateral pool had a $73.1 million aggregate pooled trust
balance, down from $1.3 billion at issuance. The pool includes
six loans and one real-estate-owned (REO) asset, down from 90
loans at issuance. There are currently two assets ($43.7 million,
59.8 %) with the special servicers, Midland and CWCapital. There
are also three loans on the master servicer's, Berkadia Commercial
Mortgage LLC (Berkadia), watchlist ($24.4 million, 33.4 %).
Details on the specially serviced assets and loans on the master
servicer's watchlist are as follows:
SPECIALLY SERVICED ASSET
The Boulevard Mall ($38.6 million, 52.7%) loan is the largest
specially serviced asset. The REO asset is a 587,170-sq.-ft.
portion of a 1.2 million sq.-ft. regional mall in Las Vegas. The
reported total exposure was $40.0 million including servicer
advances. The loan was transferred to Midland on Jan. 17, 2013,
due to imminent maturity default, became REO on June 21, 2013, and
matured on July 10, 2013. According to Midland, the property is
expected to sell before the end of 2013. S&P expects a moderate
loss upon the loan's eventual resolution.
The Greenbriar Crossing Shopping Center loan ($5.1 million, 7.0%)
is the smallest specially serviced loan and is secured by a 48,585
sq.-ft. retail property in Atlanta. The loan was transferred to
the special servicer due to maturity default and matured on
Aug. 1, 2013. CWCapital stated that the borrower expects to
refinance, with an expected closing in late November 2013. The
most recent master servicer-reported debt service coverage (DSC)
was 1.28x as of Dec. 31, 2012 and the reported occupancy was 88.0%
as of March 31, 2013. S&P expects a minimal, if any, loss upon
the loan's eventual resolution.
As it relates to the above asset resolutions, S&P considered a
minimal loss to be less than 25%, a moderate loss to be between
26% and 59%, and a significant loss to be 60% or greater.
WATCHLIST LOANS
As of the October 2013 trustee remittance report, three loans
($24.4 million, 33.4 %) appeared on the Berkadia's watchlist. Per
Berkadia, the Park Portfolio loan ($16.7 million, 22.9%) was paid
off in full after the Oct. 11, 2013, remittance determination
date.
Details of the two remaining loans on the master servicer's
watchlist are as follows:
The Western Business Park loan ($5.6 million, 7.7%) is secured by
a 273,073-sq.-ft. industrial property in Amarillo, Texas. The
loan is on the master servicer's watchlist due to increased
property insurance and repair and maintenance expenses. The most
recent master servicer-reported DSC was 0.78x for the year ended
Dec. 31, 2012 and the reported occupancy was 90.7% as of June
2013.
The Marshall Centre loan ($2.0 million, 2.8%) is secured by
56,020-sq.-ft. retail property in Marshall, Va. The loan is on
the master servicer's watchlist due to low DSC. The low DSC is
the result of increased property insurance, repair and
maintenance, payroll and benefits, and general and administrative
expenses. The most recent master servicer-reported DSC was 1.00x
for the year ended Dec. 31, 2012 and the reported occupancy was
86.05% for the same reporting period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS RAISED
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C2
Rating
Class To From Credit enhancement (%)
F AAA (sf) BB+ (sf) 82.15
G BBB+ (sf) B+ (sf) 66.70
H B- (sf) CCC+ (sf) 44.65
RATING AFFIRMED
GMAC Commercial Mortgage Securities Inc.
Commercial mortgage pass-through certificates series 2003-C2
Class Rating Credit enhancement (%)
J CCC- (sf) 15.98
GS MORTGAGE 2004-GG2: Moody's Affirms Ba2 Rating on Class E Notes
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed 11 classes of GS Mortgage Securities Corp. II, Commercial
Mortgage Pass-Through Certificates, Series 2004-GG2 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed
at Aaa (sf)
Cl. A-6, Affirmed Aaa (sf); previously on Mar 9, 2011 Confirmed at
Aaa (sf)
Cl. B, Upgraded to Aaa (sf); previously on Dec 9, 2010 Confirmed
at Aa2 (sf)
Cl. C, Upgraded to Aa2 (sf); previously on Dec 9, 2010 Downgraded
to A1 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Nov 15, 2012 Downgraded
to Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Nov 15, 2012 Downgraded to
Ba2 (sf)
Cl. F, Affirmed B3 (sf); previously on Nov 15, 2012 Downgraded to
B3 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Nov 15, 2012 Downgraded
to Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Nov 15, 2012 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Nov 17, 2011 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Dec 9, 2010 Downgraded to C
(sf)
Cl. X-C, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The upgrades are due to increased credit support from paydown and
amortization as well as anticipated increased credit support from
loans approaching maturity that are well positioned for refinance.
The affirmations of the investment grade P&I classes are due to
key parameters, including Moody's loan to value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. The
ratings of the below-investment grade P&I classes are consistent
with Moody's expected loss and thus are affirmed. The rating of
the IO Class, Class X-C, is consistent with the expected credit
performance of its referenced classes and thus is affirmed.
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 levels 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 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.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.64 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 28 at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 15, 2012.
Please see the ratings tab on the issuer / entity page on
moodys.com for the last rating action and the ratings history.
Deal Performance:
As of the October 11, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 42% to $1.51
billion from $2.6 billion at securitization. The Certificates are
collateralized by 96 mortgage loans ranging in size from less than
1% to 9% of the pool. There is one loan with an investment-grade
credit assessment, representing approximately 9% of the pool.
Fifteen loans, representing approximately 32% of the pool, have
defeased and are secured by U.S. Government securities.
Twenty-eight loans, representing approximately 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 Moody's ongoing monitoring of a transaction,
Moody's reviews the watchlist to assess which loans have material
issues that could impact performance.
Sixteen loans have been liquidated from the pool since
securitization, resulting in an aggregate realized loss of $67.9
million (average loss severity of 54%). Presently, there are four
loans, representing approximately 5% of the pool, in special
servicing. The largest specially serviced loan is the University
Mall Loan ($34.7 million -- 2.3% of the pool), which is secured by
a 560,000 square foot (SF) mall located in Carbondale, Illinois.
The loan was transferred to special servicing in July 2008 due to
imminent default and became real estate owned (REO) effective
September 2010. As of May 2013, the property was 67% leased
compared to 63% at last review.
The second largest specially serviced loan is the Tamarac Plaza
Loan ($26.9 million -- 1.8% of the pool), which is secured by a
355,000 SF office property in Denver, Colorado. The loan
transferred to special servicing May 2012 and became REO effective
October 2012. As of August 2013, the property was 65% leased.
The remaining specially serviced loans are a mix of retail and
industrial properties. Moody's estimates an aggregate loss of
$46.2 million (68% expected loss) for three out of the four
specially serviced loans.
Moody's has assumed a high default probability for nine poorly
performing loans, representing 7% of the pool. Moody's estimates a
$14.8 million loss (15% expected loss based on a 50% probability
default) from these troubled loans.
Based on the most recent remittance statement, Classes G through P
have experienced $20.8 million in cumulative interest shortfalls.
Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, ASERs, extraordinary trust
expenses and loan modifications.
Moody's was provided with full year 2011 and 2012 operating
results for 98% and 99% of the performing conduit loans. Excluding
specially serviced and troubled loans, Moody's weighted average
conduit LTV is 93% compared to 92% at last full review. Moody's
net cash flow reflects a weighted average haircut of 11.6% to the
most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed conduit DSCRs are 1.38X and 1.22X, respectively,
compared to 1.38X and 1.20X, respectively, at last full review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The loan with a credit assessment is the Garden State Plaza Loan
($130.0 million -- 8.6% of the pool), which represents a 25% pari-
passu interest in a $520.0 million first mortgage. The sponsor is
Westfield and the loan is secured by the borrower's interest in a
2.0 million SF super-regional mall located in Paramus, New Jersey.
The mall anchors are Macy's, Nordstrom, J.C. Penney, Neiman Marcus
and Lord & Taylor. As of year-end 2012 reporting, the mall was 98%
leased compared to 97% the prior year. Moody's credit assessment
and stressed DSCR are Aa3 and 1.65X, respectively, compared to Aa3
and 1.58X at last review.
The top three performing conduit loans represent 14% of the pool
balance. The largest loan is the Stony Point Fashion Park Loan
($99.9 million -- 6.6% of the pool), which is secured by the
borrower's interest in a 665,000 SF regional mall located in
Richmond, Virginia. The collateral for the loan is approximately
383,000 SF. The mall is anchored by Dillard's, Dick's Sporting
Goods, and Saks Fifth Ave. As of August 2013, the in-line space
was 95% leased compared 90% at last review. The loan is current,
but is on the watchlist for low DSCR. The loan has amortized 13%
since securitization and matures in June 2014. Moody's LTV and
stressed DSCR are 124% and 0.79X, essentially the same as at last
review.
The second largest loan is the Mall at Barnes Crossing Loan ($58.7
million -- 3.9% of the pool), which is secured by a 584,000 SF
regional mall located in Tupelo, Mississippi. The property is
shadow anchored by a 100,000 SF Belk's, which is not part of the
collateral. As of July 2013, the property was 96% leased,
essentially the same as at last review. Performance remains stable
and loan has amortized approximately 14% since securitization. The
loan matures in September 2014. Moody's LTV and stressed DSCR are
98% and 1.05X, respectively, compared to 99% and 1.03X at last
review.
The third largest loan is the Town & Country Resort Loan ($57.7
million -- 3.8% of the pool) which is secured by a 966-room, full
service hotel located in San Diego, California. The loan is
currently on the master servicer's watch list for low DSCR. For
2012, the net operating income declined approximately 24% from the
prior year due to a drop in total revenues. As of December 2012,
occupancy and revenue per available room (RevPAR) were 51% and
$116 compared to 52% and $121 in 2011. The loan matures in August
2014. Moody's LTV and stressed DSCR are 97% and 1.22X,
respectively, compared to 77% and 1.55X at last review.
GS MORTGAGE 2013-GCJ16: Moody's Rates Class E Notes '(P)Ba1'
------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fifteen classes of CMBS securities, issued by GS Mortgage
Securities Trust 2013-GCJ16, Commercial Mortgage Pass-Through
Certificates, Series 2013-GCJ16.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. A-AB, Assigned (P)Aaa (sf)
Cl. A-S, Assigned (P)Aaa (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
Cl. X-B*, Assigned (P)A2 (sf)
Cl. B, Assigned (P)Aa3 (sf)
Cl. PEZ**, Assigned (P)A1 (sf)
Cl. C, Assigned (P)A3 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba1 (sf)
Cl. F, Assigned (P)Ba3 (sf)
Cl. G, Assigned (P)B3 (sf)
Interest Only Class
Reflects Exchangeable Certificates
Ratings Rationale:
The Certificates are collateralized by 78 fixed rate loans secured
by 134 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.42X is greater than the 2007
conduit/fusion transaction average of 1.31X. The Moody's Stressed
DSCR of 1.02X is greater than the 2007 conduit/fusion transaction
average of 0.92X.
Moody's Trust LTV ratio of 103.0% is lower than the 2007
conduit/fusion transaction average of 110.6%.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.46, which is higher
than the indices calculated in most multi-borrower transactions
since 2009. The high weighted average grade is indicative of the
below average market composition of the pool and the stability of
the cash flows underlying the assets.
The pool's small market percentage is 25.1%, which is slightly
above other multi-borrower deals rated by Moody's since the
financial crisis and implies that the assets in the pool are
generally in major markets. Properties situated in major markets
tend to exhibit more cash flow and capitalization rate stability
over time compared to assets located in smaller or tertiary
markets.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach. With respect to
loan level diversity, the pool's loan level (includes cross
collateralized and cross defaulted loans) Herfindahl Index is 35.
The transaction's loan level diversity is in-line with Herfindahl
scores found in most multi-borrower transactions issued since
2009. With respect to property level diversity, the pool's
property level Herfindahl Index is 47. The transaction's property
diversity profile is in line with the indices calculated in most
multi-borrower transactions issued since 2009.
This deal has five super-senior Aaa classes with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the senior class. If the support
certificate were to take a loss, the loss would have the potential
to be quite large on a percentage basis. Thin tranches need more
subordination to reduce the probability of default in recognition
that their loss-given default is higher. This adjustment helps
keep expected loss in balance and consistent across deals. The
transaction was structured with additional subordination at class
A-S to mitigate the potential increased severity to class A-S.
The transaction contains a group of exchangeable certificates.
Classes A-S ((P) Aaa (sf)), B ((P) Aa3 (sf)) and C ((P) A3 (sf))
may be exchanged for Class PEZ ((P) A1 (sf)) certificates and
Class PEZ may be exchanged for the Classes A-S, B and C. The PEZ
certificates will be entitled to receive the sum of interest and
principal distributable on the Classes A-S, B and C certificates
that are exchanged for such PEZ certificates. The initial
certificate balance of the Class PEZ certificates is equal to the
aggregate of the initial certificate balances of the Class A-S, B
and C and represent the maximum certificate balance of the PEZ
certificates that may be issued in an exchange.
Moody's analysis employs the excel-based CMBS Conduit Model v2.64
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship, and diversity. Moody's
analysis also uses the CMBS IO calculator ver1.1, which references
the following inputs to calculate the proposed IO rating based on
the published methodology: original and current bond ratings and
credit estimates; original and current bond balances grossed up
for losses for all bonds the IO(s) reference(s) within the
transaction; and IO type corresponding to an IO type as defined in
the published methodology.
The V Score for this transaction is assessed as Low/Medium, the
same as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of
available credit information and the potential variability around
the various inputs to a rating determination. The V Score ranks
transactions by the potential for significant rating changes owing
to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling, and the transaction governance that
underlie the ratings. V Scores apply to the entire transaction
(rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 14%, and 23%, the model-indicated rating for the currently
rated Aaa Super Senior class would be Aaa, Aaa, and Aa1,
respectively; and for the most junior Aaa rated class A-S would be
Aa1, Aa1, and Aa3, respectively. Parameter Sensitivities are not
intended to measure how the rating of the security might migrate
over time; rather they are designed to provide a quantitative
calculation of how the initial rating might change if key input
parameters used in the initial rating process differed. The
analysis assumes that the deal has not aged. Parameter
Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could
vary from the information presented in the Parameter Sensitivity
analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
HALCYON 2005-2: Moody's Affirms 'Caa3' Rating on Class A Notes
--------------------------------------------------------------
Moody's has affirmed the ratings of three classes of notes issued
by Halcyon 2005-2, Ltd. The affirmations are due to key
transaction parameters performing within levels commensurate with
the existing ratings levels. The rating action is the result of
Moody's on-going surveillance of commercial real estate
collateralized debt obligation (CRE CDO Synthetic) transactions.
Moody's rating action is as follows:
Cl. A, Affirmed Caa3 (sf); previously on Jan 24, 2013 Downgraded
to Caa3 (sf)
Cl. B, Affirmed Ca (sf); previously on Jan 24, 2013 Downgraded to
Ca (sf)
Cl. C, Affirmed Ca (sf); previously on Jan 24, 2013 Downgraded to
Ca (sf)
Ratings Rationale:
Halcyon 2005-2, Ltd. is a static synthetic transaction backed by a
portfolio of commercial mortgage backed securities reference
obligations (CMBS) (100% of the pool balance). The CMBS reference
obligations were securitized in 2005 (80.0%) and 2006 (20.0%).
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated reference obligations. Moody's modeled a bottom-dollar WARF
of 952 compared to 624 at last review. The current distribution of
Moody's rated reference obligations and assessments for non-
Moody's rated reference obligations is as follows: Aaa-Aa3 (16.7%,
same as last review), A1-A3 (23.3% compared to 36.7% at last
review), Baa1-Baa3 (36.7% compared to 23.3% at last review), Ba1-
Ba3 (10% compared to 20% at last review), B1-B3 (6.7% compared to
3.3% at last review), and Caa1-C (6.6% compared to 0% at last
review).
Moody's modeled to a WAL of 1.6 years compared to 2.4 years at
last review.
Moody's modeled a fixed WARR of 36.3% compared to 39.7% at last
review.
Moody's modeled a MAC of 18.4%, compared to 31.7% at last review.
Moody's review incorporated CDOROM v2.8, one of Moody's CDO rating
models, which was released on March 25, 2013.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to rating changes within the reference obligation pool.
Holding all other key parameters static, stressing the current
ratings and credit assessments of the reference obligations by one
notch upward does not affect the model results.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery 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.
HOMESTAR MORTGAGE: Moody's Hikes Rating on 2 Debt Classes
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from two transactions backed by Alt-A loans, issued by
Deutsche Mortgage Securities and Homestar Mortgage Acceptance
Corporation.
Complete rating actions are as follows:
Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Trust,
Series 2004-4
Cl. II-AR-2, Upgraded to A3 (sf); previously on May 4, 2012
Confirmed at Baa1 (sf)
Issuer: Homestar Mortgage Acceptance Corp. Asset-Backed Pass-
Through Certificates, Series 2004-3
Cl. M-2, Upgraded to Ba2 (sf); previously on Mar 25, 2011
Downgraded to B1 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on Mar 25, 2011
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 upgrades are a result of a build up in credit
enhancement due to continued availability of excess spread and
improving performance of the related pools.
JP MORGAN 2006-FL2: Moody's Affirms 'Ba1' Rating on Class G Notes
-----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed nine classes of J.P. Morgan Chase Commercial Mortgage
Securities Corp. Commercial Pass-Through Certificates, Series
2006-FL2 as follows:
Cl. A-2, Upgraded to Aaa (sf); previously on Jan 31, 2013 Affirmed
Aa2 (sf)
Cl. B, Upgraded to Aa2 (sf); previously on Jan 31, 2013 Affirmed
A1 (sf)
Cl. C, Affirmed A2 (sf); previously on Jan 31, 2013 Affirmed A2
(sf)
Cl. D, Affirmed A3 (sf); previously on Jan 31, 2013 Affirmed A3
(sf)
Cl. E, Affirmed Baa1 (sf); previously on Jan 31, 2013 Affirmed
Baa1 (sf)
Cl. F, Affirmed Baa3 (sf); previously on Jan 31, 2013 Affirmed
Baa3 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Jan 31, 2013 Affirmed Ba1
(sf)
Cl. H, Affirmed Ba2 (sf); previously on Jan 31, 2013 Affirmed Ba2
(sf)
Cl. J, Affirmed B1 (sf); previously on Jan 31, 2013 Affirmed B1
(sf)
Cl. K, Affirmed Ca (sf); previously on Jan 31, 2013 Affirmed Ca
(sf)
Cl. L, Affirmed C (sf); previously on Jan 31, 2013 Affirmed C (sf)
Ratings Rationale:
The upgrades are due to increased credit support due to loan
payoffs since Moody's previous review. The affirmations 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 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.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.6. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and
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 January 31, 2013. Please see the ratings tab
on the issuer / entity page on moodys.com for the last rating
action and the ratings history.
Deal Performance:
As of the October 15, 2013 Payment Date the transaction's
certificate balance decreased by approximately 88% to $179.6
million from $1.5 billion at securitization. The certificates are
collateralized by two floating-rate loans ranging in size from 45%
to 55% of the pooled mortgage trust balance. The pool has
experienced losses of $938,191 since securitization and
accumulated interest shortfalls total $1,752, affecting Class L.
Both of the remaining loans are in special servicing.
Moody's weighted average pooled loan to value (LTV) ratio is over
100%, the same as at last review. Moody's pooled stressed debt
service coverage ratio (DSCR) is 0.88X, compared to 1.25X at last
review.
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. Large
loan transactions typically have a Herf of less than 20. The pool
has a Herf of 2 compared to 4 at last review.
The largest of the two remaining loans is the Marina Village loan
$99.6 million -- 55% of the pooled balance). The loan is secured
by a 1.2 million square foot suburban office property in the
Alameda submarket of Oakland, California. Occupancy and net cash
flow have fallen significantly since securitization. As of July
2013 occupancy for the property was 62%, the same as the last two
reviews, and compared to 80% at securitization. At the time of
securitization the property had recently lost two tenants but had
historically performed better. A return to prior cash flow levels
had been anticipated at securitization; however, this has not
materialized. According to CBRE Economic Advisors, the submarket
vacancy is 23%; however, the submarket is small. A June 2011 loan
modification included a $9 million principal payment and the loan
maturity was extended to November 9, 2013. The loan was
transferred to special servicing on October 23, 2013 due to the
borrower's inability to pay off the loan at maturity. The loan has
additional debt in the form of a $32.7 million B-Note held outside
the trust. The loan is current for interest payments. Moody's
current loan to value (LTV) ratio for the pooled loan is over 100%
and Moody's stressed DSCR is 0.65X. Moody's credit assessment for
the pooled balance is Caa3, the same as at last review.
The 1111 Marcus Avenue loan ($80.0 million -- 45%) is secured by a
920,000 square foot office property located on Long Island in Lake
Success, New York. As of October 2013 the property was 72% leased
compared to 82% at last review and 80% at securitization.
Occupancy declined during 2012 and 2013 in part due to the
departure/downsizing of four tenants representing 21% of the total
rentable area, offset in part by new/expansion leases for 14% of
the total rentable area. The loan has additional debt in the form
of a $54.0 million B-Note and $8.0 million in mezzanine debt, both
held outside the trust. Moody's current loan to value (LTV) ratio
and stressed DSCR for the pooled loan are 83% and 1.17X. Moody's
credit assessment for the pooled balance is B2, the same as last
review.
JP MORGAN 2006-LDP7: Fitch Cuts Rating on $78.8MM Notes to 'CCC'
----------------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed 14 classes
of J. P. Morgan Chase Commercial Mortgage Securities Corp.,
commercial mortgage pass-through certificates series 2006-LDP7. A
detailed list of rating actions follows at the end of this press
release.
Key Rating Drivers:
The rating downgrades are the result of increased loss
expectations on the specially serviced assets since Fitch's last
rating action.
Fitch modeled losses of 9.2% of the remaining pool; expected
losses on the original pool balance total 10.7%, including $133.6
million (3.4% of the original pool balance) in realized losses to
date. Fitch has designated 55 loans (26.2%) as Fitch Loans of
Concern, which includes 18 specially serviced assets (13.5%).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 20.3% to $3.14 billion from
$3.94 billion at issuance. Per the servicer reporting, four loans
(0.7% of the pool) are defeased. Interest shortfalls are currently
affecting classes A-J through NR.
The largest contributor to expected losses is the Westfield Centro
Portfolio loan (7.6% of the pool), which is secured by a portfolio
of four regional malls and one anchored retail center totaling 2.4
million square feet (sf) (1.7 million sf of collateral) located in
OH, CT, MO, CA, and CO. The decline in performance historically is
attributed to the Midway Mall property located in Elyria, OH,
which has struggled with low occupancy in a weak market and is
currently 68% occupied. Overall, the portfolio is 71.6% occupied
as of June 2013. Three of the remaining properties continue to
have occupancies in the mid 90's, and one is 77% occupied. The
trailing 12 month (TTM) June 2013, debt-service coverage ratio
(DSCR) for the portfolio is 1.05x compared to 1.09x last year.
The next largest contributor to expected losses is the specially-
serviced One & Two Prudential Plaza loan (1.2%), which is secured
by two connected properties in Chicago, IL. One Prudential Plaza
is a 1,202,772 sf office property and Two Prudential Plaza is a
990,749 sq ft office property. The properties have a combined
occupancy of 69% as of March 2013. The loan was modified in June
2013 whereby the A-1 & A-2 notes were split into a $336 million
set of A-Notes and $74 million set of B-Notes. The interest rate
on the new A-Notes was reduced to 3.0622% for a period of three
years with excess cash flow from the property going to the
combined TI/LC/Cap Ex Reserve. The difference between the reduced
rate and the note rate is accrued, to be repaid upon an equity
event (either sale or refinance of the property). The B-Notes
accrue at contract rate. The borrower has options to extend the
current maturity date from June 1, 2016 for two one-year periods.
The loan was assumed, with new sponsors & guarantors, Michael
Silberberg and Mark Karasick. There are two new leases (Ryan
Specialty Group, 18007 sf, 11 years, commences Dec. 11, 2013;
University of Chicago, 23,199sf, seven years, commences Dec. 1,
2016) and one renewal lease (Chicago Federation of Labor - 7,682
sf, five years, commences Aug. 1, 2014), which have been signed.
The property reserve balance is currently $60,245,126.
The third largest contributor to expected losses is the specially-
serviced Shoreview Corporate Center asset (1.7%), which is secured
by a 552,927 sf office property (1.6%) located in Shoreview, MN,
approximately 12 miles north of the Minneapolis CBD. The
collateral consists of five buildings built in 1973 and renovated
in 2005. The loan was transferred to special servicing in October
2009 due to imminent default resulting from the largest tenant,
(41%) net rentable area (NRA), vacating at lease expiration. The
property became real estate owned (REO) on March 28, 2012. CB
Richard Ellis was retained as property manager and leasing agent.
Tenants Hill-Rom and a Land O Lakes have renewed their leases and
Questar has vacated. The property is 53.8% occupied as of Sept.
2013. Per the special servicer, there is a potential lease
prospect for 64,000 square feet of space and they continue to
evaluate all possible disposition alternatives.
Rating Sensitivity:
Rating Outlooks on classes A-3 through A-M remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class A-J remains Negative due to the large number of
Fitch Loans of Concern and the potential for future defaults as
well as current interest shortfalls to that class.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $310.3 million class A-J to 'BBsf' from 'BBBsf'; Outlook
Negative;
-- $78.8 million class B to 'CCCsf' from 'Bsf'; RE 90%;
-- $44.3 million class C to 'CCsf' from 'CCCsf'; RE 0%;
-- $14.8 million class D to 'CCsf' from 'CCCsf'; RE 0%;
-- $39.4 million class E to 'Csf' from 'CCsf'; RE 0%.
Fitch affirms the following classes:
-- $5 million class A-3A at 'AAAsf'; Outlook Stable;
-- $6.7 million class A-3FL at 'AAAsf'; Outlook Stable;
-- $76.2 million class A-3B at 'AAAsf'; Outlook Stable;
-- $1.6 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $71 million class A-SB at 'AAAsf'; Outlook Stable;
-- $315.4 million class A-1A at 'AAAsf'; Outlook Stable;
-- $394 million class A-M at 'AAAsf'; Outlook Stable;
-- $39.4 million class F at 'Csf'; RE 0%;
-- $49.2 million class G at 'Csf'; RE 0%;
-- $39.4 million class H at 'Csf'; RE 0%;
-- $38.7 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%.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class N, P, Q and NR certificates. Fitch previously
withdrew the rating on the interest-only class X certificates.
JP MORGAN 2006-LDP9: Fitch Cuts Rating on 2 Note Classes to CCC
---------------------------------------------------------------
Fitch Ratings downgrades six classes of JP Morgan Chase Commercial
Mortgage Securities Corp., series 2006-LDP9. A detailed listing of
rating actions follows at the end of this release.
Key Rating Drivers:
The downgrades reflect an increase in Fitch modeled losses
primarily due to the lower valuations on the specially serviced
assets. Fitch modeled losses of 21.1% of the remaining pool;
expected losses on the original pool balance total 20.1%,
including losses already incurred to date. Fitch has identified 69
loans (52.6%) as Fitch Loans of Concern, which includes 23
specially serviced assets (25.4%).
As of the October 2013 distribution date, the pool's aggregate
principal balance has been reduced by 22.3% to $3.8 billion from
$4.89 billion at issuance. Five loans (2% of the pool) are
defeased. Interest shortfalls are currently affecting classes A-J
through NR.
Rating Sensitivity:
The ratings on the investment grade classes are expected to remain
stable due to sufficient credit enhancement and continued paydown.
The distressed classes (rated below 'B') may be subject to further
rating actions as losses are realized.
The largest contributor to losses (9.9% of the pool) is a loan
secured by a 215-unit residential rental property located in the
Upper West Side neighborhood of New York City. In addition to the
residential rentals, the property also includes 60,514 square feet
(sf) of retail space. The property consists of both rent
controlled/stabilized units and market rent units. At issuance,
the borrower estimated that units would be converted from rent
controlled/stabilized to market rents, benefiting from the upside
in revenue. However, such conversion plan never materialized.
The loan transferred to the special servicer in June 2011 for
imminent default. A loan modification was closed in March 2013 and
the loan maturity date has been extended to November 2018. Based
on the modification terms, the borrower has provided new equity to
fund future capital expenses. The loan is performing according to
the modification agreement. The servicer-reported occupancy rate
was 95% as of May 2013. The servicer-reported debt service
coverage ratio (DSCR) was 0.86x as of March 2013.
The second largest contributor to losses (5.1%) is a loan secured
by a portfolio of four cold storage warehouse/distribution
facilities totaling 3,328,621 sf (51,654,912 cubic feet) located
across four states. The properties are located in Carthage, MO
(66% of portfolio NRA); Fort Worth, TX (14.3% of portfolio NRA);
West Point, MS (10.3% of portfolio NRA) and Garden City, KS (9.5%
of portfolio NRA). The servicer-reported DSCR for YE 2012 and
issuance was 0.66x and 1.85x, respectively. The DSCR has remained
around 0.6x since 2010. The drop in DSCR is attributed to the loss
of a major tenant, Sarah Lee, which has ceased renting space in
the Fort Worth property. This Fort Worth property has since been
closed in an effort to reduce operating expenses. As of year-end
2012 (YE12), the weighted average portfolio occupancy was 69.7%.
The third largest contributor to losses (6.1%) is a loan secured
by a portfolio of three class A office properties totaling 1.43
million square feet (SF) located in Dallas, TX. YE 2012 occupancy
decreased to 81% from 90% at YE2012, primarily due to a large
tenant which occupied 108,031 sf (8% NRA) vacating upon their
lease expiration. As of 1Q2013, the DSCR was reported at 1.26x
with 78% occupancy rate.
Fitch has downgraded and assigned Recovery Ratings to the
following classes as indicated:
-- $1.652 billion class A-3 to 'Asf' from 'AAsf'; Outlook Stable;
-- $124.5 million class A-3SFL 'Asf' from 'AAsf'; Outlook Stable;
-- $11.2million class A-3SFX to 'Asf' from 'AAsf'; Outlook Stable;
-- $665.4 million class A-1A to 'Asf' from 'AAsf'; Outlook Stable;
-- $364 million class A-M to 'CCCsf' from 'Bsf'; RE 90%;
-- $121.4 million class A-MS to 'CCCsf' from 'Bsf'; RE 90%.
Fitch has affirmed the following classes:
-- $63.2million class A-2 at 'AAsf'; Outlook Stable;
-- $318.5 million class A-J at 'CCsf'; RE0%;
-- $106.3 million class A-JS at 'CCsf'; RE0%;
-- $72.8 million class B at 'Csf'; RE 0%;
-- $24.3 million class B-S at 'Csf'; RE 0%;
-- $22.8 million class C at 'Csf'; RE 0%;
-- $7.6 million class C-S at 'Csf'; RE 0%;
-- $50 million class D at 'Csf'; RE 0%;
-- $16.7 million class D-S at 'Csf'; RE 0%;
-- $40.9 million class E at 'Csf'; RE 0%;
-- $13.7 million class E- Sat 'Csf'; RE 0%;
-- $40.9 million class F at 'Csf'; RE 0%;
-- $13.7 million class F-S at 'Csf'; RE 0%;
-- $36.4 million class G at 'Csf'; RE 0%;
-- $12.1 million class G-S at 'Csf'; RE 0%;
-- $11.9million class H at 'Dsf'; RE 0%;
-- $4 million class H-S at 'Dsf'; RE 0%.
Classes J through P have been depleted due to realized losses and
remain at 'Dsf' RE 0%. Classes A-1, A-1S, A-2S, A-2SFL, A-2SFX
have paid in full. Class NR is not rated by Fitch. Fitch has
previously withdrawn the ratings of the interest only class X.
LANDMARK V CDO: S&P Raises Rating on Class B-2L Notes to BB+
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-3L, B-1L, and B-2L notes from Landmark V CDO Ltd., a U.S.
collateralized loan obligation (CLO) transaction managed by
Sound Harbor Partners LLC, and removed them from CreditWatch with
positive implications, where it placed them on Sept. 5, 2013. At
the same time, S&P affirmed its 'AAA (sf)' rating on the class A-
2L notes from the same transaction.
Landmark V CDO Ltd. ended its reinvestment period on June 1, 2011.
Sound Harbor Partners LLC took over collateral management
responsibilities for this transaction from Aladdin Capital
Management LLC by assignment in December 2012.
The upgrades mainly reflect paydowns to the class A-1L and A-2L
notes. Since our actions in December 2012, the transaction has
paid down over $100.42 million to the class A-1L notes. These
notes are now paid down completely, and we subsequently withdrew
the rating on Sept. 24, 2013. The A-2L notes are now the senior
notes in the transaction and have started amortizing. They have
paid down by about $1.58 million, reducing their outstanding note
balance to 93.14% of their original balance at issuance.
The upgrades also reflect an improvement in the
overcollateralization (O/C) available to support the notes,
primarily due to the paydowns. As per the trustee report dated
Sept. 23, 2013, the class A-2L O/C ratio, the senior O/C,
was 388.58%, up from the 139.20% noted in the Nov. 20, 2012,
report that S&P's used for its December 2012 rating actions. All
of the other class O/C ratios have improved as well.
The transaction currently has about $10 million in defaulted
assets, marginally lower than the $11 million held at the time of
the rating action in December 2012.
The affirmed rating on the class A-2L notes reflect S&P's view
that the credit support available at the current rating level is
adequate.
S&P 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 it will take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Landmark V CDO Ltd.
Rating Rating
Class To From
A-3L AAA (sf) AA (sf)/Watch Pos
B-1L AA (sf) BBB+ (sf)/Watch Pos
B-2L BB+ (sf) CCC+ (sf)/Watch Pos
RATING AFFIRMED
Landmark V CDO Ltd.
Class Rating
A-2L AAA (sf)
TRANSACTION INFORMATION
Issuer: Landmark V CDO Ltd.
Co-issuer: Landmark V CDO (Delaware) Corp.
Collateral manager: Sound Harbor Partners LLC
Underwriter: Bear Stearns Cos. LLC
Trustee: Deutsche Bank Trust Co. Americas
Transaction type: Cash flow CDO
LB-UBS COMMERCIAL 2003-C3: S&P Affirms B- Rating on Cl. S Certs
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
N and P commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2003-C3, a U.S. commercial
mortgage-backed securities (CMBS) transaction. "In addition, we
affirmed our ratings on class Q and S certificates from the same
transaction," S&P said.
The rating actions follow S&P's analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. "Our analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust, S&P said.
"The upgrades reflect our expectation of the available credit
enhancement for the class N and P certificates, which we believe
is greater than our most recent estimate of necessary credit
enhancement for the respective rating levels. The upgrades also
reflect our views regarding the current and future performance of
the transaction's collateral as well as the deleveraging of the
trust balance," according to S&P.
"The affirmations of the principal and interest certificates
reflect our expectation that the available credit enhancement for
these classes will be within our estimated necessary credit
enhancement required for the current outstanding ratings. The
affirmations also reflect our review of the remaining assets'
credit characteristics and performance as well as the
transaction-level changes."
"While available credit enhancement levels may suggest further
positive rating movements on classes N and P and positive rating
movements on classes Q and S, our analysis also considered the
deal structure, the amount of liquidity available to the trust,
and the potential for additional interest shortfalls from the two
real estate owned (REO) assets currently with the special
servicer ($5.9 million, 24.1% of the trust balance)."
"Using servicer-provided financial information, we calculated a
Standard & Poor's adjusted debt service coverage (DSC) of 1.33x
and a Standard & Poor's loan-to-value (LTV) ratio of 48.3% for the
11 of the 13 remaining assets in the pool. The DSC and LTV
calculations exclude the two REO assets ($5.9 million, 24.1%) that
are with the special servicer."
As of the Oct. 18, 2013, trustee remittance report, the collateral
pool had an aggregate trust balance of $24.6 million, down from
$1.34 billion at issuance. The pool comprises 11 loans and two REO
assets, down from 110 loans at issuance. Nine ($9.8 million,
40.1%) of the 11 performing loans are fully amortizing loans
secured by single-tenant retail properties leased to Rite Aid
Corp. ($8.8 million, 36.0%), and CVS Caremark Corp. ($1.0 million,
4.1%). To date, the transaction has experienced losses totaling
$10.9 million, or 0.8% of the transaction's original certificate
balance. The master servicer, Wells Fargo Bank N.A., provided
full-year 2012 financial information for 71.6% of
the assets in the pool and the remainder was year-end 2011 or
partial-year 2012 data. No loans were reported to be on the master
servicer's watchlist.
Two of the remaining 13 assets ($5.9 million, 24.1%) are with the
special servicer, CWCapital Asset Management LLC (CWCapital).
The Phillips Edison-Crossroads East asset ($3.0 million, 12.2%),
the larger of the two assets with CWCapital, consists of a 71,925-
sq.-ft. retail building in Columbus, Ohio. The asset has a total
reported exposure of $3.3 million. The loan was transferred to the
special servicer on Aug. 1, 2012, due to imminent monetary default
and the property became REO on June 13, 2013. The reported
occupancy was 78.6% for the three months ending March 31, 2013,
and the reported DSC was 1.10x for the year ending Dec. 31, 2011.
CWCapital indicated that it is currently working on leasing the
vacant space and plans to market the property for sale in 2014.
There is a $1.6 million appraisal reduction
amount in effect against this asset. S&P expects a significant
loss upon this asset's eventual resolution.
The Ellard Village asset ($2.9 million, 11.9%), the smallest asset
with CWCapital, consists of a 25,671-sq.-ft. retail property in
Roswell, Ga. Theasset has a total reported exposure of $3.1
million. The loan was transferred to the special servicer on March
6, 2013, for imminent maturity default after maturing on Feb. 11,
2013, and the property became REO on Oct. 1, 2013.
Occupancy was 80.5% per the Jan. 1, 2013, rent roll and the
reported DSC was 0.84x for the year ended Dec. 31, 2012. CWCapital
indicated that the asset will be included in a multi-asset
marketing plan with bids anticipated in November or December of
2013. S&P expects a minimal loss upon this asset's
eventual resolution.
As it relates to the above asset resolutions, S&P considered
minimal loss to be less than 25%, moderate loss to be between 26%
and 59%, and significant loss to be 60% or greater.
RATINGS RAISED
LB-UBS Commercial Mortgage Trust 2003-C3
Commercial mortgage pass-through certificates
Rating Rating
Class To From Credit enhancement (%)
N AA- (sf) BB- (sf) 84.77
P A (sf) B+ (sf) 77.98
RATINGS AFFIRMED
LB-UBS Commercial Mortgage Trust 2003-C3
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
Q B (sf) 44.01
S B- (sf) 30.42
LB-UBS COMMERCIAL 2003-C5: S&P Affirms BB Rating on Class J Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on the
class J and K commercial mortgage pass-through certificates from
LB-UBS Commercial Mortgage Trust 2003-C5, a U.S. commercial
mortgage-backed securities transaction. At the same time, S&P
withdrew its 'BBB (sf)' rating on the class H certificates from
the same transaction.
The affirmations reflect S&P's analysis of the transaction, which
included a review of the credit characteristics and performance of
the remaining loans in the pool, the transaction structure, the
liquidity available to the trust, as well as, the transaction-
level changes.
While the available credit enhancement levels may suggest positive
rating movements on the class J and K certificates, S&P's analysis
also considered the reduced liquidity support available to these
classes due to ongoing interest shortfalls from two
($42.0 million, 64.5%) of the four remaining loans in the trust
that are with the special servicer (details below); magnitude of
the loans with the special servicer, specifically the largest loan
in the transaction; and interest shortfalls history experienced by
these classes.
S&P withdrew its 'BBB (sf)' rating on the class H certificates
following the full repayment of the class' principal balance,
according to the Oct. 18, 2013, trustee remittance report.
As of the Oct. 18, 2013, trustee remittance report, the collateral
pool consisted of four loans with an aggregate principal balance
of $65.1 million, down from 80 loans with an aggregate balance of
$1.4 billion at issuance. To date, the transaction has
experienced losses totaling $5.6 million, or 0.4% of the
transaction's original pool balance. The pool currently consists
of one ($9.3 million, 14.3%) loan that has been fully defeased;
two loans ($42.0 million, 64.5%) that are with the special
servicer, LNR Partners, LLC (LNR); and one loan ($13.8 million,
21.2%) that appears on the master servicer's (Wells Fargo Bank
N.A.'s) watchlist.
Details on the specially serviced and watchlist loans are as
follows:
The Mall At Steamtown loan ($37.1 million, 57.0%) is the largest
remaining loan in the pool and the larger of the two loans with
LNR. The loan has a reported exposure of $37.5 million, and the
payment status is reported to be a nonperforming matured balloon
loan. The loan is secured by a 568,657-sq.-ft. retail mall in
Scranton, Pa. The loan was transferred to LNR on March 9, 2010,
because the borrower requested a loan modification. According to
LNR, the loan matured on July 11, 2013, and was performing under a
loan modification agreement. The modification agreement's terms
included paying interest at a reduced 3.25% rate and accruing the
remaining 3.0% interest. LNR reported that the property is
currently 84.9% occupied as of June 30, 2013. LNR stated that it
is currently negotiating a short-term forbearance, with a
potential consensual receiver and foreclosure in the future. An
appraisal reduction amount (ARA) of $25.2 million is in effect
against this loan. S&P expects a significant loss upon the final
resolution of this loan.
The Springs Plaza loan ($4.9 million, 7.5%) is the smallest loan
in the pool and the smallest loan with LNR. The loan is secured
by a 96,647-sq.-ft. retail property in Homosassa, Fla. The loan
was transferred to LNR on March 19, 2013, due to a maturity
default. The loan matured on March 11, 2013. The loan has a
reported exposure of $5.2 million, and the payment status is
reported to be a nonperforming matured balloon loan. According to
LNR, it is in negotiations with the borrower for a workout
resolution while dual tracking a potential foreclosure. The most
recent reported debt service coverage (DSC) and occupancy for the
year ended Dec. 31, 2012, were 1.07x and 75.6%, respectively. An
ARA of $957,279 is in effect against this loan. S&P expects a
minimal loss upon the final resolution of this loan.
The Siemens Complex loan ($13.8 million, 21.2%), the second-
largest loan in the pool, is secured by a 256,384-sq.-ft. office
property in Buffalo Grove, Ill. The loan appears on the master
servicer's watchlist because of an anticipated repayment date
(ARD) of June 11, 2013. The loan has a June 11, 2033, final
maturity date. According to the July 16, 2013, rent roll, the
office property is 100% leased to Siemens Real Estate Inc., with a
Oct. 31, 2016, lease expiration. The most recent reported DSC and
occupancy for the six months ended June 30, 2013, were 1.52x and
100%, respectively.
With respect to the specially serviced loans noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
LB-UBS Commercial Mortgage Trust 2003-C5
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
J BB (sf) 88.46
K CCC+ (sf) 66.87
RATING WITHDRAWN
LB-UBS Commercial Mortgage Trust 2003-C5
Commercial mortgage pass-through certificates
Rating
Class To From
H NR BBB (sf)
NR-Not rated.
LEHMAN BROTHERS: Moody's Takes Action with Commercial Loan ABS
--------------------------------------------------------------
Moody's Investors Service has downgraded 18 tranches and upgraded
16 tranches in seven securitizations of small balance commercial
real estate loans. The deals are serviced by Ocwen Loan Servicing,
LLC.
Ratings Rationale:
The downgrades are due to sustained high levels of delinquencies
combined with net charge-offs, which have decreased the amount of
available credit enhancement for lower tranches. For the 2006-3,
2007-1, 2007-2 and 2007-3 securitizations, cumulative net realized
losses have increased to a range of 14-17% of the original pool
balance as of the October 2013 distribution date from a range of
11-13% as of the October 2012 distribution date. In these deals,
the total note balance exceeds the current pool balance;
therefore, there is no hard credit enhancement aside from
subordination.
The upgrades for the 2005-1 and 2006-1 securitizations are due to
increased credit enhancement. Credit enhancement from reserve
accounts and/or overcollateralization increased about five
percentage points as a percent of the outstanding pool balance
from the October 2012 distribution date to the October 2012
distribution date for the 2005-1 securitization and about one
percentage point for the 2006-1 securitization. Both the 2005-1
and 2006-1 securitizations benefited from increased subordination
as the deals delever due to the sequential pay structure.
The upgrades for the 2005-2 securitization are due to a decrease
in expected loss as a result of a decline in delinquencies. For
the year ending with the October 2013 distribution date, the
amount 90 days or more past due, including loans in foreclosure
and REO, decreased from approximately 15% to 10% and has been
stable at this lower level.
The methodology is described as follows:
Moody's evaluated the sufficiency of credit enhancement by first
analyzing the loans to determine an expected lifetime net loss for
each collateral pool. Moody's compared these net losses with the
available credit enhancement. Moody's evaluated the sufficiency of
loss coverage provided by credit enhancement in light of the
magnitude and projected variability of losses on the collateral.
In order to determine the portion of loans that will default,
Moody's assessed recent monthly roll rate behavior for loans
according to their delinquency status and applied these roll rates
for a 15 month stress period. After the stress period, Moody's
then decreased the monthly roll rates to more stable historical
norms. Moody's assumed that defaulted loans will have a 70-80%
severity, depending on the loan's delinquency status.
The lifetime net expected losses are 5%, 10%, 15%, 23%, 25%, 22%,
and 22% as a percent of the original pool balances for the 2005-1,
2005-2, 2006-1, 2006-3, 2007-1, 2007-2 and 2007-3 securitizations,
respectively.
Primary sources of assumption uncertainty are the general economic
environment, commercial property values, and the ability of small
businesses to recover from the recession. If the remaining
expected net losses increase by 15%, then the tranches may be
downgraded.
The complete rating actions are as follows:
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-
Through Certificates, Series 2005-1
Cl. M1, Upgraded to Baa1 (sf); previously on Mar 13, 2011
Confirmed at Baa2 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Mar 13, 2011 Confirmed
at B1 (sf)
Cl. B, Upgraded to Ba3 (sf); previously on Mar 13, 2011 Confirmed
at B3 (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass
Through Certificates, Series 2005-2
Cl. 1-A, Upgraded to Aa1 (sf); previously on Feb 4, 2009
Downgraded to Aa3 (sf)
Cl. 2-A, Upgraded to Aa1 (sf); previously on Feb 4, 2009
Downgraded to Aa3 (sf)
Cl. A-IO, Upgraded to Aa1 (sf); previously on Feb 4, 2009
Downgraded to Aa3 (sf)
Cl. M1, Upgraded to Baa1 (sf); previously on Feb 4, 2009
Downgraded to Ba2 (sf)
Cl. M2, Upgraded to Ba1 (sf); previously on Feb 4, 2009 Downgraded
to B2 (sf)
Cl. M3, Upgraded to Ba2 (sf); previously on Feb 4, 2009 Downgraded
to B3 (sf)
Cl. B, Upgraded to B2 (sf); previously on Feb 4, 2009 Downgraded
to Caa1 (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-
Through Certificates, Series 2006-1
Cl. 1A, Upgraded to Aa1 (sf); previously on Feb 4, 2009 Downgraded
to Aa2 (sf)
Cl. 2A, Upgraded to Aa1 (sf); previously on Feb 4, 2009 Downgraded
to Aa2 (sf)
Cl. 3A3, Upgraded to Aa1 (sf); previously on Feb 4, 2009
Downgraded to Aa2 (sf)
Cl. M1, Upgraded to A3 (sf); previously on Feb 4, 2009 Downgraded
to Baa3 (sf)
Cl. M2, Upgraded to Baa3 (sf); previously on Feb 4, 2009
Downgraded to Ba2 (sf)
Cl. M3, Upgraded to Ba2 (sf); previously on Feb 4, 2009 Downgraded
to B1 (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-
Through Certficates, Series 2006-3
Cl. M1, Downgraded to B1 (sf); previously on Mar 13, 2011
Downgraded to Ba3 (sf)
Cl. M2, Downgraded to Caa1 (sf); previously on Mar 13, 2011
Downgraded to B2 (sf)
Cl. M3, Downgraded to C (sf); previously on Mar 13, 2011
Downgraded to Caa1 (sf)
Cl. B, Downgraded to C (sf); previously on Mar 13, 2011 Downgraded
to Caa3 (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-
Through Certificates, Series 2007-1
Cl. M1, Downgraded to B2 (sf); previously on Mar 13, 2011
Downgraded to Ba3 (sf)
Cl. M2, Downgraded to B3 (sf); previously on Mar 13, 2011
Downgraded to B1 (sf)
Cl. M3, Downgraded to Caa3 (sf); previously on May 22, 2013
Downgraded to Caa1 (sf)
Cl. M4, Downgraded to C (sf); previously on May 22, 2013
Downgraded to Caa3 (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-
Through Certificates, Series 2007-2
Cl. M1, Downgraded to Ba3 (sf); previously on Sep 13, 2012
Downgraded to Ba2 (sf)
Cl. M3, Downgraded to Caa1 (sf); previously on Sep 13, 2012
Downgraded to B3 (sf)
Cl. M4, Downgraded to Ca (sf); previously on May 22, 2013
Downgraded to Caa2 (sf)
Cl. M5, Downgraded to C (sf); previously on May 22, 2013
Downgraded to Ca (sf)
Issuer: Lehman Brothers Small Balance Commercial Mortgage Pass-
Through Certificates, Series 2007-3
Cl. M1, Downgraded to Ba2 (sf); previously on Mar 13, 2011
Downgraded to Baa3 (sf)
Cl. M2, Downgraded to B1 (sf); previously on Mar 13, 2011
Downgraded to Ba1 (sf)
Cl. M3, Downgraded to B2 (sf); previously on Mar 13, 2011
Downgraded to Ba3 (sf)
Cl. M4, Downgraded to Caa2 (sf); previously on Mar 13, 2011
Downgraded to B1 (sf)
Cl. M5, Downgraded to Caa3 (sf); previously on Mar 13, 2011
Downgraded to B2 (sf)
Cl. B, Downgraded to Ca (sf); previously on Mar 13, 2011
Downgraded to B3 (sf)
MORGAN STANLEY 1999-CAM1: S&P Hikes Class K Cert. Rating From BB-
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating to 'BBB (sf)'
from 'BB- (sf)' on the class K commercial mortgage pass-through
certificates from Morgan Stanley Capital I Inc.'s series 1999-
CAM1, a U.S. commercial mortgage-backed securities (CMBS)
transaction.
The upgrade reflects S&P's expected available credit enhancement
for the class K certificates, which S&P believes is greater than
its most recent estimate of the necessary credit enhancement for
the rating level. The upgrade also follows S&P's view regarding
the current and future performance of the transaction's
collateral, which included a review of the credit characteristics
and performance of the remaining loans in the pool, the
transaction structure, deleveraging of the trust balance, and the
liquidity available to the trust.
While the available credit enhancement level may suggest further
positive rating movement on the class K certificates, S&P's
analysis also considered the class' interest shortfall history,
the class' reduced liquidity support because of ongoing interest
shortfalls, and the magnitude of the loans on the master
servicer's watchlist (three loans; $6.8 million, 34.2%).
As of the Oct. 15, 2013, trustee remittance report, the collateral
pool comprises 20 loans with an aggregate principal balance of
$20.0 million, down from 152 loans with an aggregate balance of
$806.5 million at issuance. One loan ($1.8 million, 8.8%) is with
the special servicer, KeyBank Real N.A. (KeyBank); three loans
($6.8 million, 34.2%) are on the master servicer's (also, KeyBank)
watchlist.
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.77x and a loan-to-value (LTV) ratio of 22.3% for 19 of the 20
remaining loans in the pool. The DSC and LTV figures exclude the
specially serviced loan. Fourteen ($11.3 million, 56.4%) of the
remaining 20 loans are secured by single-tenant retail properties
in various U.S. states. To date, the transaction has experienced
losses totaling $9.3 million or 1.2% of the transaction's original
pool balance.
Details on the specially serviced loan and the three loans on the
master servicer's watchlist are as follows:
The Parklane Centre loan ($1.8 million, 8.8%), the third-largest
loan in the pool and the sole loan with the special servicer, is
secured by a 48,678-sq.-ft. office property in Columbia, S.C. The
reported exposure is $1.9 million. The loan was transferred to
special servicing on Aug. 26, 2013 because of a maturity default.
The loan matured on June 1, 2013, and has a reported payment
status of nonperforming matured balloon loan. According to
KeyBank, the borrower is currently working on signing leases with
two prospective tenants, which will determine whether KeyBank will
discuss a loan modification with the borrower. Otherwise, the
deed-in-lieu remains the most likely resolution option. The most
recent reported DSC and occupancy for the year ended Dec. 31,
2012, were 0.4x and 55.6%, respectively. S&P expects a moderate
loss upon the final resolution of this loan.
The Fair Oaks Professional Building loan ($3.5 million, 17.6%) is
the largest remaining loan in the pool and also the largest loan
on the master servicer's watchlist. The loan is secured by a
79,038-sq.-ft. office property in Fairfax, Va. The loan is on the
master servicer's watchlist because of the property's low reported
occupancy, which was 77.0% as of June 30, 2013, down from 87.1% as
of Dec. 31, 2012. The reported DSC for the three months ended
March 31, 2013 was 2.55x.
The Best Buy-1 loan ($2.3 million, 11.5%) is the second-largest
loan in the pool and the second-largest loan on the master
servicer's watchlist. The loan is secured by a 58,325-sq.-ft.
retail property in Fort Lauderdale, Fla. The loan is on the
master servicer's watchlist because of force-placed insurance.
According to KeyBank, the borrower will remain on the force-placed
insurance. The most recent reported DSC and occupancy for the
three months ended March 31, 2013, were 1.47x and 100.00%,
respectively.
The Walgreens and Staples loan ($1.0 million, 5.1%) is the eighth-
largest loan in the pool and the smallest loan on the master
servicer's watchlist. The loan is secured by a 33,500-sq.-ft.
retail property in Phoenix. The loan is on the master servicer's
watchlist because of a low reported DSC. According to KeyBank, the
net cash flow has declined because operating expenses increased.
The reported DSC and occupancy for the year ended Dec. 31, 2012,
were 0.98x and 100.00%, respectively.
With respect to the specially serviced loan noted above, a minimal
loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of similar
securities. The Rule applies to in-scope securities initially
rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17-g7 Disclosure Reports
included in this credit rating report are available at:
http://standardandpoorsdisclosure-17g7.com
MORGAN STANLEY 2004-TOP13: Moody's Affirms C Rating on Cl. O Notes
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of five classes and
affirmed ten classes of Morgan Stanley Capital I Trust 2004-TOP13
as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. B, Affirmed Aaa (sf); previously on Jun 6, 2013 Affirmed Aaa
(sf)
Cl. C, Affirmed Aaa (sf); previously on Jun 6, 2013 Upgraded to
Aaa (sf)
Cl. D, Upgraded to Aaa (sf); previously on Jun 6, 2013 Upgraded to
Aa3 (sf)
Cl. E, Upgraded to Aa2 (sf); previously on Jun 6, 2013 Upgraded to
A2 (sf)
Cl. F, Upgraded to Aa3 (sf); previously on Jun 6, 2013 Upgraded to
A3 (sf)
Cl. G, Upgraded to A1 (sf); previously on Jun 6, 2013 Upgraded to
Baa1 (sf)
Cl. H, Upgraded to A3 (sf); previously on Jun 6, 2013 Upgraded to
Baa3 (sf)
Cl. J, Affirmed Ba2 (sf); previously on Jun 6, 2013 Affirmed Ba2
(sf)
Cl. K, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Cl. L, Affirmed B2 (sf); previously on Jun 6, 2013 Affirmed B2
(sf)
Cl. M, Affirmed Caa2 (sf); previously on Jun 6, 2013 Affirmed Caa2
(sf)
Cl. N, Affirmed Ca (sf); previously on Jun 6, 2013 Affirmed Ca
(sf)
Cl. O, Affirmed C (sf); previously on Jun 6, 2013 Affirmed C (sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Jun 6, 2013 Affirmed Ba3
(sf)
Ratings Rationale:
The upgrades are due to increased credit support from paydown and
amortization as well as anticipated increase of credit support
from loans approaching maturity that are well positioned for
refinance.
The affirmation of the investment grade P&I classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. The ratings of
the below-investment grade P&I classes are consistent with Moody's
expected loss and thus are affirmed. The rating of the IO Class,
Class X-1, is consistent with the expected credit performance of
its referenced classes and thus is affirmed.
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 levels 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 4.4% of the
current balance compared to 2.4% at last review. Moody's base
expected loss plus realized losses is now 1.4% of the original
pooled balance compared to 2.0% at last review. Moody's provides a
current list of base losses for conduit and fusion CMBS
transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
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.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.64 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 27 compared to 22 at last review.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated June 6, 2013. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Deal Performance:
As of the October 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 83% to $206.5
million from $1.21 billion at securitization. The Certificates are
collateralized by 57 mortgage loans ranging in size from less than
1% to approximately 9% of the pool. There is one loan with an
investment-grade credit assessment, representing approximately 9%
of the pool. Four loans, representing approximately 7% of the
pool, have defeased and are secured by U.S. Government securities.
Twenty-four loans, representing approximately 46% of the pool, are
on the master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, Moody's
reviews the watchlist to assess which loans have material issues
that could impact performance.
Nine loans have been liquidated from the pool since
securitization, resulting in aggregate realized losses of $7.76
million (average loss severity of 9.4%). Presently, there are four
loans, representing approximately 5% of the pool, in special
servicing. The largest specially serviced loan is the Smokey Point
Shopping Center Loan ($3.97 million -- 1.9% of the pool), which is
secured by an 85,000 (SF) grocery-anchored retail property in
Arlington, Virginia. The loan transferred to special servicing in
January 2013. The Borrower has submitted a modification proposal
to the special servicer.
The remaining specially serviced loans are a mix of retail and
office properties. Moody's estimates an aggregate loss of $4.8
million (46% expected loss) for the four specially serviced loans.
Moody's has assumed a high default probability for three poorly
performing loans, representing 2% of the pool. Moody's has
estimated a $2.64 million loss (31% expected loss based on a 68%
probability default) from these troubled loans.
Moody's was provided with full year 2011 and 2012 operating
results for 100% and 98% of the performing conduit loans.
Excluding specially serviced and troubled loans, Moody's weighted
average conduit LTV is 61%, essentially the same as at last full
review. Moody's net cash flow reflects a weighted average haircut
of 14.2% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed conduit DSCRs are 1.75X and 2.23X, respectively,
compared to 2.08X and 2.12X, respectively, at last full review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The loan with a credit assessment is the Gallup Headquarters Loan
($17.7 million -- 8.6% of the pool), which is secured by a 296,000
SF office building located in Omaha, Nebraska. The property is
100% leased to Gallup, Inc. under a triple net lease that expires
in October 2018. The lease expiration is co-terminus with the
loan's maturity date; the loan is fully amortizing. Moody's credit
assessment and stressed DSCR are Aa3 and 2.75X, respectively,
compared to Aa3 and 2.61X at last review.
The top three conduit loans represent approximately19% of the pool
balance. The largest loan is the Hudson Mall Loan ($14.1 million -
- 6.8% of the pool), which is secured by a 362,000 SF retail
center located along Route 440 in Jersey City, New Jersey. As of
September 2013, the property was 86% leased compared to 73% at
last review. The largest tenants are Toys R' US (10% of the net
rentable area (NRA); lease expires in January 2017) and Marshalls
(8% of the NRA; lease expires in January 2020). The increase in
occupancy is primarily due to Big Lots, a national discount
retailer, signing a new lease for 30,000 SF through October 2022.
The loan matures in December 2013. Moody's LTV and stressed DSCR
are 73% and 1.48X, respectively compared to 86% and 1.26X at last
review.
The second largest loan is the Highlander Plaza Loan ($12.5
million -- 6.1% of the pool), which is secured by a 161,000 SF,
grocery-anchored retail property in Salem, Massachusetts. The
anchor is Shaw's Supermarket, which leases approximately 39% of
the NRA through February 2016. As of June 2013, the property was
99% leased, the same as at last review. The property's performance
has remained stable since securitization. Moody's LTV and stressed
DSCR are 54% and 1.9X, respectively, essentially the same as at
last review.
The third largest loan is the Faisal Apartment Portfolio Loan
($11.7 million -- 5.7% of the pool), which is secured by a
portfolio of seven multifamily buildings, totalling 116 units,
located in the Allston-Brighton and South End sections of Boston,
MSA as well as in Brookline, Massachusetts. The majority of
tenants are students with leases that run from Sept 1 through
August 31. For the past two years, the loan was on the watchlist
for low DSCR and Moody's considered the loan troubled. As of
December 2012, the portfolio was 98% leased and the loan's net
operating income DSCR improved to 1.4X due to higher revenues. The
loan has been removed from the watchlist and the Borrower has
remained current with the DS payments. Moody's LTV and stressed
DSCR are 99% and 1.04X, respectively.
MOTEL TRUST 2012-MTL6: Fitch Affirms 'BB' Rating on 3 Note Classes
------------------------------------------------------------------
Fitch Ratings has affirmed Motel 6 Trust 2012-MTL6 Commercial
Mortgage Pass-Through Certificates Series 2012-MTL6 (Motel 6 Trust
2012-MTL6). A detailed list of rating actions follows at the end
of this release.
Key Rating Drivers:
The transaction is primarily secured by 512 owned economy hotels
operated mainly under the Motel 6 brand. The affirmations reflect
the slightly improved performance of the hotel portfolio since
issuance. As of trailing 12-months (TTM) August 2013, the Fitch
adjusted debt service coverage ratio (DSCR) for the trust
component was 1.67x, compared with 1.55x at issuance.
The portfolio remains geographically diverse with properties
located across 48 states and one Canadian province. The largest
state concentration remains California with approximately 25% of
the collateral. The collateral also includes 100% of the direct
equity interests in the sponsor subsidiary that holds over 500
franchise agreements. As of TTM August 2013, franchise EBIDTA had
increased by approximately 25% from TTM August 2012.
Since origination, there have been only a handful of releases;
portfolio collateral now consists of 512 hotels, approximately 62
of which are ground lease interests. Minimal paydown of $3.6
million (0.3%) has occurred from property releases.
As part of its review, Fitch analyzed August 2013 property and
franchise level operating statements provided by the Servicer. For
TTM August 2013, portfolio occupancy, average daily rate (ADR),
and revenue per available room (RevPAR) were reported at 64.7%,
$45.95, and $29.75, respectively. These metrics are up slightly
from the TTM August 2012 figures of 63.6%, $45.85, and $29.17. The
Fitch adjusted DSCR was calculated based on a Fitch adjusted net
cash flow (NCF; reflecting an additional credit loss on the
leasehold properties and a 4% FF&E deduction) and a stressed debt
service amount calculated using a 11.33% refinance constant.
Rating Sensitivities:
While portfolio performance has improved since issuance, hotel
performance is considered to be more volatile due to its operating
nature. The Rating Outlook for all classes remains Stable. For
additional sensitivity analysis, please see Fitch's new issue
report titled, 'Motel 6 Trust 2012-MTL6, Series 2012-MTL6', dated
Dec. 5, 2012.
Fitch has affirmed the following classes:
-- $101,361,400 class A-1 at 'AAAsf'; Outlook Stable;
-- $404,500,000 class A-2 at 'AAAsf'; Outlook Stable;
-- $404,500,000* class XA-1 at 'AAAsf'; Outlook Stable;
-- $509,500,000* class XA-2 at 'AAAsf'; Outlook Stable;
-- $540,500,000* class XB-1 at 'BB+sf'; Outlook Stable;
-- $540,500,000* class XB-2 at 'BB+sf'; Outlook Stable;
-- $189,900,000 class B at 'AA-sf'; Outlook Stable;
-- $145,100,000 class C at 'A-sf'; Outlook Stable;
-- $185,500,000 class D at 'BBB-sf'; Outlook Stable;
-- $20,000,000 class E at 'BB+sf'; Outlook Stable.
*Notional amount and interest only.
Additional information on Fitch's criteria for analyzing large
loans within a single borrower U.S. CMBS transaction is available
in the Sept. 20, 2013 report, 'Criteria for Analyzing Large Loans
in U.S. Commercial Mortgage Transactions'.
A comparison of the transaction's Representations, Warranties, and
Enforcement (RW&E) mechanisms to those of typical RW&Es for the
asset class is available in the following report:
MOUNTAIN VIEW II: Moody's Hikes Rating on $19.7MM Notes From Ba1
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Mountain View CLO II,
Ltd.:
U.S.$26,000,000 Class B Floating Rate Notes Due January 12, 2021,
Upgraded to Aa1 (sf); previously on September 1, 2011 Upgraded to
A1 (sf);
U.S.$24,100,000 Class C Floating Rate Notes Due January 12, 2021,
Upgraded to A2 (sf); previously on September 1, 2011 Upgraded to
Baa1 (sf);
U.S.$19,700,000 Class D Floating Rate Notes Due January 12, 2021,
Upgraded to Baa3 (sf); previously on September 1, 2011 Upgraded to
Ba1 (sf).
Moody's also affirmed the ratings of the following notes:
U.S.$217,000,000 Class A-1 Floating Rate Notes Due January 12,
2021, Affirmed Aaa (sf); previously on September 1, 2011 Upgraded
to Aaa (sf);
U.S.$118,000,000 Class A-2 Floating Rate Notes Due January 12,
2021, Affirmed Aaa (sf); previously on September 1, 2011 Upgraded
to Aaa (sf);
U.S.$7,000,000 Class A-3 Floating Rate Notes Due January 12, 2021,
Affirmed Aaa (sf); previously on September 1, 2011 Upgraded to Aaa
(sf);
U.S.$14,700,000 Class E Floating Rate Notes Due January 12, 2021,
Affirmed B1 (sf); previously on September 1, 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 January 2014. In
addition, consistent with the deal's historical performance,
Moody's analysis assumes that the collateral pool characteristics
will likely continue to maintain a positive buffer relative to
certain covenant requirements. In particular, the deal is assumed
to benefit from higher spread and lower WARF levels compared to
the levels assumed in prior reviews. Moody's modeled a WAS of
3.21% compared to the covenant level of 2.65% and a WARF of 2430
compared to the covenant level of 2714.
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 $443.7 million, defaulted par of $6.6 million,
a weighted average default probability of 15.97% (implying a WARF
of 2430), a weighted average recovery rate upon default of 50.05%,
and a diversity score of 55. 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.
Mountain View CLO II, Ltd., issued in December 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (1944)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: +1
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (2916)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: -2
Class C: -2
Class D: -1
Class E: -1
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by 1) uncertainties of
credit conditions in the general economy and 2) the large
concentration of upcoming speculative-grade debt maturities which
may create challenges for issuers to refinance. CLO notes'
performance may also be impacted by 1) the manager's investment
strategy and behavior and 2) divergence in legal interpretation of
CLO documentation by different transactional parties due to
embedded ambiguities.
Sources of additional performance uncertainties are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will 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) Post-Reinvestment Period Trading: 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.
N-STAR CDO VII: Fitch Lowers Ratings on 7 Notes to 'Dsf'
--------------------------------------------------------
Fitch Ratings has downgraded to 'Dsf' and withdrawn the ratings on
seven classes of notes issued by N-Star Real Estate CDO VII, Ltd.
(N-Star CDO VII). Additionally, Fitch has marked one class as paid
in full.
In September 2013, the trustee received direction from the
controlling class to liquidate the remaining portfolio and
proceeds were distributed on the Oct. 25, 2013 payment date.
Proceeds were sufficient to pay the full outstanding balances to
the class A-1 notes and approximately 15.5% of the remaining class
A-2 note balance. The losses represent 37.6% of the original
transaction balance.
Fitch has taken the following actions:
-- $0 class A-1 marked 'PIF';
-- $0 class A-2 downgraded to 'Dsf' from 'CCsf' and withdrawn;
-- $0 class A-3 downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class B downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class C downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class D-FL downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class D-FX downgraded to 'Dsf' from 'Csf' and withdrawn;
-- $0 class E downgraded to 'Dsf' from 'Csf' and withdrawn.
NAUTIQUE FUNDING: Moody's Hikes Rating on $31MM Cl. C Notes to Ba1
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Nautique Funding Ltd.:
U.S. $23,000,000 Class A-3 Floating Rate Senior Notes due April
15, 2020, Upgraded to Aaa (sf); previously on March 7, 2013
Upgraded to Aa1 (sf)
U.S. $20,000,000 Class B-1 Floating Rate Deferrable Senior
Subordinate Notes due April 15, 2020, Upgraded to A2 (sf);
previously on March 7, 2013 Affirmed A3 (sf)
U.S. $10,000,000 Class B-2 Floating Rate Deferrable Senior
Subordinate Notes due April 15, 2020, Upgraded to A2 (sf);
previously on March 7, 2013 Affirmed A3 (sf)
U.S. $31,000,000 Class C Floating Rate Deferrable Senior
Subordinate Notes due April 15, 2020, Upgraded to Ba1 (sf);
previously on March 7, 2013 Affirmed Ba2 (sf)
Moody's also affirmed the ratings of the following notes:
U.S. $310,000,000 Class A-1A Floating Rate Senior Notes due 2020
(current balance of $244,914,212), Affirmed Aaa (sf); previously
on March 7, 2013 Affirmed Aaa (sf)
U.S. $40,000,000 Class A-1B Floating Rate Senior Notes due 2020
(current balance of $31,601,834), Affirmed Aaa (sf); previously on
March 7, 2013 Affirmed Aaa (sf)
U.S. $67,500,000 Class A-2A Floating Rate Senior Notes due 2020
(current balance of $51,753,438), Affirmed Aaa (sf); previously on
March 7, 2013 Affirmed Aaa (sf)
U.S. $7,500,000 Class A-2B Floating Rate Senior Notes due 2020,
Affirmed Aaa (sf); previously on March 7, 2013 Upgraded to Aaa
(sf)
U.S. $12,700,000 Class D Floating Rate Deferrable Senior
Subordinate Notes due 2020, Affirmed B1 (sf); previously on March
7, 2013 Affirmed B1 (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the last rating action in March 2013. Moody's notes that the Class
A-1A, A-1B and A-2A Notes have been paid down by approximately 18%
or $73.2 million since March 2013. Based on the latest trustee
report dated October 3, 2013, the Class A, Class B and Class C
overcollateralization ratios are reported at 126.9%, 117.8%,
109.7%, and 106.7%, respectively, versus March 2013 levels of
124.7%, 116.6%, 109.3%, and 106.6%, respectively. Moody's notes
that the October trustee-reported overcollateralization ratios do
not reflect the payment of $29 million to the Class A-1A, A-1B and
A-2A Notes on the October 15, 2013 payment date.
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 October 2013 trustee report, securities
that mature after the maturity date of the notes currently make up
approximately 7.2% 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 deleveraging, Moody's affirmed the rating of the Class D notes
due to the market risk posed by the exposure to these long-dated
assets.
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 $456.7 million, defaulted par of $10.3
million, a weighted average default probability of 19.31%
(implying a WARF of 2635), a weighted average recovery rate upon
default of 51.69%, and a diversity score of 70. 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
Nautique Funding Ltd., issued in April 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in May 2013.
In addition to the base case analysis described above, Moody's
also performed sensitivity analyses to test the impact on all
rated notes of various default probabilities. Below is a summary
of the impact of different default probabilities (expressed in
terms of WARF levels) on all rated notes (shown in terms of the
number of notches' difference versus the current model output,
where a positive difference corresponds to lower expected loss),
assuming that all other factors are held equal:
Moody's Adjusted WARF -- 20% (2108)
Class A-1A: 0
Class A-1B: 0
Class A-2A: 0
Class A-2B: 0
Class A-3: 0
Class B-1: +2
Class B-2: +2
Class C: +1
Class D: +1
Moody's Adjusted WARF + 20% (3162)
Class A-1A: 0
Class A-1B: 0
Class A-2A: 0
Class A-2B: 0
Class A-3: -1
Class B-1: -2
Class B-2: -2
Class C: -1
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 are described
below:
1) Deleveraging: The main source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging may
accelerate due to high prepayment levels in the loan market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
2) Recovery of defaulted assets: Market value fluctuations in
defaulted assets reported by the trustee and those assumed to be
defaulted by Moody's may create volatility in the deal's
overcollateralization levels. Further, the timing of recoveries
and the manager's decision to work out versus sell defaulted
assets create additional uncertainties. Moody's analyzed defaulted
recoveries assuming the lower of the market price and the recovery
rate in order to account for potential volatility in market
prices.
3) Long-dated assets: The presence of assets that mature beyond
the CLO's legal maturity date exposes the deal to liquidation risk
on those assets. Moody's assumes an asset's terminal value upon
liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current
market value.
NOVASTAR MORTGAGE 2003-2: Moody's Raises Rating on 3 Debt Classes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
classes backed by Subprime loans issued by Novastar Mortgage
Funding Trust, Series 2003-2.
Complete rating actions are as follows:
Issuer: NovaStar Mortgage Funding Trust, Series 2003-2
Cl. M-2, Upgraded to B2 (sf); previously on May 9, 2012 Upgraded
to Caa2 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on May 9, 2012 Upgraded
to Caa3 (sf)
Cl. B-1, Upgraded to Caa1 (sf); previously on May 9, 2012
Confirmed at Ca (sf)
Ratings Rationale:
The upgrades reflect the recent performance of the related pools
and Moody's updated loss expectations. Additionally, the
transaction has benefited from build-up of overcollateralization,
partially due to the bond administrator applying principal
payments to the senior bonds even though they are over their
target CE amounts. According to the transaction's PSA, principal
distribution amounts can be paid to the Class O noteholders after
paying the bonds to their target credit enhancement (CE) levels.
The bond administrator has confirmed that it will continue to
direct principal payments to the senior bonds as long as the
transaction's overcollateralization (OC) remains under target,
despite the payment priorities outlined in the PSA.
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
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 6.5% to 7.5% for the
2014 year. Moody's expects house prices to continue to rise in
2014. 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.
OCTAGON INVESTMENT XVI: S&P Affirms BB Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Octagon
Investment Partners XVI Ltd./Octagon Investment Partners XVI LLC's
$473.50 million floating- and fixed-rate notes following the
transaction's effective date as of Aug. 26, 2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P noted.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P said.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Octagon Investment Partners XVI Ltd./Octagon Investment Partners
XVI LLC
Class Rating Amount
(mil. $)
A AAA (sf) 298.50
B-1 AA (sf) 63.00
B-2 AA (sf) 10.00
C-1 (deferrable) A (sf) 27.50
C-2 (deferrable) A (sf) 10.00
D (deferrable) BBB (sf) 27.00
E (deferrable) BB (sf) 23.50
F (deferrable) B (sf) 14.00
PEOPLE'S CHOICE 2005-3: Moody's Hikes Rating on 2 Loan Classes
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two tranches
backed by Subprime mortgage loans issued by People's Choice Home
Loan Securities Trust 2005-3.
Complete rating actions are as follows:
Issuer: People's Choice Home Loan Securities Trust 2005-3
Cl. M2, Upgraded to B1 (sf); previously on Mar 6, 2013 Affirmed B3
(sf)
Cl. M3, Upgraded to Caa2 (sf); previously on Mar 6, 2013 Affirmed
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. 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 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
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 6.5% to 7.5% for the
2014 year. Moody's expects house prices to continue to rise in
2014. 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.
PREFERRED TERM XVIII: Moody's Hikes $87.9MM Notes' Rating From Ba1
------------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Preferred Term Securities
XVIII, Ltd.:
U.S. $372,100,000 Class A-1 Senior Notes Due 2035 (current
outstanding balance of $285,571,853.17), Upgraded to A3 (sf);
previously on January 14, 2010 Downgraded to Baa2 (sf);
U.S. $87,900,000 Class A-2 Senior Notes Due 2035 (current
outstanding balance of $86,840,369.76), Upgraded to Baa2 (sf);
previously on March 27, 2009 Downgraded to Ba1 (sf).
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the Class A-1 Notes and an
increase in the transaction's senior overcollateralization ratios
since December 2012.
Moody's notes that the Class A-1 Notes have been paid down by
approximately 8.6% or $32.0 million since December 2012 due to
disbursement of principal proceeds from redemptions of underlying
assets and diversion of excess interest proceeds. Based on the
latest trustee report dated September 23, 2013, the Class A, Class
B, Class C and Class D overcollateralization ratios have improved
and are reported at 120.78% (limit 128.00%), 98.96% (limit
115.00%), 83.97% (limit 107.00%), and 76.43% (limit 100.25%),
respectively, versus December 2012 levels of 113.79%, 94.76%,
80.75%, and 74.58%, respectively. Going forward, the Class A-1
Notes will continue to benefit from the diversion of excess
interest and the proceeds from potential future redemptions of any
assets in the collateral pool.
Due to the impact of revised and updated key assumptions
referenced in Moody's rating methodology, key model inputs used by
Moody's in its analysis, such as par, weighted average rating
factor, Moody's Asset Correlation, and weighted average recovery
rate, may be different from the trustee's reported numbers. In its
base case, Moody's analyzed the underlying collateral pool to have
a performing par of $455.9 million, defaulted/deferring par of
$186.3 million, a weighted average default probability of 25.71%
(implying a WARF of 1588), Moody's Asset Correlation of 13.58%,
and a weighted average recovery rate upon default of 7.99%. In
addition to the quantitative factors that are explicitly modeled,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of triggering an Event of Default, recent deal
performance under current market conditions, the legal
environment, and specific documentation features. All information
available to rating committees, including macroeconomic forecasts,
inputs from other Moody's analytical groups, market factors, and
judgments regarding the nature and severity of credit stress on
the transactions, may influence the final rating decision
Preferred Term Securities XVIII, Ltd., issued in June 2005, is a
collateralized debt obligation backed primarily 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 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 Q2-2013. 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 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. CDOROM v.2.8-9 is
available on moodys.com under Products and Solutions -- Analytical
models, upon return of a signed free license agreement.
Moody's performed a number of sensitivity analyses of the results
to certain key factors driving the ratings. Moody's analyzed the
sensitivity of the model results to changes in the portfolio WARF
(representing an improvement or a deterioration in the credit
quality of the collateral pool), assuming that all other factors
are held equal. If the WARF is increased by 195 points from the
base case of 1588, 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 95 points, the model-implied rating of the
Class A-1 Notes is one notch better than the base case result.
In addition, Moody's also performed two additional sensitivity
analyses as described in the Special Comment "Sensitivity Analyses
on Deferral Cures and Default Timing for Monitoring TruPS CDOs"
published in August 2012. In the first, Moody's gave par credit to
banks that are deferring interest on their TruPS but satisfy
specific credit criteria and thus have a strong likelihood of
resuming interest payments. Under this sensitivity analysis,
Moody's gave par credit to $36.0 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. Below is a summary of the impact on all
rated notes (shown in terms of the number of notches' difference
versus the current model output, where a positive difference
corresponds to lower expected loss), assuming that all other
factors are held equal:
Sensitivity Analysis 1:
Class A-1: +2
Class A-2: +2
Class B: +2
Class C: 0
Sensitivity Analysis 2:
Class A-1: +1
Class A-2: +1
Class B: +1
Class C: 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 the
last few years, and some of the previously deferring banks have
resumed interest payment on their trust preferred securities.
Moody's continues to have a stable outlook on the insurance
sector, other than the negative outlook on the U.S. life insurance
industry.
RAIT PREFFERED: Moody's Affirms Caa3 Rating on 4 Note Classes
-------------------------------------------------------------
Moody's has affirmed the ratings of eleven classes of notes issued
by RAIT Preferred Funding II. Ltd. due to key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO CLO) transactions.
Moody's rating action is as follows:
Cl. A-1T, Affirmed Aaa (sf); previously on Dec 9, 2010 Confirmed
at Aaa (sf)
Cl. A-1R, Affirmed Aaa (sf); previously on Dec 9, 2010 Confirmed
at Aaa (sf)
Cl. A-2, Affirmed Baa3 (sf); previously on Dec 15, 2011 Downgraded
to Baa3 (sf)
Cl. B, Affirmed B2 (sf); previously on Dec 15, 2011 Downgraded to
B2 (sf)
Cl. C, Affirmed Caa1 (sf); previously on Dec 15, 2011 Downgraded
to Caa1 (sf)
Cl. D, Affirmed Caa2 (sf); previously on Dec 15, 2011 Downgraded
to Caa2 (sf)
Cl. E, Affirmed Caa2 (sf); previously on Dec 15, 2011 Downgraded
to Caa2 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Dec 15, 2011 Downgraded
to Caa3 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Dec 9, 2010 Downgraded to
Caa3 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Dec 9, 2010 Downgraded to
Caa3 (sf)
Cl. J, Affirmed Caa3 (sf); previously on Dec 9, 2010 Downgraded to
Caa3 (sf)
Ratings Rationale:
RAIT Preferred Funding II. Ltd. is a static cash transaction
(reinvestment period ended June 2012) backed by a portfolio of: i)
whole loans (89.8% of the deal balance), ii) mezzanine debt and
preferred equity participations (7.9%), and iii) B-notes (2.3%).
As of the October 10, 2013 trustee report, the aggregate note
balance of the transaction, including preferred shares, has
decreased to $809.0 million from $833.0 million at issuance, with
the paydown directed to the senior most outstanding classes of
notes, as a result of regular amortization of the underlying
collateral assets. Previously, there were partial cancellations to
the Class D, E, F and G notes. In general, holding all key
parameters static, the junior note cancellations results in
slightly higher expected losses and longer weighted average lives
on the senior notes, while producing slightly lower expected
losses on the mezzanine and junior notes. However, this does not
cause, in and of itself, a downgrade or upgrade of any outstanding
classes of notes.
There are three assets with a par balance of $19.9 million (2.5%
of the current pool balance) that are considered defaulted
interests as of the October 10, 2013 trustee report. One of these
assets (93.0% of the defaulted balance) is a B-note and two assets
are mezzanine debt (7.0%). Moody's expects moderate losses from
these defaulted interests to occur once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 7,779
(compared to 7,672 at last review). The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Baa1-Baa3 (0.5% compared to 0.0% at last
review), Ba1-Ba3 (2.0% compared to 1.8% at last review), B1-B3
(2.1% compared to 3.4% at last review), and Caa1-C (95.5% compared
to 94.8% at last review).
Moody's modeled a WAL of 3.6 years, compared to 4.9 years at last
review.
Moody's modeled a fixed WARR of 51.3%, the same as at last review.
Moody's modeled a MAC of 100%, the same as at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. Rated notes are particularly sensitive to
changes in recovery rate assumptions. Holding all other key
parameters static, changing the recovery rate assumption, down
from 51.3% to 41.3% or up to 61.3% would result in a rating
movement on the rated tranches of 0 to 6 notches downward and 0 to
9 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment 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.
RALI SERIES: Moody's Takes Action on $111 Million of Alt-A RMBS
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches and downgraded the ratings of 15 tranches from six
transactions backed by Alt-A loans, issued by RALI.
Complete rating actions are as follows:
Issuer: RALI Series 2003-QS17 Trust
A-I-1, Downgraded to Ba1 (sf); previously on May 31, 2012
Downgraded to Baa3 (sf)
A-I-2, Downgraded to Ba3 (sf); previously on May 31, 2012
Downgraded to Ba2 (sf)
A-P, Downgraded to Ba3 (sf); previously on May 31, 2012 Downgraded
to Ba1 (sf)
CB-6, Downgraded to Ba1 (sf); previously on May 31, 2012
Downgraded to Baa3 (sf)
NB-4, Downgraded to Baa3 (sf); previously on Mar 30, 2011
Downgraded to Baa1 (sf)
Issuer: RALI Series 2003-QS20 Trust
Cl. A-I, Downgraded to Ba3 (sf); previously on May 31, 2012
Confirmed at Ba1 (sf)
Cl. A-P, Downgraded to Ba3 (sf); previously on Mar 30, 2011
Downgraded to Ba1 (sf)
Cl. CB, Downgraded to Ba3 (sf); previously on May 31, 2012
Confirmed at Ba1 (sf)
Issuer: RALI Series 2003-QS9 Trust
Cl. A-1, Downgraded to Ba2 (sf); previously on Apr 18, 2012
Downgraded to Baa3 (sf)
Cl. A-2, Downgraded to Ba2 (sf); previously on Apr 18, 2012
Downgraded to Baa3 (sf)
Cl. A-3, Downgraded to Ba2 (sf); previously on Apr 18, 2012
Downgraded to Baa3 (sf)
Cl. A-P, Downgraded to Ba2 (sf); previously on Apr 18, 2012
Downgraded to Baa3 (sf)
Issuer: RALI Series 2004-QA4 Trust
Cl. NB-III, Downgraded to B1 (sf); previously on May 31, 2012
Confirmed at Ba2 (sf)
Issuer: RALI Series 2004-QS1 Trust
Cl. A-1, Upgraded to Baa2 (sf); previously on Apr 18, 2012
Downgraded to Ba1 (sf)
Cl. A-2, Upgraded to Baa2 (sf); previously on Apr 18, 2012
Confirmed at Ba1 (sf)
Cl. A-3, Upgraded to Baa2 (sf); previously on Apr 18, 2012
Confirmed at Ba1 (sf)
Cl. A-6, Upgraded to Baa2 (sf); previously on Apr 18, 2012
Downgraded to Ba1 (sf)
Issuer: RALI Series 2004-QS3 Trust
Cl. A-P, Downgraded to Ba2 (sf); previously on Mar 30, 2011
Downgraded to Baa3 (sf)
Cl. CB, Downgraded to Ba2 (sf); previously on May 31, 2012
Confirmed at Baa3 (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 faster pay-down of the bonds. The downgrades
are a result of deteriorating credit enhancement and declining
pool performance resulting in higher expected losses for the
bonds.
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
7.9% in October 2012 to 7.3% in October 2013. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
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.
RESIDENTIAL REINSURANCE 2013-II: S&P Rates Class 4 Notes 'BB-'
--------------------------------------------------------------
Standard & Poor's Ratings Services said that it assigned its 'BB-
(sf)' preliminary rating to the Series 2013-II Class 4 notes to be
issued by Residential Reinsurance 2013 Ltd. (Res Re 2013). The
notes cover losses in the covered area from tropical
cyclone/hurricane, earthquake, severe thunderstorm, winter storm,
and wildfire on a per-occurrence basis.
The Class 4 notes will cover losses between the attachment point
of $2.076 billion and the exhaustion point of $2.993 billion. The
preliminary rating is based on the lower of the rating on the
catastrophe risk ('BB-'), the rating on the assets in the
reinsurance trust account ('AAAm'), and the risk of nonpayment by
the ceding insurer, United Services Automobile Assn. (USAA;
AA+/Stable/--).
The cedants will be USAA, a reciprocal interinsurance exchange
organized under the laws of Texas; USAA Casualty Insurance Co., a
Texas corporation; USAA Texas Lloyd's Co., a Texas Lloyd's plan
insurer; USAA General Indemnity Co., a Texas-domiciled stock
insurance company; Garrison Property and Casualty Insurance Co.;
and other affiliates. These entities will be responsible for the
quarterly payment due under the reinsurance contract with Res Re
2013.
RATINGS LIST
New Rating
Residential Reinsurance 2013 Ltd.
Series 2013-II Class 4 notes due 2017 BB-(sf)prelim
RESOURCE REAL ESTATE 2006-1: Fitch Rates 3 Note Classes 'CCC'
-------------------------------------------------------------
Fitch Ratings has placed eight classes of Resource Real Estate
Funding CDO 2006-1 Ltd./LLC (RRE CDO 2006-1) on Rating Watch
Positive. A detailed list of rating actions follows at the end of
this release.
Key Rating Drivers:
The placement of classes A-1 through G on Rating Watch Positive is
the result of significant deleveraging of the transaction and the
correction of a calculation error in a model used in the prior
rating review. Since the previous rating action approximately 13%
of the balance was paid off or resolved at better than modeled
recoveries. The increased credit enhancement to the classes is
likely to be sufficient to warrant upgrades, but the magnitude may
be tempered in consideration of the increased concentration. The
transaction collateral now includes only 18 assets.
Fitch detected an error in the model used in Fitch's surveillance
analysis of U.S. CREL CDO ratings and the results of which are
considered by rating committees in determining ratings. The error
was related to the formula that calculates expected losses for
certificated assets (CUSIP collateral) when there is limited
exposure to them or when there is a limited number of obligors.
The error marginally increased the modeled expected losses in
various stress scenarios.
The model error potentially affected analysis in relation to
actions taken on classes in 13 US CREL CDO transactions between
Aug. 2012 and Oct. 2013. However, the error actually only affected
the model output for classes in this transaction and one other. No
other U.S. CREL CDO ratings are affected by the error.
The output of the model is one consideration taken into account by
a surveillance rating committee. Other factors also considered
include the cash flow modeling results, the concentration of the
pool, and other factors as outlined in the criteria report,
'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan
Floating-Rate Transactions,' (Nov. 29, 2012).
Class E from this transaction was identified as having a possible
rating impact from this error. Because of the deleveraging,
classes A-1 through G have been placed on Rating Watch.
While Fitch has no reason to believe that the model contains any
other errors, a verification review of the affected model is being
conducted to verify its accuracy.
Rating Sensitivities:
After validation of the model, Fitch will conduct a full rating
review of this transaction. It is anticipated that the Rating
Watch will be resolved prior to year end.
Fitch has placed the following classes on Rating Watch Positive:
-- $21.2 million class A-1,'Asf';
-- $5 million class A-2 FX,'BBBsf';
-- $17.4 million class A-2 FL 'BBBsf';
-- $13 million class C 'BBsf';
-- $10 million class D 'Bsf';
-- $13.7 million class E 'CCCsf'; RE 100%;
-- $14.6 million class F 'CCCsf'; RE 100%;
-- $17.3 million class G 'CCCsf'; RE 25%.
RESOURCE REAL ESTATE 2006-1: Moody's Ups Cl. F Notes Rating to B1
-----------------------------------------------------------------
Moody's Investors Service has affirmed two and upgraded the
ratings of six classes of notes issued by Resource Real Estate
Funding CDO 2006-1, Ltd. The upgrades are due to rapid
amortization as a result of greater than expected amortization and
loan prepayments combined with an improved weighted average rating
factor (WARF) on the remaining pool. The affirmations are due to
key transaction parameters performing within levels commensurate
with the existing ratings levels. The rating action is the result
of Moody's on-going surveillance of commercial real estate
collateralized debt obligation and collateralized loan obligation
(CRE CDO CLO) transactions.
Moody's rating action is as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Dec 15, 2011 Upgraded to
Aaa (sf)
Cl. C, Upgraded to A3 (sf); previously on Dec 15, 2011 Upgraded to
Ba3 (sf)
Cl. D, Upgraded to Baa1 (sf); previously on Dec 15, 2011 Upgraded
to B1 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Dec 15, 2011 Upgraded
to B3 (sf)
Cl. F, Upgraded to B1 (sf); previously on Dec 15, 2010 Downgraded
to Caa2 (sf)
Cl. G, Upgraded to B2 (sf); previously on Dec 15, 2010 Downgraded
to Caa3 (sf)
Cl. J, Upgraded to Caa1 (sf); previously on Dec 15, 2010
Downgraded to Caa3 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Apr 20, 2009 Downgraded
to Caa3 (sf)
Ratings Rationale:
Resource Real Estate Funding CDO 2006-1, Ltd. is a currently
static (the reinvestment period ended in September, 2011) cash
transaction backed by a portfolio of: i) whole loans (59.9% of the
pool balance); ii) mezzanine debt (18.3%); iii) CRE CDO bonds
(7.8%); iv) B-notes(7.4%); and v) commercial mortgage backed
securities (CMBS) (6.6%). As of the October 21, 2013 Trustee
Report, the aggregate note balance of the transaction, including
preferred shares, has decreased to $204.4 million from $345
million at issuance, with the paydown directed to the most senior
outstanding class of notes.
There are 2 assets with a par balance of $10.4 million (4.7% of
the current pool balance) that are considered defaulted as of the
October 21, 2013 Trustee report. Moody's does expect moderate
losses to occur on the defaulted assets once they are realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: weighted average
rating factor (WARF), weighted average life (WAL), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
These parameters are typically modeled as actual parameters for
static deals and as covenants for managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 5,785
compared to 5,916 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Baa1-Baa3 (2.3%, same as last review),
Ba1-Ba3 (0% compared to 1.3% at last review), B1-B3 (9.2% compared
to 0% at last review), and Caa1-Ca/C (88.5% compared to 96.3% at
last review).
Moody's modeled to a WAL of 6 years compared to 4 years at last
review. The current WAL is based on the assumption about
extensions on the underlying collateral.
Moody's modeled a fixed WARR of 35.2% compared to 38.9% at last
review.
Moody's modeled a MAC of 100% compared to 20.9% at last review.
The higher MAC is due to a smaller number of collateral assets
outstanding and the number of assets with a high credit risk.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. Holding all
other key parameters static, changing the recovery rate assumption
down from 35.2% to 25.2% or up to 45.2% would result in the
modeled rating movement on the rated tranches of 0 to 3 notches
downward and 0 to 6 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery 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.
SAGUARO ISSUER: Moody's Confirms 'Ba2' Rating on 2 Debt Classes
---------------------------------------------------------------
Moody's Investors Service announced that it has confirmed the
ratings of the following units issued by Saguaro Issuer Trust:
US $11,000,000 aggregate face amount of Principal Units, Series K,
Confirmed at Ba2; previously on July 9, 2013 Ba2 Placed Under
Review for Possible Downgrade
US $34,000,000 aggregate face amount of Principal Units, Series L,
Confirmed at Ba2; previously on July 9, 2013 Ba2 Placed Under
Review for Possible Downgrade
Ratings Rationale:
The ratings of the Series K and L units are based on the credit
quality of the underlying securities and the legal structure of
the note. Rating actions result from rating changes on the
underlying securities, which are the Undated Primary Capital
Floating Rate Notes, Series A issued by National Westminster Bank
PLC, and the Undated Primary Capital Floating Rate Notes, Series B
issued by National Westminster Bank PLC, whose rating was
confirmed at Ba2 (hyb) on November 5, 2013.
Moody's conducted no additional cash flow analysis or stress
scenarios because the ratings are a pass-through of the rating of
the underlying security.
Moody's says that the underlying securities are subject to a high
level of macroeconomic uncertainty, which is manifest in uncertain
credit conditions across the general economy. Because these
conditions could negatively affect the ratings on the underlying
securities, they could also negatively impact the ratings on the
note.
SDART 2013-5: Fitch Assigns 'BB' Rating on $56.43MM Cl. E Notes
---------------------------------------------------------------
Fitch Ratings expects to assign the following ratings to the
Santander Drive Auto Receivables Trust (SDART) 2013-5 notes:
-- $144,000,000 class A-1 notes 'F1+sf';
-- $81,500,000 class A-2A notes 'AAAsf'; Outlook Stable;
-- $244,500,000 class A-2B notes 'AAAsf'; Outlook Stable;
-- $145,880,000 class A-3 notes 'AAAsf'; Outlook Stable;
-- $130,420,000 class B notes 'AAsf'; Outlook Stable;
-- $132,060,000 class C notes 'Asf'; Outlook Stable;
-- $65,210,000 class D notes 'BBBsf'; Outlook Stable;
-- $56,430,000 class E notes 'BBsf'; Outlook Stable.
Key Rating Drivers:
Marginally Weaker Credit Quality: The credit quality of 2013-5 is
representative of subprime borrowers. While the weighted average
(WA) Fair Isaac Corp. (FICO) score (589) and internal loss
forecasting score (LFS; 563) are relatively consistent with the
prior three transactions, the 2013-5 pool has a higher
concentration in the weaker LFS score buckets.
Higher Credit Enhancement (CE): The cash flow distribution is a
sequential-pay structure. Initial hard CE totals 45.80% for the
class A up from 43% in 2013-4 (not rated by Fitch) and 2013-3, and
is higher for the class B, C and D notes, but unchanged for the
class E notes. The higher CE in 2013-5 compensates for the
marginally weaker pool, lower excess spread, and the incorporation
of the unhedged floating-rate class A-2B notes.
Stable Portfolio/Securitization Performance: Delinquencies and
losses on SCUSA's portfolio and 2010-2012 securitizations declined
from prior years, supported by the improving U.S. economy and
healthy used vehicle values elevating recovery rates.
Stable Corporate Health: SCUSA recorded solid financial results
recently and has been profitable since 2007. Fitch rates
Santander, majority owner of SCUSA, 'BBB+/F2' with a Negative
Outlook.
Consistent Origination/Underwriting/Servicing: SCUSA demonstrates
adequate abilities as originator, underwriter and servicer, as
evidenced by historical portfolio and securitizations' delinquency
and loss performance.
Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of SCUSA would not impair the
timeliness of payments on the securities.
Rating Sensitivity:
Unanticipated increases in the frequency of defaults and loss
severity on defaulted receivables could produce loss levels higher
than the base case and could result in potential rating actions on
the notes. Fitch evaluated the sensitivity of the ratings assigned
to SDART 2013-5 to increased credit losses over the life of the
transaction. Fitch's analysis found that the transaction displays
some sensitivity to increased defaults and credit losses, showing
a potential downgrade of one or two categories under Fitch's
moderate (1.5x base case loss) scenario, especially for the
subordinate bonds. The notes could experience downgrades of up to
three or more rating categories, under Fitch's severe (2.5x base
case loss) scenario. For both scenarios, the senior tranche notes
do not display negative rating sensitivities.
SDART 2013-5: Moody's Rates Class E Notes 'Ba2(sf)'
---------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Santander Drive Auto Receivables Trust 2013-
5 (SDART 2013-5). This is the sixth transaction of the year for
Santander Consumer USA Inc. (SCUSA).
The complete rating actions are as follows:
Issuer: Santander Drive Auto Receivables Trust 2013-5
Class A-1 Notes, Assigned (P)P-1 (sf)
Class A-2 Notes, Assigned (P)Aaa (sf)
Class A-3 Notes, Assigned (P)Aaa (sf)
Class B Notes, Assigned (P)Aa1 (sf)
Class C Notes, Assigned (P)A2 (sf)
Class D Notes, Assigned (P)Baa2 (sf)
Class E Notes, Assigned (P)Ba2 (sf)
Ratings Rationale:
Moody's said the ratings are based on the quality of the
underlying auto loans and their expected performance, the strength
of the structure, the availability of excess spread over the life
of the transaction, and the experience and expertise of SCUSA as
servicer.
Moody's median cumulative net loss expectation for the 2013-5 pool
is 17.0% and the Aaa level is 49.0%. The loss expectation was
based on an analysis of SCUSA's portfolio vintage performance as
well as performance of past securitizations, and current
expectations for future economic conditions.
The Assumption Volatility Score for this transaction is Low/Medium
versus a Medium for the sector. This is driven by the a Low/Medium
assessment for Governance due to the presence of the investment
grade rated parent, Banco Santander (Baa2/P-2). In addition, the
securitization documents include a provision that requires the
appointment of a back-up servicer in the event that the rating on
Banco Santander is downgraded below Baa3, or if Banco Santander
ceases to own at least 50% of the common stock of SCUSA.
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 the net loss used in
determining the initial rating were changed to 19.5%, 26.0% or
29.5%, the initial model output for the Class A notes might change
from Aaa to Aa1, A1, and Baa1, respectively. If the net loss used
in determining the initial rating were changed to 17.25%, 19.5% or
22.5%, the initial model output for the Class B notes might change
from Aa1 to Aa2, A2, and Baa2, respectively. If the net loss used
in determining the initial rating were changed to 17.25%, 18.0% or
22.0%, the initial model output for the Class C notes might change
from A2 to A3, Baa3, and Ba3, respectively. If the net loss used
in determining the initial rating were changed to 17.25%, 18.0% or
20.5%, the initial model output for the Class D notes might change
from Baa2 to Baa3, Ba3, and B3 respectively. If the net loss used
in determining the initial rating were changed to 17.25%, 17.5% or
19.0%, the initial model output for the Class E notes might change
from Ba2 to Ba3, B3, and
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time, rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
SEQUOIA MORTGAGE 2004-1: Moody's Hikes Rating on 2 RMBS Classes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches backed by Prime Jumbo RMBS loans, issued by miscellaneous
issuers.
Complete rating actions are as follows:
Issuer: CHL Mortgage Pass-Through Trust 2004-J5
Cl. A-3, Upgraded to Baa3 (sf); previously on Apr 13, 2012
Confirmed at Ba2 (sf)
Issuer: Sequoia Mortgage Trust 2004-1
Cl. A1, Upgraded to Ba3 (sf); previously on Apr 30, 2012
Downgraded to B1 (sf)
Cl. X-2, Upgraded to Ba3 (sf); previously on Apr 30, 2012
Downgraded to B1 (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 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/fast liquidations.
The primary source of assumption uncertainty is the uncertainty in
our central macroeconomic forecast and performance volatility due
to servicer-related issues. The unemployment rate fell from 7.8%
in September 2012 to 7.2% in September 2013. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
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.
THL CREDIT 2013-2: S&P Assigns Prelim. BB Rating to Class E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to THL Credit Wind River 2013-2 CLO Ltd./THL Credit Wind
River 2013-2 CLO LLC's $405.13 million fixed- and floating-rate
notes.
The note issuance is a collateralized loan obligation (CLO) backed
by a revolving pool consisting primarily of broadly syndicated
senior secured loans.
The preliminary ratings are based on information as of Nov. 7,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated, speculative-grade, senior
secured term loans.
-- The investment manager's experienced management team.
-- S&P's projections for timely interest and ultimate principal
payments on the preliminary rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned preliminary ratings under various
interest-rate scenarios, including LIBOR ranging from
0.2383%-12.8430%.
-- 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 diversion test, a failure of
which during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying certain uncapped administrative
expenses, subordinate and incentive management fees, hedge
amounts, deposits to the supplemental reserve account, and
subordinated note payments) into principal proceeds to
purchase additional collateral assets.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1982.pdf
PRELIMINARY RATINGS ASSIGNED
THL Credit Wind River 2013-2 CLO Ltd./THL Credit Wind River 2013-2
CLO LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 93.735
A-2a AAA (sf) 147.500
A-2b AAA (sf) 7.765
A-3 AAA (sf) 20.000
B-1 AA (sf) 25.850
B-2 AA (sf) 33.570
C (deferrable) A (sf) 30.250
D (deferrable) BBB (sf) 21.340
E (deferrable) BB (sf) 18.640
F (deferrable) B (sf) 6.480
M (deferrable) NR 3.000
Subordinated notes NR 41.970
NR--Not rated.
TRYON PARK: S&P Affirms BB Rating on Class D Notes
--------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on Tryon
Park CLO Ltd./Tryon Park CLO Corp.'s $471.20 million floating-rate
notes following the transaction's effective date as of Sept. 6,
2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
An effective date rating affirmation reflects S&P's opinion that
the portfolio collateral purchased by the issuer, as reported to
S&P by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that S&P assigned on the transaction's
closing date. The effective date reports provide a summary of
certain information that S&P used in its analysis and the results
of its review based on the information presented to S&P.
S&P believes the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, our ratings on the
closing date and prior to S&P's effective date review are
generally based on the application of its criteria to a
combination of purchased collateral, collateral committed to be
purchased, and the indicative portfolio of assets provided to S&P
by the collateral manager, and may also reflect its assumptions
about the transaction's investment guidelines. This is because
not all assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P noted.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
fSEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties, and enforcement mechanisms available to investors and
a description of how they differ from the representations,
warranties, and enforcement mechanisms in issuances of
similar securities. The Rule applies to in-scope securities
initially rated (including preliminary ratings) on or after
Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report
included in this credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com
RATINGS AFFIRMED
Tryon Park CLO Ltd./Tryon Park CLO Corp.
Class Rating Amount
(mil. $)
A-1 AAA (sf) 308.00
A-2 AA (sf) 67.00
B (deferrable) A (sf) 35.50
C (deferrable) BBB (sf) 27.20
D (deferrable) BB (sf) 23.80
E (deferrable) B (sf) 9.70
UBS-CITIGROUP 2011-C1: Moody's Affirms Ba2 Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 13 classes of
UBS-Citigroup Commercial Mortgage Trust Commercial Mortgage Pass-
Through Certificates 2011-C1 as follows as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Jan 4, 2012 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa1 (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Baa1 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Ba2 (sf)
Cl. G, Affirmed B2 (sf); previously on Jan 4, 2012 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jan 4, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Ratings Rationale:
The affirmations of the P&I classes are due to key parameters,
including Moody's loan to value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. The rating of the IO Classes,
Class X-A and Class X-B, are consistent with the credit
performance of their respective referenced classes and thus are
affirmed. Based on Moody's current base expected loss, the credit
enhancement levels for the affirmed classes are sufficient to
maintain their current ratings.
Moody's rating action reflects a base expected loss of
approximately 2.2% of the current deal balance compared to 2.0% at
last review.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.64 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit assessments
in the same transaction.
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 18, the same as 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 8.6 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and
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 November 20, 2012. Please see the ratings tab
on the issuer / entity page on moodys.com for the last rating
action and the ratings history.
Deal Performance:
As of the October 11, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $663 million
from $674 million at securitization. The Certificates are
collateralized by 32 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans representing 63% of
the pool.
Four loans, representing 8% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
There have been no losses to the trust to date and currently there
are no loans in special servicing.
Moody's was provided with full-year 2012 and partial year 2013
operating results for 92% and 40% of the performing pool,
respectively. Moody's weighted average LTV is 97%, the same as at
last full 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 9.6%.
Moody's actual and stressed DSCRs are 1.34X and 1.09X,
respectively, compared to 1.34X and 1.08X 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 29% of the pool. The largest
loan is the Trinity Centre Loan ($72.0 million -- 10.8% of the
pool), which is a pari-passu interest in a $160.0 million first
mortgage loan. The loan is secured by two adjacent pre-war office
buildings containing 900,744 square feet (SF) located in Downtown
Manhattan, New York City. The property is also encumbered with
$25.0 million of mezzanine financing. The largest tenant is the
Port Authority of NY & NJ (18% of the net rentable area (NRA))
with lease expirations in July 2015 and December 2016. The
property was 89% leased as of August 2013, compared to 84% at last
review. Moody's LTV and stressed DSCR are 109% and 0.87X,
essentially the same as at last review.
The second largest loan is the Poughkeepsie Galleria Loan ($69.1
million -- 10.3% of the pool), which is a pari-passu interest in a
$153.7 million first mortgage loan. The loan is secured by a
691,000 SF portion of a 1.2 million SF regional mall located in
Poughkeepsie, New York. The property is also encumbered with $20.9
million of mezzanine financing. The Mall's anchors include
JCPenney, Regal Cinemas, Dick's Sporting Goods, Macy's (non-
collateral), Best Buy (non-collateral), Target (non-collateral)
and Sears (ground only). The property is the dominant mall in its
trade area and as of June 2013 the collateral and total mall were
approximately 93% and 96% leased, respectively, compared to 87%
and 93% leased at last review. Moody's LTV and stressed DSCR are
111% and 1.03X, respectively, compared to 111% and 1.02X at last
review.
The third largest loan is the Portofino at Biscayne Loan ($55.1
million -- 8.2% of the pool), which is secured by a 868 unit high
rise multifamily property with 1,260 surface lot parking spaces
located in North Miami, Florida. The property was constructed in
phases between 1974 and 1980 and most recently renovated in 2011.
As of June 2013, the property was 98% leased, the same as at last
review and the property has maintained an occupancy level at or
above 96% since 2009. Moody's LTV and stressed DSCR are 88% and
1.04X, respectively, compared to 89% and 1.03X at last review.
VITALITY RE III: S&P Affirms 'BB+(sf)' Rating on Class B Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services said that it raised its ratings
on Vitality Re II Ltd.'s Series 2011-1 Class B notes to 'BBB-(sf)'
from 'BB+(sf)'.
"At the same time, we affirmed our 'BBB+(sf)' rating on the
Vitality Re Ltd. 2010-1 Class A notes, Vitality Re II Ltd.'s
Series 2011-1 Class A notes, and Vitality Re III Ltd. Class A
notes; and our 'BB+(sf)' rating on Vitality Re III Ltd.'s Series
2012-1 Class B notes."
"We have received annual modeled reset results for each series
from Milliman Inc. The upgrade reflects the improved claims
experience and lower probability of attachment on the covered
business that Health Re Inc. ceded to the issuer."
"The medical benefit ratio attachment for the 2011-1 Class B notes
is 100% and the updated baseline attachment probability is 12
basis points. We then reviewed the various stress tests and the
rating reflects the impact of those tests. The ratings on the
2010-1 and 2011-1 Class A notes were subject to the ratings cap of
'BBB+'."
RATINGS LIST
Ratings Raised To From
Vitality Re II Ltd.
Series 2011-1 Class B Notes BBB-(sf) BB+(sf)
Ratings Affirmed
Vitality Re Ltd.
Series 2010-1 Class A Notes BBB+(sf)
Vitality Re II Ltd.
Series 2011-1 Class A Notes BBB+(sf)
Vitality Re III Ltd.
Series 2012-1 Class A Notes BBB+(sf)
Series 2012-1 Class B Notes BB+(sf)
WACHOVIA BANK 2006-WHALE7: Fitch Cuts Ratings on 2 Notes to 'CCsf'
------------------------------------------------------------------
Fitch Ratings has downgraded three distressed classes of Wachovia
Bank Commercial Mortgage Trust 2006-WHALE 7. A detailed list of
rating actions follows at the end of this release.
Key Rating Drivers:
Although the transaction has experienced significant paydown since
Fitch's last rating action, it is concentrated with only three of
the original 19 loans remaining, each of which is a Fitch Loan of
Concern. The downgrades reflect the increased risk of principal
losses. The ratings also consider the potential for future
interest shortfalls.
Of the remaining real estate owned (REO) asset and two loans, both
the Jameson Hotel Portfolio, (52.6% of the pooled balance), and
the REO Westin Aruba, (35.9%) are specially serviced. Fitch
expects the performing loan (Colonial Mall Myrtle Beach, 11.5%) to
transfer back to the special servicer in anticipation of the
upcoming modified final maturity date.
The Jameson Hotel Portfolio is currently collateralized by
approximately 6,500 rooms in 104 properties located across 12
states. The loan was transferred to special servicing due to
imminent maturity default in August 2011. The current borrower and
special servicer negotiated a modification and forbearance
agreement whereby the loan was paid down by approximately $10
million and $13.4 million of new equity would be used to convert
the Jameson hotels under Choice and Wyndham flags. The loan was
extended until December 2014 with an additional one-year extension
subject to a debt yield test and an interest rate increase.
According to the special servicer, the conversions are almost
completed and are expected to be on budget. A recent appraisal
values the portfolio in excess of the securitized debt. The loan
is categorized as Performing Matured.
The REO Westin Aruba is a 478 room, full service hotel located in
Palm Beach, Aruba. The property has beachfront access, retail and
meeting space, as well as a nightclub and a 12,000 square foot
(sf) casino. The loan transferred to special servicing in November
2008 when the borrower failed to make operating advances to the
hotel operator as specified in the loan agreement. The property
has been REO since May 2009, when the special servicer foreclosed
on the mezzanine lender, Petra Realty Advisors, who foreclosed on
the original sponsor, Belfonti Capital Partners. Starwood
initiated an 'all inclusive' option in 2009 which resulted in
increased income. The casino operator ceased paying rent in April
2010 and was evicted in October 2010. The former casino operator's
bank then repossessed the casino equipment, which resulted in a
six week shut down. The casino reopened in December 2010 with new
equipment and a new name, the Palm Beach Casino. Aruba Casino
Management currently operates the casino. The special servicer is
pursuing a sale of the hotel. Fitch considers both principal and
interest losses to be probable upon the final disposition of this
loan due to the amount of advances, expenses and fees outstanding.
The Colonial Mall - Myrtle Beach, now known as The Myrtle Beach
Mall, is collateralized by a 524,767 sf regional mall located in
Myrtle Beach, SC. Anchors include J.C. Penney, two Belk stores,
Bass Pro Shops, and Carmike Cinemas. The anchors, with the
exception of the cinema and the improvements to the Belk #2 store,
are part of the collateral. The Belk #2 store pays ground rent. In
2004, a new super-regional mall opened 15 miles from the subject,
resulting in declines in occupancy and sales. Issuance
expectations assumed some level of performance stabilization;
however, improved performance expectations have not been realized
and occupancy continues to decline. At issuance, the total mall
was 90.6% occupied, which was lower than historical rates in
excess of 95%. As of the December 2011 rent roll, total mall and
in-line occupancy were 80.3% and 42.9%, respectively. As of the
June 2013 rent roll, total mall and in-line occupancy were 77.3%
and 33.2%, respectively. Per the borrower, J.C. Penney recently
exercised a five-year lease renewal to 2019, and Belk's #2 store
is likely to exercise a five-year renewal option on their ground
lease that expires in November 2014. All of the remaining in-line
tenants' leases expire through 2017; approximately 30% of the
occupied in-line space expires in the next 12 months. The loan was
previously in special servicing and was modified whereby the
borrower paid the loan down $1 million and received an extension
until December 2013. Fitch expects the loan to transfer back to
the special servicer given the declining performance and upcoming
modified maturity date. Given the low occupancy, refinancing the
property will be a challenge and losses are probable.
Rating Sensitivities:
The Rating Outlooks for classes F and G remain Stable as no rating
changes are expected. Although the classes benefit from increased
credit enhancement, the pool is concentrated with only three of
the original 19 loans remaining. In addition, the timing of
principal recovery is not certain given the remaining assets'
status as specially serviced and/or a Fitch loan of concern.
Future interest shortfalls due to fees are also likely.
Fitch affirms the following classes:
-- $56.9 million class F at 'BBsf'; Outlook Stable;
-- $71.8 million class G at 'Bsf'; Outlook Stable;
-- $28.3 million class L at 'Dsf'; RE 0%'
-- $3.3 million class WA at 'Csf'', RE 0%;
-- $1.1 million class CM at 'Csf'', RE 0%;
Fitch downgrades and revises the Recovery Ratings on the following
classes as indicated:
-- $64.9 million class H to 'CCsf' from 'CCCsf'; RE 100%;
-- $21.9 million class J to 'CCsf' from 'CCCsf'; RE 20%;
-- $25.4 million class K to 'Csf' from 'CCsf'; RE 0%'.
Pooled classes A-1 through G, interest-only class X-1A and rake
classes KH-1, KH-2, BH-1 through BH-4, BP-1, MB-1 through MB-4 UV
and WB have paid in full. Class X-1B was previously withdrawn.
Class BP-2 is affirmed at 'Dsf/RE 0%' as realized losses were
incurred.
WACHOVIA BANK 2007-C34: Moody's Cuts Rating on Cl. A-J Notes to B1
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings of eight classes
and affirmed 14 classes of Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-
C34 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Nov 27, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Nov 27, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Nov 27, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. A-J, Downgraded to B1 (sf); previously on Nov 15, 2012
Downgraded to Ba1 (sf)
Cl. A-M, Downgraded to A2 (sf); previously on Nov 15, 2012
Downgraded to A1 (sf)
Cl. A-PB, Affirmed Aaa (sf); previously on Nov 27, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. B, Downgraded to B2 (sf); previously on Nov 15, 2012
Downgraded to Ba2 (sf)
Cl. C, Downgraded to B3 (sf); previously on Nov 15, 2012
Downgraded to Ba3 (sf)
Cl. D, Downgraded to Caa2 (sf); previously on Nov 15, 2012
Downgraded to Caa1 (sf)
Cl. E, Downgraded to Caa3 (sf); previously on Nov 15, 2012
Downgraded to Caa2 (sf)
Cl. F, Downgraded to Ca (sf); previously on Nov 15, 2012
Downgraded to Caa3 (sf)
Cl. G, Downgraded to C (sf); previously on Nov 15, 2012 Downgraded
to Ca (sf)
Cl. H, Affirmed C (sf); previously on Nov 15, 2012 Downgraded to C
(sf)
Cl. IO, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. J, Affirmed C (sf); previously on Nov 15, 2012 Downgraded to C
(sf)
Cl. K, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. L, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. M, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. N, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. O, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. P, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Cl. Q, Affirmed C (sf); previously on Dec 10, 2010 Downgraded to C
(sf)
Ratings Rationale:
The downgrades are due primarily to higher realized and expected
losses from specially serviced and troubled loans.
The affirmations of the P&I classes A-2 through A-1-A are due to
key parameters, including Moody's loan-to-value (LTV) ratio,
Moody's stressed debt service coverage ratio (DSCR) and the
Herfindahl Index (Herf), remaining within acceptable ranges. The
ratings of P&I classes H through Q are consistent with Moody's
expected loss and thus are affirmed. The rating of the IO Class is
consistent with the expected credit performance of its referenced
classes and thus is affirmed. 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.
Moody's rating action reflects a base expected loss of
approximately 12.2% of the current deal balance. At last review,
Moody's base expected loss was approximately 10.0%. Moody's base
expected loss plus realized loss figure was 12.4% of the original,
securitized deal balance, compared to 10.5% at Moody's last
review. Moody's provides a current list of base losses for conduit
and fusion CMBS transactions on moodys.com at
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
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.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.64 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit assessments
in the same transaction.
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 28 compared to a Herf of 29 at Moody's prior
review.
In cases where the Herf falls below 20, Moody's also employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.6 and then reconciles and weights
the results from the two models in formulating a rating
recommendation. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Moody's ratings are determined by a committee process that
considers both quantitative and qualitative factors. Therefore,
the rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance of
commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through a review
utilizing MOST(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's prior transaction
review is summarized in a press release dated November 15, 2012.
Please see the ratings tab on the issuer / entity page on
moodys.com for the last rating action and the ratings history.
Deal Performance:
As of the October 15, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 13% to $1.29
billion from $1.48 billion at securitization. The Certificates are
collateralized by 104 mortgage loans ranging in size from less
than 1% to 12% of the pool, with the top ten loans representing
45% of the pool. The pool includes one loan with an investment-
grade credit assessment, representing 1% of the pool. There are no
defeased loans in the pool.
Fifteen loans, representing 20% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
Seven loans have liquidated from the pool, resulting in an
aggregate realized loss of $26 million (27% average loan loss
severity). Currently, 12 loans, representing 18% of the pool, are
in special servicing. The largest specially serviced loan is the
Sheraton Park Hotel ($65 million -- 5.0% of the pool), which is
secured by a 490-room full-service hotel in Anaheim, California
adjacent to the Anaheim Convention Center.
The remaining 11 specially serviced loans are secured by a mix of
office, retail and hotel property types. Eight of the specially
serviced loans are real estate owned (REO). Moody's estimates an
aggregate $111 million loss (49% expected loss overall) for all
specially serviced loans.
Moody's has assumed a high default probability for nine poorly-
performing loans representing 8% of the pool. Moody's analysis
attributes to these troubled loans an aggregate $18 million loss
(18% expected loss based on a 50% probability default).
Moody's was provided with full-year 2012 and partial year 2013
operating results for 90% and 69% of the performing pool,
respectively. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 105% compared to 106% at last full
review. Moody's net cash flow reflects a weighted average haircut
of 16% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of
9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.47X and 1.21X, respectively, compared to
1.41X and 1.19X at last review. Moody's actual DSCR is based on
Moody's net cash flow (NCF) and the loan's actual debt service.
Moody's stressed DSCR is based on Moody's NCF and a 9.25% stressed
rate applied to the loan balance.
The loan with a credit assessment is The Greentree Shopping Center
Loan ($9.5 million -- 1% of the pool), which is secured by a
173,000 square foot grocery-anchored shopping center located in
Naples, Florida. The lead tenant is Sweetbay Supermarket and
Liquor Store, which leases 30% of the shopping center net rentable
area (NRA) through March 2026. The second largest tenant, Naples
Community Hospital, leases 24% of property NRA through 2018. The
property was 94% leased in June 2013. Moody's credit assessment
and stressed DSCR are Baa1 and 1.59X, respectively, compared to
Baa1 and 1.49X at last review.
The top three performing conduit loans represent 25% of the pool.
The largest loan is the Ashford Hospitality Pool 5 Loan ($155
million -- 12% of the pool). The loan is secured by a portfolio of
five hotels, including three Marriott-flagged hotels in New
Jersey, Texas, and North Carolina, a Sheraton-flagged hotel in
Pennsylvania, and an Embassy Suites-flagged hotel in Arizona.
Portfolio performance has improved in recent years. Nevertheless,
portfolio performance lags the sector recovery, and compares
unfavorably to portfolio performance at securitization. Moody's
current LTV and stressed DSCR are 105% and 1.13X, respectively,
compared to 125% and 0.95X at last review.
The second largest loan is the Nestle 94 Pool Loan ($105 million -
- 8% of the pool) which is secured by three cross-collateralized,
cross-defaulted industrial properties located in Pennsylvania,
California and Indiana. The properties are triple-net, 100% leased
to Nestle, Proctor & Gamble, and Del Monte Corporation. Moody's
current LTV and stressed DSCR are 127% and 0.81X, respectively.
The third largest loan is the Integrated Health Campus Loan ($58
million -- 5% of the pool). The loan is secured by a 302,000
square foot medical office property located in the Allentown-
Bethlehem, Pennsylvania area. Occupancy was approximately 80% as
of March 2013 compared to 97% as of year-end 2011 reporting and
81% occupancy reported at securitization. Moody's current LTV and
stressed DSCR are 111% and 0.88X, respectively, compared to 113%
and 0.86X at last review.
WACHOVIA CRE CDO 2006-1: Fitch Rates 3 Note Classes 'CCC'
---------------------------------------------------------
Fitch Ratings has placed 16 classes of Wachovia CRE CDO 2006-1,
Ltd. (Wachovia CRE CDO 2006-1) on Rating Watch Positive. A
detailed list of rating actions follows at the end of this
release.
Key Rating Drivers:
The placement of classes A-1A through O on Rating Watch Positive
is the result of significant deleveraging of the transaction and
the correction of a calculation error in a model used in the prior
rating review. Since the previous rating action, approximately 30%
of the balance was paid off or resolved at better than modeled
recoveries. The increased credit enhancement to the classes is
likely to be sufficient to warrant upgrades, but the magnitude may
be tempered in consideration of the increased concentration. The
transaction collateral now includes approximately 37 assets.
Fitch detected an error in the model used in Fitch's surveillance
analysis of U.S. CREL CDO ratings and the results of which are
considered by rating committees in determining ratings. The error
was related to the formula that calculates expected losses for
certificated assets (CUSIP collateral) when there is limited
exposure to them or when there is a limited number of obligors.
The error marginally increased the modeled expected losses in
various stress scenarios.
The model error potentially affected analysis in relation to
actions taken on classes in 13 U.S. CREL CDO transactions between
August 2012 and October 2013. However, the error actually only
affected the model output for classes in this transaction and one
other. No other U.S. CREL CDO ratings are affected by the error.
The output of the model is one consideration taken into account by
a surveillance rating committee. Other factors also considered
include the cash flow modeling results, the concentration of the
pool, and other factors as outlined in the criteria report,
'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan
Floating-Rate Transactions,' (Nov. 29, 2012).
Classes J through O from this transaction were identified as
having a possible rating impact from this error. Because of the
deleveraging, classes A-1A through O have been placed on Rating
Watch.
While Fitch has no reason to believe that the model contains any
other errors, a verification review of the affected model is being
conducted to verify its accuracy.
Sensitivities:
After validation of the model, Fitch will conduct a full rating
review of this transaction. It is anticipated that the Rating
Watch will be resolved prior to year end.
Fitch has placed the following classes on Rating Watch Positive:
-- $100.78 million class A-1A notes 'AAsf';
-- $68.5 million class A-1B notes 'AAsf';
-- $71.67 million class A-2B notes 'AAsf';
-- $53.3 million class B notes 'Asf';
-- $39 million class C notes 'Asf';
-- $12.35 million class D notes 'Asf';
-- $13.65 million Class E notes 'Asf';
-- $24.7 million class F notes 'Asf';
-- $16.9 million class G notes 'BBBsf';
-- $35.1 million class H notes 'BBBsf';
-- $13 million class J notes 'BBsf';
-- $14.95 million class K notes 'BBsf';
-- $9.1 million class L notes 'BBsf';
-- $34.45 million class M notes 'CCCsf'; RE 100%;
-- $16.25 million class N notes 'CCCsf'; RE 100%;
-- $6.5 million class O notes 'CCCsf'; RE 100%.
Class A-2A has paid in full.
WACHOVIA CRE CDO 2006-1: Moody's Hikes 2 Note Classes to 'Caa2'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 16 classes
of notes issued by Wachovia CRE CDO 2006-1, Ltd. The upgrades are
due to rapid amortization as a result of regular amortization,
pay-offs and greater than expected recoveries on defaulted assets.
The senior most outstanding class of notes received $301.7 million
(approximately 23.2% of the initial note balance) in amortization
in the the last two consecutive payment periods. The transaction
has previously engaged in permitted reinvestment per the
transaction documents; the velocity of which has reduced resulting
in the recent amortization. Additionally, the collateral asset
credit quality of the current collateral pool is constant as
evidenced by the weighted average rating factor (WARF), weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
The rating action is the result of Moody's on-going surveillance
of commercial real estate collateralized debt obligation and
collateralized loan obligation (CRE CDO CLO) transactions.
Moody's rating action is as follows:
Cl. A-1A, Upgraded to Aaa (sf); previously on Nov 21, 2012
Upgraded to Aa2 (sf)
Cl. A-1B, Upgraded to Aa3 (sf); previously on Nov 21, 2012
Upgraded to Baa3 (sf)
Cl. A-2B, Upgraded to Aa2 (sf); previously on Nov 21, 2012
Upgraded to A3 (sf)
Cl. B, Upgraded to A3 (sf); previously on Nov 21, 2012 Upgraded to
Ba2 (sf)
Cl. C, Upgraded to Baa2 (sf); previously on Nov 21, 2012 Upgraded
to Ba3 (sf)
Cl. D, Upgraded to Baa3 (sf); previously on Nov 21, 2012 Upgraded
to B1 (sf)
Cl. E, Upgraded to Baa3 (sf); previously on Nov 21, 2012 Upgraded
to B1 (sf)
Cl. F, Upgraded to Ba2 (sf); previously on Nov 21, 2012 Upgraded
to B2 (sf)
Cl. G, Upgraded to Ba3 (sf); previously on Nov 21, 2012 Upgraded
to B3 (sf)
Cl. H, Upgraded to B1 (sf); previously on Nov 21, 2012 Upgraded to
Caa1 (sf)
Cl. J, Upgraded to B2 (sf); previously on Nov 21, 2012 Upgraded to
Caa2 (sf)
Cl. K, Upgraded to B2 (sf); previously on Nov 21, 2012 Upgraded to
Caa2 (sf)
Cl. L, Upgraded to B3 (sf); previously on Apr 7, 2009 Downgraded
to Caa3 (sf)
Cl. M, Upgraded to B3 (sf); previously on Apr 7, 2009 Downgraded
to Caa3 (sf)
Cl. N, Upgraded to Caa2 (sf); previously on Apr 7, 2009 Downgraded
to Caa3 (sf)
Cl. O, Upgraded to Caa2 (sf); previously on Apr 7, 2009 Downgraded
to Caa3 (sf)
Ratings Rationale:
Wachovia CRE CDO 2006-1, Ltd. is a currently static (the
reinvestment period ended in September, 2011) cash transaction
backed by a portfolio of: i) whole loans and senior participations
(86.8% of the pool balance); ii) commercial mortgage backed
securities (CMBS) (8.2%); iii) real estate investment trust (REIT)
debt (3.1%); and iv) b-note debt (1.9%). As of the September 25,
2013 payment date, the aggregate note balance of the transaction,
including preferred shares, has decreased to $565.9 million from
$1,300.0 million at issuance, as a result of regular amortization
and payoff at maturity of the underlying collateral.
There are four assets with a par balance of $32.6 million (6.8% of
the current pool balance) that are considered defaulted securities
as of the October 17, 2013 Trustee report. Moody's expects minimal
losses to occur on the defaulted securities once they are
realized.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CDO transactions: WARF, weighted
average life (WAL), WARR, and MAC. These parameters are typically
modeled as actual parameters for static deals and as covenants for
managed deals.
WARF is a primary measure of the credit quality of a CRE CDO pool.
Moody's has completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 3,543
compared to 3,259 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 (1.8% compared to 1.0% at last
review), A1-A3 (0.6% compared to 3.1% at last review), Baa1-Baa3
(14.1% compared to 13.9% at last review), Ba1-Ba3 (29.0% compared
to 27.8% at last review), B1-B3 (16.1% compared to 28.4% at last
review), and Caa1-Ca/C (38.4% compared to 25.8% at last review).
Moody's modeled to a WAL of 4.6 years compared to 5.0 years at
last review. The current WAL is based on the assumption about
extensions on the underlying collateral.
Moody's modeled a fixed WARR of 53.5% compared to 53.6% at last
review.
Moody's modeled a MAC of 17.3% compared to 17.1% at last review.
Moody's review incorporated CDOROM(R) v2.8, one of Moody's CDO
rating models, which was released on March 25, 2013.
The cash flow model, CDOEdge(R) v3.2.1.2, released on May 16,
2013, was used to analyze the cash flow waterfall and its effect
on the capital structure of the deal.
Moody's analysis encompasses the assessment of stress scenarios.
Changes in any one or combination of the key parameters may have
rating implications on certain classes of rated notes. However, in
many instances, a change in key parameter assumptions in certain
stress scenarios may be offset by a change in one or more of the
other key parameters. In general, the rated notes are particularly
sensitive to changes in recovery rate assumptions. Holding all
other key parameters static, changing the recovery rate assumption
down from 53.5% to 43.5% or up to 63.5% would result in a modeled
rating movement on the rated tranches of 0 to 5 notches downward
or 0 to 7 notches upward, respectively.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of assumption uncertainty are the extent of growth
in the current macroeconomic environment given the weak pace of
recovery 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.
WEST CLO 2013-1: S&P Assigns 'BB' Rating to Class D Notes
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to West
CLO 2013-1 Ltd./West CLO 2013-1 LLC's $415.5 million fixed- and
floating-rate notes.
The note issuance is a collateral 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 the excess spread), and cash flow structure,
which can withstand the default rate projected by Standard
& Poor's CDO Evaluator model, as assessed by Standard &
Poor's using the assumptions and methods outlined in its
corporate collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which primarily
comprises broadly syndicated speculative-grade senior-
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest rate
scenarios, including LIBOR ranging from 0.26%-13.8391%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of excess interest
proceeds that are available before paying uncapped
administrative expenses, incentive management fees, and
subordinated note payments into principal proceeds for
additional collateral asset purchases during the
reinvestment period.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a
credit rating relating to an asset-backed security as defined in
the Rule, to include a description of the representations,
warranties and enforcement mechanisms available to investors and a
description of how they differ from the representations,
warranties and enforcement mechanisms in issuances of similar
securities.
The Standard & Poor's 17g-7 Disclosure Report included in this
credit rating report is available at:
http://standardandpoorsdisclosure-17g7.com/1849.pdf
RATINGS ASSIGNED
West CLO 2013-1 Ltd./West CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A-1A AAA (sf) 252.00
A-1B AAA (sf) 30.00
A-2A AA (sf) 15.00
A-2B AA (sf) 44.00
B (deferrable) A (sf) 31.00
C (deferrable) BBB (sf) 23.00
D (deferrable) BB (sf) 20.50
Subordinated notes NR 49.50
NR-Not rated.
WFRBS COMMERCIAL 2012-C9: Moody's Affirms Ba2 Rating on E Notes
---------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 12 classes of
WFRBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-C9 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Nov 9, 2012 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Nov 9, 2012 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Nov 9, 2012 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed A1 (sf); previously on Nov 9, 2012 Definitive
Rating Assigned A1 (sf)
Ratings Rationale:
The affirmations of the P&I classes are due to key parameters,
including Moody's loan-to-value (LTV) ratio, Moody's stressed debt
service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. The rating of the IO Classes,
Classes X-A and X-B , are consistent with the expected credit
performance of their referenced classes and thus are affirmed.
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 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.
Moody's review incorporated the use of the Excel-based CMBS
Conduit Model v 2.64 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 (sf) level are
driven by property type, Moody's actual and stressed DSCR, and
Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit model
results at the B2 (sf) level are driven by a pay down analysis
based on the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity, is a
primary determinant of pool level diversity and has a greater
impact on senior certificates. Other concentrations and
correlations may be considered in Moody's analysis. Based on the
model pooled credit enhancement levels at Aa2 (sf) and B2 (sf),
the remaining conduit classes are either interpolated between
these two data points or determined based on a multiple or ratio
of either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade underlying ratings is
melded with the conduit model credit enhancement into an overall
model result. Fusion loan credit enhancement is based on the
credit assessment of the loan which corresponds to a range of
credit enhancement levels. Actual fusion credit enhancement levels
are selected based on loan level diversity, pool leverage and
other concentrations and correlations within the pool. Negative
pooling, or adding credit enhancement at the underlying rating
level, is incorporated for loans with similar credit assessments
in the same transaction.
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 31 compared to a Herf of 33 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(R) (Moody's Surveillance Trends) Reports and a
proprietary program that highlights significant credit changes
that have occurred in the last month as well as cumulative changes
since the last full transaction review. On a periodic basis,
Moody's also performs a full transaction review that involves a
rating committee and a press release. Moody's initial rating of
this deal is summarized in a press release dated November 9, 2012.
Please see the ratings tab on the issuer / entity page on
moodys.com for the last rating action and the ratings history.
Deal Performance:
As of the October 18, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.04 billion
from $1.05 billion at securitization. The Certificates are
collateralized by 73 mortgage loans ranging in size from less than
1% to 11% of the pool, with the top ten loans representing 45% of
the pool. The pool contains no loans with investment-grade credit
assessments and no defeased loans.
Three loans, representing 5% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
No loans have liquidated from the pool and currently there are no
loans in special servicing.
Moody's was provided with full-year 2012 and partial year 2013
operating results for 84% and 75% of the performing pool,
respectively. Moody's weighted average LTV is 101% compared to
103% at securitization. Moody's net cash flow reflects a weighted
average haircut of 8% to the most recently available net operating
income. Moody's value reflects a weighted average capitalization
rate of 10.0%
Moody's actual and stressed DSCRs are 1.52X and 1.08X,
respectively, compared to 1.50X and 1.06X at securitization.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and
the loan's actual debt service. Moody's stressed DSCR is based on
Moody's NCF and a 9.25% stressed rate applied to the loan balance.
The top three conduit loans represent 21% of the pool. The largest
loan is the Chesterfield Towne Center Loan ($110 million -- 11% of
the pool). The loan is secured by a nearly 1 million square foot
regional mall plus an adjacent 72,000 square foot retail property
in North Chersterfield, Virginia, a suburb of Richmond. The mall's
anchors are Macy's, Garden Ridge, Sears, and JC Penney. Sears and
JC Penney occupy their spaces on ground leases, while the Macy's
and Garden Ridge boxes are owned by the borrower. The mall was 94%
leased as of June 2013, up one percentage point from
securitization. Moody's current LTV and stressed DSCR are 99% and
1.01X, respectively, compared to 101% and 0.99X at securitization.
The second largest loan is the Town Pavilion Loan ($59 million --
6% of the pool). The loan is secured by 844,000 square feet of
office and parking garage space in downtown Kansas City, Missouri.
The collateral consists of four office properties and two garages,
and includes the 38-story Town Pavilion office tower, the second
tallest building in Kansas City. The properties were 87% leased as
of June 2013, up from 85% at securitization. The loan sponsor is
Copaken Brooks, a prominent Kansas City real estate investor with
extensive interests in the downtown office market. Moody's current
LTV and stressed DSCR are 101% and 1.04X, respectively, compared
to 102% and 1.03X at securitization.
The third largest loan is the Christiana Center Loan ($49.1
million - 5% of the pool). The loan is secured by a 303,000 square
foot power center in Newark, Delaware. The collateral consists of
162,000 square feet of owned retail space plus the land beneath a
Costco store. In addition to Costco, the retail center's anchors
include Dick's Sporting Goods and HH Gregg. Dick's Sporting Goods
(50,000 square feet) and major tenant Michael's (21,000 square
feet) recently renewed their respective leases through November
2023 and February 2018, respectively. Moody's current LTV and
stressed DSCR are 103% and, 0.94X respectively, compared to 105%
and 0.93X at securitization.
* Moody's Takes Action on $336MM Subprime RMBS Issued 2006 to 2007
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches and downgraded the ratings of three tranches backed by
subprime mortgage loans issued by various trusts.
Complete rating actions are as follows:
Issuer: Carrington Mortgage Loan Trust Series 2006-FRE2
Cl. A-2, Downgraded to Ca (sf); previously on Apr 29, 2010
Downgraded to Caa1 (sf)
Cl. A-5, Downgraded to Ca (sf); previously on Apr 29, 2010
Downgraded to Caa1 (sf)
Issuer: Citigroup Mortgage Loan Trust 2007-AMC1
Cl. A-2A, Downgraded to Ca (sf); previously on Apr 6, 2010
Downgraded to Caa1 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-FM1
Cl. II-A-4, Upgraded to Caa3 (sf); previously on Aug 13, 2010
Downgraded to C (sf)
Issuer: Wells Fargo Home Equity Asset-Backed Securities 2006-3
Trust
Cl. A-2, Upgraded to B3 (sf); previously on Jun 3, 2010 Downgraded
to Caa2 (sf)
Cl. A-3, Upgraded to Caa1 (sf); previously on Jun 3, 2010
Downgraded 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 faster pay-down of the bonds due to high
prepayments/faster liquidations. The downgrades are a result of
deteriorating performance and/or structural features resulting in
higher expected losses for the bonds than previously anticipated.
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
7.8% in September 2012 to 7.2% in September 2013. Moody's
forecasts an unemployment central range of 6.5% to 7.5% for the
2014 year. Moody's expects house prices to continue to rise in
2014. 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 Hikess Rating on $124MM Subprime RMBS Issued 2004-2006
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six tranches
issued by four RMBS trusts, backed by Subprime loans.
Complete rating actions are as follows:
Issuer: CWABS Asset-Backed Certificates Trust 2005-15
Cl. 1-AF-4, Upgraded to Caa1 (sf); previously on Jul 15, 2011
Downgraded to Caa3 (sf)
Cl. 1-AF-5, Current Rating A2 (sf); previously on Jan 18, 2013
Downgraded to A2 (sf)
Underlying Rating: Upgraded to Caa1 (sf); previously on Jul 15,
2011 Downgraded to Caa3 (sf)
Financial Guarantor: Assured Guaranty Municipal Corp (Downgraded
to A2, Outlook Stable on Jan 17, 2013)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-7
Cl. MF-1, Upgraded to B1 (sf); previously on Apr 16, 2012
Downgraded to Caa1 (sf)
Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-9
Cl. MV-2, Upgraded to Ba1 (sf); previously on Mar 5, 2013 Affirmed
Ba3 (sf)
Cl. AF-5, Upgraded to Ba1 (sf); previously on Mar 5, 2013 Affirmed
Ba3 (sf)
Cl. AF-6, Upgraded to Baa3 (sf); previously on Mar 5, 2013
Affirmed Ba2 (sf)
Issuer: Ownit Mortgage Loan Trust 2006-3
Cl. A-1, Upgraded to B3 (sf); previously on Jul 14, 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 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 primary sources of assumption uncertainty are our central
macroeconomic forecast and performance volatility as a result of
servicer-related activity such as modifications. The unemployment
rate fell from 7.8% in September 2012 to 7.2% in September 2013.
Moody's forecasts an unemployment central range of 6.5% to 7.5%
for the 2014 year. Moody's expects house prices to continue to
rise in 2014. Performance of RMBS continues to remain highly
dependent on servicer activity such as modification-related
principal forgiveness and interest rate reductions. Any change
resulting from servicing transfers or other policy or regulatory
change can also impact the performance of these transactions.
* Moody's: YieldCo is Typically Credit Neg. for Bondholders
-----------------------------------------------------------
The creation of a YieldCo out of stable, cash generating assets is
of limited benefit for bondholders and may weaken the credit
quality of the YieldCo's sponsor, says Moody's Investors Service
in the report "YieldCos: Fantastic for Shareholders; Less So For
Bondholders."
A YieldCo is a dividend growth-oriented company into which a
parent-sponsor will place long-dated contracted assets. Designed
to unlock the "sum-of-the-parts" value of companies that have
stable cash flow streams like power companies, the parent then
raises equity capital through an IPO that is designed to provide
YieldCo investors with a growing dividend stream.
"We recognize that a YieldCo structure can raise equity for the
parent and such capital formation can be positive to credit
quality; however, YieldCos permanently transfer a portion of the
sponsor's most reliable cash-flow producing assets to another
entity wherein only the sponsor's owned residual cash flow remains
available to support the parent's credit profile," says A.J.
Sabatelle, a Moody's Associate Managing Director.
"In the best case scenario, this form of financial engineering
could be considered credit neutral if all or a substantial portion
of the IPO cash proceeds are used for parent-company debt
reduction or in the alternative, credit accretive capital
investments. However, YieldCos are a growth vehicle and we suspect
that, in most cases, the net proceeds will not be used in this
manner," says Moody's Sabatelle.
Rather, proceeds from the IPO will typically be used for higher
return, higher risk investments or by the parent company for share
repurchases.
Moody's explains that YieldCos also require incremental
contractual investments to be added or "dropped in" in order for
the vehicle to provide sustainable dividend growth, which can be
problematic to secure. YieldCos also create corporate governance
challenges and possible distractions to management from running
their core businesses.
Potential candidates for creating YieldCos are companies that own
portfolios of long-dated contractual assets such as NextEra, AES,
Sempra, and Duke.
Since NRG Yield was formed in June 2013, investor interest in the
creation of more YieldCos has been high.
Of particular concern are parent utility holding companies that
look to form YieldCos where holding company debt service
effectively relies upon that residual portion of the cash flow
that has been permanently transferred. Should a company seek to
deploy a typical YieldCo structure, Moody's would view the action
as credit negative.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
liabilities that may never materialize. The prices at which
equity securities trade in public market are determined by more
than a balance sheet solvency test.
A list of Meetings, Conferences and Seminars appears in each
Wednesday's edition of the TCR. Submissions about insolvency-
related conferences are encouraged. Send announcements to
conferences@bankrupt.com/
On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
includes links to freely downloadable images of these small-dollar
petitions in Acrobat PDF format.
Each Friday's edition of the TCR includes a review about a book of
interest to troubled company professionals. All titles are
available at your local bookstore or through Amazon.com. Go to
http://www.bankrupt.com/books/to order any title today.
Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, 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.
This material is copyrighted and any commercial use, resale or
publication in any form (including e-mail forwarding, electronic
re-mailing and photocopying) is strictly prohibited without prior
written permission of the publishers. Information contained
herein is obtained from sources believed to be reliable, but is
not guaranteed.
The TCR subscription rate is $975 for 6 months delivered via
e-mail. Additional e-mail subscriptions for members of the same
firm for the term of the initial subscription or balance thereof
are $25 each. For subscription information, contact Peter A.
Chapman at 215-945-7000 or Nina Novak at 202-241-8200.
*** End of Transmission ***