/raid1/www/Hosts/bankrupt/TCR_Public/140216.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, February 16, 2014, Vol. 18, No. 46
Headlines
ACA ABS 2002-1: Moody's Hikes Rating on $64MM Cl. B Notes to Caa3
ALESCO PREFERRED IV: Moody's Hikes Rating on $5MM Notes to 'Caa1'
AMMC VII: Moody's Affirms 'Ba2' Rating on $15MM Class E Notes
ANTHRACITE CDO III: Moody's Affirms C Rating on 2 Note Classes
ANTHRACITE CRE 2006-HY3: S&P Lowers Rating on Class A Notes to 'D'
ARCAP 2005-1: Moody's Affirms C Rating on 6 Class Notes
BANC OF AMERICA 2007-2: Fitch Cuts Rating on Class H Certs to Dsf
BEAR STEARNS 2005-PWR8: Fitch Affirms CCsf Rating on Cl. F Certs
COMM 2007-FL14: Moody's Lowers Rating on Class K Notes to 'C'
COMM 2014-CCRE15: Moody's Assigns (P)B2 Rating on Class F Notes
CONNECTICUT VALLEY: Moody's Hikes Rating on 2 Note Classes to B1
CREDIT SUISSE 1998-C2: Moody's Cuts Cl. AX Certs' Rating to Caa1
CREDIT SUISSE 2005-C2: Moody's Affirms Ca Rating on Cl. A-J Notes
CREDIT SUISSE 2007-C2: S&P Lowers Ratings on 2 Note Classes to B
CREST CDO 2004-1: Fitch Affirms 'C' Ratings on 9 Note Classes
CSFB MORTGAGE 2003-AR26: Moody's Cuts 6 Tranches' Rating to Ba2
CSMC TRUST 2014-SURF: S&P Assigns Prelim. BB- Rating on E Certs
DRYDEN 31: Moody's Assigns (P)B2 Rating on $15.8MM Class F Notes
EMPORIA PREFERRED II: Moody's Hikes Class E Notes' Rating to Ba2
EXETER AUTOMOBILE 2014-1: S&P Assigns BB Rating on Class D Notes
GLG ORE 2013-1: S&P Affirms 'BB' Rating on $17MM Class E Notes
GMAC COMMERCIAL 2005-C1: Fitch Affirms CC Rating on 2 Cert Classes
GS MORTGAGE 2006-GG8: Fitch Cuts Rating on 3 Cert Classes to Csf
GS MORTGAGE 2006-RR2: Moody's Affirms Ca Rating on Cl. A-2 Notes
HALCYON LOAN 2014-1: Moody's Rates $10MM Class F Notes '(P)B2'
HARBORVIEW MORTGAGE 2003-2: Moody's Cuts B-1 Secs.' Rating to B3
JP MORGAN 2005-LDP1: Fitch Lowers Ratings on 2 Cert. Classes
JP MORGAN 2005-LDP2: Moody's Cuts Rating on Class H Notes to C
JP MORGAN 2014-C18: Fitch Expects to Rate $11.9MM Cl. F Notes 'B'
JP MORGAN 2014-FBLU: S&P Assigns BB- Rating on $119MM Cl. E Notes
JPMORGAN-CIBC 2006-RR1: S&P Cuts Rating on Class A-1 Certs to 'D'
LATITUDE CLO III: S&P Raises Rating on Class F Certificate to BB+
LB-UBS COMMERCIAL 2000-C4: Moody's Affirms 'C' Rating on J Certs
LB-UBS COMMERCIAL 2004-C4: Moody's Cuts on K Notes' Rating to 'C'
LB-UBS 2004-C7: Moody's Affirms C Rating on 4 Note Classes
MAYPORT CLO: Moody's Affirms 'Ba3' Rating on Cl. B-2L Notes
MERITAGE MORTGAGE 2005-1: Moody's Hikes Cl. M-5 Notes Rating to B2
MERRILL LYNCH 2008-C1: S&P Raises Rating on Class C Notes to BB
MORGAN STANLEY 2007-HQ12: S&P Lowers Rating on Class B Notes to D
MORGAN STANLEY 2007-IQ16: S&P Cuts Rating on Class D Notes to CCC
MORGAN STANLEY 2013-C8: Fitch Affirms Bsf Rating on Class F Certs
MSC 2006-SRR1: Moody's Affirms 'C' Rating on Class A2 Notes
MOUNTAIN VIEW 2013-1: S&P Affirms 'BB' Rating on Class E Notes
NEUBERGER BERMAN XIV: S&P Affirms 'BB' Rating on Class E Notes
NEUBERGER BERMAN XV: S&P Affirms 'BB' Rating on Class E Notes
OFSI FUND VI: S&P Assigns Preliminary B Rating on Class E Notes
OMI TRUST 2001-E: S&P Lowers Ratings on 3 Note Classes to 'CC'
ONE WALL II: S&P Raises Rating on Class E Notes to 'B-'
PREFERRED TERM XXI: Moody's Hikes Rating on 2 Note Classes to Caa2
PRIMA CAPITAL 200-1: Fitch Withdraws 'B' Rating on 4 Sec. Classes
PRUDENTIAL SECURITIES: Moody's Affirms Caa2 Rating on 2 Certs
RITE AID 1999-1: Moody's Affirms B3 Rating on 2 Cert. Classes
SIERRA TIMESHARE 2011-1: Fitch Rates Class C Notes at 'BB-sf'
SLM PRIVATE 2005-A: Fitch Cuts Rating on Class C Notes to 'BBsf'
TRAPEZA CDO III: Moody's Raises Rating on 2 Note Classes to Caa3
TRAPEZA CDO XIII: Moody's Hikes Rating on $21MM Sr. Notes to 'Ba1'
WACHOVIA BANK 2005-C21: Fitch Cuts Class G Certs Rating to 'CCCsf'
WACHOVIA BANK 2006-C26: S&P Cuts Ratings on 2 Note Classes to 'D'
WAMU COMMERCIAL 2007-SL2: Moody's Affirms C Rating on 3 Notes
* Fitch Lowers Various Distressed U.S. RMBS Bonds to 'Dsf'
* Fitch Lowers Rating on 2 Note Classes to 'Dsf'
* Moody's Takes Action on $573MM of RMBS Issued 2005-2006
* Moody's Takes Action on $127MM of Subprime RMBS Issued 2002-2004
* Moody's Cuts Ratings on $101.MM of Alt-A RMBS Issued 2005-2006
* Moody's Takes Actions on $81MM of RMBS by Various Issuers
* Moody's Takes Actions on $27.9MM of RMBS Deals From 3 Issuers
* Moody's Takes Actions on $34.3MM of Second Lien RMBS Deals
* S&P Corrects Ratings on 8 Classes from 2 U.S. RMBS Transactions
*********
ACA ABS 2002-1: Moody's Hikes Rating on $64MM Cl. B Notes to Caa3
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Moody's Investors Service has upgraded the rating on the following
note issued by ACA ABS 2002-1, Ltd.:
$64,000,000 Class B Second Priority Senior Secured Floating
Rate Notes Due August 1, 2037 (current outstanding balance of
$60,948,944.27), Upgraded to Caa3 (sf); previously on April 26,
2010 Downgraded to Ca (sf).
ACA ABS 2002-1, Ltd., issued in July 2002, is a collateralized
debt obligation (CDO) backed primarily by a portfolio of RMBS,
CMBS, and ABS assets.
Ratings Rationale
The rating action results primarily from the improved credit
profile of the Class B notes. Moody's observes that the Class B
notes are now the senior-most outstanding liabilities, following
repayment in full of the Class A notes. The Class B notes continue
to receive all current interest payments. Additionally, failing
coverage tests have resulted in diversion of excess interest,
which in the past amortized the Class A notes and the Class B
notes. This excess interest helps to improve the transaction's
over-collateralization (OC) ratios. For example, on the February
3, 2014 payment date, the Class B notes received $683,179.50 from
excess interest proceeds to pay down the notes. Moody's expects
the Class B notes to continue to benefit from such diversion of
excess interest -- whose stability is supported by a significant
proportion of collateral debt securities paying fixed-rate coupons
-- in the immediate future. Notwithstanding the foregoing, Moody's
notes that the Class B notes continue to be exposed to significant
risk of principal loss over its term. Based on the trustee report
dated December 31, 2013, the Class B notes were reported to be
under-collateralized, with an OC ratio of 77.98%.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs," published in May 2012.
Factors that would lead to an upgrade or downgrade of the rating
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: Primary causes of uncertainty about
assumptions are the extent of any slowdown in growth in the
current macroeconomic environment and in the commercial and
residential real estate property markets. Although the commercial
real estate property markets are gaining momentum, consistent
growth will be unlikely until the volume of transactions
increases, distressed properties are cleared from the pipeline and
job creation rebounds. The residential real estate property market
is subject to uncertainty about housing prices; the pace of
residential mortgage foreclosures, loan modifications and
refinancing; the unemployment rate; and interest rates.
2) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds,
recoveries from defaulted assets, and excess interest proceeds
will continue and at what pace.
3) Recovery of defaulted assets: The amount of recoveries received
from defaulted assets reported by the trustee and those that
Moody's assumes as having defaulted as well as the timing of these
recoveries create additional uncertainty. Moody's analyzed
defaulted assets assuming no recoveries, and therefore,
realization of any recoveries in the future would positively
impact the SF CDO.
Loss and Cash Flow Analysis
Moody's applies a Monte Carlo simulation framework in Moody's
CDOROM to model the loss distribution for SF CDOs. The simulated
defaults and recoveries for each of the Monte Carlo scenarios
define the reference pool's loss distribution. Moody's then uses
the loss distribution as an input in the CDOEdge cash flow model.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Caa ratings notched up by two rating notches (2156)
Class B: 0
Class C: 0
Caa ratings notched down by two notches (3424)
Class B: 0
Class C: 0
ALESCO PREFERRED IV: Moody's Hikes Rating on $5MM Notes to 'Caa1'
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Moody's Investors Service has upgraded the ratings on the
following notes issued by Alesco Preferred Funding IV, Ltd.:
$195,000,000 Class A-1 First Priority Senior Secured Floating Rate
Notes Due 2034 (current balance of $115,189,121.52), Upgraded to
Aa2 (sf); previously on August 15, 2013 Upgraded to A1 (sf)
$63,000,000 Class A-2 Second Priority Senior Secured Floating Rate
Notes Due 2034, Upgraded to A2 (sf); previously on August 15, 2013
Upgraded to Baa3 (sf)
$7,000,000 Class A-3 Second Priority Senior Secured Fixed/Floating
Rate Notes Due 2034, Upgraded to A2 (sf); previously on August 15,
2013 Upgraded to Baa3 (sf)
$5,000,000 Series I Combination Notes Due 2034 (current rated
balance of $2,551,199.93), Upgraded to Caa1 (sf); previously on
November 23, 2010 Downgraded to C (sf)
Alesco Preferred Funding IV, Ltd., issued in May 2004, is a
collateralized debt obligation backed by a portfolio of bank trust
preferred securities.
Ratings Rationale
The rating actions are primarily a result of the resumption of
deferring banks making interest payments on their trust preferred
securities (TruPS) and an increase in the transaction's over-
collateralization ratios, since August 2013.
In October 2013 three previously deferring banks, totaling $20
million notional, resumed making interest payments on their TruPS.
The Class A-1 notes' par coverage has thus improved to 209.3% from
185.5% since August 2013, by Moody's calculations. Based on the
trustee's January 2014 report, the over-collateralization ratio of
the Class A was 130.4% (limit 125.0%), versus 118.2% in August
2013 and that of the Class B was 77.0% (limit 101.8%), versus
70.3% in August 2013.
The Class A-1 notes will continue to benefit from the diversion of
excess interest and the use of proceeds from redemptions of any
assets in the collateral pool.
In addition, the rating action taken on the Series I Combination
notes is due to the resumption of interest payments of one of its
underlying component, the Class B-1 notes, payments that are
applied to reduce the rated balance. Moody's expects that the
Class B-1 notes will continue to pay their current interest and
the Series I Combination notes' rated balance will continue to
decline.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Ratings
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
currently expects could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's currently expects could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Faster
deleveraging than Moody's expects could have a significant impact
on the notes' ratings.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant
positive impact on the transaction's over-collateralization ratios
and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) 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
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $241.1
million, defaulted/deferring par of $15.5 million, a weighted
average default probability of 21.34% (implying a WARF of 1053), a
Moody's Asset Correlation of 18.53%, and a weighted average
recovery rate upon default of 10%. In addition to the quantitative
factors Moody's explicitly models, qualitative factors are part of
rating committee considerations. Moody's considers the structural
protections in the transaction, the risk of 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, can influence the final rating decision.
Moody's modeled the transaction's portfolio using CDOROM(TM)
v.2.10.15 to develop the default distribution from which it
derives the Moody's Asset Correlation parameter. Moody's then used
the parameter as an input in a cash flow model using CDOEdge.
CDOROM(TM) v.2.10.15 is available on www.moodys.com under Products
and Solutions -- Analytical models, upon receipt of a signed free
license agreement.
The portfolio of this CDO contains trust preferred securities
issued by small to medium sized U.S. community banks that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc(TM),
an econometric model developed by Moody's KMV, to derive credit
scores. Moody's evaluation of the credit risk of most of the bank
obligors in the pool relies on FDIC Q3-2013 financial data.
In addition to the base case, Moody's conduct 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
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 30 points from the base case of 1053 lowers
the model-implied rating on the Class A-1 notes by one notch from
the base case result; decreasing the WARF by 220 points raises the
model-implied rating on the Class A-1 notes by one notch from the
base case result.
Moody's also conducted two additional sensitivity analyses, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012. In
the first analysis, Moody's gave par credit to banks that are
deferring interest on their TruPS but satisfy other credit
criteria and thus are highly likely to resume interest payments;
in this case, Moody's gave par credit to $5 million of bank TruPS.
In the second sensitivity analysis, Moody's ran alternative
default-timing profile scenarios to reflect the lower likelihood
of a large spike in defaults. Below is a summary of the impact on
all of the rated notes (in terms of the difference in the number
of notches versus the current model-implied output, in which a
positive difference corresponds to a lower expected loss):
Sensitivity Analysis 1: Par Credit Given to Deferring Banks
Class A-1: 0
Class A-2: +1
Class A-3: +1
Class B-1: 0
Class B-2: 0
Class B-3: 0
Series I: +1
Sensitivity Analysis 2: Alternative Default Timing Profile
Class A-1: 0
Class A-2: +1
Class A-3: +1
Class B-1: 0
Class B-2: 0
Class B-3: 0
Series I: +1
AMMC VII: Moody's Affirms 'Ba2' Rating on $15MM Class E Notes
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Moody's Investors Service announced that it has upgraded the
ratings of the following notes issued by AMMC VII, Limited:
$17,500,000 Class C Deferrable Floating Rate Notes, Upgraded to
Aaa (sf); previously on August 1, 2013 Upgraded to Aa1 (sf); and
$30,000,000 Class D Deferrable Floating Rate Notes, Upgraded to
Baa1 (sf); previously on August 1, 2013 Upgraded to Baa3 (sf).
Moody's also affirmed the ratings on the following notes:
$375,000,000 Class A Floating Rate Notes (current outstanding
balance of $114,111,711), Affirmed Aaa (sf); previously on August
1, 2013 Affirmed Aaa (sf);
$22,500,000 Class B Floating Rate Notes, Affirmed Aaa (sf);
previously on August 1, 2013 Affirmed Aaa (sf); and
$15,000,000 Class E Deferrable Floating Rate Notes (current
outstanding balance of $11,237,947), Affirmed Ba2 (sf); previously
on August 1, 2013 Upgraded to Ba2 (sf).
AMMC VII, Limited, issued in December 2006, is a collateralized
loan obligation backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in January
2013.
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
the rating action in July 2013. The Class A notes have been paid
down by approximately 41% or $79.2 million since July 2013. Class
A, Class B, Class C, Class D and Class E overcollateralization
ratios are reported at 164.13%, 143.28%, 130.40%, 112.98% and
107.60%, respectively, versus July 2013 levels of 140.71%,
129.00%, 121.15%, 109.71% and 105.97%, respectively. Moody's notes
the trustee reported overcollateralization ratios do not reflect
the recent payment of $40.5 million to the Class A Notes in
January 2014.
Nevertheless, the credit quality of the portfolio has deteriorated
since July 2013. Based on the Moody's calculation, the weighted
average rating factor is currently 2735 compared to 2602 in July
2013.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
Factors that would lead to an upgrade or downgrade of the rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the 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 continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. 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.
Realization of higher than assumed recoveries would positively
impact the CLO.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Moody's Adjusted WARF -- 20% (2188)
Class A: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (3282)
Class A: 0
Class B: 0
Class C: -1
Class D: -2
Class E: -1
Loss and Cash Flow Analysis
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in November 2013.
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 differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $212.7 million, defaulted
par of $2.7 million, a weighted average default probability of
16.30% (implying a WARF of 2735), a weighted average recovery rate
upon default of 50.52%, a diversity score of 51 and a weighted
average spread of 3.39%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of
the assets in the collateral pool. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
ANTHRACITE CDO III: Moody's Affirms C Rating on 2 Note Classes
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Moody's Investors Service has upgraded the ratings on the
following notes issued by Anthracite CDO III, Ltd:
Cl. B-FL, Upgraded to A3 (sf); previously on Mar 21, 2013 Affirmed
Ba1 (sf)
Cl. B-FX, Upgraded to A3 (sf); previously on Mar 21, 2013 Affirmed
Ba1 (sf)
Cl. C-FL, Upgraded to Ba1 (sf); previously on Mar 21, 2013
Affirmed B1 (sf)
Cl. C-FX, Upgraded to Ba1 (sf); previously on Mar 21, 2013
Affirmed B1 (sf)
Moody's has also affirmed the ratings on the following notes:
Cl. D-FL, Affirmed Caa3 (sf); previously on Mar 21, 2013
Downgraded to Caa3 (sf)
Cl. D-FX, Affirmed Caa3 (sf); previously on Mar 21, 2013
Downgraded to Caa3 (sf)
Cl. E-FL, Affirmed C (sf); previously on Mar 21, 2013 Downgraded
to C (sf)
Cl. E-FX, Affirmed C (sf); previously on Mar 21, 2013 Downgraded
to C (sf)
Ratings Rationale
Moody's has upgraded the ratings of four classes of notes due to
rapid redemption as a result of lower than expected defaults and
greater than expected recoveries on certain collateral. Moody's
has also affirmed the ratings of four classes because key
transaction metrics are commensurate with the existing ratings.
The rating action is the result of Moody's on-going surveillance
of commercial real estate collateralized debt obligation (CRE CDO
and Re-REMIC) transactions.
Anthracite CDO III, Ltd. is a static cash transaction backed by a
portfolio of: i) commercial mortgage backed securities (CMBS)
(74.2% of the pool balance); ii) real estate investment trust
(REIT) debt (13.2%); and iii) a credit tenant lease (CTL) loan
(12.6%). As of the January 21, 2014 trustee report, the aggregate
note balance of the transaction, including preferred shares, has
decreased to $230.2 million from $435.3 million at issuance, with
the paydown now directed to the senior most outstanding class of
notes, as a result of rapid repayment of the underlying
collateral.
The pool contains fifteen assets totaling $43.1 million (40.7% of
the collateral pool balance) that are listed as defaulted
securities as of the trustee's January 21, 2014 report. All of
these assets (100% of the defaulted balance) are CMBS. Moody's
expects significant losses to occur on the defaulted securities.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these 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 updated its assessments for the reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF
of 4296, compared to 4420 at last review. The current ratings on
the Moody's-rated reference obligations and the assessments of the
non-Moody's rated reference obligations follow: Aaa-Aa3 (18.2%
compared to 18.2% at last review), A1-A3 (0.0% compared to 4.0% at
last review), Baa1-Baa3 (25.1% compared to 12.5% at last review),
Ba1-Ba3 (10.7% compared to 5.3% at last review), B1-B3 (4.0%
compared to 17.4% at last review), and Caa1-C (42.0% compared to
42.6% at last review).
Moody's modeled a WAL of 5.4 years, compared to 4.5 years at last
review.
Moody's modeled a fixed WARR of 22.8%, compared to 16.4% at last
review.
Moody's modeled a MAC of 7.1%, compared to 4.5% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to 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 to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
recovery rate of the underlying collateral and credit assessments.
The rated notes are particularly sensitive to changes in the
ratings of the underlying collateral and credit assessments.
Notching down the collateral pool by one notch would result in an
average modeled rating movement on the rated notes of zero to
three notches. Notching up the collateral pool by one notch would
result in an average modeled rating movement on the rated notes of
zero to three notches.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, 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, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
ANTHRACITE CRE 2006-HY3: S&P Lowers Rating on Class A Notes to 'D'
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Standard & Poor's Ratings Services lowered its rating on class A
from Anthracite CRE CDO 2006-HY3 Ltd. (Anthracite 2006-HY3), a
U.S. commercial real estate collateralized debt obligation
transaction, to 'D (sf)' from 'CCC- (sf)'.
The downgrade reflects S&P's analysis of the transaction following
interest shortfalls to the non-deferrable class A certificates
according to the Jan. 16, 2014, remittance report.
The class A certificates experienced interest shortfalls primarily
because the underlying commercial mortgage-backed securities
(CMBS) collateral for Anthracite 2006-HY3 failed to produce
sufficient interest proceeds to pay the interest amounts due to
the class after payments to the hedge counterparty (Bank of
America N.A.). According to the Jan, 16, 2014, remittance report,
class A did not receive any interest payments. In addition, on
Feb. 3, 2014, Bank of America N.A., as the swap counterparty,
provided notice that the swap agreement will be terminated.
According to the trustee report for Anthracite 2006-HY3, the
current asset pool includes 15 CMBS tranches ($62.4 million,
71.8%), and one subordinated loan ($24.6 million, 28.2%), which is
defeased.
ARCAP 2005-1: Moody's Affirms C Rating on 6 Class Notes
-------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by ARCap 2005-1 Resecuritization Trust:
Cl. A, Affirmed Caa3 (sf); previously on Apr 17, 2013 Affirmed
Caa3 (sf)
Cl. B, Affirmed Ca (sf); previously on Apr 17, 2013 Affirmed Ca
(sf)
Cl. C, Affirmed C (sf); previously on Apr 17, 2013 Affirmed C (sf)
Cl. D, Affirmed C (sf); previously on Apr 17, 2013 Affirmed C (sf)
Cl. E, Affirmed C (sf); previously on Apr 17, 2013 Affirmed C (sf)
Cl. F, Affirmed C (sf); previously on Apr 17, 2013 Affirmed C (sf)
Cl. G, Affirmed C (sf); previously on Apr 17, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has affirmed the ratings of seven classes of notes issued
by ARCap 2005-1. The affirmations are due to the key transaction
parameters performing within levels commensurate with the existing
ratings levels. The rating action is the result of Moody's on-
going surveillance of commercial real estate collateralized debt
obligation (CRE CDO and Re-remic) transactions.
ARCap 2005-1 is a cash transaction whose reinvestment period ended
in November 2006. The transaction is backed by a portfolio of
commercial mortgage backed securities (CMBS) (100% of the pool
balance). As of the trustee's December 31, 2013 report, the
aggregate note balance of the transaction, including preferred
shares, is $539.7 million, compared to $568.4 million at issuance.
The current collateral par amount is $188.2 million, a decrease of
380 million since securitization.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these 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 updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 7,756,
compared to 8,006 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral are as follows: Aaa-Aa3 (1.9% compared to 3.9% at
last review); Ba1-Ba3 (9.1% compared to 7.1% at last review); B1-
B3 (7.5% compared to 5.9% at last review); and Caa1-Ca/C (81.5%,
compared to 83.1% at last review).
Moody's modeled a WAL of 5.4 years, compared to 5.9 at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 2.1%, compared to 2.8% at last
review.
Moody's modeled a MAC of 100%, same as last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to 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 to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
ratings recovery rates of the underlying collateral and credit
assessments. Reducing the recovery rates of the collateral pool to
0% from 2.1% would not result in an average modeled rating
movement on the rated notes. Increasing the recovery rate of the
collateral pool by 5% would result in an average modeled rating
movement on the rated notes of zero to one notch up (e.g., two
notches up implies a ratings movement from Ba2 to Baa3).
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, 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, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
BANC OF AMERICA 2007-2: Fitch Cuts Rating on Class H Certs to Dsf
-----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 23 classes of
Banc of America Commercial Mortgage Trust, commercial mortgage
pass-through certificates, series 2007-2 (BACM 2007-2).
Key Rating Drivers
The downgrade of class H reflects realized losses. The
affirmations of the other classes are due to the relatively stable
performance of the collateral pool since Fitch's last rating
action. Fitch modeled losses of 16.4% of the remaining pool;
expected losses on the original pool balance total 14.9%,
including $170.5 million (5.4% of the original pool balance) in
realized losses to date. Fitch has designated 35 loans (22.4%) as
Fitch Loans of Concern, which includes 19 assets (17%) in special
servicing.
Rating Sensitivities
The Stable Outlooks on the super senior 'AAA' classes reflect the
seniority of these classes and sufficient credit enhancement.
The Negative Outlook on class A-M reflects the high leverage and
the possibility for further underperformance of the top 15 loans
(57% of the pool). Twelve loans in the top 15 (51%) have Fitch
loan-to-values greater than 90% and these loans may experience
difficulties at the time of refinancing. The pool also has a high
concentration of retail loans (47%); 10 (32%) of which are in the
top 15 loans and are located in weaker markets with risks of
tenant lease rollover.
Distressed classes (those rated below 'Bsf') may be subject to
further downgrades as additional losses are realized.
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 41.6% to $1.85 billion from
$3.17 billion at issuance. No loans are defeased. Interest
shortfalls are currently affecting classes D through S.
The largest three contributors to modeled losses remain the same
as the last rating action, the largest of which is the Beacon
Seattle & DC Portfolio loan (9% of the pool). The loan was
initially secured by a portfolio consisting of 16 office
properties, the pledge of the mortgage and the borrower's
ownership interest in one office property, and the pledge of cash
flows from three office properties. In aggregate, the initial
portfolio of 20 properties comprised approximately 9.8 million
square feet (sf) of office space. The loan was transferred to
special servicing in April 2010 for imminent default and was
modified in December 2010. Key modification terms included a five-
year extension of the loan to May 2017, a deleveraging structure
that provided for the release of properties over time, and an
interest rate reduction. The loan was returned to the master
servicer in May 2012 and is performing under the modified terms.
Under the modification, 11 properties have been released to date,
two of which occurred after Fitch's last rating action. These
properties included Market Square (Washington, D.C.); Key Center
(Bellevue, WA); City Center Bellevue (Bellevue, WA); 1616 North
Fort Myer Drive (Arlington, VA); Liberty Place (Washington, D.C.);
Army and Navy Building (Washington, D.C.); 1300 North Seventeenth
Street (Arlington, VA); Reston Town Center (Reston, VA);
Washington Mutual Tower (Seattle, WA); Wells Fargo Center
(Seattle, WA); and Plaza Center (Bellevue, WA).
As reported by the servicer and as of February 2014, the loan has
paid down by $1.58 billion (58% of the original overall loan
balance). As of year-end (YE) 2013, the portfolio occupancy of
the remaining nine properties has fallen below 80%, down
significantly from the 97% occupancy reported at issuance for the
same properties. The portfolio continues to be subject to tenant
lease rollover risk. As of YE 2012, the net operating income was
$72.2 million for the remaining nine properties, representing a
2.5% increase from YE 2011, a 1.6% decline from YE 2010, and a
4.9% decline from NOI reported at issuance for the same
properties.
The next largest contributor to modeled losses is the Connecticut
Financial Center loan (7%). The loan is secured by a 466,049
square foot (sf) office building located in New Haven, CT. The
loan was transferred to special servicing in June 2012 for
imminent default. The largest tenant (initially leasing
approximately 47% of the property square footage at an above
market rate) vacated a significant block of their occupied space
at its June 2012 lease expiration. This caused both occupancy and
cash flow to drop significantly. As of March 2013, property
occupancy was 71% compared to 91% at issuance. The loan was
modified in August 2013 into a $70 million A-note and a $60.4
million B-note. Fitch modeled a full loss on the B-note portion
of the loan.
The third largest contributor to modeled losses is the Venture
Pointe loan (1.4%). The loan is secured by a 335,420 sf shopping
center located in Atlanta, GA. The loan was transferred to
special servicing in March 2011 for imminent default. The
borrower had previously engaged a listing broker to market the
property for sale, but offers were not sufficient to receive the
lender's approval. A receiver is currently in place and is
working to lease-up and stabilize the property before it is
marketed for sale. The property is currently 68% occupied. A new
tenant recently executed a lease that commenced during the fourth
quarter 2013 for approximately 10% of the total property square
footage. The tenant is currently in its build-out stage.
Fitch downgrades the following classes as indicated:
--$43 million class H to 'Dsf' from 'Csf'; RE 0%.
Fitch affirms the following classes as indicated:
--$46.9 million class A-2 at 'AAAsf'; Outlook Stable;
--$3.4 million class A-2FL at 'AAAsf'; Outlook Stable;
--$162.6 million class A-3 at 'AAAsf'; Outlook Stable;
--$39 million class A-AB at 'AAAsf'; Outlook Stable;
--$602 million class A-4 at 'AAAsf'; Outlook Stable;
--$220.1 million class A-1A at 'AAAsf'; Outlook Stable;
--$317.3 million class A-M at 'Asf'; Outlook Negative;
--$153.8 million class A-J at 'CCCsf'; RE 65%;
--$100 million class A-JFL at 'CCCsf'; RE 65%;
--$15.9 million class B at 'CCCsf'; RE 0%;
--$47.6 million class C at 'CCsf'; RE 0%;
--$31.7 million class D at 'Csf'; RE 0%;
--$15.9 million class E at 'Csf'; RE 0%;
--$27.8 million class F at 'Csf'; RE 0%;
--$27.8 million class G at 'Csf'; 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%;
--$0 class P at 'Dsf'; RE 0%;
--$0 class Q at 'Dsf'; RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class S certificates. Fitch previously withdrew the rating on
the interest-only class XW certificates.
BEAR STEARNS 2005-PWR8: Fitch Affirms CCsf Rating on Cl. F Certs
----------------------------------------------------------------
Fitch Ratings has affirmed all classes of Bear Stearns Commercial
Mortgage Securities Trust (BSCMSI) commercial mortgage pass-
through certificates series 2005-PWR8 due to stable performance
since issuance.
Key Rating Drivers
Fitch modeled losses of 3.4% of the remaining pool; expected
losses on the original pool balance total 6.8%, including $73.9
million (4.2% of the original pool balance) in realized losses to
date. Fitch has designated 35 loans (14.7%) as Fitch Loans of
Concern, which includes five specially serviced assets (2.4%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 24.4% to $1.33 billion from
$1.77 billion at issuance. Per the servicer reporting, 10 loans
(12.4% of the pool) are defeased. Interest shortfalls are
currently affecting classes F through Q. The largest contributors
to expected losses represent approximately 39% of total modeled
losses.
The largest contributor to modeled losses is the specially-
serviced La Borgata at Serrano (0.9% of the pool), which is
secured by an approximately 62,167 square foot (sf) mixed use
office/retail property located in El Dorado Hills, CA (30 miles
east of Sacramento, CA). The property has been real estate owned
(REO) since September 2012. The special servicer reports 46.7%
occupancy as of December 2013. The special servicer is working to
lease up the property prior to marketing it for sale.
The next largest contributor to modeled losses is the specially-
serviced 310 Technology Parkway Office Building loan (0.4%), which
is secured by a 61,244 sf, two-story office building constructed
in 1998, located in Norcross, GA. The loan transferred to the
special servicer in April 2012 when the single tenant vacated its
space and the property has remained fully vacant. The special
servicer is pursuing foreclosure.
RATING SENSITIVITY
Rating Outlooks on classes A-4 through C remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class D is Negative due to the risk of adverse
selection and the possibility that a portion of the 94% of pool
that is scheduled to mature in 2015 will not be able to refinance.
Fitch affirms the following classes but revises REs as indicated:
--$17.7 million class E at 'CCCsf', RE 90%;
--$19.9 million class F at 'CCsf', RE 0%.
Fitch affirms the following classes as indicated:
--$1 billion class A-4 at 'AAAsf', Outlook Stable;
--$49.2 million class A-4FL at 'AAAsf', Outlook Stable;
--$150 million class A-J at 'Asf', Outlook Stable;
--$37.5 million class B at 'BBB-sf', Outlook Stable;
--$17.7 million class C at 'BBsf', Outlook Stable;
--$26.5 million class D at 'Bsf', Outlook Negative;
--$11.8 million class G at 'Dsf';
--$0 class H at 'Dsf', RE 0%;
--$0 class J at 'Dsf', RE 0%;
--$0 class K at 'Dsf', RE0%;
--$0 class L at 'Dsf', RE 0%;
--$0 class M at 'Dsf', RE 0%;
--$0 class N at 'Dsf', RE 0%;
--$0 class P at 'Dsf', RE 0%.
The class A-1, A-2, A-3 and A-AB certificates have paid in full.
Fitch does not rate the class Q certificates. Fitch previously
withdrew the ratings on the interest-only class X-1 and X-2
certificates.
COMM 2007-FL14: Moody's Lowers Rating on Class K Notes to 'C'
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings of six CMBS
classes, upgraded the ratings of five CMBS classes and affirmed
the ratings of seven classes of COMM 2007-FL14 Commercial Mortgage
Pass Through Certificates, Series 2007-FL14 as follows:
Cl. A-J, Affirmed A1 (sf); previously on Mar 7, 2013 Affirmed A1
(sf)
Cl. B, Affirmed A3 (sf); previously on Mar 7, 2013 Affirmed A3
(sf)
Cl. C, Affirmed Baa2 (sf); previously on Mar 7, 2013 Affirmed Baa2
(sf)
Cl. D, Affirmed Ba1 (sf); previously on Mar 7, 2013 Affirmed Ba1
(sf)
Cl. E, Downgraded to B2 (sf); previously on Mar 7, 2013 Affirmed
Ba3 (sf)
Cl. F, Downgraded to Caa1 (sf); previously on Mar 7, 2013 Affirmed
B2 (sf)
Cl. G, Downgraded to Caa2 (sf); previously on Mar 7, 2013 Affirmed
B3 (sf)
Cl. H, Downgraded to Caa3 (sf); previously on Mar 7, 2013 Affirmed
Caa1 (sf)
Cl. J, Downgraded to Ca (sf); previously on Mar 7, 2013 Affirmed
Caa2 (sf)
Cl. K, Downgraded to C (sf); previously on Mar 7, 2013 Affirmed
Caa3 (sf)
Cl. GLB1, Upgraded to Baa2 (sf); previously on Mar 7, 2013
Affirmed B1 (sf)
Cl. GLB2, Upgraded to Ba1 (sf); previously on Mar 7, 2013 Affirmed
B2 (sf)
Cl. GLB4, Upgraded to Ba3 (sf); previously on Mar 7, 2013 Affirmed
Caa1 (sf)
Cl. X-2, Affirmed Ba3 (sf); previously on Mar 7, 2013 Affirmed Ba3
(sf)
Cl. X-3-DB, Upgraded to Ba3 (sf); previously on Mar 7, 2013
Affirmed Caa1 (sf)
Cl. X-3-SG, Affirmed Caa3 (sf); previously on Mar 7, 2013 Affirmed
Caa3 (sf)
Cl. X-5-DB, Upgraded to A2 (sf); previously on Mar 7, 2013
Upgraded to Ba3 (sf)
Cl. X-5-SG, Affirmed Caa3 (sf); previously on Mar 7, 2013 Affirmed
Caa3 (sf)
Ratings Rationale
The downgrades of six pooled principal and interest (P&I) classes
are due to the higher than expected anticipated losses from
specially serviced and troubled loans that are coming closer to
resolution.
The upgrades of three non-pooled (or rake) classes (GLB-1, GLB-2
and GLB-4) are due to a decrease in Moody's loan to value (LTV)
ratio for the Glenborough Office Portfolio loan due to a partial
loan pay down and the payment of release premiums from collateral
releases.
The upgrades of two interest-only (IO ) classes are due to the
improved credit performance of the reference loan, the Glenborough
Office Portfolio loan.
The affirmations of four P&I classes are due to key parameters,
including Moody's LTV ratio and Moody's stressed debt service
coverage ratio (DSCR) remaining within acceptable ranges.
The ratings of IO Classes X-2, X-3-SG and X-5-SG are consistent
with the expected credit performance (or the weighted average
rating factor, or WARF) of their referenced classes, or loans, and
thus area affirmed.
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, an increase in loan concentration,
increased expected losses from specially serviced and troubled
loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating CMBS Large Loan/Single Borrower Transactions"
published in July 2000.
Description of Models Used
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.6. The large loan model derives credit enhancement
levels based on an aggregation of adjusted loan level proceeds
derived from Moody's loan level LTV ratios. Major adjustments to
determining proceeds include leverage, loan structure, property
type, and sponsorship. These aggregated proceeds are then further
adjusted for any pooling benefits associated with loan level
diversity, other concentrations and correlations.
Deal Performance
As of the January 15, 2014 Payment Date, the transaction's
certificate balance decreased by approximately 88% to $304.8
million from $2.5 billion at securitization due to the payoff of
nine loans and principal pay downs.
The Certificates are collateralized by three mortgage loans
ranging in size from 12% to 61% of the pooled balance. Two loans,
the Glenborough Portfolio loan and the Rose Orchard Technology
Park loan, have been modified. The New Jersey Office Portfolio
loan was transferred to special servicing in January 2011 and is
REO.
Moody's loan to value (LTV) ratio is 73%, compared to 90% at last
review. Moody's stressed debt service coverage (DSCR) is 1.66X
compared to 1.16X at last review.
The largest loan, the Glenborough Portfolio loan ($142.0 million -
- 61% of the pooled balance) is secured by ten office properties
containing a total of 2.1 million square feet. Ten properties were
released since securitization containing approximately 1.2 million
square feet, including four properties that were released since
Moody's last review in March 2013. The current portfolio has a
concentration in the Washington, D.C. metro area (3 properties --
33% of rentable area) and the San Francisco metro area (2
properties -- 23%). The other five properties are located in San
Diego, CA, Denver, CO, Los Angeles CA and Clearwater, FL. As of
June 2013, the portfolio was 82% leased, compared to 84% at last
review. The $324.9 million whole loan includes non-pooled trust
debt of $71.8 million (certificate Classes GLB1, GLB2, GLB3 and
GLB4) and a $111.0 million non-trust junior component. The trust
debt has paid down by 50% since securitization, including a 61%
pay down of the pooled debt, due to the payment of collateral
release premiums and a $25.0 million partial loan repayment. There
is also approximately $86.0 million in mezzanine debt. Moody's
current credit assessment is A2, compared to Ba3 at last review.
The New Jersey Office Portfolio loan ($62.4 million -- 27%) is
secured by six office buildings and one exhibition center totaling
1.2 million square feet. The properties are located in Franklin
Township, New Jersey. As of November 2013, the portfolio was 48%
leased, the same as last review, and compared to 45% at
securitization. The loan is REO via a deed-in-lieu of foreclosure
that closed in April 2012. There was a $7.1 million appraisal
reduction in September 2013 affecting the $19.1 million B-Note
held outside the trust. The properties have been listed for sale
and bids are being reviewed. The properties are challenged by high
market vacancy. Moody's credit assessment is Caa3, the same as at
last review.
The Rose Orchard Technology Park loan ($28.6 million -- 12%) is
secured by 310,233 square feet of office space in a five-building
office R&D property located in San Jose, California. The property
was 37% leased as of June 2013, the same as at last review, and
compared to 44% leased at securitization. Occupancy dropped to the
current level in December 2010 when a major tenant that leased 43%
of net rentable area vacated. The loan was modified in early 2013
when the B-Note held outside the trust was exchanged for equity.
The loan was extended to January 9, 2015. Moody's credit
assessment is Caa3, the same as at last review.
COMM 2014-CCRE15: Moody's Assigns (P)B2 Rating on Class F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to
fourteen classes of CMBS securities, issued by COMM 2014-CCRE15
Mortgage Trust, Commercial Mortgage Pass-Through Certificates.
Cl. A-1, Assigned (P)Aaa (sf)
Cl. A-2, Assigned (P)Aaa (sf)
Cl. A-SB, Assigned (P)Aaa (sf)
Cl. A-3, Assigned (P)Aaa (sf)
Cl. A-4, Assigned (P)Aaa (sf)
Cl. X-A*, Assigned (P)Aaa (sf)
Cl. A-M**, Assigned (P)Aaa (sf)
Cl. B**, Assigned (P)Aa3 (sf)
Cl. PEZ**, Assigned (P)A1 (sf)
Cl. C**, Assigned (P)A3 (sf)
Cl. X-B*, Assigned (P)Baa1 (sf)
Cl. D, Assigned (P)Baa3 (sf)
Cl. E, Assigned (P)Ba2 (sf)
Cl. F, Assigned (P)B2 (sf)
Reflects Interest-Only Class
Reflects Exchangeable Class
Ratings Rationale
The Certificates are collateralized by 49 fixed-rate loans secured
by 64 properties including one credit assessed loan. The ratings
are based on the collateral and the structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real
estate and structured finance analysis. Based on commercial real
estate analysis, Moody's determines the credit quality of each
mortgage loan and calculates an expected loss on a loan specific
basis. Under structured finance, the credit enhancement for each
certificate typically depends on the expected frequency, severity,
and timing of future losses. Moody's also considers a range of
qualitative issues as well as the transaction's structural and
legal aspects.
The credit risk of loans is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is
largely driven by each loan's DSCR, and 2) Moody's assessment of
the severity of loss upon a default, which is largely driven by
each loan's LTV ratio.
The Moody's Actual DSCR of 1.33X (1.36x excluding credit assessed
loans) is slightly higher than the 2007 conduit/fusion transaction
average of 1.31X. The Moody's Stressed DSCR of 0.89X (0.95x
excluding credit assessed loans) is lower than the 2007
conduit/fusion transaction average of 0.92X.
Moody's Trust LTV ratio of 106.9% is lower than the 2007
conduit/fusion transaction average of 110.6% but higher than many
pools securitized during 2013. Excluding the credit assessed loan,
the Trust balance represents a Moody's LTV of 112.0%, which is
higher than the 2007 conduit/fusion transaction average.
Moody's also considers both loan level diversity and property
level diversity when selecting a ratings approach.
With respect to loan level diversity, the pool's loan level
(includes cross collateralized and cross defaulted loans)
Herfindahl Index is 21.3 (21.0 excluding credit assessed loans).
The transaction's loan level diversity is at the lower end of the
band of Herfindahl scores found in most multi-borrower
transactions issued since 2009. With respect to property level
diversity, the pool's property level Herfindahl Index is 29 (30.6
excluding credit assessed loans). The transaction's property
diversity profile is lower than the indices calculated in most
multi-borrower transactions issued since 2009.
Moody's also grades properties on a scale of 1 to 5 (best to
worst) and considers those grades when assessing the likelihood of
debt payment. The factors considered include property age, quality
of construction, location, market, and tenancy. The pool's
weighted average property quality grade is 2.37, which is lower
than the indices calculated in most multi-borrower transactions
since 2009.
This deal has a super-senior Aaa class with 30% credit
enhancement. Although the additional enhancement offered to the
senior most certificate holders provides additional protection
against pool loss, the super-senior structure is credit negative
for the certificate that supports the super-senior class. If the
support certificate were to take a loss, the loss would have the
potential to be quite large on a percentage basis. Thin tranches
need more subordination to reduce the probability of default in
recognition that their loss-given default is higher. This
adjustment helps keep expected loss in balance and consistent
across deals. The transaction was structured with additional
subordination at class A-M to mitigate the potential increased
severity to class A-M.
The principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
Moody's analysis employs the excel-based CMBS Conduit Model v2.64
which derives credit enhancement levels based on an aggregation of
adjusted loan level proceeds derived from Moody's loan level DSCR
and LTV ratios. Major adjustments to determining proceeds include
loan structure, property type, sponsorship and diversity. Moody's
analysis also uses the CMBS IO calculator version 1.0 which
references the following inputs to calculate the proposed IO
rating based on the published methodology: original and current
bond ratings and credit estimates; original and current bond
balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.
Moody's Parameter Sensitivities: If Moody's value of the
collateral used in determining the initial rating were decreased
by 5%, 15%, and 23%, the model-indicated rating for the currently
rated junior Aaa class would be Aa1, Aa2, A1, respectively.
Parameter Sensitivities are not intended to measure how the rating
of the security might migrate over time; rather they are designed
to provide a quantitative calculation of how the initial rating
might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each
scenario from a quantitative/model-indicated standpoint.
Qualitative factors are also taken into consideration in the
ratings process, so the actual ratings that would be assigned in
each case could vary from the information presented in the
Parameter Sensitivity analysis.
These ratings: (a) are based solely on information in the public
domain and/or information communicated to Moody's by the issuer at
the date it was prepared and such information has not been
independently verified by Moody's; (b) must be construed solely as
a statement of opinion and not a statement of fact or an offer,
invitation, inducement or recommendation to purchase, sell or hold
any securities or otherwise act in relation to the issuer or any
other entity or in connection with any other matter. Moody's does
not guarantee or make any representation or warranty as to the
correctness of any information, rating or communication relating
to the issuer. Moody's shall not be liable in contract, tort,
statutory duty or otherwise to the issuer or any other third party
for any loss, injury or cost caused to the issuer or any other
third party, in whole or in part, including by any negligence (but
excluding fraud, dishonesty and/or willful misconduct or any other
type of liability that by law cannot be excluded) on the part of,
or any contingency beyond the control of Moody's, or any of its
employees or agents, including any losses arising from or in
connection with the procurement, compilation, analysis,
interpretation, communication, dissemination, or delivery of any
information or rating relating to the issuer.
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.
CONNECTICUT VALLEY: Moody's Hikes Rating on 2 Note Classes to B1
----------------------------------------------------------------
Moody's Investors Service announced that it has upgraded the
ratings on the following notes issued by Connecticut Valley
Structured Credit CDO II, LTD.:
$25,000,000 Class A-2 Floating Rate Notes (current balance of
$11,813,636), Upgraded to Aaa (sf); previously on December 5, 2011
Upgraded to A2 (sf)
$6,000,000 Class B-1 Deferrable Floating Rate Notes (current
balance of $6,541,516), Upgraded to Ba1 (sf); previously on
December 5, 2011 Confirmed at B1 (sf)
$15,000,000 Class B-2 Deferrable Fixed Rate Notes (current balance
of $19,367,335), Upgraded to Ba1 (sf); previously on December 5,
2011 Confirmed at B1 (sf)
$18,250,000 Class C-1 Deferrable Floating Rate Notes (current
balance of 21,362,120), Upgraded to B1 (sf); previously on
December 5, 2011 Confirmed at Caa3 (sf)
$13,250,000 Class C-2 Deferrable Fixed Rate Notes (current balance
of 18,573,385) ,Upgraded to B1 (sf); previously on December 5,
2011 Confirmed at Caa3 (sf)
Connecticut Valley Structured Credit CDO II, Ltd. is a
collateralized debt obligation backed primarily by a portfolio of
collateralized loan obligations (CLOs) originated between 2003 and
2006.
Ratings Rationale
According to Moody's, the rating actions taken on the notes are
primarily a result of deleveraging of the senior notes and an
increase in the transaction's overcollateralization ratios since
February 2013. Moody's notes that the Class A-2 Notes have been
paid down by approximately 87.5% or $82.7 million since February
2013 and will be fully paid off within the next few payment
periods based on our analysis of cash flows. Based on the latest
trustee report dated January 6, 2014, the Class A/B and Class C
overcollateralization ratios are reported at 233.42% and 113.39%,
respectively, versus February 2013 levels of 133.20% and 100.91%,
respectively.
Moody's notes that the deal has also benefited from an improvement
in the credit quality of the underlying portfolio since February
2013. Based on the January 2014 report, the weighted average
rating factor is currently 1497 compared to 1789 in February 2013.
As reported by the trustee, on August 13, 2009, the transaction
experienced an "Event of Default" caused by a failure of the Class
A Par Value Ratio being at least equal to 102%, as required under
Section 5.1(vi) of the indenture. The Controlling Party
subsequently directed the Trustee to declare the principal and
accrued and unpaid interest on the Notes to be immediately due and
payable. As a result of the acceleration of the Notes, all
proceeds from the underlying assets are being used to pay interest
and principal on the Class A-2 Notes. Despite the significant
increases in the OC ratios across the capital structure, the Class
B and Class C Notes have not been paid interest payments since the
acceleration of the Notes, and will be deferring interest payments
until each of the outstanding senior notes are paid in full.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
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:
Moody's notes that in arriving at its ratings of SF CDOs backed by
CLOs, there exist a number of sources of uncertainty, operating
both on a macro level and on a transaction-specific level. These
uncertainties are evidenced by 1) uncertainties of credit
conditions in the general economy and 2) the large concentration
of speculative-grade debt maturities which may create challenges
for issuers to refinance. CLO notes' performance may also be
impacted by 1) the manager's investment strategy and behaviour and
2) divergence in legal interpretation of CLO documentation by
different transactional parties due to embedded ambiguities.
Loss and Cash Flow Analysis
Moody's applied the Monte Carlo simulation framework within
Moody's CDOROM(TM) v2.10-15 to model the loss distribution for SF
CDOs. Within this framework, defaults are generated so that they
occur with the frequency indicated by the adjusted default
probability pool (the default probability associated with the
current rating multiplied by the Resecuritization Stress) for each
credit in the reference. Specifically, correlated defaults are
simulated using a normal (or "Gaussian") copula model that applies
the asset correlation framework. Recovery rates for defaulted
credits are generated by applying within the simulation the
distributional assumptions, including correlation between recovery
values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the
reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the Moody's CDOROM
loss distribution is associated with the interest and principal
received by the rated liability classes via the CDOEdge cash-flow
model. The cash flow model takes into account the following:
collateral cash flows, the transaction covenants, the priority of
payments (waterfall) for interest and principal proceeds received
from portfolio assets, reinvestment assumptions, the timing of
defaults, interest-rate scenarios and foreign exchange risk (if
present). The Expected Loss (EL) for each tranche is the weighted
average of losses to each tranche across all the scenarios, where
the weight is the likelihood of the scenario occurring. Moody's
defines the loss as the shortfall in the present value of cash
flows to the tranche relative to the present value of the promised
cash flows. The present values are calculated using the promised
tranche coupon rate as the discount rate. For floating rate
tranches, the discount rate is based on the promised spread over
Libor and the assumed Libor scenario
Stress Scenarios
Moody's rating action factors in a number of sensitivity analyses
and stress scenarios, discussed below. Results are shown in terms
of the number of notches' difference versus the current model
output, where a positive difference corresponds to lower expected
loss, assuming that all other factors are held equal:
Moody's non-investment grade assets notched up by 2 rating
notches:
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C-1:+2
Class C-2:+2
Moody's non-investment grade assets notched down by 2 rating
notches:
Class A-2: 0
Class B-1: 0
Class B-2: 0
Class C-1:-3
Class C-2:-3
CREDIT SUISSE 1998-C2: Moody's Cuts Cl. AX Certs' Rating to Caa1
----------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes,
downgraded one class and affirmed two classes of Credit Suisse
First Boston Mortgage Securities Corp., Commercial Mortgage Pass-
Through Certificates, Series 1998-C2 as follows:
Cl. F, Upgraded to Aaa (sf); previously on Mar 14, 2013 Upgraded
to A1 (sf)
Cl. G, Upgraded to Baa2 (sf); previously on Mar 14, 2013 Affirmed
Ba1 (sf)
Cl. H, Affirmed Caa3 (sf); previously on Mar 14, 2013 Affirmed
Caa3 (sf)
Cl. I, Affirmed C (sf); previously on Mar 14, 2013 Affirmed C (sf)
Cl. AX, Downgraded to Caa1 (sf); previously on Mar 14, 2013
Affirmed B3 (sf)
Ratings Rationale
The ratings on Classes F and G were upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization as well as an increase in the defeasance as a
percentage of the current balance. The deal has paid down 32%
since Moody's last review. Defeasance has increased to 49% of the
current balance compared to 36% at last review.
The ratings on Classes H and I were affirmed because the current
ratings are consistent with Moody's expected loss.
The rating of the IO Class, Class AX, was downgraded 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 10.9% of
the current balance compared to 8.1% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.5% of the
original pooled balance, compared to 3.6% 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in
July 2000, and "Commercial Real Estate Finance: Moody's Approach
to Rating Credit Tenant Lease Financings" published in November
2011.
Description of Models Used
Moody's review used the excel-based Large Loan Model v 8.6 and
then reconciles and weights the results from the CDOROMv2.10-15
and large loan 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.
Moody's also further adjusts these aggregated proceeds for any
pooling benefits associated with loan level diversity and other
concentrations and correlations.
Moody's analysis incorporated a Credit Tenant Lease (CTL)
financing approach in assessing the credit quality of the pool's
CTL component. In this approach, the rating of the CTL component
is based primarily on the senior unsecured debt rating (or the
corporate family rating) of the tenants, usually investment-grade-
rated companies, leasing the real estate collateral supporting the
bonds. The tenants' credit rating is the key factor in determining
the probability of default on the underlying lease. The lease
generally is "bondable," which means it is an absolute net lease,
yielding a fixed rent paid to the trust through a lock box,
sufficient under all circumstances to pay in full all interest and
principal of the loan. The leased property should be owned by a
bankruptcy-remote special purpose borrower, which grants a first-
lien mortgage and assignment of rents to the securitization trust.
Moody's determines a dark value of the collateral, (which assumes
the property is vacant or dark), which the agency uses to
determine a recovery rate upon a loan's default. Moody's currently
uses a Gaussian copula model, incorporated in its public CDO
rating model CDOROMv2.10-15, to generate a portfolio loss
distribution to assess the ratings.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 6 compared to a Herf of 7 at Moody's last
review.
Deal Performance
As of the January 17, 2014 payment date, the transaction's
aggregate certificate balance has decreased by approximately 92%
to $158.8 million from $1.92 billion at securitization. The
Certificates are collateralized by 44 mortgage loans ranging in
size from less than 1% to 20% of the pool, with the top ten loans
representing approximately 41% of the pool, excluding defeasance.
The pool includes a credit tenant lease (CTL) component,
representing 24% of the pool or 25 loans. Fifteen loans,
representing 49% of the pool, have defeased and are collateralized
with U.S. Government securities.
Three loans, constituting 9% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that 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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Seventeen loans have been liquidated from the pool since
securitization, resulting in a $49.6 million loss (48% loss
severity on average). There are currently two loans, representing
25% of the pool, in special servicing. The largest specially
serviced loan is the Camco Portfolio Loan ($31.1 million --
19.6%), which is secured by two retail properties and one
industrial property totaling 547,000 square feet. Two properties
are located in North Richland Hills and one property is located in
Irving, Texas. The servicer is in discussions with the borrower.
The second loan is the St. Landry Plaza Shopping Center Loan ($8.1
million -- 5.1%), which is secured by a 221,508 square feet retail
property located in Opelousas, Louisiana. The property became REO
in January 2013.
Moody's estimates an aggregate $10.6 million loss for the
specially serviced loans (27% expected loss on average).
Moody's received full year 2012 operating results for 100% of the
pool and partial year 2013 operating results for 100% of the pool,
excluding defeasance, specially serviced and CTL loans. Moody's
weighted average conduit LTV is 77%, compared to 94% at Moody's
last 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 22% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.1%.
Moody's actual and stressed conduit DSCRs are 1.0X and 1.71X,
respectively, compared to 0.97X and 1.31X at the 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% stress rate the agency applied to the loan
balance.
The only two performing conduit loans represent 2% of the pool
balance. The largest loan is the Derrer Field Estates Apartments
Loan ($2.7 million -- 1.7% of the pool), which is secured by a
151-unit apartment building located in Columbus, Ohio. The loan is
on the servicer's watchlist due to low DSCR and passing its
anticipated repayment date (ARD). As of September 2013, occupancy
was 93% compared to 91% at last review. Moody's LTV and stressed
DSCR are 90% and 1.14X, respectively, compared to 99% and 1.03X at
last review.
The second largest loan is the Comfort Inn - Petersburg Loan ($0.9
million -- 0.6% of the pool), which is secured by a 96-room
limited service hotel located in Petersburg, Virginia. Performance
has been stable. The loan is fully amortizing and martures in
2018. Moody's LTV and stressed DSCR are 38% and 3.44X,
respectively, compared to 43% and 3.03X at last review.
The CTL component includes 25 loans ($38.4 million -- 24.2% of the
pool). The loans are secured by properties leased to six tenants
under bondable leases. The largest exposures are CVS/Caremark
Corp. (40% of the CTL component; Moody's senior unsecured rating
Baa1 -- stable outlook), Regal Entertainment Group (16%; Moody's
senior unsecured rating B3 -- stable outlook), and Cinemark USA
Inc. (15%; Moody's senior unsecured rating B2 -- stable outlook).
The bottom-dollar weighted average rating factor (WARF) for the
CTL pool is 2,925. WARF is a measure of the overall quality of a
pool of diverse credits. The bottom-dollar WARF is a measure of
the default probability within the pool.
CREDIT SUISSE 2005-C2: Moody's Affirms Ca Rating on Cl. A-J Notes
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of eight
classes of Credit Suisse First Boston Mortgage Securities
Corporation, Commercial Mortgage Pass-Through Certificates, Series
2005-C2 as follows:
Cl. A-3, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed A1 (sf); previously on Mar 14, 2013 Downgraded
to A1 (sf)
Cl. A-1-A, Affirmed A1 (sf); previously on Mar 14, 2013 Downgraded
to A1 (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-J, Affirmed Ca (sf); previously on Mar 14, 2013 Downgraded
to Ca (sf)
Cl. A-MFL, Affirmed B1 (sf); previously on Mar 14, 2013 Downgraded
to B1 (sf)
Cl. A-MFX, Affirmed B1 (sf); previously on Mar 14, 2013 Downgraded
to B1 (sf)
Cl. A-X, Affirmed B3 (sf); previously on Mar 14, 2013 Downgraded
to B3 (sf)
Ratings Rationale
The ratings on six P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The rating on one P&I class was affirmed because the
rating is consistent with Moody's expected loss. The rating on the
IO Class, Class A-X, was affirmed based on the credit performance
of the referenced classes.
Moody's rating action reflects a base expected loss of 2.9% of the
current balance, compared to 16.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 16.3% of the
original pooled balance compared to 18.3% at the 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 24, the same as at Moody's last review.
Deal Performance
As of the January 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 41% to $955.6
million from $1.6 billion at securitization. The certificates are
collateralized by 127 mortgage loans ranging in size from less
than 1% to 11% of the pool, with the top ten loans constituting
45% of the pool. Seventeen loans, constituting 11% of the pool,
have defeased and are secured by US government securities. There
are no loans that have investment-grade credit assessments.
Twenty-seven loans, constituting 25% of the pool, are on the
master servicer's watchlist. The watchlist includes loans that
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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Eighteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $233.9 million (for an average loss
severity of 65%). Four loans, constituting 1.3% of the pool, are
currently in special servicing. Moody's estimates an aggregate $
7.0 million loss for specially serviced loans (55% expected loss
on average).
Moody's has assumed a high default probability for 11 poorly
performing loans, constituting 5% of the pool, and has estimated
an aggregate loss of $8.0 million (a 18% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 95% of the
pool and full or partial year 2013 operating results for 91% of
the pool. Moody's weighted average conduit LTV is 91% compared to
97% at Moody's last 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 10% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.1%.
Moody's actual and stressed conduit DSCRs are 1.34X and 1.13X,
respectively, compared to 1.26X and 1.07X at the last 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% stress rate the agency applied to the loan balance.
The top three conduit loans represent 26% of the pool balance. The
largest loan is the 390 Park Avenue Loan ($100.7 million -- 10.5%
of the pool), which is secured by a 234,240 square foot (SF) Class
A office building located in New York City. As of December 2013,
the property was 100% leased, the same as at last review. The
property is subject to a long-term ground lease which expires in
2049 with four, 12-year renewal options. Moody's LTV and stressed
DSCR are 90% and 1.03X, respectively, compared to 92% and 0.99X,
at last review.
The second largest performing loan is the Spectrum Office
Portfolio Loan ($78.4 million -- 8.2% of the pool), which is
secured by six office properties located in the River North
submarket of Chicago, Illinois. As of September 2013, the
portfolio was 89% leased compared to 91% as of September 2012.
Five out of the six properties are currently on the watchlist due
to low DSCR. Per the press release titled "Moody's: CSFB 2005-C2
Ratings Unaffected by the Proposed Defeasance of Spectrum
Portfolio Loans," dated January 29, 2014, Moody's was informed
this portfolio will be defeased.
The third largest performing loan is the 65 Broadway Loan ($66.8
million -- 7.0% of the pool), which is secured by a 342,278 SF
office building located in New York City in the Battery Park
submarket. As of September 2013, the property was 98% leased
compared to 96% at last review. Moody's LTV and stressed DSCR are
96% and 0.95X, respectively, compared to 99% and 0.93X at last
review.
CREDIT SUISSE 2007-C2: S&P Lowers Ratings on 2 Note Classes to B
----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-M and A-MFL commercial mortgage pass-through certificates from
Credit Suisse Commercial Mortgage Trust Series 2007-C2, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
Concurrently, S&P lowered its ratings on the class A-J and B
certificates from the same transaction to 'D (sf)'. Lastly, S&P
affirmed its 'AAA (sf)' ratings on five classes from the same
transaction, including its rating on the class A-X interest-only
(IO) certificates.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
The raised ratings on the class A-M and A-MFL certificates reflect
Standard & Poor's expected available credit enhancement for these
classes, which S&P believes is greater than its most recent
estimate of the necessary credit enhancement for the respective
rating levels. The upgrades also reflect S&P's views regarding
available liquidity support, the current and future performance of
the transaction's collateral, and the deleveraging of the
transaction.
S&P lowered its ratings on the class A-J and B certificates to 'D
(sf)' because it expects the accumulated interest shortfalls to
remain outstanding for the foreseeable future. As of the Jan. 17,
2014, trustee remittance report, the trust experienced monthly
interest shortfalls totaling $1,561,096, driven primarily by rate
reductions from loan modifications totaling $1,002,001, appraisal
subordinate entitlement reduction (ASER) amounts totaling
$215,886, interest adjustments totaling $99,819, special servicing
fees totaling $71,807, workout fees totaling $24,431, interest
reduction due to nonrecoverability determination of $45,734, and
interest shortfalls of $101,399 from undercollateralization. The
current monthly interest shortfalls affected classes subordinate
to and including class A-J. Classes A-J and B have accumulated
interest shortfalls outstanding for 15 consecutive months.
S&P affirmed its 'AAA (sf)' ratings on the class A-2, A-AB, A-3,
and A-1-A 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
ratings. S&P also affirmed these ratings to reflect its analysis
of the credit characteristics and performance of the remaining
assets, the transaction structure, and liquidity support available
to the classes.
The affirmation on the class A-X IO certificates reflects S&P's
current criteria for rating IO securities.
RATINGS RAISED
Credit Suisse Commercial Mortgage Trust Series 2007-C2
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-M BBB- (sf) BB+ (sf) 21.02
A-MFL BBB- (sf) BB+ (sf) 21.02
RATINGS LOWERED
Credit Suisse Commercial Mortgage Trust Series 2007-C2
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
A-J D (sf) CCC (sf) 10.88
B D (sf) CCC- (sf) 10.27
RATINGS AFFIRMED
Credit Suisse Commercial Mortgage Trust Series 2007-C2
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 AAA (sf) 33.31
A-AB AAA (sf) 33.31
A-3 AAA (sf) 33.31
A-1-A AAA (sf) 33.31
A-X AAA (sf) N/A
N/A-Not applicable.
CREST CDO 2004-1: Fitch Affirms 'C' Ratings on 9 Note Classes
-------------------------------------------------------------
Fitch Ratings has affirmed 14 classes issued by Crest CDO 2004-1
Ltd./Corp.
Key Rating Drivers:
The affirmations are a result of deleveraging of the transaction
due to collateral paydowns. Since the last rating action in March
2013, approximately 10.1% of the collateral has been downgraded
and 4.6% has been upgraded. Currently, 96.5% of the portfolio has
a Fitch derived rating below investment grade and 66.1% has a
rating in the 'CCC' category and below, compared to 87.8% and
55.3%, respectively, at the last rating action. Over this period,
the class A notes have received $39.9 million in paydowns.
This transaction was analyzed under the framework described in the
report 'Global Rating Criteria for Structured Finance CDOs' using
the Portfolio Credit Model (PCM) for projecting future default
levels for the underlying portfolio. The default levels were then
compared to the breakeven levels generated by Fitch's cash flow
model of the CDO under the various default timing and interest
rate stress scenarios, as described in the report 'Global Criteria
for Cash Flow Analysis in CDOs'. Fitch also analyzed the
structure's sensitivity to the assets that are distressed,
experiencing interest shortfalls, and those with near-term
maturities. Based on this analysis, the class A and B notes'
breakeven rates are generally consistent with the ratings assigned
below.
For the class C through H notes, Fitch analyzed each class'
sensitivity to the default of the distressed assets ('CCC' and
below). Given the high probability of default of the underlying
assets and the expected limited recovery prospects upon default,
the class C and D notes have been affirmed at 'CCsf', indicating
that default is probable. Class E through H notes have been
affirmed at 'Csf', indicating that default is inevitable.
The rating of the preferred shares addresses the likelihood that
investors will receive the ultimate return of the aggregate
outstanding rated balance by the legal final maturity date. The
assigned rating for the preferred shares indicates that default is
inevitable, as they are undercollateralized.
RATING SENSITIVITIES
The Stable Outlook on the class A notes reflects Fitch's view that
the transaction will continue to delever. Crest 2004-1 is a static
collateralized debt obligation (CDO) that closed on Nov. 18, 2004.
The current portfolio consists of 77 bonds from 34 obligors, of
which 96.1% are commercial mortgage backed securities (CMBS) from
the 1999 through 2004 vintages, and 3.9% are structured finance
CDOs.
Fitch has affirmed the following actions:
-- $56,774,759 class A notes at 'BBsf'; Outlook Stable;
-- $44,000,000 class B-1 notes at 'CCCsf';
-- $8,491,250 class B-2 notes at 'CCCsf';
-- $2,797,651 class C-1 notes at 'CCsf';
-- $26,706,057 class C-2 notes at 'CCsf';
-- $19,972,693 class D notes at 'CCsf';
-- $13,761,435 class E-1 notes at 'Csf';
-- $15,445,318 class E-2 notes at 'Csf';
-- $6,876,553 class F notes at 'Csf';
-- $2,257,636 class G-1 Notes at 'Csf';
-- $12,473,467 class G-2 notes at 'Csf';
-- $8,675,975 class H-1 notes at 'Csf';
-- $1,354,125 class H-2 notes at 'Csf';
-- $96,412,500 preferred shares notes (principal only) at 'Csf'.
CSFB MORTGAGE 2003-AR26: Moody's Cuts 6 Tranches' Rating to Ba2
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of six
tranches issued by CSFB Mortgage-Backed Pass-Through Certificates,
Series 2003-AR26. The tranches are backed by Alt-A RMBS loans
issued in 2003.
Complete rating actions are as follows:
Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-AR26
Cl. II-A-1, Downgraded to Ba2 (sf); previously on Jul 16, 2012
Downgraded to Ba1 (sf)
Cl. III-A-1, Downgraded to Ba2 (sf); previously on Jul 16, 2012
Downgraded to Baa3 (sf)
Cl. III-A-2, Downgraded to Ba2 (sf); previously on Jul 16, 2012
Downgraded to Baa3 (sf)
Cl. III-X, Downgraded to Ba2 (sf); previously on Jul 16, 2012
Downgraded to Baa3 (sf)
Cl. IV-A-1, Downgraded to Ba2 (sf); previously on Jul 16, 2012
Downgraded to Baa3 (sf)
Cl. VI-A-1, Downgraded to Ba2 (sf); previously on Jul 16, 2012
Downgraded to Ba1 (sf)
Ratings Rationale
The rating actions come as a result of deteriorating performance
on the underlying pools.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.6% in January 2014 from 7.9%
in January 2013 . 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.
CSMC TRUST 2014-SURF: S&P Assigns Prelim. BB- Rating on E Certs
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to CSMC Trust 2014-SURF's $186.8 million commercial
mortgage pass-through certificates series 2014-SURF.
The note issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $186.8 million, with five one-year
extension options, secured by a first-priority lien mortgage on
the borrowers' fee simple interest in the Shutters on the Beach
(Shutters) and Casa del Mar hotels.
The preliminary ratings are based on information as of Feb. 12,
2014. 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 collateral's
historical and projected performance, the sponsors' and manager's
experience, the trustee-provided liquidity, the loan's terms, and
the transaction's structure.
PRELIMINARY RATINGS ASSIGNED
CSMC Trust 2014-SURF
Class Rating Amount
(mil. $)
A AAA (sf) 71.6
X-CP AAA (sf) 71.6(i)
X-NCP AAA (sf) 71.6(i)
B AA- (sf) 27.0
C A- (sf) 20.0
D BBB- (sf) 26.5
E BB- (sf) 41.7
(i) Notional balance. The notional amount of the class X-CP and
X-NCP certificates will be reduced by the aggregate amount of
principal distributions and realized losses allocated to the
class A certificates.
DRYDEN 31: Moody's Assigns (P)B2 Rating on $15.8MM Class F Notes
----------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes to be issued by Dryden 31
Senior Loan Fund (the "Issuer" or "Dryden 31"):
$373,500,000 Class A Senior Secured Floating Rate Notes due 2026
(the "Class A Notes"), Assigned (P)Aaa (sf)
$72,750,000 Class B Senior Secured Floating Rate Notes due 2026
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$46,750,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$32,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$27,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2026 (the "Class E Notes"), Assigned (P)Ba2 (sf)
$15,750,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2026 (the "Class F Notes"), Assigned (P)B2 (sf)
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit 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 Class A Notes, the Class B
notes, the Class C Notes, the Class D Notes, the Class E Notes and
the Class F Notes (collectively, the "Rated Notes") address the
expected losses posed to the noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
loans, the transaction's legal structure, and the characteristics
of the underlying assets.
Dryden 31 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 up to 10% of the portfolio
may consist of second-lien loans. The underlying portfolio is
expected to be approximately 65% ramped as of the closing date.
Prudential Investment Management, Inc. (the "Manager") will direct
the selection, acquisition, and disposition of collateral on
behalf of the Issuer, and it may engage in trading activity,
including discretionary trading, during the transaction's four
year reinvestment period. Thereafter, the Manager may reinvest
collateral principal collections constituting unscheduled
principal payments or the sale proceeds of credit risk obligations
or credit improved obligations in additional collateral debt
obligations, subject to certain conditions.
In addition to the Rated Notes, the Issuer will issue one class of
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, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in November 2013.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount: $600,000,000
Diversity Score: 67
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.55%
Weighted Average Coupon (WAC): 6.50%
Weighted Average Recovery Rate (WARR): 48.50%
Weighted Average Life (WAL): 8 years.
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
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 an 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), holding all other factors equal:
Percentage Change in WARF -- increase of 15% (from 2650 to 3048)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -1
Class C Notes: -1
Class D Notes: -1
Class E Notes: -1
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2650 to 3445)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -2
Class F Notes: -3
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.
EMPORIA PREFERRED II: Moody's Hikes Class E Notes' Rating to Ba2
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Emporia Preferred Funding II, Ltd:
$22,000,000 Class C Third Priority Subordinated Deferrable Notes
Due 2018, Upgraded to Aaa (sf); previously on October 10, 2013
Upgraded to Aa2 (sf)
$22,000,000 Class D Fourth Priority Subordinated Deferrable Notes
Due 2018, Upgraded to A3 (sf); previously on October 10, 2013
Affirmed Ba1 (sf)
$14,500,000 Class E Fifth Priority Subordinated Deferrable Notes
Due 2018, Upgraded to Ba2 (sf); previously on October 10, 2013
Affirmed Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
$91,000,000 Class A-1 First Priority Senior Notes Due 2018
(current outstanding balance of $16,919,442), Affirmed Aaa (sf);
previously on October 10, 2013 Affirmed Aaa (sf)
$30,000,000 Class A-2 First Priority Senior Revolving Notes Due
2018 (current outstanding balance of $5,577,838), Affirmed Aaa
(sf); previously on October 10, 2013 Affirmed Aaa (sf)
$120,000,000 Class A-3 First Priority Delayed Draw Senior Notes
Due 2018 (current outstanding balance of $22,311,353), Affirmed
Aaa (sf); previously on October 10, 2013 Affirmed Aaa (sf)
$30,000,000 Class B Second Priority Senior Notes Due 2018,
Affirmed Aaa (sf); previously on October 10, 2013 Affirmed Aaa
(sf)
Emporia Preferred Funding II, Ltd, issued in June 2006, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The portfolio is managed by Ivy
Hill Asset Management, LP. The transaction's reinvestment period
ended in July 2012.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since the last rating action in October
2013. Moody's notes that the Class A Notes have been paid down by
approximately 55% or $55 million since the last rating action.
Based on the latest trustee report dated January 14, 2014, the
Class A/B, Class C, Class D and Class E overcollateralization
ratios are reported at 168.8%, 138.7%, 117.7%, and 107.0%,
respectively, versus September 2013 levels of 153.8%, 131.5%,
114.9%, and 106.0%, respectively. Additionally, Moody's notes that
the trustee reported overcollateralization ratios do not include
the January 21, 2014 payment distribution when $26.5 million of
principal proceeds were used to pay down the Class A Notes.
The deal has also benefited from an improvement in the credit
quality of the portfolio since the last rating action. According
to Moody's calculation, the weighted average rating factor (WARF)
is currently 3252 compared to 3606 in October 2013.
The portfolio includes a number of investments in securities that
mature after the notes do. Based on Moody's calculation,
securities that mature after the notes do currently make up
approximately 5.3% of the portfolio. These investments could
expose the notes to market risk in the event of liquidation when
the notes mature.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
Factors that would lead to an upgrade or downgrade of the rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the 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 continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. 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.
Realization of higher than assumed recoveries would positively
impact the CLO.
6) Long-dated assets: The presence of assets that mature after the
CLO's legal maturity date exposes the deal to liquidation risk on
those assets. This risk is borne first by investors with the
lowest priority in the capital structure. Moody's assumes that the
terminal value of an asset upon liquidation at maturity will be
equal to the lower of an assumed liquidation value (depending on
the extent to which the asset's maturity lags that of the
liabilities) or the asset's current market value.
7) Exposure to credit estimates: The deal contains a large number
of securities whose default probabilities Moody's has assessed
through credit estimates. If Moody's does not receive the
necessary information to update its credit estimates in a timely
fashion, the transaction could be negatively affected by any
default probability adjustments Moody's assumes in lieu of updated
credit estimates. Moody's also ran stress scenarios to assess the
collateral pool's concentration risk because loans to obligors it
assesses with credit estimates constitute more than 3% of the
collateral pool.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Moody's Adjusted WARF -- 20% (2602)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: 0
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3902)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: 0
Class D: -1
Class E: -1
Loss and Cash Flow Analysis
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations,"published in November 2013.
The key model inputs Moody's used in its analysis, such as par,
WARF, diversity score and the weighted average recovery rate
(WARR), are based on its published methodology and could differ
from the trustee's reported numbers. In its base case, Moody's
analyzed the collateral pool as having a performing par and
principal proceeds balance of $142.7 million, defaulted par of
$4.5 million, a weighted average default probability of 21.4%
(implying a WARF of 3252), a WARR upon default of 51.9%, a
diversity score of 24 and a weighted average spread of 4.1%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of
the assets in the collateral pool. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
A material proportion of the collateral pool includes debt
obligations whose credit quality Moody's assesses through credit
estimates. Moody's analysis reflects adjustments with respect to
the default probabilities associated with credit estimates (CEs).
Specifically, Moody's applied an one-notch equivalent assumed
downgrade for CEs updated between 12-15 months ago, which
represent approximately 1.5% of the collateral pool. Additionally,
for each credit estimates whose related exposure constitutes more
than 3% of the collateral pool, Moody's applied a two-notch
equivalent assumed downgrade to approximately 7.1% of the
collateral pool.
EXETER AUTOMOBILE 2014-1: S&P Assigns BB Rating on Class D Notes
----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to Exeter
Automobile Receivables Trust 2014-1's $650 million automobile
receivables-backed notes series 2014-1.
The note issuance is an asset-backed securities transaction backed
by subprime auto loan receivables.
The ratings reflect S&P's view of:
-- The availability of approximately 48.85%, 40.83%, 34.34%,
and 25.14% credit support for the class A, B, C, and D
notes, respectively, based on stressed cash flow scenarios
(including excess spread), which provide coverage of more
than 2.55x, 2.10x, 1.60x, and 1.30x our 17.0%-18.0% expected
cumulative net loss.
-- The timely interest and principal payments made to the rated
notes by the assumed legal final maturity dates under
stressed cash flow modeling scenarios that S&P believes is
appropriate for the assigned ratings.
-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, its ratings on the class A,
B, and C notes would remain within one rating category of
its 'AA (sf)', 'A (sf)', and 'BBB (sf)' ratings,
respectively, during the first year; and our rating on the
class D notes would remain within two rating categories of
S&P's 'BB (sf)' rating. These potential rating movements
are consistent with S&P's credit stability criteria, which
outline the outer bound of credit deterioration as a one-
category downgrade within the first year for 'AA' rated
securities and a two-category downgrade within the first
year for 'A' through 'BB' rated securities under the
moderate stress conditions.
-- The collateral characteristics of the subprime automobile
loans securitized in this transaction.
-- The transaction's payment and credit enhancement structures.
-- The transaction's legal structure.
RATINGS ASSIGNED
Exeter Automobile Receivables Trust 2014-1
Class Rating Type Interest Amount
Rate (mil. $)
A AA (sf) Senior Fixed 413.03
B A (sf) Subordinate Fixed 88.00
C BBB (sf) Subordinate Fixed 62.64
D BB (sf) Subordinate Fixed 86.33
GLG ORE 2013-1: S&P Affirms 'BB' Rating on $17MM Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on GLG Ore
Hill CLO 2013-1 Ltd./GLG Ore Hill CLO 2013-1 LLC's $384.50 million
fixed- and floating-rate notes following the transaction's
effective date as of Sept. 26, 2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P noted.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P added.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
GLG Ore Hill CLO 2013-1 Ltd./GLG Ore Hill CLO 2013-1 LLC
Class Rating Amount
(mil. $)
X-1(i) AAA (sf) 3.00
X-2(i) AAA (sf) 3.00
A AAA (sf) 249.00
B-1 AA (sf) 44.50
B-2 AA (sf) 11.00
C-1 (deferrable) A (sf) 18.50
C-2 (deferrable) A (sf) 8.00
D (deferrable) BBB (sf) 21.50
E (deferrable) BB (sf) 17.00
F (deferrable) B (sf) 9.00
(i) Classes X-1 and X-2 are paid with interest proceeds only.
GMAC COMMERCIAL 2005-C1: Fitch Affirms CC Rating on 2 Cert Classes
------------------------------------------------------------------
Fitch Ratings has affirmed 18 classes of GMAC Commercial Mortgage
Securities, Inc. (GMACC 2005-C1) commercial mortgage pass-through
certificates series 2005-C1.
Key Rating Drivers
Fitch modeled losses of 17.6% of the remaining pool; expected
losses on the original pool balance total 14%, including $96.8
million (6.1% of the original pool balance) in realized losses to
date. Fitch has designated 24 loans (39.6%) as Fitch Loans of
Concern, which includes 11 specially serviced assets (19.7%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 54.9% to $721.4 million from
$1.6 billion at issuance. Per the servicer reporting, six loans
(15.3% of the pool) are defeased. Interest shortfalls are
currently affecting classes B through P. The top three
contributors to expected loss remain unchanged from last year's
rating action and these expected losses make up approximately 52%
of the current modeled losses
The largest contributor to expected losses is a loan (8.0% of the
pool) secured by a 321,041 square foot (sf) office property
located in Las Vegas, Nevada. Subsequent to its 2010 restructure
into an A and B note and return back to the master servicer, the
loan has continued to perform under the terms of the modification.
Occupancy has improved to 62.4% as of nine months ended Sept. 30,
2013 from 60.6% as of year-end (YE) 2012, and the debt service
coverage ratio (DSCR) has also improved to 1.63x from 1.23x during
the same period. Fitch is modeling a significant loss due to the
property's consistent low occupancy and weak market. According to
REIS, as of the fourth quarter of 2013, the overall Vegas office
market reported a 26.0% vacancy rate.
The next largest contributor to expected losses is a specially-
serviced loan (3.0%) secured by a 5,300-stall parking facility
located at Bradley International Airport in Windsor Lock,
Connecticut. The loan was previously modified into an A and B
note, and has remained with the special servicer since its 2010
transfer date. A stipulated foreclosure is being discussed with
the Borrower according to the special servicer.
The third largest contributor to expected losses is a specially-
serviced loan (2.6%) secured by a 243,212 sf retail property
located in Colorado Springs, Colorado. The loan has remained in
special servicing since its 2011 transfer date. As of November
2013, the property was 53.6% occupied. The real estate owned
(REO) property is expected to be marketed for sale after repair
issues are addressed and an increase in leasing activity.
Rating Sensitivity
Rating Outlooks on classes A1-A through A-5 remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class A-M was revised to Negative from Stable due to an
increase in Fitch modeled losses of the original pool balance as
well as significant maturity risk (84.9%) in 2015. Distressed
classes (those below 'B') may be subject to further negative
rating actions as losses are realized.
Fitch affirms the following classes as indicated:
-- $111.1 million class A-1A at 'AAAsf', Outlook Stable;
-- $2.2 million class A-3 at 'AAAsf', Outlook Stable;
-- $68.1 million class A-4 at 'AAAsf', Outlook Stable;
-- $157.4 million class A-5 at 'AAAsf', Outlook Stable;
-- $159.8 million class A-M at 'AAAsf', Outlook to Negative from
Stable;
-- $127.8 million class A-J at 'CCCsf', RE 80%;
-- $34 million class B at 'CCCsf', RE 0%;
-- $12 million class C at 'CCsf', RE 0%;
-- $24 million class D at 'CCsf', RE 0%;
-- $16 million class E at 'Csf', RE 0%;
-- $9.1 million class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%.
GS MORTGAGE 2006-GG8: Fitch Cuts Rating on 3 Cert Classes to Csf
----------------------------------------------------------------
Fitch Ratings has downgraded five classes and affirmed 16 classes
of GS Mortgage Securities Corporation II (GSMSC II) commercial
mortgage pass-through certificates, series 2006-GG8 due to
increased loss expectations on specially serviced loans and
further deterioration of loan performance.
Key Rating Drivers
Fitch modeled losses of 13.7% of the remaining pool; expected
losses on the original pool balance total 14.9%, including losses
already incurred, an increase from 13.3% at Fitch's last rating
action. The pool has experienced $242.1 million (5.1% of the
original pool balance) in realized losses to date. Fitch has
designated 82 loans (43.1%) as Fitch Loans of Concern, which
includes 17 specially serviced assets (11.5%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 32.1% to $2.87 billion from
$4.24 billion at issuance. One loan is defeased (0.2% of the
pool). Interest shortfalls of approximately $65.4 million are
currently affecting classes C through S.
Rating Sensitivities
The Negative Outlook on class A-M reflects the increase in modeled
maturity defaults and high percentage of Fitch Loans of Concern
remaining in the pool. Approximately 80% of the pool has a Fitch
loan to value (LTV) greater than 90%, which can indicate
difficulty in refinancing at maturity
The largest contributor to modeled losses is the real-estate owned
(REO) Ariel Preferred Portfolio (3.1% of the pool balance). The
retail portfolio consists of three outlet centers located in
Laughlin, NV; Tulare, CA; and Medford, Minnesota. Three of the
original six properties have been sold. The portfolio had
transferred to special servicing in June 2009 for imminent
default. The most recent servicer reported average portfolio
occupancy is 79% as of third-quarter 2013, compared to the overall
portfolio occupancy of 82.7% at issuance.
The next largest contributor to modeled losses is the specially-
serviced Rubloff Retail Portfolio loan (2%), which is secured by
four malls in tertiary market comprising 1.26 million square feet
(sf). The loan transferred to special servicing in late November
2012 for imminent default. As of December 2013, the combined
occupancy of the portfolio declined to 67% as several anchor
tenants have vacated or filed for bankruptcy. The largest
property by allocated loan balance is the Hutchinson Mall, which
has a JCPenney and Sears with lease expirations of 2015 and 2014,
respectively. The Lakewood Mall also has a JCPenney with a 2015
lease expiration. Both JCPenneys at the two malls have extension
options.
The third largest contributor to modeled losses is the the Gallery
at Cocowalk, which represents 2.7% of the pool balance. The
modified loan is split between an A-note (1.7% of the pool) and B-
note or 'hope note' (1% of the pool). The loan is backed by an
approximately 196,500 sf mixed-use property located in Coconut
Grove, FL, south of Miami. The tenants include a movie theater and
a mix of national retailers and chain restaurants. The servicer
reported June 2013 occupancy was 85%.
The largest Fitch Loan of Concern is the Fair Lakes Office Park
loan (4.1% of the pool). The pari passu loan is secured by an
approximately 1.25 million square foot, nine building office
property located in Fairfax, VA near I-66 and the Fairfax County
Parkway. The reported occupancy as of Sept. 2013 was 82% (down
from 99% at issuance), with significant rollover anticipated in
2015 prior to the loan maturity in 2016.
Fitch downgrades the following classes as indicated:
-- $37.1 million class D to 'CCsf' from 'CCCsf', RE 0%;
-- $37.1 million class E to 'CCsf' from 'CCCsf', RE 0%;
-- $42.4 million class F to 'Csf' from 'CCsf', RE 0%;
-- $53 million class G to 'Csf' from 'CCsf', RE 0%;
-- $47.7 million class H to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes as indicated:
-- $16.8 million class A-3 at 'AAAsf'; Outlook Stable;
-- $59.8 million class A-AB at 'AAAsf'; Outlook Stable;
-- $1.6 billion class A-4 at 'AAAsf'; Outlook Stable;
-- $160.1 million class A-1A at 'AAAsf'; Outlook Stable;
-- $424.3 million class A-M at 'Asf'; Outlook to Negative from
Stable;
-- $302.3 million class A-J at 'CCCsf', RE 75%;
-- $26.5 million class B at 'CCCsf', RE 0%;
-- $53 million class C at 'CCCsf', RE 0%.
-- $7.2 million class J at 'Dsf', RE 0%.
Classes K, L, M, N, O, P and Q remain at 'Dsf', RE 0% due to
realized losses.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the fully depleted class S certificates. Fitch
previously withdrew the rating on the interest-only class X
certificate.
GS MORTGAGE 2006-RR2: Moody's Affirms Ca Rating on Cl. A-2 Notes
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following certificates issued by GS Mortgage Securities
Corporation II, Series 2006-RR2 ("GSMS 2006-RR2"):
Cl. A-1, Affirmed Caa3 (sf); previously on Apr 5, 2013 Affirmed
Caa3 (sf)
Cl. A-2, Affirmed Ca (sf); previously on Apr 5, 2013 Affirmed Ca
(sf)
Ratings Rationale
Moody's has affirmed the ratings on the transaction because its
key transaction metrics are commensurate with existing ratings.
The affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO and
ReRemic) transactions.
GSMS 2006-RR2 is a static cash transaction backed by a portfolio
of commercial mortgage backed securities (CMBS) (100.0% of
collateral pool balance). As of the trustee's January 21, 2014
report, the aggregate note balance of the transaction has
decreased to $489.5 million from $771.0 million at issuance, due
to full and partial realized losses applied to certain classes of
certificates. Additionally, the senior most outstanding class
received pre-payments in the form of amortization and recoveries
from defaulted assets.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these 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 updated its assessments for the collateral it does not
rate. The rating agency modeled a bottom-dollar WARF of 7440,
compared to 7641 at last review. The current ratings on the
Moody's-rated collateral and the assessments of the non-Moody's
rated collateral follow: A1-A3 (3.6% compared to 0.2% at last
review), Baa1-Baa3 (2.1% compared to 4.2% at last review), Ba1-Ba3
(1.9% compared to 6.1% at last review), B1-B3 (15.3% compared to
9.5% at last review) and Caa1-C (77.0% compared to 80.0% at last
review).
Moody's modeled a WAL of 2.7 years, compared to 3.6 years at last
review.
Moody's modeled a fixed WARR of 4.2%, compared to 3.4% at last
review.
Moody's modeled a MAC of 100.0%, compared to 0..0% at last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the certificates is subject to uncertainty,
because it is sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that are subject to 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
certificates.
Moody's Parameter Sensitivities: Changes to any one or more of the
key parameters could have rating implications for some of the
rated certificates, although a change in one key parameter
assumption could be offset by a change in one or more of the other
key parameter assumptions. The rated certificates are particularly
sensitive to changes in the recovery rates of the underlying
collateral and credit assessments. However in the light of
performance indicators noted above, increasing the recovery rate
assumption from 4.2% to 9.2% would not result in any modeled
rating movement on the rated certificates.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, 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, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
HALCYON LOAN 2014-1: Moody's Rates $10MM Class F Notes '(P)B2'
--------------------------------------------------------------
Moody's Investors Service announced that it has assigned the
following provisional ratings to notes and loans to be issued by
Halcyon Loan Advisors Funding 2014-1 Ltd. (the "Issuer" or
"Halcyon 2014-1"):
$2,250,000 Class X Senior Secured Floating Rate Notes due 2026
(the "Class X Notes"), Assigned (P)Aaa (sf)
$199,000,000 Class A-1 Senior Secured Floating Rate Notes due 2026
(the "Class A-1 Notes"), Assigned (P)Aaa (sf)
$50,000,000 Class A Loans due 2026 (the "Class A-2 Notes"),
Assigned (P)Aaa (sf)
$50,000,000 Class A-2 Senior Secured Floating Rate Notes due 2026
(the "Class A-2 Notes"), Assigned (P)Aaa (sf)
$33,000,000 Class B-1 Senior Secured Floating Rate Notes due 2026
(the "Class B-1 Notes"), Assigned (P)Aa2 (sf)
$20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2026
(the "Class B-2 Notes"), Assigned (P)Aa2 (sf)
$21,500,000 Class C Secured Deferrable Floating Rate Notes due
2026 (the "Class C Notes"), Assigned (P)A2 (sf)
$24,500,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$18,000,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Assigned (P)Ba3 (sf)
$10,000,000 Class F Secured Deferrable Floating Rate Notes due
2026 (the "Class F Notes"), Assigned (P)B2 (sf)
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit 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 Class X Notes, the Class A-1
Notes, the Class A Loans, the Class A-2 Notes, the Class B-1
notes, the Class B-2 Notes, the Class C Notes, the Class D Notes,
the Class E Notes and the Class F Notes (collectively, the "Rated
Notes and Loans") address the expected losses posed to the holders
of the Rated Notes and Loans. The provisional ratings reflect the
risks due to defaults on the underlying portfolio of loans, the
transaction's legal structure, and the characteristics of the
underlying assets.
Halcyon 2014-1 is a managed cash flow CLO. The issued notes and
loans will be collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 90% of the portfolio
must be invested in senior secured loans, cash and eligible
investments and up to 10% of the portfolio may consist of second
lien loans and unsecured loans. The underlying collateral pool is
expected to be approximately 60% ramped as of the closing date.
Halcyon Loan Advisors 2014-1 LLC (the "Manager"), a wholly-owned
subsidiary of Halcyon Loan Advisors LP, will direct the selection,
acquisition and disposition of collateral on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's four year reinvestment period.
Thereafter, purchases are permitted using principal proceeds from
unscheduled principal payments and proceeds from sales of credit
risk and credit improved obligations, and are subject to certain
restrictions.
In addition to the Rated Notes and Loans, the Issuer will issue
one class of subordinated notes. The transaction incorporates
interest and par coverage tests which, if triggered, divert
interest and principal proceeds to pay down the notes and loans in
order of seniority.
Moody's modeled the transaction using a cash-flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in November 2013.
For modeling purposes, Moody's used the following base-case
assumptions:
Par amount of $400,000,000
Diversity of 45
WARF of 2905
Weighted Average Spread of 4.20%
Weighted Average Coupon of 7.0%
Weighted Average Recovery Rate of 48.5%
Weighted Average Life of 8 years
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
Factors that would Lead to an Upgrade or Downgrade of the Rating
The performance of the Rated Notes and Loans is subject to
uncertainty. The performance of the Rated Notes and Loans 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
and Loans.
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 and Loans. This sensitivity analysis includes an
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
and Loans (shown in terms of the number of notch difference versus
the current model output, whereby a negative difference
corresponds to higher expected losses), holding all other factors
equal:
Percentage Change in WARF -- increase of 15% (from 2905 to 3340)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: 0
Class A Loans: 0
Class A-2 Notes: 0
Class B-1 Notes: -2
Class B-2 Notes: -2
Class C Notes: -2
Class D Notes: -1
Class E Notes: 0
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2905 to 3776)
Rating Impact in Rating Notches
Class X Notes: 0
Class A-1 Notes: -1
Class A Loans: -1
Class A-2 Notes: -1
Class B-1 Notes: -3
Class B-2 Notes: -3
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -1
The V Score for this transaction is Medium/High.
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.
HARBORVIEW MORTGAGE 2003-2: Moody's Cuts B-1 Secs.' Rating to B3
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of eleven
tranches issued Harborview Mortgage Loan Trust 2003-2 and 2004-1.
The tranches are backed by Alt-A RMBS loans issued in 2003 and
2004.
Issuer: HarborView Mortgage Loan Trust 2003-2
Cl. 1-A, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 1-X, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 2-A-1, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 2-A-2, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 3-A, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. B-1, Downgraded to B3 (sf); previously on Apr 3, 2013
Downgraded to B1 (sf)
Issuer: HarborView Mortgage Loan Trust 2004-1
Cl. 1-A, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 2-A, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 3-A, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. 4-A, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Cl. X, Downgraded to Ba1 (sf); previously on Apr 3, 2013
Downgraded to Baa2 (sf)
Ratings Rationale
The rating actions come as a result of deteriorating performance
on the underlying pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.6% in January 2014 from 7.9%
in January 2013 . 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.
JP MORGAN 2005-LDP1: Fitch Lowers Ratings on 2 Cert. Classes
------------------------------------------------------------
Fitch Ratings has downgraded two distressed classes and affirmed
18 classes of JP Morgan Chase Commercial Mortgage Securities Corp.
series 2005-LDP1 (JPMCC 2005-LDP1) commercial mortgage pass-
through certificates.
Key Rating Drivers
Fitch modeled losses of 7.7% of the remaining pool; expected
losses on the original pool balance total 6.2%, including $59
million (2.1% of the original pool balance) in realized losses to
date. Fitch has designated 41 loans (25.8%) as Fitch Loans of
Concern, which includes 10 specially serviced assets (5.6%).
As of the January 2013 distribution date, the pool's aggregate
principal balance has been reduced by 45.9% to $1.56 billion from
$2.88 billion at issuance. Per the servicer reporting, 19 loans
(18.9% of the pool) are defeased. Interest shortfalls are
currently affecting classes H through NR.
The largest contributor to expected losses is the specially-
serviced Independence Plaza loan (1.2% of the pool), which is
secured by a 252,000 square foot (sf) retail shopping center
located in Hamilton Township, NJ. The loan was transferred to
special servicing in March 2010. Subsequently, the property lost
its grocery anchor to bankruptcy in 2011; and another large
tenant, T.J. Maxx, vacated its space at maturity in January 2013.
As of the Oct. 31, 2013 rent roll, the property was only 25%
occupied. Additionally, an environmental study is under review. A
settlement agreement that provides for a consensual foreclosure
action was executed in July 2013; foreclosure is expected to be
completed by mid-2014.
The next largest contributor to expected losses is the Preston
Center Pavilion & Square loan (2.6%), which is secured by a
233,000 sf retail center located in Dallas, TX. In 2013, occupancy
dropped to 73% from 95% as the largest tenant downsized its space
by approximately 19,000 sf as part of a 10-year renewal and the
third largest tenant vacated its space at lease expiration in
January 2013. While no recent leasing activity has been reported
as the property, the loan was recently assumed by experienced
sponsorship. Further, less than 5% of the NRA rolls through 2016.
Rating Sensitivity
Rating Outlooks on classes A-1A through C remain Stable due to
increasing credit enhancement and continued paydown. Rating
Outlooks on classes D through F are Negative due to the potential
for further negative credit migration of the underlying collateral
including continued transfers to special servicing or performance
declines of current loans.
Distressed classes (those rated below 'B') may be subject to
further downgrades as additional losses are realized.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $28.8 million class G to 'CCsf' from 'CCCsf', RE 0%;
-- $32.4 million class H to 'Csf' from 'CCsf', RE 0%.
Fitch affirms the following classes and assigns or revises Rating
Outlooks as indicated:
-- $54 million class D at 'BBBsf', Outlook to Negative from
Stable;
-- $28.8 million class E at 'BBsf', Outlook to Negative from
Stable.
Fitch affirms the following classes as indicated:
-- $222.6 million class A-1A at 'AAAsf', Outlook Stable;
-- $43.9 million class A-2 at 'AAAsf', Outlook Stable;
-- $157.5 million class A-3 at 'AAAsf', Outlook Stable;
-- $601.5 million class A-4 at 'AAAsf', Outlook Stable;
-- $14.4 million class A-SB at 'AAAsf', Outlook Stable;
-- $94.3 million class A-J at 'AAAsf', Outlook Stable;
-- $100 million class A-JFL at 'AAAsf', Outlook Stable;
-- $68.4 million class B at 'AAsf', Outlook Stable;
-- $25.2 million class C at 'Asf', Outlook Stable;
-- $46.8 million class F at 'Bsf', Outlook Negative;
-- $10.8 million class J at 'Csf', RE 0%;
-- $14.4 million class K at 'Csf', RE 0%;
-- $10.8 million class L at 'Csf', RE 0%;
-- $2.2 million class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class NR certificates. Fitch previously withdrew the ratings
on the interest-only class X-1 and X-2 certificates.
JP MORGAN 2005-LDP2: Moody's Cuts Rating on Class H Notes to C
--------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 17 classes
and downgrades one class of J.P. Morgan Chase Commercial Mortgage
Securities Corporation, Series 2005-LDP2 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. A-3A, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. A-M, Affirmed Aa2 (sf); previously on Sep 12, 2013 Affirmed
Aa2 (sf)
Cl. A-MFL, Affirmed Aa2 (sf); previously on Sep 12, 2013 Affirmed
Aa2 (sf)
Cl. A-J, Affirmed A3 (sf); previously on Sep 12, 2013 Affirmed A3
(sf)
Cl. A-SB, Affirmed Aaa (sf); previously on Sep 12, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Baa3 (sf); previously on Sep 12, 2013 Affirmed
Baa3 (sf)
Cl. C, Affirmed Ba1 (sf); previously on Sep 12, 2013 Affirmed Ba1
(sf)
Cl. D, Affirmed B1 (sf); previously on Sep 12, 2013 Affirmed B1
(sf)
Cl. E, Affirmed B3 (sf); previously on Sep 12, 2013 Affirmed B3
(sf)
Cl. F, Affirmed Caa1 (sf); previously on Sep 12, 2013 Affirmed
Caa1 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Sep 12, 2013 Affirmed
Caa3 (sf)
Cl. H, Downgraded to C (sf); previously on Sep 12, 2013 Affirmed
Ca (sf)
Cl. J, Affirmed C (sf); previously on Sep 12, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Sep 12, 2013 Affirmed C (sf)
Cl. X-1, Affirmed Ba3 (sf); previously on Sep 12, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on Classes A-1 through E were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The ratings on Classes F, G, J and K were affirmed because
the ratings are consistent with Moody's expected loss. The rating
on one P&I class was downgraded due to the timing of realized and
anticipated losses from specially serviced and troubled loans. The
rating on the IO class, Class X-1 was affirmed based on the credit
performance of the referenced classes.
Moody's rating action reflects a base expected loss of 7.9% of the
current balance, compared to 8.1% at Moody's last review. Moody's
base expected loss plus realized losses is now 8.9% of the
original pooled balance, the same as at the 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 53 compared to 51 at Moody's last review.
Deal Performance
As of the January 15, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 43% to $1.7 billion
from $3.0 billion at securitization. The certificates are
collateralized by 211 mortgage loans ranging in size from less
than 1% to 6.7% of the pool, with the top ten loans constituting
29% of the pool. Twenty loans, constituting about 14% of the pool,
have defeased and are secured by US government securities. There
are no loans that have investment-grade credit assessments.
Thirty-seven loans, constituting 14% of the pool, are on the
master servicer's watchlist. The watchlist includes loans that
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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Forty loans have been liquidated from the pool, resulting in an
aggregate realized loss of $129.7 million (for an average loss
severity of 36%). Fifteen loans, constituting 16% of the pool, are
currently in special servicing. The largest specially serviced
loan is the CityPlace Corporate Center Loan ($112.7 million --
6.7% of the pool), which is secured by a seven property portfolio
located in the mid-county sub-market of St. Louis. The loan
transferred to special servicing in April of 2012 for maturity
default and was subsequently modified in October 2013. The terms
included an extended maturity to October 2014 and the borrower
contributing $4.55 million of new equity. As of October 2013, the
weighted average occupancy was 91% compared to 90% as of January
2012. The loan is expected to return to the master servicer.
The second largest specially serviced loan is the Ashwood-
Southfield Loan ($34.6 million -- 2.0% of the pool), which is
secured by two office portfolios located in Atlanta, Georgia and
Southfield, Missouri. The loan was transferred to the special
servicer in March 2011 for imminent default. As of December 2013,
weighted average occupancy was 77% compared to 94% in December
2012.
The remaining 13 specially serviced loans are secured by a mix of
property types. Moody's estimates an aggregate $89.9 million loss
for the specially serviced loans (34% expected loss on average).
Moody's has assumed a high default probability for 15 poorly
performing loans, constituting 8% of the pool, and has estimated
an aggregate loss of $20.2 million (a 16% expected loss based on a
50% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 90% of the
pool and full or partial year 2013 operating results for 89%.
Moody's weighted average conduit LTV is 91% compared to 93% at
Moody's last 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 1.46X and 1.23X,
respectively, compared to 1.44X and 1.18X at the last 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% stress rate the agency applied to the loan balance.
The top three conduit loans represent 12% of the pool balance. The
largest loan is the Hutchinson Metro Center Loan ($81.6 million --
4.8% of the pool). The loan is secured by a 423,915 square foot
(SF) office building located in the Bronx, New York. The property
was 100% leased as of September 2013, the same as at last review.
Moody's current LTV and stressed DSCR are 96% and 1.02X compared
to 95% and 1.02X at last review.
The second largest loan is The Russ Building Loan ($60 million --
3.5% of the pool). The loan is secured by a 509,368 SF office
building located in San Francisco, California. As of September
2013, the property was 96% leased compared to 98% as of March
2013. Moody's current LTV and stressed DSCR are 59% and 1.60X,
respectively, compared to 57% and 1.67X at last review.
The third largest loan is the Stafford Place II Loan ($53.5
million -- 3.2% of the pool), which is secured by a 175,058 SF,
Class A, office building located in Arlington, Virginia. As of
September 2013, the property was 100% leased. Moody's LTV and
stressed DSCR are 111% and 0.97X, respectively, compared to 117%
and 0.93X at the last review.
JP MORGAN 2014-C18: Fitch Expects to Rate $11.9MM Cl. F Notes 'B'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on the J.P. Morgan Chase
Commercial Mortgage Securities Trust, Series 2014-C18 commercial
mortgage pass-through certificates.
Fitch expects to rate the transaction and assign Outlooks as
follows:
-- $52,231,000 class A-1 'AAAsf'; Outlook Stable;
-- $85,216,000 class A-2 'AAAsf'; Outlook Stable;
-- $23,484,000 class A-3 'AAAsf'; Outlook Stable;
-- $87,500,000 class A-4A1 'AAAsf'; Outlook Stable;
-- $87,500,000 class A-4A2 'AAAsf'; Outlook Stable;
-- $292,029,000 class A-5 'AAAsf'; Outlook Stable;
-- $67,360,000 class A-SB 'AAAsf'; Outlook Stable;
-- $725,382,000a class X-A 'AAAsf'; Outlook Stable;
-- $69,426,000a class X-B 'AA-sf'; Outlook Stable;
-- $55,062,000b class A-S 'AAAsf'; Outlook Stable;
-- $69,426,000b class B 'AA-sf'; Outlook Stable;
-- $37,107,000b class C 'A-sf'; Outlook Stable;
-- $161,595,000b class EC 'A-sf'; Outlook Stable;
-- $56,259,000c class D 'BBB-sf'; Outlook Stable;
-- $19,152,000c class E 'BBsf'; Outlook Stable;
-- $11,970,000c class F 'Bsf'; Outlook Stable.
(a) Notional amount and interest only.
(b) Class A-S, class B, and class C certificates may be exchanged
for a related amount of class EC certificates, and class EC
certificates may be exchanged for class A-S, class B, and
class C certificates.
(c) Privately placed pursuant to Rule 144A.
The expected ratings are based on information provided by the
issuer as of Feb. 10, 2014. Fitch does not expect to rate the
$38,303,883 non-rated class or the $69,425,883 interest-only class
X-C.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 51 loans secured by 83 commercial
properties having an aggregate principal balance of approximately
$957.6 million as of the cutoff date. The loans were contributed
to the trust by JPMorgan Chase Bank, National Association;
Barclays Bank PLC; Redwood Commercial Mortgage Corporation;
Starwood Mortgage Funding II LLC; and RAIT Funding, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.7% of the properties
by balance, cash flow analysis on 71.9%, and asset summary reviews
on 71.9% of the pool.
The transaction has a Fitch stressed debt service coverage ratio
(DSCR) of 1.16x, a Fitch stressed loan-to-value (LTV) of 100.4%,
and a Fitch debt yield of 9.1%. Fitch's aggregate net cash flow
represents a variance of 6.8% to issuer cash flows.
Key Rating Drivers
Fitch Leverage: This transaction has slightly lower leverage than
other recent Fitch-rated fixed-rate deals. The pool's Fitch LTV of
100.4% is below the 2013 average of 101.6%. However, excluding the
credit opinion loan, the pool's Fitch LTV is 103.5%. The pool's
Fitch DSCR of 1.16x is below the 2013 average of 1.29x. The
conduit DSCR is 1.15x, excluding the credit opinion loans.
Pool Concentration: The pool is more concentrated by loan size and
sponsor than average transactions from 2013, as evidenced by a
loan concentration index (LCI) of 479 and sponsor concentration
index (SCI) of 479. Also the 10 largest loans represent 58.6% of
the total pool balance, which is higher than the average 2013 top
10 concentration of 54.5%.
High Retail Concentration: The pool has an above- average
concentration of retail properties at 52.4%. Six of the 10 largest
assets are retail properties. The average retail concentration in
2013 was 33.2%. The largest property type is retail (52.4%),
followed by multifamily (13.9%) and hotel (11.9%).
Credit Opinion Loan: The largest loan in the pool, Miami
International Mall (10.4%), has a Fitch credit opinion 'BBB-sf' on
a stand-alone basis. The loan is collateralized by a super-
regional mall in Miami, FL. This loan participation is a $100
million, controlling pari passu portion of a $160 million loan.
Rating Sensitivities
Fitch performed two model-based break-even analyses to determine
the level of cash flow and value deterioration the pool could
withstand prior to $1 of loss being experienced by the 'BBB-sf'
and 'AAAsf' rated classes. Fitch found that the JPMBB 2014-C18
pool could withstand a 62.0% decline in value (based on appraised
values at issuance) and an approximately 19.6% decrease to the
most recent actual cash flow prior to experiencing a $1 of loss to
the 'BBB-sf' rated class. Additionally, Fitch found that the pool
could withstand a 69.4% decline in value and an approximately
35.3% decrease in the most recent actual cash flow prior to
experiencing $1 of loss to any 'AAAsf' rated class.
Key Rating Drivers and Rating Sensitivities are further described
in the accompanying pre-sale report.
The master servicer will be Midland Loan Services, rated 'CMS1-'
by Fitch. The special servicer will be LNR Partners, LLC, rated
'CSS1-' by Fitch.
JP MORGAN 2014-FBLU: S&P Assigns BB- Rating on $119MM Cl. E Notes
-----------------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to J.P.
Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU's
$535.0 million commercial mortgage pass-through certificates
series 2014-FBLU.
The note issuance is a commercial mortgage-backed securities
transaction backed by one two-year, floating-rate commercial
mortgage loan totaling $535.0 million, secured by a first priority
lien mortgage on the borrowers' fee simple interest and leasehold
interest in the 1,594 room Fontainebleau Miami Beach, a first
priority rent and lease assignment encumbering: the borrowers'
interests in the rents and leases relating to the property, the
borrowers' assigned contract rights related to the property,
including related intellectual property, the borrowers' rights
under certain contracts to provide rental arrangement services to
owners of residential condominium units that are made available to
guests of the hotel at the property, and certain assigned
collateral accounts related to the property.
The ratings reflect S&P's view of the collateral's historical and
projected performance, the sponsor's and manager's experience, the
trustee-provided liquidity, the loan's terms, and the
transaction's structure. S&P determined that the loan has a
beginning and ending loan-to-value ratio of 78.3%, based on its
value of the property backing the transaction.
RATINGS ASSIGNED
J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU
Class(i) Rating Amount ($)
A AAA (sf) 205,000,000
X-CP A- (sf) 340,000,000(ii)
X-EXT A- (sf) 340,000,000(ii)
B AA- (sf) 77,000,000
C A- (sf) 58,000,000
D BBB- (sf) 76,000,000
E BB- (sf) 119,000,000
(i) The issuer will issue the certificates to qualified
institutional buyers in line with Rule 144A of the
Securities Act of 1933.
(ii) Notional balance. The notional amount of the class X-CP and
X-EXT certificates will be reduced by the aggregate amount
of principal distributions and realized losses allocated to
the class A, B, and C certificates.
JPMORGAN-CIBC 2006-RR1: S&P Cuts Rating on Class A-1 Certs to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
A-1 certificates from JPMorgan-CIBC Commercial Mortgage-Backed
Securities Trust 2006-RR1 (JPMCC 2006-RR1), a resecuritized real
estate mortgage investment conduit (re-REMIC) transaction, to
'D (sf)' from CCC- (sf)'.
The downgrade reflects principal losses of $53 million that the
class A-1 has sustained; these losses reduced the class' principal
balance to $238.3 million as of the Jan. 23, 2014, remittance
report. The class also received $4.0 million in principal payment
for the period.
The principal losses are a function of principal losses on the
underlying commercial mortgage-backed securities (CMBS)
collateral. According to the Jan. 23, 2014, remittance report,
JPMCC 2006-RR1 sustained principal losses of $64.5 million.
Approximately $11.5 million of principal losses were allocated to
class A-2, whose rating we had previously lowered to 'D (sf)'.
Underlying CMBS collateral that experienced principal losses
includes:
-- Wachovia Bank Commercial Mortgage Trust series 2005-C22
(class H; principal loss of $14.0 million);
-- JPMorgan Chase Commercial Mortgage Securities Corp. (class
G; principal loss of $12.3 million); and
-- Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10
(classes J and K; principal loss of $10.9 million).
LATITUDE CLO III: S&P Raises Rating on Class F Certificate to BB+
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B, C, D, E, and F notes from Latitude CLO III Ltd., a cash flow
collateralized loan obligation (CLO) transaction managed by Lufkin
Advisors LLC, and S&P removed these ratings from CreditWatch,
where it had placed them with positive implications on Nov. 14,
2013. At the same time, S&P affirmed its rating on the class A
notes from the same transaction.
Since S&P's September 2012 rating actions, the transaction has
exited its reinvestment period and has paid down the class A notes
by $90 million, to 50% of the initial issuance amount. The class
A/B overcollateralization (O/C) ratio increased to 140% as of the
January 2014 trustee report, from 136% as of the August 2012
report. The portfolio's credit quality has remained stable: the
percentage of 'CCC' rated and defaulted collateral, as reported by
the trustee, has decreased during this time. The affirmation of
S&P's 'AAA' rating on the class A notes and the upgrades to the
class B, C, D, E, and F notes reflect the increase in credit
support available to these notes as a result of the paydowns.
S&P will continue to review whether, in its view, the ratings
currently assigned to the notes remain consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
RATING AND CREDITWATCH ACTIONS
Latitude CLO III Ltd.
Rating
Class To From
A AAA (sf) AAA (sf)
B AAA (sf) AA+ (sf)/Watch Pos
C AA+ (sf) AA (sf)/Watch Pos
D AA (sf) A (sf)/Watch Pos
E BBB+ (sf) BBB (sf)/Watch Pos
F BB+ (sf) BB (sf)/Watch Pos
LB-UBS COMMERCIAL 2000-C4: Moody's Affirms 'C' Rating on J Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three
classes and upgraded the ratings on two classes in LB-UBS
Commercial Mortgage Trust 2000-C4, Commercial Mortgage Pass-
Through Certificates as follows:
Cl. F, Upgraded to Aa1 (sf); previously on Mar 14, 2013 Affirmed
Aa3 (sf)
Cl. G, Upgraded to Ba3 (sf); previously on Mar 14, 2013 Affirmed
B2 (sf)
Cl. H, Affirmed Ca (sf); previously on Mar 14, 2013 Affirmed Ca
(sf)
Cl. J, Affirmed C (sf); previously on Mar 14, 2013 Affirmed C (sf)
Cl. X, Affirmed Caa3 (sf); previously on Mar 14, 2013 Affirmed
Caa3 (sf)
Ratings Rationale
The ratings on the P&I classes were upgraded primarily due to an
increase in credit support since Moody's last review, resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff
of loans approaching maturity that are well positioned for
refinance. The ratings on the P&I classes were affirmed because
the ratings are consistent with Moody's expected loss.
The rating on the IO class was affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 18% of the
current balance, compared to 17% at Moody's last review. Moody's
base expected loss plus realized losses is now 5.4% of the
original pooled balance, the same as at the 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005,
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000 and "Commercial Real Estate
Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 10, the same as at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan 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. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Deal Performance
As of the January 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 95% to $55 million
from $999 million at securitization. The certificates are
collateralized by 17 mortgage loans ranging in size from 1% to 18%
of the pool, with the top ten loans constituting 86% of the pool.
Two loans, constituting 4% of the pool, have defeased and are
secured by US government securities. The pool includes a credit
tenant lease (CTL) component of six loans representing 15% of the
pool.
Four loans, constituting 30% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that 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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Twenty-eight loans have been liquidated from the pool, resulting
in an aggregate realized loss of $44 million (for an average loss
severity of 36%). One loan, constituting 18% of the pool, is
currently in special servicing. The specially serviced loan is the
111 Franklin Plaza Loan ($10 million), which is secured by a
138,000 square foot office property in downtown Roanoke, Virginia.
As of December 2013, the property was 54% leased compared to 61%
leased in January 2013. The loan transferred to special servicing
in September 2011 due to imminent monetary default, and the
property became real estate owned (REO) in 2012. The servicer
intends to stabilize the property before marketing it for sale.
Moody's estimates a high loss severity for this loan.
Moody's has assumed a high default probability for four poorly
performing loans, constituting 40% of the pool, and has estimated
an aggregate loss of $9 million (a 41% expected loss based on a
73% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 50% of the
pool, and full or partial year 2013 operating results for 88%.
Moody's weighted average conduit LTV is 70%, compared to 76% at
Moody's last 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 18% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.52X and 1.72X,
respectively, compared to 1.47X and 1.62X at the last 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% stress rate the agency applied to the loan balance.
The top three conduit loans represent 31% of the pool balance. The
largest loan is the Dulles North -- Phase 2 Loan ($7 million --
13% of the pool), which is secured by a 79,000 square foot
suburban office property in Sterling, Virginia, a suburb of
Washington, DC. The property is located approximately two miles
from Dulles International Airport. The property was 100% leased as
of December 2013, unchanged from Moody's last review. The U.S.
Customs Service, the second-largest tenant at 30% of property NRA,
renewed their lease in February 2014 through February 2017. The
loan matures in May 2015. Moody's LTV and stressed DSCR are 67%
and 1.67X, respectively, compared to 73% and 1.53X at the last
review.
The second largest loan is the Dulles North -- Phase 5 Loan ($6
million -- 10% of the pool). The loan is secured by a single-
tenant, suburban office property in Sterling, Virginia. The
property is 100% leased to NTT Worldwide Communications, a
subsidiary of Nippon Telegraph and Telephone (Moody's senior
unsecured rating Aa2, stable outlook), through February 2020. The
loan matures in July 2015. Moody's LTV and stressed DSCR are 46%
and 2.39X, respectively, compared to 48% and 2.30X at the last
review.
The third largest loan is the 1000 Circle 75 Loan ($4 million --
8% of the pool), which is secured by a 90,000 SF office property
near Atlanta, GA. The property was 54% occupied as of September
2013, compared to 78% as of December 2012. Moody's LTV and
stressed DSCR are 117% and 0.95X, respectively, compared to 97%
and 1.15X at the last review.
The CTL component consists of six loans, constituting 15% of the
pool, secured by properties leased to three tenants. The largest
exposures are CVS/Caremark Corp. ($4 million -- 51% of the CTL
component; senior unsecured rating: Baa1 -- stable outlook) and
Walgreen Co. ($3 million -- 41% of the CTL component; senior
unsecured rating: Baa1 -- negative outlook). All of the tenants
have a Moody's rating. The bottom-dollar weighted average rating
factor (WARF) for this pool is 238, compared to 289 at the last
review. WARF is a measure of the overall quality of a pool of
diverse credits. The bottom-dollar WARF is a measure of default
probability.
LB-UBS COMMERCIAL 2004-C4: Moody's Cuts on K Notes' Rating to 'C'
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of six classes,
upgraded four classes and downgraded two classes of LB-UBS
Commercial Mortgage Pass-Through Certificates, Series 2004-C4 as
follows:
Cl. A-1b, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed Aaa
(sf)
Cl. C, Upgraded to Aaa (sf); previously on Mar 21, 2013 Affirmed
Aa1 (sf)
Cl. D, Upgraded to Aaa (sf); previously on Mar 21, 2013 Affirmed
Aa2 (sf)
Cl. E, Upgraded to Aa3 (sf); previously on Mar 21, 2013 Affirmed
A2 (sf)
Cl. F, Upgraded to A1 (sf); previously on Mar 21, 2013 Affirmed A3
(sf)
Cl. G, Affirmed Ba2 (sf); previously on Mar 21, 2013 Downgraded to
Ba2 (sf)
Cl. H, Affirmed B2 (sf); previously on Mar 21, 2013 Downgraded to
B2 (sf)
Cl. J, Affirmed Caa2 (sf); previously on Mar 21, 2013 Affirmed
Caa2 (sf)
Cl. K, Downgraded to C (sf); previously on Mar 21, 2013 Affirmed
Ca (sf)
Cl. X, Downgraded to B1 (sf); previously on Mar 21, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on four P&I classes were upgraded primarily due to an
increase in credit support since Moody's last review resulting
from paydowns and amortization, as well as Moody's expectation of
additional increases in credit support resulting from the payoff
of loans approaching maturity that are well positioned for
refinance. The pool has paid down by 52% since Moody's last
review. In addition, loans constituting 46% of the pool that have
debt yields exceeding 12.0% are scheduled to mature within the
next five months. The ratings on six P&I classes were affirmed
because the transaction's key metrics, including Moody's loan-to-
value (LTV) ratio, Moody's stressed debt service coverage ratio
(DSCR) and the transaction's Herfindahl Index (Herf), are within
acceptable ranges. The rating on one P&I class was downgraded due
to the timing of realized and anticipated losses from specially
serviced and troubled loans. The rating on the IO Class, Class X,
was downgraded due to a decline in the weighted average rating
factor or WARF of its referenced classes.
Moody's rating action reflects a base expected loss of 2.3% of the
current balance, compared to 6.3% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.3% of the
original pooled balance compared to 3.9% at the 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 28 compared to 5 at Moody's last review.
Deal Performance
As of the January 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 78% to $317.8
million from $1.4 billion at securitization. The certificates are
collateralized by 64 mortgage loans ranging in size from less than
1% to 6.5% of the pool, with the top ten loans constituting 38% of
the pool. Fourteen loans, constituting 23% of the pool, have
defeased and are secured by US government securities. There are no
loans that have investment-grade credit assessments.
Thirty loans, constituting 44% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that 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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Fourteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $39.1 million (for an average loss
severity of 40%). There are no loans currently in special
servicing.
Moody's has assumed a high default probability for four poorly
performing loans constituting 6% of the pool and has estimated an
aggregate loss of $3.2 million (a 17% expected loss based on a 50%
probability default) from these troubled loans.
Moody's received full year 2012 operating results for 100% of the
pool and full or partial year 2013 operating results for 88% of
the pool. Moody's weighted average conduit LTV is 78% compared to
84% at Moody's last 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 9.4%.
Moody's actual and stressed conduit DSCRs are 1.38X and 1.34X,
respectively, compared to 1.35X and 1.28X at the last 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% stress rate the agency applied to the loan balance.
The top three performing conduit loans represent 17% of the pool
balance. The largest loan is the Park Parthenia Apartments Loan
($20.5 million -- 6.5% of the pool), which is secured by a 399-
unit apartment property located in Northridge, California. The
property's financial performance has remained stable as the
property is subject to rent controlled units. As of September
2013, the property was 96% leased, the same at Moody's last
review. Moody's LTV and stressed DSCR are 63% and 1.55X,
respectively, compared to 67% and 1.45X at last review.
The second largest loan is the Rivercrest Village Loan ($19.3
million -- 6.1% of the pool), which is secured by a 328-unit
apartment property located in Sacramento, California. Located
about a quarter mile east of Sacramento State University, the
property historically was about 40% leased to students. Recently
student occupancy has been declining due marketing strategies
geared towards more professionals and families. As of November
2013, the property was 98% leased compared to 93% as of December
2012. Per the servicer, this loan defeased on January 30, 2014.
The third largest loan is the 325-329 North Rodeo Drive Loan
($14.1 million -- 4.4% of the pool), which is secured by a 7,100
square foot (SF) retail property on Rodeo Drive in Beverly Hills,
California. As of September 2013, the property was 100% leased to
two tenants, Coach and the Swatch Group. Each tenant has lease
expirations in March 2015. Moody's LTV and stressed DSCR are 77%
and 1.26X, respectively, compared to 91% and 1.07X at last review.
LB-UBS 2004-C7: Moody's Affirms C Rating on 4 Note Classes
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings of 19 classes
of LB-UBS Commercial Mortgage Trust, Commercial Mortgage Pass-
Through Certificates, Series 2004-C7 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-6, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. X-CL, Affirmed Ba3 (sf); previously on Mar 14, 2013 Affirmed
Ba3 (sf)
Cl. X-OL, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa1 (sf); previously on Mar 14, 2013 Affirmed Aa1
(sf)
Cl. C, Affirmed Aa2 (sf); previously on Mar 14, 2013 Affirmed Aa2
(sf)
Cl. D, Affirmed A1 (sf); previously on Mar 14, 2013 Affirmed A1
(sf)
Cl. E, Affirmed A3 (sf); previously on Mar 14, 2013 Affirmed A3
(sf)
Cl. F, Affirmed Baa2 (sf); previously on Mar 14, 2013 Affirmed
Baa2 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Mar 14, 2013 Affirmed Ba1
(sf)
Cl. H, Affirmed Ba2 (sf); previously on Mar 14, 2013 Affirmed Ba2
(sf)
Cl. J, Affirmed B2 (sf); previously on Mar 14, 2013 Affirmed B2
(sf)
Cl. K, Affirmed Caa2 (sf); previously on Mar 14, 2013 Affirmed
Caa2 (sf)
Cl. L, Affirmed Caa3 (sf); previously on Mar 14, 2013 Affirmed
Caa3 (sf)
Cl. M, Affirmed Ca (sf); previously on Mar 14, 2013 Affirmed Ca
(sf)
Cl. N, Affirmed C (sf); previously on Mar 14, 2013 Affirmed C (sf)
Cl. P, Affirmed C (sf); previously on Mar 14, 2013 Affirmed C (sf)
Cl. Q, Affirmed C (sf); previously on Mar 14, 2013 Affirmed C (sf)
Cl. S, Affirmed C (sf); previously on Mar 14, 2013 Affirmed C (sf)
Ratings Rationale
The ratings on Classes A-1A through J were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The ratings on Classes K through S were affirmed because
the ratings are consistent with Moody's expected loss. The rating
on the IO Classes, Class X-CL and X-OL, were affirmed based on the
credit performance of the referenced classes.
Moody's rating action reflects a base expected loss of 4.9% of the
current balance, compared to 4.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 3.2% of the
original pooled balance compared to 2.9% at the 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating Fusion U.S. CMBS Transactions" published in April 2005 and
"Moody's Approach to Rating CMBS Large Loan/Single Borrower
Transactions" published in July 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 8 compared to 9 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan 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. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Deal Performance
As of the January 17, 2013 distribution date, the transaction's
aggregate certificate balance has decreased by 48% to $738.5
million from $1.4 billion at securitization. The certificates are
collateralized by 61 mortgage loans ranging in size from less than
1% to 23% of the pool, with the top ten loans constituting 51% of
the pool. Three loans, constituting 13% of the pool, have
investment-grade credit assessments. Eight loans, constituting 27%
of the pool, have defeased and are secured by US government
securities.
Eighteen loans, constituting 13% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that 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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance.
Seven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $9.6 million (for an average loss
severity of 45%). One loan, North Dekalb Mall ($26.6 million --
3.6% of the pool), is currently in special servicing. The loan is
secured by a 629,000 square foot (SF) regional mall (432,000 SF is
collateral) located in Decatur, Georgia. Anchored by Macy's, a
shadow anchor, Burlington Coat Factory and an AMC movie theatre,
the property transferred to special servicing in August 2010 due
to imminent monetary default. After receiving a modification, the
loan transferred back to the master servicer in November 2011. In
April 2013, the loan transferred back to special servicing for
imminent monetary default. The loan is scheduled for discounted
payoff in March 2014, with the borrower looking to reposition the
asset.
Moody's has assumed a high default probability for six poorly
performing and specially serviced loans, constituting 6.1% of the
pool, and has estimated an aggregate loss of $16.9 million (a 38%
expected loss based on a 80% probability default) from these
troubled and specially serviced loans.
Moody's received full year 2012 operating results for 100% of the
pool, and full or partial year 2013 operating results for 94%.
Moody's weighted average conduit LTV is 93%, compared to 94% at
Moody's last 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 8% 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 1.39X and 1.08X,
respectively, compared to 1.39X and 1.07X at the last 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% stress rate the agency applied to the loan balance.
The largest loan with a credit assessment is the Montgomery Mall
Loan ($80.1 million -- 10.8% of the pool). The loan is secured by
a two story, 1.1 million SF regional mall in Montgomery Township,
Pennsylvania, located approximately 20 miles north of Center City
Philadelphia. The mall anchors include Macy's, Sears, JC Penney,
and Dick's Sporting Goods. Moody's credit assessment and stressed
DSCR are A2 and 1.59X, respectively, compared to A2 and 1.52X at
last review.
The second largest loan with a credit assessment is the Kimco
Portfolio -- Enchanted Forest Loan ($10.4 million -- 1.4% of the
pool), which is secured by a grocery-anchored retail center in
Ellicott City, Maryland. The anchor is Safeway, which leases 36%
of property net rentable area (NRA) through March 2017. Several
smaller tenants have upcoming lease expirations. The loan sponsor
is Kimco Realty Corporation (Moody's senior unsecured rating Baa1,
stable outlook). The loan is also encumbered by an amortizing B-
Note, which is held outside the trust. The loan benefits from
amortization. Moody's current credit assessment and stressed DSCR
are Aa1 and 2.39X, respectively, compared to Aa1 and 2.34X at last
review.
The third loan with a credit assessment is the Kimco Portfolio --
Wilkens Beltway Plaza Loan ($7.7 million -- 1.0% of the pool). The
loan is secured by a grocery-anchored retail center with an office
component. The grocery anchor is Giant Food, a subsidiary of Royal
Ahold. As of December 2012, the property was 89% leased compared
to 95% at Moody's last review. The loan is also encumbered by an
amortizing B-Note, which is held outside the trust. The loan
benefits from amortization. Moody's current credit assessment and
stressed DSCR are Aa2 and 2.34X respectively, compared to Aa2 and
2.12X at last review.
The top three performing conduit loans represent 28% of the pool.
The largest loan is the 600 Third Avenue Loan ($168.0 million --
22.8% of the pool). The loan is secured by a 529,773 SF office
tower in the Grand Central submarket of Midtown Manhattan. As of
September 2013, the property was 93% leased compared to 89% as of
September 2012. Property reported NOI dropped sharply in 2011
following the departure of major tenant TruTV, which had occupied
approximately 27% of the building's NRA. The vacant space has
since been re-leased to new tenants. Financial performance
improved in 2012 and has continued to improve in the partial-year
2013 reported NOI. Moody's current LTV and stressed DSCR are 102%
and 0.90X, respectively, compared to 106% and 0.87X at Moody's
last review.
The second largest loan is the Richard's of Greenwich Loan ($19.6
million -- 2.7% of the pool), which is secured by a 27,000 SF
retail property in downtown Greenwich, Connecticut. The property
is fully leased to Ed Mitchell, Inc., which operates a luxury
goods emporium at the site, through 2024. The property is located
one block from the Greenwich station on the Metro-North Railroad,
which provides direct rail access to New York City. Moody's
current LTV and stressed DSCR are 94% and, 1.00X respectively,
compared to 94% and 1.01X at last review.
The third largest loan is the Guam Multifamily Loan ($19.3 million
-- 2.6% of the pool), which is secured by 12 apartment buildings
and one retail property totaling 54,377 SF located on the island
of Guam. The properties are occupied mainly by Guam-native
families, non-native transient workers and U.S. military
personnel. As of September 2013, the weighted average occupancy
was 91%. Performance has remained stable and the loan benefits
from amortization. Moody's LTV and stressed DSCR are 84% and
1.16X, respectively, the same at the last review.
MAYPORT CLO: Moody's Affirms 'Ba3' Rating on Cl. B-2L Notes
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Mayport CLO Ltd.:
$25,000,000 Class A-3L Deferrable Floating Rate Notes Due February
2020, Upgraded to Aaa (sf); previously on August 15, 2013 Upgraded
to Aa2 (sf);
19,500,000 Class B-1L Floating Rate Notes Due February 2020,
Upgraded to A2 (sf); previously on August 15, 2013 Upgraded to
Baa2 (sf).
Moody's also affirmed the ratings on the following notes:
$250,000,000 Class A-1L Floating Rate Notes Due February 2020
(current outstanding balance of $100,780,406.77), Affirmed Aaa
(sf); previously on August 15, 2013 Affirmed Aaa (sf);
$60,000,000 Class A-1LV Floating Rate Revolving Notes Due February
2020 (current outstanding balance of $24,187,297.63), Affirmed Aaa
(sf); previously on August 15, 2013 Affirmed Aaa (sf);
$26,000,000 Class A-2L Floating Rate Notes Due February 2020,
Affirmed Aaa (sf); previously on August 15, 2013 Affirmed Aaa
(sf);
$20,000,000 Class B-2L Floating Rate Notes Due February 2020
(current outstanding balance of $19,262,292.40), Affirmed Ba3
(sf); previously on August 15, 2013 Affirmed Ba3 (sf).
Mayport CLO Ltd., issued in December 2006, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The portfolio is managed by Pacific Investment
Management Company. The transaction's reinvestment period ended in
February 2013.
Ratings Rationale
These rating actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's over-
collateralization ratios since August 2013. The Class A-1 notes
have been paid down by approximately 39% or $81.1 million since
August 2013. Based on the trustee's January 2014 report, the over-
collateralization (OC) ratios for the Senior Class A, Class A,
Class B-1L and Class B-2L notes are reported at 148.4%, 127.3%,
114.6% and 104.3%, respectively, versus August 2013 levels of
131.4%, 118.6%, 110.2% and 103.1%, respectively.
Methodology Used for the Rating Action
The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
November 2013.
Factors That Would Lead to an Upgrade or Downgrade of the Rating
This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:
1) Macroeconomic uncertainty: CLO performance is subject to a)
uncertainty about credit conditions in the general economy and b)
the large concentration of upcoming speculative-grade debt
maturities, which could make refinancing difficult for issuers.
2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO
documentation by different transactional parties owing to embedded
ambiguities.
3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the 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 continue and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan
market and collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the
highest payment priority.
5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets reported by the trustee and those that Moody's
assumes as having defaulted could result in volatility in the
deal's OC levels. Further, the timing of recoveries and whether a
manager decides to work out or sell defaulted assets create
additional uncertainty. 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.
Realization of higher than assumed recoveries would positively
impact the CLO.
In addition to the base case analysis, Moody's also conducted
sensitivity analyses to test the impact of a number of default
probabilities on the rated notes. Below is a summary of the impact
of different default probabilities (expressed in terms of WARF) on
all of the rated notes (by the difference in the number of notches
versus the current model output, for which a positive difference
corresponds to lower expected loss):
Moody's Adjusted WARF -- 20% (2107)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: 0
Class B-1L: +3
Class B-2L: +1
Moody's Adjusted WARF + 20% (3161)
Class A-1L: 0
Class A-1LV: 0
Class A-2L: 0
Class A-3L: -1
Class B-1L: -1
Class B-2L: -1
Loss and Cash Flow Analysis
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3 of
the "Moody's Global Approach to Rating Collateralized Loan
Obligations," published in November 2013.
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 differ from the trustee's reported numbers. In its base
case, Moody's analyzed the collateral pool as having a performing
par and principal proceeds balance of $224 million, defaulted par
of $1 million, a weighted average default probability of 16.17%
(implying a WARF of 2634), a weighted average recovery rate upon
default of 51.43%, a diversity score of 39 and a weighted average
spread of 3.08%.
Moody's incorporates the default and recovery properties of the
collateral pool in cash flow model analysis where they are subject
to stresses as a function of the target rating on each CLO
liability reviewed. Moody's derives the default probability from
the credit quality of the collateral pool and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate for future defaults is based primarily on the seniority of
the assets in the collateral pool. In each case, historical and
market performance and the collateral manager's latitude for
trading the collateral are also factors.
MERITAGE MORTGAGE 2005-1: Moody's Hikes Cl. M-5 Notes Rating to B2
------------------------------------------------------------------
Moody's Investors Service has upgraded the rating of one tranche
issued by Meritage Mortgage Loan Trust 2005-1, which is backed by
Subprime mortgage loans.
Complete rating action is as follows:
Issuer: Meritage Mortgage Loan Trust 2005-1
Cl. M-5, Upgraded to B2 (sf); previously on Apr 1, 2013 Upgraded
to Caa1 (sf)
Ratings Rationale
The action is a result of the recent performance of the underlying
pools and reflects Moody's updated loss expectations on the pools.
The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.6% in January 2014 from 7.9%
in January 2013. 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.
MERRILL LYNCH 2008-C1: S&P Raises Rating on Class C Notes to BB
---------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on 10
classes of commercial mortgage pass-through certificates from
Merrill Lynch Mortgage Trust 2008-C1, a U.S. commercial mortgage-
backed securities (CMBS) transaction. At the same time, S&P
affirmed its ratings on eight other classes from the same
transaction, including the class X interest-only (IO)
certificates.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
The upgrades reflect S&P's expectation of the available credit
enhancement for the affected tranches, which S&P believes is
greater than its most recent estimate of necessary credit
enhancement for the respective rating levels. The upgrades also
reflect S&P's views regarding the transaction's current and future
collateral performance, as well as the deleveraging of the trust
balance. S&P also considered the full repayment of the second
largest asset in the transaction, the Arundel Mills loan
($61.6 million, 9.4%), which according to the master servicer, has
been paid in full since the January 2014 trustee remittance
report.
The affirmation of S&P's 'AAA (sf)' rating on the class X IO
certificates reflects its current criteria for rating IO
securities.
RATINGS RAISED
Merrill Lynch Mortgage Trust 2008-C1
Commercial mortgage pass-through certificates
Rating
Class To From Credit
enhancement (%)
A-4 AAA (sf) AA- (sf) 35.18
A-1A AAA (sf) AA- (sf) 35.18
AM A+ (sf) A- (sf) 23.39
AM-A A+ (sf) A- (sf) 23.39
AJ BBB (sf) BB+ (sf) 16.12
AJ-A BBB (sf) BB+ (sf) 16.12
AJ-AF BBB (sf) BB+ (sf) 16.12
B BBB- (sf) BB (sf) 14.50
C BB (sf) BB- (sf) 12.69
D BB- (sf) B+ (sf) 11.43
RATINGS AFFIRMED
Merrill Lynch Mortgage Trust 2008-C1
Commercial mortgage pass-through certificates
Class Rating Credit
enhancement (%)
A-3 AAA (sf) 35.18
A-SB AAA (sf) 35.18
E B+ (sf) 10.16
F B (sf) 8.72
G B- (sf) 7.27
H CCC+ (sf) 5.65
J CCC (sf) 3.84
X AAA (sf) N/A
N/A-Not applicable.
MORGAN STANLEY 2007-HQ12: S&P Lowers Rating on Class B Notes to D
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2007-HQ12, a U.S. commercial
mortgage-backed securities (CMBS) transaction. At the same time,
S&P affirmed its ratings on nine other classes from the same
transaction.
S&P's rating actions follow its analysis of the transaction
primarily using its criteria for rating U.S and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
S&P affirmed its ratings 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
ratings. The affirmations also reflect the credit characteristics
and performance of the remaining assets, as well as the
transaction-level changes. The affirmed 'BBB (sf)' ratings on
classes A-2 through A-1A and the affirmed 'B- (sf)' ratings on
classes A-M and AMFL are consistent with S&P's view of the
transaction and reflect a Standard & Poor's debt service coverage
and loan to value of 0.88x and 122.70%, respectively. S&P also
considered the potential impact of the corrected mortgage loans,
which currently totals $615.7 million (44.8% of the trust
balance), on the transaction's liquidity and cause significant
interest shortfalls in the future.
S&P lowered the ratings on classes AJ and AJFL to 'CCC- (sf)' from
'CCC+ (sf)' to reflect credit support erosion that it anticipates
will occur upon the eventual resolution of the nine assets
($83.1 million, 6.0%) currently with the special servicer, LNR
Partners LLC.
S&P lowered its rating on the class B certificates to 'D (sf)'
because it believes the accumulated interest shortfalls will
remain outstanding for the foreseeable future. As of the Jan. 14,
2014, trustee remittance report, the trust experienced monthly
interest shortfalls totaling $851,225, primarily related to the
interest rate modification of $612,215, the appraisal subordinate
entitlement reduction amounts of $153,901 (net of non-recurring
recovery in the amount of $13,693) on eight ($80.7 million, 5.9%)
of the nine specially serviced assets, the special servicing fees
of $42,589, the workout fees of $29,825, and the under
collateralization of $12,695. The interest shortfalls affected
all the classes subordinate to and including class B.
RATINGS LOWERED
Morgan Stanley Capital I Trust 2007-HQ12
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
AJ CCC- (sf) CCC+ (sf) 14.90
AJFL CCC- (sf) CCC+ (sf) 14.90
B D (sf) CCC- (sf) 11.88
RATINGS AFFIRMED
Morgan Stanley Capital I Trust 2007-HQ12
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-2 BBB (sf) 39.59
A-2FL BBB (sf) 39.59
A-2FX BBB (sf) 39.59
A-3 BBB (sf) 39.59
A-4 BBB (sf) 39.59
A-5 BBB (sf) 39.59
A-1A BBB (sf) 39.59
AM B- (sf) 25.38
AMFL B- (sf) 25.38
MORGAN STANLEY 2007-IQ16: S&P Cuts Rating on Class D Notes to CCC
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on three
classes of commercial mortgage pass-through certificates from
Morgan Stanley Capital I Trust 2007-IQ16, a U.S. commercial
mortgage-backed securities (CMBS) transaction. Concurrently, S&P
affirmed its ratings on 13 classes of certificates from the same
transaction, including the class X-1 and X-2 interest-only (IO)
certificates (see list).
S&P's rating actions follow its analysis of the transaction,
primarily using its criteria for rating U.S. and Canadian CMBS
transactions. S&P's analysis included a review of the credit
characteristics and performance of the remaining assets in the
pool, the transaction structure, and the liquidity available to
the trust.
S&P lowered its ratings on classes D and E to reflect credit
support erosion that it anticipates will occur upon the eventual
resolution of 22 ($317.6 million, 14.6%) of the 23 specially
serviced assets ($326.0 million, 15.0%), as well as reduced
liquidity support available to these classes from current and
potential additional interest shortfalls from the specially
serviced assets.
S&P lowered its rating to 'D (sf)' on class F because S&P believes
the accumulated interest shortfalls will remain outstanding for
the foreseeable future. According to the Jan. 14, 2014, trustee
remittance report, the trust experienced monthly interest
shortfalls totaling $714,892. The current interest shortfalls are
primarily due to appraisal subordinate entitlement reduction
amounts of $348,132; interest reductions due to nonrecoverability
determinations of $276,313; and special servicing, liquidation,
and workout fees totaling $89,153. The current monthly interest
shortfalls affected all classes subordinate to and including class
E. Class E has experienced interest shortfalls for one month. If
the class continues to experience interest shortfalls for an
extended period of time and/or incur principal losses, S&P may
further lower the rating on class E to 'D (sf)'.
The rating affirmations on the principal and interest paying
classes reflect S&P's expectation that the available credit
enhancement for these classes will be within its estimated
necessary credit enhancement requirement for the current
outstanding ratings. The affirmations also reflect S&P's review
of the loans' credit characteristics and performance as well as
the transaction-level changes.
S&P affirmed its 'AAA (sf)' ratings on the class X-1 and X-2
interest-only (IO) certificates based on its current criteria for
rating IO securities.
RATINGS LOWERED
Morgan Stanley Capital I Trust 2007-IQ16
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
D CCC (sf) B- (sf) 7.70
E CCC- (sf) CCC (sf) 5.92
F D (sf) CCC (sf) 5.32
RATINGS AFFIRMED
Morgan Stanley Capital I Trust 2007-IQ16
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
A-3 AAA (sf) 31.41
A-4 AA+ (sf) 31.41
A-1A AA+ (sf) 31.41
A-M BBB (sf) 19.48
A-MFL BBB (sf) 19.48
A-MA BBB (sf) 19.48
A-J B (sf) 10.54
A-JFL B (sf) 10.54
A-JA B (sf) 10.54
B B- (sf) 9.64
C B- (sf) 8.45
X-1 AAA (sf) N/A
X-2 AAA (sf) N/A
N/A-Not applicable.
MORGAN STANLEY 2013-C8: Fitch Affirms Bsf Rating on Class F Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I,
Inc. (MSBAM), commercial mortgage pass-through certificates,
series 2013-C8.
Key Rating Drivers
The affirmations are the result of stable performance of the
underlying pool since issuance. As of the January 2014
distribution date, the pool's aggregate principal balance has been
reduced by 1% to $1.13 billion from $1.14 billion at issuance.
There are currently no delinquent or specially serviced loans.
The largest loan in the pool, The Crossings Premium Outlets (10.2%
of the pool), is secured by a 411,223 square foot (sf) retail
outlet center located in Tannersville, PA. The property rent roll
is diverse, accommodating 107 tenants with no individual tenant
accounting for more than 3.5% of the subject's gross leasable area
(GLA). As of third quarter 2013 (3Q'13), occupancy was reported at
99%, compared to 100% at year-end (YE) December 2012 and at
issuance. The net operating income (NOI) debt service coverage
ratio (DSCR) reported at 4.1x for year-to-date (YTD) 3Q'13,
compared to 3.79x at YE 2012.
The second largest loan in the pool, Chrysler East Building (8.9%
of the pool), is secured by a 745,201 sf office property in the
Grand Central submarket of Manhattan in New York City. The loan is
part of a pari-passu loan combination evidenced by two notes in
the aggregate principal amount of $265 million. As of 3Q'13,
occupancy was reported at 89%, compared to 96% at issuance. The
servicer reported NOI DSCR was 1.99x as of the September 2013
trailing 12 months (TTM), compared to 2.07x at issuance.
Fitch has identified one loan of concern, which represents 0.71%
of the pool. The loan is secured by a 70,075 sf retail property
located in Appleton, WI. As of 3Q'13, the property had a NOI DSCR
of 1.76x and was 100% occupied. The loan was designated a loan of
concern due to the lease of a major tenant, occupying 24,962 sf
(36% of GLA), expiring on Jan 31, 2014. Fitch has not been updated
as to the status of the lease.
Rating Sensitivity
All classes maintain Stable Outlooks. Due to the recent issuance
of the transaction and stable performance, Fitch does not foresee
positive or negative ratings migration until a material economic
or asset-level event changes the transaction's portfolio-level
metrics.
Fitch affirms the following classes as indicated:
-- $64.6 million class A-1 at 'AAAsf', Outlook Stable;
-- $145.9 million class A-2 at 'AAAsf', Outlook Stable;
-- $99 million class ASB at 'AAAsf', Outlook Stable;
-- $140 million class A-3 at 'AAAsf', Outlook Stable;
-- $336 million class A-4 at 'AAAsf', Outlook Stable;
-- $108.1 million class A-S at 'AAAsf', Outlook Stable;
-- $68.3 million class B at 'AA-sf', Outlook Stable;
-- $42.7 million class C at 'A-sf', Outlook Stable;
-- $0 class PST at 'A-sf', Outlook Stable;
-- $48.4 million class D at 'BBB-sf', Outlook Stable;
-- $19.9 million class E at 'BBsf', Outlook Stable;
-- $12.8 million class F at 'Bsf', Outlook Stable;
-- $893.6 million* class X-A at 'AAAsf'; Outlook Stable;
-- $68.3 million* class X-B at 'AA-sf'; Outlook Stable.
* Notional amount and interest-only
Fitch does not rate the class G and H certificates.
MSC 2006-SRR1: Moody's Affirms 'C' Rating on Class A2 Notes
-----------------------------------------------------------
Moody's Investors Service has affirmed the rating on the following
note issued by MSC 2006-SRR1.
Cl. A2, Affirmed C (sf); previously on Mar 28, 2013 Downgraded to
C (sf)
Ratings Rationale
Moody's has affirmed the rating on the transaction because its key
transaction metrics are commensurate with existing rating. The
affirmation is the result of Moody's on-going surveillance of
commercial real estate collateralized debt obligation (CRE CDO
Synthetic) transactions.
MSC 2006-SRR1 is a static synthetic CRE CDO transaction. The
transaction is backed by a portfolio of commercial mortgage backed
securities reference obligations (CMBS) (100% of the pool
balance). As of the trustee's January 24, 2014 report, the
aggregate note balance of the transaction is $359.7 million,
compared to $620.0 million at issuance.
Moody's has identified the following as key indicators of the
expected loss in CRE CDO transactions: the weighted average rating
factor (WARF), the weighted average life (WAL), the weighted
average recovery rate (WARR), and Moody's asset correlation (MAC).
Moody's typically models these 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 updated its assessments for the reference obligations
it does not rate. The rating agency modeled a bottom-dollar WARF
of 8,841, compared to 8,869 at last review. The current ratings on
the Moody's-rated collateral and the assessments of the non-
Moody's rated collateral are as follows: B1-B3: 8.8%, compared to
9.6% at last review; Caa1-C 91.2%, compared to 90.4% at last
review.
Moody's modeled a WAL of 1.3 years, compared to 2.2 at last
review.
Moody's modeled a fixed WARR of 0.4%, compared to 0.6% at last
review.
Moody's modeled a MAC of 100%, same as last review.
Methodology Underlying the Rating Action:
The principal methodology used in this rating was "Moody's
Approach to Rating SF CDOs" published in May 2012.
Factors that would lead to an upgrade or downgrade of the rating
The performance of the notes is subject to uncertainty, because it
is sensitive to the performance of the underlying portfolio, which
in turn depends on economic and credit conditions that are subject
to 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 to any one or more of the
key parameters could have rating implications for the rated notes,
although a change in one key parameter assumption could be offset
by a change in one or more of the other key parameter assumptions.
The rated notes are particularly sensitive to changes in the
ratings and credit assessments of the underlying reference
obligations. Notching up all (i.e. 100%) of the reference
obligation pool by one notch would not result in a change of the
average modeled rating of the rated notes.
The primary sources of uncertainty in Moody's assumptions are the
extent of growth in the current macroeconomic environment given
the weak recovery and commercial real estate property markets.
Commercial real estate property values continue to improve
modestly, 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, sustained growth will not be possible until investment
increases steadily for a significant period, non-performing
properties are cleared from the pipeline and fears of a euro area
recession abate.
MOUNTAIN VIEW 2013-1: S&P Affirms 'BB' Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.'s
$376 million floating-rate notes following the transaction's
effective date as of July 31, 2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
zreak-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P noted.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as S&P deems
necessary.
RATINGS AFFIRMED
Mountain View CLO 2013-1 Ltd./Mountain View CLO 2013-1 Corp.
Class Rating Amount
(mil. $)
X AAA (sf) 4
A AAA (sf) 253
B-1 AA (sf) 46
B-2 AA (sf) 5
C-1 (deferrable) A (sf) 20
C-2 (deferrable A (sf) 10
D (deferrable) BBB (sf) 20
E (deferrable) BB (sf) 18
NEUBERGER BERMAN XIV: S&P Affirms 'BB' Rating on Class E Notes
--------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Neuberger Berman CLO XIV Ltd./Neuberger Berman CLO XIV LLC's
$372 million fixed- and floating-rate notes following the
transaction's effective date as of Aug. 7, 2013.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
S&P believes the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P noted.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
Neuberger Berman CLO XIV Ltd./Neuberger Berman CLO XIV LLC
Class Rating Amount
(mil. $)
X AAA (sf) 1
A-1 AAA (sf) 252(i)
A-2 AAA (sf) 0(ii)
B-1 AA (sf) 30
B-2 AA (sf) 21
C (deferrable) A (sf) 31
D (deferrable) BBB (sf) 20
E (deferrable) BB (sf) 17
(i) Aside from the class A-1 notes' $217 million original
principal amount, the global notes' "up-to" balance
representing the class A-1 notes will be $252 million in
order to convert the class A-2 notes on the conversion date
according to the transaction documents.
(ii) The class A-2 notes were converted into the class A-1 notes
in August 2013.
NEUBERGER BERMAN XV: S&P Affirms 'BB' Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
Neuberger Berman CLO XV Ltd./Neuberger Berman CLO XV LLC's
$376.25 million floating- and fixed-rate notes following the
transaction's effective date as of Jan. 6, 2014.
Most U.S. cash flow collateralized loan obligations (CLOs) close
before purchasing the full amount of their targeted level of
portfolio collateral. On the closing date, the collateral manager
typically covenants to purchase the remaining collateral within
the guidelines specified in the transaction documents to reach the
target level of portfolio collateral. Typically, the CLO
transaction documents specify a date by which the targeted level
of portfolio collateral must be reached. The "effective date" for
a CLO transaction is usually the earlier of the date on which the
transaction acquires the target level of portfolio collateral, or
the date defined in the transaction documents. Most transaction
documents contain provisions directing the trustee to request the
rating agencies that have issued ratings upon closing to affirm
the ratings issued on the closing date after reviewing the
effective date portfolio (typically referred to as an "effective
date rating affirmation").
"An effective date rating affirmation reflects our opinion that
the portfolio collateral purchased by the issuer, as reported to
us by the trustee and collateral manager, in combination with the
transaction's structure, provides sufficient credit support to
maintain the ratings that we assigned on the transaction's closing
date. The effective date reports provide a summary of certain
information that we used in our analysis and the results of our
review based on the information presented to us," S&P said.
"We believe the transaction may see some benefit from allowing a
window of time after the closing date for the collateral manager
to acquire the remaining assets for a CLO transaction. This
window of time is typically referred to as a "ramp-up period."
Because some CLO transactions may acquire most of their assets
from the new issue leveraged loan market, the ramp-up period may
give collateral managers the flexibility to acquire a more diverse
portfolio of assets," S&P added.
For a CLO that has not purchased its full target level of
portfolio collateral by the closing date, S&P's ratings on the
closing date and prior to its effective date review are generally
based on the application of its criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P added.
In S&P's published effective date report, it discusses its
analysis of the information provided by the transaction's trustee
and collateral manager in support of their request for effective
date rating affirmation. In most instances, S&P intends to
publish an effective date report each time it issues an effective
date rating affirmation on a publicly rated U.S. cash flow CLO.
On an ongoing basis after S&P issues an effective date rating
affirmation, it will periodically review whether, in its view, the
current ratings on the notes remain consistent with the credit
quality of the assets, the credit enhancement available to support
the notes, and other factors, and take rating actions as it deems
necessary.
RATINGS AFFIRMED
Neuberger Berman CLO XV Ltd./Neuberger Berman CLO XV LLC
Class Rating Amount
(mil. $)
X AAA (sf) 1.25
A-1 AAA (sf) 105.00
A-2 AAA (sf) 150.00
B-1 AA (sf) 20.00
B-2 AA (sf) 25.00
C (deferrable) A (sf) 29.00
D (deferrable) BBB (sf) 20.75
E (deferrable) BB (sf) 17.75
F (deferrable) B (sf) 7.50
OFSI FUND VI: S&P Assigns Preliminary B Rating on Class E Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services assigned its preliminary
ratings to OFSI Fund VI Ltd./OFSI Fund VI LLC's $359.00 million
floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The preliminary ratings are based on information as of Feb. 10,
2014. Subsequent information may result in the assignment of
final ratings that differ from the preliminary ratings.
The preliminary ratings reflect S&P's view of:
-- The credit enhancement provided to the preliminary rated
notes through the subordination of cash flows that are
payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The 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 0.2429%-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.
PRELIMINARY RATINGS ASSIGNED
OFSI Fund VI Ltd./OFSI Fund VI LLC
Class Rating Amount (mil. $)
A-1 AAA (sf) 232.00
A-2 AA (sf) 51.00
B (deferrable) A (sf) 30.00
C (deferrable) BBB (sf) 20.50
D (deferrable) BB (sf) 14.00
E (deferrable) B (sf) 11.50
Combination securities(i) AA (sf) 283.00
Subordinated notes NR 41.00
(i) Comprised of $232 million in class A-1 notes and $51 million
in class A-2 notes.
NR - Not rated.
OMI TRUST 2001-E: S&P Lowers Ratings on 3 Note Classes to 'CC'
--------------------------------------------------------------
Standard & Poor's Ratings Services lowered our rating on one class
from OMI Trust 2001-E to 'CC (sf)' from 'CCC- (sf)' and placed it
on CreditWatch with negative implications. In addition, S&P
lowered its ratings on three classes from OMI Trust 2001-E and one
class from OMI Trust 2002-A to 'CC (sf)' from 'CCC- (sf)'.
The lowered ratings reflect the high likelihood of a payment
default resulting from a failure to pay the full principal balance
for each of the affected classes by their respective final
scheduled principal distribution dates. The negative CreditWatch
placement reflects S&P's expectation that we will lower the rating
on the A-1 class from the 2001-E series to 'D (sf)' shortly after
the class' likely default on the final scheduled principal
distribution date of March 15, 2014.
S&P's analysis focused on paragraph 10 of "Criteria For Assigning
'CCC+', 'CCC', 'CCC-', and 'CC' Ratings," published Oct. 1, 2012,
which states that S&P rates an issuer or issue 'CC' when it
expects default to be a virtual certainty, regardless of the time
to default. Specifically, S&P looked to the example provided in
the fourth bullet point in the paragraph, which states that S&P
expects the default of an issuer to be a virtual certainty based
on either: the specific default scenarios that are envisioned over
the next 12 months, or the expectation of default even under the
most optimistic collateral performance scenario over a longer
period of time.
For each of these transactions, S&P analyzed the existing
collateral versus the monthly principal collections in relation to
the affected class' principal position in the payment waterfall.
S&P do not expect the classes to receive full principal by their
final scheduled distribution dates, even under the most optimistic
collateral performance scenario.
Standard & Poor's will continue to monitor the affected ratings,
and it expects to resolve the negative CreditWatch placement by
lowering the rating to 'D (sf)' at its final scheduled
distribution date.
RATINGS LOWERED
OMI Trust 2001-E
Rating
Class To From
A-2 CC (sf) CCC- (sf)
A-3 CC (sf) CCC- (sf)
A-4 CC (sf) CCC- (sf)
OMI Trust 2002-A
Rating
Class To From
A-1 CC (sf) CCC- (sf)
RATING LOWERED AND PLACED ON CREDITWATCH NEGATIVE
OMI Trust 2001-E
Rating
Class To From
A-1 CC (sf)/Watch Neg CCC- (sf)
ONE WALL II: S&P Raises Rating on Class E Notes to 'B-'
-------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C, and E notes from One Wall Street CLO II Ltd. S&P
also affirmed its rating on the class D notes. At the same time,
S&P removed its ratings on the class A-1, A-2, B, C, D, and E
notes from CreditWatch, where it placed them with positive
implications on Nov. 14, 2013. One Wall Street CLO II Ltd. is a
collateralized loan obligation transaction managed by Alcentra
Ltd.
The transaction's reinvestment period ended in April 2013 and,
since then, the class A-1 and A-2 notes have paid down over
$56.01 million and $11.48 million, respectively. The upgrades
reflect the paydowns to the class A-1 and A-2 notes, which helped
create additional support for the subordinate notes. The
improvements are also evident in the increased class A/B, C, D,
and E overcollateralization ratios since our March 2012 rating
actions.
The rating action on the class D notes reflects the application of
the largest obligor test -- a supplemental stress test that S&P
introduced as part of its corporate collateralized debt obligation
criteria update.
The rating assigned to the class E notes was also limited by the
application of the largest obligor default test, which indicated
lower ratings than the ones currently assigned. However, in
analyzing the tranche, S&P considered the portfolio's overall
diversification and the increase in overcollateralization, and
raised the rating on the note to a level that S&P believes is
commensurate with credit risk.
The affirmation reflects sufficient credit support available to
the notes at its 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 S&P will take further
rating actions as it deems necessary.
CASH FLOW RESULTS AND SENSITIVITY ANALYSIS
One Wall Street CLO II Ltd.
Implied Cash Cash Flow Final
Class Flow Rating Cushion* Rating
A-1 AAA (sf) 6.86% AAA (sf)
A-2 AAA (sf) 6.86% AAA (sf)
B AA+ (sf) 2.73% AA+ (sf)
C A+ (sf) 2.80% A+ (sf)
D BBB- (sf) 0.15% BB+ (sf)
E B+ (sf) 4.79% B- (sf)
* The cash flow cushion is the excess of the tranche breakeven
default rate (BDR) above the scenario default rate (SDR)
at the assigned rating for a given class of rated notes.
RECOVERY RATE AND CORRELATION SENSITIVITY
In addition to S&P's base-case analysis, it generated additional
scenarios in which it made negative adjustments of 10% to the
current collateral pool's recovery rates relative to each
tranche's weighted average recovery rate.
In addition to S&P's base-case analysis, it generated other
scenarios by adjusting the intra- and inter-industry correlations
to assess the current portfolio's sensitivity to different
correlation assumptions assuming the correlation scenarios
outlined below.
Correlation
Scenario Within industry (%) Between industries (%)
Below base case 15.0 5.0
Base case equals rating 20.0 7.5
Above base case 25.0 10.0
Implied Cash 10% Recovery Correlation Correlation Final
Class Flow Rating Decrease Increase Decrease
Rating
A-1 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf)
B AA+ (sf) AA (sf) AA (sf) AA+ (sf) AA+ (sf)
C A+ (sf) A- (sf) A (sf) AA- (sf) A+ (sf)
D BBB- (sf) BB (sf) BB+ (sf) BBB- (sf) BB+ (sf)
E B+ (sf) B (sf) B+ (sf) BB- (sf) B- (sf)
DEFAULT BIASING SENSITIVITY
To assess whether the current portfolio has sufficient diversity,
S&P biased defaults on the assets in the current collateral pool
with the highest spread and lowest base-case recoveries.
Implied Cash Spread Recovery Final
Class Flow Rating Compression Compression Rating
A-1 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
A-2 AAA (sf) AAA (sf) AA+ (sf) AAA (sf)
B AA+ (sf) AA (sf) A+ (sf) AA+ (sf)
C A+ (sf) A (sf) BBB (sf) A+ (sf)
D BBB- (sf) BB+ (sf) B+ (sf) BB+ (sf)
E B+ (sf) B+ (sf) CC (sf) B- (sf)
RATINGS AND CREDITWATCH ACTIONS
One Wall Street CLO II Ltd.
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) A+ (sf)/Watch Pos
C A+ (sf) BBB+ (sf)/Watch Pos
D BB+ (sf) BB+ (sf)/Watch Pos
E B- (sf) CCC+ (sf)/Watch Pos
PREFERRED TERM XXI: Moody's Hikes Rating on 2 Note Classes to Caa2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Preferred Term Securities XXI, Ltd.:
$413,500,000 Floating Rate Class A-1 Senior Notes Due 2038
(current balance of $309,138,559.69 ), Upgraded to A3 (sf);
previously on June 28, 2013 Upgraded to Baa1 (sf)
$105,300,000 Floating Rate Class A-2 Senior Notes Due 2038
(current balance of $103,513,025.11), Upgraded to Baa2 (sf);
previously on June 28, 2013 Upgraded to Ba1 (sf)
$46,000,000 Floating Rate Class B-1 Mezzanine Notes Due 2038
(current balance of $47,905,698.04 ), Upgraded to Caa2 (sf);
previously on June 28, 2013 Affirmed Ca (sf)
$35,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due 2038
(current balance of $41,120,297.25 ), Upgraded to Caa2 (sf);
previously on June 28, 2013 Affirmed Ca (sf)
Preferred Term Securities XXI, Ltd., issued in March 2006, is a
collateralized debt obligation backed by a portfolio of bank and
insurance trust preferred securities.
Ratings Rationale
The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's over-
collateralization ratios, and the improvement in the credit
quality of the underlying portfolio since the last rating action
in June 2013.
The Class A-1 notes have paid down by approximately 7.60% or $25.4
million since June 2013, using principal proceeds from the
redemption of one asset in December 2013 and the diversion of
excess interest proceeds. The Class A-1 notes' par coverage has
thus improved to 161.30% from 153.35% since June 2013, by Moody's
calculations. Based on the trustee's 23 December 2013 report, the
over-collateralization ratio of the senior Class A notes was
127.87% (limit 128.00%), versus 124.37%, and that of the Class B
notes, 105.18% (limit 115.00%), versus 103.42% in June 2013. The
Class A-1 notes will continue to benefit from the diversion of
excess interest and the use of proceeds from redemptions of any of
the assets in the collateral pool.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations,
the weighted average rating factor (WARF) improved to 1256, from
1574 in June 2013. The total par amount that Moody's treated as
having defaulted or deferring declined to $199 million from
$201.89 million on June 2013. Since June 2013, one previously
deferring bank with a total par of $2.89 million has resumed
making interest payments on its TruPS; one asset with a total par
of $20.0 million has redeemed at par.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $495.94
million, defaulted/deferring par of $199.00 million, a weighted
average default probability of 24.31% (implying a WARF of 1256), a
Moody's Asset Correlation of 14.00%, and a weighted average
recovery rate upon default of 8.29%. In addition to the
quantitative factors Moody's explicitly models, qualitative
factors are part of rating committee considerations. Moody's
considers the structural protections in the transaction, the risk
of 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, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's current expectations could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Note
repayments that are faster than Moody's current expectations could
have a positive impact on the notes' ratings, beginning with the
notes with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant
positive impact on the transaction's over-collateralization ratios
and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) 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
Moody's modeled the transaction's portfolio using CDOROM(TM)
v.2.10.15 to develop the default distribution from which it
derives the Moody's Asset Correlation parameter.
The portfolio of this CDO contains trust preferred securities
issued by small to medium sized U.S. community banks and insurance
companies that Moody's does not rate publicly. To evaluate the
credit quality of bank TruPS that do not have public ratings,
Moody's uses RiskCalc(TM), an econometric model developed by
Moody's KMV, to derive credit scores. Moody's evaluation of the
credit risk of most of the bank obligors in the pool relies on
FDIC Q3-2013 financial data. For insurance TruPS that do not have
public ratings, Moody's relies on the assessment of its Insurance
team, based on the credit analysis of the underlying insurance
firms' annual statutory financial reports.
In addition to the base case, Moody's conducted 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
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 169 points from the base case of 1256
lowers the model-implied rating on the Class A-1 note by one notch
from the base case result; decreasing the WARF by 96 points raises
the model-implied rating on the Class A-1 note by one notch from
the base case result.
Moody's also conducted two additional sensitivity analyses, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012. In
the first analysis, Moody's gave par credit to banks that are
deferring interest on their TruPS but satisfy other credit
criteria and thus are highly likely to resume interest payments;
in this case, Moody's gave par credit to $32.0 million of bank
TruPS.
In the second sensitivity analysis, Moody's ran alternative
default-timing profile scenarios to reflect the lower likelihood
of a large spike in defaults. Below is a summary of the impact on
all of the rated notes (in terms of the difference in the number
of notches versus the current model-implied output, in which a
positive difference corresponds to a lower expected loss):
Sensitivity Analysis 1: Par Credit Given to Deferring Banks
Class A-1: +1
Class A-2: +1
Class B-1: +2
Class B-2: +2
Class C-1: 0
Class C-2: 0
Sensitivity Analysis 2: Alternative Default Timing Profile
Class A-1: +1
Class A-2: +1
Class B-1: +1
Class B-2: +1
Class C-1: 0
Class C-2: 0
PRIMA CAPITAL 200-1: Fitch Withdraws 'B' Rating on 4 Sec. Classes
-----------------------------------------------------------------
Fitch Ratings has withdrawn all ratings of Prima Capital CRE
Securitization 2006-1 Ltd./Corp. due to the transaction's
termination and the cancellation of all outstanding bonds.
Fitch was notified by the trustee in a 'Termination Direction
Letter' dated Jan. 30, 2014. The bonds were surrendered and
cancelled at the direction of the bondholders and shareholders of
the transaction. The trustee released and distributed the
remaining collateral and cash that was deposited into the
collection accounts to the bondholders.
Fitch has withdrawn the following ratings:
-- Class B 'BBBsf'; Outlook Stable;
-- Class C 'BBsf'; Outlook Stable;
-- Class D 'BBsf'; Outlook Stable;
-- Class E 'Bsf'; Outlook Stable;
-- Class F 'Bsf'; Outlook Stable;
-- Class G 'Bsf'; Outlook Stable;
-- Class H 'Bsf'; Outlook Stable;
-- Class J 'CCCsf'; RE 100%;
-- Class K 'CCCsf'; RE 100%.
Class A-1 and A-2 were paid in full.
PRUDENTIAL SECURITIES: Moody's Affirms Caa2 Rating on 2 Certs
-------------------------------------------------------------
Moody's Investors Service has upgraded one class and affirmed the
ratings on two classes in Prudential Securities Secured Financing,
Commercial Mortgage Pass-Through Certificates, Series 1999-C2 as
follows:
Cl. A-EC, Affirmed Caa2 (sf); previously on Mar 15, 2013 Affirmed
Caa2 (sf)
Cl. A-EC2, Affirmed Caa2 (sf); previously on Mar 15, 2013 Affirmed
Caa2 (sf)
Cl. N, Upgraded to Caa3 (sf); previously on Mar 15, 2013 Affirmed
C (sf)
Ratings Rationale
The rating on the P&I class was upgraded due to credit support
being consistent with Moody's expectations due to lower than
anticipated realized losses.
The ratings on the IO classes were affirmed because the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 1% of the
current balance, compared to 8% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.0% of the
original pooled balance, compared to 2.3% at the 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The methodologies used in this rating were "Moody's Approach to
Rating U.S. CMBS Conduit Transactions" published in September
2000, and "Moody's Approach to Rating CMBS Large Loan/Single
Borrower Transactions" published in July 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 8, compared to 14 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v 8.6 and then reconciles and weights the results from
the conduit and large loan 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. Moody's also further adjusts these
aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
Deal Performance
As of the January 17, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $23 million
from $869 million at securitization. The certificates are
collateralized by 14 mortgage loans ranging in size from less than
1% to 23% of the pool, with the top ten loans constituting 87% of
the pool. One loan, constituting 9% of the pool, has defeased and
is secured by US government securities.
Four loans, constituting 34% of the pool, are on the master
servicer's watchlist. The watchlist includes loans that 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, the agency reviews
the watchlist to assess which loans have material issues that
could affect performance. There are no loans in special servicing.
Seventeen loans have been liquidated from the pool, resulting in
an aggregate realized loss of $17.5 million (for an average loss
severity of 15%).
Moody's received full year 2012 operating results for 75% of the
pool, and full or partial year 2013 operating results for 73%.
Moody's weighted average conduit LTV is 68%, compared to 62% at
Moody's last 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 20% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10%.
Moody's actual and stressed conduit DSCRs are 1.14X and 2.19X,
respectively, compared to 1.26X and 2.43X at the last 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% stress rate the agency applied to the loan balance.
The top three conduit loans represent 44% of the pool balance. The
largest loan is the Desert Star Apartments Loan ($5 million -- 23%
of the pool), which is secured by a 437-unit apartment complex
located in Phoenix, Arizona. The borrower has not provided
financials since 2010. The loan is currently on the master
servicer's watchlist due to low DSCR. The loan has amortized 6%
since last review and 40% since securitization. Moody's LTV and
stressed DSCR are 96% and 1.07X, respectively, compared to 86% and
1.20X at the last review.
The second largest loan is the Office Depot Tallahassee Loan ($3
million -- 11% of the pool), which is secured by a free standing
Office Depot in Tallahassee, FL. The lease runs until December
2018, four months before the loan matures. Moody's LTV and
stressed DSCR are 83% and 1.31X, respectively, compared to 83% and
1.30X at the last review.
The third largest loan is the Office Depot Ormond Beach Loan ($2
million -- 9% of the pool), which is secured by a free standing
Office Depot in Ormond Beach, FL. The lease runs until December
2018, four months before the loan matures. Moody's LTV and
stressed DSCR are 82% and 1.31X, respectively, compared to 84% and
1.29X at the last review.
RITE AID 1999-1: Moody's Affirms B3 Rating on 2 Cert. Classes
-------------------------------------------------------------
Moody's Investors Service affirmed the ratings of Rite Aid Pass-
Through Trust Certificates, Series 1999-1 as follows:
Cl. A-1, Affirmed B3; previously on Mar 1, 2013 Affirmed B3
Cl. A-2, Affirmed B3; previously on Mar 1, 2013 Affirmed B3
Ratings Rationale
The ratings for this CTL lease deal were affirmed based on the
value of the real estate collateral relative to the outstanding
loan balance, the rating of Rite Aid Corporation (senior unsecured
debt rating of Caa2; stable outlook) and the residual value
insurance provider which is a rated entity.
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.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Commercial Real
Estate Finance: Moody's Approach to Rating Credit Tenant Lease
Financings" published in November 2011.
No model was used in this review.
Deal Performance
The Class A-1 certificate balance has decreased 78% to $16.3
million from $75.0 million at origination and is scheduled to
fully amortize by July 2, 2016. The Class A-2 balance remains
unchanged at $92.6 million and will have a balloon payment of $51
million or $69 per square foot that is protected by residual
insurance. The current combined Class A-1 and A-2 balance equates
to $129 per square compared to $199 per square foot at
origination.
This credit-tenant lease (CTL) transaction is supported by a
mortgage on a portfolio of 53 drug stores with a total of 841,411
square feet located in 14 states and the District of Columbia.
Each property is subject to a fully bondable, triple net lease
guaranteed by Rite Aid Corporation, which provides pharmacy
services as well as over-the-counter medication and household
items.
Residual insurance covers 51 of the 53 properties and is provided
by Hartford Life Insurance Company (senior unsecured debt rating
of Baa1, stable outlook). The two properties not covered by the
residual insurance secure loans that fully amortize by lease
expiration.
SIERRA TIMESHARE 2011-1: Fitch Rates Class C Notes at 'BB-sf'
-------------------------------------------------------------
Fitch Ratings has taken rating actions on the notes issued by
various Sierra Timeshare Receivables transactions.
Sierra Timeshare 2010-1 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
Sierra Timeshare 2011-1 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable;
-- Class C notes at 'BB-sf'; Outlook Stable.
Sierra Timeshare 2012-1 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
Sierra Timeshare 2013-1 Receivables Funding, LLC
-- Class A notes at 'Asf'; Outlook Stable;
-- Class B notes at 'BBBsf'; Outlook Stable.
These affirmations reflect the ability of each transaction's
credit enhancement to provide loss coverage consistent with the
current rating levels. The Stable Rating Outlooks reflect Fitch's
expectation that the notes will remain sufficiently enhanced to
cover the stressed loss levels consistent with the current ratings
for the next 12 to 18 months.
Fitch will continue to monitor economic conditions and their
impact as they relate to timeshare asset-backed securities and the
trust level performance variables and update the ratings
accordingly.
Loss Sensitivity
Unanticipated increases in the frequency of defaults could produce
loss levels higher than the current expectations and impact
available loss coverage. Lower loss coverage could affect ratings
and Rating Outlooks, depending on the extent of the decline in
coverage.
To date, the transactions have exhibited minimal losses (due to
repurchases) and default performance is consistent with Fitch's
initial expectations. Default coverage and multiple levels are
consistent with the current ratings. A material deterioration in
performance would have to occur within the asset pools to have
potential negative impact on the outstanding ratings.
Fitch's stress and rating sensitivity analyses are discussed in
the presale reports titled 'Sierra Timeshare 2010-1 Receivables
Funding, LLC (US ABS)', dated Mar. 10, 2010, 'Sierra Timeshare
2011-1 Receivables Funding, LLC (US ABS)', dated April 14, 2011,
'Sierra Timeshare 2012-1 Receivables Funding, LLC (US ABS)', dated
Mar. 12, 2012, and 'Sierra Timeshare 2013-1 Receivables Funding,
LLC (US ABS)', dated March 11, 2013, which is available on Fitch's
web site.
Fitch's analysis of the Representations and Warranties (R&W) of
this transaction can be found in 'Sierra Timeshare 2012-1
Receivables Funding LLC - Appendix' and 'Sierra Timeshare 2013-1
Receivables Funding LLC - 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 Global Structured Finance Transactions' dated
April 17, 2012.
SLM PRIVATE 2005-A: Fitch Cuts Rating on Class C Notes to 'BBsf'
----------------------------------------------------------------
Fitch Ratings affirms and assigns Stable Rating Outlooks to all
outstanding student loan notes issued by SLM Private Credit
Student Loan Trust 2004-B (SLM 2004-B). In addition, Fitch
affirms the senior and subordinate notes issued by SLM Private
Credit Student Loan Trust 2005-A (SLM 2005-A) and downgrades the
junior subordinate note. The Outlook remains Negative on all SLM
2005-A outstanding notes.
Fitch's Global Structured Finance Rating Criteria and Private
Student Loan Asset-Backed Securities (ABS) Criteria were used to
review the transaction.
Key Rating Drivers:
Collateral Quality:
As of the December 2013 distribution date, the trusts are
collateralized by private student loans originated by Sallie Mae,
which for the SLM 2005-A, are performing worse than initially
expected. The current cumulative gross defaults as a% of the
repayment balance range from 16%-21% with approximately 42%-55%
pool factors for SLM 2004-B and SLM 2005-A. Based on current
default levels, the revised projected lifetime base case gross
defaults levels range from 19%-27%, with remaining defaults
ranging from 8%-14%.
Credit Enhancement (CE):
Credit enhancement is provided by overcollateralization and excess
spread. The class A and B notes also benefit from subordination
of class C notes. As of the December 2013 date, the current
senior parity for the SLM 2004-B and SLM 2005-A trust are 118.21%
and 118.19%, respectively. Current subordinate and junior
subordinate parity have also increased. SLM 2004-B and SLM 2005-A
subordinate parity is at 111.80% and 111.78%; junior subordinate
parity is at 103.19% and 101.68%, respectively.
Although the parity levels have increased for SLM 2005-A, the
junior subordinate note was downgraded due to credit enhancement
levels that were insufficient to maintain current ratings. SLM
2004-B and SLM 2005-A notes that were affirmed were due to
sufficient levels of credit enhancement to maintain current
ratings. The Negative Outlook for SLM 2005-A is due to continued
deterioration in the collateral performance and compressed loss
coverage.
Liquidity Support:
Liquidity support is provided by a reserve account sized at
approximately $3.21 million for SLM 2004-B and $3.76 million for
2005-A.
Servicing Capabilities:
Day-to-day servicing is provided by Sallie Mae Servicing, L.P.
Sallie Mae Servicing, L.P has demonstrated satisfactory servicing
capabilities.
Rating Sensitivities
As Fitch's base case default proxy is derived primarily from
historical collateral performance, actual performance may differ
from the expected performance, resulting in higher loss levels
than the base case. This will result in a decline in credit
enhancement and remaining loss coverage levels available to the
notes and may make certain note ratings susceptible to potential
negative rating actions, depending on the extent of the decline in
coverage.
The collateral securing the notes are private student loans
originated to undergraduate, graduate, law, Med and MBA students
under the Signature and EXCEL programs. The private student loans
are intended to assist individuals in financing their
undergraduate or graduate education beyond FFELP limits.
Fitch has taken the following rating actions:
SLM Private Credit Student Loan Trust 2004-B:
-- Class A-2 affirmed at 'AAsf'; to Outlook Stable from Negative;
-- Class A-3 affirmed at 'AAsf'; to Outlook Stable from Negative;
-- Class A-4 affirmed at 'AAsf'; to Outlook Stable from Negative;
-- Class B affirmed at 'Asf'; to Outlook Stable from Negative;
-- Class C affirmed at 'BBsf'; to Outlook Stable from Negative.
SLM Private Credit Student Loan Trust 2005-A:
-- Class A-2 affirmed at 'AA-sf'; Outlook Negative;
-- Class A-3 affirmed at 'AA-sf'; Outlook Negative;
-- Class A-4 affirmed at 'AA-sf'; Outlook Negative;
-- Class B affirmed at 'Asf'; Outlook Negative;
-- Class C downgraded to 'BBsf' from 'BBB-sf'; Outlook Negative.
TRAPEZA CDO III: Moody's Raises Rating on 2 Note Classes to Caa3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Trapeza CDO III, LLC:
Class A1B Second Priority Senior Secured Floating Rate Notes due
January 20, 2034 (current balance of $54,552,442.94), Upgraded to
Aa1 (sf); previously on April 4, 2013 Upgraded to Aa3 (sf)
Class B Third Priority Senior Secured Floating Rate Notes due
January 20, 2034, Upgraded to Aa3 (sf); previously on April 4,
2013 Upgraded to Baa1 (sf)
Class C-1 Fourth Priority Secured Floating Rate Notes due January
20, 2034 (current balance of $35,831,390.98, including deferred
interest), Upgraded to Caa3 (sf); previously on April 4, 2013
Affirmed C (sf)
Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes due
January 20, 2034 (current balance of $35,831,390.98, including
deferred interest), Upgraded to Caa3 (sf); previously on April 4,
2013 Affirmed C (sf)
Trapeza CDO III, LLC, issued in June 2003 is a collateralized debt
obligation backed primarily by a portfolio of bank trust preferred
securities (TruPS).
Ratings Rationale
The rating actions are primarily a result of the deleveraging of
the Class A notes, an increase in the transaction's over-
collateralization ratios and the resumption of interest payments
on previously deferring assets since the last rating action in
April 2013. Additionally, the Class C and Class D notes have
resumed paying interest since the last rating action.
The Class A1A notes have been paid in full and the Class A1B notes
have been paid down by approximately 24% or $16.9 million since
April 2013, using principal proceeds from the redemption of the
underlying assets and the diversion of excess interest proceeds.
The Class A notes' par coverage has thus improved to 221.71% from
156.96% since April 2013, by Moody's calculations. Based on the
trustee's 15 January 2014 report, the Class A/B and C/D over-
collateralization (OC) ratios were 142.68% (limit 141.25%) and
77.02% (limit 102.25%) respectively, versus 122.54% and 70.45% in
March 2013. The Class A1B notes will continue to benefit from the
diversion of excess interest and the use of proceeds from
redemptions of the assets in the collateral pool. Because the
Class A/B OC ratio is no longer in breach of its limit, the Class
C and Class D notes, which had been deferring interest since July
2008, resumed paying interest in January 2014. Moody's expects
that the Class C and Class D notes will continue to receive
current interest payments, so long as the Class A/B OC ratio
satisfies the limit.
The total par amount that Moody's treated as having defaulted or
deferring declined to $69.6 million from $83.9 million in April
2013. Since April 2013, three previously deferring banks with a
total par of $14.3 million have resumed making interest payments
on their TruPS and two of these assets have redeemed at par with a
total par of $5.3 million. In addition, three performing assets
with a total par of $20.1 million have redeemed at par.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $120.9
million, defaulted and deferring par of $69.6 million, a weighted
average default probability of 16.95% (implying a WARF of 780), a
Moody's Asset Correlation of 21.32%, and a weighted average
recovery rate upon default of 10%. In addition to the quantitative
factors Moody's explicitly models, qualitative factors are part of
rating committee considerations. Moody's considers the structural
protections in the transaction, the risk of 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, can influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
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: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's current expectations could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Note
repayments that are faster than Moody's current expectations could
have a positive impact on the notes' ratings, beginning with the
notes with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant
positive impact on the transaction's over-collateralization ratios
and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) 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
Moody's modeled the transaction's portfolio using CDOROM(TM)
v.2.10.15 to develop the default distribution from which it
derives the Moody's Asset Correlation parameter.
The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks that Moody's does not rate
publicly. To evaluate the credit quality of bank TruPS that do not
have public ratings, Moody's uses RiskCalc(TM), an econometric
model developed by Moody's KMV, to derive credit scores. Moody's
evaluation of the credit risk of most of the bank obligors in the
pool relies on FDIC Q3-2013 financial data.
In addition to the base case, Moody's conducted 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
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 314 points from the base case of 780 lowers
the model-implied rating on the Class A1B by one notch from the
base case result; decreasing the WARF by 318 points raises the
model-implied rating on the Class A1B notes by one notch from the
base case result.
Moody's also conducted two additional sensitivity analyses, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012. In
the first analysis, Moody's gave par credit to banks that are
deferring interest on their TruPS but satisfy other credit
criteria and thus are highly likely to resume interest payments;
in this case, Moody's gave par credit to $7.7 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 of the rated notes (in terms of the difference in the number
of notches versus the current model-implied output, in which a
positive difference corresponds to a lower expected loss):
Sensitivity Analysis 1: Par Credit Given to Deferring Banks
Class A1B: 0
Class B: +0
Class C-1: +2
Class C-2: +2
Class D: 0
Class E: 0
Sensitivity Analysis 2: Alternative Default Timing Profile
Class A1B: 0
Class B: 0
Class C-1: 0
Class C-2: 0
Class D: 0
Class E: 0
TRAPEZA CDO XIII: Moody's Hikes Rating on $21MM Sr. Notes to 'Ba1'
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Trapeza CDO XIII, Ltd.:
$375,000,000 Class A-1 Senior Secured Floating Rate Notes due 2042
(current balance of $312,898,974), Upgraded to A2 (sf); previously
on July 31, 2013 Upgraded to Baa1 (sf)
$97,000,000 Class A-2a Senior Secured Floating Rate Notes due
2042, Upgraded to Baa1 (sf); previously on July 31, 2013 Upgraded
to Baa3 (sf)
$5,000,000 Class A-2b Senior Secured Fixed/Floating Rate Notes due
2042, Upgraded to Baa1 (sf); previously on July 31, 2013 Upgraded
to Baa3 (sf)
$21,000,000 Class A-3 Senior Secured Floating Rate Notes due 2042,
Upgraded to Ba1 (sf); previously on July 31, 2013 Upgraded to Ba2
(sf)
Trapeza CDO XIII, Ltd. issued in August 2007, is a collateralized
debt obligation backed by a portfolio of bank and insurance trust
preferred securities (TruPS).
Ratings Rationale
The rating actions are primarily a result of the deleveraging of
the Class A1 notes, an increase in the transaction's over-
collateralization ratios and improvement in credit quality of the
underlying portfolio since the last rating action in July 2013.
The Class A-1 notes have paid down by approximately 1.3% or $4.0
million since July 2013, using interest proceeds. The Class A1
notes' par coverage has thus improved to 169.1% from 161.6% since
July 2013 by Moody's calculations. Based on the trustee's December
31 2013 report, the over-collateralization (OC) ratio of the Class
A notes was 123.97% (limit 129.50%), versus 119.54% in June 2013,
that of the Class B notes, 107.30% (limit 119.00%), versus 103.66%
in June 2013, and that of the Class C notes, 94.43% (limit
113.50%), versus 91.40% in June 2013. The Class A-1 notes will
continue to benefit from the diversion of interest proceeds and
the use of proceeds from future redemptions of any of the assets
in the collateral pool.
The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations,
the weighted average rating factor (WARF) improved to 1006, from
1212 in July 2013. The total par amount that Moody's treated as
having defaulted or deferring declined to $190 million from $207
million in July 2013. Since June 2013, two previously deferring
banks with a total par of $17.0 million have resumed making
interest payments on their TruPS.
The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery
rate, are based on its methodology and could differ from the
trustee's reported numbers. In its base case, Moody's analyzed the
underlying collateral pool has having a performing par of $529
million, defaulted/deferring par of $190 million, a weighted
average default probability of 23.5% (implying a WARF of 1006), a
Moody's Asset Correlation of 17.9%, and a weighted average
recovery rate upon default of 8.9%. In addition to the
quantitative factors Moody's explicitly models, qualitative
factors are part of rating committee considerations. Moody's
considers the structural protections in the transaction, the risk
of 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, can
influence the final rating decision.
Methodology Underlying the Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating TRUP CDOs," published in May 2011.
Factors that Would Lead to an Upgrade or Downgrade of the Rating
1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.
2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's
current expectations could have a positive impact on the
transaction's performance. Conversely, asset credit performance
weaker than Moody's current expectations could have adverse
consequences on the transaction's performance.
3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and
excess interest proceeds will continue and at what pace. Note
repayments that are faster than Moody's current expectations could
have a positive impact on the notes' ratings, beginning with the
notes with the highest payment priority.
4) Resumption of interest payments by deferring assets: A number
of banks have resumed making interest payments on their TruPS. The
timing and amount of deferral cures could have significant
positive impact on the transaction's over-collateralization ratios
and the ratings on the notes.
5) Exposure to non-publicly rated assets: The deal contains a
large number of securities whose default probability Moody's
assesses through credit scores derived using RiskCalc(TM) 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
Moody's modeled the transaction's portfolio using CDOROM(TM)
v.2.10.15 to develop the default distribution from which it
derives the Moody's Asset Correlation parameter.
The portfolio of this CDO contains mainly trust preferred
securities issued by small to medium sized U.S. community banks
and insurance companies that Moody's does not rate publicly. To
evaluate the credit quality of bank TruPS that do not have public
ratings, Moody's uses RiskCalc(TM), an econometric model developed
by Moody's KMV, to derive credit scores. Moody's evaluation of the
credit risk of most of the bank obligors in the pool relies on
FDIC Q3-2013 financial data. For insurance TruPS that do not have
public ratings, Moody's relies on the assessment of its Insurance
team, based on the credit analysis of the underlying insurance
firms' annual statutory financial reports.
In addition to the base case, Moody's conduct 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
deterioration in the credit quality of the collateral pool).
Increasing the WARF by 220 points from the base case of 1006
lowers the model-implied rating on the Class A-1 notes by one
notch from the base case result; decreasing the WARF by 50 points
raises the model-implied rating on the Class A-1 notes by one
notch from the base case result.
Moody's also conducteded two additional sensitivity analyses, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs" published in August 2012. In the
first analysis, Moody's gave par credit to banks that are
deferring interest on their TruPS but satisfy other credit
criteria and thus are highly likely to resume interest payments;
in this case, Moody's gave par credit to $57.5 million of bank
TruPS. In the second sensitivity analysis, Moody's ran alternative
default-timing profile scenarios to reflect the lower likelihood
of a large spike in defaults. Below is a summary of the impact on
all of the rated notes (in terms of the difference in the number
of notches versus the current model-implied output, in which a
positive difference corresponds to a lower expected loss):
Sensitivity Analysis 1: Par Credit Given to Deferring Banks
Class A1: +2
Class A2a: +3
Class A2b: +2
Class A3: +2
Class B: +3
Class C1: +3
Class C2: +3
Sensitivity Analysis 2: Alternative Default Timing Profile
Class A1: +1
Class A2a: +1
Class A2b: +1
Class A3: 0
Class B: 0
Class C1: 0
Class C2: 0
WACHOVIA BANK 2005-C21: Fitch Cuts Class G Certs Rating to 'CCCsf'
------------------------------------------------------------------
Fitch Ratings has downgraded five and affirmed nine classes of
Wachovia Bank Commercial Mortgage Trust (WBCMT) commercial
mortgage pass-through certificates series 2005-C21.
Key Rating Drivers
The downgrades reflect an increase in expected losses, most of
which involves the 6116 Executive Boulevard loan (2.8% of the
pool) which transferred to special servicing in January 2014.
Fitch modeled losses of 7.3% of the remaining pool; expected
losses on the original pool balance total 6.2%, including $60.5
million (1.9% of the original pool balance) in realized losses to
date. Fitch has designated 48 loans (48.1%) as Fitch Loans of
Concern, which includes six specially serviced assets (8.6%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 40.8% to $1.92 billion from
$3.25 billion at issuance. Per the servicer reporting, nine loans
(3.6% of the pool) are defeased. Interest shortfalls are currently
affecting classes J through P.
The largest contributor to expected losses is the specially --
serviced 6116 Executive Boulevard loan (2.8% of the pool), which
is secured by a 207,055 square foot (sf) office building in
Rockville, MD. The collateral transferred to special servicing in
January 2014 for imminent default following the November 2013
lease expirations and tenant vacancies of the General Services
Administration (GSA), National Institute of Health (NIH) (90% of
the net rentable area (NRA)). According to the servicer, occupancy
is at 10% with no prospective tenants currently identified. There
are approximately $3.2 million in total property reserves,
including $2.8 million for tenant improvements. The loan is paid
through the January 2014 payment date.
The next largest contributor to expected losses is the specially-
serviced Park Place II loan (2.3%), which is secured by a 253,674
sf retail center in Sacramento, CA anchored by Kohl's, and
Marshalls. The center had experienced cash flow issues following
the major tenant vacancies of Borders Books (previously 10% NRA)
in January 2009 and Bed Bath & Beyond (10% NRA) in December 2011.
The loan transferred to special servicing in January 2012 due to
imminent default, and subsequently went into payment default in
September 2012. The foreclosure sale was completed in April 2013
and the property is now real estate owned (REO). The servicer is
working to lease up the vacant space, with occupancy reported at
73% as of January 2014.
The third largest contributor to expected losses is the NGP
Rubicon GSA Portfolio loan (9.6%), which is secured by 13 office
properties and one distribution center located in 10 states and
the District of Columbia, containing over 3 million sf. The
primarily single-tenant properties are leased to the GSA and
occupied by a variety of government agencies. Occupancy has
declined to 88% as of January 2014, compared to 100% at the end of
2012. Two properties are now 100% vacant following GSA lease
expirations, which include an 182,554-sf office building in Kansas
City, KS (6% of portfolio NRA) that has been vacant since 2012,
and a 53,830-sf office building in Norfolk, VA (2% of portfolio
NRA) that recently became vacant in December 2013. Another 81,512-
sf office property in Philadelphia, PA (3% of portfolio NRA) is
currently 50% occupied after a portion of the GSA lease expired in
November 2013. Leases for an additional 10% of the portfolio NRA
are scheduled to mature prior to the loan's maturity in June 2015.
The net operating income debt service coverage ratio declined to
1.23x for year-to-date September 2013, compared to 1.45x at year-
end December 2012. There is currently $5.3 million in property
reserves. The loan remains current as of the January 2014 payment
date.
Rating Sensitivity
The Negative Outlooks on classes C through F reflect property
performance concerns for several of the loans in the top-15,
including major tenant vacancies and rollover risk, combined with
secondary and tertiary market exposure. The Negative Outlooks
reflect the potential for further rating actions should realized
losses be greater than Fitch's expectations.
Fitch downgrades the following classes and assigns or revises
Rating Outlooks and Recovery Estimates (REs) as indicated:
-- $65 million class B to 'AAsf' from 'AAAsf', Outlook Stable;
-- $60.9 million class D to 'BBBsf' from 'Asf', Outlook to
Negative from Stable;
-- $36.6 million class E to 'BBsf' from 'BBBsf', Outlook to
Negative from Stable;
-- $40.6 million class F to 'Bsf' from 'BBsf', Outlook Negative;
-- $32.5 million class G to 'CCCsf' from 'Bsf', RE 25%.
Fitch affirms the following classes and assigns or revises Rating
Outlooks and REs as indicated:
-- $780 million class A-4 at 'AAAsf', Outlook Stable;
-- $230.3 million class A-1A at 'AAAsf', Outlook Stable;
-- $325 million class A-M at 'AAAsf', Outlook Stable;
-- $215.3 million class A-J at 'AAAsf', Outlook Stable;
-- $32.5 million class C at 'AAsf', Outlook to Negative from
Stable;
-- $40.6 million class H at 'CCsf', RE 0%.
-- $16.3 million class J at 'CCsf', RE 0%;
-- $16.3 million class K at 'Csf', RE 0%;
-- $16.3 million class L at 'Csf', RE 0%.
The class A-1, A-2PFL, A-2C, A-3 and A-PB certificates have paid
in full. Fitch does not rate the class M, N, O and P certificates.
Fitch previously withdrew the rating on the interest-only class IO
certificates.
WACHOVIA BANK 2006-C26: S&P Cuts Ratings on 2 Note Classes to 'D'
-----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings on four
classes of commercial mortgage pass-through certificates from
Wachovia Bank Commercial Mortgage Trust's series 2006-C26, a U.S.
commercial mortgage-backed securities (CMBS) transaction. At the
same time, S&P affirmed its ratings on nine other classes from the
same transaction.
S&P's rating actions reflect 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 all of the remaining assets in the pool, the
transaction structure, and the liquidity available to the trust.
"We lowered our ratings on the class E and F certificates to 'D
(sf)' because we believe the accumulated interest shortfalls will
remain outstanding for the foreseeable future. As of the Jan. 17,
2014, trustee remittance report, the trust experienced monthly
interest shortfalls totaling $380,569, which were primarily
related to: $92,911 in appraisal subordinate entitlement reduction
amounts (net of a $315,199 nonrecurring recovery) on 12
($187.8 million, 13.5%) of the 14 specially serviced assets
($203.5 million, 14.7%), $180,664 in shortfalls because of
deferred interest on four modified loans ($96.0 million, 6.9%),
$53,079 in nonrecoverable interest, $41,321 in special servicing
fees, and $7,177 in workout fees. The current interest shortfalls
affected all classes subordinate to and including class E," S&P
said.
The affirmations on the principal and interest certificates
reflect S&P's expectation that the available credit enhancement
for these classes will be within its estimate of the necessary
credit enhancement required for the current outstanding ratings.
The affirmations also reflect S&P's review of the credit
characteristics and performance of the remaining assets, as well
as the transaction-level changes.
S&P affirmed its 'AAA (sf)' rating on the class X-C interest-only
(IO) certificates based on our criteria for rating IO securities.
RATINGS LOWERED
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C26
Rating
Class To From Credit enhancement (%)
A-M BBB+ (sf) A (sf) 23.83
D CCC (sf) B- (sf) 8.57
E D (sf) CCC (sf) 7.17
F D (sf) CCC- (sf) 5.77
RATINGS AFFIRMED
Wachovia Bank Commercial Mortgage Trust
Commercial mortgage pass-through certificates series 2006-C26
Class Rating Credit enhancement (%)
A-2 AAA (sf) 36.29
A-PB AAA (sf) 36.29
A-3 AAA (sf) 36.29
A-3FL AAA (sf) 36.29
A-1A AAA (sf) 36.29
A-J B+ (sf) 14.02
B B (sf) 11.84
C B- (sf) 10.59
X-C AAA (sf) N/A
N/A-Not applicable.
WAMU COMMERCIAL 2007-SL2: Moody's Affirms C Rating on 3 Notes
-------------------------------------------------------------
Moody's Investors Service upgraded the ratings of two classes and
affirmed the ratings of eight classes of Washington Mutual
Commercial Mortgage Pass-Through Certificates, Series 2007-SL2 as
follows:
Cl. A-1A, Upgraded to Aa3 (sf); previously on Mar 1, 2013 Affirmed
A1 (sf)
Cl. B, Upgraded to A3 (sf); previously on Mar 1, 2013 Affirmed
Baa1 (sf)
Cl. C, Affirmed Ba1 (sf); previously on Mar 1, 2013 Affirmed Ba1
(sf)
Cl. D, Affirmed B3 (sf); previously on Mar 1, 2013 Downgraded to
B3 (sf)
Cl. E, Affirmed Caa1 (sf); previously on Mar 1, 2013 Downgraded to
Caa1 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Mar 1, 2013 Downgraded to
Caa3 (sf)
Cl. G, Affirmed C (sf); previously on Mar 1, 2013 Downgraded to C
(sf)
Cl. H, Affirmed C (sf); previously on Mar 1, 2013 Affirmed C (sf)
Cl. J, Affirmed C (sf); previously on Mar 1, 2013 Affirmed C (sf)
Cl. X, Affirmed Ba3 (sf); previously on Mar 1, 2013 Affirmed Ba3
(sf)
Ratings Rationale
The ratings on two investment-grade P&I classes were upgraded
primarily due to an increase in credit support resulting from
paydowns and amortization. The deal has paid down approximately
35% since last review.
The ratings on Classes C and D were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges. The ratings on Classes E through J were affirmed because
the ratings are consistent with Moody's expected loss. The rating
on the interest-only class was affirmed based on the weighted
average rating factor or WARF of the referenced classes.
Moody's rating action reflects a base expected loss of
approximately 8.0% of the current deal balance compared to 6.6% at
last review. Moody's base expected loss plus realized loss is now
6.1% compared to 6.6% 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 can
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase
in the pool's share of defeasance or an improvement in pool
performance.
Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration and an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.
Methodology Underlying The Rating Action
The principal methodology used in this rating was "Moody's
Approach to Rating U.S. CMBS Conduit Transactions" published in
September 2000.
Description of Models Used
Moody's review used the excel-based CMBS Conduit Model v 2.64,
which it uses 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 Moody's uses to
estimate Moody's value). Conduit model results at the B2 (sf)
level are based on a paydown analysis using the individual loan-
level Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's merges the credit enhancement for loans with
investment-grade credit assessments with the conduit model credit
enhancement for an overall model result. Moody's incorporates
negative pooling (adding credit enhancement at the credit
assessment level) for loans with similar credit assessments in the
same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 142 compared to 224 at Moody's last review.
Deal Performance
As of the January 27, 2014 payment date, the transaction's
aggregate certificate balance has decreased by approximately 59%
to $344.6 million from $842.1 million at securitization. The
Certificates are collateralized by 328 mortgage loans ranging in
size from less than 1% to 4% of the pool, with the top ten loans
representing approximately 17% of the pool.
Eighty-one loans, representing approximately 26% of the pool, are
on the master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of our ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that
could impact performance.
Forty-five loans have been liquidated from the pool, resulting in
an aggregate realized loss of $23.3 million (49% average loss
severity). There are 23 loans, representing approximately 6% of
the pool, currently in special servicing. However, the special
servicer has reported that two additional loans were liquidated
subsequent to the trustee report. The aggregate balance for the 21
specially serviced loans is now $25.8 million. Moody's estimates
an aggregate loss of $10.9 million (51% loss severity) for the
specially serviced loans.
Moody's has assumed a high default probability for 36 poorly
performing loans representing approximately 11% of the pool.
Moody's has estimated an approximately $10.9 million (30% expected
loss on a 60% probability of default) from these troubled loans.
Moody's received full year 2011 and 2012 operating results for 96%
and 93% of the pool, respectively. Moody's weighted average
conduit LTV is 99%, the same as 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
approximately 10% 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 conduit DSCRs are 1.44X and 1.11X,
respectively, compared to 1.28X and 1.11X 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.
* Fitch Lowers Various Distressed U.S. RMBS Bonds to 'Dsf'
----------------------------------------------------------
Fitch Ratings, in a ratings release dated Feb. 7, 2014, downgraded
184 distressed bonds in 101 U.S. RMBS transactions to 'Dsf'. The
downgrades indicate that the bonds have incurred a principal
write-down. Of the bonds downgraded to 'Dsf', 183 classes were
previously rated 'Csf' and one class was rated 'CCsf'. All ratings
below 'CCCsf' indicate a default is expected.
As part of this review, the Recovery Estimates (REs) of the
defaulted bonds were not revised. In addition, the review focused
only on the bonds which defaulted and did not include any other
bonds in the affected transactions.
Of the 184 classes affected by these downgrades, 126 are Prime, 28
are Alt-A, and 17 are Subprime. The remaining transaction types
are other sectors. Approximately, 55% of the bonds have an RE of
50%-100%, which indicates that the bonds will recover 50%-100% of
the current outstanding balance, while 24% have an RE of 0%.
KEY RATING DRIVERS
All of the affected classes had incurred a principal write-down
and are expected to endure additional losses in the future.
RATING SENSITIVITIES
While the bonds that have defaulted are not expected to recover
any material amount of lost principal in the future there is a
limited possibility this may happen. In this unlikely scenario,
Fitch would further review the affected class.
A spreadsheet detailing Fitch's rating actions can be found at the
Fitch website entitled 'Fitch Downgrades 184 Distressed Bonds to
'Dsf' in 101 U.S. RMBS Transactions'. These actions were reviewed
by a committee of Fitch analysts. The spreadsheet provides the
contact information for the performance analyst.
The spreadsheet also details Fitch's assignment of REs to the
transactions. The Recovery Estimate scale is based upon the
expected relative recovery characteristics of an obligation. For
structured finance, REs are designed to estimate recoveries on a
forward-looking basis.
* Fitch Lowers Rating on 2 Note Classes to 'Dsf'
------------------------------------------------
Fitch Ratings has taken various rating actions on 15 U.S.
corporate synthetic collateralized debt obligation (CDO)
transactions. Rating affirmations are the primary rating action
affecting 44 ratings from 15 transactions. Four classes of notes
from one transaction were upgraded to 'BBsf' from 'Bsf', while two
classes of notes from two transactions were downgraded to 'Dsf'
from 'Csf'. Thirteen of the 15 transactions have not experienced
any credit events in the past 12 months.
Key Rating Drivers
The corporate synthetic CDO transactions have largely performed in
line with Fitch's expectations since February 2013. The ratings
for all 15 transactions generally reflect sufficient support for
the ratings driven by an adequate level of available credit
enhancement, relatively stable performance of the low-rated
reference entities in portfolios and decreased time to maturity.
The rating drivers for the upgrades were decreased time to
maturity and moderate improvement in portfolio quality since the
last review. Two classes of notes from two transactions were
downgraded to 'Dsf' due to principal losses sustained following
credit event settlements. These losses were sustained primarily
from both transactions' exposure to structured finance securities.
The rating drivers for 9 classes, which were affirmed with their
Outlooks revised to Positive from Stable, were stable portfolio
credit quality and decreased time to maturity. The Outlook for
one class was also revised from to Stable from Negative as a
result of stable portfolio credit quality and decreased time to
maturity. Fitch assigns Rating Outlooks to notes rated at or above
the 'Bsf' rating category. Fitch's Ratings Outlook indicates the
likely direction of any rating change over a one- to two-year
period.
Rating Sensitivities
For the deals analyzed, negative migration and defaults in the
portfolio beyond those projected could lead to downgrades. The
five distressed transactions, with classes rated 'CCCsf' and
below, have limited sensitivity to further negative migration
given the highly distressed rating levels of the outstanding
notes. However, there is potential for classes to be downgraded
to 'Dsf' should there be principal losses sustained following
future credit event settlements.
* Moody's Takes Action on $573MM of RMBS Issued 2005-2006
---------------------------------------------------------
Moody's Investors Service has downgraded the ratings of five
tranches from three transactions and upgraded the ratings of nine
tranches from five transactions and from various issuers, which
are all backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2005-1
Cl. M4, Upgraded to Caa2 (sf); previously on Mar 15, 2013 Affirmed
C (sf)
Issuer: GSAA Home Equity Trust 2005-10
Cl. M-2, Downgraded to Baa3 (sf); previously on Mar 12, 2013
Downgraded to A3 (sf)
Issuer: GSAMP Trust 2005-HE5
Cl. M-2, Upgraded to B1 (sf); previously on Mar 4, 2013 Upgraded
to B3 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 4, 2013 Affirmed
C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6
Cl. M-3, Upgraded to B1 (sf); previously on Apr 1, 2013 Affirmed
Caa1 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on Apr 1, 2013 Affirmed C
(sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-HE6
Cl. A-2b, Downgraded to Ca (sf); previously on Dec 28, 2010
Upgraded to Caa2 (sf)
Cl. A-2fpt, Downgraded to Ca (sf); previously on Dec 28, 2010
Upgraded to Caa2 (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2006-NC5
Cl. A-2b, Downgraded to Caa3 (sf); previously on Dec 28, 2010
Upgraded to Caa1 (sf)
Cl. A-2fpt, Downgraded to Caa3 (sf); previously on Dec 28, 2010
Upgraded to Caa1 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-9
Cl. A1, Upgraded to Baa3 (sf); previously on May 8, 2013 Upgraded
to Ba1 (sf)
Cl. A3, Upgraded to Ba3 (sf); previously on May 8, 2013 Upgraded
to B3 (sf)
Cl. M1, Upgraded to Ca (sf); previously on Apr 12, 2010 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2005-HE3
Cl. M1, Upgraded to B2 (sf); previously on Apr 12, 2010 Downgraded
to Caa1 (sf)
Ratings Rationale
The actions reflect recent performance of the pools and Moody's
updated loss expectations on those pools. The downgrade of GSAA
Home Equity Trust 2005-10 Cl. M-2 is driven by a recent interest
shortfall on the tranche. The tranche missed its interest payment
in Jan 2014 and structural limitations in the transaction prevent
recoupment of the missed interest even if funds are available in
subsequent periods. The downgrades of Morgan Stanley ABS Capital I
Inc. Trust 2006-HE6, Cl. A-2FPT and Cl. A-2b and Morgan Stanley
ABS Capital I Inc. Trust 2006-NC5, Cl. A-2FPT and Cl. A-2b are a
result of the change in principal priority for the respective
group 2 senior bonds from sequential-pay to pro-rata pay upon the
recent depletion of the mezzanine classes. The upgrade actions are
a result of improving performance of the related pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors That Would Lead to an Upgrade or Downgrade of the Rating
The primary source of assumption uncertainty is the uncertainty in
our central macroeconomic forecast and performance volatility due
to servicer-related issues. The unemployment rate fell from 7.9%
in January 2013 to 6.6% in January 2014. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
* Moody's Takes Action on $127MM of Subprime RMBS Issued 2002-2004
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 11 tranches
from five transactions and downgraded the rating of one tranche
from one transaction, backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: GSAMP Trust 2004-FM1
Cl. M-2, Upgraded to B2 (sf); previously on Mar 29, 2013 Upgraded
to Caa1 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on Mar 29, 2013
Upgraded to Ca (sf)
Cl. B-1, Upgraded to Caa3 (sf); previously on Mar 29, 2013
Affirmed C (sf)
Cl. B-2, Upgraded to Caa3 (sf); previously on Mar 29, 2013
Affirmed C (sf)
Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3
Cl. M-1, Upgraded to Ba2 (sf); previously on Apr 10, 2012
Confirmed at B1 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 10, 2012
Downgraded to Ca (sf)
Issuer: NovaStar Mortgage Funding Trust, Series 2004-3
Cl. M-5, Upgraded to B1 (sf); previously on Mar 5, 2013 Affirmed
B3 (sf)
Cl. M-6, Upgraded to Caa1 (sf); previously on Mar 5, 2013 Affirmed
Caa3 (sf)
Issuer: Structured Asset Investment Loan Trust 2003-BC5
Cl. M1, Upgraded to B1 (sf); previously on Mar 4, 2011 Downgraded
to B3 (sf)
Cl. M4, Upgraded to Ca (sf); previously on Mar 4, 2011 Downgraded
to C (sf)
Issuer: Structured Asset Investment Loan Trust 2003-BC9
Cl. M1, Upgraded to Caa1 (sf); previously on May 3, 2012 Confirmed
at Caa2 (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2003-HE2
Cl. M1, Downgraded to Baa1 (sf); previously on Apr 1, 2013
Downgraded to A3 (sf)
Ratings Rationale
The upgrades are a result of improving performance of the related
pools. The downgrade of Cl. M-1 from Asset Backed Securities
Corporation Home Equity Loan Trust 2003-HE2 is primarily a result
of deterioration of performance of the underlying pools. The
rating action reflects Moody's updated loss expectations on these
pools.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
Factors That Would Lead to an Upgrade or Downgrade of the Rating
The primary source of assumption uncertainty is the uncertainty in
our central macroeconomic forecast and performance volatility due
to servicer-related issues. The unemployment rate fell from 7.9%
in January 2013 to 6.6% in January 2014. Moody's forecasts an
unemployment central range of 6.5% to 7.5% for the 2014 year.
Moody's expects house prices to continue to rise in 2014.
Performance of RMBS continues to remain highly dependent on
servicer procedures. Any change resulting from servicing transfers
or other policy or regulatory change can impact the performance of
these transactions.
* Moody's Cuts Ratings on $101.MM of Alt-A RMBS Issued 2005-2006
----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 11
tranches backed by Alt-A RMBS loans, issued by three RMBS
transactions.
Complete rating actions are as follows:
Issuer: Deutsche Alt-B Securities Mortgage Loan Trust, Series
2006-AB4
Cl. A-6A-1, Downgraded to Ca (sf); previously on Sep 8, 2010
Downgraded to Caa3 (sf)
Cl. A-6A-2, Downgraded to Ca (sf); previously on Sep 8, 2010
Downgraded to Caa3 (sf)
Issuer: Deutsche Alt-B Securities, Inc. Mortgage Loan Trust Series
2006-AB3
Cl. A-1, Downgraded to Ca (sf); previously on Sep 16, 2010
Downgraded to Caa2 (sf)
Issuer: Structured Asset Securities Corp Trust 2005-14
Cl. 1-A1, Downgraded to B2 (sf); previously on Aug 11, 2010
Downgraded to Ba3 (sf)
Cl. 1-A3, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B2 (sf)
Cl. 1-A4, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B3 (sf)
Cl. 1-A5, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B3 (sf)
Cl. 1-A6, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B3 (sf)
Cl. 1-A7, Downgraded to B2 (sf); previously on Aug 11, 2010
Downgraded to Ba3 (sf)
Cl. 2-A1, Downgraded to Caa1 (sf); previously on Aug 11, 2010
Downgraded to B3 (sf)
Cl. AP, Downgraded to Caa2 (sf); previously on Aug 11, 2010
Downgraded to Caa1 (sf)
Ratings Rationale
The ratings downgraded from SASCO 2005-14 are a result of
deteriorating performance, erosion of enhancement and structural
features resulting in higher expected losses for the bonds than
previously anticipated. The ratings downgraded from Deutsche Alt-B
transactions are due to the current pro-rata principal and loss
allocation amongst the outstanding tranches.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.7% in December 2013 from
7.9% in December 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 Takes Actions on $81MM of RMBS by Various Issuers
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five
tranches from 3 transactions issued by various trusts, backed by
Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: C-Bass Mortgage Loan Asset Backed Notes, Series 2001-CB4
Cl. IA-1, Upgraded to Ba3 (sf); previously on May 4, 2012
Confirmed at B2 (sf)
Cl. IM-1, Upgraded to Caa3 (sf); previously on May 4, 2012
Confirmed at C (sf)
Issuer: RAMP Series 2004-RS4 Trust
Cl. A-I-5, Upgraded to B1 (sf); previously on Mar 30, 2011
Downgraded to B3 (sf)
Cl. A-I-6, Upgraded to B1 (sf); previously on Mar 30, 2011
Downgraded to B2 (sf)
Issuer: RAMP Series 2004-RS6 Trust
Cl. M-II-1, Upgraded to B1 (sf); previously on Mar 30, 2011
Downgraded to B3 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools. The upgrades are a result of improving performance of
the related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.7% in December 2013 from
7.9% in December 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 Takes Actions on $27.9MM of RMBS Deals From 3 Issuers
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from three transactions. The collateral backing these
deals primarily consists of closed end second lien loans.
Complete rating action is as follows:
Issuer: Bear Stearns Home Loan Owner Trust 2001-A
Cl. M-2, Upgraded to Ba1 (sf); previously on Nov 10, 2010
Confirmed at Ba3 (sf)
Issuer: First Franklin Mortgage Loan Trust 2005-FFA
Cl. M-2, Upgraded to Ba1 (sf); previously on Oct 20, 2010
Downgraded to Ba3 (sf)
Issuer: Home Equity Mortgage Trust 2005-2
Cl. M-6, Upgraded to Ba1 (sf); previously on Jun 30, 2010
Confirmed at Ba3 (sf)
Cl. M-7, Upgraded to Caa2 (sf); previously on Jun 30, 2010
Downgraded to Ca (sf)
Ratings Rationale
The actions are a result of the recent performance of second lien
loans backed pools and reflect Moody's updated loss expectations
on these pools. The ratings upgraded are primarily due to the
build-up in credit enhancement due to sequential pay structures,
non-amortizing subordinate bonds, and excess spread. Performance
has remained generally stable from our last review.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.6% in January 2014 from 7.9%
in January 2013 . 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 this transaction.
* Moody's Takes Actions on $34.3MM of Second Lien RMBS Deals
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of five
tranches from three transactions. The collateral backing these
deals primarily consists of closed end second lien loans.
Issuer: Soundview Home Loan Trust 2005-A
Cl. M-3, Upgraded to Ba1 (sf); previously on Nov 3, 2010 Confirmed
at B1 (sf)
Cl. M-4, Upgraded to Caa1 (sf); previously on Oct 28, 2008
Downgraded to C (sf)
Issuer: Structured Asset Securities Corp Trust 2005-S3
Cl. M3, Upgraded to B2 (sf); previously on Jul 6, 2010 Downgraded
to Caa1 (sf)
Cl. M4, Upgraded to Ca (sf); previously on Jul 6, 2010 Downgraded
to C (sf)
Issuer: Terwin Mortgage Trust 2005-1SL
Cl. M-2, Upgraded to Caa2 (sf); previously on Oct 20, 2010
Confirmed at Ca (sf)
Ratings Rationale
The actions are a result of the recent performance of second lien
loans backed pools and reflect Moody's updated loss expectations
on these pools. The ratings upgraded are primarily due to the
build-up in credit enhancement due to sequential pay structures,
non-amortizing subordinate bonds, and excess spread. Performance
has remained generally stable from our last review.
The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in November 2013.
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 6.6% in January 2014 from 7.9%
in January 2013. 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 this transaction.
* S&P Corrects Ratings on 8 Classes from 2 U.S. RMBS Transactions
-----------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on eight
classes from two U.S. residential mortgage-backed securities
transactions issued between 2004 and 2005.
These transactions are backed by a mix of adjustable- and fixed-
rate mortgage loans insured by Federal Housing Administration
(FHA)/Veterans Affairs (VA) and secured primarily by first liens
on one- to four-family residential properties.
On Feb. 1, 2010, due to an administrative error S&P inadvertently
lowered its ratings on the affected classes. The rating
corrections reflect S&P's view that the amount of projected credit
enhancement available for these classes will likely cover
projected losses based on the stress scenarios associated with the
corrected rating levels. In addition, S&P's projected losses on
the loans also consider the FHA insurance or VA guarantees, as
applicable, on the underlying mortgages.
Subordination, overcollateralization (when available), and excess
interest generally provide credit support for the reviewed
transactions.
RATINGS CORRECTED
GSMPS Mortgage Loan Trust 2005-LT1
Series 2005-LT1
Rating
Class CUSIP To From Before Feb. 1, 2010
A-1 12506YAF6 AAA (sf) CCC (sf) AAA (sf)
M-1 36290PBT3 A+ (sf) CCC (sf) AA (sf)
M-2 36290PBU0 A+ (sf) CCC (sf) A (sf)
B-1 36290PBV8 BBB+ (sf) CC (sf) BBB (sf)
Structured Asset Securities Corp. Mortgage Loan Trust 2004-NP2
Series 2004-NP2
Rating
Class CUSIP To From Before Feb. 1, 2010
A 86359BQ79 AAA (sf) CCC (sf) AAA (sf)
M-1 86359BQ87 A+ (sf) CC (sf) AA (sf)
M-2 86359BQ95 A+ (sf) CC (sf) A (sf)
B 86359BR29 A+ (sf) CC (sf) BBB (sf)
*********
Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par. Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable. Those sources may not,
however, be complete or accurate. The Monday Bond Pricing table
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Each Tuesday edition of the TCR contains a list of companies with
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The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
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