/raid1/www/Hosts/bankrupt/TCR_Public/131229.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, December 29, 2013, Vol. 17, No. 359
Headlines
ACCESS TO LOANS: Fitch Retains 'B-sf' Ratings on 1998 Securities
ACCESS GROUP: Moody's Downgrades Class B Notes Rating to Caa3
ACCESS GROUP 2004-2: S&P Lowers Rating on 2 Note Classes to 'CC'
ALESCO PREFERRED III: S&P Raises Rating on Cl. A-2 Notes to 'CCC'
ALESCO PREFERRED IX: Moody's Hikes $59MM Notes Rating From 'Ba2'
ALM VIII: Moody's Rates $36.5MM Class D Sec. Notes 'Ba3(sf)'
ALM X: Moody's Rates $13MM Class D Secured Notes 'Ba3(sf)'
AMC CLO XIII: Moody's Rates $20MM Class B-2L Notes 'Ba2'
AMERICAN AIRLINES 2013-2: Fitch Rates Class C Certs 'B+(EXP)'
ANTHRACITE CDO I: S&P Raises Rating on Class E Notes to 'B+'
BANC OF AMERICA 2007-5: Fitch Cuts Rating on $20.9MM Notes to 'C'
BEAR STEARNS 2006-TOP24: Fitch Affirms CCC Rating on $101MM Notes
BIRCH REAL: S&P Raises Rating on 2 Note Classes to 'B+'
BLACK DIAMOND 2005-2: S&P Raises Rating on 2 Note Classes to 'B+'
C-BASS 2006-RP1: Moody's Hikes Rating on Class M-3 Notes to 'Caa2'
CENT CLO 20: S&P Assigns Prelim. 'BB' Rating on Class E Notes
CGWF COMMERCIAL 2013-RKWH: S&P Assigns 'BB-' Rating on Cl. E Notes
COMM 2007-FL14: S&P Lowers Rating on Class K Certificates to 'D'
COMM 2013-LC6: Moody's Affirms 'Ba2' Rating on Class E Notes
CPS AUTO 2011-C: Moody's Affirms 'B2' Rating on Class D Notes
CPS AUTO 2013-D: Moody's Rates Class E Notes 'B2(sf)'
CPS AUTO 2013-D: S&P Assigns 'BB-' Rating on Class E Notes
CREST EXETER 2004-1: S&P Raises Rating on 2 Note Classes to 'BB+'
CWMBS INC 2004-2CB: Moody's Hikes Rating on 3 Note Classes to Ba1
EMPORIA PREFERRED: Fitch Affirms 'BB' Rating on 2 Note Classes
FAIRFIELD STREET 20004-1: Moody's Affirms B1 Rating on Cl. B Notes
FIGUEROA CLO 2013-2: S&P Assigns 'BB' Rating on Class D Notes
FIRST INDUSTRIAL: Fitch Ups $75MM Preferred Stock Rating to BB-
FLAGSHIP VII: S&P Assigns Prelim. 'BB' Rating on Class E Notes
FRASER SULLIVAN II: Moody's Hikes Rating on Class E Notes to Ba3
GEM LIGOS: Moody's Slashes $24MM Class C Notes Rating to B2
GEMSTONE CDO: S&P Affirms 'CCC-' Rating on Class B Notes
GOLDMAN SACHS 2006-GG8: Moody's Cuts Rating on 2 Note Classes to C
GMAC COMMERCIAL 2003-C3: Moody's Cuts Cl. X-1 Cert. Rating to Caa3
GRAMERCY REAL 2005-1: S&P Lowers Ratings on 3 Note Classes to CCC-
GRAND AVENUE: DBRS Confirms 'BB' Rating on Class A-1 Notes
GREENWICH CAPITAL 2005-1: Moody's Confirms B1 Rating on Cl A Notes
GREYWOLF CLO I: Moody's Hikes Rating on Class E Notes to 'Ba1'
HILTON USA 2013-HLT: Moody's Rates Class E-FL Notes 'Ba3(sf)'
JP MORGAN 2003-CIBC6: Fitch Cuts Rating on $7.8MM Notes to 'CCC'
JP MORGAN 2006-S3: Moody's Cuts Class A-3A Notes Rating to Caa1
KATONAH VII: S&P Affirms 'B+' Rating on Class D Notes
LNR CDO IV: Moody's Affirms 'C' Rating on 14 Note Classes
LOCAL INSIGHT: Moody's Withdraws Rating on Clsss A-2 Notes
MADISON SQUARE 2004-1: Fitch Cuts $22.4MM Notes Rating to 'C'
MCF CLO III: S&P Assigns Preliminary BB Rating on Class E Notes
MERRILL LYNCH 2006-1: S&P Lowers Rating on Class AJ Notes to B+
MERRILL LYNCH 2007-CA: Moody's Affirms Ba2 Rating on Class F Notes
MORGAN STANLEY 2006-HQ9: Fitch Raises Rating on ST-B Certs to 'BB'
MORGAN STANLEY 2013-C13: Fitch Rates $9.9MM Cl. G Certs 'B-sf'
OBSIDIAN NATURAL 2001: Moody's Cuts Tranche A Loan Rating to Ba1
OCTAGON INVESTMENT V: S&P Raises Rating on Class D Notes From BB+
PREFERREDPLUS CZN-1: Moody's Puts $34.5MM Certs Rating on Review
REALT 2006-3: Moody's Downgrades Class H Notes Rating to B1
REALT 2007-2: Moody's Affirms 'Ba1' Rating on Class F Notes
RFMSI SERIES 2006-S1: Moody's Cuts Rating on Cl. A-V Notes to Caa2
SCG TRUST 2013-SRP1: S&P Assigns 'BB-' Rating on Class E Notes
SDART 2013-1: Fitch Affirms 'BB' Rating on Class E Notes
SHACKLETON 2013-IV: S&P Assigns 'BB' Rating on Class E Notes
STRUCTURED ASSET 2006-RM1: S&P Hikes Rating on Cl. A1 Notes to BB
TRADE MAPS 1: Fitch Rates $16.6.MM Class D Notes 'Bsf'
UNITED ARTISTS 1995-A: Moody's Affirms B3 Rating on Certificates
VENTURE II CDO 2002: S&P Raises Rating on Class C Notes to 'B'
VNDO 2013-PENN: S&P Assigns 'BB-' Rating on Class E Notes
WACHOVIA BANK 2003-C6: Moody's Hikes Rating on Cl. O Notes to B1
* Moody's Takes Action on $298MM of Subprime RMBS Issued 2004-2007
* Moody's Raises $38-Mil. of Subprime RMBS Issued in 2005
* S&P Lowers Rating on 59 Classes from 51 U.S. RMBS Deals to 'D'
* S&P Takes Rating Actions on 52 Tranches From 45 CDO Deals
* S&P Withdraws Ratings on 29 Classes From 11 CDO Transactions
*********
ACCESS TO LOANS: Fitch Retains 'B-sf' Ratings on 1998 Securities
----------------------------------------------------------------
Fitch Ratings currently maintains ratings on the student loan
program revenue bonds issued from the Access to Loans for Learning
Student Loan Corp. (ALLSLC) indenture dated as May 1, 1998, as
amended and supplemented (series IV indenture).
ALLSLC has requested that Fitch confirm the existing ratings
assigned to the bonds issued under the series IV Indenture in
connection with the bond purchase in lieu of redemption of certain
ARS bonds (the ARS bond purchase) as executed by the TWELFTH
Supplemental Indenture dated Dec. 1, 2013.
Consistent with its statements on policies regarding rating
confirmations in structured finance transactions (Oct. 9, 2013)
Fitch is treating this request as a confirmation.
Key Rating Drivers:
On Dec. 18, 2013, ALLSLC will issue $446,800,000 in series 2013-I
notes, the proceeds of which will be used to the refund certain
student loan program revenue bonds in the series IV indenture.
Post the restructuring, senior, subordinate and junior subordinate
parity are expected to be 105.83%, 99.62% and 97.97% respectively.
The refunding will also reduce the percentage of ARS bonds to
75.9% from approximately 85% at Sept. 30, 2013, which should help
future excess spread as these bonds are currently paying interest
at a contractually determined maximum rate due to failed auctions.
Based on the information provided, Fitch has determined that the
ARS bond purchase will not have an impact on the existing ratings
of the series IV indenture at this time. This determination only
addresses the effect of the ARS bond purchase on the current
ratings assigned by Fitch to the bonds. It does not address
whether the ARS bond purchase is permitted by the terms of the
transaction documents, nor does it address whether it is in the
best interests of, or prejudicial to, some or all of the holders
of the bonds.
The ratings assigned by Fitch are based on the documents and
information provided to Fitch by the issuer and other parties and
are subject to receipt of final closing documents. Fitch relies on
all of these parties for the accuracy of such information and
documents. Fitch did not audit or verify the trust or accuracy of
such information.
Rating Sensitivities:
Since FFELP student loan ABS rely on the U.S. government to
reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in
tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S.
sovereign rating, defaults, interest and basis risk account for
the majority of the risk embedded in FFELP student loan
transactions. Additional defaults, interest and basis shock beyond
Fitch's published stresses could result in future downgrades.
Likewise, a buildup of credit enhancement driven by positive
excess spread given favorable interest rate and basis factor
conditions could lead to future upgrades.
Access to Loans for Learning Student Loan Corp - 1998 Master Trust
IV
-- 1998 class C-1 'B-sf', Outlook Negative;
-- 2000 class A-3 'B-sf', Outlook Negative;
-- 2002 class A-4 'B-sf', Outlook Negative;
-- 2002 class A-5 'B-sf', Outlook Negative;
-- 2003-1 class A-7 'B-sf', Outlook Negative;
-- 2003-1 class A-8 'B-sf', Outlook Negative;
-- 2003-1 class A-9 'B-sf', Outlook Negative;
-- 2003-1 class A-10 'B-sf', Outlook Negative;
-- 2003-1 class C-2 'B-sf', Outlook Negative;
-- 2003-2 class A-11 'B-sf', Outlook Negative;
-- 2003-2 class A-12 'B-sf', Outlook Negative;
-- 2004 class A-13 'B-sf', Outlook Negative;
-- 2007 class IV-A-14 'B-sf', Outlook Negative;
-- 2007 class IV-A-15 'B-sf', Outlook Negative;
-- 2007 class IV-A-16 'B-sf', Outlook Negative;
-- 2007 class IV-A-17 'B-sf', Outlook Negative;
-- 2007 class IV-A-18 'B-sf', Outlook Negative.
ACCESS GROUP: Moody's Downgrades Class B Notes Rating to Caa3
-------------------------------------------------------------
Moody's Investors Service upgraded 29 classes, downgraded three
classes, and affirmed four classes of notes in six student loan
securitizations sponsored by Access Group Inc. The underlying
collateral consists of student loans originated under the Federal
Family Education Loan Program (FFELP), which are guaranteed by the
U.S. government for a minimum of 97% of defaulted principal and
accrued interest.
Ratings Rationale:
The upgrades of the senior classes of notes are primarily a result
of Access Group mitigating operational risk in the transactions by
transferring the loan servicing function to Xerox Education
Services, formally known as ACS Education Services. Moody's
downgraded these classes on October 7, 2011, due to the risk of
loan servicing and payment disruption in the event that Access
Group is not able to service these securitizations. With the
mitigated operational risk and strong performance, the ratings of
the senior classes of notes were upgraded back to Aaa.
The upgrades of the subordinated classes of notes issued in the
2005-1, 2006-1 and 2007-1 transactions reflect strong performance
since closing, as the total parity levels (i.e. total assets over
total liabilities) across all three transactions have risen to
their respective target levels.
The downgrades of the subordinated classes of notes in the 2002
transaction reflect continued weak performance as a result of high
funding costs on the auction rate securities associated with the
failed auction rate market. As a result of the high bond coupon
rates and the resulting negative excess spread, the subordinate
notes are exposed to a significant "tail-end" risk. Total parity
has remained at approximately 98% since 2009.
Factors that would lead to an upgrade or downgrade of the rating
A key factor that could lead to downgrades of the ratings is if
basis risk is higher than expected. The ratings of the subordinate
notes in the 2004-2, 2005-1, 2005-2, 2006-1, and 2007-1
transactions could be downgraded in the future if the spread
between 3 month LIBOR index on the liability side and the 1 month
LIBOR on the assets side is increased. The ratings of the
subordinate notes in the 2002 transaction could be downgraded in
the future if the spread between 3 month T-bill index on the
liability side and the 1 month LIBOR on the assets side is
increased.
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 uncertainty with regard to expected loss are
the weak economic environment and the high unemployment rate,
which adversely impacts the income-generating ability of the
borrowers.
To assess rating implications of the higher expected losses, each
individual transaction was run through a variety of stress
scenarios using the Structured Finance Workstation(R) (SFW), a
cash flow model developed by Moody's Wall Street Analytics.
The complete rating actions as follow:
Issuer: Access Group Inc. Federal Student Loan Asset-Backed Notes,
(2002 Trust Indenture)
Senior Ser. 2002-1 Cl. A-3, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Senior Ser. 2002-1 Cl. A-4, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Subordinate 2002-1 Cl. B, Downgraded to Caa3; previously on Jun 3,
2009 Downgraded to Caa1
Senior Ser. 2003-1 Cl. A-2, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Senior Ser. 2003-1 Cl. A-3, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Senior Ser. 2003-1 Cl. A-4, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Senior Ser. 2003 Cl. A-5, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Senior Ser. 2003-1 Cl. A-6, Upgraded to Aaa; previously on Jun 25,
2013 Aa3 Placed Under Review for Possible Upgrade
Sub. Ser. 2003-1 Cl. B, Downgraded to Caa3; previously on Jun 3,
2009 Downgraded to Caa1
2004-1A-1, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-1A-2, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-1A-3, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-1A-4, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-1A-5, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-1B, Downgraded to Caa3; previously on Jun 3, 2009 Downgraded
to Caa1
Issuer: Access Group, Inc. Series 2004-2
2004-2-A-2, Affirmed B1; previously on Jun 25, 2013 Downgraded to
B1
2004-2-A-3, Affirmed Aa3; previously on Oct 7, 2011 Downgraded to
Aa3
2004-2-A-4, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-2-A-5, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2004-2-B, Affirmed A2; previously on Nov 2, 2004 Assigned A2
Issuer: Access Group, Inc. Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-1
2005-1-A-2, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2005-1-A-3, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2005-1-A-4, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2005-1-B, Upgraded to Aa1; previously on Jun 8, 2005 Definitive
Rating Assigned A2
Issuer: Access Group Inc. - Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-2
2005-2-A-3, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2005-2-A-4, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2005-2-B, Affirmed A3; previously on Oct 28, 2005 Definitive
Rating Assigned A3
Issuer: Access Group Inc., Series 2006-1
2006-1-A-2, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2006-1-A-3, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2006-1-B, Upgraded to Aa1; previously on Jun 13, 2006 Definitive
Rating Assigned A3
Issuer: Access Group, Inc. Series 2007-1
2007-A-2, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2007-A-3, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2007-A-4, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2007-A-5, Upgraded to Aaa; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2007-B, Upgraded to Aa1; previously on Jun 25, 2013 Aa3 Placed
Under Review for Possible Upgrade
2007-C, Upgraded to Aa3; previously on Jul 5, 2007 Definitive
Rating Assigned A3
ACCESS GROUP 2004-2: S&P Lowers Rating on 2 Note Classes to 'CC'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on the
class A-2 and B notes from Access Group Inc.'s series 2004-2 and
removed them from CreditWatch with negative implications, where
they were placed on Sept. 13, 2013.
The lowered rating on the class A-2 notes reflects S&P's view that
it is unlikely this class will receive full and timely principal
at its legal maturity date of Jan. 25, 2016, due to its nearer
term maturity date, along with S&P's estimation of the collections
from the underlying student loan collateral and principal
amortization of the class A-2 notes over the next two years. The
aforementioned estimates are based in part on the current loan
status of the collateral pool, potential shifts in that status,
and the student loan collateral pool and bonds' amortization rate.
Further, the transaction's 101% total parity cash releasing
structure (since April 2009) and the pro rata principal payment to
the class B notes after the October 2012 step-down date affect the
class A-2 notes repayment prospects.
The lowered rating on the class B notes reflects S&P's view that
the probable nonpayment of the class A-2 note principal at its
legal maturity date raises the risk that the class B notes could
experience an interest shortfall concurrently. According to the
transaction's payment waterfall, if the outstanding principal
amount of a senior class of notes is not paid in full on its
respective maturity date, the unpaid principal balance of those
notes would become due and payable. Then on subsequent
distribution dates, the transaction will make the necessary
principal payments to the respective class of senior notes (in
this case, class A-2) before making any interest payments due to
the class B notes. The funds that would otherwise be available to
pay the class B note interest could be allocated to pay principal
to the class A-2 notes.
In addition, nonpayment of a senior note principal at its legal
maturity would constitute an event of default (EOD), which could
result in the acceleration of principal of all the notes
outstanding. Once the notes are accelerated, the transaction's
payment priority would switch to the post-EOD waterfall, in which
all payments are made to all outstanding class A notes (in this
case, class A-2, A-3, A-4, and A-5) pro rata until the class A
notes are paid in full before making any interest payments due to
the class B notes. In other words, class B will be locked out of
interest payment until all outstanding class A notes are paid in
full (causing an interest shortfall on class B).
Accordingly, S&P lowered the ratings on both the class A-2 and B
notes to 'CC (sf)' as it believes a default to be a virtual
certainty.
S&P will continue to monitor the near term ratings implications
for the aforementioned classes of notes and update the market
accordingly.
RATINGS LOWERED AND REMOVED FROM CREDITWATCH
Access Group Inc.
Floating-rate student loan asset-backed notes series 2004-2
Rating
Class To From
A-2 CC (sf) B (sf)/Watch Neg
B CC (sf) A (sf)/Watch Neg
ALESCO PREFERRED III: S&P Raises Rating on Cl. A-2 Notes to 'CCC'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1 and A-2 notes from ALESCO Preferred Funding III Ltd., a
collateralized debt obligation transaction (CDO)backed by trust-
preferred securities (TruPs) and issued by financial institutions.
At the same time, S&P removed its ratings on the notes from
CreditWatch with positive implications, where it placed them on
Sept. 25, 2013.
The upgrades reflect paydowns to the class A-1 notes and the
improved credit support available to the notes since S&P last
upgraded the class A-1 notes in May 2012, following an update to
its criteria for rating CDOs backed by bank TruPs. Since that
time, the transaction has paid down the class A-1 notes by
approximately $17.8 million, leaving the notes at 41.72% of their
original balance. The paydowns can be attributed to interest
proceeds captured due to the failure of the transaction's coverage
tests, as well as principal proceeds.
The upgrades also reflect the improved overcollateralization (O/C)
available to the notes, mainly due to the aforementioned paydowns,
since S&P's May 2012 rating action. The trustee reported the
following O/C ratios in the November 2013 note valuation report:
-- The class A O/C ratio was 140.0%, up from a reported ratio
of 116.6% in March 2012.
-- The class B O/C ratio was 76.9%, up from a reported ratio of
68.2% in March 2012.
S&P upgraded the class A-2 notes to 'CCC (sf)' from 'CCC- (sf)',
although the cash flow results indicated a limitation at
'CCC- (sf)'. This decision was based on several factors in the
analysis, including, but not limited to, improvement in the level
of both defaults and 'CCC' rated assets in the portfolio, O/C
ratios greater than 100%, and the largest obligor default test.
Consequently, S&P believes that the class A-2 notes are not
currently as vulnerable to default as some other 'CCC-' rated
obligations.
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 S&P will take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
ALESCO Preferred Funding III Ltd.
Rating
Class To From
A-1 BBB+ (sf) BB+ (sf)/Watch Pos
A-2 CCC (sf) CCC- (sf)/Watch Pos
ALESCO PREFERRED IX: Moody's Hikes $59MM Notes Rating From 'Ba2'
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by ALESCO Preferred Funding
IX, Ltd:
U.S. $365,000,000 Class A-1 First Priority Delayed Draw Senior
Secured Floating Rate Notes Due June 23, 2036 (current balance of
$300,189,886), Upgraded to A3 (sf); previously on September 20,
2012 Upgraded to Baa1 (sf)
U.S. $59,000,000 Class A-2A Second Priority Senior Secured
Floating Rate Notes Due June 23, 2036, Upgraded to Baa3 (sf);
previously on September 20, 2012 Upgraded to Ba2 (sf)
U.S. $3,000,000 Class A-2B Second Priority Senior Secured
Fixed/Floating Rate Notes Due June 23, 2036, Upgraded to Baa3
(sf); previously on September 20, 2012 Upgraded to Ba2 (sf)
Ratings Rationale:
According to Moody's, the rating actions taken on the notes are
primarily a result of the decrease in the assumed defaulted par
amount , and the deleveraging of the Class A-1 Notes since
December 2012.
Moody's notes that the total par amount that Moody's treated as
defaulted or deferring declined to $107 million compared to $128
million since December 2012. The decline is due to the resumption
of TruPS interest payments by a previously deferring bank in the
underlying portfolio and the improvement in the credit quality of
a bank, that used to be treated as defaulted according to Moody's
Moody's also notes that the Class A-1 Notes have been paid down by
approximately 2.5% or $7.8 million since December 2012, due to
diversion of excess interest proceeds. As a result of this
deleveraging and the decline in assumed defaulted amount, the
Class A-1 Notes' par coverage improved to 146.5% from 137.9% since
the last rating action, as calculated by Moody's. Based on the
latest trustee report dated November 29, 2013, the Class A
Overcollateralization Test and the Class B/C/D
Overcollateralization Test are reported at 124.2% (limit 146.2%)
and 75.4% (limit 101.5%), respectively, versus December 2012
levels of 122.0% and 75.18%, 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.
Moody's notes that the key model inputs used by Moody's in its
analysis, such as par, weighted average rating factor, and
weighted average recovery rate, are based on its published
methodology and may be different from the trustee's reported
numbers. In its base case, Moody's analyzed the underlying
collateral pool to have a performing par of $439,842,00 million,
defaulted/deferring par of $107,000,000, a weighted average
default probability of 29.55% (implying a WARF of 1575), Moody's
Asset Correlation of 14.14%, and a weighted average recovery rate
upon default of 8.17%. In addition to the quantitative factors
that are explicitly modeled, qualitative factors are part of
rating committee considerations. Moody's considers the structural
protections in the transaction, the risk of triggering an Event of
Default, recent deal performance under current market conditions,
the legal environment, and specific documentation features. All
information available to rating committees, including
macroeconomic forecasts, inputs from other Moody's analytical
groups, market factors, and judgments regarding the nature and
severity of credit stress on the transactions, may influence the
final rating decision.
ALESCO Preferred Funding IX, Ltd , issued on December 15, 2005, is
a collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities (TruPS).
Factors that Would Lead to an Upgrade or Downgrade of the Rating
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, as evidenced by uncertainties of credit
conditions in the general economy. However, Moody's outlook on the
banking sector has changed to stable from negative. Moody's
continues to have a stable outlook on the insurance sector, other
than the negative outlook on the U.S. life insurance industry. In
addition, Moody's notes that the following factors could lead to
either an upgrade or downgrade of the ratings:
1) Macroeconomic uncertainty: TruPS CDOs performance may be
negatively impacted by uncertainties of credit conditions in the
general economy. Moody's has a stable outlook on the banking
sector.
2) Portfolio credit risk: A better than expected credit
performance of the underlying assets collateralizing the
transaction, can lead to positive transaction performance.
Conversely, a weaker than expected performance of the underlying
portfolio can have adverse consequences on the transaction's
performance.
3) Deleveraging: An uncertainty in this transaction is whether
deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. A faster-than-
anticipated pace of deleveraging may have significant impact on
the ratings of the notes.
4) Resumption of interest payments by deferring assets: A number
of banks that had previously been deferring interest have resumed
interest payments on their TruPS. The timing and amount of
deferral cures may have significant positive impact on the
transaction's overcollateralization ratios and the ratings of the
notes.
5) Exposure to non-publicly rated assets: The deal is exposed to a
large number of securities whose default probabilities are
assessed through credit scores derived using the RiskCalc model or
credit estimates. Moody's evaluates the sensitivity of the ratings
of the notes to the volatility of these credit assessments.Loss
and Cash Flow Analysis
Loss and Cash Flow Analysis
The transaction's portfolio was modeled using CDOROM v.2.10-15 to
develop the default distribution from which the Moody's Asset
Correlation parameter was obtained.
The portfolio of this CDO is mainly comprised of trust preferred
securities (TruPS) issued by small to medium sized U.S. community
banks and insurance companies that are generally not publicly
rated by Moody's. To evaluate the credit quality of bank TruPS
without public ratings, Moody's uses RiskCalc model, an
econometric model developed by Moody's KMV, to derive their credit
scores. Moody's evaluation of the credit risk for a majority of
bank obligors in the pool relies on FDIC financial data reported
as of Q3-2013. 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.
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 225 points from the
base case of 1575, 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 45 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 $15 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: Par Credit Given to Deferring Banks
Class A-1:+1
Class A-2A: +1
Class A-2B: 0
Class B-1: +1
Class B-2: +1
Class C-1: 0
Class C-2: 0
Class C-3: 0
Class C-4: 0
Sensitivity Analysis 2: Alternative Default Timing Profile
Class A-1:+1
Class A-2A: +1
Class A-2B: 0
Class B-1: +1
Class B-2: +1
Class C-1: 0
Class C-2: 0
Class C-3: 0
Class C-4: 0
ALM VIII: Moody's Rates $36.5MM Class D Sec. Notes 'Ba3(sf)'
------------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by ALM VIII, Ltd.
Moody's rating action is as follows:
U.S.$270,000,000 Class A-1a Senior Secured Floating Rate Notes due
2026 (the "Class A-1a Notes"), Definitive Rating Assigned Aaa (sf)
U.S.$120,000,000 Class A-1b Senior Secured Floating Rate Notes due
2026 (the "Class A-1b Notes"), Definitive Rating Assigned Aaa (sf)
U.S.$43,750,000 Class A-2a Senior Secured Floating Rate Notes due
2026 (the "Class A-2a Notes"), Definitive Rating Assigned Aa2 (sf)
U.S.$7,000,000 Class A-2b Senior Secured Fixed Rate Notes due 2026
(the "Class A-2b Notes"), Definitive Rating Assigned Aa2 (sf)
U.S.$36,500,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class B Notes"), Definitive Rating Assigned
A2 (sf)
U.S.$38,250,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class C Notes"), Definitive Rating Assigned
Baa3 (sf)
U.S.$36,500,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)
U.S.$6,750,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Definitive Rating Assigned B2 (sf)
The Class A-1a Notes, the Class A-1b Notes, the Class A-2a Notes,
the Class A-2b Notes, the Class B Notes, the Class C Notes, the
Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Rated Notes."
Ratings Rationale:
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
ALM VIII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 90% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 10% of the portfolio may consist of second lien loans,
unsecured loans, secured bonds, senior secured floating rate notes
and high yield bonds. The Issuer's documents require that at least
$550,000,000 of assets are ramped as of the closing date.
Apollo Credit Management (CLO) LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue preferred
shares. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2825
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.00%
Weighted Average Life (WAL): 8.0 years.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2825 to 3249)
Rating Impact in Rating Notches
Class A-1a Notes: -1
Class A-1b Notes: -1
Class A-2a Notes: -2
Class A-2b Notes: -2
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2825 to 3673)
Rating Impact in Rating Notches
Class A-1a Notes: -1
Class A-1b Notes: -1
Class A-2a Notes: -3
Class A-2b Notes: -3
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
Class E Notes: -3
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector.
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.
ALM X: Moody's Rates $13MM Class D Secured Notes 'Ba3(sf)'
----------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by ALM X, Ltd.:
U.S.$410,000,000 Class A-1 Senior Secured Floating Rate Notes due
2025 (the "Class A-1 Notes"), Assigned (P)Aaa (sf)
U.S.$90,000,000 Class A-2 Senior Secured Floating Rate Notes due
2025 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf)
U.S.$65,000,000 Class B Senior Secured Fixed Rate Notes due 2025
(the "Class B Notes"), Assigned (P)A2 (sf)
U.S.$42,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2025 (the "Class C Notes"), Assigned (P)Baa3 (sf)
U.S.$37,000,000 Class D Junior Secured Deferrable Floating Rate
Notes due 2025 (the "Class D Notes"), Assigned (P)Ba3 (sf)
U.S.$13,000,000 Class E Mezzanine Secured Deferrable Floating Rate
Notes due 2025 (the "Class E Notes"), Assigned (P)B2 (sf)
The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the
Class C Notes, the Class D Notes and the Class E Notes are
referred to herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale:
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
ALM X is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 92.5% of the portfolio must
consist of senior secured loans and eligible investments, and up
to 7.5% of the portfolio may consist of second lien loans and
unsecured loans. The Issuer's documents require the portfolio to
be at least 98% ramped as of the closing date.
Apollo Credit Management (CLO), LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $700,000,000
Diversity Score: 50
Weighted Average Rating Factor (WARF): 2800
Weighted Average Spread (WAS): 3.80%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 47.0%
Weighted Average Life (WAL): 8 years.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2800 to 3220)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: 0
Class B Notes: -2
Class C Notes: -1
Class D Notes: 0
Class E Notes: 0
Percentage Change in WARF -- increase of 30% (from 2800 to 3640)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2 Notes: -2
Class B Notes: -3
Class C Notes: -2
Class D Notes: -1
Class E Notes: -3
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector.
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.
AMC CLO XIII: Moody's Rates $20MM Class B-2L Notes 'Ba2'
--------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by AMMC CLO XIII, Limited.
Moody's rating action is as follows:
U.S. $238,000,000 Class A-1L Senior Secured Floating Rate Notes
due 2026 (the "Class A-1L Notes"), Definitive Rating Assigned Aaa
(sf)
U.S. $60,000,000 Class A-2L Senior Secured Floating Rate Notes due
2026 (the "Class A-2L Notes"), Definitive Rating Assigned Aa2 (sf)
U.S. $30,000,000 Class A-3L Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class A-3L Notes"), Definitive Rating
Assigned A2 (sf)
U.S. $17,500,000 Class B-1L Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class B-1L Notes"), Definitive Rating
Assigned Baa3 (sf)
U.S. $20,000,000 Class B-2L Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class B-2L Notes"), Definitive Rating
Assigned Ba2 (sf)
U.S. $10,500,000 Class B-3L Senior Secured Deferrable Floating
Rate Notes due 2026 (the "Class B-3L Notes"), Definitive Rating
Assigned B2 (sf)
The Class A-1L Notes, the Class A-2L Notes, the Class A-3L Notes,
the Class B-1L Notes, the Class B-2L Notes, and the Class B-3L
Notes are referred to herein, collectively, as the "Rated Notes."
Ratings Rationale:
AMMC CLO XIII is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated first lien senior
secured corporate loans. At least 95% of the portfolio must
consist of first-lien senior secured loans or eligible
investments, and up to 5% of the portfolio may consist of
unsecured loans, second lien loans and bonds. The Issuer's
documents require the portfolio to be at least 91% ramped as of
the closing date.
American Money Management Corporation (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer issued subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $400,000,000
Diversity Score: 75
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.70%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.0%
Weighted Average Life (WAL): 8 years
Factors that would lead to an upgrade or downgrade of the rating
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2700 to 3105)
Rating Impact in Rating Notches
Class A-1L Notes: 0
Class A-2L Notes: 0
Class A-3L Notes: -2
Class B-1L Notes: -1
Class B-2L Notes: -1
Class B-3L Notes: 0
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A-1 Notes: 0
Class A-2L Notes: -2
Class A-3L Notes: -3
Class B-1L Notes: -2
Class B-2L Notes: -2
Class B-3L Notes: -3
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V Score
assigned for the global cash flow CLO sector.
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.
AMERICAN AIRLINES 2013-2: Fitch Rates Class C Certs 'B+(EXP)'
-------------------------------------------------------------
Fitch Ratings has assigned the following rating to American
Airlines Pass Through Trust Certificates, Series 2013-2
-- $256 million class C certificates (C-tranche) with an expected
maturity of January 2017 'B+(EXP)'.
Fitch currently rates the American Airlines 2013-2 class A and
class B certificates 'BBB+' and 'BB+', respectively. The proposed
issuance of the AA 2013-2 C tranche does not affect the existing
ratings for the class A and class B certificates.
Key Rating Drivers
The C tranche ratings are notched from American's 'B+' Issuer
Default Rating (IDR) based on the affirmation factor of the
collateral (i.e. the likelihood that the collateral pool would be
affirmed in a future bankruptcy), and the recovery prospects for C
tranche holders. The 'B+' rating is based on a high affirmation
factor (+2 notches) and low recovery expectations (-2 notches).
Fitch considers the affirmation factor for this collateral pool to
be high, given its size. The pool consists of 75 aircraft, making
up roughly 8% of the combined American/US Airways fleet, including
American Eagle. This is particularly large compared to many recent
EETC pools which generally contain 2-4% of a given carrier's
fleet. The affirmation factor is limited by the average age of the
aircraft which stands at more than 10 years. Many recent
comparable transactions have mainly consisted of new delivery
aircraft.
Weak recovery prospects reflect the subordinated position of the C
tranche below both the A and B tranche in terms of priority of
payment. Fitch's recovery analysis, which incorporates a 'BB'
level stress test, shows that the C tranche is expected to receive
minimal recovery in a liquidation scenario.
Transaction Overview:
American issued the AA 2013-2 class A certificates in July 2013 to
refinance 75 aircraft that were previously encumbered under
existing secured financings. This was followed by the issuance of
a $512 million B tranche in November 2013. American now intends to
issue a C tranche to be sized at $256 million. The initial
cumulative C tranche LTV will be 84.7% per the offering
memorandum. Fitch calculates the initial LTV at 88.7% using
aircraft values provided by an independent appraiser.
Collateral: The collateral pool consists of 41 737-800s, 14 757-
200s, 19 777-200ERs and 1 767-300ER. The collateral pool features
a weighted average age of nearly 10.6 years. These 75 aircraft
equate to roughly 8% of the combined American's total fleet,
including American Eagle (by number of aircraft).
The relatively high average age of the collateral pool and the
inclusion of some weaker aircraft types (757-200, 767-300ER) makes
the overall collateral quality in AA 2013-2 weaker than that seen
in some recent EETC transactions, which have consisted mostly of
new delivery, Tier 1 aircraft. However, Fitch still considers the
overall collateral quality of AA 2013-2 to be solid given that the
majority of the pool consists of Tier 1 737-800s and Tier 1/2 777-
200ERs.
Fitch has assigned the following rating:
American Airlines Pass Through Trust 2013-2
-- Series 2013-2 class C certificates 'B+(EXP)'.
Fitch currently rates the following:
American Airlines Pass Through Trust 2013-2
-- Series 2013-2 class A certificates 'BBB+'.
-- Series 2013-2 class B certificates 'BB+'.
ANTHRACITE CDO I: S&P Raises Rating on Class E Notes to 'B+'
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
D, D-FL, E, E-FL, and F notes from Anthracite CDO I Ltd. S&P also
raised its ratings on the class C, C-FL, D, and E notes from
Anthracite CDO II Ltd., and removed the ratings on the class C and
C-FL notes from CreditWatch with positive implications. At the
same time, S&P affirmed its ratings on the class F and G notes
from Anthracite CDO II Ltd.
Both of these transactions are collateralized debt obligations
(CDOs) of commercial mortgage-backed securities transactions,
managed by Blackrock Financial Management Inc.
The upgrades on the class D, D-FL, E, E-FL and F notes from
Anthracite CDO I Ltd. reflect paydowns to the class A, B, B-FL, C,
C-FL, D and D-FL notes. Since S&P's last rating actions in August
2012, the class A, B, and B-FL, C and C-FL notes have paid down
completely. On the November 2013 payment date, the class D and D-
FL notes received a $9.6 million principal paydown in total, on a
pro rata basis. The class D and D-FL notes' total outstanding
balance was reduced to $429,976, which was about 1.39% of their
original balance.
The upgrades also reflect a subsequent increase in the
overcollateralization (O/C) available to support the notes. As a
result of the senior notes paydowns, the class E O/C ratio
increased to 352.06% in November 2013 from the 127.79% noted in
the July 2012 trustee report.
Similarly, the upgrades on the class C, C-FL, D and E notes from
Anthracite CDO II Ltd. reflect paydowns to the class A, B, B-FL, C
and C-FL notes, and a subsequent increase in the O/C available to
support the notes. Since S&P's last rating actions in August
2012, the class A, B, and B-FL notes have paid down completely.
On the November 2013 payment date, the class C and C-FL notes
received a $1.23 million principal paydown in total, on a pro rata
basis. The class C and C-FL notes' total outstanding balance was
reduced to $7.28 million, which was about 15.18% of their original
balance.
As a result of the senior notes paydowns, the O/C ratios increased
significantly. The trustee reported the following O/C ratios in
the November 2013 monthly report:
-- The class C O/C ratio increased to 788.22% from the 142.77%
noted in the July 2012 trustee report;
-- The class D O/C ratio increased to 235.46% from the 121.61%
noted in the July 2012 trustee report.
S&P's rating on the class E notes from Anthracite CDO II Ltd. is
driven by the application of the largest obligor default test, a
supplemental stress test S&P introduced as part of its 2009
corporate criteria update.
S&P's affirmations on the class F and G notes from Anthracite CDO
II Ltd. reflect the availability of adequate credit support at the
current rating levels.
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 S&P will take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Anthracite CDO I Ltd.
Rating
Class To From
D AA (sf) B+ (sf)
D-FL AA (sf) B+ (sf)
E B+ (sf) B- (sf)
E-FL B+ (sf) B- (sf)
F CCC+ (sf) CCC- (sf)
Anthracite CDO II Ltd.
Rating
Class To From
C A+ (sf) BB+ (sf)/Watch Pos
C-FL A+ (sf) BB+ (sf)/Watch Pos
D BB+ (sf) CCC+ (sf)
E CCC+ (sf) CCC- (sf)
RATINGS AFFIRMED
Anthracite CDO II Ltd.
Class Rating
F CCC- (sf)
G CC (sf)
BANC OF AMERICA 2007-5: Fitch Cuts Rating on $20.9MM Notes to 'C'
-----------------------------------------------------------------
Fitch Ratings has downgraded three classes and affirmed 18 classes
of Banc of America Commercial Mortgage Trust (BACM) commercial
mortgage pass-through certificates series 2007-5.
Key Rating Drivers:
The downgrades are the result of an increased certainty of losses
to the already distressed classes. The affirmations are due to
sufficient credit enhancement relative to the ratings and the
relatively stable performance of the remaining pool from the time
of the last rating action. As of the December 2013 distribution
date, the pool's aggregate principal balance has been reduced by
16.3% to $1.55 billion from $1.86 billion at issuance. No loans
are defeased. Interest shortfalls are currently affecting classes
F through S.
Fitch modeled losses of 15.4% of the remaining pool; expected
losses on the original pool balance total 18.6%, including $105.9
million (5.7% of the original pool balance) in realized losses to
date. Fitch has designated 23 loans (43.6%) as Fitch Loans of
Concern, which includes four specially serviced assets (7.3%).
The largest contributor to modeled losses is the Smith Barney
Building loan (6.4% of the pool), which is secured by a 10-story,
approximately 190,000 square foot (sf) office building located in
the La Jolla submarket of San Diego, CA. Rollover has plagued the
property since issuance, with the two largest tenants having
vacated at their respective lease expirations in 2009 and 2010.
The property's performance should improve in 2014 after the
signing of a new lease for 31.5% of the net rentable area (NRA).
As of the rent roll dated March 2013, the property's occupancy
increased to 95.6% from 68.6% as of June 2012. Net operating
income (NOI) remains low, but first-quarter 2013 NOI has increased
to $1.7 million from full-year 2012 NOI of $1.1 million. However,
the property still faces moderate lease rollover of 27.4% and
17.5% in 2015 and 2016, respectively.
The next largest contributor to modeled losses is the Collier
Center loan (9.3%), which is secured by a leasehold interest in a
24-story office tower located in downtown Phoenix, AZ. The subject
is part of a mixed-use development and consists of approximately
500,000 sf of office and 60,000 sf of retail/restaurants. As of
the third-quarter 2013, the property's occupancy was 68.4% but is
expected to rise to approximately 81% in the first-quarter of 2014
as the borrower has signed a new tenant for 13% of the NRA, which
replaces the second largest tenant that vacated in December 2012.
In addition, the property has minimal rollover in 2014 and 2015 at
9.1% and 2.3%, respectively.
The third largest contributor to modeled losses is a specially-
serviced loan (4.1%), secured by a 316,236 sf lifestyle center
located in Brighton, MI, about 40 miles northwest of Detroit. The
loan was previously modified and returned to special servicing in
March 2012 due to monetary default. The special servicer has
commenced the foreclosure process. However, there is a six month
right of redemption period for the borrower, in which the borrower
has not waived its right. The special servicer reports the
property's occupancy was 83.1% as of October 2013.
Rating Sensitivity:
Rating Outlooks on classes A-3 through A-1A remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class A-M remains Negative due to the relatively thin
class size of the majority of the subordinate classes.
Fitch downgrades the following classes and assigns Recovery
Estimates as indicated:
-- $20.9 million class D to 'Csf' from 'CCsf', RE 0%;
-- $18.6 million class E to 'Csf' from 'CCsf', RE 0%;
-- $11.6 million class F to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes and revises REs as indicated:
-- $274.7 million class A-3 at 'AAAsf', Outlook Stable;
-- $36.2 million class A-SB at 'AAAsf', Outlook Stable;
-- $612 million class A-4 at 'AAAsf', Outlook Stable;
-- $180.4 million class A-1A at 'AAAsf', Outlook Stable;
-- $185.9 million class A-M at 'BBsf', Outlook Negative;
-- $139.4 million class A-J at 'CCsf', RE 20%.
-- $20.9 million class B at 'CCsf', RE 0%;
-- $13.9 million class C at 'CCsf', RE 0%;
-- $18.6 million class G at 'Csf', RE 0%;
-- $20.9 million class H at 'Csf', RE 0%;
-- $864,373 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%;
-- $0 class P at 'Dsf', RE 0%;
-- $0 class Q at 'Dsf', RE 0%.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class S certificates. Fitch previously withdrew the
rating on the interest-only class XW certificates.
BEAR STEARNS 2006-TOP24: Fitch Affirms CCC Rating on $101MM Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed 17 classes of Bear Stearns Commercial
Mortgage Securities Trust commercial mortgage pass-through
certificates, series 2006-TOP24 (BSCMT 2006-TOP24). A detailed
list of rating actions follows at the end of this press release.
Key Rating Drivers:
Fitch modeled losses of 4.8% of the remaining pool; expected
losses on the original pool balance total 9.8%, including $100.8
million (6.6% of the original pool balance) in realized losses to
date. Fitch has designated 33 loans (16.3%) as Fitch Loans of
Concern, which includes three specially serviced assets (2.4%).
As of the November 2013 distribution date, the pool's aggregate
principal balance has been reduced by 33.5% to $1.02 billion from
$1.53 billion at issuance. Per the servicer reporting, one loan
(0.6% of the pool) is defeased. Interest shortfalls are currently
affecting classes B through P.
The largest contributor to expected losses is an REO asset (1.2%
of the pool), which is an 116,660 sf retail property located in
Murfreesboro, TN. As of Sept. 30, 2013, the property was 71%
occupied, of which 30% of the anchor space was occupied by a
temporary Halloween store whose lease was scheduled to expire mid-
November. The Special Servicer plans to increase leasing prior to
marketing the asset.
The next largest contributor to expected losses is 379,596 sf
class A office property (6.7%) located in Herndon, VA
(approximately 25 miles west of Washington D.C). Per the June 2013
rent roll, the property was 91.7% occupied by one tenant, Lockheed
Martin (rated 'A-'/Outlook Stable). The tenant has multiple leases
due to expire in May 2016 and February 2018. The tenant is
required to give notice to exercise its option no later than 12
months prior to the commencement of the option term. If the tenant
does not renew its leases a cash flow sweep will be triggered.
The third largest contributor to expected losses is another REO
asset, a 59,839 sf retail property in Eagle, ID (0.7%), which
transferred to special servicing on Jan. 1, 2013 due to payment
default. Foreclosure was completed on 10/28/2013. As of Oct. 30,
2013, the property was 66% occupied with a reported NOI DSCR of
0.80x. The sales strategy is still being determined.
Rating Sensitivity:
The Rating Outlooks on classes A-AB and A-4 remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class A-M remains Negative due to the increasing
concentration of the pool and the potential for adverse selection;
the top 15 loans represent 54% of the pool balance, 93.5% of the
overall pool is scheduled to mature in 2016.
Fitch affirms the following classes:
-- $3.5 million class A-AB at 'AAAsf', Outlook Stable;
-- $715.3 million class A-4 at 'AAAsf', Outlook Stable;
-- $153.5 million class A-M at 'Asf', Outlook Negative;
-- $101.7 million class A-J at 'CCCsf', RE 90%;
-- $28.8 million class B at 'Csf', RE 0%;
-- $13.4 million class C at 'Csf', RE 0%;
-- $3.9 million class D at 'Dsf', RE 0%;
-- $0 class E at 'Dsf'; RE 0%;
-- $0 class F at 'Dsf'; RE 0%;
-- $0 class G at 'Dsf'; RE 0%;
-- $0 class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%.
Classes A-1, A-2 and A-3 have paid in full. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
BIRCH REAL: S&P Raises Rating on 2 Note Classes to 'B+'
-------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-2L and A-2 notes from Birch Real Estate CDO I Ltd., a static
cash flow collateralized debt obligation (CDO) transaction backed
by structured finance securities, and removed them from
CreditWatch with positive implications, where S&P placed them on
Sept. 25, 2013. At the same time, S&P affirmed its ratings on the
class A-3L and B-1 notes.
S&P previously lowered its ratings on the notes from this
transaction on Aug. 20, 2012. The transaction has since paid down
the class A-2 and A-2L notes to 23.44% of their original balance
according to the Nov. 1, 2013 trustee report. The principal
paydowns have increased the credit support available to the class
A-2 and A-2L notes.
S&P's ratings on the class A-2 and A-2L notes reflect its largest
obligor default test, which addresses the potential concentration
exposure to obligors in the transaction's portfolio.
Principal proceeds were used to pay a portion of the class B-1
note interest due, since the interest proceeds collected in
November 2013 were insufficient to pay full interest to the class
B-1 notes.
The affirmations reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
RATING ACTIONS
Class Rating
To From
A-2 B+ (sf) CCC+ (sf)/Watch Pos
A-2L B+ (sf) CCC+ (sf)/Watch Pos
A-3L CCC- (sf) CCC- (sf)
B-1 CC (sf) CC (sf)
BLACK DIAMOND 2005-2: S&P Raises Rating on 2 Note Classes to 'B+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, E-1, and E-2 notes from Black Diamond CLO 2005-2 Ltd., a
U.S. collateralized loan obligation (CLO) transaction managed by
Black Diamond Capital Management LLC, and removed them from
CreditWatch with positive implications. At the same time, S&P
affirmed its 'AAA (sf)' rating on the class A notes.
The upgrades on the class B, C, D, E-1, and E-2 notes mainly
reflect paydowns to the class A notes and a subsequent increase in
the overcollateralization (O/C) available to support the notes
since S&P's April 2012 rating actions. The transaction has since
paid down the class A notes by approximately $178.0 million,
leaving them at 73.85% of their original balance. Although the
transaction is no longer in its reinvestment period, it still can
reinvest credit risk, credit-improved, and prepaid collateral
proceeds after the reinvestment period as long as certain
conditions are met. S&P considered this in its analysis.
S&P's analysis accounts for Black Diamond CLO 2005-2 Ltd.'s
notable amount of long-dated assets (underlying securities that
mature after the transaction's stated maturity). Based on the
October 2013 trustee report, the long-dated assets constituted
6.02% of the underlying portfolio. Because the transaction has
long-dated assets, it has potential market value or settlement-
related risks since the remaining securities could be liquidated
on the transaction's legal final maturity date.
In addition, the upgrades also reflect the increased O/C available
to support all of the notes, primarily because of the
aforementioned paydowns. The trustee reported the following O/C
ratios in the October 2013 monthly report:
-- The class A/B O/C ratio was 141.25%, compared with 131.38%
in March 2012;
-- The class C O/C ratio was 125.99%, compared with 120.25% in
March 2012;
-- The class D O/C ratio was 114.19%, compared with 111.23% in
March 2012; and
-- The class E O/C ratio was 108.86%, compared with 107.03% in
March 2012.
S&P's rating on the class D notes also reflects its application of
the largest obligor default test, a supplemental stress test it
introduced as part of its 2009 corporate criteria update.
S&P affirmed its rating on the class A notes to reflect the
available credit support consistent with the current rating level.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them, and will take rating
actions as it deems necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
Black Diamond CLO 2005-2 Ltd.
Rating Rating
Class To From
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) A+ (sf)/Watch Pos
D BBB+ (sf) BB+ (sf)/Watch Pos
E-1 B+ (sf) B- (sf)/Watch Pos
E-2 B+ (sf) B- (sf)/Watch Pos
RATING AFFIRMED
Black Diamond CLO 2005-2 Ltd.
Class Rating
A AAA (sf)
TRANSACTION INFORMATION
Issuer: Black Diamond CLO 2005-2 Ltd.
Co-issuer: Black Diamond CLO 2005-2 (Delaware) Corp.
Collateral manager: Black Diamond Capital Management LLC
Underwriter: Bear Stearns Cos. LLC
Trustee: U.S. Bank N.A.
Transaction type: Cash flow CLO
C-BASS 2006-RP1: Moody's Hikes Rating on Class M-3 Notes to 'Caa2'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of the M-3
class of Notes issued by C-BASS 2006-RP1.
Complete rating actions are as follows:
Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series
2006-RP1
Cl. M-3, Upgraded to Caa2 (sf); previously on May 20, 2011
Downgraded to C (sf)
Ratings Rationale:
The action is a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The mezzanine class M-3 has experienced an improvement in credit
enhancement due to improving performance of the underlying pool
and faster liquidations.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.0% in November 2013 from
7.8% in November 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector. House
prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2014. Lower increases
than Moody's expects or decreases could lead to negative rating
actions. Finally, 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.
CENT CLO 20: S&P Assigns Prelim. 'BB' Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Cent CLO 20 Ltd./Cent CLO 20 Corp.'s $418.25 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 Dec. 19,
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 primarily
comprises broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2386%-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 reinvestment
overcollateralization test, a failure of which will lead to
the reclassification of up to 50% of the excess interest
proceeds that are available before paying uncapped
administrative expenses and fees, subordinated hedge
termination payments, collateral manager subordinated and
incentive fees, and subordinated note payments during the
reinvestment period only, and at the option of the
collateral manager, to principal proceeds to purchase
additional collateral assets or to pay principal on the
notes according to the note payment sequence.
PRELIMINARY RATINGS ASSIGNED
Cent CLO 20 Ltd./Cent CLO 20 Corp.
Class Rating Amount (mil. $)
X AAA (sf) 3.75
A AAA (sf) 285.00
B-1 AA (sf) 29.75
B-2 AA (sf) 20.00
C (deferrable) A (sf) 38.50
D (deferrable) BBB (sf) 22.25
E (deferrable) BB (sf) 19.00
Subordinated notes NR 44.75
NR-Not rated.
CGWF COMMERCIAL 2013-RKWH: S&P Assigns 'BB-' Rating on Cl. E Notes
------------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CGWF
Commercial Mortgage Trust 2013-RKWH's $295.00 million commercial
mortgage pass-through certificates.
The certificate issuance is a commercial mortgage-backed
securities (CMBS) transaction backed by one two-year, interest-
only floating rate commercial mortgage loan, with three successive
one-year extension options, evidenced by two pari passu
componentized promissory notes ($191.75 million note A-1 and
$103.25 million note A-2) totaling $295.0 million.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the
transaction's structure, among other factors.
RATINGS ASSIGNED
CGWF Commercial Mortgage Trust 2013-RKWH
Class Rating Amount
(mil. $)
A-1 AAA (sf) 59,000,000
A-2 AAA (sf) 41,000,000
X-CP A- (sf) 128,052,000(i)
X-NCP(ii) A- (sf) 128,052,000(i)
B AA-(sf) 55,438,000
C A- (sf) 31,614,000
D BBB- (sf) 41,776,000
E BB- (sf) 66,172,000
(i) Notional balance.
(ii) Non-offered certificates.
COMM 2007-FL14: S&P Lowers Rating on Class K Certificates to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
K commercial mortgage pass-through certificates from COMM 2007-
FL14, a U.S. commercial mortgage-backed securities (CMBS)
transaction, to 'D (sf)' from 'CCC- (sf)'.
The downgrade follows principal losses that are above S&P's de
minimis threshold, which is one basis point (bp) of the original
certificate balance on a cumulative basis. As of the Dec. 16,
2013 trustee remittance report, class K experienced principal
losses totaling $81,854, which exceeded the de minimis threshold
at 0.4% of the original certificate class balance. The current
reported principal losses were primarily related to the
$113.9 million principal curtailment payment on the
MSREF/Glenborough Portfolio loan. According to the trustee, after
making all of the interest payments, the remaining proceeds were
not sufficient to pay the principal on the class K certificates.
COMM 2013-LC6: Moody's Affirms 'Ba2' Rating on Class E Notes
------------------------------------------------------------
Moody's Investors Service affirmed fourteen classes of securities,
issued by COMM 2013-LC6 Commercial Mortgage Trust, Commercial
Mortgage Pass-Through Certificates, Series 2013-LC6 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-M, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned A3 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Feb 4, 2013 Definitive
Rating Assigned Aaa (sf)
Cl. X-B, Affirmed A2 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned A2 (sf)
Cl. X-C, Affirmed B3 (sf); previously on Feb 4, 2013 Definitive
Rating Assigned B3 (sf)
Ratings Rationale:
The affirmations of the nine investment grade classes A-1 through
D 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 two below investment grade P&I classes E and F
are consistent with Moody's expected loss and thus are affirmed.
The rating of the three IO Classes, Class X-A, X-B and X-C, are
consistent with the expected credit performance of their
referenced classes and thus are affirmed.
Moody's rating action reflects a base expected loss of 2.2% of the
current balance compared to 2.5% at securitization. Moody's base
expected loss plus realized losses is now 2.2% of the original
pooled balance.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
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 23, compared to 24 at securitization.
Deal Performance:
As of the December 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.48 billion
from $1.49 billion at securitization. The Certificates are
collateralized by 70 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) representing 50% of the pool. The pool contains one
loan, representing 1.8% of the pool, that has an investment grade
credit assessment.
Two loans, representing 4% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
No loans have been liquidated from the pool and no loans are in
special servicing.
Moody's was provided with full-year 2012 and partial year 2013
operating results for 100% and 39% of the performing pool,
respectively. Excluding troubled and specially-serviced loans,
Moody's weighted average LTV is 98% compared to 99% at
securitization. Moody's conduit component excludes loans with
credit assessments, defeased and CTL loans and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects a
weighted average haircut of 11% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.5%.
Moody's actual and stressed conduit DSCRs are 1.73X and 1.05X,
respectively, compared to 1.72X and 1.04X 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 loan with a credit assessment is the Glades Plaza and Commons
at Town Center Loan ($27 million -- 1.8% of the pool). The loan is
secured by a 182,704 square-foot (SF) Class A retail center along
the dense commercial Glades Road corridor in Boca Raton, Florida
and is adjacent to a 1.8 million SF Simon-owned Town Center at
Boca Raton Mall. The property is divided by NW 19th Street, with
Glades Plaza containing 64,749 SF located to the south and Commons
at Town Center containing 117,955 SF located to the north. The
loan sponsor is L&B Core Income Partners, L.P. Moody's credit
assessment and stressed DSCR are A2 and 1.86X, respectively, same
as at securitization.
The top three conduit loans represent 30% of the pool balance. The
largest loan is the Moffett Towers Loan ($175 million -- 12% of
the pool), which is secured by three separate Class A LEED Gold
certified eight-story office buildings located in the heart of the
Silicon Valley office market of Sunnyvale, California. Major
tenants include Motorola Mobility (33% of NRA, Moody's senior
unsecured rated Aa2 -- stable outlook, June 2021 lease
expiration), Microsoft Corporation (25% of NRA, Moody's senior
unsecured rated Aaa -- stable outlook, December 2021 lease
expiration) and Rambus, Inc.(13% of NRA, June 2020 lease
expiration). This loan has a $120 million pari passu piece in a
separate deal, as well as a $40 million pari passu piece in yet
another deal. Moody's LTV and stressed DSCR are 105% and 0.92X,
respectively, same as at securitization.
The second largest loan is the 540 West Madison Street Loan ($135
million -- 9% of the pool). The loan is secured by a 31-story,
Class A office building located in the heart of the West Loop
submarket of Chicago, Illinois. The property contains
approximately 1,020,798 SF of office space, 62,685 SF of data
center space, 16,803 SF of retail space, and 2,490 SF of storage.
Major tenants include Bank of America (59% of NRA, Moody's senior
unsecured rated Baa2 -- stable outlook, December 2022 lease
expiration), DRW Investments (11% of NRA, December 2024 lease
expiration) and Marsh & McLennan (11% of NRA, February 2024 lease
expiration). There is a $100 million pari passu piece in another
deal, as well as a $15 million funded mezzanine loan that is
coterminous with the subject loan. Moody's LTV and stressed DSCR
are 92% and 1.06X, respectively, same as at securitization.
The third largest loan is the Coastland Center Loan ($127 million
-- 9% of the pool). The loan is secured by 458,926 SF of net
rentable area contained within a 927,447 SF regional-mall in
Naples, Florida. The loan sponsor is GGPLP L.L.C. The property is
anchored by Dillard's, Macy's, Sears and JC Penney (27% of NRA,
Moody's senior unsecured rated Caa2 -- negative look, November
2016 lease expiration), with only JP Penney as the sole collateral
anchor tenant. Moody's LTV and stressed DSCR are 96% and, 1.01X,
respectively, compared to 98% and 1.00X at securitization.
CPS AUTO 2011-C: Moody's Affirms 'B2' Rating on Class D Notes
-------------------------------------------------------------
Moody's Investors Service has affirmed all outstanding securities
from the CPS Auto Receivables Trust 2011, 2012 and 2013-A
securitizations. The transactions are serviced by Consumer
Portfolio Services, Inc.
Complete rating actions are as follows:
Issuer: CPS Auto Receivables Trust 2011-C
Class A, Affirmed A1 (sf); previously on Mar 22, 2013 Upgraded to
A1 (sf)
Class B, Affirmed Baa2 (sf); previously on Mar 22, 2013 Affirmed
Baa2 (sf)
Class C, Affirmed Ba2 (sf); previously on Mar 22, 2013 Affirmed
Ba2 (sf)
Class D, Affirmed B2 (sf); previously on Mar 22, 2013 Affirmed B2
(sf)
Issuer: CPS Auto Receivables Trust 2012-A
Class A, Affirmed A1 (sf); previously on Mar 22, 2013 Upgraded to
A1 (sf)
Class B., Affirmed Baa2 (sf); previously on Mar 22, 2013 Affirmed
Baa2 (sf)
Class C, Affirmed Ba3 (sf); previously on Mar 22, 2013 Affirmed
Ba3 (sf)
Class D, Affirmed B3 (sf); previously on Mar 22, 2013 Affirmed B3
(sf)
Issuer: CPS Auto Receivables Trust 2012-B
Class A, Affirmed A1 (sf); previously on Mar 22, 2013 Upgraded to
A1 (sf)
Class B, Affirmed Baa3 (sf); previously on Mar 22, 2013 Affirmed
Baa3 (sf)
Class C, Affirmed Ba3 (sf); previously on Mar 22, 2013 Affirmed
Ba3 (sf)
Class D, Affirmed B2 (sf); previously on Mar 22, 2013 Affirmed B2
(sf)
Issuer: CPS Auto Receivables Trust 2012-C
Class A, Affirmed A1 (sf); previously on Mar 22, 2013 Upgraded to
A1 (sf)
Class B, Affirmed A2 (sf); previously on Mar 22, 2013 Affirmed A2
(sf)
Class C, Affirmed Baa1 (sf); previously on Mar 22, 2013 Affirmed
Baa1 (sf)
Class D, Affirmed Ba1 (sf); previously on Mar 22, 2013 Affirmed
Ba1 (sf)
Class E, Affirmed B1 (sf); previously on Mar 22, 2013 Affirmed B1
(sf)
Issuer: CPS Auto Receivables Trust 2012-D
Class A, Affirmed A1 (sf); previously on Mar 22, 2013 Upgraded to
A1 (sf)
Class B, Affirmed A2 (sf); previously on Mar 22, 2013 Affirmed A2
(sf)
Class C, Affirmed Baa2 (sf); previously on Mar 22, 2013 Affirmed
Baa2 (sf)
Class D, Affirmed Ba2 (sf); previously on Mar 22, 2013 Affirmed
Ba2 (sf)
Class E, Affirmed B1 (sf); previously on Mar 22, 2013 Affirmed B1
(sf)
Issuer: CPS Auto Receivables Trust 2013-A
Class A, Affirmed A1 (sf); previously on Mar 21, 2013 Definitive
Rating Assigned A1 (sf)
Class B, Affirmed A2 (sf); previously on Mar 21, 2013 Definitive
Rating Assigned A2 (sf)
Class C, Affirmed Baa2 (sf); previously on Mar 21, 2013 Definitive
Rating Assigned Baa2 (sf)
Class D, Affirmed Ba2 (sf); previously on Mar 21, 2013 Definitive
Rating Assigned Ba2 (sf)
Class E, Affirmed B2 (sf); previously on Mar 21, 2013 Definitive
Rating Assigned B2 (sf)
Ratings Rationale:
The collateral pools in these securitizations are performing
within expectations established at closing.
Below are key performance metrics (as of the November 2013
distribution date) and credit assumptions for the affected
transactions. Credit assumptions include Moody's expected lifetime
CNL expected range which is expressed as a percentage of the
original pool balance. Moody's lifetime remaining CNL expectation
and Moody's Aaa levels which are expressed as a percentage of the
current pool balance. The Aaa level is the level of credit
enhancement that would be consistent with a Aaa (sf) rating for
the given asset pool. Performance metrics include pool factor
which is the ratio of the current collateral balance to the
original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
and a reserve fund; and per annum excess spread.
Issuer - CPS Auto Receivables Trust 2011-C
Lifetime CNL expectation - 12.00%
Lifetime Remaining CNL expectation -10.28%
Aaa (sf) level - 48.0%
Pool factor - 50.92%
Total Hard credit enhancement - Class A 30.93%, Class B 20.93%,
Class C 12.93%, Class D 7.86%
Excess Spread per annum - Approximately 11.8%
Issuer - CPS Auto Receivables Trust 2012-A
Lifetime CNL expectation - 12.00%
Lifetime Remaining CNL expectation - 15.03%
Aaa (sf) level - 44.00%
Pool factor - 45.47%
Total Hard credit enhancement - Class A 30.40%, Class B. 20.40%,
Class C 13.4%, Class D 8.80%
Excess Spread per annum - Approximately 13.3%
Issuer - CPS Auto Receivables Trust 2012-B
Lifetime CNL expectation - 14.00%
Lifetime Remaining CNL expectation - 13.40%
Aaa (sf) level - 50.00%
Pool factor - 65.85%
Total Hard credit enhancement - Class A 27.52%, Class B 18.41%,
Class C 10.81%, Class D 5.31%
Excess Spread per annum - Approximately 13.7%
Issuer - CPS Auto Receivables Trust 2012-C
Lifetime CNL expectation - 13.50%
Lifetime Remaining CNL expectation - 13.99%
Aaa (sf) level - 47.00%
Pool factor - 68.11%
Total Hard credit enhancement - Class A 36.47%, Class B 27.47%,
Class C 18.66%, Class D 11.32%, Class E 5.45%
Excess Spread per annum - Approximately 14.7%
Issuer - CPS Auto Receivables Trust 2012-D
Lifetime CNL expectation - 13.00%
Lifetime Remaining CNL expectation - 13.95%
Aaa (sf) level - 46.00%
Pool factor - 75.02%
Total Hard credit enhancement - Class A 36.33%, Class B 27.33%,
Class C 19.34%, Class D 12.67%, Class E 8.00%
Excess Spread per annum - Approximately 15.0%
Issuer - CPS Auto Receivables Trust 2013-A
Lifetime CNL expectation - 13.50%
Lifetime Remaining CNL expectation - 13.99%
Aaa (sf) level - 48.00%
Pool factor - 87.01%
Total Hard credit enhancement - Class A 35.90%, Class B 26.39%,
Class C 19.49%, Class D 13.74%, Class E 10.00%
Excess Spread per annum - Approximately 15.3%
Factors that would lead to an upgrade or downgrade of the rating
Levels of credit protection that are greater than necessary to
protect investors against current expectations of loss could lead
to an upgrade of the rating. Moody's current expectations of loss
may be better than its original expectations because of lower
frequency of default by the underlying obligors or appreciation in
the value of the vehicles that secure the obligor's promise of
payment. The US job market and the market for used vehicle are
primary drivers of performance. Other reasons for better
performance than Moody's expected include changes in servicing
practices to maximize collections on the loans or refinancing
opportunities that result in a prepayment of the loan.
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could lead to a
downgrade of the ratings. Moody's current expectations of loss may
be worse than its original expectations because of higher
frequency of default by the underlying obligors of the loans or a
deterioration in the value of the vehicles that secure the
obligor's promise of payment. The US job market and the market for
used vehicle are primary drivers of performance. Other reasons for
worse performance than Moody's expected include poor servicing,
error on the part of transaction parties, lack of transactional
governance and fraud.
CPS AUTO 2013-D: Moody's Rates Class E Notes 'B2(sf)'
-----------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes issued by CPS Auto Receivables Trust 2013-D. This is the
fourth senior/subordinated transaction of the year for Consumer
Portfolio Services, Inc. (CPS).
The complete rating actions are as follows:
Issuer: CPS Auto Receivables Trust 2013-D
Class A Notes, Definitive Rating Assigned Aa3 (sf)
Class B Notes, Definitive Rating Assigned A2 (sf)
Class C Notes, Definitive Rating Assigned Baa2 (sf)
Class D Notes, Definitive Rating Assigned Ba2 (sf)
Class E Notes, Definitive Rating Assigned B2 (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, the experience and expertise of CPS as
servicer, and the backup servicing arrangement with Aa3-rated
Wells Fargo Bank, N.A.
Moody's median cumulative net loss expectation for the underlying
pool is 14.00%. The loss expectation was based on an analysis of
CPS' portfolio vintage performance as well as performance of past
securitizations, and current expectations for future economic
conditions.
Factors that would lead to an upgrade or downgrade of the rating
UP
Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for better-than-expected performance include changes to
servicing practices that enhance collections or refinancing
opportunities that result in prepayments.
DOWN
Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original
expectations as a result of a higher number of obligor defaults or
deterioration in the value of the vehicles securing an obligor's
promise of payment. Transaction performance also depends greatly
on the US job market and the market for used vehicles. Other
reasons for worse-than-expected performance include poor
servicing, error on the part of transaction parties, inadequate
transaction governance and fraud.
CPS AUTO 2013-D: S&P Assigns 'BB-' Rating on Class E Notes
----------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to CPS
Auto Receivables Trust 2013-D's $183 million asset-backed notes.
The note issuance is an asset-backed securitization backed by
subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 42.4%, 34.6%, 30.4%,
27.1%, and 25.5% of credit support for the class A, B, C, D,
and E notes, respectively, based on stressed cash flow
scenarios (including excess spread). These credit support
levels provide coverage of 2.8x, 2.3x, 1.75x, 1.66x, and
1.33x S&P's 13.65%-14.15% expected cumulative net loss range
for the class A, B, C, D, and E notes, respectively.
-- The expectation that, under a moderate stress scenario of
1.75x its expected net loss level, the rating on the class A
notes will not decline by more than one rating category
during the first year, and the ratings on the class B
through E notes will not decline by more than two rating
categories during the first year, all else being equal.
This is consistent with S&P's credit stability criteria,
which outlines the outer bounds of credit deterioration
equal to a one-category downgrade within the first year for
'AA' rated securities and a two-category downgrade within
the first year for 'A', 'BBB', and 'BB' rated securities.
-- The rated notes' underlying credit enhancement, which is in
the form of subordination, overcollateralization, a reserve
account, and excess spread for the class A, B, C, D, and E
notes.
-- The timely interest and principal payments made to the rated
notes under S&P's stressed cash flow modeling scenarios,
which it believes is appropriate for the assigned ratings.
-- The transaction's payment and credit enhancement structure,
which includes a noncurable performance trigger.
RATINGS ASSIGNED
CPS Auto Receivables Trust 2013-D
Class Rating Type Interest Amount
rate (mil. $)
A AA- (sf) Senior Fixed 136.330
B A (sf) Subordinate Fixed 21.500
C BBB (sf) Subordinate Fixed 10.980
D BBB- (sf) Subordinate Fixed 9.150
E BB- (sf) Subordinate Fixed 5.040
CREST EXETER 2004-1: S&P Raises Rating on 2 Note Classes to 'BB+'
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B-1, B-2, C-1, and C-2 notes from Crest Exeter Street Solar 2004-1
Ltd., a static cash flow collateralized debt obligation (CDO) of
commercial mortgage-backed securities transaction. At the same
time, S&P removed its ratings on both class B notes from
CreditWatch positive, and affirmed its ratings on the class D-1,
D-2, E-1, and E-2 notes.
The upgrades reflect the increased credit support available to the
four class B and class C notes. Since S&P's August 2012 rating
actions after applying the revised CDO of structured finance
criteria, the transaction paid down the rated liabilities by
approximately $87 million. The two class A notes were paid in
full and their ratings were withdrawn, while the two class B notes
were paid down to 83.77% of their initial issuance amounts. As a
result, the class A/B overcollateralization (O/C) ratio has
increased to 342.94%, as of the October 2013 trustee report, from
143.95% in June 2012.
Chief among the factors in making S&P's rating decision were the
relatively small number of obligors remaining in the pool and the
fact that the three largest obligors make up about one third of
the portfolio. In addition to the concentration risk, there is
significant exposure to 'CCC' rated assets.
The class E OC ratio has decreased to 100.24% from 103.43% during
the same time period. S&P's affirmations on the four class D and
E notes reflect credit support commensurate with their current
rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings currently assigned to the notes remain consistent with
the credit enhancement available to support them, and will take
rating actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Crest Exeter Street Solar 2004-1 Ltd.
Rating
Class To From
B-1 A+ (sf) BB+ (sf)/Watch Pos
B-2 A+ (sf) BB+ (sf)/Watch Pos
C-1 BB+ (sf) B+ (sf)
C-2 BB+ (sf) B+ (sf)
RATINGS AFFIRMED
Crest Exeter Street Solar 2004-1 Ltd.
Class Rating
D-1 CCC (sf)
D-2 CCC (sf)
E-1 CCC- (sf)
E-2 CCC- (sf)
CWMBS INC 2004-2CB: Moody's Hikes Rating on 3 Note Classes to Ba1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five
tranches and confirmed the rating of one tranche issued by CWMBS,
Inc. Mortgage Pass-Through Certificates, Series 2004-2CB. The
tranches are backed by Alt-A RMBS loans issued in 2004.
Complete rating actions are as follows:
Issuer: CWMBS, Inc. Mortgage Pass-Through Certificates, Series
2004-2CB
Cl. 1-A-2, Upgraded to Ba1 (sf); previously on Sep 27, 2013 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. 1-A-3, Upgraded to Ba1 (sf); previously on Sep 27, 2013 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. 1-A-4, Upgraded to Ba1 (sf); previously on Sep 27, 2013 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. 1-A-5, Upgraded to Ba1 (sf); previously on Sep 27, 2013 Ba3
(sf) Placed Under Review Direction Uncertain
Cl. 1-A-8, Upgraded to Ba2 (sf); previously on Sep 27, 2013 B1
(sf) Placed Under Review Direction Uncertain
Cl. 3-A-1, Confirmed at B2 (sf); previously on Sep 27, 2013 B2
(sf) Placed Under Review Direction Uncertain
Ratings Rationale:
The rating actions are a result of the recent performance of the
pools and reflect Moody's updated loss expectations on these
pools. The tranches upgraded are due to improving performance of
the related pools. The tranches were previously placed on watch
for possible downgrade pending the receipt and review of component
level information and Moody's is taking action based on that
information.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.0% in November 2013 from
7.8% in November 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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.
EMPORIA PREFERRED: Fitch Affirms 'BB' Rating on 2 Note Classes
--------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed two classes of
notes issued by Emporia Preferred Funding I, Ltd./Corp.
The rating actions are as follows:
-- $21,039,146 class C notes upgraded to 'AAAsf' from 'Asf';
Outlook to Stable from Positive;
-- $24,360,000 class D notes upgraded to 'Asf' from 'BBBsf';
Outlook to Positive from Stable;
-- $8,000,000 class E-1 notes affirmed at 'BBsf'; Outlook to
Positive from Stable;
-- $5,195,000 class E-2 notes at affirmed 'BBsf'; Outlook to
Positive from Stable.
Key Rating Drivers:
The rating actions are based on the significant increase in credit
enhancement available to the notes and the improved performance of
the underlying portfolio since the transaction's last rating
action in December 2012. Since the last rating action, the
transaction has received a significant amount of principal
proceeds from the amortization of the portfolio, redeeming the
class A and B (class B-1 and B-2) notes in full and paying down an
additional $3.3 million in class C principal. As of the Nov. 2,
2013 trustee report, the transaction continues to have ample
cushion in all its overcollateralization (OC) and interest
coverage (IC) tests.
Fitch currently considers no assets to be rated 'CCC+' or below in
the performing portfolio versus 7.2% at the last review and the
weighted average rating factor of the performing portfolio
improved to 'B' from 'B/B-'. According to the trustee report,
there are two defaulted obligors in the portfolio totaling
approximately $1 million and the current weighted average spread
(WAS) is 3.74%, compared to a trigger of 3.5%. Additionally,
Fitch's analysis focused on a performing portfolio balance of
$73.3 million held across 30 borrowers and $6.9 million in
principal collections.
Rating Sensitivities:
The ratings of the notes may be sensitive to the following: asset
defaults, portfolio migration, including assets being downgraded
to 'CCC', or portions of the portfolio being placed on Rating
Watch Negative or assigned a Negative Outlook, OC or IC test
breaches.
Emporia I is a cash flow collateralized loan obligation (CLO) that
closed on Oct. 12, 2005 and is managed by Ivy Hill Asset
Management, a portfolio management company of Ares Capital
Corporation. Emporia I has a portfolio primarily composed of U.S.
middle market loans, approximately 83.54% of which are senior
secured positions and approximately 16.46% of which are second
lien loans and structured finance assets. The transaction exited
its reinvestment period in October 2011.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios.
While Fitch's cash flow analysis indicates higher passing rating
levels for the class D and class E-1 and E-2 notes (collectively,
the class E notes) in all 12 interest rate and default timing
scenarios, the current recommended ratings appropriately reflect
the risk profile of the remaining portfolio. The class D and E
notes remain subordinate to the class C notes and the class D and
E notes are the most susceptible to portfolios concentration
risks. The Positive Outlook on the class D and E notes reflects
Fitch's expectations of improved performance of the notes in the
near term.
FAIRFIELD STREET 20004-1: Moody's Affirms B1 Rating on Cl. B Notes
------------------------------------------------------------------
Moody's Investors Service announced that it has affirmed the
ratings of the following notes issued by Fairfield Street Solar
2004-1 Ltd. Collateralized Debt Obligations:
Cl. A, Affirmed A3 (sf); previously on Feb 21, 2013 Affirmed A3
(sf)
Cl. A-2a, Affirmed Aa3 (sf); previously on Feb 21, 2013 Affirmed
Aa3 (sf)
Cl. A-2b, Affirmed Baa3 (sf); previously on Feb 21, 2013 Affirmed
Baa3 (sf)
Cl. B, Affirmed B1 (sf); previously on Feb 21, 2013 Affirmed B1
(sf)
Cl. B-2, Affirmed B1 (sf); previously on Feb 21, 2013 Affirmed B1
(sf)
Cl. C, Affirmed Caa1 (sf); previously on Feb 21, 2013 Affirmed
Caa1 (sf)
Cl. C-2, Affirmed Caa1 (sf); previously on Feb 21, 2013 Affirmed
Caa1 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Feb 21, 2013 Affirmed
Caa3 (sf)
Cl. D-2, Affirmed Caa3 (sf); previously on Feb 21, 2013 Affirmed
Caa3 (sf)
Cl. E, Affirmed Ca (sf); previously on Feb 21, 2013 Affirmed Ca
(sf)
Cl. E-2, Affirmed Ca (sf); previously on Feb 21, 2013 Affirmed Ca
(sf)
Ratings Rationale:
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 Re-
REMIC) transactions.
Fairfield 2004-1 is a currently static cash transaction
(reinvestment period ended November 2009). The transaction is
wholly backed by a portfolio of: 1) commercial mortgage backed
securities (CMBS) (71.7%); 2) commercial real estate
collateralized debt obligations (CRE CDO) (13.0%); 3) REIT debt
(10.0%); 4) CMBS Rake Bonds (2.5%); and 5) grantor trust loans
(1.8%). As of the November 22, 2013 trustee report, the aggregate
note balance of the transaction, including preferred shares, has
decreased to $391.4 million from $515.0 million at issuance, with
the paydown directed to the Class A-1 and Class A-2a Notes, as a
result of regular amortization of the underlying collateral and
the failure of certain par value tests.
The pool contains thirty assets totaling $119.3 million (25.8% of
the collateral pool balance) that are listed as defaulted
securities as of the November 22, 2013 trustee report. Twenty five
of these assets (85.0% of the defaulted balance) are CMBS and five
assets are CRE CDO (15.0%). Moody's does expect significant losses
to occur on the defaulted securities.
Moody's has identified the following parameters as key indicators
of the expected loss within CRE CLO 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 have completed updated assessments for the non-Moody's
rated collateral. Moody's modeled a bottom-dollar WARF of 4257
compared to 4308 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 (7.2% compared to 4.9% at last
review), A1-A3 (8.7% compared to 6.8% at last review), Baa1-Baa3
(16.0% compared to 22.9% at last review), Ba1-Ba3 (12.7% compared
to 17.6% at last review), B1-B3 (14.3% compared to 4.2%), and
Caa1-Ca/C (41.2% compared to 43.5%) .
Moody's modeled a WAL of 3.4 years, compared to 4.1 years at last
review. The current WAL is based on assumptions about extensions
on the underlying collateral.
Moody's modeled a fixed WARR of 19.8%, compared to 20.1% at last
review.
Moody's modeled a MAC of 5.4%, compared to 6.9% at securitization.
Factors that would lead to an upgrade or downgrade of the rating:
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 performance of the rated notes.
Moody's Parameter Sensitivities: 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
rates of the underlying collateral and credit assessments. Holding
all other key parameters static, changing the recovery rate
assumption down from 19.8% to 9.8% or up to 29.8% would result in
a modeled rating movement on the rated tranches of 0 to 4 notches
downward and 0 to 5 notches upward, respectively.
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.
FIGUEROA CLO 2013-2: S&P Assigns 'BB' Rating on Class D Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Figueroa CLO 2013-2 Ltd./Figueroa CLO 2013-2 LLC's $357 million
floating-rate notes.
The note issuance is a collateralized loan obligation, 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
equity notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The asset manager's experienced management team.
-- The timely interest and ultimate principal payments on the
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 0.24%-11.41%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of up to 50% of
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.
RATINGS ASSIGNED
Figueroa CLO 2013-2 Ltd./Figueroa CLO 2013-2 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 245.00
A-2 AA (sf) 48.00
B (deferrable) A (sf) 25.50
C (deferrable) BBB (sf) 20.50
D (deferrable) BB (sf) 18.00
Equity notes NR 43.00
NR--Not rated.
FIRST INDUSTRIAL: Fitch Ups $75MM Preferred Stock Rating to BB-
---------------------------------------------------------------
Fitch Ratings has upgraded the following credit ratings for First
Industrial Realty Trust, Inc. (NYSE: FR) and First Industrial,
L.P.:
First Industrial Realty Trust, Inc.
-- Issuer Default Rating (IDR) to 'BB+' from 'BB';
-- $75 million preferred stock to 'BB-' from 'B+'.
First Industrial, L.P.
-- IDR to 'BB+' from 'BB';
-- $625 million unsecured revolving credit facility to 'BB+'
from 'BB';
-- $445.5 million senior unsecured notes to 'BB+' from 'BB'.
The Rating Outlook is Positive.
Key Rating Drivers:
The upgrade of the IDR to 'BB+' centers on Fitch's expectation
that First Industrial will improve its cash flow in excess of
fixed-charges, primarily due to increasing occupancy and
recovering rents across the company's granular industrial property
portfolio. The upgrade further reflects FR's improved financial
flexibility as measured by increased revolving credit facility
capacity and strong unencumbered asset coverage for the 'BB+'
rating. These positive elements are balanced by an expected near-
to-medium term weakening of liquidity. Fitch anticipates that the
company will repay near-term debt maturities and fund speculative
development primarily with unsecured revolving credit facility
borrowings. Longer-term, First Industrial has heavy debt
maturities in 2016-2017.
The Positive Outlook reflects that the company's credit metrics
are approaching levels consistent with an investment-grade rating,
coupled with management's commitment to maintaining leverage that
is in line with an investment-grade credit.
Improving Cash Flow
Fitch anticipates that FR's portfolio will continue to increase
occupancy due to favorable supply-demand dynamics in many of FR's
markets. Occupancy on in-service space was 91.2% as of Sept. 30,
2013 compared with 89.9% as of Dec. 31, 2012 and 87.9% as of Dec.
31, 2011. However, FR has been increasing occupancy to the
detriment of rental rates; cash rental rates declined by 2.8%
year-to-date ended Sept. 30, 2013 compared with a 4.7% decline in
2012 and 11.8% decline in 2011. FR's in-place rents are below
market rates, which should provide FR opportunities to increase
rents in 2014 and 2015, when 16.8% and 16.1% of rents expire in
2014 and 2015, respectively.
The company's cash flow is durable as shown by a weighted average
lease term of approximately six years as of Sept. 30, 2013. In
addition, tenant retention on a square footage basis has been
solid in the 70%-to-80% range each quarter since 1Q2012.
Diversified Portfolio
The portfolio is not overly dependent on any given region or
tenant, with top markets as of Sept. 30, 2013 being Southern
California (9.7% of 3Q2013 rental income), Minneapolis/St. Paul
(7.5%), Central Pennsylvania (6.8%), Chicago (6.6%), and
Dallas/Ft. Worth (6.3%). FR's top tenants as of Sept. 30, 2013
were ADESA (2.8% of 3Q2013 rent), Quidsi (1.9%), Ozburn-Hessey
Logistics (1.8%), General Services Administration (1.6%) and
Harbor Freight Tools (1.2%). Despite this diversification by
geography and tenant, FR's portfolio has an older vintage and
generally of weaker quality, as measured by average rent per
square foot ($4.26 for FR compared with $4.81 for EGP, $4.96 for
LRY's distribution portfolio, and $5.59 for PLD).
Improved Financial Flexibility
In July 2013, FR amended and restated its unsecured revolving
credit facility, increasing the capacity to $625 million from $450
million, extending the maturity to September 2017 (before a one-
year extension option) from December 2014 and reducing the
borrowing spread based on the company's current leverage ratio to
LIBOR plus 150 basis points from LIBOR plus 170 basis points. In
addition, a low AFFO payout ratio reflects FR's good financial
flexibility. FR's AFFO payout ratio was 47.7% in 3Q2013 compared
with 46.8% in 2Q2013 and 51% in 1Q2013 (the first quarter post-
crisis in which FR paid a common stock dividend), indicative of
strong internally generated capital.
The company placed mortgage debt on the portfolio in recent years
on many of the company's stronger assets; unencumbered assets
represented 63.1% of total assets as of Sept. 30, 2013 compared
with the high 90% range pre-crisis. However, unencumbered assets
(3Q2013 unencumbered NOI divided by a stressed capitalization rate
reflective of some adverse selection of 9.5%) covered net
unsecured debt by 2.4x as of Sept. 30, 2013, which is strong for
the 'BB+' rating.
Liquidity Expected to Weaken
Liquidity coverage, calculated as liquidity sources divided by
uses, is 2.0x for the period Oct. 1, 2013 to Dec. 31, 2015.
Sources of liquidity include unrestricted cash, availability under
the company's unsecured credit facility, and projected retained
cash flows from operating activities after dividends and
distributions. Uses of liquidity include debt maturities and
projected recurring capital expenditures and development costs.
Fitch anticipates that the company will repay near term debt
maturities and fund development primarily with unsecured revolving
credit facility borrowings, which absent additional long-term
capital raising would reduce liquidity coverage on a go forward
basis.
After somewhat limited debt maturities in 2014 and 2015, when
10.2% and 2.9% of debt matures, respectively, the company is
facing heavy maturities in 2016 and 2017 at 21.2% and 25.5% (12.7%
if the line of credit is extended to 2018), respectively. As of
Sept. 30, 2013, the company had 27.4% drawn on its line of credit
and would have 55.6% drawn by the end of 2015 should the company
fund repayment of secured and unsecured debt via draws on the
unsecured line.
Development Lease-Up Risk
The company is currently developing four properties in York, PA,
Moreno Valley (Inland Empire), CA, L.A. County, CA, and Los
Angeles, CA. Cost to complete is contained at 1% of gross asset
value as of Sept. 30, 2013. However, the pipeline entails lease-up
risk as all four projects are speculative projects that are
currently unleased.
Coverage and Leverage Warrant Positive Outlook
The company's fixed-charge coverage ratio was strong for the 'BB+'
rating at 1.9x during 3Q2013 (1.6x for the trailing 12 months
ended Sept. 30, 2013) compared with 1.5x in 2012 and 1.2x in 2011.
This trend was driven by improving fundamentals and therefore
recurring operating EBITDA as well as lower fixed charges
including preferred stock dividends due in part to preferred stock
redemptions during the 12 months ended Sept. 30, 2013. Fitch
defines fixed-charge coverage as recurring operating EBITDA less
recurring capital expenditures less straight-line rent adjustments
divided by total cash interest incurred and preferred stock
dividends.
The company's Sept. 30, 2013 net debt to trailing 12 months
recurring operating EBITDA was also strong for the 'BB+' level at
6.5x compared with 6.5x in 2012 and 7.2x in 2011.
Fitch anticipates that low-single digit same-store NOI growth will
result in fixed-charge coverage in the low-to-mid 2.0x range and
leverage in the low-to-mid 6.0x range, which is consistent with an
investment grade rating. In a stress case not anticipated by Fitch
in which the company repeats same-store NOI declines experienced
in 2009-2010, coverage would remain in the low 2.0x range but
leverage could exceed 7.0x, which would be weak for an investment-
grade rating.
Preferred Stock Notching
The two-notch differential between FR's IDR and preferred stock
rating is consistent with Fitch's criteria for corporate entities
with an IDR of 'BB+'. Based on Fitch research titled 'Treatment
and Notching of Hybrids in Nonfinancial Corporate and REIT Credit
Analysis'.
Rating Sensitivities:
Taking into account First Industrial's lower asset quality and the
smaller size of its portfolio relative to other industrial REITs,
the following factors may result in an upgrade to 'BBB-':
-- Sustained strength in leasing fundamentals;
-- Fixed charge coverage sustaining above 2.0x
(3Q'13 fixed-charge coverage was 1.9x);
-- Leverage sustaining below 7.0x (3Q'13 leverage was 6.3x).
The following factors may result in negative momentum on the
ratings and/or outlook:
-- Further encumbering the portfolio to repay
unsecured indebtedness;
-- Fitch's expectation of fixed charge coverage sustaining
below 1.5x;
-- Fitch's expectation of net debt to recurring EBITDA
sustaining above 8.0x;
-- A sustained liquidity coverage ratio of below 1.0x.
FLAGSHIP VII: S&P Assigns Prelim. 'BB' Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to Flagship VII Ltd./Flagship VII LLC's $402.10 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 Dec. 19,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.2419%-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, a failure of
which will lead to the reclassification of up to 50% of the
excess interest proceeds that are available before paying
uncapped administrative expenses and fees, subordinated
hedge termination payments, collateral manager deferred
subordinated and incentive fees, and subordinated note
payments, to principal proceeds during the reinvestment
period to purchase additional collateral assets.
PRELIMINARY RATINGS ASSIGNED
Flagship VII Ltd./Flagship VII LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 241.10
A-2 AAA (sf) 20.00
B AA (sf) 60.55
C (deferrable) A (sf) 29.20
D (deferrable) BBB (sf) 23.10
E (deferrable) BB (sf) 18.60
F (deferrable) B (sf) 9.55
Subordinated notes NR 39.71
NR-Not rated.
FRASER SULLIVAN II: Moody's Hikes Rating on Class E Notes to Ba3
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Fraser Sullivan CLO II
Ltd.:
U.S.$32,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due 2020, Upgraded to Aa1 (sf); previously on November 9,
2012 Upgraded to A1 (sf)
U.S.$17,000,000 Class E Senior Secured Deferrable Floating Rate
Notes Due 2020, Upgraded to Ba3 (sf); previously on August 23,
2011 Upgraded to B1 (sf)
Moody's also affirmed the ratings of the following notes:
U.S.$242,400,000 Class A-1a Senior Secured Floating Rate Term
Notes Due 2020 (current outstanding balance of $128,634,731.33),
Affirmed Aaa (sf); previously on December 19, 2006 Assigned Aaa
(sf)
U.S.$50,000,000 Class A-1b Senior Secured Floating Rate Revolving
Notes Due 2020 (current outstanding balance of $26,533,566.70),
Affirmed Aaa (sf); previously on December 19, 2006 Assigned Aaa
(sf)
U.S.$51,600,000 Class A-2 Senior Secured Floating Rate Notes Due
2020, Affirmed Aaa (sf); previously on August 23, 2011 Upgraded to
Aaa (sf)
U.S.$33,000,000 Class B Senior Secured Floating Rate Notes Due
2020, Affirmed Aaa (sf); previously on November 9, 2012 Upgraded
to Aaa (sf)
U.S.$33,000,000 Class D Senior Secured Deferrable Floating Rate
Notes Due 2020, Affirmed Baa3 (sf); previously on November 9, 2012
Upgraded to Baa3 (sf)
Fraser Sullivan CLO II Ltd., issued in December 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
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 deal ended its reinvestment period in December 2012. Moody's
notes that the Class A-1 Notes have been paid down by
approximately 46.9% or $137.2 million since December 2012. Based
on the latest trustee report dated November 1, 2013, the Class
A/B, Class C, Class D and Class E overcollateralization ratios are
reported at 143.4%, 126.5%, 112.8% and 106.8%, respectively,
versus December 2012 levels of 128.3%, 118.2%, 109.4% and 105.4%,
respectively.
Factors that Would Lead To an Upgrade or Downgrade of the Rating
Moody's notes that this transaction is subject to a number of
factors and circumstances that could lead to either an upgrade or
downgrade of the ratings, as described below:
1) Macroeconomic uncertainty: CLO performance may be negatively
impacted by a) uncertainties of credit conditions in the general
economy and b) the large concentration of upcoming speculative-
grade debt maturities which may create challenges for issuers to
refinance.
2) Collateral credit risk: A shift towards holding collateral of
better credit quality, or better than expected credit performance
of the underlying assets collateralizing the transaction, can lead
to positive CLO performance. Conversely, a negative shift in
credit quality or performance of the underlying collateral can
have adverse consequences for CLO performance.
3) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will continue and at what pace. Deleveraging of the CLO
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. Faster than expected note repayment
will usually have a positive impact on CLO notes, beginning with
those having the highest payment priority.
4) 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.
5) Collateral Manager: Performance may also be impacted, either
positively or negatively, by a) the manager's investment strategy
and behavior and b) divergence in legal interpretation of CLO
documentation by different transactional parties due to embedded
ambiguities.
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% (2362)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: 0
Class C: +1
Class D: +3
Class E: +1
Moody's Adjusted WARF + 20% (3543)
Class A-1a: 0
Class A-1b: 0
Class A-2: 0
Class B: 0
Class C: -3
Class D: -1
Class E: -1
Loss and Cash Flow Analysis
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, and the weighted
average recovery rate, are based on its published methodology and
could be different from the trustee's reported numbers. In its
base case, Moody's analyzed the underlying collateral pool as
having a performing par balance of $325.1 million, defaulted par
of $3.8 million, a weighted average default probability of 20.02%
(implying a WARF of 2953), a weighted average recovery rate upon
default of 49.98%, a diversity score of 48 and a weighted average
spread of 3.57%.
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.
GEM LIGOS: Moody's Slashes $24MM Class C Notes Rating to B2
-----------------------------------------------------------
Moody's Investors Service announced that it has downgraded the
ratings on the following notes issued by GEM LIGOS III Ltd.:
U.S.$29,000,000 Class B Floating Rate Senior Subordinated Secured
Term Notes Due 2021 (current balance of $29,285,510 including
deferred interest), Downgraded to Baa3 (sf); previously on April
13, 2012 Downgraded to Baa2 (sf)
U.S.$24,000,000 Class C Floating Rate Subordinate Secured Term
Notes Due 2021 (current balance of $24,418,284 including deferred
interest), Downgraded to B2 (sf); previously on August 30, 2013
Ba2 (sf) Placed Under Review for Possible Downgrade
U.S.$12,000,000 Class D Floating Rate Junior Subordinate Secured
Term Notes Due 2021 (current balance of $9,824,156 including
deferred interest), Downgraded to Caa2 (sf); previously on August
30, 2013 B2 (sf) Placed Under Review for Possible Downgrade
Moody's also affirmed the ratings on the following notes:
U.S. $383,000,000 Class A-1 Floating Rate Senior Secured Delayed
Drawdown Notes Due 2021 (current balance of $141,201,137.54),
Affirmed Aaa (sf); previously on March 31, 2006 Assigned Aaa (sf)
U.S. $84,000,000 Class A-2 Floating Rate Senior Secured Term Notes
Due 2021, Affirmed Aaa (sf); previously on April 13, 2012 Upgraded
to Aaa (sf)
U.S. $30,000,000 Class A-3 Floating Rate Senior Secured Term Notes
Due 2021, Affirmed Aa3 (sf); previously on September 17, 2010
Upgraded to Aa3 (sf)
Ratings Rationale:
According to Moody's, the rating actions are a result of the
deteriorating credit quality of the portfolio and a large, pay-
fixed receive-floating interest rate swap that is currently out of
the money and absorbs a substantial portion of excess interest.
Moody's also notes that the transaction has significant exposure
to sovereign and banking assets, which tend to have market-implied
ratings that are below their fundamental ratings.
Based on the October 2013 trustee report, the weighted average
rating factor is 1707 compared to 1611 in December 2012. Further,
assets rated Caa1 or below currently comprise 16.28% of the
portfolio, based on the October 2013 report.
The transaction also has a large, pay-fixed receive-floating
interest rate swap that is currently out of the money. The swap
currently absorbs a substantial portion of the excess interest in
the transaction, although the swap notional has started to
amortize and will continue to amortize through March 2015. Due to
the failure of the Class B, C and D interest coverage tests on the
September 2013 payment date, the Class B, C and D notes now have
in aggregate a deferred interest balance of approximately $1
million.
Moody's had placed the ratings on the Class C and D notes on
review for downgrade on August 30, 2013, because of the
deteriorating credit quality of the portfolio and the possibility
that the Class C and D notes may begin to defer interest.
GEM LIGOs III, issued in March 2006, is a collateralized debt
obligation backed primarily by a portfolio of senior unsecured
loans and bonds from emerging market corporate and sovereign
issuers
Factors that Would Lead to an Upgrade or Downgrade of the Rating
Moody's notes that this transaction is subject to a number of
factors and circumstances that could lead to either an upgrade or
downgrade of the ratings, as described below:
1) Macroeconomic uncertainty: CDO performance may be negatively
impacted by a) uncertainties of credit conditions in the general
economy and b) the large concentration of upcoming speculative-
grade debt maturities which may create challenges for issuers to
refinance.
2) 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 bond market and/or
collateral sales by the manager, which may have significant impact
on the notes' ratings.
3) 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
4) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors.
5) The deal has a pay-fixed receive-floating interest rate swap
that is currently out of the money. If fixed rate assets prepay or
default, there would be a more substantial mismatch between the
swap notional and the amount of fixed assets. In such cases,
payments to hedge counterparties may consume a large portion or
all of the interest proceeds, leaving the transaction, even with
respect to the senior notes, with poor interest coverage.
6) Collateral Manager: Performance may also be impacted, either
positively or negatively, by a) the manager's investment strategy
and behavior and b) divergence in legal interpretation of CDO
documentation by different transactional parties due to embedded
ambiguities.
Loss and Cash Flow Analysis
The default and recovery properties of the collateral pool are
simulated in Moody's CDOROM(TM) model to generate a loss
distribution, which is then incorporated in a cash flow model
analysis. The default probability of each exposure is primarily
derived from the senior unsecured rating and expected weighted
average life. The average recovery rate to be realized on future
defaults is based primarily on the variable recovery rate
assumptions under CDOROM(TM).
Moody's notes that the key model inputs used in its analysis, such
as par, asset default probabilities, and recovery rates, 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 $335.4 million, a defaulted par of $4.8
million, a weighted average default probability of 4.32% (implying
a WARF of 1790), and a mean weighted average recovery rate upon
default of 33.06%.
The rating actions also reflect the latest version of CDOROM(TM),
a model that is used to generate the loss distribution of the
collateral pool. The new version of CDOROM(TM) incorporates the
changes implemented in the methodology used to rate and monitor
CSOs. The key changes to the CDOROM(TM) modeling assumptions
incorporate (1) removing the 30% macro default probability stress
for corporate credits (2) lowering the average recovery rate
assumptions for most types of debt (3) modifying the modeling
framework for corporate asset correlations, (4) introducing an
adverse selection adjustment on default probabilities where
relevant, and (5) simplifying the cheapest-to-deliver haircut that
applies to recoveries.
GEMSTONE CDO: S&P Affirms 'CCC-' Rating on Class B Notes
--------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1 and A-3 notes from Gemstone CDO Ltd., a cash flow
collateralized debt obligation (CDO) transaction managed by HBK
Investments L.P. S&P removed these ratings from CreditWatch,
where it had placed them with positive implications on Sept. 25,
2013. At the same time, S&P affirmed its ratings on the class B
and C notes.
S&P previously lowered its ratings on this transaction's notes on
Aug. 17, 2012. The transaction has since paid down the class A-1
and A-3 notes. As of the Dec. 16, 2013 trustee report, the class
A-1 and A-3 notes have paid down to 0.947% and 4.73% of their
original balance, respectively. The principal paydowns have
increased the class A-1 and A-3 notes' credit support.
Principal proceeds paid a portion of the class B notes' interest
due because the interest proceeds collected in December 2013 were
insufficient to fully pay the class B notes' interest. The class
C notes continue to defer their interest payments.
The affirmed ratings reflect S&P's belief that the credit support
available is commensurate with the current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
RATING Actions
Class Rating
To From
A-1 A- (sf) BB+ (sf)/Watch Pos
A-3 A- (sf) BB+ (sf)/Watch Pos
B CCC- (sf) CCC- (sf)
C CC (sf) CC (sf)
Other Outstanding Ratings
Class Rating
D-1 D
D-2 D
E D
GOLDMAN SACHS 2006-GG8: Moody's Cuts Rating on 2 Note Classes to C
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings of three classes
and affirmed the ratings of twelve classes of Goldman Sachs
Mortgage Securities Corporation II, Commercial Mortgage Pass-
Through Certificates, Series 2006-GG8 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. A-M, Affirmed Baa2 (sf); previously on Jan 28, 2013 Downgraded
to Baa2 (sf)
Cl. A-J, Affirmed B3 (sf); previously on Jan 28, 2013 Downgraded
to B3 (sf)
Cl. B, Affirmed Caa1 (sf); previously on Jan 28, 2013 Downgraded
to Caa1 (sf)
Cl. C, Affirmed Caa2 (sf); previously on Jan 28, 2013 Downgraded
to Caa2 (sf)
Cl. D, Affirmed Caa3 (sf); previously on Jan 28, 2013 Downgraded
to Caa3 (sf)
Cl. E, Affirmed Caa3 (sf); previously on Jan 28, 2013 Downgraded
to Caa3 (sf)
Cl. F, Downgraded to C (sf); previously on Jan 28, 2013 Affirmed
Caa3 (sf)
Cl. G, Downgraded to C (sf); previously on Jan 28, 2013 Affirmed
Ca (sf)
Cl. H, Affirmed C (sf); previously on Jan 28, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Jan 28, 2013 Affirmed C (sf)
Cl. X, Downgraded to B1 (sf); previously on Jan 28, 2013 Affirmed
Ba3 (sf)
Ratings Rationale:
The downgrades of the P&I classes are to reflect Moody's base
expected loss. 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 downgrade of the IO Class, Class X, is due to a decline in the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes.
Moody's rating action reflects a base expected loss of 12.5% of
the current balance compared to 14.4% at Moody's prior review.
Moody's base expected loss plus realized losses is now 11.8% of
the original pooled balance compared to 13.2% at the prior review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Deal Performance:
As of the December 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 32% to $2.9 billion
from $4.2 billion at securitization. The Certificates are
collateralized by 129 mortgage loans ranging in size from less
than 1% to 7% of the pool, with the top ten loans representing 45%
of the pool. One loan, representing less than 1% of the pool has
defeased and is secured by US Government securities.
Forty loans, representing 25% 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.
Twenty-eight loans have been liquidated from the pool, resulting
in an aggregate realized loss of $144 million (53% loss severity
on average). Seventeen loans, representing 12% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Ariel Preferred Retail Portfolio Loan ($88 million --
3.1% of the pool), which was secured by portfolio of six outlet
centers totaling 1.34 million square feet (SF) located in suburban
markets in California, Nevada, Minnesota, Missouri, Georgia and
Michigan. The loan was transferred to special servicing in June
2009 due to monetary default.
The second-largest specially-serviced loan is the Rubloff Retail
Portfolio Loan ($56 million -- 2.0% of the pool), which is secured
by a portfolio of four regional malls totaling 1.26 million SF
located in Kansas, South Dakota, Nebraska, and Minnesota. The loan
was transferred to special servicing in November 2012 due to
imminent default.
The remaining fifteen specially serviced loans are secured by a
mix of property types. Moody's estimates an aggregate $175.5
million loss for the specially serviced loans (53% expected loss
on average).
Moody's has assumed a high default probability for eighteen poorly
performing loans representing 13% of the pool and has estimated an
aggregate $98.3 million loss (26% expected loss based on a 58%
probability default) from these troubled loans.
Moody's was provided with full year 2011 and full year 2012
operating results for 91% and 93% of the pool, respectively.
Moody's weighted average conduit LTV is 116% compared to 120% at
Moody's prior review. Moody's conduit component excludes loans
with credit assessments, defeased and CTL loans and specially
serviced and troubled loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 11% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.27X and 0.93X,
respectively, compared to 1.18X and 0.90X at prior review. Moody's
actual DSCR is based on Moody's 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 19% of the pool balance. The
largest conduit loan is the 222 South Riverside Plaza Loan ($196
million -- 6.8% of the pool), which is secured by two Class A
office buildings with a combined total of 1.2 million SF located
in Chicago, Illinois. The largest tenants include Fifth Third Bank
(19% of the NRA; lease expiration August 2024) and Deutsche
Investment Management (11% of the NRA; lease expiration December
2016). As of September 2013, the property was 89% leased, same as
at last review. Moody's LTV and stressed DSCR are 121% and 0.80X,
respectively, compared to 123% and 0.79X at last full review.
The second largest loan is the 1441 Broadway Loan ($183.0 million
-- 6.4% of the pool), which is secured by a 470,000 SF 33-story
multi-tenant office building located in the Garment District of
New York, New York. The largest tenants include Jones Denim
Management (18% of the NRA; lease expiration in August 2027) and
Kellwood Company (9% of the NRA; lease expiration in December
2014). As of September 2013, the property was 89% leased as
compared to 100% at the last full review. The occupancy decline is
due to Liz Claiborne downsizing from 15 floors to 3 floors.
Moody's LTV and stressed DSCR are 117% and 0.83X, respectively,
compared to 134% and 0.73X at last full review.
The third largest loan is the CA Headquarters Loan ($166 million
-- 5.1% of the pool), which is secured by a 778,000 SF office
property located in Islandia, New York. The property serves as the
headquarters for Computer Associates, an information technology
management and solutions provider. Moody's performed a "Lit/Dark"
analysis in valuing this property. Moody's LTV and stressed DSCR
are 132% and 0.78X, respectively, same as at last review.
GMAC COMMERCIAL 2003-C3: Moody's Cuts Cl. X-1 Cert. Rating to Caa3
------------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes,
affirmed two and downgraded one class of GMAC Commercial Mortgage
Securities, Inc., Commercial Mortgage Pass-Through Certificates,
Series 2003-C3 as follows:
Cl. H, Upgraded to A3 (sf); previously on Sep 6, 2013 Upgraded to
Ba1 (sf)
Cl. J, Upgraded to Ba1 (sf); previously on Sep 6, 2013 Upgraded to
B2 (sf)
Cl. K, Affirmed Caa3 (sf); previously on Sep 6, 2013 Affirmed Caa3
(sf)
Cl. L, Affirmed C (sf); previously on Sep 6, 2013 Affirmed C (sf)
Cl. X-1, Downgraded to Caa3 (sf); previously on Sep 6, 2013
Affirmed Ba3 (sf)
Ratings Rationale:
The upgrades of the P&I classes are primarily due to increased
credit support resulting from loan paydowns and amortization. The
deal has paid down 91% since last review.
The below investment grade P&I classes are consistent with Moody's
expected loss and thus are affirmed.
The downgrade of the IO Class, Class X-1, is due to the decline in
credit performance of its reference classes as a result of
principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 7.9% of the
current balance compared to 2.6% at Moody's prior review. Moody's
base expected loss plus realized losses is now 3.5% of the
original pooled balance compared to 4.0% at the prior review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
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 4, compared to 12 at 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.
Deal Performance:
As of the December 10, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $31.4
million from $1.3 billion at securitization. The Certificates are
collateralized by 6 mortgage loans ranging in size from less than
4% to 33% of the pool.
There are no loans 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 been liquidated from the pool, resulting in an
aggregate realized loss of $44.1 million (32% loss severity on
average). One loan, representing 31% of the pool, is in special
servicing. The specially serviced loan is the 41 University Drive
Loan ($9.7 million -- 31% of the pool), which is secured by a
89,000 square foot (SF) office building located in Newtown,
Pennsylvania. The property was 45% leased as of August 2013. The
servicer has not recognized any appraisal reductions for this
loan.
Moody's estimates an aggregate $2.0 million loss for the specially
serviced loan (20.2% expected loss on average).
Moody's was provided with full-year 2012 and partial year 2013
operating results for 100% and 83% of the performing pool,
respectively. Excluding troubled and specially-serviced loans,
Moody's weighted average LTV is 82% compared to 75% at Moody's
prior review. Moody's conduit component excludes loans with credit
assessments, defeased and CTL loans and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 16% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 8.7%.
Moody's actual and stressed conduit DSCRs are 0.97X and 1.23X,
respectively, compared to 1.54X and 1.46X at prior review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 60% of the pool
balance. The largest loan is the Shaw's Lewiston Loan ($10 million
-- 33% of the pool), which is secured by a 64,660 supermarket in
Lewiston, Maine. Shaw's Supermarkets (February 2024 lease
expiration) is the property's sole tenant. Moody's LTV and
stressed DSCR are 90% and 1.05X, respectively.
The second largest loan is the Waterford Place II Apartments Loan
($5.6 million -- 18% of the pool). The loan is secured by a 120-
unit multifamily property in Greenville, North Carolina. The
property was 98% as of September 2013. Moody's LTV and stressed
DSCR are 85% and 1.15X, respectively.
The third largest loan is the Walgreens San Antonio Loan ($3
million -- 10% of the pool). The loan is secured by a 14,490 SF
Walgreens in San Antonio, Texas. The property is 100% leased to
Walgreens (Moody's senior unsecured rating Baa1 - - negative
outlook) through March 2028. Moody's LTV and stressed DSCR are 88%
and, 1.01X, respectively.
GRAMERCY REAL 2005-1: S&P Lowers Ratings on 3 Note Classes to CCC-
------------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
A-1 notes from Gramercy Real Estate CDO 2005-1 Ltd. (Gramercy
2005-1), a commercial real estate collateralized debt obligation
(CRE CDO) transaction. Concurrently, S&P lowered its ratings on
six classes and affirmed its ratings on four other classes from
the same transaction.
The rating actions reflect S&P's analysis of the transaction's
liability structure and the underlying credit characteristics of
the collateral using its global CDOs of pooled structured finance
assets criteria, S&P's rating methodology and assumptions for U.S.
and Canadian commercial mortgage-backed securities (CMBS), and its
CMBS global property evaluation methodology criteria.
The upgrade on class A-1 also reflects the class' amortization,
with a current outstanding balance of $85.5 million. The
downgrades on classes E, F, and G reflect the results of S&P's
largest obligor default test, which is part of our supplemental
stress test. The largest obligor default test assesses the
ability of a rated CDO of pooled structured finance liability
tranche to withstand the default of a minimum number of the
largest credit or obligor exposures within an asset pool,
factoring in the underlying assets' credit quality.
S&P lowered its ratings on classes H, J, and K to 'D (sf)' because
it determined that the classes would unlikely be repaid in full.
S&P also considered the number of defaulted assets
($229.1 million, 42.2%) in the transaction and their expected
recoveries in S&P's analysis.
According to the Nov. 29, 2013, trustee report, the transaction's
collateral totaled $543.0 million, while the transaction's
liabilities, including capitalized interest, totaled
$575.1 million, down from $993.9 million at issuance. The
transaction's current asset pool included the following:
-- Ten senior participated interest or whole loans
($233.3 million, 43.0%);
-- Nineteen CMBS tranches ($195.8 million, 36.1%); and
-- Two subordinate interest loans ($113.9 million, 20.9%).
The trustee report noted seven defaulted assets: three senior
participated or whole loans ($116.5 million, 21.4%), one
subordinate interest ($58.0 million, 10.7%), and three CMBS
tranches ($54.6 million, 10.1%). The defaulted loans are as
follows:
-- Coyote whole loan ($78.3 million, 14.4%);
-- Stuyvesant Town subordinate-interest loan ($57.9 million,
10.7%);
-- Las Vegas Hilton senior participated loan ($27.3 million,
5.0%); and
-- The Makalei and Whiteface Portfolio senior participated loan
($10.9 million, 2.0%).
S&P estimated a 23.1% weighted average asset-specific recovery
rate for the defaulted loans, using information from the
collateral manager, special servicer, and third-party data
providers.
S&P applied asset-specific recovery rates in its analysis of the
performing loans ($172.8 million, 31.8%) using its criteria for
U.S. and Canadian CMBS and its CMBS global property evaluation
methodology. S&P also considered qualitative factors such as the
near-term maturities of the loans, refinancing prospects, and
loans modifications.
Since S&P last reviewed the transaction, it downgraded its rating
on the transaction's underlying CMBS collateral. It comprises six
securities from five different transactions totaling $73.4 million
(13.5%). Gramercy 2005-1 is exposed to the following securities
where S&P has lowered its ratings or credit opinions:
-- ML-CFC Commercial Mortgage Trust 2007-6 (classes AJ and AM;
$36.7 million, 6.8%);
-- LB-UBS Commercial Mortgage Trust 2007-C2 (class AJ;
$26.1 million, 4.8%); and
-- Wachovia Bank Commercial Mortgage Trust 2006-C29 (class AJ;
$4.6 million, 0.8%).
According to the Nov. 29 2013, trustee report, the deal failed the
class C/D/E and class F/G/H overcollateralization tests, passed
the class A/B overcollateralization test, and passed all three
interest coverage tests. Because it failed two of the
overcollateralization tests, any future interest proceeds that
will be paid after class F will be diverted to pay down the class
A-1 outstanding principal balance until it satisfies the
overcollateralization tests.
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.
RATING RAISED
Gramercy Real Estate CDO 2005-1 Ltd.
Commercial real estate collateralized debt obligations
Rating
Class To From
A-1 A (sf) BBB+ (sf)
RATINGS LOWERED
Gramercy Real Estate CDO 2005-1 Ltd.
Commercial real estate collateralized debt obligations
Rating
Class To From
E CCC- (sf) CCC+ (sf)
F CCC- (sf) CCC+ (sf)
G CCC- (sf) CCC+ (sf)
H D (sf) CCC (sf)
J D (sf) CCC- (sf)
K D (sf) CCC- (sf)
RATINGS AFFIRMED
Gramercy Real Estate CDO 2005-1 Ltd.
Commercial real estate collateralized debt obligations
Class Rating
A-2 BB+ (sf)
B BB- (sf)
C B- (sf)
D CCC+ (sf)
GRAND AVENUE: DBRS Confirms 'BB' Rating on Class A-1 Notes
----------------------------------------------------------
DBRS Inc. has confirmed the rating on the total return swap (TRS)
referencing Grand Avenue CDO I, Ltd.'s Class A-1 Notes at BB (sf).
The DBRS rating addresses the ultimate return of interest and
principal of the TRS on or before the legal final maturity of the
Class A-1 Notes, taking into account the Credit Enhancement.
GREENWICH CAPITAL 2005-1: Moody's Confirms B1 Rating on Cl A Notes
------------------------------------------------------------------
Moody's Investors Service has confirmed the rating of one tranche
issued by Greenwich Capital Structured Products Trust 2005-1.
Complete rating actions are as follows:
Issuer: Greenwich Capital Structured Products Trust 2005-1
Cl. A, Confirmed at B1 (sf); previously on Oct 2, 2013 B1 (sf)
Placed Under Review Direction Uncertain
Ratings Rationale:
Moody's confirmed the rating of the class A issued from Greenwich
Capital Structured Products Trust 2005-1 based in part on the
confirmation of the rating of the class 3-A-1 issued by of CWMBS,
Inc. Mortgage Pass-Through Certificates, Series 2004-2CB, which
accounts for a material portion of the resecuritization bond.
CWMBS, Inc. Mortgage Pass-Through Certificates, Series 2004-2CB
was previously placed on watch for downgrade pending the receipt
and review of certain information. Moody's resolved that action.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.0% in November 2013 from
7.8% in November 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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.
GREYWOLF CLO I: Moody's Hikes Rating on Class E Notes to 'Ba1'
--------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by Greywolf CLO I, Ltd.:
U.S.$365,000,000 Class A Floating Rate Notes, Due 2021 (current
outstanding balance of $358,368,543), Upgraded to Aaa (sf);
previously on June 11, 2013 Affirmed Aa1 (sf);
U.S.$22,500,000 Class B Floating Rate Notes, Due 2021, Upgraded to
Aaa (sf); previously on June 11, 2013 Upgraded to Aa2 (sf);
U.S.$25,000,000 Class C Deferrable Floating Rate Notes, Due 2021,
Upgraded to Aa3 (sf); previously on June 11, 2013 Upgraded to A2
(sf);
U.S.$30,000,000 Class D Deferrable Floating Rate Notes, Due 2021,
Upgraded to Baa1 (sf); previously on June 11, 2013 Upgraded to
Baa3 (sf); and
U.S.$17,500,000 Class E Deferrable Floating Rate Notes, Due 2021
(current outstanding balance of $14,253,157), Upgraded to Ba1
(sf); previously on June 11, 2013 Upgraded to Ba2 (sf).
Moody's also affirmed the ratings of the following notes:
U.S.$2,000,000 Class S Floating Rate Notes, Due 2014 (current
outstanding balance of $71,428.58), Affirmed Aaa (sf); previously
on June 11, 2013 Affirmed Aaa (sf).
Greywolf CLO I, Ltd., issued in January 2007, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans and CLO tranches.
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 February 2014. In
consideration of the reinvestment restrictions applicable during
the amortization period, and therefore limited ability to effect
significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will continue to maintain a positive buffer
relative to certain covenant requirements. In particular, the deal
is assumed to benefit from lower WARF compared to the covenant
level. Moody's modeled a WARF of 2153 compared to the current
covenant level of 2518. Moody's also notes that the transaction's
reported overcollateralization ratios are stable since June 2013.
Factors that would lead to an upgrade or downgrade of the rating
Moody's notes that this transaction is subject to a number of
factors and circumstances that could lead to either an upgrade or
downgrade of the ratings, as described below:
1) Macroeconomic uncertainty: CLO performance may be negatively
impacted by a) uncertainties of credit conditions in the general
economy and b) the large concentration of upcoming speculative-
grade debt maturities which may create challenges for issuers to
refinance.
2) Collateral Manager: Performance may also be impacted, either
positively or negatively, by a) the manager's investment strategy
and behavior and b) divergence in legal interpretation of CLO
documentation by different transactional parties due to embedded
ambiguities.
3) Collateral credit risk: A shift towards holding collateral of
better credit quality, or better than expected credit performance
of the underlying assets collateralizing the transaction, can lead
to positive CLO performance. Conversely, a negative shift in
credit quality or performance of the underlying collateral can
have adverse consequences for CLO performance.
4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
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. Faster than expected note repayment
will usually have a positive impact on CLO notes, beginning with
those having the highest payment priority
In addition to the base case analysis, Moody's also performed
sensitivity analyses to test the impact on all rated notes of
various default probabilities. Below is a summary of the impact of
different default probabilities (expressed in terms of WARF
levels) on all rated notes (shown in terms of the number of
notches' difference versus the current model output, where a
positive difference corresponds to lower expected loss), assuming
that all other factors are held equal:
Moody's Adjusted WARF -- 20% (1722)
Class S: 0
Class A: 0
Class B: 0
Class C: +2
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (2583)
Class S: 0
Class A: 0
Class B: -1
Class C: -1
Class D: -2
Class E: -2
Loss and Cash Flow Analysis
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, and the weighted
average recovery rate, are based on its published methodology and
could be different from the trustee's reported numbers. In its
base case, Moody's analyzed the underlying collateral pool as
having a performing par and principal proceeds balance of $498
million, no defaulted par, a weighted average default probability
of 13.57% (implying a WARF of 2153), a weighted average recovery
rate upon default of 51.58%, a diversity score of 41 and a
weighted average spread of 2.56%.
The default and recovery properties of the collateral pool are
incorporated in cash flow model analysis where they are subject to
stresses as a function of the target rating of each CLO liability
being reviewed. The default probability is derived from the credit
quality of the collateral pool and Moody's expectation of the
remaining life of the collateral pool. The average recovery rate
to be realized on future defaults is based primarily on the
seniority of the assets in the collateral pool. In each case,
historical and market performance trends and collateral manager
latitude for trading the collateral are also factors.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique.
HILTON USA 2013-HLT: Moody's Rates Class E-FL Notes 'Ba3(sf)'
-------------------------------------------------------------
Moody's Investors Service has assigned ratings to thirteen classes
of CMBS securities, issued by Hilton USA Trust 2013-HLT,
Commercial Mortgage Pass-Through Certificates
Cl. A-FL*, Definitive Rating Assigned Aaa (sf)
Cl. X-FL*, Definitive Rating Assigned Ba3 (sf)***
Cl. B-FL*, Definitive Rating Assigned Aa3 (sf)
Cl. C-FL*, Definitive Rating Assigned A3 (sf)
Cl. D-FL*, Definitive Rating Assigned Baa3 (sf)
Cl. E-FL*, Definitive Rating Assigned Ba3 (sf)
Cl. A-FX**, Definitive Rating Assigned Aaa (sf)
Cl. X-1FX**, Definitive Rating Assigned Aa3 (sf)***
Cl. X-2FX**, Definitive Rating Assigned Aa2 (sf)***
Cl. B-FX**, Definitive Rating Assigned Aa3 (sf)
Cl. C-FX**, Definitive Rating Assigned A3 (sf)
Cl. D-FX**, Definitive Rating Assigned Baa3 (sf)
Cl. E-FX**, Definitive Rating Assigned Ba3 (sf)
* Floating Rate Certificates
** Fixed Rate Certificates
*** Interest-Only Class
Ratings Rationale:
The Certificates are collateralized by first mortgage liens on 23
hotel properties (18,359 keys) which are all cross-collateralized
and cross-defaulted. The ratings are based on the collateral and
the structure of the transaction.
Moody's rating approach for securities backed by a single loan
compares the credit risk inherent in the underlying properties
with the credit protection offered by the structure. The
structure's credit enhancement is quantified by the maximum
deterioration in property value that the securities are able to
withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings Moody's also considers a range
of qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of the loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by the DSCR, and 2) Moody's assessment of
the severity of loss in the event of default, which is largely
driven by the LTV of the underlying loan. Moody's Trust LTV Ratio
is 85.9%, and has been assigned a bottom dollar credit assessment
of Ba3 by Moody's. The Moody's actual DSCR (based on the starting
rate interest-only payment) is 2.96X and the Moody's stressed DSCR
at a 9.25% constant is 1.28X.
The loan is solely collateralized by hotel properties that are
cross-collateralized and cross-defaulted. In assessing the benefit
due to "crossing" for this transaction, Moody's examined
underlying diversity that resulted from asset pooling. Moody's
considered the Herfindahl score of the portfolio by allocated loan
amounts, as well as the diversity of property locations. The
properties underlying the loan are geographically diverse and
benefit from a Herfindahl score of 6.2. However, significant
correlations exist due to pooling within a single property type.
Lodging properties are more correlated than properties of other
commercial real estate sectors. Moody's expect the underlying
property performance to be more correlated than most single
borrower, multi-property transactions previously rated by Moody's.
Moody's analysis employs the excel-based Large Loan Model v.8.6
which derives credit enhancement level based on an adjusted loan
level proceeds derived from Moody's loan level LTV ratio. Major
adjustments to determining proceeds include leverage, loan
structure, property type, sponsorship and diversity.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Single Borrower CMBS sector.
This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average
disclosure of securitization collateral and ongoing performance.
Moody's believes that strong organizational documents at the SPE
level serve as a significant deterrent against SPE bankruptcy
filings, although certain provisions within these documents have
not been tested in court.
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 was decreased by
5%, 14%, or 23%, the model-indicated rating for the currently
rated Aaa classes would be Aa1, Aa3, or A2, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan pay downs
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
JP MORGAN 2003-CIBC6: Fitch Cuts Rating on $7.8MM Notes to 'CCC'
----------------------------------------------------------------
Fitch Ratings has downgraded two classes and affirmed 10 classes
of JP Morgan Chase Commercial Mortgage Securities Corp. (JPMC)
commercial mortgage pass-through certificates series 2003-CIBC6.
Key Rating Drivers:
The downgrades reflect an increase in Fitch expected losses
primarily associated with the specially serviced loans, in
addition to adverse selection due to increasing pool
concentrations. Fitch modeled losses of 14.6% of the remaining
pool; expected losses on the original pool balance total 2.8%,
including $10.2 million (1% of the original pool balance) in
realized losses to date. Fitch has designated 12 loans (48.9%) as
Fitch Loans of Concern, which includes five specially serviced
assets (17.2%).
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 87.4% to $133.8 million from
$1.06 billion at issuance. There are 24 of the original 129 loans
remaining in the transaction. Per the servicer reporting, three
loans (6.8% of the pool) are defeased. Interest shortfalls are
currently affecting class NR.
The largest contributor to expected losses is secured by a 102,310
square foot (SF) suburban office property located in Cherry Hill,
NJ (5.6% of the pool). The property experienced cash flow issues
when its largest tenant, Campbell Soup Co. (previously 30% of the
net rentable area [NRA]), vacated at its February 2013 and May
2013 lease expirations. The loan transferred to special servicing
in January 2013 for imminent maturity default, followed shortly
thereafter by the maturity of the loan in May 2013 without
repayment. A receiver was appointed in July 2013, and the lender
had completed foreclosure in September 2013. Occupancy reported at
46% as of September 2013. The servicer is working to lease up the
vacant space and stabilize the property.
The next largest contributor to expected losses is secured by a
231,242 SF suburban office building located in Southfield, MI
(5%). The loan transferred to special servicing in March 2013 for
imminent maturity default, followed shortly thereafter by the
maturity of the loan in May 2013 without repayment. The servicer
had reported that the borrower indicated difficulty in obtaining
take-out financing due to the property's low occupancy, currently
at 74%, as well as poor market conditions for Detroit. The
servicer is pursuing foreclosure as well as evaluating borrower
proposals.
The third largest contributor to expected losses is secured by a
portfolio Colorado mobile home parks. Originally secured by three
parks totaling 232 units, the subject loan transferred to special
servicing in January 2011 due to payment default. One of the parks
located in Fort Morgan, CO (previously 80 units; 27% of allocated
balance) was completely shut down as of January 2013 due to water
safety issues. The servicer continues to pursue the guarantor for
deficiency claims under the environmental indemnity. The servicer
had completed foreclosure of the remaining two properties in June
2013, and is currently marketing them for sale. The September 2013
rent rolls reported the combined occupancy at 72% for the
remaining properties.
Rating Sensitivity:
Rating Outlooks on classes B through G remain Stable due to
sufficient credit enhancement and continued pay down. The Negative
Outlooks on classes H and J reflects the concentrated nature of
the remaining pool and continued risk of adverse selection, in
addition to the thin supporting tranches, which makes these bonds
susceptible to downgrade should actual losses exceed Fitch
expectations.
Fitch downgrades the following classes:
-- $7.8 million class K to 'CCCsf' from 'Bsf'; RE 100%;
-- $5.2 million class L to 'CCsf' from 'CCCsf'; RE 15%.
Fitch affirms the following classes as indicated:
-- $4.7 million class B at 'AAAsf'; Outlook Stable;
-- $32.5 million class C at 'AAAsf'; Outlook Stable;
-- $11.7 million class D at 'AAAsf'; Outlook Stable;
-- $14.3 million class E at 'AAAsf'; Outlook Stable;
-- $10.4 million class F at 'AAsf'; Outlook Stable;
-- $13 million class G at 'Asf'; Outlook Stable;
-- $15.6 million class H at 'BBBsf'; Outlook Negative;
-- $5.2 million class J at 'BBsf'; Outlook Negative;
-- $3.9 million class M at 'CCsf'; RE 0%;
-- $1.3 million class N at 'Csf'; RE 0%.
The class A-1, A-2, and interest-only class X-2 certificates have
paid in full. Fitch does not rate the class NR certificate. Fitch
previously withdrew the rating on the interest-only class X-1
certificate.
JP MORGAN 2006-S3: Moody's Cuts Class A-3A Notes Rating to Caa1
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches issued by J.P. Morgan Alternative Loan Trust 2006-S3. The
tranches are backed by Alt-A RMBS loans issued in 2006.
Complete rating actions are as follows:
Issuer: J.P. Morgan Alternative Loan Trust 2006-S3
Cl. A-3A, Downgraded to Caa1 (sf); previously on Sep 17, 2010
Confirmed at B3 (sf)
Cl. A-3-B, Downgraded to Caa1 (sf); previously on Sep 17, 2010
Confirmed at B3 (sf)
Ratings Rationale:
The tranches downgraded are a result of deteriorating performance
and structural features resulting in higher expected losses for
the bonds than previously anticipated.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.0% in November 2013 from
7.8% in November 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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.
KATONAH VII: S&P Affirms 'B+' Rating on Class D Notes
-----------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from Katonah VII CLO Ltd. and affirmed its ratings
on the class A-1, A-2, and D notes. At the same time, S&P removed
the class B, C, and D notes from CreditWatch with positive
implications, where they were placed on Nov. 14, 2013. Katonah
VII CLO Ltd. is a collateralized loan obligation transaction that
closed in November 2005.
The upgrades reflect paydowns to the class A-1 and A-2 notes,
which provide additional support for the subordinate notes. The
transaction's reinvestment period ended in November 2011. S&P
upgraded all five classes in January 2013 following paydowns to
the class A-1 and A-2 notes. Since S&P's January 2013 rating
actions, the class A-1 and A-2 notes have paid down an additional
$129.3 million combined to reduce the notes to less than 23% of
their original balance. In addition, the class A/B, C, and D par
value ratios increased since S&P's January 2013 rating actions.
S&P's rating actions on the class C and D notes also reflect the
application of its largest obligor test, a supplemental stress
test it introduced as part of its corporate collateralized debt
obligation criteria update.
The affirmations of the class A-1, A-2, and D notes reflect the
sufficient credit support available to the notes at the current
rating level.
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 will take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Katonah VII CLO Ltd.
Rating
Class To From
A-1 AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
D B+ (sf) B+ (sf)/Watch Pos
LNR CDO IV: Moody's Affirms 'C' Rating on 14 Note Classes
---------------------------------------------------------
Moody's Investors Service announced that it has affirmed the
ratings of the following notes issued by LNR CDO IV Ltd.:
Cl. A, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C (sf)
Cl. B-FL, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. B-FX, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. C-FL, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. C-FX, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. D-FL, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. D-FX, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. E, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C (sf)
Cl. F-FL, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. F-FX, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C
(sf)
Cl. G, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C (sf)
Cl. H, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Feb 6, 2013 Affirmed C (sf)
Ratings Rationale:
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.
LNR CDO IV 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 November 29, 2013 payment date, the
collateral par amount is $422.1 million, representing a $1.2
billion decrease since securitization primarily due to realized
losses to the collateral pool.
There are thirty-six impaired securities (63.5% of collateral pool
balance) as of the November 29, 2013 payment date. There have been
implied losses on the underlying collateral to date and Moody's
does expect significant losses to occur on the impaired
securities.
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 8,537
compared to 8,542 at last review. The current distribution of
Moody's rated collateral and assessments for non-Moody's rated
collateral is as follows: Aaa-Aa3 (3.2% compared to 0.0% at last
review), A1-A3 (0.0% compared to 2.7% at last review), Baa1-Baa3
(4.5% compared to 0.0% at last review), Ba1-Ba3 (0.0% compared to
8.0% at last review), B1-B3 (5.4% compared to 2.0% at last
review), and Caa1-C (86.9% compared to 87.3% at last review).
Moody's modeled to a WAL of 4.1 years compared to 4.8 years at
last review. The current WAL is based on assumptions about
extensions on the underlying collateral.
Moody's modeled a fixed WARR of 3.2% compared to 2.8% at last
review.
Moody's modeled a MAC of 0%; the same as last review.
Factors that would lead to an upgrade or downgrade of the rating
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 performance of the rated notes.
Moody's Parameter Sensitivities: 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
rates of the underlying collateral and credit assessments.
However, in light of the performance indicators noted above,
Moody's believes that it is unlikely that the ratings announced
are sensitive to any further changes.
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.
LOCAL INSIGHT: Moody's Withdraws Rating on Clsss A-2 Notes
----------------------------------------------------------
Moody's Investors Service announced that it has withdrawn the
ratings of two classes of notes issued in two series of the Local
Insight Media (LIM) securitization transactions. The transactions
are securitizations of telephone directory publishing business
(primarily Yellow Pages) of CBD Media LLC (DBD), a publisher of
print and online directories in the greater Cincinnati
metropolitan area, ACS Media LLC (ACS), a publisher of print and
online directories in Alaska, and HYP Media LLC (HYP), a publisher
of print and online directories in Hawaii. Essentially, all assets
of CBD, ACS and HYP were transferred to the securitization
entities, which issued fixed rate notes supported by the assets.
Issuer: Local Insight Media Finance LLC, Series 2007-1
Cl. A-2, Withdrawn (sf); previously on Sep 10, 2012 Downgraded to
C (sf)
Issuer: Local Insight Media Finance LLC/ACS Media Finance LLC/CBD
Media Finance LLC and HYP Media Finance LLC - Series 2008-1
Cl. A-2, Withdrawn (sf); previously on Sep 10, 2012 Downgraded to
C (sf)
Ratings Rationale:
Moody's has withdrawn the ratings because it believes it has
insufficient or otherwise inadequate information to support the
maintenance of the ratings.
MADISON SQUARE 2004-1: Fitch Cuts $22.4MM Notes Rating to 'C'
-------------------------------------------------------------
Fitch Ratings has downgraded one and affirmed three classes of
Madison Square 2004-1.
Key Rating Drivers:
Since Fitch's last rating action in January 2013, approximately
2.7% of the underlying collateral has been downgraded. Currently,
94.5% of the portfolio has a Fitch derived rating below investment
grade and 89% has a rating in the 'CCC' category and below,
compared to 94.4% and 87.6%, respectively, at the last rating
action. Over this period, the transaction has received $28.1
million in pay downs resulting in the full repayment of the class
N notes and $6.1 million in pay downs to the class O notes.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Additionally, a deterministic analysis was performed
where the recovery estimate on the distressed collateral was
modeled in accordance with the principal waterfall. An asset by
asset analysis was then performed for the remaining assets to
determine the collateral coverage for the remaining liabilities.
Based on this analysis, the credit enhancement levels for the
class O notes are consistent with the ratings indicated below.
For the class P through S notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class P notes have been affirmed at 'CCsf', indicating that
default is probable. Similarly, the class Q notes have been
downgraded and the class S notes affirmed at 'Csf', indicating
that default is inevitable. Fitch expects significant to moderate
recoveries to the class P notes.
Rating Sensitivities:
The Stable Outlook on the class O notes reflects Fitch's view that
the notes will continue to delever.
Madison Square 2004-1 is a CMBS B-piece resecuritization that
closed on March 31, 2004. The transaction is currently
collateralized by 16 assets from five obligors from the 1997
through 1999 vintages.
Fitch has taken the following actions as indicated:
-- $22,909,250 class O notes affirmed at 'BBsf'; Outlook to
Stable from Negative;
-- $42,280,815 class P notes affirmed at 'CCsf';
-- $22,381,783 class Q notes downgraded to 'Csf' from 'CCsf';
-- $17,306,117 class S notes affirmed at 'Csf'.
MCF CLO III: S&P Assigns Preliminary BB Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to MCF CLO III LLC's $263.0 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
middle-market senior secured loans.
The preliminary ratings are based on information as of Dec. 20,
2013. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of middle-market senior secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the preliminary rated notes, which S&P
assessed using its cash flow analysis and assumptions
commensurate with the assigned preliminary ratings under
various interest-rate scenarios, including LIBOR ranging
from 0.24%-12.16%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of excess interest
proceeds that are available before paying uncapped
administrative expenses and fees, subordinated collateral
management fees, and equity payments into principal proceeds
to purchase additional collateral assets during the
reinvestment period.
PRELIMINARY RATINGS ASSIGNED
MCF CLO III LLC
Class Rating Amount(mil. $)
A AAA (sf) 173.25
B AA (sf) 25.00
C (deferrable) A (sf) 22.25
D (deferrable) BBB (sf) 17.00
E (deferrable) BB (sf) 25.50
Subordinated notes NR 42.90
NR--Not rated.
MERRILL LYNCH 2006-1: S&P Lowers Rating on Class AJ Notes to B+
---------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-through certificates from
Merrill Lynch Mortgage Trust 2006-C1, a U.S. commercial mortgage-
backed securities (CMBS) transaction. At the same time, S&P
affirmed its ratings on seven other classes from the same
transaction.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S and Canadian CMBS.
S&P's analysis included a review of the credit characteristics and
performance of the assets in the pool, the transaction structure,
and the liquidity available to the trust.
The downgrades reflect S&P's belief that credit support erosion
will occur upon the eventual resolution of 24 ($308.2 million,
17.0%) of the 25 ($316.4 million, 17.4%) assets currently with the
special servicer, CWCapital Asset Management LLC (CWCapital). The
downgrades also considered the monthly interest shortfalls that
are affecting the trust. S&P lowered its rating on the class C
certificates to 'D (sf)' because it believes its accumulated
interest shortfalls will remain outstanding for the foreseeable
future.
As of the Dec. 12, 2013, trustee remittance report, the trust
experienced monthly interest shortfalls totaling $906,331. The
interest shortfalls primarily reflect $358,209 in appraisal
subordinate entitlement reduction (ASER) amounts on various
assets; $353,073 in interest not advanced related to five assets
deemed nonrecoverable by the master servicer; $119,804 related to
interest rate reductions associated with modified loans; and
$73,235 in special servicing and workout fees. The interest
shortfalls impacted class B and all classes subordinate to it.
S&P affirmed its ratings on the principal and interest
certificates because it expects that the available credit
enhancement for these classes will be within its estimate of the
necessary credit enhancement required for the current outstanding
ratings. S&P also affirmed the ratings to reflect the credit
characteristics and performance of the remaining assets, as well
as the transaction-level changes.
S&P affirmed its rating on the interest-only (IO) class X to
reflect its current criteria for rating IO securities.
RATINGS LOWERED
Merrill Lynch Mortgage Trust 2006-C1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
AJ B+ (sf) BB (sf) 12.60
B CCC- (sf) B (sf) 9.51
C D (sf) CCC (sf) 7.97
RATINGS AFFIRMED
Merrill Lynch Mortgage Trust 2006-C1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3 AAA (sf) 38.34
A-3B AAA (sf) 38.34
A-SB AAA (sf) 38.34
A-4 AAA (sf) 38.34
A-1A AAA (sf) 38.34
AM AA (sf) 24.61
X AAA (sf) N/A
N/A-Not applicable.
MERRILL LYNCH 2007-CA: Moody's Affirms Ba2 Rating on Class F Notes
------------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 15 classes of
Merrill Lynch Financial Assets Inc., Commercial Mortgage Pass-
Through Certificates, Series 2007-Canada 21 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Jan 30, 2007 Definitive
Rating Assigned A2 (sf)
Cl. D, Affirmed Baa2 (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Baa2 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Jan 20, 2012 Downgraded to
Ba2 (sf)
Cl. G, Affirmed B1 (sf); previously on Jan 20, 2012 Downgraded to
B1 (sf)
Cl. H, Affirmed B2 (sf); previously on Jan 20, 2012 Downgraded to
B2 (sf)
Cl. J, Affirmed B3 (sf); previously on Jan 20, 2012 Downgraded to
B3 (sf)
Cl. K, Affirmed Caa2 (sf); previously on Jan 20, 2012 Downgraded
to Caa2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Jan 20, 2012 Downgraded
to Caa3 (sf)
Cl. XC, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded
to Ba3 (sf)
Cl. XP-1, Affirmed Aaa (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Aaa (sf)
Cl. XP-2, Affirmed Aaa (sf); previously on Jan 30, 2007 Definitive
Rating Assigned Aaa (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.
Moody's rating action reflects a base expected loss of
approximately 2.4% of the current deal balance compared to 2.9% at
last review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Deal Performance:
As of the December 12, 2013 payment date, the transaction's
aggregate certificate balance has decreased by approximately 25%
to $290.3 million from $385.2 million at securitization. The
Certificates are collateralized by 32 mortgage loans ranging in
size from less than 1% to 13% of the pool, with the top ten loans
representing approximately 61% of the pool.
Currently, there are no loans in special servicing and the pool
has not experienced any realized losses to date.
Five loans, representing approximately 15% of the pool, are on the
master servicer's watchlist. The watchlist includes loans which
meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Moody's has assumed a high default probability for one poorly
performing loan, representing approximately 5% of the pool.
Moody's estimates an aggregate loss of $2.9 million loss (40%
expected loss based on a 50% probability default) for this
troubled loan.
Moody's was provided with full year 2012 operating results for
100% of the pool. Moody's weighted average conduit LTV is 84%
compared to 83% at last review. Moody's net cash flow reflects a
weighted average haircut of 13.2% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 9.4%.
Moody's actual and stressed conduit DSCRs are 1.50X and 1.28X,
respectively, compared to 1.55X and 1.29X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The top three performing loans represent 27% of the pool balance.
The largest loan is the GTA Industrial Portfolio Loan ($37.9
million -- 13.1% of the pool) which is secured by eight industrial
properties, comprised of 18 buildings, located in the
Toronto/Mississauga area. As of April 2013, the portfolio was 81%
leased compared to 89% at last review. The loan has amortized
approximately 12% since securitization and is full recourse to
Conundrum Industrial Property Fund. Moody's LTV and stressed DSCR
are 91% and 1.1X, respectively, compared to 78% and 1.29X at last
review.
The second largest loan is the McFarlane Tower Loan ($23.2 million
-- 8.0% of the pool), which is secured by an 18-story, 242,324
square foot (SF) Class B office building located in the Downtown
West sub-market of Calgary, Alberta. This loan represents a 52%
pari-passu interest in a $44.7 million A-note. The other pari-
passu note is securitized in MLFA 2006-Canada 20, which Moody's
rates. As of October 2013, the property was approximately 93%
leased compared to 97% at last review. Since last review,
financial performance has decreased due to lower base revenues and
higher operating expenses, specifically real estate taxes. The
loan has amortized approximately 13% since securitization and
Dundee Properties, the sponsor, provided a limited guarantee of up
to 25% of the outstanding balance at securitization. Moody's LTV
and stressed DSCR are 87% and 1.18X, respectively, compared to 83%
and 1.28X at last review.
The third largest loan is the 550-11th Avenue Office Building Loan
($18.1 million -- 6.2% of the pool), which is secured by an 11-
story, 98,000 SF Class B office property located in the financial
district of downtown Calgary, Alberta. As of August 2013, the
property was approximately 97% leased compared to 100% at last
review. The loan has amortized approximately 12% since
securitization and is full recourse to the sponsor. Moody's LTV
and stressed DSCR are 99% and 1.02X, respectively, compared to 98%
and 1.04X.
MORGAN STANLEY 2006-HQ9: Fitch Raises Rating on ST-B Certs to 'BB'
------------------------------------------------------------------
Fitch Ratings has affirmed 22 classes and upgraded two classes of
Morgan Stanley Capital I Trust (MSC 2006-HQ9) commercial mortgage
pass-through certificates series 2006-HQ9.
Key Rating Drivers:
The affirmations reflect sufficient credit enhancement relative to
Fitch expected losses. Overall expected losses for the pool based
on original pool balance are in line with expected losses from
Fitch's prior rating action. Upgrades to the rake classes are due
to the improved performance of the underlying collateral and
continued loan amortization. Fitch modeled losses of 5.2% of the
remaining pool; expected losses on the original pool balance total
7.1%, including losses already incurred. The pool has experienced
$86.8 million (4.7% of the original pool balance) in realized
losses to date. Fitch has designated 37 loans (19.1%) as Fitch
Loans of Concern, which includes five specially serviced assets
(3%).
As of the December 2013 distribution date, the pool's aggregate
principal balance has been reduced by 28.5% to $1.83 billion from
$2.6 billion at issuance. Per the servicer reporting, four loans
(8.3% of the pool) have defeased since issuance. Interest
shortfalls are currently affecting classes J through S.
The largest contributor to expected losses is a specially-serviced
loan (1.6% of the pool), which is secured by four specialty trade-
mart properties located in High Point, NC. The aggregate square
footage for the portfolio is 460,681 square feet (sf). The
properties serve as exhibition space for tenants within the
furniture and home improvement industry. The loan transferred to
special servicing in May 2009 due to monetary default. The
servicer is in the process of selling the mortgage note at a
substantial discount to the unpaid principal balance.
The next largest contributor to expected losses is a loan secured
by a 257,844 sf retail shopping center (1.3%) located in West
Bloomfield, MI. The property is anchored by Kohl's, Dunham's
Sports, Whole Foods and DSW Shoes. The center is currently fully
occupied as of December 2013 with debt service coverage ratio
(DSCR) of 1.17 times (x). The low DSCR reflects current in place
rents below lease rates at issuance. Previous occupancy issues
resulting from the vacancy of Linens N Things have been resolved
with Dunham's Sports commencing in the space in March 2009. Year
end (YE) 2012 net operating income (NOI) increased 1% from YE2011.
As of the December 2013 remittance, the loan is current.
The third largest contributor to expected losses is a 109,379 sf
retail shopping center (3.3%) located in Collinsville, IL. The
asset transferred to special servicing in October 2011 for
imminent monetary default and subsequently became REO in March
2013. As of December 2012, the property was 92% occupied. The
center is anchored by a K-mart, accounting for 79% of the NRA with
an imminent lease expiration in 2014. According to the servicer,
the asset will likely be marketed for sale in the first quarter of
2014.
Rating Sensitivity:
Rating Outlooks on classes A-1A through D remain Stable due to
substantial paydown since Fitch's last rating action contributing
to increased credit enhancement of the classes. The Negative
Outlooks reflect the potential for further rating actions should
realized losses be greater than Fitch's expectations, particularly
with REO assets in special servicing. The Distressed classes
(those rated below 'B') may be subject to further downgrades as
additional losses are realized.
Fitch upgrades the following classes and assigns Outlooks as
indicated:
-- $2.4 million class ST-B to 'BBsf' from 'B-sf', Outlook Stable;
-- $1.1 million class ST-C to 'Bsf' from 'CCCsf', Outlook Stable;
Fitch affirms the following classes as indicated:
-- $142.7 million class A-1A at 'AAAsf', Outlook Stable;
-- $687.4 million class A-4 at 'AAAsf', Outlook Stable;
-- $306.8 million class A-4FL at 'AAAsf', Outlook Stable;
-- $256.5 million class A-M at 'AAAsf', Outlook Stable;
-- $202 million class A-J at 'Asf', Outlook Stable;
-- $19.2 million class B at 'Asf', Outlook Stable;
-- $35.3 million class C at 'BBBsf', Outlook Stable;
-- $28.9 million class D at 'BBsf', Outlook Stable;
-- $22.4 million class E at 'BBsf', Outlook Negative;
-- $25.7 million class F at 'Bsf', Outlook Negative;
-- $25.7 million class G at 'CCCsf', RE 85%;
-- $28.9 million class H at 'CCsf', RE 0%;
-- $32.1 million class J at 'Csf', RE 0%;
-- $6.2 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%;
-- $2.3 million class ST-D at 'CCCsf', RE 100%;
-- $1.3 million class ST-E at 'CCCsf', RE 100%.
The ST classes are related to a non-pooled B-Note secured by 633
17th Street. The underlying collateral is an office building in
the central business district of Denver, CO. The performance of
the property has improved with YE 2012 NOI increasing 12.5% from
YE 2011, but still 7% below levels at issuance. Average in-place
rents for the property remain below market.
Fitch does not rate the class S, ST-F and DP certificates. Classes
A-1, A-2, A-3, A-AB, X-RC and ST-A have paid in full. Fitch
previously withdrew the ratings on the interest-only class X and
X-MP certificates.
MORGAN STANLEY 2013-C13: Fitch Rates $9.9MM Cl. G Certs 'B-sf'
--------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to Morgan Stanley Bank of America Merrill Lynch Trust,
series 2013-C13 commercial mortgage pass-through certificates:
-- $49,500,000 class A-1 'AAAsf'; Outlook Stable;
-- $75,600,000 class A-2 'AAAsf'; Outlook Stable;
-- $77,200,000 class A-SB 'AAAsf'; Outlook Stable;
-- $220,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $274,427,000 class A-4 'AAAsf'; Outlook Stable;
-- $772,619,000* class X-A 'AAAsf'; Outlook Stable;
-- $55,988,000*b class X-B 'AA-sf'; Outlook Stable;
-- $75,892,000a class A-S 'AAAsf'; Outlook Stable;
-- $55,988,000a class B 'AA-sf'; Outlook Stable;
-- $176,670,000a class PST 'A-sf'; Outlook Stable;
-- $44,790,000a class C 'A-sf'; Outlook Stable;
-- $48,522,000b class D 'BBB-sf'; Outlook Stable;
-- $13,686,000b class E 'BB+sf'; Outlook Stable;
-- $11,197,000b class F 'BB-sf'; Outlook Stable;
-- $9,953,000b class G 'B-sf'; Outlook Stable.
Notional amount and interest only.
(a) Class A-S, class B and class C certificates may be exchanged
for class PST Certificates, and class PST Certificates may be
exchanged for class A-S, class B and class C certificates.
(b) Privately placed pursuant to Rule 144A.
Fitch does not rate the $38,569,646 class H or the interest-only
class X-C. Since Fitch issued its expected ratings on Nov. 19,
2013, the Chicago Mixed Use Portfolio, previously the nineth
largest loan in the pool, has been removed from the transaction.
In the revised presale report, all relevant statistics were
updated for the removal of this loan. Additionally, class balances
were revised. The classes above reflect the final ratings and deal
structure.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 63 loans secured by 74 commercial
properties having an aggregate principal balance of approximately
$995 million as of the cutoff date. The loans were contributed to
the trust by Morgan Stanley Mortgage Capital Holdings LLC; Bank of
America, National Association; and CIBC Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 71.2% of the properties
by balance, cash flow analysis of 79.9%, and asset summary reviews
on 79.9% of the pool.
Key Rating Drivers:
Fitch Leverage: The Fitch stressed debt service coverage ratio
(DSCR) and loan to value (LTV) of 1.17x and 104.7%, respectively,
represent increased leverage as compared to recent Fitch-rated
conduit transactions in 2013. Fitch-rated deals that closed in
first-half 2013 had average Fitch DSCR and LTV of 1.36x and 99.8%,
respectively. The MSBAM 2013-C12 transaction (rated by Fitch) had
a Fitch DSCR and LTV of 1.19x and 103.2%, respectively.
Retail Concentration: Retail properties represent the largest
concentration at 55.7% of the pool, including eight of the top 15
loans. This is higher than the 2012 average retail concentration
of 35.9%. However, three of the retail properties in the top 10
(Stonestown Galleria, The Mall at Chestnut Hill, and 428-430 N.
Rodeo Drive), totaling 27.9% of the pool, are high-quality
properties in strong locations.
Collateral Quality: Three of the largest 10 loans (18.6% of the
pool) received property quality grades of 'A-' or 'A'. In total,
six of the top 10 loans received property quality grades of 'B+'
or better.
Rating Sensitivities:
For this transaction, Fitch's net cash flow (NCF) was 13.8% below
the most recent reported net operating income (NOI) (for
properties that NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severity on defaulted loans and could result in potential rating
actions on the certificates. Fitch evaluated the sensitivity of
the ratings assigned to MSBAM 2013-C13 certificates and found that
the transaction displays average sensitivity to further declines
in NCF. In a scenario in which NCF declined a further 20% from
Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-
sf' could result. In a more severe scenario, in which NCF declined
a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BBBsf' could result. The presale report includes
a detailed explanation of additional stresses and sensitivities.
The master servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
Rialto Capital Advisors, LLC, rated 'CSS2-' by Fitch.
OBSIDIAN NATURAL 2001: Moody's Cuts Tranche A Loan Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has downgraded three classes of loans
issued in two Obsidian natural gas securitization transactions.
The loans were made pursuant to a credit agreement between
Obsidian and lenders with Barclays Bank PLC as administrative
agent. The Loans are secured primarily by natural gas deliveries
under volumetric production payments (VPP) sold by Chesapeake
Exploration L.L.C., a wholly-owned subsidiary of Chesapeake Energy
Corporation, to the securitizations.
The complete rating actions are as follows:
Issuer: Obsidian Natural Gas LLC, Series 2011 Tranche A and B Loan
Tranche A Loan, Downgraded to Ba1 (sf); previously on Aug 12, 2013
Baa2 (sf) Placed Under Review for Possible Downgrade
Tranche B Loan, Downgraded to Ba1 (sf); previously on Aug 12, 2013
Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Obsidian Natural Gas Trust - Volumetric Production Payment
Financing
Term Loan, Downgraded to Ba1 (sf); previously on Aug 12, 2013 Baa2
(sf) Placed Under Review for Possible Downgrade
Ratings Rationale:
The primary reason for the downgrades is lower than the forecast
production of natural gas from a group of producing natural gas
wells located in the Barnett Shale formation in Texas that support
the cash flow to the securitizations. Although according to Henry
Hub, the natural gas spot prices have rebounded to $4.24 per
million of British thermal units (MMBtu) as of December 11, 2013,
from the low of approximately $1.95 per MMBtu in April 2012,
production of natural gas in the wells backing the securitizations
has remained nearly 11% below projections. Consequently, the
coverage ratio (i.e., the ratio of 90% of the production volume
divided by the required delivery volume under the VPP) has
declined to a six-month average of 1.1x as of the November 2013
payment date from the projected six-month average of 1.28x.
The main risks in the transactions include: reserve risk,
operator/seller risk and transportation risk. To analyze these
risks, Moody's analyzed cash flows to the transaction under
multiple scenarios of the levels of the natural gas production,
viability of the operator, and transportation interruptions. In
addition, Moody's conducted qualitative assessment of such risks
as the size of the geological reserves, the geographic diversity
of the wells and the legal and regulatory risks associated with a
VPP transaction. The Obsidian Holdings LLC transaction is a
resecuritization of the loans of equal amount made to the Obsidian
Natural Gas Trust. Therefore, the Obsidian Holdings LLC loans are
assigned the same ratings as the loans in the underlying Obsidian
Natural Gas Trust securitization, based on the transaction's pass
through structure.
Factors that would lead to an upgrade or downgrade of the rating
Primary sources of assumption uncertainty are the production
profile of the wells over the life of the deal and the performance
of Chesapeake as operator/seller. A rise of natural gas production
back to original projected levels over a period of time could lead
to upgrades of the transactions. Similarly, if the rating of
Chesapeake is upgraded, reducing operator/seller risk, the ratings
of the transactions could be positively affected.
OCTAGON INVESTMENT V: S&P Raises Rating on Class D Notes From BB+
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on Octagon
Investment Partners V Ltd.'s class B, C-1, C-2, and D notes and
Octagon Investment Partners IX Ltd.'s class A-1, A-2, and B notes,
both of which are cash flow collateralized loan obligation
transactions managed by Octagon Credit Investors, and removed them
from CreditWatch with positive implications. In addition, S&P
affirmed its ratings on Octagon Investment Partners V Ltd.'s class
A-1 and A-2 notes and Octagon Investment Partners Ltd.'s class C
notes, and S&P removed the rating on the class C notes from
CreditWatch with positive implications.
Both transactions are past their reinvestment periods and continue
to pay down their respective senior notes. Following the most
zecent payment date on Nov. 28, 2013, the balances of Octagon
Investment Partners V Ltd.'s class A-1 and A-2 (pari passu) notes
are at 24.5% of their original balance, down from 40.26% in June
2013 when S&P last raised all of the ratings from this
transaction. Similarly, Octagon Investment Partner IX Ltd.'s
class A-1 note balance declined to 73.52% after the Oct. 23, 2013,
note payment date, down from 100% for our February 2012 rating
actions.
As a result of the lower senior note balances, the
overcollateralization (O/C) ratios increased for both
transactions.
According to Octagon Investment Partners V Ltd.'s November 2013
monthly trustee report, the class A, B, C, and D O/C ratios were
175.9%, 137.6%, 119.1%, and 114.4%, respectively (before
paydowns), up from 138.4%, 121.4%, 111.7%, and 109.0%,
respectively, in May 2013 (before paydowns), which S&P's June 2013
upgrades referenced. S&P expects these O/C ratios to increase
further once the trustee reflects the payments made on Nov. 28,
2013.
Similarly, Octagon Investment Partner IX Ltd.'s class A, B, and C
O/C ratios increased to 129.44%, 119.27%, and 110.10%,
respectively, as per the Nov. 15, 2013, monthly trustee report, up
from the 121.91%, 114.61%, and 107.77%, respectively, reported in
the January 2012 trustee report that S&P used in its February 2012
rating actions.
In addition to the increased credit support following the
paydowns, both transactions continue to exhibit a low default
levels. According to the November 2013 trustee report, Octagon
Investment Partners V Ltd. has only one defaulted obligation with
a par of $1.16 million. Similarly, according to its November 2013
trustee report, Octagon Investment Partner IX Ltd. had only two
defaulted obligations with an aggregate par of $3.8 million.
S&P noted that a small percentage (3.37%) of Octagon Investment
Partners V Ltd.'s collateral is scheduled to mature after the
notes' stated maturity, according to the November 2013 monthly
trustee report. S&P's analysis considered the potential market
value or settlement-related risk arising from the potential
liquidation of the remaining securities on the transaction's legal
final maturity date.
S&P raised its ratings to reflect the increased credit support at
the previous rating levels of the respective transactions. The
affirmations reflect sufficient credit support at each class'
current rating levels.
Standard & Poor's will continue to review whether, in its view,
the ratings assigned to the notes remain consistent with the
credit enhancement available to support them and take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Octagon Investment Partners V Ltd.
Rating
Class To From
B AA+ (sf) AA (sf)/Watch Pos
C-1 A (sf) BBB (sf)/Watch Pos
C-2 A (sf) BBB (sf/Watch Pos)
D BBB+ (sf) BB+ (sf)/Watch Pos
Octagon Investment Partners IX Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) AA (sf/Watch Pos)
B A+ (sf) A (sf)/Watch Pos
C BBB (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED
Octagon Investment Partners V Ltd.
Class Rating
A-1 AAA (sf)
A-2 AAA (sf)
PREFERREDPLUS CZN-1: Moody's Puts $34.5MM Certs Rating on Review
----------------------------------------------------------------
Moody's Investors Service announced that it has placed on review
for possible downgrade the rating of the following certificates
issued by PREFERREDPLUS Trust Series CZN-1:
$34,500,000 PREFERREDPLUS 8.375% Trust Certificates, Series CZN-1;
Ba2 Placed Under Review for Possible Downgrade; previously on July
1, 2010 Confirmed at Ba2
Ratings Rationale:
The transaction is a structured note whose rating is based on the
ratings of the Underlying Securities and the legal structure of
the transaction. Rating action is a result of the change of the
rating of 7.05% Debentures due October 1, 2046 issued by Frontier
Communications Corporation which was placed on watch for downgrade
on December 17, 2013.
Factos that Would Lead to an Upgrade or Downgrade of the Rating
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 rating on the
certificates.
REALT 2006-3: Moody's Downgrades Class H Notes Rating to B1
-----------------------------------------------------------
Moody's Investors Service downgraded the ratings of four and
affirmed the ratings of twelve classes of Real Estate Asset
Liquidity Trust, Commercial Mortgage Pass-Through Certificates,
Series 2006-3 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jan 25, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jan 25, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jan 25, 2013 Affirmed A2
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on Jan 25, 2013 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on Jan 25, 2013 Affirmed
Baa2 (sf)
Cl. E-1, Affirmed Baa3 (sf); previously on Jan 25, 2013 Affirmed
Baa3 (sf)
Cl. E-2, Affirmed Baa3 (sf); previously on Jan 25, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Jan 25, 2013 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Jan 25, 2013 Affirmed Ba2
(sf)
Cl. H, Downgraded to B1 (sf); previously on Jan 25, 2013 Affirmed
Ba3 (sf)
Cl. J, Downgraded to B2 (sf); previously on Jan 25, 2013 Affirmed
B1 (sf)
Cl. K, Downgraded to B3 (sf); previously on Jan 25, 2013 Affirmed
B2 (sf)
Cl. L, Downgraded to Caa1 (sf); previously on Jan 25, 2013
Affirmed B3 (sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Jan 25, 2013 Affirmed
Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Jan 25, 2013 Affirmed
Ba3 (sf)
Ratings Rationale:
The downgrades of the P&I classes are due to an increase in
Moody's base expected loss.
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 IO Classes are consistent with the expected
credit performance (or the weighted average rating factor or WARF)
of their referenced classes and thus are affirmed.
Moody's rating action reflects a base expected loss of 2.5% of the
current balance compared to 1.0% at Moody's prior review. Moody's
base expected loss plus realized losses is now 1.7% of the
original pooled balance compared to 0.7% at the prior review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Deal Performance:
As of the December 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 33% to $287 million
from $426 million at securitization. The Certificates are
collateralized by 45 mortgage loans ranging in size from less than
1% to 10% of the pool, with the top ten loans representing 56% of
the pool. The pool contains three loans, representing 21% of the
pool, that have investment grade credit assessments. One loan,
representing less than 1% of the pool has defeased and is secured
by Government of Canada securities.
Six loans, representing 16% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance.
No loans have been liquidated from the pool. No loans are
currently in special servicing.
Moody's has assumed a high default probability for one poorly
performing loan representing less than 1% of the pool and has
estimated an $0.4 million loss (20% expected loss based on a 50%
probability default) from this troubled loans.
Moody's was provided with full year 2011 and full year 2012
operating results for 84% and 89% of the pool, respectively.
Moody's weighted average conduit LTV is 78% compared to 79% at
Moody's prior review. Moody's conduit component excludes loans
with credit assessments, defeased and CTL loans and specially
serviced and troubled loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 11% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.0%.
Moody's actual and stressed conduit DSCRs are 1.44X and 1.42X,
respectively, compared to 1.42X and 1.36X at prior review. Moody's
actual DSCR is based on Moody's NCF and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The largest loan with a credit assessment is the Clearbrook Town
Square Loan ($27.3 million -- 9.5% of the pool), which is secured
by a 188,000 square foot (SF) community shopping center located in
Abbotsford, British Columbia. The center was 99% leased as of
December 2012 compared to 100% at the prior review. The center is
anchored by Canada Safeway, which leases 30% of the premises
through October 2017. Performance has been stable. The loan
sponsors are RioCan REIT and Kimco North Trust 1. Moody's credit
assessment and stressed DSCR are Baa2 and 1.20X, respectively,
compared to Baa2 and 1.15X at last review.
The second largest loan with a credit assessment is the Suncor
Building Loan ($17.4 million -- 6.1% of the pool), which is
secured by a 126,000 SF industrial property located in Fort
McMurray, Alberta. The anchor tenant is Suncor Energy Inc.
(Moody's senior unsecured debt rating -- Baa1, stable outlook),
which leases 97% of the premises through December 2018.
Performance has been stable. Moody's credit assessment and
stressed DSCR are Baa2 and 1.37X, respectively, compared to Baa3
and 1.22X at last review.
The third largest loan with a credit assessment is the Harry Rosen
Building Loan ($14.9 million -- 5.2% of the pool), which is
secured by a 34,000 SF single tenant retail property located in
Toronto, Ontario. The single tenant is Harry Rosen which leases
all of the premises through September 2017. Performance has been
stable. Moody's credit assessment and stressed DSCR are Aa1 and
1.81X, respectively, compared to Aa1 and 1.75X at last review.
The top three conduit loans represent 19% of the pool balance. The
largest loan is the Beedie Group - Langley Loan ($19.2 million --
6.7% of the pool), which is secured by five industrial buildings
located in Langley, British Columbia totaling 306,000 SF. The
properties were 100% leased as of December 2012, same as at prior
review. Performance has been stable and the loan is amortizing.
Moody's LTV and stressed DSCR are 70% and 1.24X respectively,
compared to 74% and 1.18X at the last review.
The second largest loan is the Park Lane Mall & Terraces Loan
($18.0 million -- 6.3% of the pool), which is secured by a 265,000
SF enclosed retail mall and a 99,000 SF office building located in
Halifax, Nova Scotia. The property was 95% leased as of December
2012 compared to 93% at the last review. Performance has been
stable. Moody's LTV and stressed DSCR are 57% and 1.71X
respectively, compared to 65% and 1.49X at last review.
The third largest loan is the Opus Hotel Loan ($16.2 million --
5.6% of the pool), which is secured by a 96-key full service hotel
located in Vancouver, British Columbia. As of December 2012
occupancy and RevPar were 70.5% and $149.41, respectively,
compared to 72.5% and $165.58 at last review. The loan is on the
servicer watchlist due to previous delinquency. Moody's LTV and
stressed DSCR are 134% and 0.96X respectively, compared to 107%
and 1.21X at the last review.
REALT 2007-2: Moody's Affirms 'Ba1' Rating on Class F Notes
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings of 19 classes of
Real Estate Asset Liquidity Trust 2007-2 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. A-J, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jan 28, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Jan 28, 2013 Affirmed A2
(sf)
Cl. D-1, Affirmed Baa2 (sf); previously on Jan 28, 2013 Affirmed
Baa2 (sf)
Cl. D-2, Affirmed Baa2 (sf); previously on Jan 28, 2013 Affirmed
Baa2 (sf)
Cl. E-1, Affirmed Baa3 (sf); previously on Jan 28, 2013 Affirmed
Baa3 (sf)
Cl. E-2, Affirmed Baa3 (sf); previously on Jan 28, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba1 (sf); previously on Jan 28, 2013 Affirmed Ba1
(sf)
Cl. G, Affirmed Ba3 (sf); previously on Jan 28, 2013 Affirmed Ba3
(sf)
Cl. H, Affirmed B2 (sf); previously on Jan 28, 2013 Affirmed B2
(sf)
Cl. J, Affirmed B3 (sf); previously on Jan 28, 2013 Affirmed B3
(sf)
Cl. K, Affirmed Caa1 (sf); previously on Jan 28, 2013 Affirmed
Caa1 (sf)
Cl. L, Affirmed Caa2 (sf); previously on Jan 28, 2013 Affirmed
Caa2 (sf)
Cl. XC-1, Affirmed Ba3 (sf); previously on Jan 28, 2013 Affirmed
Ba3 (sf)
Cl. XC-2, Affirmed Ba3 (sf); previously on Jan 28, 2013 Affirmed
Ba3 (sf)
Cl. XP-1, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Cl. XP-2, Affirmed Aaa (sf); previously on Jan 28, 2013 Affirmed
Aaa (sf)
Ratings Rationale:
The affirmations of the principal classes are due to key
parameters, including Moody's loan to value (LTV) ratio, Moody's
stressed debt service coverage ratio (DSCR) and the Herfindahl
Index (Herf), remaining within acceptable ranges. Based on Moody's
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
The ratings of the IO Classes are consistent with the credit
performance of their referenced classes and thus are affirmed.
Moody's rating action reflects a base expected loss of 1.9% of the
current balance, compared to 2.2% at Moody's prior review. Moody's
base expected loss plus realized losses is now 1.5% of the
original pooled balance compared to 1.7% at the prior review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Deal Performance:
As of the December 12, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 26% to $279.8
million from $377.3 million at securitization. The Certificates
are collateralized by 33 mortgage loans ranging in size from less
than 1% to 14% of the pool, with the top ten loans representing
69% of the pool. The pool contains one loan, representing 14% of
the pool, that has investment grade credit assessment. One loan,
representing 2% of the pool has defeased and is secured by
Government of Canada securities.
Five loans, representing 15% of the pool, are on the master
servicer's watchlist. The watchlist includes loans which meet
certain portfolio review guidelines established as part of the CRE
Finance Council (CREFC) monthly reporting package. As part of
Moody's ongoing monitoring of a transaction, Moody's reviews the
watchlist to assess which loans have material issues that could
impact performance
The pool has experienced $486,897 realized losses to date due to
the one loan modification. There are currently no loans in special
servicing.
Moody's was provided with a full year 2011 and a full year 2012
operating results for 94% and 97% of the pool, respectively.
Moody's weighted average conduit LTV is 92 % compared to 98% at
Moody's prior review. Moody's conduit component excludes loans
with credit assessments, defeased and CTL loans and specially
serviced and troubled loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 14% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9.3%.
Moody's actual and stressed DSCRs are 1.33X and 1.15X,
respectively, compared to 1.27X and 1.08X at prior review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's NCF
and a 9.25% stressed rate applied to the loan balance.
The loan with a credit assessment is Atrium Pooled Interest Loan
($38.7 million -- 13.8% of the pool), which represents a
participation interest in the senior component of a $190 million
mortgage loan. There is a subordinate B Note held outside the
trust. The loan is secured by a 1 million square-foot Class A
retail and office complex in the Downtown North submarket of
Toronto, Ontario. The property enjoys a prime location and a
direct connection to the TTC subway network. The property was 98%
leased as of January 2013, compared to 99% at the last review. The
loan sponsor is H&R REIT, of Canada. Moody's credit assessment and
stressed DSCR are A2 and 1.76X, respectively, compared to A2 and
1.78X at prior review.
The top three conduit loans represent 22% of the pool. The largest
loan is the Sundance Pooled Interest Loan ($24.6 million -- 8.8%
of the pool), which represents a participation interest in a $49.2
million loan. The loan is secured by a 179,619 square-foot, four-
story, Class A office property in Calgary, Alberta. WorleyParsons
Canada Services, Ltd. is the lead tenant at the property,
occupying approximately 94% of NRA. The property was 100% leased
as of April 2013. Moody's current LTV and stressed DSCR are 96%
and 0.99X, respectively, compared to 99% and 0.96X at prior
review.
The second-largest loan is the 55 St. Clair Pooled Interest Loan
($18.4million -- 6.6% of the pool), which represents a
participation interest in a $36.8 million mortgage loan. The loan
is secured by two multi-tenant office buildings in the Midtown
business district of Toronto, Ontario. The sponsor is GE Real
Estate. The property was 66% leased as of April 2013. The
occupancy is expected to increase due to new signed leases.
Moody's current LTV and stressed DSCR are 108% and 0.9X,
respectively, compared to 114% and 0.85X at prior review.
The third-largest loan is the Place Louis Riel Loan ($17.9 million
-- 6.4% of the pool). The loan is secured by a 22-story apartment
suite-style boutique hotel in downtown Winnipeg, Manitoba. The
performance has improved since last review due to higher revenues.
Moody's current LTV and stressed DSCR are 110% and, 1.03X
respectively, compared to 122% and 0.93X at prior review.
RFMSI SERIES 2006-S1: Moody's Cuts Rating on Cl. A-V Notes to Caa2
------------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
tranches issued by RFMSI Series 2006-S1. The tranches are backed
by Prime Jumbo RMBS loans issued in 2006.
Complete rating actions are as follows:
Issuer: RFMSI Series 2006-S1 Trust
Cl. A-V, Downgraded to Caa2 (sf); previously on Apr 2, 2013
Affirmed B2 (sf)
Cl. I-A-3, Downgraded to Caa2 (sf); previously on Apr 2, 2013
Affirmed B2 (sf)
Ratings Rationale:
The ratings downgraded are a result of the recent performance of
the pools and reflect Moody's updated loss expectations on these
pools. The ratings downgraded are also based on the correction of
errors in the cash flow model used by Moody's in rating this
transaction. In prior rating actions for all of the senior bonds,
under-collateralized amounts were incorrectly applied as realized
losses to senior bonds. In addition, principal amounts which
should have been paid to class I-A-4 were incorrectly applied to
class I-A-3. These errors have now been corrected, and rating
actions reflect these changes.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.0% in November 2013 from
7.8% in November 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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.
SCG TRUST 2013-SRP1: S&P Assigns 'BB-' Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to SCG
Trust 2013-SRP1's $760 million commercial mortgage pass-through
certificates series 2013-SRP1.
The certificate issuance is a commercial mortgage backed
securities securitization backed by cross collateralized first
mortgage liens on the fee and leasehold interests in five enclosed
regional malls (Franklin Park Mall in Toledo, Ohio, West Covina
Mall in West Covina, Calif., Parkway Mall in El Cajon, Calif.,
Capital Mall in Olympia, Wash., and Great Northern Mall in North
Olmsted, Ohio).
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the
transaction's structure.
RATINGS ASSIGNED
SCG Trust 2013-SRP1
Class Rating Amount
(mil. $)
A AAA (sf) 330.00
A-J AAA (sf) 94.23
B AA- (sf) 94.28
C A- (sf) 70.69
D BBB- (sf) 86.70
E BB- (sf) 84.10
SDART 2013-1: Fitch Affirms 'BB' Rating on Class E Notes
--------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has affirmed
six classes of the Santander Drive Auto Receivables Trust 2013-1
transaction as follows:
-- Class A-2 at 'AAAsf'; Outlook Stable;
-- Class A-3 at 'AAAsf'; Outlook Stable;
-- Class B at 'AAsf'; Outlook Stable;
-- Class C at 'Asf'; Outlook Stable;
-- Class D at 'BBBsf'; Outlook Stable;
-- Class E at 'BBsf'; Outlook Stable.
Key Rating Drivers:
The rating affirmations are based on available credit enhancement
and loss performance. The collateral pool continues to perform
within Fitch's 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 Santander Consumer USA, 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 transaction. 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.
Fitch's analysis of the Representation and Warranties (R&W) of
this transaction can be found in Santander Drive Auto Receivables
Trust 2013-1 -- Appendix. These R&W are compared to those of
typical R&W for the asset class as detailed in the special report
'Representations, Warranties, and Enforcement Mechanisms in the
Global Structured Finance Transactions' dated April 17, 2012.
SHACKLETON 2013-IV: S&P Assigns 'BB' Rating on Class E Notes
------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to
Shackleton 2013-IV CLO Ltd./Shackleton 2013-IV CLO LLC's
$400.70 million fixed- and floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not including excess spread).
-- The cash flow structure, which can withstand the default
rate projected by Standard & Poor's CDO Evaluator model, as
assessed by Standard & Poor's using the assumptions and
methods outlined in its corporate collateralized debt
obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections of the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.24%-13.84%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which during the reinvestment period will lead to the
reclassification of up to 50% of available excess interest
proceeds (before paying uncapped administrative expenses,
subordinate and incentive management fees, expenses for
refinancing and additional securities issued, expense
reserve account top-up, hedge amounts, and subordinated note
payments) to principal proceeds to purchase additional
collateral assets or to pay principal on the notes
sequentially, at the option of the collateral manager.
RATINGS ASSIGNED
Shackleton 2013-IV CLO Ltd./Shackleton 2013-IV CLO LLC
Class Rating Amount (mil. $)
A AAA (sf) 265.10
B-1 AA (sf) 39.20
B-2 AA (sf) 10.00
C (deferrable) A (sf) 35.40
D (deferrable) BBB (sf) 21.525
E (deferrable) BB (sf) 18.125
F (deferrable) B (sf) 11.35
Subordinated notes NR 37.90
NR-Not rated.
STRUCTURED ASSET 2006-RM1: S&P Hikes Rating on Cl. A1 Notes to BB
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes from Structured Asset Securities Corp. Reverse Mortgage
Loan Trust 2006-RM1 (SASCO 2006-RM1) and Structured Asset
Securities Corp. Reverse Mortgage Loan Trust 2007-RM1
(SASCO 2007-RM1). At the same time, S&P affirmed its ratings on
two classes from SASCO 2007-RM1. In addition, S&P removed all six
ratings from CreditWatch with negative implications, where they
were placed on July 26, 2013. These deals are U.S. residential
mortgage-backed securities (RMBS) transactions backed by
nonconforming reverse mortgage loan collateral.
The four downgrades reflect S&P's belief that these classes were
affected by declines in the market value of the related properties
over the past few years as well as constant prepayment rates
(CPRs) that S&P has observed to be slower than in the past. These
factors have contributed to higher projected losses and longer
average lives for these classes, resulting in these classes
failing the stresses associated with the previous rating
categories.
The two affirmations reflect S&P's belief that despite the market
value declines of the related properties and the slower CPRs, the
amount of credit enhancement available for these classes is
sufficient to cover the projected losses at the current rating
level.
The collateral backing these transactions consists of reverse
mortgage loans that are secured by first mortgages, deeds of
trust, or other similar security instruments creating first liens
on one-to-four family residential properties. Unlike conventional
forward mortgages, a reverse mortgage does not require monthly
interest or principal payments from the borrower. Instead, the
interest due accrues and is added to the principal balance of the
loan as long as the borrower continues to occupy the collateral
property. When a maturity event occurs (the borrower either dies
or vacates the property), the property is sold, and the proceeds
are used to pay the noteholders, as well as other parties, as
specified in the priority of payments. Each reverse mortgage loan
is a nonrecourse loan, meaning that if a borrower or a borrower's
estate fails to pay the amount due under a mortgage loan at
maturity, or a borrower otherwise fails to uphold contractual
obligations (such as the payment of taxes and insurance or the
appropriate upkeep of the property), the applicable servicer on
behalf of the trust generally will be able to recover only the
proceeds from foreclosure and sale of the related mortgaged
property.
Unlike certain reverse mortgage loans that the Department of
Housing and Urban Development (HUD) insures, the reverse mortgages
that collateralize the transactions within this review are
considered nonconforming and do not have the benefit of insurance.
In general, these are jumbo reverse mortgage loans that have loan
balances that exceed HUD limits.
"To assess the creditworthiness of a class in a reverse mortgage
transaction, we apply our criteria at different rating scenarios
to identify the likelihood of the class receiving the applicable
interest and principal due at such rating stresses. We estimate
losses on the outstanding loans in the pools based on our
assessment of the status of the loans and the impact that our
assumptions have on those loans. While our analysis included
applying CPR stresses that are both fast and slow, we also applied
CPR assumptions that are more reflective of those CPR speeds
observed for the transactions. For a class to satisfy a
particular rating stress, we typically consider whether it passes
each of the aforementioned CPR stresses. For more information on
the assumptions we use in our analysis, please refer to our
criteria listed in the "Related Criteria And Research" section,"
S&P added.
ECONOMIC OUTLOOK
When analyzing U.S. RMBS collateral pools to determine their
relative credit quality and the potential impact on rated
securities, the degree of remaining losses stems, to a certain
extent, from S&P's outlook regarding the behavior of such loans in
conjunction with expected economic conditions. Overall, Standard
& Poor's baseline macroeconomic outlook assumptions for variables
that it believes could affect residential mortgage performance are
as follows:
-- S&P's unemployment rate forecast is 7.4% for 2013 and 6.9%
for 2014 compared with the actual 8.1% rate in 2012.
-- Home prices will increase 13% in 2013, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 1.7% in 2013 and 2.6% in 2014.
-- The 30-year mortgage rate will average 4.0% for 2013 and
4.6% for 2014.
-- Inflation will be 1.4% in both 2013 and 2014.
Overall, S&P's outlook for RMBS is stable. Although S&P views
overall housing fundamentals positively, it believes RMBS
fundamentals still hinge on additional factors, such as the
ultimate fate of modified loans, the propensity of servicers to
advance on delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, it believes that the credit quality of U.S. RMBS would
weaken. S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment will be 7.5% for the rest of 2013 but
will rise to 7.6% in 2014, and job growth will slow to
almost zero in 2013 and 2014.
-- Downward pressure causes 1.6% GDP growth in 2013 and 0.6%
growth in 2014, fueled by increased unemployment levels.
-- Thirty-year fixed mortgage rates fall back to 4.0% in 2013
and increase to 4.1% in 2014, but capitalizing on such lower
rates could be hampered by limited access to credit and
pressure on home prices.
RATING ACTIONS
Structured Asset Securities Corp.
Series 2006-RM1
Rating Rating
Class CUSIP To From
A1 86361LAA3 BB (sf) BBB (sf)/Watch Neg
Structured Asset Securities Corporation Reverse Mortgage Loan
Trust 2007-RM1
Series 2007-RM1
Rating Rating
Class CUSIP To From
A1 86363BAA3 BBB (sf) BBB (sf)/Watch Neg
M1 86363BAC9 BBB (sf) BBB (sf)/Watch Neg
M2 86363BAD7 BB (sf) BBB (sf)/Watch Neg
M3 86363BAF2 B (sf) BBB (sf)/Watch Neg
M4 86363BAG0 B- (sf) BBB (sf)/Watch Neg
TRADE MAPS 1: Fitch Rates $16.6.MM Class D Notes 'Bsf'
------------------------------------------------------
Fitch Ratings has assigned the following ratings to the Series
2013-1 notes issued by Trade Maps 1 Limited:
-- $874.44 million class A notes 'AAAsf';
-- $77.61 million class B notes 'Asf';
-- $31.34 million class C notes 'BBBsf';
-- $16.61 million class D notes 'Bsf'.
The Rating Outlook is Stable.
Collateral on Series 2013-1 notes is comprised of Asset Purchase
Entity (APE) funding securities issued by local special purpose
vehicles (SPVs) established for each participating bank (PB):
Banco Santander, S.A. (Santander) and Citibank, N.A. (Citi). Each
APE funding security is backed by a portfolio of dollar-
denominated trade finance loan receivables originated by local
branches of each PB. Fitch's ratings address the timely payment of
interest on a monthly basis and ultimate payment of principal at
legal final maturity.
Key Rating Drivers:
The ratings assigned to the notes reflect: (i) the favorable
characteristics of trade finance assets (TFAs) that are reflected
in the indicative portfolio, (ii) the structure's reasonable
concentration limits and collateral quality tests that limit the
potential deterioration of the portfolio during the revolving
period; (ii) sufficient credit enhancement (CE) levels, including
the non-shared collateralized equity provided by each PB; and
(iii) structural features mitigating commingling and set-off
exposures.
Rating Sensitivities:
Ratings of Series 2013-1 notes are sensitive to decreases in
available CE as a result of higher default rates on the TFAs than
those assumed for Fitch's analysis; downgrade of Citi's and
Santander's ratings; an increase on the obligors or countries
concentrations of the Trade Maps portfolio; and a breach of any
concentration limit or transaction test.
Fitch considers the securitization of trade loan receivables a new
structured finance asset class and has followed its internal
rating procedure for a new structured finance product. The purpose
of this transaction is to achieve funding and risk transfer for
the originator.
UNITED ARTISTS 1995-A: Moody's Affirms B3 Rating on Certificates
----------------------------------------------------------------
Moody's Investors Service affirmed the rating of United Artists
Theatre Circuit, Inc. 1995-A Pass Through Trust 9.3% Pass Through
Certificates, Series 1995-A as follows:
1995-A, Affirmed B3; previously on Feb 8, 2013 Affirmed B3
Ratings Rationale:
The rating for this CTL lease was affirmed based on the current
rating of Regal Entertainment Group (senior unsecured debt rating
of B3; stable outlook).
This portfolio of movie theaters is subject to fully bondable,
triple net leases to Regal that expire July 1, 2015, coterminous
with the final distribution date of the certificate. The lease
payments are sufficient to pay all interest and principal of the
certificates from this fully amortizing loan.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The ratings of Credit Tenant Lease (CTL) deals are primarily based
on the senior unsecured debt rating (or the corporate family
rating) of the tenants leasing the real estate collateral
supporting the bonds. Other factors that are also considered are
Moody's dark value of the collateral (value based on the property
being vacant or dark), which is used to determine a recovery rate
upon a loan's default and the rating of the residual insurance
provider, if applicable. Factors that may cause an upgrade of the
ratings include an upgrade in the rating of the corporate tenant
or significant loan paydowns or amortization which result in a
higher dark loan to value. Factors that may cause a downgrade of
the ratings include a downgrade in the rating of the corporate
tenant or the residual insurance provider.
Deal Performance:
The outstanding balance as of December 2013 is $3.8 million
compared to $116.8 million at origination. Semi-annual interest
and annual principal payments will be made until the final
distribution date of July 1, 2015.
This Credit Tenant Lease (CTL) transaction is secured by a
portfolio of movie theaters that are subject to fully bondable,
triple net leases to Regal. The lease payments are sufficient to
pay all principle and interest for the Certificates.
VENTURE II CDO 2002: S&P Raises Rating on Class C Notes to 'B'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its rating on the class
C notes from Venture II CDO 2002 Ltd. to 'B (sf)' from 'CCC- (sf)'
and removed it from CreditWatch with positive implications, where
it was placed on Nov. 14, 2013. Venture II CDO 2002 Ltd. is a
collateralized loan obligation transaction managed by MJX Asset
Management LLC and closed in November 2002.
The transaction's reinvestment period ended in January 2008.
Since then, the class A-1, A-2, and B notes have been paid in
full. The class C notes became the senior most notes in the
structure when the class B notes paid down its remaining balance
in the July 2013 payment date. Following the most recent October
payment date, the class C outstanding balance is $8.17 million,
down from an original balance of $12.25 million.
The rating action also reflects the transaction's exposure to
long-dated assets. As of the Nov. 7, 2013, trustee report, the
transaction's remaining performing balance is $9.4 million, with
roughly 38.46% of the assets maturing after the transaction's
legal final maturity. Because of these long-dated assets, the
transaction is exposed to potential market value risk because the
manager may have to liquidate these securities when the
transaction matures in order to pay down the notes on their final
maturity date.
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 will take rating
actions as it deems necessary.
VNDO 2013-PENN: S&P Assigns 'BB-' Rating on Class E Notes
---------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to VNDO
2013-PENN Mortgage Trust's $450.0 million commercial mortgage
pass-through certificates series 2013-PENN.
The certificate issuance is a commercial mortgage-backed
securities transaction backed by a $450.0 million commercial
mortgage loan secured by the fee interest in 11 Penn Plaza, a 1.1
million-sq.-ft., class B, high-rise office building located in New
York, N.Y.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the
transaction's structure. Since S&P assigned its preliminary
ratings, the class X-B certificates have been removed.
RATINGS ASSIGNED
VNDO 2013-PENN Mortgage Trust
Class Rating Amount ($)
A AAA (sf) 243,490,000
X-A AAA (sf) 243,490,000(i)
B AA- (sf) 54,110,000
C A- (sf) 40,580,000
D BBB- (sf) 49,780,000
E BB- (sf) 62,040,000
(i)Notional balance.
WACHOVIA BANK 2003-C6: Moody's Hikes Rating on Cl. O Notes to B1
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
downgraded one class of Wachovia Bank Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2003-C6 as
follows:
Cl. N, Upgraded to Aaa (sf); previously on Jul 25, 2013 Upgraded
to B2 (sf)
Cl. O, Upgraded to B1 (sf); previously on Jul 25, 2013 Affirmed
Caa3 (sf)
Cl. IO, Downgraded to Caa3 (sf); previously on Jul 25, 2013
Downgraded to B2 (sf)
Ratings Rationale:
The upgrades of the P&I classes are primarily due to increased
credit support resulting from loan paydowns and amortization. The
deal has paid down 78% since last review without an increase in
realized losses. Class N is also fully covered by defeasance.
The downgrade of the IO Class, Class IO, is due to a decline in
the credit performance (or the weighted average rating factor or
WARF) of its referenced classes.
Moody's rating action reflects a base expected loss of 10.6% of
the current balance compared to 3.8% at Moody's prior review.
Moody's base expected loss plus realized losses is now 0.8% of the
original pooled balance compared to 0.9% at the prior review.
Factors that Would Lead to an Upgrade or Downgrade of the Rating:
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
Deal Performance:
As of the December 16, 2013 distribution date, the transaction's
aggregate pooled certificate balance has decreased by 98% to $15
million from $953 million at securitization. The Certificates are
collateralized by seven mortgage loans ranging in size from 5% to
27% of the pool. One loan, representing 15% of the pool, has been
defeased and is collateralized with U.S. Government Securities.
No loans are currently on the master servicer's watchlist.
Six loans have been liquidated at a loss from the pool, resulting
in an aggregate realized loss of $5.5 million (19% loss severity
on average). Two loans, representing 37% of the pool, are
currently in special servicing. The largest specially serviced
loan is the Trader Joe's Plaza Loan ($4.2 million -- 27.3% of the
pool), which is secured by a 45,000 square foot (SF) retail
property located in Las Vegas, Nevada. The loan transferred to
special servicing in July 2013 due to maturity default. The lender
continues to dual track a workout with the borrower and
foreclosure. The property was 74% leased as of December 2012.
The other specially serviced loan is also secured by a retail
property. The servicer does not currently recognize an appraisal
reduction for this deal, while Moody's estimates a $1.5 million
loss (27% expected loss on average) for the specially serviced
loans.
Moody's was provided with full year 2012 and partial year 2013
operating results for 100% of the pool. Moody's weighted average
conduit LTV is 80% compared to 87% at Moody's prior review.
Moody's conduit component excludes loans with credit assessments,
defeased and CTL loans and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut of
24% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9.9%.
Moody's actual and stressed conduit DSCRs are 0.92X and 1.40X,
respectively, compared to 1.26X and 1.30X at prior review. Moody's
actual DSCR is based on Moody's 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. Moody's stressed DSCR
is greater than Moody's actual DSCR for this transaction because
the actual debt constant for the pool is greater than Moody's
9.25% stressed rate.
The top three conduit loans represent 43% of the pool balance. The
largest conduit loan is the Rite Aid -- Las Vegas, NV Loan ($2.9
million -- 19.0% of the pool), which is secured by a 17,000 SF
retail property located in Las Vegas, Nevada. The loan is fully
leased to Rite Aid, which subleases the space to Dollar General.
The loan is fully amortizing and the loan and lease are co-
terminous. Moody's incorporated a lit/dark analysis for this
property. Moody's LTV and stressed DSCR are 91% and 1.19X,
respectively, compared to 76% and 1.25X at last review.
The second largest conduit loan is the Bailey Building Loan ($2.1
million -- 13.6% of the pool), which is secured by a 45,000 SF
office located in Montgomery, Alabama. The property is 78% leased
as of October 2013. Moody's LTV and stressed DSCR are 64% and
1.62X, respectively, compared to 61% and 1.60X at last review.
The third largest conduit loan is the Rite Aid -- Bayville, NJ
Loan ($1.5 million - 10.0% of the pool), which is secured by an
11,000 SF retail property located in Bayville, New Jersey. The
loan is fully leased to Rite Aid. The loan is not fully
amortizing, but has already amortized 30% since securitization.
Moody's incorporated a lit/dark analysis for this property.
Moody's LTV and stressed DSCR are 87% and 1.25X, respectively,
compared to 79% and 1.30X at last review.
* Moody's Takes Action on $298MM of Subprime RMBS Issued 2004-2007
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of nine
tranches and downgraded the ratings of four tranches from seven
transactions issued by various trusts, backed by Subprime mortgage
loans.
Complete rating actions are as follows:
Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE8
Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 5, 2013
Downgraded to A3 (sf)
Cl. M-4, Downgraded to C (sf); previously on Mar 5, 2013 Affirmed
Ca (sf)
Issuer: Long Beach Mortgage Loan Trust 2005-2
Cl. M-4, Upgraded to Ba2 (sf); previously on Mar 14, 2013 Upgraded
to B1 (sf)
Issuer: RAMP Series 2001-RS2 Trust
Cl. M-II-1, Upgraded to Baa1 (sf); previously on Mar 18, 2013
Upgraded to Baa2 (sf)
Cl. M-II-2, Upgraded to Baa3 (sf); previously on Mar 18, 2013
Upgraded to Ba3 (sf)
Cl. M-II-3, Upgraded to B1 (sf); previously on Mar 18, 2013
Affirmed Caa1 (sf)
Issuer: RASC Series 2004-KS1 Trust
Cl. A-I-5, Downgraded to Ba3 (sf); previously on Apr 9, 2012
Downgraded to Baa3 (sf)
Cl. A-I-6, Downgraded to Ba2 (sf); previously on Apr 9, 2012
Downgraded to Baa2 (sf)
Issuer: RASC Series 2004-KS5 Trust
Cl. A-I-4, Upgraded to Ba2 (sf); previously on Apr 9, 2012
Upgraded to B1 (sf)
Cl. A-I-5, Upgraded to B2 (sf); previously on Apr 9, 2012
Downgraded to Caa1 (sf)
Issuer: RASC Series 2006-KS7 Trust
Cl. A-3, Upgraded to B2 (sf); previously on Apr 6, 2010 Downgraded
to Caa1 (sf)
Cl. A-4, Upgraded to Caa1 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)
Issuer: RASC Series 2007-KS3 Trust
Cl. A-I-2, Upgraded to B2 (sf); previously on Jul 15, 2011
Downgraded to Caa1 (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.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.3% in October 2013 from 7.9%
in October 2012 . Moody's forecasts an unemployment central range
of 6.5% to 7.5% for the 2014 year. Deviations from this central
scenario could lead to rating actions in the sector.
House prices are another key driver of US RMBS performance.
Moody's expects house prices to continue to rise in 2014. Lower
increases than Moody's expects or decreases could lead to negative
rating actions.
Finally, 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 Raises $38-Mil. of Subprime RMBS Issued in 2005
---------------------------------------------------------
Moody's Investors Service has upgraded the ratings of three
tranches from three transactions issued by various trusts, backed
by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Equifirst Mortgage Loan Trust 2005-1
Cl. M-5, Upgraded to Caa2 (sf); previously on Feb 26, 2013
Affirmed Ca (sf)
Issuer: Fremont Home Loan Trust 2005-2
Cl. M-3, Upgraded to Caa2 (sf); previously on Feb 26, 2013
Affirmed Ca (sf)
Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust,
INABS 2005-A
Cl. M-5, Upgraded to Caa1 (sf); previously on Feb 26, 2013
Affirmed 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 ratings upgraded are a result of improving
performance of the related pools or faster pay-down of the bonds
due to high prepayments or faster liquidations.
Factors that would lead to an upgrade or downgrade of the rating
Ratings in the US RMBS sector remain exposed to the high level of
macroeconomic uncertainty, and in particular the unemployment
rate. The unemployment rate fell to 7.0% in November 2013 from
7.8% in November 2012 . Moody's forecasts an unemployment central
range of 6.5% to 7.5% for the 2014 year. Deviations from this
central scenario could lead to rating actions in the sector. House
prices are another key driver of US RMBS performance. Moody's
expects house prices to continue to rise in 2014. Lower increases
than Moody's expects or decreases could lead to negative rating
actions. Finally, performance of RMBS continues to remain highly
dependent on servicer procedures. Any change resulting from
servicing transfers or other policy or regulatory change can
impact the performance of these transactions.
* S&P Lowers Rating on 59 Classes from 51 U.S. RMBS Deals to 'D'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 59 classes of mortgage pass-through certificates from 51 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 1998 and 2007.
The downgrades reflect S&P's assessment of the principal write-
downs' impact on the affected classes during recent remittance
periods. Previously, S&P rated all classes in this review
'CCC (sf)' or 'CC (sf)'.
Approximately 44.07% of the defaulted classes were from
transactions backed by Alternative-A (Alt-A) or prime jumbo
mortgage loan collateral. The 59 defaulted classes consist of the
following:
-- Twenty-seven from subprime transactions (45.76%);
-- Fourteen from Alt-A transactions (23.73%);
-- Twelve from prime jumbo transactions (20.34%);
-- Two from re-performing transactions;
-- One from an RMBS negative amortization transaction;
-- One from a Federal Housing Administration/Veterans Affairs
transaction;
-- One from a document-deficient transaction; and
-- One from a small balance commercial transaction.
All the transactions in this review receive credit enhancement
from a combination of subordination, excess spread, and
overcollateralization (where applicable).
Standard & Poor's will continue to monitor its ratings on
securities that experience principal write-downs, and it will
adjust its ratings as it considers appropriate in accordance with
its criteria.
* S&P Takes Rating Actions on 52 Tranches From 45 CDO Deals
-----------------------------------------------------------
Standard & Poor's Ratings Services took various rating actions on
52 tranches from 45 synthetic collateralized debt obligation (CDO)
transactions following its monthly review:
-- S&P raised its ratings on 30 tranches from 29 investment-
grade corporate-backed synthetic CDO transactions and
removed these ratings from CreditWatch positive.
-- S&P placed its ratings on 18 tranches from 15 corporate-
backed synthetic CDO transactions on CreditWatch positive.
-- S&P affirmed its ratings on four tranches from one
investment-grade corporate-backed synthetic CDO transaction.
The upgrades and CreditWatch positive placements reflect the
seasoning of the transactions, the rating stability of the
obligors in the underlying reference portfolios over the past few
months, and the synthetic rated overcollateralization (SROC)
ratios that had risen above 100% at the next highest rating level.
The affirmations are from a synthetic CDO that had an SROC ratio
above 100% or had sufficient credit enhancement at the current
rating levels.
RATINGS RAISED
Credit Default Swap
Series SDB506551435
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551423
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506494096
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506497004
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506546906
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506546943
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506546935
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506546950
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506546955
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506494104
Rating
Class To From
Nts A+srp (sf) A-srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551442
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551445
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506550851
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551383
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551403
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551406
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series SDB506551414
Rating
Class To From
Nts BBBsrp (sf) BB+srp (sf)/Watch Pos
Credit Default Swap
Series CA1119131
Rating
Class To From
Trnch AA+srb (sf) Asrb (sf)/Watch Pos
Credit Default Swap
REF: NGNGX
Rating
Class To From
Trnch AA+srb (sf) A+srb (sf)/Watch Pos
Morgan Stanley ACES SPC
Series 2007-6 NF8BK
Rating
Class To From
Nts AAAsrp (sf) AA+srp (sf)/Watch Pos
Morgan Stanley ACES SPC
Series 2007-6 NF8T1
Rating
Class To From
Nts AAAsrp (sf) AA+srp (sf)/Watch Pos
Morgan Stanley ACES SPC
Series 2007-6 NF8BM
Rating
Class To From
Nts AAAsrp (sf) AA+srp (sf)/Watch Pos
Morgan Stanley ACES SPC
Series 2007-6 NF8T4
Rating
Class To From
Nts AAAsrp (sf) AA+srp (sf)/Watch Pos
NOAJ CDO Ltd.
Series 1
Rating
Class To From
Series 1 BBB- (sf) BB+ (sf)/Watch Pos
PARCS Master Trust
Series 2007-5 CALVADOS
Rating
Class To From
Trust Unit A- (sf) BB+ (sf)/Watch Pos
PARCS Master Trust
Series 2007-10
Rating
Class To From
Trust Unit BBB+ (sf) BBB (sf)/Watch Pos
REVE SPC
Series 34, 36, 37, 38, 39, and 40
Rating
Class To From
Series 36 B+ (sf) B (sf)/Watch Pos
Series 37 B- (sf) CCC+ (sf)/Watch Pos
Rutland Rated Investments
Series DRYDEN06-2
Rating
Class To From
A1-$LS A- (sf) BBB+ (sf)/Watch Pos
STARTS (Ireland) PLC
Series 2007-31
Rating
Class To From
A2-D2 BBB+ (sf) BBB (sf)/Watch Pos
RATINGS PLACED ON CREDITWATCH POSITIVE
Archstone Synthetic CDO II SPC
Rating
Class To From
D-2 AA (sf)/Watch Pos AA (sf)
Athenee CDO PLC
Series 2007-5
Rating
Class To From
B B+ (sf)/Watch Pos B+ (sf)
Credit Default Swap
CDO # 795246
Rating
Class To From
Trnch B-srb (sf)/Watch Pos B-srb (sf)
Greylock Synthetic CDO 2006
Series 2
Rating
Class To From
A3-$FMS BB+ (sf)/Watch Pos BB+ (sf)
A3-$LMS BB+ (sf)/Watch Pos BB+ (sf)
A3A-$FMS BB+ (sf)/Watch Pos BB+ (sf)
A3B-$LMS BB+ (sf)/Watch Pos BB+ (sf)
Infiniti SPC Ltd.
Series 10A-2
Rating
Class To From
10A-2 BBB (sf)/Watch Pos BBB (sf)
Marvel Finance 2007-3 LLC
Series 2007-3
Rating
Class To From
IA BB (sf)/Watch Pos BB (sf)
Morgan Stanley ACES SPC
Series 2006-35
Rating
Class To From
I B+ (sf)/Watch Pos B+ (sf)
PARCS Master Trust
Series 2007-6 CALVADOS
Rating
Class To From
Trust Unit BB (sf)/Watch Pos BB (sf)
PARCS-R Master Trust
Series 2007-12
Rating
Class To From
Trust Unit BBB+ (sf)/Watch Pos BBB+ (sf)
Repacs Trust Series 2007 Rigi Debt Units
Series 2007
Rating
Class To From
Debt Units BB- (sf)/Watch Pos BB- (sf)
Rutland Rated Investments
Series DRYDEN06-2
Rating
Class To From
A1A-$LS A- (sf)/Watch Pos A- (sf)
STARTS (Cayman) Ltd.
Series 2007-16
Rating
Class To From
B2-J2 B (sf)/Watch Pos B (sf)
STARTS (Cayman) Ltd.
Series 2007-28
Rating
Class To From
A4-D4 B (sf)/Watch Pos B (sf)
Strata Trust, Series 2007-5
Series 2007-5
Rating
Class To From
Nts BB- (sf)/Watch Pos BB- (sf)
Strata Trust, Series 2007-7
Series 2007-7
Rating
Class To From
Nts BBB- (sf)/Watch Pos BBB- (sf)
RATINGS AFFIRMED
STARTS (Cayman) Ltd. Series 2007-14
Series 2007-14
Class Rating
A1-D CCC- (sf)
A2-D CCC- (sf)
A2-A CCC- (sf)
A2-J CCC- (sf)
* S&P Withdraws Ratings on 29 Classes From 11 CDO Transactions
--------------------------------------------------------------
Standard & Poor's Ratings Services withdrew its ratings on 29
classes of notes from 10 collateralized loan obligation (CLO)
transactions and one collateralized debt obligation (CDO)
transaction of mainly mezzanine tranches of corporate backed CDOs.
The withdrawals follow the complete paydown of the notes as
reflected in the trustee-issued note payment reports.
After notifying us that the equity holders directed optional
redemptions, the following transactions redeemed their classes in
full:
-- Ares NF CLO XIII Ltd.
-- Halcyon Structured Asset Management CLO I Ltd.
-- Knightsbridge CLO 2007-1 Ltd.
RATINGS WITHDRAWN
AMMC CLO VI Ltd.
Rating
Class To From
A-1-A NR AAA (sf)
A-1-R NR AAA (sf)
Ares NF CLO XIII Ltd.
Rating
Class To From
A NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR BBB+ (sf)
Gallatin CLO II 2005-1 Ltd.
Rating
Class To From
A-1L NR AAA (sf)
GSC Capital Corp. Loan Funding 2005-1
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AAA (sf)
C NR AA+ (sf)/Watch Pos
D NR AA (sf)/Watch Pos
Gulf Stream-Compass CLO 2005-1 Ltd.
Rating
Class To From
B NR AAA (sf)
Halcyon Structured Asset Management CLO I Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AAA (sf)
B NR AAA (sf)
C NR AAA (sf)
D NR AA+ (sf)
Knightsbridge CLO 2007-1 Ltd.
Rating
Class To From
A-1 NR AAA (sf)
A-2 NR AA+ (sf)
B NR AA (sf)
C NR A (sf)
D NR BBB (sf)
E NR BB (sf)
Sargas CLO I Ltd.
Rating
Class To From
A-1 NR AAA (sf)
Shackleton 2013-III CLO Ltd.
Rating
Class To From
X NR AAA (sf)
Tricadia CDO 2003-1 Ltd.
Rating
Class To From
A-4L NR BB- (sf)
Whitney CLO I Ltd.
Rating
Class To From
P1(i) NR AA+p (sf)
P2(i) NR AA+p (sf)
(i)The 'p' subscript indicates that the rating addressed only
the principal portion of the obligation.
NR - Not rated.
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers"
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
assets. A company may establish reserves on its balance sheet for
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related conferences are encouraged. Send announcements to
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On Thursdays, the TCR delivers a list of recently filed
Chapter 11 cases involving less than $1,000,000 in assets and
liabilities delivered to nation's bankruptcy courts. The list
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petitions in Acrobat PDF format.
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Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
For copies of court documents filed in the District of Delaware,
please contact Vito at Parcels, Inc., at 302-658-9911. For
bankruptcy documents filed in cases pending outside the District
of Delaware, contact Ken Troubh at Nationwide Research &
Consulting at 207/791-2852.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors" Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog,
Meriam Fernandez, Ronald C. Sy, Joel Anthony G. Lopez, Cecil R.
Villacampa, Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo
Fernandez, Christopher G. Patalinghug, and Peter A. Chapman,
Editors.
Copyright 2013. All rights reserved. ISSN: 1520-9474.
This material is copyrighted and any commercial use, resale or
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*** End of Transmission ***