/raid1/www/Hosts/bankrupt/TCR_Public/140302.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, March 2, 2014, Vol. 18, No. 60
Headlines
ACIS CLO 2014-3: S&P Assigns BB Rating to Class E Notes
ADVANTA BUSINESS: S&P Lowers Rating on Class B Notes to 'D'
AIRCRAFT FINANCE: S&P Lowers Rating on Class A-1 Notes to 'CCC-'
APIDOS CDO V: Moody's Affirms B1 Rating on Class D Notes
APIDOS CINCO: Moody's Raises Rating on $11MM Notes to Ba2
BABSON CLO: Moody's Raises Rating on $4.5MM Notes to 'Ba1'
BAKER STREET II: Fitch Affirms Bsf Rating on $11.4MM Class E Notes
BANC OF AMERICA 2004-BBA4: Fitch Withdraws 'D'-Rated Classes
BLUEMOUNTAIN CLO 2013-1: S&P Affirms BB Rating on Class D Notes
C-BASS CBO VIII: S&P Raises Rating on Class C Notes to CCC+
CABELA'S CARD: Fitch Affirms BB+ Rating on 2010-I Class D Notes
CAPMARK VII-CRE: Fitch Affirms Ratings on 8 Securities Classes
CARLYLE HIGH X: Moody's Affirms Ba3 Rating on $12MM Class Notes
CD 2006-CD3: S&P Lowers Rating on Class F Certificates to 'D'
CENT CDO 14: Moody's Ups Rating on $12MM Class E Notes to 'Ba3'
CFCRE COMMERCIAL 2011-C1: Fitch Affirms Bsf Rating on Cl. G Notes
CHASE COMMERCIAL 1998-2: Fitch Affirms BB Rating on Class I Secs.
CITIGROUP 2014-GC19: Fitch to Rate $11.4MM Class F Certs 'Bsf'
COMM 2003-LNB1: S&P Raises Rating on Class H Notes to 'B-'
COMM 2004-LNB4: Moody's Takes Action on 6 Cert. Classes
COMM 2014-CCRE15: Moody's Assigns 'B2' Rating on Class F Notes
CS FIRST BOSTON 2001-CK1: Moody's Affirms C Rating on 2 Notes
CSMC TRUST 2014-SURF: S&P Assigns BB- Rating on Class E Notes
DEL MAR CLO I: Moody's Raises Rating on $13.125MM Notes to Ba2
DELTA AIR LINES: S&P Corrects Ratings on 5 Certificate Classes
DEUTSCHE MORTGAGE: Moody's Lowers Rating on Cl. 3-A-1 Notes to Ca
EAST LANE RE VI: S&P Assigns Prelim. 'BB+' Rating on 2014-I Notes
FIRST UNION-LEHMAN: Moody's Affirms C Rating on Class L Certs.
FREMF 2011-K12: Moody's Affirms Ba3 Rating on Class X-2 Certs
FRONTIER FUNDING V: S&P Affirms 'CC' Rating on Class A Notes
GE CAPITAL 2001-3: S&P Affirms 'CCC-' Rating on Cl. H Certificates
GE COMMERCIAL 2004-C2: Fitch Affirms CCC Ratings on 3 Certs
GE COMMERCIAL 2004-C2: Moody's Affirms Rating on 6 Cert. Classes
GSC PARTNERS VII: Moody's Affirms Ba1 Rating on Class E Notes
GRAMERCY REAL 2006-1: S&P Raises Rating on Class A-2 Notes to BB+
GREENWICH CAPITAL: S&P Lowers Ratings on 4 Note Classes to 'D'
HALCYON LOAN: Moody's Affirms Ba3 Rating on $15MM Class D Notes
ING INVESTMENT: Moody's Affirms B1 Rating on $13MM Notes
JP MORGAN 2003-PM1: Fitch Affirms Class M Certs' Dsf Rating
JP MORGAN 2005-LDP4: Fitch Lowers Ratings on 3 Cert. Classes
JP MORGAN 2007-FL1: Moody's Lowers Rating on X-1 Certs to Caa2
JP MORGAN 2010-C1: Moody's Affirms B1 Rating on Cl. G Certs
KEYCORP STUDENT 2000-B: Moody's Confirms B1 Rating on A-2 Notes
KODIAK CDO I: Fitch Lowers Rating on $83MM Class B Notes to 'Dsf'
LB-UBS COMMERCIAL 2006-C1: Fitch Affirms 'Csf' Rating on 2 Certs
LB-UBS COMMERCIAL 2006-C6: S&P Lowers Rating on Cl. J Certs to 'D'
LB-UBS COMMERCIAL 2007-C7: Fitch Affirms CC Rating on 2 Certs
LCM XV: S&P Assigns 'BB-' Ratings on 2 Note Classes
LEHMAN BROTHERS: Moody's Cuts Rating on X-2 Certs to Caa1
MADISON PARK XII: Moody's Rates $17.25MM Class F Notes 'B2'
MORGAN STANLEY 2005-HQ6: Fitch Hikes Cl. E Certs Rating to 'Bsf'
MORGAN STANLEY 2007-HQ12: Fitch Affirms C Rating on 5 Certificates
MOUNTAIN HAWK: Moody's Assigns (P)B2 Rating on $14.75MM Notes
MOUNTAIN VIEW III: Moody's Affirms Ba3 Rating on $14MM Notes
NEWSTAR COMMERCIAL: S&P Raises Rating on Class E Notes to CCC+
NOMURA ASSET 1998-D6: Moody's Cuts Rating on PS-1 Certs to 'Caa2'
OHA CREDIT VII: S&P Affirms BB Rating on Class E Notes
PREFERRED TERM I: Moody's Raises Rating on $90MM Notes to Caa1
RESOURCE REAL ESTATE: Fitch Hikes Rating on 2 Certs to 'BBsf'
SALOMON BROTHERS 2000-C3: Moody's Affirms Caa3 Rating on X Certs
SARGAS CLO I: Moody's Affirms Ba1 Rating on $14MM Notes
SATURN VENTURES I: Moody's Affirms C Rating on Class B Notes
SILVERADO CLO 2006-I: S&P Affirms BB Rating on Class D Notes
STONE TOWER VI: Moody's Affirms Ba3 Rating on $31MM Class D Notes
TERWIN MORTGAGE: S&P Lowers Rating on 4 Note Classes to 'CC'
TRALEE CDO I: Moody's Affirms Ba2 Rating on $13.4 Class D Notes
WACHOVIA BANK 2005-C20: Moody's Affirms C Rating on Class H Notes
WFRBS COMMERCIAL 2012-C6: Moody's Affirms B2 Rating on F Certs
WFRBS COMMERCIAL 2014-LC14: Fitch Rates Class F Certificates 'Bsf'
* Fitch Takes Actions on 39 SF CDOs From 2000-2007 Vintages
* Fitch Takes Actions on 837 Classes in 119 RMBS Re-Remic Deals
* Fitch Takes Actions on Enhanced Municipal Bonds & TOBs
* Moody's Raises Rating on $719MM Subprime RMBS by Various Trusts
* Moody's Raises Ratings on $1.7BB Subprime RMBS Issued 2005-2006
* Moody's Lowers Ratings on $98MM of Alt-A RMBS Issued in 2005
* Moody's Raises $78MM of Subprime RMBS Issued in 2004
* S&P Cuts Rating on 108 Classes From 78 RMBS Deal to 'Dsf'
* S&P Puts Ratings on 150 Tranches From 42 CDO Deals on Watch Pos.
*********
ACIS CLO 2014-3: S&P Assigns BB Rating to Class E Notes
-------------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to ACIS
CLO 2014-3 Ltd./ACIS CLO 2014-3 LLC's $377 million floating- and
fixed-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not including excess spread) and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation (CDO) criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections of the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.2429%-12.7531%.
-- 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
rated notes' outstanding balance.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of a certain amount
of excess interest proceeds that are available before paying
uncapped administrative expenses and fees, collateral
manager incentive fees, and subordinated note payments, to
principal proceeds to purchase additional collateral assets
during the reinvestment period.
RATINGS ASSIGNED
ACIS CLO 2014-3 Ltd./ACIS CLO 2014-3 LLC
Class Rating Amount
(mil. $)
A-X AAA (sf) 3.50
A-1A AAA (sf) 205.0
A-1F AAA (sf) 25.0
A-2A AAA (sf) 15.0
A-2B AAA (sf) 2.0
B AA (sf) 56.00
C (deferrable) A (sf) 29.00
D (deferrable) BBB (sf) 19.00
E (deferrable) BB (sf) 17.50
F (deferrable) B+ (sf) 5.00
Subordinated notes NR 39.75
NR-Not rated.
ADVANTA BUSINESS: S&P Lowers Rating on Class B Notes to 'D'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
B(2005-B1) notes from Advanta Business Card Master Trust to 'D
(sf)' from 'CC (sf)'.
S&P lowered its rating to 'D (sf)' to reflect the nonpayment of
full principal to the class B(2005-B1) notes' investors by the
Feb. 20, 2014, legal final maturity date.
As of the Feb. 20, 2014, distribution date, the transaction repaid
approximately 95% of the class B(2005-B1) notes' invested amount,
leaving $4,696,012 outstanding or unpaid on the legal final
maturity date
AIRCRAFT FINANCE: S&P Lowers Rating on Class A-1 Notes to 'CCC-'
----------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on Aircraft
Finance Trust's series 1999-1 class A-1 notes to 'CCC- (sf)' from
'CCC (sf)'. Aircraft Finance Trust's series 1999-1 issuance is an
asset-backed securities transaction collateralized primarily by
the lease revenue and sales proceeds from a commercial aircraft
portfolio.
The downgrade reflects S&P's opinion of the remaining 14
aircraft's significant value decline, which has resulted in class
A-1 notes' increased loan-to-value (LTV) ratio (199%, compared
with 115% in August 2012), and the aircraft collateral's reduced
ability to generate adequate cash flow.
The fleet in Aircraft Finance Trust's portfolio is significantly
concentrated in the A320 family and Boeing 737 classics aircraft
that were manufactured in the 1990s, some of which, in S&P's view,
are likely to become economically obsolete earlier than expected.
There are also three Boeing 767-300ER wide-body aircraft, one of
which is 22 years old and off-lease.
Since S&P's September 2012 rating action, Aircraft Finance Trust
has sold 11 aircraft. The appraised value (the lower of mean and
medium of three maintenance-adjusted base values) of the remaining
14 aircraft was $138.5 million as of the Dec. 31, 2013, appraisal
date. As of Feb. 18, 2014, 14 aircraft were leased to 10 lessees
operating in nine countries; one aircraft was not on lease.
The class A-1 notes had a remaining balance of $326.6 million as
of Feb. 18, 2014. Currently, the class A-1 notes are receiving
only a portion of their minimum principal payment each month. The
senior reserve account, which provides liquidity to the class A-1
notes, is funded at $25 million.
S&P will continue to review whether, in its view, the rating
currently assigned to the notes remains consistent with the credit
enhancement available to support them, and S&P will take rating
actions as it deems necessary.
APIDOS CDO V: Moody's Affirms B1 Rating on Class D Notes
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Apidos CDO V:
$17,000,000 Class A-1-J Senior Secured Floating Rate Notes due
2021, Upgraded to Aaa (sf); previously on August 15, 2011
Upgraded to Aa1 (sf);
$19,000,000 Class A-2 Senior Secured Floating Rate Notes due
2021, Upgraded to Aa2 (sf); previously on August 15, 2011
Upgraded to A1 (sf);
$21,000,000 Class B Senior Secured Deferrable Floating Rate
Notes due 2021, Upgraded to A3 (sf); previously on August 15,
2011 Upgraded to Baa1 (sf).
Moody's also affirmed the ratings on the following notes:
$130,000,000 Class A-1 Senior Secured Floating Rate Notes due
2021, Affirmed Aaa (sf); previously on August 15, 2011 Upgraded
to Aaa (sf);
$150,000,000 Class A-1-S Senior Secured Floating Rate Notes due
2021, Affirmed Aaa (sf); previously on March 30, 2007 Assigned
Aaa (sf);
$18,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due 2021, Affirmed Ba1 (sf); previously on August 15, 2011
Upgraded to Ba1 (sf);
$12,000,000 Class D Secured Deferrable Floating Rate Notes due
2021, Affirmed B1 (sf); previously on August 15, 2011 Upgraded
to B1 (sf).
Apidos CDO V, issued in March 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period will end in April
2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from a higher Weighted
Average Spread (WAS) level compared to the covenant level. Moody's
modeled a WAS of 3.16% compared to the covenant level of 2.34%.
Moody's also notes that the Weighted Average Recovery Rate has
improved from previously assumed levels. Furthermore, the
transaction's reported OC ratios have been stable since February
2014.
The rating action on the Class A-1 notes also reflects a
correction to Moody's modeling of the overcollateralization tests.
Due to input errors, Moody's understated the amount of senior
administrative fees used to model the transaction in the August
15, 2011 rating action. These errors have now been corrected, and
the rating action reflects this change.
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 commence 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.
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% (2210)
Class A-1: 0
Class A-1-S: 0
Class A-1-J: 0
Class A-2: +1
Class B: +3
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3314)
Class A-1: -1
Class A-1-S: 0
Class A-1-J: -1
Class A-2: -3
Class B: -2
Class C: 0
Class D: -3
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 $385.6 million, defaulted
par of $2.5 million, a weighted average default probability of
19.29% (implying a WARF of 2762), a weighted average recovery rate
upon default of 50.39%, a diversity score of 74 and a weighted
average spread of 3.16%.
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.
APIDOS CINCO: Moody's Raises Rating on $11MM Notes to Ba2
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Apidos Cinco CDO:
$22,500,000 Class A-2b Floating Rate Notes Due 2020, Upgraded to
Aaa (sf); previously on August 15, 2011 Upgraded to Aa1 (sf)
$19,000,000 Class A-3 Floating Rate Notes Due 2020, Upgraded to
Aa1 (sf); previously on August 15, 2011 Upgraded to A1 (sf)
$18,000,000 Class B Deferrable Floating Rate Notes Due 2020,
Upgraded to A2 (sf); previously on August 15, 2011 Upgraded to
Baa1 (sf)
$14,000,000 Class C Floating Rate Notes 2020, Upgraded to Baa3
(sf); previously on August 15, 2011 Upgraded to Ba1 (sf)
$11,000,000 Class D Floating Rate Notes Due 2020, Upgraded to
Ba2 (sf); previously on August 15, 2011 Upgraded to Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
$37,500,000 Class A-1 Floating Rate Notes Due 2020, Affirmed Aaa
(sf); previously on August 15, 2011 Upgraded to Aaa (sf)
$200,000,000 Class A-2a Floating Rate Notes Due 2020, Affirmed
Aaa (sf); previously on June 28, 2007 Assigned Aaa (sf)
Apidos Cinco CDO, issued in May 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period will end in May 2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
May 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from lower WARF and
higher spread levels compared to the covenant levels. Moody's
modeled a WARF of 2539 compared to the covenant level of 2725 and
a WAS of 3.07% compared to the covenant level of 2.52%.
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 commence 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.
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% (2031)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: +1
Class B: +2
Class C: +3
Class D: +2
Moody's Adjusted WARF + 20% (3047)
Class A-1: 0
Class A-2a: 0
Class A-2b: -1
Class A-3: -3
Class B: -2
Class C: -1
Class D: -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 $346.4 million, defaulted
par of $1.1 million, a weighted average default probability of
16.78% (implying a WARF of 2539), a weighted average recovery rate
upon default of 50.75%, a diversity score of 73 and a weighted
average spread of 3.07%.
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.
BABSON CLO: Moody's Raises Rating on $4.5MM Notes to 'Ba1'
----------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Babson CLO Ltd. 2005-II:
$27,000,000 Class B Deferrable Mezzanine Notes, Upgraded to
Aaa(sf); previously on June 14, 2013 Upgraded to Aa1 (sf)
$20,500,000 Class C-1 Deferrable Mezzanine Notes, Upgraded to
A2(sf); previously on June 14, 2013 Upgraded to Baa2 (sf)
$5,500,000 Class C-2 Deferrable Mezzanine Notes, Upgraded to
A2(sf); previously on June 14, 2013 Upgraded to Baa2 (sf)
$11,500,000 Class D-1 Deferrable Mezzanine Notes (current
outstanding balance of $9,965,838), Upgraded to Ba1 (sf);
previously on June 14, 2013 Upgraded to Ba2 (sf)
$4,500,000 Class D-2 Deferrable Mezzanine Notes (current
outstanding balance of $3,965,904), Upgraded to Ba1 (sf);
previously on June 14, 2013 Upgraded to Ba2 (sf)
$10,000,000 Class Q-3 Combination Notes (current rated balance
of $4,180,823), Upgraded to Aa1 (sf); previously on June 14,
2013 Upgraded to Aa3 (sf)
Moody's also affirmed the ratings on the following notes:
$390,000,000 Class A-1 Senior Notes (current outstanding balance
of $109,859,892), Affirmed Aaa (sf); previously on June 14, 2013
Affirmed Aaa (sf)
$20,000,000 Class A-2 Senior Notes, Affirmed Aaa (sf);
previously on June 14, 2013 Upgraded to Aaa (sf)
$5,000,000 Class Q-1 Combination Notes (current rated balance of
$2,230,376), Affirmed Aaa (sf); previously on June 14, 2013
Upgraded to Aaa (sf)
Babson CLO Ltd. 2005-II, issued in July 2005, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. 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 June
2013. The Class A-1 notes have been paid down by approximately 56%
or $108.7 million since June 2013, including $36.1 million on the
last payment date, January 20, 2014. Based on the trustee's
January 8, 2014 report, the over-collateralization (OC) ratios for
the Class A , Class B, Class C and Class D notes are 152.06%,
130.78%, 115.25% and 108.36% versus 136.30%, 122.44%, 111.52%,
106.44% respectively in May 2013. Moody's notes that the January
2014 trustee-reported over-collateralization ratios do not reflect
the January 20, 2014 payment of $36.1 million to the Class A-1
Senior Notes.
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% (2029)
Class A-1: 0
Class A-2: 0
Class B: 0
Class C-1: +2
Class C-2: +2
Class D-1: +2
Class D-2: +2
Class Q1: 0
Class Q3: +1
Moody's Adjusted WARF + 20% (3043)
Class A-1: 0
Class A-2: 0
Class B: -1
Class C-1: -2
Class C-2: -2
Class D-1: -1
Class D-2: -1
Class Q1: 0
Class Q3: -3
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 $215.3 million, defaulted
par of $7.8 million, a weighted average default probability of
15.11% (implying a WARF of 2536), a weighted average recovery rate
upon default of 51.46%, a diversity score of 43 and a weighted
average spread of 3.13%.
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.
BAKER STREET II: Fitch Affirms Bsf Rating on $11.4MM Class E Notes
------------------------------------------------------------------
Fitch Ratings has affirmed six classes of notes issued by Baker
Street CLO II Ltd./Corp. (Baker Street CLO II) as follows:
-- $240,597,600 class A-1 notes at 'AAAsf'; Outlook Stable;
-- $26,733,067 class A-2 notes at 'AAAsf'; Outlook Stable;
-- $20,100,000 class B notes at 'AAsf'; Outlook Stable;
-- $21,000,000 class C notes at 'BBBsf'; Outlook Stable;
-- $15,900,000 class D notes at 'BBsf'; Outlook Stable;
-- $11,402,275 class E notes at 'Bsf'; Outlook Stable.
Key Rating Drivers
The rating actions are based on the credit enhancement available
to the rated notes and the stable performance of the underlying
portfolio. Since Fitch's last review in April 2013, approximately
$24.6 million of class A-1 and A-2 (collectively, class A) notes
have paid down from proceeds received from portfolio amortization.
As of the Jan. 8, 2014 trustee report, the transaction continues
to pass its overcollateralization (OC) and interest coverage (IC)
tests, and the current weighted average spread (WAS) is 3.33%,
compared to a trigger of 2.65%.
Fitch's analysis focused on a performing portfolio balance of
$314.2 million held across 108 borrowers and $35.3 million in
principal collections. The weighted average rating factor of the
performing portfolio has remained relatively stable at 'B+/B'.
Fitch currently considers 8.4% of the assets to be rated 'CCC+' or
below in the performing portfolio versus 8.9% at the last review,
based upon Fitch's Issuer Default Rating (IDR) Equivalency Map.
There are nine defaulted assets in the portfolio totaling
approximately $13.5 million. The performing portfolio is composed
of approximately 90.8% senior secured loans and approximately 9.2%
second lien loans and unsecured obligations.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset
defaults, portfolio migration (including assets being downgraded
to 'CCC'), or portions of the portfolio being placed on Rating
Watch Negative or Outlook Negative, or OC or IC test breaches. The
notes' performance may also be sensitive to the increasing
concentration risks from reinvestment activity and/or portfolio
amortization.
The transaction had exited its reinvestment period in October
2012, but the manager still has the ability to reinvest
unscheduled principal proceeds and proceeds from credit risk
sales, pursuant to the satisfaction of certain investment
criteria. Among the criteria, such reinvestment cannot cause the
weighted average maturity of the portfolio assets to be extended
beyond the weighted average maturity of the portfolio assets prior
to such reinvestment, and the weighted average life (WAL) of any
purchased asset must be equal or less than the WAL of the asset
being replaced. Fitch expects reinvestment activity to decrease in
the future, as the WAL of the portfolio continues to decrease and
investment options become more limited.
This review was conducted under the framework described in the
report 'Global Rating Criteria for Corporate CDOs' using the
Portfolio Credit Model (PCM) for projecting future default and
recovery levels for the underlying portfolio. These default and
recovery levels were then utilized in Fitch's cash flow model
under various default timing and interest rate stress scenarios.
While Fitch's cash flow analysis of the current portfolio
indicates higher passing rating levels for the class C, D and E
notes in all 12 interest rate and default timing scenarios, the
current recommended ratings appropriately reflect the risk profile
of the transaction given the ability to reinvest proceeds from
unscheduled principal proceeds and credit risk sales. The class C,
D and E notes remain subordinate to more senior classes and are
the most susceptible to portfolio concentration risks and
increased defaults. The Stable Outlooks reflect Fitch's
expectations of continued performance of the notes in the near
term.
Baker Street CLO II is a cash flow collateralized loan obligation
(CLO) that closed on Sept. 15, 2006 and is managed by Seix
Investment Advisors (Seix), a wholly owned subsidiary of
Ridgeworth Capital Management, Inc. (Ridgeworth). The sale of
Ridgeworth to Lightyear Capital LLC from Suntrust Banks, Inc. is
expected to take place in the second quarter of 2014 and will have
no material effect on the ratings of the notes.
BANC OF AMERICA 2004-BBA4: Fitch Withdraws 'D'-Rated Classes
------------------------------------------------------------
Fitch Ratings withdraws the remaining 'D' rated classes of both
Banc of America Large Loan, Inc. 2004-BBA4 (BALL 2004-BBA4), and
Banc of America Large Loan, Inc. 2006-BIX1 (BALL 2006-BIX1):
In both aforementioned transactions, there are no remaining assets
in either of the respective trusts. All other classes have either
paid in full or had been reduced to zero due to realized losses.
Therefore, the classes have been withdrawn.
BLUEMOUNTAIN CLO 2013-1: S&P Affirms BB Rating on Class D Notes
---------------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on
BlueMountain CLO 2013-1 Ltd./BlueMountain CLO 2013-1 LLC's
$460.6 million fixed- and floating-rate notes following the
transaction's effective date as of June 20, 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 S&P's criteria to a combination of
purchased collateral, collateral committed to be purchased, and
the indicative portfolio of assets provided to S&P by the
collateral manager, and may also reflect its assumptions about the
transaction's investment guidelines. This is because not all
assets in the portfolio have been purchased.
"When we receive a request to issue an effective date rating
affirmation, we perform quantitative and qualitative analysis of
the transaction in accordance with our criteria to assess whether
the initial ratings remain consistent with the credit enhancement
based on the effective date collateral portfolio. Our analysis
relies on the use of CDO Evaluator to estimate a scenario default
rate at each rating level based on the effective date portfolio,
full cash flow modeling to determine the appropriate percentile
break-even default rate at each rating level, the application of
our supplemental tests, and the analytical judgment of a rating
committee," S&P said.
"In our published effective date report, we discuss our analysis
of the information provided by the transaction's trustee and
collateral manager in support of their request for effective date
rating affirmation. In most instances, we intend to publish an
effective date report each time we issue an effective date rating
affirmation on a publicly rated U.S. cash flow CLO," S&P 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
BlueMountain CLO 2013-1 Ltd./BlueMountain CLO 2013-1 LLC
Class Rating Amount
(mil. $)
A-1 AAA (sf) 310.00
A-2A AA (sf) 57.00
A-2B AA (sf) 5.00
B (deferrable) A (sf) 39.00
C (deferrable) BBB (sf) 26.00
D (deferrable) BB (sf) 23.60
C-BASS CBO VIII: S&P Raises Rating on Class C Notes to CCC+
-----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
B and C notes from C-Bass CBO VIII Ltd., a static cash flow CDO of
CMBS transaction. At the same time, Standard & Poor's affirmed
its ratings on the class D-1 and D-2 notes.
The upgrades reflect the increase in the credit support available
to the class B and C notes since August 2012, when S&P last took a
rating action on the notes. Since then, the transaction paid down
the rated liabilities by $37 million. The class A-2 note was paid
in full (and S&P withdrew its rating on the note as a result),
while the class B note has been paid down to 15% of its initial
issuance amount. In addition, interest proceeds were used to
decrease the balance of class C deferred interest during the same
time period. As of the January 2014 trustee report, the class B
overcollateralization (OC) ratio has increased to 598%, while the
class C OC ratio has increased to 126% from 100% as of the July
2012 trustee report. Given the increase in OC and the decrease in
the class C deferred interest, S&P raised the class C note rating
to 'CCC+'.
The class D OC ratio continues to fail at 87%. Despite the
paydowns, there continues to be a large balance of 'CCC' rated and
defaulted assets. As of the current trustee report, the
transaction continues to defer the class D interest payments.
S&P's affirmations of its ratings on the class D-1 and D-2 notes
reflect the credit support available to these notes.
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.
RATINGS RAISED
C-Bass CBO VIII Ltd.
Rating
Class To From
B AA (sf) BB- (sf)/Watch Pos
C CCC+ (sf) CCC- (sf)
RATINGS AFFIRMED
C-Bass CBO VIII Ltd.
Class Rating
D-1 CC (sf)
D-2 CC (sf)
CABELA'S CARD: Fitch Affirms BB+ Rating on 2010-I Class D Notes
---------------------------------------------------------------
Fitch Ratings has affirmed the long-term ratings and Outlooks
assigned to Cabela's Credit Card Master Note Trust.
Key Rating Drivers
The affirmation is based on continued positive trust performance.
Gross yield has remained stable since last review due to
increasing interchange revenue and a favorable LIBOR base rate.
As of the January 2014 reporting period, the 12-month average
gross yield was 19.81%, down slightly from the 12-month average of
20.36% at the January 2013 reporting period.
Monthly payment rate (MPR), a measure of how quickly consumers are
paying off their credit card balance, has decreased over the past
year. Currently the 12-month average is 42.44%, down slightly from
43.34% at the January 2013 reporting period. Cabela's MPR is well
above the industry average due to the high concentration of
transactors and prime borrowers. The Fitch Prime Credit Card
Index was 27.13% for the January 2014 reporting period.
Gross chargeoffs have continued to improve over the past year.
Currently the 12-month average is 2.07%, down from 2.22% at the
January 2013 reporting period. Year over year, 60+ day
delinquencies are down 9.52% from this point last year. Fitch
expects chargeoff levels to remain stable in the near term given
the high quality of the credit card portfolio.
Fitch runs cash flow breakeven analysis by applying stress
scenarios to 3-, 6-, and 12-month performance averages to evaluate
the breakeven loss multiples at different rating levels. The
performance variables that Fitch stresses are the gross yield,
monthly payment rate, gross charge-off, and purchase rates.
Fitch's analysis included a comparison of observed performance
trends over the past few months to Fitch's base case expectations
for each outstanding rating category. As part of its ongoing
surveillance efforts, Fitch will continue to monitor the
performance of these trusts. For further information, please
review the U.S. Credit Card ABS Issuance updates published on a
monthly basis.
The affirmations are based on the performance of the trusts in
line with expectations. Stable outlook indicates that Fitch
expects the ratings will remain stable for the next one to two
years.
Fitch's analysis included a comparison of observed performance
trends over the past few months to Fitch's base case expectations
for each outstanding rating category. As part of its ongoing
surveillance efforts, Fitch will continue to monitor the
performance of this trust.
Rating Sensitivities
Fitch models three different scenarios when evaluating the rating
sensitivity compared to expected performance for credit card
asset-backed securities transactions: 1) increased defaults; 2) a
reduction in monthly payment rate (MPR), and 3) a combination
stress of higher defaults and lower MPR.
Increasing defaults alone has the least impact on rating migration
even in the most severe scenario of a 75% increase in defaults.
The rating sensitivity to a reduction in MPR is more pronounced
with a moderate stress, of a 25% reduction, leading to possible
downgrades across all classes. The harshest scenario assumes both
stresses occur simultaneously. Similarly, the ratings would only
be downgraded under the moderate stress of a 40% increase in
defaults and 20% reduction in MPR; however the severe stress could
lead to more drastic downgrades to all classes.
To date, the transactions have exhibited strong performance with
all performance metrics within Fitch's initial expectations. For
further discussion of our sensitivity analysis, please see the new
issue report related to one of the transactions listed above.
Fitch has affirmed the following classes as indicated:
Cabela's Credit Card Master Note Trust Series 2010-I:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2010-II:
--Class A-1 at 'AAAsf'; Outlook Stable;
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2011-II:
--Class A-1 at 'AAAsf'; Outlook Stable;
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2011-IV:
--Class A-1 at 'AAAsf'; Outlook Stable;
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2012-I:
--Class A-1 at 'AAAsf'; Outlook Stable;
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2012-II:
--Class A-1 at 'AAAsf'; Outlook Stable;
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2013-I:
--Class A at 'AAAsf'; Outlook Stable;
--Class B at 'A+sf'; Outlook Stable;
--Class C at 'BBB+sf'; Outlook Stable;
--Class D at 'BB+sf'; Outlook Stable.
Cabela's Credit Card Master Note Trust Series 2013-II:
--Class A-1 at 'AAAsf'; Outlook Stable;
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class B at 'Asf'; Outlook Stable;
--Class C at 'BBBsf'; Outlook Stable;
--Class D at 'BBsf'; Outlook Stable.
CAPMARK VII-CRE: Fitch Affirms Ratings on 8 Securities Classes
--------------------------------------------------------------
Fitch Ratings has affirmed all rated classes of Capmark VII-CRE,
Ltd./Corp. (Capmark VII) reflecting Fitch's base case loss
expectation of 23.6%. Fitch's performance expectation incorporates
prospective views regarding commercial real estate market value
and cash flow declines.
Key Rating Drivers
Since Fitch's last rating action, class A-2 has received pay down
of approximately $85 million from the full payoff of two assets,
the liquidation of two other assets, asset amortization, and
interest diversion from the failure of coverage tests. Realized
losses since last review total $13.1 million. The CDO is under-
collateralized by $171 million.
The portfolio is very concentrated with only 14 assets remaining,
four of which are cross collateralized. CDO collateral consists
entirely of whole loans and A-notes. The current combined
percentage of defaulted assets and Fitch Loans of Concern (LOCs)
is 42.3%.
Capmark VII is a commercial real estate (CRE) CDO managed by
CenterSquare Investment Management (formerly Urdang Capital
Management), a real estate investment subsidiary of BNY Mellon
Asset Management. As of the February 2014 trustee report, the
transaction is failing two of its principal coverage tests
resulting in diverted interest to pay principal to A-2 and
capitalized interest to classes F through K.
Because the collateral pool is concentrated, Fitch assumed that
100% of the portfolio will default in the base case stress
scenario, defined as the 'B' stress. Modeled recoveries were above
average at 76.4% due to the senior debt positions of the
collateral.
The largest component of Fitch's base case loss expectation is
related to a defaulted whole loan (11.2% of the pool) secured by
undeveloped land located adjacent to the Potomac River in
Arlington, VA. Fitch modeled a significant loss on this loan in
its base case scenario.
This transaction was analyzed according to the 'Surveillance
Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate
Transactions', which applies stresses to property cash flows and
debt service coverage ratio (DSCR) tests to project future default
levels for the underlying portfolio. Recoveries for the loan
assets are based on stressed cash flows and Fitch's long-term
capitalization rates. The credit enhancement to the timely pay
classes A-2 and B was then compared to the modeled expected
losses, and in consideration of the significant concentration of
the pool, high percentage of defaulted and LOC assets, and related
risk of future insufficient interest and principal proceeds to pay
interest on these classes, the credit enhancement was determined
to be consistent with the ratings assigned below. Based on prior
modeling results, no material impact was anticipated from cash
flow modeling the transaction.
A Stable Outlook was assigned based on the class's senior position
in the structure and cushion in the modeling.
The 'CCC' and below ratings for classes C through H are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern factoring in anticipated
recoveries relative to each classes credit enhancement.
Rating Sensitivities
If CDO collateral recoveries are better than expected, Fitch may
consider upgrades to the senior classes. However, upgrades will be
limited as the pool becomes more concentrated given the risk of
adverse selection and the possibility of insufficient interest and
principal proceeds to pay the timely interest due on the senior
classes. While Fitch has modeled conservative loss expectations on
the pool, unanticipated increases in defaulted loans and/or loss
severity could result in downgrades.
Fitch affirms the following classes:
-- $82.6 million class A-2 at 'BBsf'; Outlook Stable;
-- $80 million class B at 'CCCsf'; RE 100%;
-- $30 million class C at 'CCsf'; RE 30%;
-- $7.6 million class D at 'Csf'; RE 0%;
-- $7.5 million class E at 'Csf'; RE 0%;
-- $34.8 million class F at 'Csf'; RE 0%;
-- $13.5 million class G at 'Csf'; RE 0%;
-- $11 million class H at 'Csf'; RE 0%;
Class A-1 has paid in full.
CARLYLE HIGH X: Moody's Affirms Ba3 Rating on $12MM Class Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Carlyle High Yield Partners X, Ltd.:
$17,500,000 Class A-2-B Senior Secured Floating Rate Notes due
2022 Notes, Upgraded to Aaa (sf); previously on September 2, 2011
Upgraded to Aa1 (sf)
$16,000,000 Class B Senior Secured Floating Rate Notes due 2022
Notes, Upgraded to Aa1 (sf); previously on September 2, 2011
Upgraded to Aa3 (sf)
$21,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2022 Notes, Upgraded to A2 (sf); previously on September 2,
2011 Upgraded to A3 (sf)
$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2022 Notes, Upgraded to Baa3 (sf); previously on September 2,
2011 Upgraded to Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
$128,500,000 Class A-1 Senior Secured Floating Rate Notes due
2022 Notes, Affirmed Aaa (sf); previously on September 2, 2011
Upgraded to Aaa (sf)
$155,000,000 Class A-2-A Senior Secured Floating Rate Notes due
2022 Notes, Affirmed Aaa (sf); previously on September 2, 2011
Upgraded to Aaa (sf)
$12,000,000 Class E Secured Deferrable Floating Rate Notes due
2022 Notes, Affirmed Ba3 (sf); previously on September 2, 2011
Upgraded to Ba3 (sf)
Carlyle High Yield Partners X, Ltd., issued in April 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period will end in April 2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from higher spread and
diversity levels compared to their covenants. Moody's modeled a
weighted average spread (WAS) of 3.4% compared to the covenant
level of 2.1% and diversity score of 71 compared to the covenant
level of 55.
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 commence during the amortization period 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% (2105)
Class A-1: 0
Class A-2A: 0
Class A-2B: 0
Class B: +1
Class C: +2
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3157)
Class A-1: -1
Class A-2A: 0
Class A-2B: -1
Class B: -3
Class C: -2
Class D: -1
Class E: -2
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 $379.1 million, defaulted
par of $4.8 million, a weighted average default probability of
20.25% (implying a WARF of 2631), a weighted average recovery rate
upon default of 49.6%, a diversity score of 71 and a weighted
average spread of 3.37%.
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.
CD 2006-CD3: S&P Lowers Rating on Class F Certificates to 'D'
-------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
F commercial mortgage pass-through certificates from CD 2006-CD3
Mortgage Trust, a U.S. commercial mortgage-backed securities
(CMBS) transaction, to 'D (sf)' from 'CCC- (sf)'.
The downgrade follows net principal losses totaling $3.3 million,
as detailed in the Feb. 18, 2014, trustee remittance report. S&P
attributes the principal losses in the current period primarily to
the Ross Plaza asset's liquidation at 57.5% of its $6.1 million
balance at issuance.
The Feb. 18, 2014, trustee remittance report indicated that class
F incurred $374,978 in principal losses, which is 1.4% of the
class's original principal balance. Class G, which S&P had
previously downgraded to 'D (sf)', also experienced principal
losses that reduced its outstanding beginning principal balance to
zero.
CENT CDO 14: Moody's Ups Rating on $12MM Class E Notes to 'Ba3'
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Cent CDO 14 Limited:
$26,250,000 Class A-2b Senior Term Notes Due April 15, 2021,
Upgraded to Aaa (sf); previously on August 16, 2011 Upgraded to
Aa1 (sf);
$33,750,000 Class B Senior Floating Rate Notes Due April 15,
2021, Upgraded to Aa2 (sf); previously on August 16, 2011
Upgraded to A1 (sf);
$24,375,000 Class C Deferrable Mezzanine Floating Rate Notes Due
April 15, 2021, Upgraded to A3 (sf); previously on August 16,
2011 Upgraded to Baa2 (sf);
$18,750,000 Class D Deferrable Mezzanine Floating Rate Notes Due
April 15, 2021, Upgraded to Ba1 (sf); previously on August 16,
2011 Upgraded to Ba2 (sf);
$12,500,000 Class E Deferrable Junior Floating Rate Notes Due
April 15, 2021, Upgraded to Ba3 (sf); previously on August 16,
2011 Upgraded to B1 (sf).
Moody's also affirmed the ratings on the following notes:
$110,000,000 Class A-1 Senior Term Notes Due April 15, 2021,
Affirmed Aaa (sf); previously on August 16, 2011 Upgraded to Aaa
(sf);
$236,250,000 Class A-2a Senior Term Notes Due April 15, 2021,
Affirmed Aaa (sf); previously on March 23, 2007 Assigned Aaa
(sf).
Cent CDO 14 Limited, issued in March 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans The transaction's reinvestment period will end in
April 2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from lower weighted
average rating factor (WARF), higher spread, and higher diversity
levels compared to the levels assumed during the last rating
review. Moody's modeled a WARF of 2595, a weighted average spread
of 3.32%, a diversity score of 85 and a weighted average recovery
rate of 50.39%. Moody's also notes that the transaction's reported
collateral quality and OC ratios have been stable over the last
year.
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 commence 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% (2076)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class B: +1
Class C: +3
Class D: +2
Class E: +1
Moody's Adjusted WARF + 20% (3114)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class B: -2
Class C: -2
Class D: -1
Class E: 0
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 $481.9 million, defaulted
par of $12.7 million, a weighted average default probability of
19.56% (implying a WARF of 2595), a weighted average recovery rate
upon default of 50.39%, a diversity score of 85 and a weighted
average spread of 3.32%.
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.
CFCRE COMMERCIAL 2011-C1: Fitch Affirms Bsf Rating on Cl. G Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of CFCRE Commercial Mortgage
Trust 2011-C1 commercial mortgage pass-through certificates.
Key Rating Drivers
Fitch's affirmations are based on the stable performance of the
underlying collateral pool. The reported year-end (YE) 2012 net
operating income (NOI) was 0.50% lower than issuer underwriting.
The pool has experienced no realized losses to date. There are
currently two loans in special servicing(3.04%).
Rating Sensitivity
All classes maintain Stable Rating Outlooks. No rating actions are
expected unless there are material changes to property occupancies
or cash flows, increased delinquencies, or additional loans
transferred to special servicing. The pool has maintained
performance consistent with issuance. Additional information on
rating sensitivity is available in the report 'CFCRE Commercial
Mortgage Trust 2011-C1' (April 13, 2011), available at
www.fitchratings.com.
The two loans (3.04% of the pool) that are in special servicing
transferred in February 2012 due to a technical default related to
a transfer of ownership. Both loans have a common sponsor. After
the transfer, the servicer became aware that the loan sponsor and
guarantor was being investigated for an alleged $220 million Ponzi
scheme. A receiver is in-place at both properties. Through YE
2012, the properties were performing in-line with issuance
underwriting. As of the January 2014 remittance, the loans were
current.
As of the January 2014 distribution date, the pool's aggregate
principal balance has been paid down by 2.41% to $619.2 million
from $634.5 million at issuance.
Fitch affirms the following classes as indicated:
-- $16.7 million class A-1 at 'AAAsf'; Outlook Stable;
-- $304.6 million class A-2 at 'AAAsf'; Outlook Stable;
-- $32.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $153.6 million class A-4 at 'AAAsf'; Outlook Stable;
-- Interest-only class X-A at 'AAAsf'; Outlook Stable;
-- $16.7 million class B at 'AAsf'; Outlook Stable;
-- $19 million class C at 'Asf'; Outlook Stable;
-- $14.3 million class D at 'BBB+sf'; Outlook Stable;
-- $27 million class E at 'BBB-sf'; Outlook Stable;
-- $7.9 million class F at 'BBsf'; Outlook Stable;
-- $7.9 million class G at 'Bsf'; Outlook Stable.
Fitch does not rate the class NR or interest-only class X-B
certificates.
CHASE COMMERCIAL 1998-2: Fitch Affirms BB Rating on Class I Secs.
-----------------------------------------------------------------
Fitch Ratings has affirmed two classes of Chase Commercial
Mortgage Securities Corp.'s, commercial mortgage pass-through
certificates, series 1998-2.
Key Rating Drivers
The affirmations are due to sufficient credit enhancement to the
remaining Fitch rated classes and minimal Fitch expected losses
across the pool. The pool has experienced $10.4 million (0.8% of
the original pool balance) in realized losses to date. Fitch has
designated three of the remaining 11 loans (53.5% of the pool) as
Fitch Loans of Concern; however, there are currently no delinquent
or specially serviced loans.
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 97.6% to $29.9 million from
$1.27 billion at issuance. Per the servicer reporting, one loan
(9.7% of the pool) is defeased. Interest shortfalls are currently
affecting class J.
The three Fitch Loans of Concern consist of three restaurant
portfolios. Two of the portfolios have six assets in six markets
and the third has four assets in four markets; all of the
properties are stand-alone restaurants located in diverse markets
throughout the South and Midwestern United States. Collectively,
restaurants include Chili's, Macaroni Grill, and On the Border.
The loans are current to date; however, the single-tenant exposure
of the individual assets within the portfolios presents binary
risk that could impact the loans should any of the assets not
perform.
Rating Sensitivity
Rating Outlooks on classes H and I remain Stable due to increasing
credit enhancement and continued paydown. Although credit
enhancement is high relative to the ratings, the pool is
concentrated, with only 11 loans remaining; all of the non-
defeased collateral consists of retail/restaurant assets (90% of
the pool).
Fitch affirms the following classes as indicated:
-- $8.6 million class H at 'Asf', Outlook Stable;
-- $9.5 million class I at 'BBsf', Outlook Stable.
The class A-1, A-2, B, C, D, E, F and G certificates have paid in
full. Fitch does not rate the class J certificates. Fitch
previously withdrew the rating on the interest-only class X
certificates.
CITIGROUP 2014-GC19: Fitch to Rate $11.4MM Class F Certs 'Bsf'
--------------------------------------------------------------
Fitch Ratings has issued a presale report on Citigroup Commercial
Mortgage Trust 2014-GC19 Commercial Mortgage Pass-Through
Certificates.
Fitch expects to rate the transaction and assign Rating Outlooks
as follows:
-- $49,387,000 class A-1 'AAAsf'; Outlook Stable;
-- $125,716,000 class A-2 'AAAsf'; Outlook Stable;
-- $215,000,000 class A-3 'AAAsf'; Outlook Stable;
-- $246,848,000 class A-4 'AAAsf'; Outlook Stable;
-- $74,468,000 class A-AB 'AAAsf'; Outlook Stable;
-- $777,479,000a class X-A 'AAAsf'; Outlook Stable;
-- $50,816,000a class X-B 'AA-sf'; Outlook Stable;
-- $66,060,000c class A-S 'AAAsf'; Outlook Stable;
-- $50,816,000c class B 'AA-sf'; Outlook Stable;
-- $167,692,000c class PEZ 'A-sf'; Outlook Stable;
-- $50,816,000c class C 'A-sf'; Outlook Stable;
-- $21,596,000ab class X-C 'BBsf'; Outlook Stable;
-- $54,627,000b class D 'BBB-sf'; Outlook Stable;
-- $21,596,000b class E 'BBsf'; Outlook Stable;
-- $11,434,000b class F 'Bsf'; Outlook Stable.
a Notional amount and interest-only.
b Privately placed pursuant to Rule 144A.
c The class A-S, class B and class C certificates may be exchanged
for class PEZ certificates, and class PEZ certificates may be
exchanged for the class A-S, class B and class C certificates.
The expected ratings are based on information provided by the
issuer as of Feb. 24, 2014. Fitch does not expect to rate the
$49,545,707 class G or the $60,979,707 interest-only class X-D.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 78 loans secured by 128 commercial
properties having an aggregate principal balance of approximately
$1.016 billion as of the cutoff date. The loans were contributed
to the trust by Citigroup Global Markets Realty Corp., Goldman
Sachs Mortgage Company, MC-Five Mile Commercial Mortgage Finance
LLC, Cantor Commercial Real Estate Lending, L.P., The Bancorp
Bank, Rialto Mortgage Finance, LLC, and RAIT Funding, LLC.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 72.9% of the properties
by balance and cash flow analysis and asset summary reviews on
80.5% of the pool.
KEY RATING DRIVERS
High Fitch Leverage: The pool's Fitch debt service coverage ratio
(DSCR) and loan to value (LTV) are 1.13x and 106.4%, respectively,
worse than the 2013 and 2012 averages of 1.29x and 101.6%, and
1.24x and 97.2%, respectively.
Strong Above Average Property Quality: Fitch assigned property
quality grades of 'A-' or better to two of the 10 largest loans in
the pool, which represent 15% of the balance of properties
inspected by Fitch. Furthermore, property quality grades of 'B+'
or better were assigned to 50% of the balance of properties
inspected by Fitch.
Property Type Diversity: The pool is more diverse by property type
than recent transactions, with the largest property type in the
pool being retail properties at 26.8%, followed by multifamily at
20.9%, office at 18.1%, mixed use at 17.7% and independent living
at 10.0% of the pool. No other property type comprises more than
4.9% of the pool.
Limited Amortization: The pool is scheduled to amortize by 13.1%
of the initial pool balance prior to maturity. The pool's
concentration of partial interest loans (38.7%), which includes
five of the 10 largest loans, is higher than the 2013 average
(34.0%). However, the pool's concentration of full-term interest-
only loans (12.2%), including two of the 10 largest loans, is
lower than the 2013 average (17.1%).
RATING SENSITIVITIES
For this transaction, Fitch's net cash flow (NCF) was 3.41% below
most recent net operating income (NOI; for properties that the
most recent NOI was provided, excluding properties that were
stabilizing during this period). Unanticipated further declines in
property-level NCF could result in higher defaults and loss
severity on defaulted loans, and could result in potential rating
actions on the certificates. Fitch evaluated the sensitivity of
the ratings assigned to CGCMT 2013-GC19 certificates and found
that the transaction displays slightly above-average sensitivity
to further declines in NCF. In a scenario in which NCF declined a
further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf'
certificates to 'BBB+sf' could result. In a more severe scenario,
in which NCF declined a further 30% from Fitch's NCF, a downgrade
of the junior 'AAAsf' certificates to 'BBB-sf' could result.
The presale report includes a detailed explanation of additional
stresses and sensitivities in the Rating Sensitivity and Rating
Stresses sections of the presale.
The master servicer will be Wells Fargo Bank, N.A., rated 'CMS1-'
by Fitch. The special servicer will be Midland Loan Services a
Division of PNC Bank, National Association, rated 'CSS1' by Fitch.
COMM 2003-LNB1: S&P Raises Rating on Class H Notes to 'B-'
----------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on seven
classes of commercial mortgage pass-through certificates from COMM
2003-LNB1, a U.S. commercial mortgage-backed securities (CMBS)
transaction. At the same time, S&P affirmed its 'AAA (sf)' rating
on the class X-1 interest-only (IO) certificates from the same
transaction.
The upgrades on the principal and interest paying classes follow
S&P's analysis of the transaction, primarily using its criteria
for rating U.S. and Canadian CMBS transactions. S&P's analysis
included a review of the credit characteristics and performance of
the remaining loans in the pool, the transaction structure, and
the liquidity available to the trust. The upgrades reflect S&P's
expected available credit enhancement for the affected tranches,
which it believes is greater than its most recent estimate of
necessary credit enhancement for the rating levels, as well as
S&P's views regarding the current and future performance of the
transaction's collateral as well as the deleveraging of the trust
balance.
While available credit enhancement levels may suggest further
positive rating movements for classes E, F, G, and H, S&P's
analysis also considered the interest shortfalls history of these
classes.
S&P affirmed its 'AAA (sf)' rating on the class X-1 IO
certificates based on its criteria for rating IO securities.
Using servicer-provided financial information, S&P calculated a
Standard & Poor's adjusted debt service coverage (DSC) of 1.06x
and a Standard & Poor's loan-to-value (LTV) ratio of 56.5% for
four of the seven remaining loans in the pool. The DSC and LTV
calculations exclude the two loans ($39.1 million, 32.8%) that are
with the special servicer.
As of the Feb. 10, 2014, trustee remittance report, the collateral
pool had an aggregate trust balance of $119.2 million, down from
$846.0 million at issuance. The pool comprises seven loans, down
from 92 loans at issuance. To date, the transaction has
experienced losses totaling $24.9 million, or 2.9% of the
transaction's original certificate balance. The largest loan in
the pool, the 75 Rockefeller Plaza loan, ($65.0 million, 54.5%),
which matures on Aug. 1, 2014, is defeased. Before the defeasance,
the loan was secured by a 578,241-sq.-ft. office building in
Manhattan. There are no loans currently reported on the master
servicer's watchlist. The master servicer, Berkadia Commercial
Mortgage LLC (Berkadia), provided full-year 2012 financial
information for 100.0% of the nondefeased loans in the pool. Two
($39.1 million, 32.8%) loans are currently reported with the
special servicer, CWCapital Asset Management LLC (CWCapital).
SPECIALLY SERVICED LOANS
As of the Feb. 10, 2014, trustee remittance report, there are
currently two loans ($39.1 million, 32.8%) with the special
servicer, with appraisal reduction amounts (ARAs) totaling
$18.9 million. Details of the specially serviced loans are as
follows:
-- The Palladium at Birmingham loan ($32.2 million, 27.0%) is
the second-largest loan in the pool and the largest loan
with CWCapital. The loan is secured by a 149,873-sq.-ft.
retail building in Birmingham, Mich.
-- The loan has a total reported exposure of $35.0 million.
The loan was transferred to the special servicer on Feb. 22,
2013, because of imminent monetary default. According to
the special servicer, a discounted payoff occurred on
Feb. 5, 2014. This loan has a $17.8 million ARA. S&P
expects a moderate loss upon the loan's liquidation.
-- The Biltmore Station loan ($6.9 million, 5.8%), the smallest
loan with CWCapital, is secured by a 102,277-sq.-ft. mixed-
use property in Asheville, N.C. The loan was transferred
back to the special servicer on Aug. 23, 2013, for imminent
monetary default and has a reported payment status of three
or more months delinquent. According to CWCapital, the
loan was modified in 2011, where the loan was split into a
$5.1 million senior A note and a $1.8 million subordinate B
"hope" note, and the loan maturity was extended to May 1,
2015. Per the special servicer, the property continues to
struggle due to a reported low occupancy of 65.0%.
-- The special servicer stated that it is evaluating its
workout strategies.
-- An ARA of $1.1 million is in effect against the loan. S&P
expects a moderate loss on the loan's eventual resolution.
As it relates to the above asset resolutions, S&P considered
minimal loss to be less than 25%, moderate loss to be between 26%
and 59%, and significant loss to be 60% or greater.
RATINGS RAISED
COMM 2003-LNB1
Commercial mortgage pass-through certificates
Rating
Class To From Credit enhancement (%)
B AAA (sf) AA+ (sf) 83.83
C AAA (sf) AA (sf) 73.18
D AAA (sf) A (sf) 57.20
E AA+ (sf) BBB- (sf) 48.33
F A+ (sf) BB- (sf) 39.46
G BBB+ (sf) B- (sf) 32.36
H B- (sf) CCC- (sf) 21.71
RATING AFFIRMED
COMM 2003-LNB1
Commercial mortgage pass-through certificates
Class Rating Credit enhancement (%)
X-1 AAA (sf) N/A
N/A-Not applicable.
COMM 2004-LNB4: Moody's Takes Action on 6 Cert. Classes
-------------------------------------------------------
Moody's Investors Service has downgraded the ratings of two
classes and affirmed four classes of COMM Commercial Mortgage
Pass-Through Certificates, Series 2004-LNB4 as follows:
Cl. A-1A, Affirmed Ba1 (sf); previously on Feb 28, 2013 Downgraded
to Ba1 (sf)
Cl. A-5, Affirmed Ba1 (sf); previously on Feb 28, 2013 Downgraded
to Ba1 (sf)
Cl. B, Downgraded to Caa1 (sf); previously on Feb 28, 2013
Downgraded to B3 (sf)
Cl. C, Downgraded to C (sf); previously on Feb 28, 2013 Downgraded
to Caa3 (sf)
Cl. D, Affirmed C (sf); previously on Feb 28, 2013 Downgraded to C
(sf)
Cl. X-C, Affirmed B2 (sf); previously on Feb 28, 2013 Confirmed at
B2 (sf)
Ratings Rationale
The ratings on Classes B and C were downgraded due to higher
anticipated losses from specially serviced and troubled loans.
The ratings on Classes A-5 and A-1A 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 Class D was affirmed because the rating is
consistent with Moody's expected loss. The rating on the IO 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 5.2% of the
current balance compared to 8.0% at Moody's last review. Moody's
base expected loss plus realized losses is now 11.5% of the
original pooled balance, compared to 11.3% 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 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 17 compared to 25 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 14% to $603 million
from $1.22 billion at securitization. The certificates are
collateralized by 80 mortgage loans ranging in size from less than
1% to 12% of the pool, with the top ten loans (excluding
defeasance) constituting 51% of the pool. One loan, constituting
9% of the pool, has an investment-grade credit assessment. Twenty
loans, constituting 20% of the pool, have defeased and are secured
by US government securities.
Fourteen 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, contributing to
an aggregate realized loss of $110 million (for an average loss
severity of 62%). Four loans, constituting 4% of the pool, are
currently in special servicing. Three of the four specially
serviced loans are REO properties which the servicer expects to
dispose of before the end of Q1 2014. Moody's estimates a $16
million loss for the specially serviced loans (69% expected loss
on average).
Moody's has assumed a high default probability for three poorly
performing loans, constituting 6% of the pool, and has estimated
an aggregate loss of $6 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 66% of
the pool. Moody's weighted average conduit LTV is 84% compared to
87% 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 9.3%.
Moody's actual and stressed conduit DSCRs are 1.39X and 1.28X,
respectively, compared to 1.41X and 1.22X 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 loan with a credit assessment is the 731 Lexington Avenue --
Bloomberg Headquarters Loan ($53 million -- 9% of the pool), which
represents a participation interest in a $223 million senior
mortgage loan. The loan collateral consists of nearly 700,000
square feet of office condominium space within the Bloomberg Tower
building in Midtown Manhattan. The office space is 100% leased to
Bloomberg, LP through 2029. The note has an anticipated repayment
date (ARD) of March 1, 2014. The borrower, an affiliate of Vornado
Realty Trust, has indicated to the servicer that it expects to pay
off the loan. Moody's credit assessment and stressed DSCR are A3
and 2.52X, respectively, compared to A3 and 2.36X at the last
review.
The top three performing conduit loans represent 22% of the pool
balance. The largest loan is the Crossings at Corona -- Phase I &
II Loan ($72 million -- 12% of the pool), which is secured by a
503,000 square foot retail power center in Corona, California. The
center's major tenants include Kohl's, Target, Best Buy, Gart's
Sportmart, and Michael's. Best Buy, Gart's Sportmart and Michael's
each recently renewed leases which were set to expire in Q1 2014.
Occupancy was 99% as of the September 2013 reporting. Performance
has been stable since securitization. Moody's LTV and stressed
DSCR are 97% and 0.95X, respectively, compared to 95% and 0.97X at
prior review.
The second largest loan is the Woodyard Crossing Shopping Center
Loan ($33 million -- 5% of the pool). The loan is secured by a
484,000 square foot retail center in Clinton, Maryland, a suburb
of Washington, DC. The property was 96% occupied as of June 2013.
Major tenants include Wal-Mart, Lowe's, and Safeway, with leases
expiring in 2020, 2021, and 2019, respectively. Moody's LTV and
stressed DSCR are 61% and 1.59X, respectively, compared to 66% and
1.47X at the last review.
The third largest loan is the 280 Trumbull Street Loan ($30
million -- 11% of the pool). The loan is secured by a 664,000
square foot, 28-story office tower in downtown Hartford,
Connecticut. The loan has been on the watchlist for low DSCR since
December 2009 due to high vacancy. The property was 69% leased as
of September 2013. The largest tenant is Prudential Insurance Co.,
which occupies approximately 257,000 square feet (39% of property
net rentable area). The loan has benefitted from amortization.
Moody's LTV and stressed DSCR are 102% and 1.00X, respectively,
compared to 110% and 0.93X at the last review.
COMM 2014-CCRE15: Moody's Assigns 'B2' Rating on Class F Notes
--------------------------------------------------------------
Moody's Investors Service has assigned ratings to fourteen classes
of CMBS securities, issued by COMM 2014-CCRE15 Mortgage Trust,
Commercial Mortgage Pass-Through Certificates.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. X-A*, Definitive Rating Assigned Aaa (sf)
Cl. A-M**, Definitive Rating Assigned Aaa (sf)
Cl. B**, Definitive Rating Assigned Aa3 (sf)
Cl. PEZ**, Definitive Rating Assigned A1 (sf)
Cl. C**, Definitive Rating Assigned A3 (sf)
Cl. X-B*, Definitive Rating Assigned Baa1 (sf)
Cl. D, Definitive Rating Assigned Baa3 (sf)
Cl. E, Definitive Rating Assigned Ba2 (sf)
Cl. F, Definitive Rating Assigned 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. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
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.
CS FIRST BOSTON 2001-CK1: Moody's Affirms C Rating on 2 Notes
-------------------------------------------------------------
Moody's Investors Service has upgrade the rating of one class and
affirmed the ratings of three classes of CS First Boston Mortgage
Securities Corp 2001-CK1 as follows:
Cl. A-X, Affirmed Caa3 (sf); previously on Mar 21, 2013 Affirmed
Caa3 (sf)
Cl. J, Upgraded to B2 (sf); previously on Mar 21, 2013 Upgraded to
Caa1 (sf)
Cl. K, Affirmed C (sf); previously on Mar 21, 2013 Affirmed C (sf)
Cl. L, Affirmed C (sf); previously on Mar 21, 2013 Affirmed C (sf)
Ratings Rationale
The ratings of P&I Classes K and L were affirmed because the
ratings are consistent with Moody's expected loss.
The rating of P&I Class J was upgraded based primarily on an
increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 35% since Moody's last
review.
The rating of the IO class, Class A-X, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of the referenced classes.
Moody's rating action reflects a base expected loss of 21.5% of
the current balance compared to 14.0% at Moody's last review.
Moody's base expected loss plus realized losses is now 4.0% of the
original pooled balance, the same as at Moody's 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 2 compared to 4 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $26 million
from $997 million at securitization. The certificates are
collateralized by four mortgage loans ranging in size from 5% to
62% of the pool.
No loans are on the master servicer's watchlist. Twenty-six loans
have been liquidated from the pool, resulting in an aggregate
realized loss of $34.4 million ( average loss severity of 35%).
Two loans, constituting 34% of the pool, are currently in special
servicing. The largest specially serviced loan is the Alameda West
Shopping Center Loan ($6.8 million -- 26% of the pool), which is
secured by a 127,000 square foot (SF) strip retail center located
in Albuquerque, New Mexico. The loan transferred to special
servicing in March 2010 due to imminent monetary default and
became REO in March 2011. The property was 72% leased as of
December 2013 compared to 71% at last review. The loan remains in
REO.
The second specially serviced loan is secured by a multifamily
property in Garland, Texas. Moody's estimates an aggregate $3.4
million loss for the specially serviced loans (38% expected loss
on average).
Moody's received partial year 2013 operating results for 100% of
the pool. Moody's weighted average conduit LTV is 102% compared to
92% 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 14% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9.8%.
Moody's actual and stressed conduit DSCRs are 1.45X and 1.06X,
respectively, compared to 1.29X 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 two conduit loans represent 66% of the pool balance. The
largest loan is the One Renaissance Center Loan ($16.2 million --
61.7% of the pool), which is secured by a 160,509 SF office
building located in Raleigh, North Carolina. The loan was
transferred to special servicing in January 2011 due to a maturity
default. The loan was moved back to the Master Servicer in
February 2013. The property is currently 85% leased as of June
2013 compared to 75% as of December 2012. Moody's LTV and stressed
DSCR are 104% and 1.03X, respectively, compared to 102% and 1.05X
at last review.
The second conduit loan is The Lofts Apartments Loan ($1.2 million
-- 4.6% of the pool), which is secured by a 55-unit multifamily
apartment complex in Grand Rapids, Michigan. The property was 91%
leased as of September 2013 compared to 88% at Moody's prior
review. The loan was previously on the watchlist in 2013 due to a
decrease in NOI but was removed in September 2013 after
performance improved due to decreased expenses. Moody's LTV and
stressed DSCR are 65% and 1.55X, respectively, compared to 71% and
1.42X at last review.
CSMC TRUST 2014-SURF: S&P Assigns BB- Rating on Class E Notes
-------------------------------------------------------------
Standard & Poor's Ratings Services assigned its 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 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.
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.
DEL MAR CLO I: Moody's Raises Rating on $13.125MM Notes to Ba2
--------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Del Mar CLO I, Ltd.:
$15,575,000 Class C Deferrable Floating Rate Notes Due 2018,
Upgraded to Aaa (sf); previously on August 21, 2013 Upgraded to
Aa1 (sf)
$15,050,000 Class D Deferrable Floating Rate Notes Due 2018,
Upgraded to A2 (sf); previously on August 21, 2013 Confirmed at
Baa3 (sf)
$13,125,000 Class E Deferrable Floating Rate Notes Due 2018
(current outstanding balance of $12,020,463.20), Upgraded to Ba2
(sf); previously on August 21, 2013 Affirmed Ba3 (sf)
Moody's also affirmed the ratings on the following notes:
$75,000,000 Class A-1 Floating Rate Notes Due 2018 (current
outstanding balance of $8,326,289.80), Affirmed Aaa (sf);
previously on August 21, 2013 Affirmed Aaa (sf)
$250,000 Class A-2 Floating Rate Notes Due 2018 (current
outstanding balance of $27,754.30), Affirmed Aaa (sf);
previously on August 21, 2013 Affirmed Aaa (sf)
$180,250,000 Class A-3 Floating Rate Notes Due 2018 (current
outstanding balance of $20,010,849.78), Affirmed Aaa (sf);
previously on August 21, 2013 Affirmed Aaa (sf)
U.S. $23,625,000 Class B Floating Rate Notes Due 2018, Affirmed
Aaa (sf); previously on August 21, 2013 Affirmed Aaa (sf)
Del Mar CLO I, Ltd, issued in July 2006, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period ended in August 2011.
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 notes have
been paid down by approximately 58% or $38.8 million since August
2013, including $18.1 million on the last payment date on February
3, 2014. Based on the trustee's January 2014 report, the over-
collateralization (OC) ratios for the Class A/B, Class C, Class D
and Class E notes are reported at 171.8%, 140.6%, 119.5% and
106.8%, respectively, versus August 2013 levels of 156.3%, 133.4%,
116.9% and 106.3%, respectively. Moody's notes the reported
January 2014 over-collateralization ratios do not reflect the
February 3, 2014 payment of $18.1 million to the Class A notes.
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% (2195)
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% (3293)
Class A-1: 0
Class A-2: 0
Class A-3: 0
Class B: 0
Class C: 0
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 $102.3 million, defaulted
par of $2.8 million, a weighted average default probability of
17.01% (implying a WARF of 2744), a weighted average recovery rate
upon default of 51.07%, a diversity score of 27 and a weighted
average spread of 3.26%.
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.
DELTA AIR LINES: S&P Corrects Ratings on 5 Certificate Classes
--------------------------------------------------------------
Standard & Poor's Ratings Services corrected its ratings on
certain of Delta Air Lines Inc.'s pass through trust certificates
by lowering them to 'A' (sf) from 'A+' (sf). Due to an error, S&P
inadvertently raised its ratings on five of Delta's class A issues
on Dec. 18, 2013, when it raised its ratings on Delta, including
the corporate credit rating to 'BB-' from 'B+'. Under S&P's
counterparty risk framework methodology and assumptions criteria,
pass through trust certificates cannot be rated higher than the
rating on the related liquidity facility provider.
The affected pass through trust certificates are:
-- Delta Air Lines Inc. 2009-1 pass through trust certificates,
class A
-- Delta Air Lines Inc. 2010-1 pass through trust certificates,
class A
-- Delta Air Lines Inc. 2010-2 pass through trust certificates,
class A
-- Delta Air Lines Inc. 2011-1 pass through trust certificates,
class A
-- Delta Air Lines Inc. 2012-1 pass through trust certificates,
class A
RATINGS LIST
Delta Air Lines Inc.
Corporate Credit Rating BB-/Stable/--
Ratings Corrected
To From
Delta Air Lines Inc.
Class A pass thru tr certs ser 2009-1 A (sf) A+ (sf)
Class A pass thru tr certs ser 2010-1 A (sf) A+ (sf)
Class A pass thru tr certs ser 2010-2 A (sf) A+ (sf)
Class A pass thru tr certs ser 2011-1 A (sf) A+ (sf)
Class A pass thru tr certs ser 2012-1 A (sf) A+ (sf)
DEUTSCHE MORTGAGE: Moody's Lowers Rating on Cl. 3-A-1 Notes to Ca
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one tranche
backed by Alt-A RMBS loans, issued by Deutsche Mortgage
Securities, Inc. Re-REMIC Trust Certificates, Series 2007-RS8.
Complete rating actions are as follows:
Issuer: Deutsche Mortgage Securities, Inc. Re-REMIC Trust
Certificates, Series 2007-RS8
Cl. 3-A-1, Downgraded to Ca (sf); previously on Oct 29, 2010
Downgraded to Caa3 (sf)
Ratings Rationale
The rating downgraded is primarily due to depletion of credit
support provided by Cl. 3-A-2.
The principal methodology used in this rating was "Moody's
Approach to Rating Resecuritizations" published in February 2014.
The methodology used in determining the ratings of the underlying
bonds 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.
EAST LANE RE VI: S&P Assigns Prelim. 'BB+' Rating on 2014-I Notes
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Standard & Poor's Ratings Services said that it assigned its
'BB+(sf)' preliminary ratings to the Series 2014-I notes to be
issued by East Lane Re VI Ltd. The notes cover losses in the
covered area arising out of or resulting from named storms,
earthquakes (including fire following and sprinkler leakage),
severe thunderstorms, and winter storms on a per-occurrence basis.
The notes will cover losses between the attachment point of
$3.0 billion and the exhaustion point of $3.3 billion. The
preliminary rating is based on the lowest of the natural-
catastrophe (nat-cat) risk factor ('BB+'), the rating on the
assets in the reinsurance trust account ('AAAm'), and ratings on
the ceding insurer--various operating companies in the Chubb Corp.
The cedants will be certain member insurers of the Chubb group,
which include Federal Insurance Co., Vigilant Insurance Co., Chubb
Insurance Co. of New Jersey, Chubb National Insurance Co., Chubb
Indemnity Insurance Co., Great Northern Insurance Co., Pacific
Indemnity Co., Executive Risk Indemnity Inc., Executive Risk
Specialty Insurance Co., Chubb Custom Insurance Co., Texas Pacific
Indemnity Co., and Chubb Lloyd's Insurance Co. of Texas.
RATINGS LIST
New Ratings
East Lane Re VI Ltd.
Series 2014-I Notes BB+(sf) (prelim)
FIRST UNION-LEHMAN: Moody's Affirms C Rating on Class L Certs.
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Moody's Investors Service has upgraded the ratings of three
classes and affirmed three classes in First Union-Lehman Brothers-
Bank of America Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 1998-C2 as follows:
Cl. G, Upgraded to Aaa (sf); previously on Mar 21, 2013 Affirmed
Aa3 (sf)
Cl. H, Upgraded to A1 (sf); previously on Mar 21, 2013 Affirmed
Baa1 (sf)
Cl. J, Upgraded to Ba1 (sf); previously on Mar 21, 2013 Affirmed
B1 (sf)
Cl. K, Affirmed Caa2 (sf); previously on Mar 21, 2013 Affirmed
Caa2 (sf)
Cl. L, Affirmed C (sf); previously on Mar 21, 2013 Affirmed C (sf)
Cl. IO, Affirmed B3 (sf); previously on Mar 21, 2013 Downgraded to
B3 (sf)
Ratings Rationale
The ratings on three P&I classes were upgraded based primarily on
an increase in credit support resulting from loan paydowns and
amortization. The deal has paid down 25% since Moody's last
review.
The ratings on two P&I class were affirmed because the ratings are
consistent with Moody's expected loss. The rating on the IO class
was affirmed based on the credit performance of the referenced
classes.
Moody's rating action reflects a base expected loss of 6.2% of the
current balance compared to 7.8% at Moody's prior review. Moody's
base expected loss plus realized losses is now 2.2% of the
original pooled balance compared to 2.3% at the prior review.
Factors That Would Lead To An Upgrade Or Downgrade Of The Rating
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or
weaker than Moody's had previously anticipated. Factors that may
cause an upgrade of the ratings include significant loan paydowns
or amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.
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, "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 4 compared to 6 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based Large
Loan Model v8.6 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 94% to $223 million
from $3.4 billion at securitization. The Certificates are
collateralized by 89 mortgage loans ranging in size from less than
1% to 36% of the pool, with the top ten loans (excluding
defeasance) representing 81% of the pool. Forteen loans,
representing 8% of the pool, have defeased and are secured by US
Government securities.
Ten loans, representing 14% 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-four loans have been liquidated from the pool, resulting in
an aggregate realized loss of $62.7 million (44% loss severity on
average). Three loans, representing 3% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Franklin Plaza Loan ($4.8 million -- 2.2% of the pool), which is
secured by a 155,000 square foot (SF) anchored retail center
located about 45 miles northeast of Raleigh-Durham International
Airport in Louisville, North Carolina. The property is currently
REO and was only 37% leased as of December 2013.
The remaining two specially serviced loans are secured by a
limited service hotel and a multifamily property. Moody's has
assumed a high default probability for one poorly performing loans
representing 0.3% of the pool. Moody's has estimated an aggregate
$1.7 million loss (29% expected loss) from the specially serviced
and troubled loans.
Moody's received full-year 2012 operating results for 99% of the
pool and full or partial year 2013 operating results for 82% of
the pool. Moody's weighted average conduit LTV is 57% compared to
58% 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 9.9%.
Moody's actual and stressed conduit DSCRs are 1.84X and 2.24X,
respectively, compared to 1.75X and 2.20X 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% stressed rate applied to the loan balance.
The top three performing conduit loans represent 32% of the pool
balance. The largest loan is the Broadmoor Austin Loan ($56
million -- 25% of the pool), which is secured by a seven-building,
1.1 million SF campus-style office complex in Austin, Texas. The
property is 100% leased to International Business Machines
Corporation under leases that expire in 2014 (13% of the NRA),
2016 (30% NRA) and 2017 (57% NRA). The loan has paid down 64%
since securitization. Moody's LTV and stressed DSCR are 54% and
1.90X, respectively, compared to 59% and 1.73X at the last review.
The second largest loan is the Spinnaker Reach Apartments Loan
($7.4 million -- 3% of the pool). The loan is secured by a 288-
unit multifamily property in suburban Jacksonville, Florida. The
property was 92% leased as of September 2013 compared to 81% as of
March 2013. Moody's LTV and stressed DSCR are 85% and 1.15X,
respectively, compared to 66% and 1.48X at the last review. The
2012 NOI for this property decreased compared to 2011 due to an
increase in various expenses including repairs and maintenance, as
well as in increase in vacancy loss.
The third largest loan is the Cineplex Odeon Movie Theater Loan
($7.2 million -- 3% of the pool). The loan is secured by a 48,000
SF movie theater located in Hodgkins, Illinois, about 20 miles
outside of Chicago. The property is 100% leased to Plitt Theaters
(AMC Entertainment) through February 2023. The fully amortizing
loan matures in February 2023. Moody's LTV and stressed DSCR are
86% and 1.20X, respectively, compared to 88% and 1.17X at the last
review.
The CTL component consists of 46 loans, totaling 36% of the pool,
secured by properties leased to 11 tenants. The largest exposures
are Brinker International, Inc.($36.1 million -- 16.2% of the
pool; senior unsecured rating: Ba2 -- stable outlook) and Walgreen
Co. ($6.3 million -- 2.8% of the pool; senior unsecured rating:
Baa1 -- negative outlook). The bottom-dollar weighted average
rating factor (WARF) for this pool is 2,538, which is similar as
at last review. 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.
FREMF 2011-K12: Moody's Affirms Ba3 Rating on Class X-2 Certs
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Moody's Investors Service has affirmed the ratings on two classes
in FREMF Commercial Mortgage Securities, Commercial Mortgage Pass-
Through Certificates, Series 2011-K12 as follows:
Cl. B, Affirmed A3 (sf); previously on Apr 11, 2013 Affirmed A3
(sf)
Cl. X-2, Affirmed Ba3 (sf); previously on Apr 11, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The rating on the P&I class was 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 the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 2.0% of the
current balance compared to 1.8% at Moody's last review. Moody's
base expected loss plus realized losses is now 1.9% of the
original pooled balance compared to 1.7% 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 33, 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 27, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 3% to $1.17 billion
from $1.21 billion at securitization. The certificates are
collateralized by 69 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans constituting 41% of
the pool.
Four loans, constituting 7% 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.
No loans have been liquidated from the pool. No loans are
currently in special servicing.
Moody's received full year 2012 operating results for 98% of the
pool, and full or partial year 2013 operating results for 74% of
the pool. Moody's weighted average conduit LTV is 91% 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 10% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.51X and 1.04X,
respectively, compared to 1.49X and 1.00X 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 22% of the pool balance. The
largest loan is the 200 Water Street Loan ($104 million -- 9% of
the pool), which is secured by a 576-unit multifamily high-rise
located in the Financial District of Lower Manhattan, New York
City. The property was 98% leased as of December 2012, as compared
with 96% at last review. This property was damaged during
Hurricane Sandy but is now fully operational. Moody's LTV and
stressed DSCR are 79% and 1.02X, respectively, compared to 81% and
1.01X at the last review.
The second largest loan is the Mid-America Portfolio Loan ($84
million -- 7% of the pool), which is secured by four cross-
collateralized and cross-defaulted multifamily loans located in
Tennessee (2), Florida and South Carolina. The portfolio contains
1,312 units in the aggregate, represented by one, two and three-
bedroom floor plans. The portfolio was 96% leased as of June 2013,
the same as at last review. Moody's LTV and stressed DSCR are 83%
and 1.14X, respectively, compared to 89% and 1.03X at the last
review.
The third largest loan is the Summer House Apartments Loan ($69
million -- 6% of the pool), which is secured by a 615-unit garden-
style multifamily property located in Alameda, California. The
property was 95% leased as of June 2013, the same as at last
review. The loan has a 24-month interest only period and,
thereafter, amortizes on a 30-year schedule. Moody's LTV and
stressed DSCR are 100% and 0.92X, respectively, compared to 112%
and 0.82X at the last review.
FRONTIER FUNDING V: S&P Affirms 'CC' Rating on Class A Notes
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Standard & Poor's Ratings Services affirmed its 'CC (sf)' rating
on the class A note issued by Frontier Funding Co. V LLC
(Frontier), an asset-backed securities transaction backed by
equipment leases.
Since Frontier's November 2013 distribution date, collections have
been insufficient to pay full interest on the class A note. As a
result, CIFG Assurance North America Inc., acting as bond insurer,
has provided payment of the requisite interest amount to the class
A noteholders.
CIFG does not have a long-term issuer credit rating from Standard
& Poor's. However, it continues to make claim payments covering
the monthly interest shortfalls. S&P also expects that a claim
will be made to CFIG to pay a principal shortfall in July 2014,
the class A's legal final maturity date. If at any time there is
an interest shortfall and CIFG fails to make a claim payment in
the full amount of interest on the class A note, or if there is a
class A principal shortfall at the legal final maturity date that
CIFG fails to make payment on, Standard & Poor's would consider
the class A note defaulted and would subsequently downgrade it to
'D (sf)'.
Currently, the aggregate implicit principal balance of the
collateral is zero. Any cash flows received outside of the bond
insurer payment are from recovery or past due payments, and these
balances have been small and insufficient to pay the class A
interest.
S&P will continue to monitor Frontier to determine if the assigned
rating is sufficient and if any rating action is deemed
appropriate.
RATING AFFIRMED
Frontier Funding Co. V LLC
Class Rating
A CC (sf)
GE CAPITAL 2001-3: S&P Affirms 'CCC-' Rating on Cl. H Certificates
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Standard & Poor's Ratings Services affirmed its 'CCC- (sf)' rating
on the class H commercial mortgage pass-through certificates from
GE Capital Commercial Mortgage Corp.'s series 2001-3, a U.S.
commercial mortgage-backed securities (CMBS) transaction.
The affirmation follows our analysis of the transaction, primarily
using S&P's criteria for rating U.S. and Canadian CMBS
transactions. The affirmation of class H reflects S&P's review of
the credit characteristics and performance of the remaining assets
in the trust the transaction structure, as well as the transaction
structure and liquidity available to the trust.
While the available credit enhancement level may suggest positive
rating movement on class H, S&P's analysis also considered the
reduced liquidity support available to this class due to ongoing
interest shortfalls from the four assets with the special servicer
($18.5 million, 56.8% of the trust balance), the potential for
additional interest shortfalls from the specially serviced assets,
and this class' interest shortfall history.
As of the Feb. 10, 2014, trustee remittance report, the collateral
pool comprised 10 assets with an aggregate principal balance of
$32.6 million, down from 133 loans with an aggregate balance of
$963.8 million at issuance. One of the remaining assets
($1.3 million, 4.0%) has been defeased. In addition, four assets
($18.5 million, 56.8%) are with the special servicer, LNR Partners
LLC (LNR).
Using servicer-provided financial information, S&P calculated an
adjusted Standard & Poor's debt service coverage (DSC) ratio of
1.49x and a loan-to-value (LTV) ratio of 27.1% for five of the 10
remaining assets in the pool. The DSC and LTV figures exclude the
defeased and specially serviced assets. To date, the transaction
has experienced losses totaling $47.1 million or 4.9% of the
transaction's original pool balance.
Details of the specially serviced assets are as follows:
The Sanbusco Market Center asset ($8.2 million, 25.3%) is the
largest remaining asset in the pool and the largest asset with
LNR. The asset has a reported exposure of $9.4 million. The
asset consists of an 86,763-sq.-ft. retail property in Santa Fe,
New Mexico. The loan was transferred to the special servicer on
July 6, 2011, for imminent monetary default due to a major
tenant's bankruptcy, Borders and the property became real estate
owned (REO) on July 24, 2012. Based on a rent roll dated Dec. 25,
2013, provided by LNR, the property was 65.1% occupied. LNR
indicated that it is actively marketing the vacant space at the
property. The master servicer, Wells Fargo Bank N.A., has deemed
this asset nonrecoverable. S&P expects a moderate loss upon the
final resolution of this asset.
The Orange Grove Center loan ($5.2 million, 15.9%) is the third-
largest asset in the pool and the second-largest asset with the
special servicer. The loan has a reported exposure of
$6.7 million and is secured by a 68,865-sq.-ft. retail property in
North Fort Myers, Fla. The loan was transferred to the special
servicer on Aug. 22, 2011, for maturity default. LNR stated that
the borrower filed for bankruptcy on May 1, 2013, and stayed the
scheduled foreclosure sale. According to LNR, the property is
expected to be sold in early 2014. An appraisal reduction amount
of $1.2 million is in effect against this loan. S&P expects a
moderate loss upon the final resolution of this loan.
The Wintonbury Mall loan ($3.5 million, 10.7%) is the fourth-
largest asset in the pool and the third-largest asset with the
special servicer. The loan has a reported exposure of
$4.9 million and is secured by an 110,949-sq.-ft. retail property
in Bloomfield, Conn. The loan was transferred to the special
servicer on Feb. 10, 2010, for monetary default. LNR informed S&P
that it is currently pursuing foreclosure. The reported DSC and
occupancy for the property for the 12 months ended June 30, 2013,
were 0.72x and 82.6%, respectively. S&P expects a minimal loss
upon the final resolution of this loan.
The 10000 San Pedro Office Building REO asset ($1.6 million, 4.9%)
is the eighth-largest asset in the pool and the smallest asset
with the special servicer. The asset has a reported exposure of
$1.7 million and consists of a 19,391-sq.-ft. office property in
San Antonio, Texas. The loan was transferred to the special
servicer on April 14, 2011, and the property became REO on Oct. 2,
2012. Wells Fargo has deemed this asset nonrecoverable. LNR
stated that it is evaluating its liquidation strategy regarding
this asset. S&P expects a moderate loss upon the final resolution
of this asset.
S&P's weighted average loss severity for the four specially
serviced assets is 27.9%.
With respect to the specially serviced assets noted above, a
minimal loss is less than 25%, a moderate loss is 26%-59%, and a
significant loss is 60% or greater.
GE COMMERCIAL 2004-C2: Fitch Affirms CCC Ratings on 3 Certs
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Fitch Ratings has affirmed 10 classes of GE Commercial Mortgage
Corporation series 2004-C2 commercial mortgage pass-through
certificates.
Key Rating Drivers
The affirmations are due to sufficient credit enhancement to the
remaining Fitch rated classes. Fitch modeled losses of 17.8% of
the remaining pool; expected losses on the original pool balance
total 2.2%, including $1.4 million (0.1% of the original pool
balance) in realized losses to date.
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 88.7% to $158.7 million from
$1.4 billion at issuance. Six of the remaining 20 loans are
specially serviced (35.1% of the pool) and three are defeased
(5.7% of the pool).
The largest contributor to expected losses is a 477,259 square
foot (sf) office building located in Downtown Columbus, OH. The
loan is specially-serviced (14.6% of the pool). Occupancy was
80.3% as of the February 2014 rent roll; the second largest tenant
has extended their lease to June 2015 from June 2013.
The second largest contributor to expected losses is a specially-
serviced loan (4.5% of the pool), which is secured by an 80,211 sf
retail property located in Marlton, NJ, approximately 15 miles
east of Philadelphia and 85 miles southwest of New York City. The
loan was transferred to the special servicer in February 2012 for
imminent default. Occupancy was 56.8% as of December 2013.
The third largest contributor to expected losses is a specially-
serviced loan (5.3% of the pool), which is secured by a 93,541 sf
grocery anchored retail center located in Keller, TX (Dallas-Fort
Worth MSA). The property is anchored by Kroger (66.2% NRA,
expiration June 2022). The loan recently transferred to special
servicing in February 2014 for balloon payment/maturity default.
Occupancy was at 92% as of October 2013 and DSCR was 1.03x as of
year-to-date third quarter 2013.
RATING SENSITIVITY
The ratings of investment grade classes C to G are expected to
remain stable due to increasing credit enhancement and continued
paydown. Despite high credit enhancement, upgrades are not
expected due to the concentrated pool and the credit
characteristics of the remaining collateral. The distressed
classes (those rated below 'B') are expected to be subject to
further downgrades as losses are realized. In addition, classes H
and J may be subject to downgrades should realized losses be
greater than Fitch's expectations.
Fitch affirms the following classes as indicated:
-- $5.3 million class C at 'AAAsf', Outlook Stable;
-- $25.8 million class D at 'AAsf', Outlook Stable;
-- $15.5 million class E at 'AAsf', Outlook Stable;
-- $18.9 million class F at 'Asf', Outlook Stable;
-- $17.2 million class G at 'BBBsf', Outlook to Stable from
Negative;
-- $18.9 million class H at 'BBsf', Outlook Negative;
-- $10.3 million class J at 'Bsf', Outlook Negative;
-- $8.6 million class K at 'CCCsf', RE 100%;
-- $6.9 million class L at 'CCCsf', RE 100%;
-- $5.2 million class M at 'CCCsf', RE 100%.
The class A-1, A-2, A-3, A-4, A-1A, B, PPL-1, PPL-2, PPL-3, PPL-4,
PPL-5 and PPL-6 certificates have paid in full. Fitch does not
rate the class N, O and P certificates. Fitch previously withdrew
the rating on the interest-only class X-1 certificates and the
interest-only class X-2 certificates have paid in full.
GE COMMERCIAL 2004-C2: Moody's Affirms Rating on 6 Cert. Classes
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Moody's Investors Service upgraded the ratings on six classes,
affirmed the ratings on six classes and downgraded one class in GE
Commercial Mortgage Corporation, Commercial Mortgage Pass-Through
Certificates, Series 2004-C2 as follows:
Cl. C, Affirmed Aaa (sf); previously on Apr 4, 2013 Affirmed Aaa
(sf)
Cl. D, Upgraded to Aaa (sf); previously on Apr 4, 2013 Affirmed
Aa3 (sf)
Cl. E, Upgraded to Aaa (sf); previously on Apr 4, 2013 Affirmed A1
(sf)
Cl. F, Upgraded to Aa1 (sf); previously on Apr 4, 2013 Affirmed A2
(sf)
Cl. G, Upgraded to Aa3 (sf); previously on Apr 4, 2013 Affirmed
Baa1 (sf)
Cl. H, Upgraded to Baa1 (sf); previously on Apr 4, 2013 Affirmed
Baa3 (sf)
Cl. J, Upgraded to Ba3 (sf); previously on Apr 4, 2013 Affirmed B1
(sf)
Cl. K, Affirmed B3 (sf); previously on Apr 4, 2013 Affirmed B3
(sf)
Cl. L, Affirmed Caa2 (sf); previously on Apr 4, 2013 Affirmed Caa2
(sf)
Cl. M, Affirmed Caa3 (sf); previously on Apr 4, 2013 Affirmed Caa3
(sf)
Cl. N, Affirmed Ca (sf); previously on Apr 4, 2013 Affirmed Ca
(sf)
Cl. O, Affirmed C (sf); previously on Apr 4, 2013 Affirmed C (sf)
Cl. X-1, Downgraded to Caa1 (sf); previously on Apr 4, 2013
Affirmed Ba3 (sf)
Ratings Rationale
The ratings on six 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 83% since Moody's last
review. In addition, loans constituting 100% of the pool that have
debt yields exceeding 10.0% are scheduled to mature within the
next three months. The ratings on six P&I classes were affirmed
because the the ratings are consistent with Moody's expected loss.
The rating on the IO class was downgraded due to the decline in
the credit performance of its reference classes resulting from
principal paydowns of higher quality reference classes.
Moody's rating action reflects a base expected loss of 17.7% of
the current balance compared to 4.2% at Moody's last review. The
magnitude percentage difference is attributable to the deal having
paid down 83% since last review. The actual base expected loss
figure declined to $28.1 million from $39.2 million at last
review. Moody's base expected loss plus realized losses is now
2.1% 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 principal methodology used in this rating was "Moody's
Approach to Rating Fusion U.S. CMBS Transactions" published in
April 2005.
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 compared to 25 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 February 10, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 89% to $158.7
million from $1.4 billion at securitization. The certificates are
collateralized by 20 mortgage loans ranging in size from less than
1% to 17% of the pool, with the top ten loans constituting 82% of
the pool. Three loans, representing 6% of the pool, have defeased
and are secured by U.S. Government securities compared to 19
loans, representing 19% of the pool at last review. The pool no
longer contains any loans with investment grade credit
assessments.
Seven loans, representing 34% 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.
Six loans have been liquidated from the pool, resulting in an
aggregate realized loss of $1.4 million (6.6% loss severity on
average). Six loans, representing 35% of the pool, are currently
in special servicing. The largest specially serviced loan is the
Continental Centre Loan ($23.2 million -- 14.6% of the pool),
which is secured by a 26-story, 477,259 square foot (SF) Class B
office building located in the Central Business District (CBD) of
Columbus, Ohio. The loan was transferred to special servicing in
December 2012 due to imminent monetary default. AT&T is the
largest tenant (34% NRA) and is currently using about 36,000 SF of
its current 160,262 SF of leased space. A loan modification
remains under discussion. As of November 2012, the property was
79% leased.
The remaining five specially serviced loans are secured by a mix
of property types. Moody's estimates an aggregate $26.0 million
loss for the specially serviced loans (47% expected loss on
average). Moody's has not identified any troubled loans.
Moody's received full year 2011 and 2012 operating results for 92%
of the pool, respectively, and partial year 2013 operating results
for 67% of the pool. Moody's weighted average conduit LTV is 64%
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 10.75% to the most
recently available net operating income (NOI). Moody's value
reflects a weighted average capitalization rate of 8.7%.
Moody's actual and stressed conduit DSCRs are 2.33X and 1.62X,
respectively, compared to 1.44X and 1.21X 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 35% of the pool balance. The
largest conduit loan is the Lake Grove Plaza Loan ($27.0 million -
- 17.0% of the pool), which is secured by a 251,236 SF big box
retail retail center in Lake Grove, New York. The shopping center
was 78% leased as of August 2013 and will be 83% leased once
Fairway opens its first Suffolk County store spring 2014. This
loan matures April 2014 and generates a strong debt yield,
reducing refinancing risk. Moody's LTV and stressed DSCR are 43%
and 2.15X, respectively, compared to 59% and 1.55X at last review.
The second largest conduit loan is the Legacy at Cross Creek
Apartments Loan ($15.0 million -- 9.4% of the pool), which is
secured by 264-unit apartment property in Fayetteville, North
Carolina. This garden-style apartment property was 91% leased, the
same as at last review, compared to 83% in December 2011. The loan
matures March 2014, has a strong debt yield and is currently in a
short-term forbearance period while securing refinancing. Moody's
LTV and stressed DSCR are 86% and 1.04X, respectively, compared to
81% and 1.11X at last review.
The third largest conduit loan is the Merola Medical Office
Complex Loan ($13.7 million -- 8.7% of the pool), which is secured
by a 132,155 SF medical office building in Liverpool, New York. As
of June 2013, the property was 95% leased compared to 97% at last
review. This loan matures April 2014 and has a strong debt yield,
reducing refinancing risk. Moody's LTV and stressed DSCR are 74%
and 1.37X, respectively, compared to 73% and 1.37X at last review.
GSC PARTNERS VII: Moody's Affirms Ba1 Rating on Class E Notes
-------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by GSC Partners CDO Fund VII, Limited:
$21,700,000 Class D Deferrable Floating Rate Notes Due 2020,
Upgraded to Aa1 (sf); previously on September 26, 2013 Upgraded to
Aa3 (sf)
Moody's also affirmed the ratings of the following notes:
$45,600,000 Class B Floating Rate Notes Due 2020, (current
outstanding balance of $16,006,512), Affirmed Aaa (sf); previously
on September 26, 2013 Affirmed Aaa (sf)
$29,000,000 Class C Deferrable Floating Rate Notes Due 2020,
Affirmed Aaa (sf); previously on September 26, 2013 Upgraded to
Aaa (sf)
$17,750,000 Class E Deferrable Floating Rate Notes Due 2020,
Affirmed Ba1 (sf); previously on September 26, 2013 Upgraded to
Ba1 (sf)
GSC Partners CDO Fund VII, Limited, issued in May 2006, is a
collateralized loan obligation backed primarily by a portfolio of
senior secured loans, with some exposure to middle market loans.
The transaction's reinvestment period ended in May 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 September 2013. The Class B notes
have been paid down by approximately 60.4% or $24.4 million since
September 2013. Based on Moody's calculation, the over-
collateralization (OC) ratios for the Class B, Class C, Class D
and Class E notes are at 634.3%, 225.6%, 152.2% and 120.2%,
respectively, versus September 2013 levels of 319.1%, 185.8%,
141.6% and 118.5%, respectively.
Nevertheless, the credit quality of the portfolio has deteriorated
and the Caa bucket has increased since August 2013. Based on the
trustee's January 2014 report, the portfolio's weighted average
rating factor (WARF) and Caa bucket are currently 3616 and 30.6%,
respectively, compared to 3437 and 17.9%, respectively, in August
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.
6) Exposure to credit estimates: The deal contains a 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.
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% (3070)
Class B: 0
Class C: 0
Class D: +1
Class E: +1
Moody's Adjusted WARF + 20% (4605)
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,
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 $96.1million, defaulted par
of $28.8 million, a weighted average default probability of 22.45%
(implying a WARF of 3837), a weighted average recovery rate upon
default of 49.15%, a diversity score of 17 and a weighted average
spread of 3.77%.
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.
Specifically, Moody's assumed an equivalent of Caa3 for assets
with credit estimates that have not been updated within the last
15 months, which represent approximately 8.3% of the collateral
pool.
GRAMERCY REAL 2006-1: S&P Raises Rating on Class A-2 Notes to BB+
-----------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, and B notes from Gramercy Real Estate CDO 2006-1 Ltd., a
commercial real estate collateralized debt obligation (CRE CDO)
transaction. Concurrently, S&P lowered its ratings on four
classes from the same transaction to 'D (sf)' and affirmed its
'CCC- (sf)' ratings on four other classes.
The rating actions reflect S&P's analysis of the transaction's
liability structure and the underlying credit characteristics of
the collateral using its global CDOs of pooled structured finance
assets criteria, S&P's rating methodology and assumptions for U.S.
and Canadian CMBS, and its commercial mortgage-backed securities
(CMBS) global property evaluation methodology criteria.
The upgrades also reflect the amortization of the transaction.
Class A-1 had an outstanding balance of $60.4 million as of the
Jan. 27, 2014, note valuation report, down from $500.0 million at
issuance.
S&P lowered its ratings on classes G, H, J, and K to 'D (sf)' from
'CCC- (sf)' because it determined that these classes were unlikely
to be repaid in full. In S&P's analysis, it also considered the
number of defaulted assets reported by the trustee ($131.1
million, which is 26.6% of the total collateral asset balance) in
the transaction and their expected recoveries.
According to the Jan. 31, 2014, trustee report, the transaction's
collateral totaled $492.9 million, while the transaction's
liabilities--including capitalized interest--totaled
$556.3 million. This is down from $990.5 million in liabilities
at issuance. The transaction's current asset pool included the
following:
-- 12 whole loans or participation interest ($326.0 million,
66.1%).
-- 13 CMBS tranches ($128.3 million, 26.0%).
-- Three CDO tranches ($20.0 million, 4.1%).
-- One mezzanine loan ($18.6 million, 3.8%).
The trustee report noted seven defaulted assets, consisting of
three whole loans ($86.1 million, 17.5%) and four CMBS tranches
($45.0 million, 9.1%). The defaulted loans are as follows:
-- The Las Vegas Hilton whole loan ($41.7 million, 8.5%).
-- The Makalei and Whiteface Portfolio whole loan
($27.3 million, 5.5%).
-- The AFR Portfolio whole loan ($17.1 million, 3.5%).
Standard & Poor's estimated a 43.7% weighted average asset-
specific recovery rate for the defaulted loans. S&P based the
recovery rates on information from the collateral manager, special
servicer, and third-party data providers.
Using loan performance information provided by the collateral
manager, S&P applied asset-specific recovery rates in its analysis
of the performing loans ($231.9 million, 47.1%) using its criteria
for U.S. and Canadian CMBS and its CMBS global property evaluation
methodology. S&P did not apply asset-specific recovery rates to
the Jemal 7th & L Street whole loan ($9.2 million, 1.9%) or the
East Memphis Marriott whole loan ($17.4 million, 3.5%). S&P also
considered in its analysis qualitative factors such as the near-
term maturities of the loans, refinancing prospects, and loans
modifications.
According to the Jan. 31, 2014, trustee report, the deal failed
the class C/D/E and class F/G/H overcollateralization tests,
passed the class A/B overcollateralization test, and passed all
three interest coverage tests. Because of the
overcollateralization tests failures, any future interest proceeds
that will be paid after class E will be diverted to pay down the
class A-1 outstanding principal balance until it satisfies the
overcollateralization tests.
The ratings remain consistent with the credit enhancement
available to support them and reflect S&P's analysis of the
transaction's liability structure and the underlying collateral's
credit characteristics.
RATINGS RAISED
Gramercy Real Estate CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
Class To From
A-1 BBB+ (sf) BB+ (sf)
A-2 BB+ (sf) B+ (sf)
B B+ (sf) CCC (sf)
RATINGS LOWERED
Gramercy Real Estate CDO 2006-1 Ltd.
Collateralized debt obligations
Rating
Class To From
G D (sf) CCC- (sf)
H D (sf) CCC- (sf)
J D (sf) CCC- (sf)
K D (sf) CCC- (sf)
RATINGS AFFIRMED
Gramercy Real Estate CDO 2006-1 Ltd.
Collateralized debt obligations
Class Rating
C CCC- (sf)
D CCC- (sf)
E CCC- (sf)
F CCC- (sf)
GREENWICH CAPITAL: S&P Lowers Ratings on 4 Note Classes to 'D'
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on three
classes and lowered its ratings on eight classes from Greenwich
Capital Commercial Funding Corp.'s series 2004-GG1, a U.S.
commercial mortgage-backed securities (CMBS) transaction. In
addition, S&P affirmed its ratings on three other classes from the
same transaction and withdrew its 'AAA (sf)' rating on the class
A-7 certificates.
The raised ratings on the class C, D, and E certificates reflect
S&P's expected credit enhancement, which it believes is greater
than its most recent estimate of necessary credit enhancement for
the respective rating levels. The raised ratings also reflect
S&P's views regarding available liquidity support, the transaction
collateral's current and future performance, and the deleveraging
of the trust.
The downgrades on classes G, H, J, and K reflect current interest
shortfalls and potential additional interest shortfalls related to
the eight ($81.5 million, 25.2%) assets with the special servicer.
In addition, S&P lowered its ratings on classes L, M, N, and O to
'D (sf)' because it believes the accumulated interest shortfalls
will remain outstanding for the foreseeable future. As of the
Feb. 12, 2014, trustee remittance report, the trust experienced
monthly interest shortfalls totaling $320,050, due primarily to
the rate modification ($287,018) of the Aegon Center loan
($103.1 million, 24.1%), which included splitting the loan into an
A note of $82.0 million and a B note of $21.1 million. The
remaining interest shortfalls included special servicing fees of
$13,188, appraisal subordinate entitlement reduction amounts of
$16,234, and workout fees of $2,824. These interest shortfalls
affected all classes subordinate to and including class G. Classes
L, M, N, and O have consecutive accumulated interest shortfalls
outstanding between four and five months currently and between six
and 17 months historically. S&P expects interest shortfalls to
these classes to continue for the foreseeable future.
S&P affirmed its ratings on classes B and F based on its analysis
of the pool's remaining assets, the transaction structure, and the
trust's available liquidity. While the available credit
enhancement levels may suggest further positive rating movement on
class F, S&P's analysis also considered the current and potential
additional interest shortfalls related to the eight assets with
the special servicer, the liquidity available to support these
classes, and the 18 ($216.9 million, 67.0%) non-specially serviced
performing loans scheduled to mature before June 2014.
S&P affirmed its 'AAA (sf)' rating on the class XC interest-only
(IO) certificates based on its criteria for rating IO securities.
In addition, S&P withdrew its 'AAA (sf)' rating on class A-7
following the class' full principal repayment, as reflected in the
Feb. 12, 2014, trustee remittance report.
Using servicer-provided financial information, S&P calculated a
Standard & Poor's adjusted debt service coverage (DSC) of 1.20x
and a Standard & Poor's loan-to-value (LTV) of 83.60% for 22 of
the 29 remaining assets in the pool. The DSC and LTV calculations
exclude seven ($77.7 million, 24.0%) of the eight assets that are
with the special servicer.
TRANSACTION SUMMARY
As of the Feb. 12, 2014, trustee remittance report, the collateral
pool had an aggregate pooled trust balance of $323.900 million,
down from $2.602 billion at issuance. The pool includes 29 loans
and one real estate-owned (REO) asset, down from 127 loans at
issuance. To date, the transaction has experienced losses
totaling $33.8 million, or 1.3% of the transaction's original
certificate balance. The master servicer, Wells Fargo Bank N.A.,
provided full- and partial-year 2012 and full-year 2013 financial
information for 88.4% of the assets in the pool. Nineteen
($219.2 million, 67.7%) are on the master servicer's watchlist,
the majority of which are because of pending maturities. Eighteen
of the non-specially serviced performing loans are scheduled to
mature before June 2014. Eight assets are with the special
servicer, CWCapital Asset Management LLC (CWCapital).
Details on the pool's top three non-specially serviced loans are
as follows:
The Aegon Center loan is the largest loan in the pool and is
secured by a 633,650-sq.-ft. class A office building in
Louisville, Ky. The loan, which was modified in November 2013,
remains on the master servicer's watchlist with a DSC of 1.01x as
of the nine months ended Sept. 30, 2013. The modification terms
included splitting the loan into a senior A note and a subordinate
hope B note, changing the original note rate, and extending the
loan's maturity to Aug. 10, 2019. As noted previously, this loan
modification caused the majority of the monthly interest
shortfalls affecting the trust, which S&P considered in its rating
analysis.
The Burlington Office Center (2) loan ($20.4 million, 4.8%) is the
second-largest performing loan in the pool and is secured by a
194,699-sq.-ft. office building in Ann Arbor, Mich. The loan
appears on the master servicer's watchlist because of its pending
maturity on March 1, 2014. The reported DSC is 1.05x for the nine
months ended Sept. 30, 2013, and occupancy was 86.80% according to
the June 2013 rent roll.
The Chesterfield Square loan ($20.2 million, 4.7%) is the third-
largest performing loan in the pool and is secured by a 221,180-
sq.-ft. anchored retail property in Los Angeles. The loan, which
matures on April 1, 2014, appears on the master servicer's
watchlist because of the property's major deferred maintenance.
The reported DSC and occupancy for the nine months ended Sept. 30,
2013, were 1.54x and 100.00% respectively.
CREDIT CONSIDERATIONS
Of the eight specially serviced assets, five have appraisal
reduction amounts (ARAs) totaling $10.7 million. Details of the
three largest specially serviced loans are as follows:
The Severance Town Center loan ($39.9 million, 12.3%), the largest
loan with the special servicer, is secured by a 644,593-sq.-ft.
anchored retail property in Cleveland Heights, Ohio. The loan was
recently transferred to the special servicer on Jan. 13, 2014,
because of imminent monetary default. The reported DSC is 1.11x
as of the nine months ended Sept. 30, 2013, and occupancy was
91.10% according to the October 2013 rent roll. S&P expects a
minimal loss upon this loan's eventual resolution.
The Skillman Abrams Shopping Center asset ($12.8 million, 4.0%),
the second-largest asset with the special servicer, is a 133,207-
sq.-ft. grocery-anchored retail center in Dallas. The asset has a
total reported exposure of $13 million. The loan was transferred
to the special servicer on Feb. 27, 2013, because of imminent
monetary default, and the property became REO on July 2, 2013.
CWCapital reported the property's occupancy was 27% as of Oct. 1,
2013. An ARA of $7.8 million is in effect against this asset.
S&P expects a significant loss upon this asset's eventual
resolution.
The 510 Glenwood Avenue (2) loan ($11.0 million, 3.4%), the third-
largest loan with the special servicer, is secured by a 67,369-
sq.-ft. office building in Raleigh, N.C. The loan has a total
reported exposure of $13 million. The loan was transferred to the
special servicer on Oct. 5, 2011, because of monetary default.
CWCapital reported that the trust remains in litigation after
appealing the court's ruling on the debtor's reorganization plan
that would extend the loan for 10 years. An ARA of $1.2 million is
in effect against this asset. S&P expects a minimal loss upon
this asset's eventual resolution.
The remaining specially serviced assets account for 5.5% of the
total pooled balance. S&P estimated losses for seven of the eight
assets currently with the special servicer, arriving at a weighted
average loss severity of 20.7%. S&P did not estimate immediate
losses for the Rockefeller Industrial Buildings loan
($3.8 million, 1.2%) to the transaction because the loan has been
recently modified.
As it relates to the above asset resolutions, S&P considered
minimal loss to be less than 25%, moderate loss to be 26%-59%, and
significant loss to be 60% or greater.
RATINGS RAISED
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Rating
Class To From Credit enhancement (%)
C AAA (sf) AA+ (sf) 76.91
D AA+ (sf) AA- (sf) 60.85
E A+ (sf) A- (sf) 50.81
RATINGS LOWERED
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Rating
Class To From Credit enhancement (%)
G BB+ (sf) BBB (sf) 32.73
H B- (sf) BBB- (sf) 20.68
J CCC- (sf) BB+ (sf) 18.67
K CCC- (sf) BB (sf) 14.65
L D (sf) BB- (sf) 10.64
M D (sf) B+ (sf) 7.63
N D (sf) B (sf) 4.61
O D (sf) B- (sf) 2.60
RATINGS AFFIRMED
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Class Rating Credit enhancement (%)
B AAA (sf) 84.95
F BBB+ (sf) 40.76
XC AAA (sf) N/A
N/A--Not applicable.
RATING WITHDRAWN
Greenwich Capital Commercial Funding Corp.
Commercial mortgage pass-through certificates series 2004-GG1
Rating
Class To From
A-7 NR AAA (sf)
NR-Not rated.
HALCYON LOAN: Moody's Affirms Ba3 Rating on $15MM Class D Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Halcyon Loan Investors CLO II, Ltd.:
$30,250,000 Class A-1-J Senior Secured Floating Rate Notes due
2021, Upgraded to Aaa (sf); previously on August 22, 2011 Upgraded
to Aa1 (sf)
$23,000,000 Class A-2 Senior Secured Floating Rate Notes due
2021, Upgraded to Aa1 (sf); previously on August 22, 2011 Upgraded
to A1 (sf)
$18,500,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2021, Upgraded to A1 (sf); previously on August 22, 2011
Upgraded to A3 (sf)
$21,750,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2021, Upgraded to Baa3 (sf); previously on August 22, 2011
Upgraded to Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
$270,500,000 Class A-1-S Senior Secured Floating Rate Notes due
2021 (current outstanding balance of $262,051,683), Affirmed Aaa
(sf); previously on August 22, 2011 Upgraded to Aaa (sf)
$15,500,000 Class D Secured Deferrable Floating Rate Notes due
2021, Affirmed Ba3 (sf); previously on August 22, 2011 Upgraded to
Ba3 (sf)
Halcyon Loan Investors CLO II, Ltd., issued in April 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period will end in April 2014
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from higher weighted
average spread (WAS) and weighted average recovery rate (WARR)
levels compared to their covenant levels. Based on the January
2014 trustee report, WAS and WARR is reported at 3.72% and 50.0%,
compared to the covenant level of 2.57% and 44.1% respectively.
Moody's also notes that the transaction's reported
overcollateralization ratios are stable since last rating action.
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 commence 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% (2247)
Class A-1-S: 0
Class A-1-J: 0
Class A-2: +1
Class B: +3
Class C: +3
Class D: +2
Moody's Adjusted WARF + 20% (3371)
Class A-1-S: 0
Class A-1-J: -1
Class A-2: -2
Class B: -2
Class C: -1
Class D: -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 $393.3 million, defaulted
par of $4.5 million, a weighted average default probability of
18.34% (implying a WARF of 2809), a weighted average recovery rate
upon default of 50.04%, a diversity score of 54 and a weighted
average spread of 3.67%.
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.
ING INVESTMENT: Moody's Affirms B1 Rating on $13MM Notes
--------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by ING Investment Management CLO III, Ltd.:
$23,000,000 Class A-3 Floating Rate Notes Due December 13, 2020,
Upgraded to Aaa (sf); previously on November 9, 2012 Upgraded to
Aa2 (sf)
$29,500,000 Class B Floating Rate Notes Due December 13, 2020,
Upgraded to A1 (sf); previously on November 9, 2012 Upgraded to
A3 (sf)
Moody's also affirmed the ratings on the following notes:
$255,000,000 Class A-1 Floating Rate Notes Due December 13, 2020
(current outstanding balance of $144,904,208), Affirmed Aaa
(sf); previously on August 5, 2011 Upgraded to Aaa (sf)
$100,000,000 Class A-2a Floating Rate Notes Due December 13,
2020 (current outstanding balance of $46,031,475), Affirmed Aaa
(sf); previously on December 14, 2006 Assigned Aaa (sf)
$25,000,000 Class A-2b Floating Rate Notes Due December 13,
2020, Affirmed Aaa (sf); previously on November 9, 2012 Upgraded
to Aaa (sf)
$15,500,000 Class C Floating Rate Notes Due December 13, 2020,
Affirmed Baa3 (sf); previously on November 9, 2012 Upgraded to
Baa3 (sf)
$13,000,000 Class D Floating Rate Notes Due December 13, 2020,
Affirmed B1 (sf); previously on August 5, 2011 Upgraded to B1
(sf)
ING Investment Management CLO III, Ltd., issued in December 2006,
is a collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period ended in January 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 the end of the reinvestment period
in January 2013. The Class A-1 and Class A-2a notes have been paid
down by approximately 46.2% or $164.1 million since January 2013.
Based on the trustee's January 2014 report, the over-
collateralization (OC) ratios for the Class A, Class B, Class C
and Class D notes are reported at 129.75%, 116.73%, 110.88% and
106.42%, respectively, versus January 2013 levels of 120.05%,
111.86%, 107.99% and 104.95% respectively. Moody's notes that the
OC ratios reported in the trustee's January 2014 report do not
include the January 2014 payment distribution when $25.6 million
of principal proceeds were used to pay down the Class A-1 and
Class A-2a notes.
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 at the time of the deal's maturity. 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.
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% (2178)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: 0
Class B: +2
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3266)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: -1
Class B: -2
Class C: -1
Class D: -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 $310.3 million, defaulted
par of $11.2 million, a weighted average default probability of
19.03% (implying a WARF of 2722), a weighted average recovery rate
upon default of 51.57%, a diversity score of 62 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.
JP MORGAN 2003-PM1: Fitch Affirms Class M Certs' Dsf Rating
-----------------------------------------------------------
Fitch Ratings has affirmed all classes of J.P. Morgan Chase
Commercial Mortgage Securities Corp. (JPMCC) commercial mortgage
pass-through certificates series 2003-PM1.
Key Rating Drivers
Fitch modeled losses of 49.4% of the remaining pool; expected
losses on the original pool balance total 7.7%, including $34.6
million (3% of the original pool balance) in realized losses to
date. The pool is concentrated with only 21 loans remaining, of
which Fitch has designated four loans (50%) as Fitch Loans of
Concern; all are specially serviced assets.
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 90.6% to $109.1 million from
$1.16 billion at issuance and by 83.6% from $666.8MM at the last
rating action. Per the servicer reporting, five loans (16.7% of
the pool) are defeased. Interest shortfalls are currently
affecting classes E through NR, primarily due to the lack interest
payments in connection with the Palm Beach Mall loan.
The largest contributor to expected losses is the specially-
serviced Palm Beach Mall loan (40% of the pool). The special
servicer, ORIX, continues to pursue litigation with the loan
sponsor, Simon Property Group, in efforts to maximize the
recovery. The property was sold in 2011 after becoming REO in
2010; proceeds of the sale ($21.8 million) were used to repay
advances, fund a reserve for litigation, and pay down a portion of
the loan balance ($5.6 million). While a successful outcome of
the litigation may result in some principal recovery on the loan,
Fitch modeled a full loss of $43.6 million due to uncertainty
surrounding the final outcome of the litigation.
The next largest contributor to expected losses is a specially-
serviced loan (2.8%), which is secured by a 36,200 square foot
retail property located in Nashville, TN. The loan, which matured
in July 2013, is currently being managed under a lock box.
Occupancy has declined to 65.2% as of July 2013 from 91.0% at
year-end (YE) 2012.
The third largest contributor to expected losses is a specially-
serviced loan (4.5%), which is secured by mobile home community in
Superior Township, MI. The loan matured in May 2013 and has
experienced a significant decline in occupancy. As of July 2013,
occupancy declined to 65.2% from 91.0% at YE 2012. The Debt
Service Coverage Ratio (DSCR) was reported at 0.99x as of first
quarter March 31, 2013 compared to 2.25x at YE 2012.
Rating Sensitivity
The rating outlooks for classes D and E were revised to Outlook
Stable to reflect that full principal repayment is highly probable
given the continued amortization of the pool as well as defeasance
of four loans ($18.2 million) that mature in 2015. An upgrade to
the classes, however, is not warranted at this time due to
continuing concerns with the current level and risk of increasing
of interest shortfalls should additional loans transfer to special
servicer.
Fitch affirms the following classes and/or revises Rating Outlooks
and REs as indicated:
-- $16.4 million class D at 'BBBsf', Outlook to Stable from
Negative;
-- $13 million class E at 'BBsf', Outlook to Stable from
Negative.
-- $15.9 million class F at 'CCCsf', RE to 100% from 80%;
-- $13 million class G at 'Csf', RE to 80% from 0%.
-- $18.8 million class H at 'Csf', RE 0%;
-- $15.9 million class J at 'Csf', RE 0%;
-- $7.2 million class K at 'Csf', RE 0%;
-- $8.7 million class L at 'Csf', RE 0%;
-- $120,561 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, A-4, A-1A, B and C 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-LDP4: Fitch Lowers Ratings on 3 Cert. Classes
------------------------------------------------------------
Fitch Ratings has downgraded three distressed classes and affirmed
15 classes of J.P. Morgan Chase Commercial Mortgage Securities
Corp., (JPMCC) commercial mortgage pass-through certificates
series 2005-LDP4.
Key Rating Drivers
The downgrades of classes B and C reflects an increased certainty
of losses on the now specially serviced loans, which have all
transferred to the special servicer over the past 12 months. Class
D has been downgraded to 'D' due to incurred losses. Fitch modeled
losses of 7.4% of the remaining pool; expected losses on the
original pool balance total 11.6%, including $209.3 million (7.8%
of the original pool balance) in realized losses to date. Fitch
has designated 37 loans (29.4%) as Fitch Loans of Concern, which
includes six specially serviced assets (2.6%).
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 49.2% to $1.36 billion from
$2.68 billion at issuance. Per the servicer reporting, eight loans
(13.5% of the pool) are defeased, including three (10.4%) of the
top 15 loans. Interest shortfalls are currently affecting classes
L through NR.
The largest contributor to expected losses is the One World Trade
Center loan (6.3% of the pool), the largest loan in the pool. The
loan is secured by a 573,300 square foot (sf), 27-story class 'A'
office building located in Long Beach, CA. The property has
experienced cash flow issues due to occupancy declines. Occupancy
has remained relatively flat since 2010, reporting at 65% per the
December 2013 rent roll, compared to 70% in 2012 and 2011, and 72%
in 2010. According to REIS, the property is performing below the
Long Beach submarket which reports occupancy for class A office at
83.6%, and asking rents at $33.20psf (compared to $22psf in-
place). In 2013 the buildings largest tenant, the United States of
America (USA), had extended its leases and slightly expanded its
space to 78,000 SF (13.7% of the net rentable area [NRA]) from
70,000 Sf (12% NRA). Weighted average rents for the government
leases are in line with the market, with a majority of the lease
expirations in 2023 (for 56,000 SF), and the remaining expirations
in 2014 (14,000 SF) and 2028 (8,000 SF). The property has lease
rollover risk for approximately 24% of the building NRA expiring
prior to the loans August 2015 maturity date, with total reserves
reported by the servicer at approximately $569,000. Due to the low
occupancy and slow leasing, the net operating income (NOI) debt
service coverage ratio has remained low reported at 0.92x for year
to date (YTD) June 2013, 0.87x at year end (YE) December 2012 and
0.90x at YE 2011. The loan has remained current since issuance.
The next largest contributor to expected losses is the Highland
Landmark Building loan (3.7%), which is secured by a 276,461-sf
office property located in Downers Grove, IL. The property has
recently experienced significant tenant vacancies and releasing.
RR Donnelley, which previously occupied 156,000-sf (56% NRA), and
Havi Global which occupied approximately 32,000-sf (32% NRA), both
vacated at their lease expirations in October 2012 and May 2013,
respectively. The borrower has been successful in re-leasing a
majority of the vacated space to new tenants, including Advocate
Health Care for approximately 141,000-sf (48% NRA) starting in
April 2013 and expiring in 2023, and Univar Inc. for approximately
38,000-sf (12.9% NRA) starting in June 2013 and expiring in 2024.
Both leases have significant rent abatements through 2015. Average
in-place rents (excluding the rental abatements) have declined to
approximately $18 per square foot (psf), compared to $28psf in
2012; REIS reports the submarket asking rents at $21.51psf. The
September 2013 rent roll reported total occupancy at 70.5%,
compared to the submarket occupancy at 78.3%. The property has
reported negative NOI for 2013 due to the tenant vacancies,
releasing, and rental abatements in place. The loan has remained
current since issuance.
The third largest contributor to expected losses is secured by a
133,471-sf suburban office property in Phoenix, AZ. The property
has experienced cash flow issues since 2011 due to occupancy
declines and lower rental income. Occupancy has remained
relatively flat since 2011, reporting at 69% in September 2013 and
December 2012, and 64% in December 2011. Leases for approximately
33% of the property NRA are scheduled to expire in the next 12
months. Due to the low occupancy and slow leasing, the NOI DSCR
has remained low reporting at 0.38x for YE 2012 and 0.67x for YE
2011, compared to 1.11x at YE 2010 and 1.47x at issuance. The loan
has remained current since issuance.
RATING SENSITIVITY
The Ratings Outlooks on classes A-1A, A-4, A-SB, and A-M are
Stable due to sufficient credit enhancement and continued paydown.
The Negative Outlook on class A-J reflects performance concerns on
several loans in the top 15 including high property vacancies with
slow leasing momentum, lease rollover risks, secondary market
locations, single tenant exposure, and property performance below
underwritten expectations.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $50.2 million class B to 'CCsf' from 'CCCsf', RE 50%;
-- $23.4 million class C to 'Csf' from 'CCCsf', RE 0%;
-- $42.9 million class D to 'Dsf' from 'CCsf', RE 0%.
Fitch affirms the following classes as indicated:
-- $197.8 million class A-1A at 'AAAsf', Outlook Stable;
-- $549.5 million class A-4 at 'AAAsf', Outlook Stable;
-- $23.6 million class A-SB at 'AAAsf', Outlook Stable;
-- $267.7 million class A-M at 'AAAsf', Outlook Stable;
-- $204.1 million class A-J at 'BBsf', Outlook Negative;
-- $0 class E at 'Dsf', RE 0%;
-- $0 class F at 'Dsf', RE 0%;
-- $0 class G at 'Dsf', RE 0%;
-- $0 class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $0 class P at 'Dsf', RE 0%.
The class A-1, A-2, A-2FL, A-3A1 and A-3A2 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 2007-FL1: Moody's Lowers Rating on X-1 Certs to Caa2
--------------------------------------------------------------
Moody's Investors Service upgraded the ratings on three classes,
affirmed the ratings on 14 classes, and downgraded the rating on
one IO class of JP Morgan Chase Commercial Mortgage Securities
Corp., Commercial Mortgage Pass-Through Certificates, Series 2007-
FL1. Moody's rating action is as follows:
Cl. A-2, Upgraded to A2 (sf); previously on Sep 19, 2013 Affirmed
Baa1 (sf)
Cl. B, Upgraded to A3 (sf); previously on Sep 19, 2013 Affirmed
Baa2 (sf)
Cl. C, Upgraded to Baa1 (sf); previously on Sep 19, 2013 Affirmed
Baa3 (sf)
Cl. D, Affirmed B1 (sf); previously on Sep 19, 2013 Downgraded to
B1 (sf)
Cl. E, Affirmed Caa1 (sf); previously on Sep 19, 2013 Downgraded
to Caa1 (sf)
Cl. F, Affirmed Caa2 (sf); previously on Sep 19, 2013 Downgraded
to Caa2 (sf)
Cl. G, Affirmed Caa3 (sf); previously on Sep 19, 2013 Downgraded
to Caa3 (sf)
Cl. H, Affirmed C (sf); previously on Sep 19, 2013 Downgraded to C
(sf)
Cl. J, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C (sf)
Cl. K, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C (sf)
Cl. RS-1, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. RS-2, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. RS-3, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. RS-4, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. RS-5, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. RS-6, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. RS-7, Affirmed C (sf); previously on Sep 19, 2013 Affirmed C
(sf)
Cl. X-2, Downgraded to Caa2 (sf); previously on Sep 19, 2013
Affirmed B3 (sf)
Ratings Rationale
Moody's has upgraded the ratings on the three most senior P&I
classes due to loan payoffs, loan paydowns and improving operating
performance on two of the three remaining loans in the pool.
Moody's has affirmed the ratings on 14 P&I classes even though the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio and Moody's stressed debt service coverage ratio (DSCR),
improved with loan pay offs since last review. This is largely due
to outstanding interest shortfalls to all outstanding classes as
well as a high probability of the pool having greater exposure to
the Resorts International Loan in the future. The downgrade of the
interest only (IO) class is based on the decline in the credit
quality of the referenced classes due to the payoff of highly
rated classes.
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 defeasance in the pool 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, an increase in loan
concentration, an increase in 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. 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 February 18, 2014 Payment Date, the transaction's
aggregate certificate balance has decreased by 78%, to $399
million from $1.8 billion at securitization. The certificates are
collateralized by three mortgage loans. A total of 19 loans,
including three since last review, have paid off. The Certificates
are collateralized by three floating-rate loans ranging in size
from 24% to 39% of the pooled trust mortgage balance.
The pool has experienced $53.7 million of losses to date affecting
Classes K and L due to the liquidation of three loans. In
addition, interest shortfalls totaling $6.6 million affect all the
pooled Classes as well as rake classes associated with the Resort
International Loan. In addition, there are outstanding advances
totaling $1.9 million.
Moody's weighed average pooled LTV ratio is 196% compared to 145%
at last review and 62% at securitization. Moody's pooled stressed
DSCR is 1.23X, compared to 1.35X at last review and 1.86X at
securitization.
The largest loan, the PHOV Portfolio loan ($123 million, 39% of
the pooled balance), is secured by eight full-service hotels with
1,992 guest rooms located in California (3 properties), Louisiana
(2 properties), Florida (2 properties), and Illinois (1 property).
Two New Jersey properties (DoubleTree Hotel & Executive Meeting
Center and Hilton Hotel East Brunswick ) were released from the
pool in July 2013, and Courtyard at USC was released in February
2014. Forbearance was completed in September 2012, including
maturity extension through July 2014, and a full cash trap. The
loan has an additional B note and new mezzanine loan held outside
of the trust.
The portfolio's net operating income (NOI) for the year-to-date
November 2013 was $18.9 million, up 23% from the same period in
2012. In particular, the two Louisiana properties (Marrott
Metairie and Maison Dupuy) showed significant increases in
performance benefitting from capital expenditure projects by the
current sponsor. Moody's current pooled LTV is 75%. Moody's credit
assessment is B1, compared to B2 at the last review.
The second largest pooled exposure, the Resorts International loan
($114 million, 37% of pooled balance plus $88 million non-pooled,
rake balance) is secured by two hotel/casinos with a total of 439
rooms: the Bally's Tunica (Robinsonville, Mississippi) and Resorts
Tunica (Tunica, Mississippi). There is pari passu interest of
$61.3 million plus junior debt held outside of the trust. In July
2009, the portfolio was transferred to special servicing due to
payment default. Both the Bally's Tunica and the Resorts Tunica
are REO as of November 2011.
The loan's net cash flow (NCF) for 2013 was $12.3 million, down
35% from 2012. The July 2013 appraisals value the two properties
at $78.5 million on as-is basis. Moody's anticipates a significant
loss on this loan and Moody's credit assessment is C, the same as
last review. Non-pooled Classes RS-1, RS-2, RS-3, RS-4, RS-5, RS-
6, and RS-7 are secured by the junior portion of the Resorts
International Portfolio Loan.
The third loan in the pool is the Sofitel Chicago Water Tower loan
($75 million, 23% of the pooled balance), is secured by a 415-room
full-service hotel located one block from the Magnificent Mile in
Chicago. The loan was transferred to special servicer in June 2012
for maturity default. The Blackstone Group is the new sponsor, and
a forbearance agreement extended the maturity date to July 2014.
Both the junior debt as well as the mezzanine debt were
extinguished.
The property's net cash flow (NCF) for the year-to-date September
2013 was $11.9 million, compared to $8.1 million achieved in
calendar year 2012. Moody's current pooled LTV is 87%. Moody's
credit assessment is B3 compared to Caa3 at last review.
JP MORGAN 2010-C1: Moody's Affirms B1 Rating on Cl. G Certs
-----------------------------------------------------------
Moody's Investors Service affirmed the ratings on twelve classes
in J.P. Morgan Chase Commercial Mortgage Securities Trust,
Commercial Pass-Through Certificates, Series 2010-C1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Mar 21, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A3 (sf); previously on Mar 21, 2013 Affirmed A3
(sf)
Cl. D, Affirmed Baa2 (sf); previously on Mar 21, 2013 Affirmed
Baa2 (sf)
Cl. E, Affirmed Baa3 (sf); previously on Mar 21, 2013 Affirmed
Baa3 (sf)
Cl. F, Affirmed Ba2 (sf); previously on Mar 21, 2013 Affirmed Ba2
(sf)
Cl. G, Affirmed B1 (sf); previously on Mar 21, 2013 Affirmed B1
(sf)
Cl. H, Affirmed B3 (sf); previously on Mar 21, 2013 Affirmed B3
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 21, 2013 Affirmed
Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Mar 21, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on the ten 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 ratings on the two IO classes were affirmed based on
the credit performance (or the weighted average rating factor or
WARF) of their referenced classes.
Moody's rating action reflects a base expected loss of 1.4% of the
current balance compared to 1.5% at Moody's 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 Fusion U.S. CMBS Transactions" published in
April 2005.
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 20 compared to 21 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to $659.9
million from $716.3 million at securitization. The certificates
are collateralized by 38 mortgage loans ranging in size from less
than 1% to 15% of the pool, with the top ten loans constituting
57% of the pool.
Two loans, constituting 16% 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.
No loans have been liquidated from the pool and no loans are
currently in special servicing.
Moody's received full year 2011 and 2012 operating results for
100% of the pool, respectively and partial year 2013 operating
results for 84%. Moody's weighted average conduit LTV is 74%,
compared to 78% 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 8.2% 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 1.60X and 1.42X,
respectively, compared to 1.60X and 1.34X 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 28% of the pool balance. The
largest loan is the Gateway Salt Lake Loan ($97.0 million -- 15%
of the pool), which is secured by The Gateway, a 623,972 square
foot (SF) open-air lifestyle center located in Salt Lake City,
Utah. It represents the majority of the retail segment of an
overall 35-acre development known as the "Gateway Development"
which is a mixed-use development consisting of retail and
entertainment tenants, as well as office space, a state-of-art
theatre, and several restaurants. The property is currently 81%
leased, up from 76% at prior review and 96% at securitization. The
sponsor is Inland Western Retail REIT. This loan has amortized 4%
since securitization. Moody's LTV and stressed DSCR are 85% and
1.14X, respectively, compared to 94% and 1.03X at last review.
The second largest loan is the Inland Western Retail Portfolio A
Loan ($45.4 million -- 7% of the pool), which is secured by four
multi-tenanted retail properties totaling 470,000 SF located in
Virginia, California, New Jersey and Texas. The portfolio's
largest tenants are Save Mart Supermarket (12% of the gross
leasable area (GLA); lease expiration in 2026), Acme/Albertson's
(12% of the GLA; lease expiration in 2023), Gold's Gym (10% of the
GLA; lease expiration in 2013) and Office Depot (4% of the GLA;
lease expiration in 2019). As of September 2013, the portfolio was
91% leased, the same as at prior review and securitization. The
sponsor is Inland Western Retail REIT. This loan has amortized 4%
since securitization. Moody's LTV and stressed DSCR are 70% and
1.45X, respectively, compared to 88% and 1.15X at last review.
The third largest loan is the Columbia Center I & II Loan ($30.9
million -- 6% of the pool), which is secured by a 509,598 SF
office building complex in Troy, Michigan. The property is
presently 87% compared to 88% leased at last review. There is $9
million of mezzanine debt held outside the trust. This loan has
amortized 6% since securitization. Moody's stressed the cash flow
since this asset faces looming lease expirations over the next
three years. Moody's LTV and stressed DSCR are 48% and 2.12X,
respectively, compared to 49% and 2.12X at last review.
KEYCORP STUDENT 2000-B: Moody's Confirms B1 Rating on A-2 Notes
--------------------------------------------------------------
Moody's Investors Service upgraded three classes and confirmed one
class of notes from three securitizations of student loans
sponsored by KeyBank National Association. The underlying
collateral for these securitizations includes loans originated
under the Federal Family Education Loan Program (FFELP), which are
guaranteed by the U.S. government for a minimum of 98% of
defaulted principal and accrued interest, and private student
loans.
Ratings Rationale
The upgrades are a result of a continued build-up in
overcollateralization. The transactions have been using all
available excess spread to pay down the notes for the last 3-4
years. Consequently, over the 12 months ending on October 31,
2013, the ratios of total assets to total liabilities have
increased by 2% to 6%, depending on a transaction. The
transactions have been generating 2%-4% of excess spread per year,
which contributed to their rapid deleveraging and growth of
overcollateralization. Securitization structures stipulate that if
the indenture trustee (Deutsche Bank Trust Company Americas) is
not able to auction off the underlying student loan collateral on
a specified distribution date, all available excess spread will be
used to pay down the notes instead of being released to the
residual holder.
The confirmation of the Class A-2 rating in the 2000-B transaction
is due to the fact that its increased overcollateralization did
not sufficiently offset a slight increase in our lifetime loss
projection on the private student loan collateral pool.
The methodologies used in these ratings were "Moody's Approach to
Rating Securities Backed by FFELP Student Loans" published in
April 2012, and "Moody's Approach to Rating U.S. Private Student
Loan-Backed Securities" published in January 2010.
Complete rating actions are as follows:
Issuer: KeyCorp Student Loan Trust 1999-B
Class M Notes, Upgraded to Aaa (sf); previously on Oct 28, 2013
Aa3 (sf) Placed Under Review for Possible Upgrade
Certificates, Upgraded to Aa3 (sf); previously on Oct 28, 2013 A3
(sf) Placed Under Review for Possible Upgrade
Issuer: KeyCorp Student Loan Trust 2000-A
Class A-2, Upgraded to Aaa (sf); previously on Oct 28, 2013 Baa2
(sf) Placed Under Review for Possible Upgrade
Issuer: KeyCorp Student Loan Trust 2000-B
Class A-2, Confirmed at B1 (sf); previously on Oct 28, 2013 B1
(sf) Placed Under Review for Possible Upgrade
Factors that would lead to an upgrade or downgrade of the rating
A key factor that could lead to downgrades of the ratings in the
future is an increased in the remaining net losses. Another factor
that could lead to downgrades of the ratings is a reduction in
excess spread as a result of an interest rate basis mismatch
between the assets and the liabilities of the trusts.
The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted, change
these expectations. Performance that falls outside the given range
may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities
ratings were issued. Even so, a deviation from the expected range
will not necessarily result in a rating action nor does
performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an
assessment of a range of factors including, but not exclusively,
the performance metrics.
Primary sources of uncertainty with regard to expected loss are
the weak economic environment and the high unemployment rate,
which adversely impacts the income-generating ability of the
borrowers.
To assess rating implications of the higher expected losses, each
individual transaction was run through a variety of stress
scenarios using the Structured Finance Workstation(R) (SFW), a
cash flow model developed by Moody's Wall Street Analytics.
KODIAK CDO I: Fitch Lowers Rating on $83MM Class B Notes to 'Dsf'
-----------------------------------------------------------------
Fitch Ratings has downgraded one class of notes issued by Kodiak
CDO I, Ltd. (Kodiak I), as follows:
-- $83,088,404 class B notes to 'Dsf' from 'CCsf'
Key Rating Drivers
The rating downgrade reflects the partial default in payment of
interest to the class B notes.
Kodiak I entered an Event of Default on Feb. 7, 2014 due to a
partial default in the payment of interest on the non-deferrable
class B notes. The interest shortfall was primarily caused by the
redemption of one performing issuer, which resulted in a
significant reduction in the quarterly interest collection amount
available for distribution to noteholders.
There are multiple outstanding Hedge Agreements in Kodiak I that
are out of the money and require a significant payment by the CDO
to the Swap Counterparty each quarter.
Rating Sensitivities
In the event that currently distressed securities resume payment
of interest in an amount sufficient to cure the class B notes'
interest shortfall and assure sufficient level of interest
coverage going forward, and as the Hedge Agreements reach
maturity, Fitch is likely to upgrade these notes to the
appropriate level at that time.
Kodiak I is a trust preferred collateralized debt obligation
(TruPS CDO), which closed on Sept. 19, 2006. The portfolio is
composed primarily of trust preferred securities issued by REITs
and is managed by EJF Capital, LLC.
LB-UBS COMMERCIAL 2006-C1: Fitch Affirms 'Csf' Rating on 2 Certs
----------------------------------------------------------------
Fitch Ratings has downgraded two classes of LB-UBS Commercial
Mortgage Securities Trust (LBUBS) commercial mortgage pass-through
certificates series 2006-C1.
Key Rating Drivers
Fitch modeled losses of 7.8% of the remaining pool; expected
losses on the original pool balance total 10.9%, including $124.4
million (5% of the original pool balance) in realized losses to
date. Fitch has designated 34 loans (16.6%) as Fitch Loans of
Concern, which includes eight specially serviced assets (4.6%).
As of the January 2014 distribution date, the pool's aggregate
principal balance has been reduced by 23.7% to $1.89 billion from
$2.48 billion at issuance. Per the servicer reporting, 11 loans
(2.3% of the pool) are defeased. Interest shortfalls are currently
affecting classes G through T.
The largest contributor to expected losses is the DHL Center loan
(3% of the pool), which is secured by an approximate 490,000
square foot (sf) distribution facility located in Breinigsville,
PA. The facility was operated and 100% occupied by DHL Express
(USA), Inc . DHL ceased shipping operations within the United
States in January 2009 and has vacated the building. DHL is
current on rent payments and maintains on site security and
maintenance. The 20 year lease commenced in 2006, has a
termination option at year 15 in 2021, and is guaranteed by
Deutsche Post AG (Fitch rated 'BBB+'). The loan is current on
payments through the January 2014 remittance date and matures in
January 2016.
The next largest contributor to expected losses is the River
Valley Mall loan (2.5%), which is secured by an approximate
578,000 sf regional mall located in Lancaster, OH. Current tenants
include Dick's Sporting Goods (expires 2021), Sears (expires
2016), JC Penney (expires 2017), and Elder Beerman (expires 2018).
Regal Cinemas vacated at the expiration of their lease in December
2013. The servicer-reported DSCR was 1.14x at year end 2012, down
from 1.61x at origination. The loan has been on the servicer
watchlist since February 2009 and remains current on payments
through the January 2014 remittance date.
The third largest contributor to expected losses is the Sterling
Portfolio (2.5%), which is secured by four office buildings
totaling approximately 401,000 sf located in Nassau County and
Suffolk County, NY. The servicer-reported DSCR dropped to 0.77x at
year end 2012, down from 1.44x at year end 2010. Consolidated
occupancy across the properties remained at 82%, unchanged from
the previous year end. The property has been under cash management
since June 2013. The loan has been on the servicer watchlist since
September 2011 and remains current on payments through the January
2014 remittance date.
Rating Sensitivity
Rating Outlooks on classes A-3 through A-M remain Stable due to
increasing credit enhancement and continued paydown. The Rating
Outlook on class A-J is Negative due to increasing risk of adverse
selection as 95% of the pool is scheduled to mature in the next
two years. The Rating Outlook remains Stable on rake classes IUU-1
and IUU-2 due to increasing credit enhancement from amortization
on the associated senior notes.
Fitch downgrades the following classes and assigns or revises
Recovery Estimates (REs) as indicated:
-- $221 million class A-J to 'Bsf' from 'BBsf', Outlook Negative;
-- $15.4 million class B to 'CCCsf' from 'Bsf', RE 55%;
Fitch affirms the following classes as indicated:
-- $90.9 million class A-3 at 'AAAsf', Outlook Stable;
-- $22 million class A-AB at 'AAAsf', Outlook Stable;
-- $1.1 billion class A-4 at 'AAAsf', Outlook Stable;
-- $245.6 million class A-M at 'AAAsf', Outlook Stable;
-- $27.6 million class C at 'CCCsf', RE 0%;
-- $24.6 million class D at 'CCsf', RE 0%;
-- $18.4 million class E at 'CCsf', RE 0%;
-- $21.5 million class F at 'Csf', RE 0%;
-- $21.5 million class G at 'Csf', RE 0%;
-- $16.7 million class H at 'Dsf', RE 0%;
-- $0 class J at 'Dsf', RE 0%;
-- $0 class K at 'Dsf', RE 0%;
-- $0 class L at 'Dsf', RE 0%;
-- $0 class M at 'Dsf', RE 0%;
-- $0 class N at 'Dsf', RE 0%;
-- $5.9 million class IUU-1 at 'BBsf', Outlook to Stable from
Negative;
-- $2.6 million class IUU-2 at 'Bsf', Outlook to Stable from
Negative;
-- $3.6 million class IUU-3 at 'Bsf', Outlook Negative;
-- $1.9 million class IUU-4 at 'CCsf';
-- $1.3 million class IUU-5 at 'CCsf';
-- $908,999 class IUU-6 at 'CCsf';
-- $960,210 class IUU-7 at 'CCsf';
-- $1 million class IUU-8 at 'CCsf';
-- $1.1 million class IUU-9 at 'CCsf'.
The class A-1 and A-2 certificates have paid in full. Fitch does
not rate the class P, Q, S, T and IUU-10 certificates. Fitch
previously withdrew the ratings on the interest-only class X-CP
and X-CL certificates.
LB-UBS COMMERCIAL 2006-C6: S&P Lowers Rating on Cl. J Certs to 'D'
------------------------------------------------------------------
Standard & Poor's Ratings Services lowered its rating on the class
J commercial mortgage pass-through certificates from LB-UBS
Commercial Mortgage Trust 2006-C6, a U.S. commercial mortgage-
backed securities transaction, to 'D (sf)' from 'CCC- (sf)'.
S&P lowered its rating on the class J certificates to 'D (sf)'
following principal losses detailed in the Feb. 18, 2014, trustee
remittance report. S&P attributes the principal losses to the
$24.4 million Sylmar Square asset, which liquidated at a 34.1%
loss severity (totaling $8.5 million in principal losses) of its
scheduled beginning balance. Consequently, according to the
Feb. 18, 2014, trustee remittance report, the class J certificates
incurred $7.4 million total principal losses, or 21.7% of the
class' original principal balance. The class K certificates,
which we previously downgraded to 'D (sf)', also experienced a
principal loss of $1.1 million that reduced its outstanding
principal balance to zero.
LB-UBS COMMERCIAL 2007-C7: Fitch Affirms CC Rating on 2 Certs
-------------------------------------------------------------
Fitch Ratings has affirmed 19 classes of LB-UBS Commercial
Mortgage Trust (LB-UBS) commercial mortgage pass-through
certificates series 2007-C7.
Key Rating Drivers
The affirmations reflect relatively stable performance of the pool
since Fitch's last rating action. Fitch modeled losses of 7.6% of
the remaining pool; expected losses on the original pool balance
total 10.7%, including $172.8 million (5.5% of the original pool
balance) in realized losses to date. Fitch has designated 18 loans
(41.4%) as Fitch Loans of Concern, which includes nine specially
serviced assets (7.9%).
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 31.5% to $2.17 billion from
$3.17 billion at issuance. Per the servicer reporting, the
defeased loans (20% of the pool) include one partially defeased
(0.1%) and one fully defeased loan (19.8%). Interest shortfalls
are currently affecting classes C through T.
The largest two contributors to Fitch expected losses were also
the top two contributors to loss at Fitch's previous rating
action, the largest of which is now the specially-serviced Ritz
Carlton Bachelor Gulch loan (2.8% of the pool), which is secured
by a 117-room, full service resort hotel in Avon, CO located in
Colorado's Vail Valley on Beaver Creek Mountain. The loan had
previously transferred to special servicing in October 2010 due to
payment default. The loan was modified while in special servicing
and returned to the master servicer in June 2012; modified terms
include a debt service reserve, a reduced pay rate, and a deferred
accrual rate.
The loan transferred to special servicing a second time in May
2013 to obtain approval for additional lease financing to complete
planned FF&E. The loan remains current under the modified terms;
however funds from the debt service reserve established at the
loan modification has been extinguished as of February 2014. The
special servicer plans to keep this asset in special servicing for
the next several months to monitor the borrower's performance and
the operations of the property. The YE 2012 net operating income
(NOI) debt service coverage ratio (DSCR) reported at 1.09x. As of
year-end (YE) December 2013, occupancy reported at 47.5%, ADR at
$472.81, and RevPAR at $224.63, compared to YE 2012 at 55%
occupancy, $393.41 ADR, and $216.35 RevPAR.
The next largest contributor to expected losses is the District at
Tustin Legacy loan (9.5%), which is secured by 521,694 square feet
(sf) of a 979,883 sf retail center in Tustin, CA. Major tenants
include Target, Whole Foods, TJ Maxx, and an AMC Theater. Non-
collateral anchors are Costco and Lowes. Best Buy, which leases
30,000 sf of the collateral (or 5.8% of the net rentable area
[NRA]) through January 2016, had vacated the property in 2012; the
space is currently subleased to AKI-Home Furnishing. Recently
signed leases include Union Market (2.2% NRA), which signed a 10
year lease beginning January 2014; the space was previously
occupied by Borders Books The December 2013 rent roll reported the
property 96% leased. Despite the high occupancy since issuance,
the property's NOI has performed lower than expected as rental
rates and reimbursements remain below underwritten levels. Based
on the borrowers YE 2013 financial statements, the NOI DSCR
reported at 1.08x compared to 0.95x for YE 2012, and 0.92x for YE
2011. The loan remains current as of the February 2014 remittance.
The third largest contributor to expected losses is secured by an
180,000sf grocery anchored retail property in Port Washington, NY
(0.9%). The property has experienced cash flow issues due to
tenant vacancies, and transferred to special servicing in May 2010
for payment default. The property is currently 84% occupied, with
leases for over 50% of the property NRA expiring in the next 12
months, including King Kullen (26% NRA) in September 2014. The
servicer has executed a settlement agreement with the borrower to
allow for a direct foreclosure sale, which the servicer plans to
complete by March 2014.
RATING SENSITIVITY
The Rating Outlooks on classes A-3 and A-1A are Stable due to
sufficient credit enhancement and continued paydown. The Negative
Outlook on class A-M reflects the overall high leverage, and
performance concerns on several loans in the top 15 including
significant tenant vacancies, lease rollover risk, and property
performance below underwritten expectations. In addition, the
allocation of the loan pool is highly concentrated with the top 15
loans representing 79.3% of the pool balance. The Negative Outlook
reflect the potential for further rating actions should realized
losses be greater than Fitch's expectations.
Fitch affirms the following classes and assigns or revises Rating
Outlooks as indicated:
-- $1.3 billion class A-3 at 'AAAsf'; Outlook Stable;
-- $131.8 million class A-1A at 'AAAsf'; Outlook Stable;
-- $317 million class A-M at 'AAAsf'; Outlook Negative;
-- $269.5 million class A-J at 'B-sf'; Outlook to Stable from
Negative;
-- $47.6 million class B at 'CCCsf'; RE 70%;
-- $35.7 million class C at 'CCsf'; RE 0%;
-- $23.8 million class D at 'CCsf'; RE 0%;
-- $27.7 million class E at 'CCsf'; RE 0%;
-- $15.9 million class F at 'Csf'; RE 0%;
-- $31.7 million class G at 'Csf'; RE 0%;
-- $9.5 million class H at 'Dsf'; RE 0%;
-- $0 class J at 'Dsf'; RE 0%;
-- $0 class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%;
-- $0 class S at 'Dsf'; RE 0%.
The class A-1, A-2 and A-AB certificates have paid in full. Fitch
does not rate the class T certificates. Fitch previously withdrew
the ratings on the interest-only class X-CP, X-CL and X-W
certificates.
LCM XV: S&P Assigns 'BB-' Ratings on 2 Note Classes
---------------------------------------------------
Standard & Poor's Ratings Services assigned its ratings to LCM XV
L.P./LCM XV LLC's $560.5 million floating-rate notes.
The note issuance is a collateralized loan obligation
securitization backed by a revolving pool consisting primarily of
broadly syndicated senior secured loans.
The ratings reflect S&P's view of:
-- The credit enhancement provided to the rated notes through
the subordination of cash flows that are payable to the
subordinated notes.
-- The transaction's credit enhancement, which is sufficient to
withstand the defaults applicable for the supplemental tests
(not counting excess spread), and cash flow structure, which
can withstand the default rate projected by Standard &
Poor's CDO Evaluator model, as assessed by Standard & Poor's
using the assumptions and methods outlined in its corporate
collateralized debt obligation criteria.
-- The transaction's legal structure, which is expected to be
bankruptcy remote.
-- The diversified collateral portfolio, which consists
primarily of broadly syndicated speculative-grade senior
secured term loans.
-- The collateral manager's experienced management team.
-- S&P's projections regarding the timely interest and ultimate
principal payments on the rated notes, which S&P assessed
using its cash flow analysis and assumptions commensurate
with the assigned ratings under various interest-rate
scenarios, including LIBOR ranging from 0.2365% to 13.8385%.
-- The transaction's overcollateralization and interest
coverage tests, a failure of which will lead to the
diversion of interest and principal proceeds to reduce the
balance of the rated notes outstanding.
-- The transaction's interest diversion test, a failure of
which will lead to the reclassification of excess interest
proceeds that are available before paying uncapped
administrative expenses, subordinated management fees,
amounts deposited to the supplemental reserve account, and
subordinated note payments into principal proceeds for the
purchase of additional collateral assets during the
reinvestment period or to pay the notes sequentially, at the
option of the collateral manager.
RATINGS ASSIGNED
LCM XV L.P./LCM XV LLC
Class Rating Amount
(mil. $)
X AAA (sf) 4.00
A AAA (sf) 378.00
B AA (sf) 63.00
C (deferrable) A (sf) 55.50
D (deferrable) BBB (sf) 30.00
E-1 (deferrable) BB- (sf) 20.00
E-2 (deferrable) BB- (sf) 10.00
Subordinated notes NR 63.50
NR-Not rated.
LEHMAN BROTHERS: Moody's Cuts Rating on X-2 Certs to Caa1
---------------------------------------------------------
Moody's Investors Service affirmed the ratings on six classes and
downgraded the rating on one IO class of Lehman Brothers Floating
Rate Commercial Mortgage Trust 2007-LLF C5.
Moody's rating action is as follows:
Cl. E, Affirmed Aa2 (sf); previously on Sep 26, 2013 Upgraded to
Aa2 (sf)
Cl. F, Affirmed Baa1 (sf); previously on Sep 26, 2013 Upgraded to
Baa1 (sf)
Cl. G, Affirmed Ba1 (sf); previously on Sep 26, 2013 Upgraded to
Ba1 (sf)
Cl. H, Affirmed B3 (sf); previously on Sep 26, 2013 Affirmed B3
(sf)
Cl. J, Affirmed Ca (sf); previously on Sep 26, 2013 Affirmed Ca
(sf)
Cl. INO, Affirmed B3 (sf); previously on Sep 26, 2013 Affirmed B3
(sf)
Cl. X-2, Downgraded to Caa1 (sf); previously on Sep 26, 2013
Affirmed B3 (sf)
Ratings Rationale
Moody's has affirmed the ratings on the six P&I classes. The
ratings on the senior P&I classes are affirmed even though the key
metrics, including Moody's loan-to-value (LTV) ratio and Moody's
stressed debt service coverage ratio (DSCR), improved with loan
pay offs since last review. This is largely due to concerns
regarding the future performance of the remaining loans in the
pool. The rating on the most junior P&I class is affirmed as the
rating is consistent with Moody's expected loss. The downgrade of
the interest only (IO) class is based on a decline in the credit
quality of the referenced classes due to the payoff of more highly
rated classes.
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 defeasance in the pool 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, an increase in loan
concentration, an increase in 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. 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 February 18, 2014 payment date, the transaction's pooled
certificate balance decreased to $186 million from $2.47 billion
at securitization and $224 million last review. Two loans paid off
since last review. The Certificates are collateralized by three
floating-rate loans ranging in size from 14% to 57% of the pooled
trust mortgage balance.
The largest loan in the pool is secured by fee interests in The
Normandy Office Portfolio Loan (57% of pooled balance plus $12.4
million non-pooled or rake bonds). There is additional mezzanine
debt held outside the trust. The portfolio is comprised of ten
class A/B office and industrial buildings totaling approximately
1.4 million square feet (SF) located in the greater Massachusetts
area and northern New Jersey. A loan modification was completed in
December 2012 which included loan maturity extension (June 2014)
plus $12 MM of new cash equity infusion.
As part of the modification, the borrower was required to sell and
pay down the loan by $20 million over the next 12 month period.
However, the borrower was unsuccessful, and the loan transferred
to special servicing as of December 2013.
As of December 2013 rent roll, the portfolio was 74% leased, down
slightly from a year ago. The portfolio's NOI for the year-to-date
through October 2013 period was $4.4 million, and is unlikely to
meet the 2013 budgeted NOI of $7.9 million. Moody's weighted
average LTV for the pooled portion is significantly over 100%.
Moody's current credit assessment for the pooled portion is Caa3,
the same as last review. Moody's does not rate the three rake
bonds associated with this loan (NOP-1, NOP-2, NPO-3).
The second largest loan in the pool is secured by fee interests in
The Interstate Office Portfolio Loan (29% of pooled balance plus a
$2.8 million rake bond). The collateral for the loan consist of
960,000 SF office park with 11 office buildings and three
development sites located outside of Atlanta, GA in Cobb County.
As of September 2013 rent roll, the office portfolio was 80%
leased, up slightly from year-end 2012.
A loan modification was completed in April 2012, and the loan was
returned to the master servicer in July 2012. The maturity date
for this loan was extended to October 2014 with principal pay down
of $3.5 million and reserves established. Moody's weighted average
LTV for the pooled portion is 83%. Moody's current credit
assessment for the pooled portion is B2, the same as last review.
The Sheraton Old San Juan Loan (14% of pooled balance) is the
third largest loan in the pool. The loan is secured by 240-room
full service hotel located in Old San Juan, Puerto Rico. The
property offers 10,000 SF of meeting space as well as 10,000 SF of
casino. In 2013 the property's guestrooms underwent a renovation.
A loan modification was completed in February 2013 with the
maturity date extended to June 2013 with four consecutive 6-month
extension options. The property's NCF for the first nine months of
2013 was approximately $525,000, down 19% from the same period in
2012. However, the property's performance may have been negatively
impacted from the guestroom renovations. Moody's weighted average
LTV for the pooled portion is over 100%. Moody's current credit
assessment for the pooled portion is Caa3, the same as last
review.
Moody's weighted average trust loan to value (LTV) ratio is 151%,
up from 99% at the last review. Moody's weighted average trust
stressed DSCR is at 0.75X, down from 1.05X at the last review. The
cumulative bond loss totals $132,199 and interest shortfalls total
$214,803 as of the current payment date. The bond losses and
interest shortfalls affect pooled Class J, and a rake bond, Class
INO. There are no outstanding advances.
MADISON PARK XII: Moody's Rates $17.25MM Class F Notes 'B2'
-----------------------------------------------------------
Moody's Investors Service has assigned ratings to eight classes of
notes issued by Madison Park Funding XIII, Ltd. (the "Issuer" or
"Madison Park XIII").
Moody's rating action is as follows:
$2,800,000 Class X Floating Rate Notes due 2025 (the "Class X
Notes"), Definitive Rating Assigned Aaa (sf)
$449,490,000 Class A Floating Rate Notes due 2025 (the "Class A
Notes"), Definitive Rating Assigned Aaa (sf)
$71,250,000 Class B-1 Floating Rate Notes due 2025 (the "Class B-
1 Notes"), Definitive Rating Assigned Aa2 (sf)
$28,750,000 Class B-2 Fixed Rate Notes due 2025 (the "Class B-2
Notes"), Definitive Rating Assigned Aa2 (sf)
U.S.$32,750,000 Class C Deferrable Floating Rate Notes due 2025
(the "Class C Notes"), Definitive Rating Assigned A2 (sf)
$45,250,000 Class D Deferrable Floating Rate Notes due 2025 (the
"Class D Notes"), Definitive Rating Assigned Baa3 (sf)
$38,000,000 Class E Deferrable Floating Rate Notes due 2025 (the
"Class E Notes"), Definitive Rating Assigned Ba3 (sf)
$17,250,000 Class F Deferrable Floating Rate Notes due 2025 (the
"Class F Notes"), Definitive Rating Assigned B2 (sf)
The Class X Notes, the Class A 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 are referred to herein, collectively,
as the "Rated Notes."
Ratings Rationale
Moody's ratings of the Rated Notes address the expected losses
posed to noteholders. The ratings reflect the risks due to
defaults on the underlying portfolio of assets, the transaction's
legal structure, and the characteristics of the underlying assets.
Madison Park XIII is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 92.5% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 7.5% of the portfolio may consist of second
lien loans, senior unsecured loans, senior secured bonds, senior
secured notes and high-yield bonds. The portfolio is approximately
50% ramped as of the closing date.
Credit Suisse Asset Management, LLC (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue subordinated
notes. The transaction incorporates interest and par coverage
tests which, if triggered, divert interest and principal proceeds
to pay down the notes in order of seniority.
Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, 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: $719,250,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2650
Weighted Average Spread (WAS): 3.90%
Weighted Average Coupon (WAC): 7.00%
Weighted Average Recovery Rate (WARR): 43.0%
Weighted Average Life (WAL): 8.0 years.
Methodology Underlying 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
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2650 to 3048)
Rating Impact in Rating Notches
Class X Notes: 0
Class A 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: -1
Percentage Change in WARF -- increase of 30% (from 2650 to 3445)
Rating Impact in Rating Notches
Class X Notes: 0
Class A Notes: -1
Class B-1 Notes: -4
Class B-2 Notes: -4
Class C Notes: -4
Class D Notes: -2
Class E Notes: -1
Class F Notes: -4
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.
MORGAN STANLEY 2005-HQ6: Fitch Hikes Cl. E Certs Rating to 'Bsf'
----------------------------------------------------------------
Fitch Ratings has upgraded one class and affirmed 22 classes of
Morgan Stanley Capital I Trust's commercial mortgage pass-through
certificates, series 2005-HQ6 (MSCI 2005-HQ6).
Key Rating Drivers
The upgrade reflects a decrease in Fitch-modeled losses and
continued stable collateral performance since the last rating
action. Fitch modeled losses of 5.3% of the remaining pool;
expected losses on the original pool balance total 8.1%, including
$117.9 million of realized losses to date. Fitch had modeled
losses of 8.6% of the original pool balance at the last rating
action. Fitch has designated 69 loans (24%) as Fitch Loans of
Concern, which includes seven specially serviced assets (2.5%).
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 26.9% to $2.01 billion from
$2.75 billion at issuance. According to the servicing report, 14
loans (7% of pool) are defeased. Cumulative interest shortfalls
totaling approximately $9.5 million are currently impacting
classes J through S.
The largest contributor to modeled losses is the largest specially
serviced asset, County Line Commerce Center (1.1% of pool). The
asset is a 426,384 square foot (sf) office and industrial property
located in Hatboro, PA. The loan was transferred to special
servicing in March 2009 for imminent default and became real-
estate owned in 2010.
As of the December 2013 rent roll, the property was 60.2% occupied
by five tenants, down from 74.1% at issuance. The servicer
indicated the strategy is to renew and extend some of the leases
with upcoming expirations and then attempt to sell the asset. Two
tenants comprising 23% of the total property square footage have
leases expiring in 2015. Prior efforts to market the property
have been unsuccessful.
The next largest contributor to modeled losses is the Skyline
Industrial loan (1.1%), which is secured by two
industrial/warehouse buildings totaling 930,100 sf located in
Mesquite, TX. The two buildings both became vacant during 2011
when the two tenants from issuance vacated at lease expiration.
The loan has never been in special servicing as the borrowers have
been coming out of pocket to cover shortfalls.
In early 2012, a short-term lease expiring in October 2013 was
executed at the larger of the two buildings for 530,100 sf with
Quaker Sales & Distribution (Quaker). In early 2013, another
short-term lease expiring in September 2013 was executed at the
smaller of the two buildings for 400,000 sf with Hayes Retail
Services (Hayes).
As of the February 2014 rent roll, the property was 57% occupied.
Quaker has since vacated the 530,100 sf building. Hayes also
vacated the 400,000 sf building; however, they took over and moved
into the former Quaker space and executed a new lease that expires
in November 2016. The 400,000 sf building is currently vacant.
The servicer indicated there have been some leasing prospects.
According to REIS and as of fourth quarter-2013 (4Q'13), the
Central Dallas SE warehouse/distribution submarket reported a
vacancy of 33.1% and asking rents of $3.66 psf. The initial
starting base rent for the newly executed Hayes Retail Services
lease is below market, but has annual scheduled rent bumps. Given
the new leasing, modeled losses on this loan have declined since
the last rating action.
The third largest contributor to modeled losses is the Mansell
Village loan (0.8%). The loan is secured by a 98,614 sf retail
property located in Roswell, GA. The loan previously transferred
to special servicing in June 2010 for imminent default and was
modified into an A and a B note in 2011. Occupancy has gradually
recovered, but remains below the 98.5% reported at issuance.
As of June 2013, occupancy was 86% compared to 84% at year-end
(YE) 2012 and 78% at YE 2011. The property is anchored by a
Kroger's supermarket (63.3% of NRA), which is on a long-term
lease, but the remaining tenant base is comprised of smaller
tenants. According to REIS and as of 4Q13, the Sandy
Springs/North Fulton anchored retail submarket of Atlanta reported
a vacancy of 10.6%. Fitch modeled a full loss on the B-note
portion.
Rating Sensitivities
Ratings are expected to remain stable due to sufficient credit
enhancement, stable performance and continued paydown. Fitch
revised the Rating Outlook on class B to Positive from Stable as
future upgrades may be warranted if collateral performance
continues to remain stable or improve. Distressed classes (those
rated below 'B') may be subject to downgrades as losses are
realized or if realized losses are greater than Fitch's
expectations. Conversely, if performance continues to improve or
if loans payoff at their near-term maturity (with 93% maturing
prior to 2016), upgrades may be warranted on the already
distressed classes with the highest credit enhancement.
Fitch has upgraded the following class as indicated:
--$34.4 million class C to 'BBBsf' from 'BBB-sf'; Outlook Stable.
Fitch has affirmed and revised Rating Outlooks on the following
classes as indicated:
-- $163.9 million class A-1A at 'AAAsf'; Outlook Stable;
-- $36.9 million class A-2A at 'AAAsf'; Outlook Stable;
-- $42.1 million class A-2B at 'AAAsf'; Outlook Stable;
-- $22.2 million class A-AB at 'AAAsf'; Outlook Stable;
-- $103 million class A-3 at 'AAAsf'; Outlook Stable;
-- $1.1 billion class A-4A at 'AAAsf'; Outlook Stable;
-- $151.5 million class A-4B at 'AAAsf'; Outlook Stable;
-- $175.6 million class A-J at 'Asf'; Outlook Stable;
-- $24.1 million class B at 'BBBsf'; Outlook to Positive from
Stable;
-- $27.5 million class D at 'BBsf'; Outlook to Stable from
Negative;
-- $24.1 million class E at 'Bsf'; Outlook to Stable from
Negative;
-- $27.5 million class F at 'CCCsf'; RE 100%;
-- $27.5 million class G at 'CCCsf'; RE 0%;
-- $34.4 million class H at 'CCCsf'; RE 0%;
-- $31 million class J at 'CCCsf'; RE 0%;
-- $26.7 million class K at 'Dsf'; RE 0%;
-- $0 class L at 'Dsf'; RE 0%;
-- $0 class M at 'Dsf'; RE 0%;
-- $0 class N at 'Dsf'; RE 0%;
-- $0 class O at 'Dsf'; RE 0%;
-- $0 class P at 'Dsf'; RE 0%;
-- $0 class Q at 'Dsf'; RE 0%.
The class A-1 certificates have paid in full. Fitch does not rate
the class S certificates. Fitch previously withdrew the ratings
on the interest-only class X-1 and X-2 certificates.
MORGAN STANLEY 2007-HQ12: Fitch Affirms C Rating on 5 Certificates
------------------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 24 classes of
Morgan Stanley Capital I Trust (MSCI) commercial mortgage pass-
through certificates, series 2007-HQ12.
Key Rating Drivers
The upgrades and affirmations reflect an increase in credit
enhancement sufficient to offset Fitch modeled losses across the
pool. Fitch modeled losses of 18.6% of the remaining pool;
expected losses on the original pool balance total 15.1%,
including losses already incurred. The modeled loss amount is
slightly lower than Fitch's previous rating action in March 2013
as higher than expected recoveries are anticipated on larger loans
in the transaction.
As of the February 2014 distribution date, the pool's aggregate
principal balance has been reduced by 30% to $1.37 billion from
$1.96 billion at issuance. No loans are defeased. The pool has
experienced $40.6 million (2.1% of the original pool balance) in
realized losses to date. Interest shortfalls totaling $28 million
are currently affecting classes C through S. Fitch has designated
37 loans (70.4%) as Fitch Loans of Concern, which includes eight
specially serviced assets (5%) and modified loans.
Rating Sensitivities
The ratings to the super senior classes and A-M classes are
expected to remain stable as property level performance has
improved. The distressed classes may be subject to further
downgrades if losses to defaulted loans are higher than expected.
The largest contributors to modeled losses remain similar to
Fitch's prior rating actions: Columbia Center (27.7% of the pool
balance); Parkoff Portfolio (12.4%); Beacon Seattle & DC Portfolio
(5.3%); and Timberland Buildings (2.4%).
The Columbia Center loan is secured by a 1.5 million square foot
(sf), 76-story office building located in the Seattle downtown
CBD. The property has experienced significant declines in
occupancy since issuance, including (when Amazon vacated at lease
expiration in February 2011). The loan has been split into a $300
million A-note and $80 million B-note as part of the modification,
with a scheduled maturity extended to 2015. The reported occupancy
as of December 2013 has improved to 67%. According to the REIS
Seattle office report as of fourth-quarter 2013, the subject
property occupancy remains below market with the CBD vacancy
around 13.6%.
The Parkoff Portfolio loan is secured by is secured by a 312 unit,
six-property portfolio of multifamily buildings located on the
Upper East Side of Manhattan. The reported occupancy and debt
service coverage ratio (DSCR) as of September 2013 were 97% and
0.86 times (x), respectively. The loan has remained current. While
Fitch modeled losses on the loan based on the current cash flow,
there is high likelihood of ultimate recovery of the loan given
the assets' strong location and market. The loan is scheduled to
mature in 2017.
The Beacon Seattle & DC Portfolio 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 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.
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.
The largest specially serviced asset is the real-estate owned
(REO) Timberland Buildings, which is secured by an approximately
354,300 sf office property located in Troy, MI. The loan
transferred to special servicing in September 2012 for imminent
default. The most recent reported occupancy was 42.4%.
Fitch upgrades the following two classes:
-- $170.9 million class A-M to 'BBsf' from 'Bsf'; Outlook revised
to Stable from Negative;
-- $25 million class A-MFL to 'BBsf' from 'Bsf'; Outlook revised
to Stable from Negative.
Fitch affirms the following classes:
-- $160 million class A-1A at 'AAAsf'; Outlook Stable;
-- $162.4 million class A-2 at 'AAAsf'; Outlook Stable;
-- $32.9 million class A-2FL at 'AAAsf'; Outlook Stable;
-- $189.1 million class A-2FX at 'AAAsf'; Outlook Stable;
-- $131.5 million class A-3 at 'AAAsf'; Outlook Stable;
-- $66.4 million class A-4 at 'AAAsf'; Outlook Stable;
-- $83 million class A-5 at 'AAAsf'; Outlook Stable;
-- $53 million class A-J at 'CCCsf'; RE 30%;
-- $91.4 million class A-JFL at 'CCCsf'; RE 30%;
-- $41.6 million class B at 'CCCsf'; RE 0%;
-- $22 million class C at 'CCCsf'; RE 0%;
-- $24.5 million class D at 'CCsf'; RE 0%;
-- $14.7 million class E at 'CCsf'; RE 0%;
-- $24.5 million class F at 'CCsf'; RE 0%;
-- $22 million class G at 'CCsf'; RE 0%;
-- $22 million class H at 'Csf'; RE 0%;
-- $14.7 million class J at 'Csf'; RE 0%;
-- $4.9 million class K at 'Csf'; RE 0%;
-- $7.3 million class L at 'Csf'; RE 0%;
-- $4.9 million class M at 'Csf'; RE 0%.
The $3.5 million class N and classes O, P and Q remain at 'Dsf',
RE 0% due to realized losses.
The class A-1 certificates have paid in full. Fitch does not rate
the class S certificates. Fitch previously withdrew the rating on
the interest-only class X certificates.
MOUNTAIN HAWK: Moody's Assigns (P)B2 Rating on $14.75MM Notes
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to six
classes of notes to be issued by Mountain Hawk III CLO, Ltd. (the
"Issuer" or "Mountain Hawk III").
Moody's rating action is as follows:
$340,000,000 Class A Senior Secured Floating Rate Notes due 2025
(the "Class A Notes"), Assigned (P)Aaa (sf)
$68,000,000 Class B Senior Secured Floating Rate Notes due 2025
(the "Class B Notes"), Assigned (P)Aa2 (sf)
$44,750,000 Class C Secured Deferrable Floating Rate Notes due
2025 (the "Class C Notes"), Assigned (P)A2 (sf)
$30,250,000 Class D Secured Deferrable Floating Rate Notes due
2025 (the "Class D Notes"), Assigned (P)Baa3 (sf)
$24,000,000 Class E Secured Deferrable Floating Rate Notes due
2025 (the "Class E Notes"), Assigned (P)Ba2 (sf)
$14,750,000 Class F Secured Deferrable Floating Rate Notes due
2025 (the "Class F Notes"), Assigned (P)B2 (sf)
The Class A Notes, the Class B Notes, the Class C Notes, the Class
D Notes, Class E Notes and the Class F Notes are referred to
herein, collectively, as the "Rated Notes."
Moody's issues provisional ratings in advance of the final sale of
financial instruments, but these ratings only represent Moody's
preliminary credit opinions. Upon a conclusive review of a
transaction and associated documentation, Moody's will endeavor to
assign definitive ratings. A definitive rating, if any, may differ
from a provisional rating.
Ratings Rationale
Moody's provisional ratings of the Rated Notes address the
expected losses posed to noteholders. The provisional ratings
reflect the risks due to defaults on the underlying portfolio of
assets, the transaction's legal structure, and the characteristics
of the underlying assets.
Mountain Hawk III is a managed cash flow CLO. The issued notes
will be collateralized primarily by broadly syndicated first lien
senior secured corporate loans. At least 95.0% of the portfolio
must consist of senior secured loans, cash, and eligible
investments, and up to 5.0% of the portfolio may consist of
second-lien loans, senior secured notes, unsecured loans and
first-lien last-out obligations. The portfolio is expected to be
approximately 50% ramped as of the closing date.
Western Asset Management Company (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's four year
reinvestment period. Thereafter, the Manager may reinvest
unscheduled principal payments and proceeds from sales of credit
risk assets, subject to certain restrictions.
In addition to the Rated Notes, the Issuer will issue two
additional classes of notes, including 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: $550,000,000
Diversity Score: 60
Weighted Average Rating Factor (WARF): 2700
Weighted Average Spread (WAS): 3.90%
Weighted Average Coupon (WAC): 7.00
Weighted Average Recovery Rate (WARR): 48.5%
Weighted Average Life (WAL): 8.0 years.
Methodology Underlying 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
The performance of the Rated Notes is subject to uncertainty. The
performance of the Rated Notes is sensitive to the performance of
the underlying portfolio, which in turn depends on economic and
credit conditions that may change. The Manager's investment
decisions and management of the transaction will also affect the
performance of the Rated Notes.
Together with the set of modeling assumptions above, Moody's
conducted an additional sensitivity analysis, which was an
important component in determining the ratings assigned to the
Rated Notes. This sensitivity analysis includes increased default
probability relative to the base case.
Below is a summary of the impact of an increase in default
probability (expressed in terms of WARF level) on the Rated Notes
(shown in terms of the number of notch difference versus the
current model output, whereby a negative difference corresponds to
higher expected losses), assuming that all other factors are held
equal:
Percentage Change in WARF -- increase of 15% (from 2700 to 3105)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: 0
Class C Notes: -1
Class D Notes: -1
Class E Notes: -1
Class F Notes: 0
Percentage Change in WARF -- increase of 30% (from 2700 to 3510)
Rating Impact in Rating Notches
Class A Notes: 0
Class B Notes: -2
Class C Notes: -3
Class D Notes: -2
Class E Notes: -1
Class F Notes: -2
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.
MOUNTAIN VIEW III: Moody's Affirms Ba3 Rating on $14MM Notes
------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Mountain View CLO III Ltd.:
$75,000,000 Class A-2 Floating Rate Notes, Due April, 2021,
Upgraded to Aaa (sf); previously on September 7, 2011 Upgraded
to Aa1 (sf)
$25,000,000 Class B Floating Rate Notes, Due April, 2021,
Upgraded to Aa1 (sf); previously on September 7, 2011 Upgraded
to Aa3 (sf)
$31,000,000 Class C Floating Rate Deferrable Notes, Due April,
2021, Upgraded to A1 (sf); previously on September 7, 2011
Upgraded to A3 (sf)
$24,000,000 Class D Floating Rate Deferrable Notes, Due April,
2021, Upgraded to Baa3 (sf); previously on September 7, 2011
Upgraded to Ba1 (sf)
Moody's also affirmed the ratings on the following notes:
$299,700,000 Class A-1 Floating Rate Notes, Due April, 2021
(current outstanding balance of $297,050,813.40), Affirmed Aaa
(sf); previously on June 28, 2007 Assigned Aaa (sf)
$14,000,000 Class E Floating Rate Deferrable Notes, Due April,
2021, Affirmed Ba3 (sf); previously on September 7, 2011
Upgraded to Ba3 (sf)
Mountain View CLO III Ltd., issued in May 2007, is a
collateralized loan obligation (CLO) backed primarily by a
portfolio of senior secured loans. The transaction's reinvestment
period will end in April 2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from lower WARF and
higher spread levels compared to the levels during the last rating
review. Moody's modeled a WARF of 2399 and a weighted average
spread of 2.98% compared to the covenant of 2709 and 2.60%,
respectively. Furthermore, the transaction's reported OC ratios
have been stable.
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 commence 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% (1919)
Class A-1: 0
Class A-2: 0
Class B: +1
Class C: +3
Class D: +2
Class E: +2
Moody's Adjusted WARF + 20% (2879)
Class A-1: 0
Class A-2: 0
Class B: -2
Class C: -3
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,
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 $485.9 million, defaulted
par of $12.9 million, a weighted average default probability of
13.71% (implying a WARF of 2399), a weighted average recovery rate
upon default of 47.29%, a diversity score of 48 and a weighted
average spread of 2.98%.
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.
NEWSTAR COMMERCIAL: S&P Raises Rating on Class E Notes to CCC+
--------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1, A-2, B, C, D, and E notes from NewStar Commercial Loan Trust
2007-1, a U.S. middle-market collateralized loan obligation
transaction managed by NewStar Financial Inc. At the same time,
Standard & Poor's removed these ratings from CreditWatch, where
they were placed with positive implications on Nov. 14, 2013.
The upgrades mainly reflect paydowns to the class A-1 and A-2
notes and the resulting increased overcollateralization available
to support the notes since S&P's April 19, 2011, rating action.
Before exiting its reinvestment period in May 2013, the
transaction funded the class A-2 notes up to their maximum
issuance amount. Since S&P's April 19, 2011, rating action, the
transaction has paid down the class A-1 notes by approximately
$43.4 million; because the class A-2 notes were funded, they were
paid down by approximately $13.4 million. This left the class A-1
notes at 81.78% of their original balance and the class A-2 notes
at 86.56% of their maximum issuance amount.
The rating on the class E notes is constrained at 'CCC+ (sf)' by
the largest obligor default test, a supplemental stress test S&P
introduced as part of its 2009 corporate criteria update.
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.
RATINGS RAISED AND REMOVED FROM CREDITWATCH
NewStar Commercial Loan Trust 2007-1
Rating
Class To From
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA+ (sf)/Watch Pos
B AA+ (sf) AA (sf)/Watch Pos
C A- (sf) BBB+ (sf)/Watch Pos
D BBB- (sf) BB- (sf)/Watch Pos
E CCC+ (sf) CCC- (sf)/Watch Pos
TRANSACTION INFORMATION
Issuer: NewStar Commercial Loan Trust 2007-1
Collateral manager: NewStar Financial Inc.
Underwriter: Citigroup Global Markets Inc.
Trustee: U.S. Bank N.A.
Transaction type: Cash flow collateralized loan obligation
NOMURA ASSET 1998-D6: Moody's Cuts Rating on PS-1 Certs to 'Caa2'
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating of one class
of Nomura Asset Securities Corporation, Commercial Mortgage Pass-
Through Certificates, Series 1998-D6 as follows:
Cl. PS-1, Downgraded to Caa2 (sf); previously on Mar 14, 2013
Downgraded to B3 (sf)
Ratings Rationale
The rating on the IO Class (Class PS-1) was downgraded due to the
decline in the credit performance of its reference classes
resulting from principal paydowns of higher quality reference
classes.
Moody's rating action reflects a base expected loss of 4.8% of the
current balance, compared to 1.8% at Moody's 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 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, "Commercial Real Estate Finance: Moody's Approach to Rating
Credit Tenant Lease Financings" published in November 2011, 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 3 compared to 10 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 97% to $125.4
million from $3.7 billion at securitization. The certificates are
collateralized by 26 mortgage loans ranging in size from less than
1% to 29% of the pool, with the top ten loans constituting 42% of
the pool. Thirteen loans, constituting 58% of the pool, have
defeased and are secured by US government securities.
No loans are currently on the watchlist or in special servicing.
Twenty-nine loans have been liquidated from the pool, resulting in
an aggregate realized loss of $94.5 million (for an average loss
severity of 42.1%).
Moody's received full year 2011 operating results for 72% of the
pool, and full year 2012 operating results for 90%. Moody's
weighted average conduit LTV is 84%, compared to 64% at Moody's
last review. Moody's conduit component excludes the defeased and
CTL loans. Moody's net cash flow (NCF) reflects a weighted average
haircut of 12% 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 1.10X and 1.82X,
respectively, compared to 1.36X and 1.90X 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 21% of the pool balance. The
largest loan is the Schostak Northville Loan ($19.6 million
-- 15.7% of the pool), which is secured by two contiguous shopping
centers totaling approximately 318,000 square feet (SF) located in
Utica, Michigan. The loan was modified in August 2010 and split
into a $15.0 million A-Note and $4.6 million B-Note. Additionally,
the loan maturity date was extended to March 2015 and the loan is
interest only for the remainder of its term. Major tenants include
Dick's Sporting Goods, Salvation Army, PetSmart and Planet
Fitness. The property was 74% leased as of November 2013. Moody's
LTV and stressed DSCR are 105% and 1.03X, respectively, compared
to 109% and 0.99X at the last review.
The second largest loan is the Value City Alum Creek Drive Loan
($5.6 million -- 4.4% of the pool), which is secured by a
warehouse/distribution center located in Columbus, Ohio. The
property is 100% leased to American Signature through 2028. The
loan is fully amortizing and matures in August of 2017. Moody's
LTV and stressed DSCR are 57% and 1.91X, respectively, compared to
63% and 1.71X at the last review.
The third largest loan is the Tech Center of Executive Hills Loan
($1.5 million -- 1.2% of the pool), which is secured by a three
building industrial complex located in Kansas City, Missouri. The
property was 87% leased as of October 2013. Moody's LTV and
stressed DSCR are 53% and 2.02X, respectively, compared to 68% and
1.58X at the last review.
The CTL component consists of five loans, constituting 18% of the
pool, secured by properties leased to two tenants. The two
exposures are CarMax (86% of the CTL component, unrated by
Moody's) and Burlington Coat Factory (14%). The bottom-dollar
weighted average rating factor (WARF) for this pool is 1660
compared to 1541 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.
OHA CREDIT VII: S&P Affirms BB Rating on Class E Notes
------------------------------------------------------
Standard & Poor's Ratings Services affirmed its ratings on OHA
Credit Partners VIII Ltd./OHA Credit Partners VIII Inc.'s
$378.5 million floating-rate notes following the transaction's
effective date as of Sept. 1, 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
OHA Credit Partners VIII Ltd./OHA Credit Partners VIII Inc.
Class Rating Amount
(mil. $)
A AAA (sf) 244.00
B AA (sf) 57.00
C (deferrable) A (sf) 29.00
D (deferrable) BBB (sf) 21.50
E (deferrable BB (sf) 18.00
F (deferrable) B (sf) 9.00
PREFERRED TERM I: Moody's Raises Rating on $90MM Notes to Caa1
--------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Preferred Term Securities I, Ltd.:
$90,000,000 Fixed Rate Mezzanine Notes Due September 15, 2030
(current balance of $67,090,113.80), Upgraded to Caa1 (sf);
previously on August 8, 2013 Upgraded to Caa3 (sf).
Preferred Term Securities I, Ltd., issued in September 2000, is a
collateralized debt obligation backed by a portfolio of bank trust
preferred securities (TruPS).
Ratings Rationale
The rating action is primarily a result of the deleveraging of the
mezzanine notes and an increase in the transaction's over-
collateralization ratio since the last rating action in August 8,
2013.
The mezzanine notes have paid down by approximately 24% or $21
million since August 2013, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. The mezzanine notes' par coverage has thus
improved to 96.14% from 87.80% since August 2013, by Moody's
calculations. Based on the trustee's December 31, 2013 report, the
over-collateralization ratio of the mezzanine notes was 97.09%
(limit 103.00%), versus 89.13% on June 28, 2013. In addition, the
mezzanine notes are no longer deferring interest and all
previously deferred interest has been paid in full.
Notwithstanding benefits of the deleveraging, the rating action
took into account the high concentration of the collateral pool,
which has only seven performing assets remaining, of which the two
largest assets constitute 44% of the performing par. Further,
because the mezzanine notes have an over-collateralization ratio
under 100%, an interest shortfall on the mezzanine notes could
occur, which would trigger an event of default.
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 $64.5
million, defaulted/deferring par of $59.0 million, a weighted
average default probability of 16.96% (implying a WARF of 930), a
Moody's Asset Correlation of 33.59%, 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) 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.
5) The performance of the portfolio depends to a large extent on
the credit conditions of a few large obligors, especially if they
jump to default. Because of the deal's low diversity score and
lack of granularity, Moody's supplemented its base case analysis
with individual scenario analysis.
Loss and Cash Flow Analysis
Moody's modeled the transaction's portfolio using CDOROM 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 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 145 points from the base case of 930 lowers
the model-implied rating on the mezzanine notes by one notch from
the base case result; decreasing the WARF by 130 points raises the
model-implied rating on the mezzanine notes by one notch from the
base case result.
Moody's also conducted an additional sensitivity analysis, as
described in "Sensitivity Analyses on Deferral Cures and Default
Timing for Monitoring TruPS CDOs," published in August 2012.
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 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: Alternative Default Timing Profile
Mezzanine notes: +1
RESOURCE REAL ESTATE: Fitch Hikes Rating on 2 Certs to 'BBsf'
-------------------------------------------------------------
Fitch Ratings has upgraded eight and affirmed three classes of
Resource Real Estate Funding CDO 2006-1 Ltd./LLC (RRE 2006-1)
reflecting Fitch's base case loss expectation of 40.9%. Fitch's
performance expectation incorporates prospective views regarding
commercial real estate market values and cash flow declines.
Key Rating Drivers
The upgrades reflect improved performance of the underlying loans
along with significant delevering of the capital structure. Since
the August 2013 rating action, the class A-1 notes have received
$33.2 million in paydowns of which the majority came from the full
payoff of three loans for which Fitch had previously modeled
modest losses.
The portfolio is considered concentrated with only 18 assets
remaining. Per Fitch categorizations, commercial real estate
loans (CREL) comprise approximately 86.3% of the collateral of the
CDO. Approximately 60.4% of the pool is comprised of whole loans
or A-notes and the remainder of B-notes or mezzanine loans.
Commercial mortgage backed securities (CMBS) represents 13.7% of
the total collateral. Per the current trustee reporting, the
transaction passes all interest coverage and overcollateralization
tests.
Under Fitch's methodology, approximately 85.8% of the portfolio is
modeled to default in the base case stress scenario, defined as
the 'B' stress. Fitch estimates that average recoveries will be
52.4% reflecting the recovery expectations upon default of the
CMBS tranches and real estate loans.
The largest component of Fitch's base case loss expectation is a
mezzanine loan (13.2%) secured by a portfolio of 12 luxury resorts
and hotels consisting of 4,742 keys located in beachfront and
waterfront locations, including Puerto Rico, Jamaica, Florida,
Arizona, and California. Three of the hotels within the portfolio
are located in Puerto Rico and contain a casino/gaming component.
Performance overall is significantly below issuance expectations
and the loan transferred to the special servicer in April 2012 in
advance of its June 2012 maturity. The loan was modified in
August 2012 to allow an extended maturity date while a long term
modification was finalized. Fitch modeled a full loss in its base
case scenario.
The second largest component to Fitch's base case loss expectation
is a whole loan (9.5%) secured by a 163 room hotel located in Palm
Springs, CA. The hotel underwent a renovation a $17 million
renovation and recently opened as Hard Rock Hotel Palm Springs.
The loan remains current, but Fitch modeled a significant loss on
the loan.
The third largest component to loss is the modeled losses on the
CMBS collateral. This transaction was analyzed according to the
'Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan
Floating-Rate Transactions', which applies Recoveries are based on
stressed cash flows and Fitch's long-term capitalization rates.
The default levels were then compared to the breakeven levels
generated by Fitch's cash flow model of the CDO under various
default timing and interest rate stress scenarios as described in
the report 'Global Criteria for Cash Flow Analysis in CDOs'. The
breakeven rates for classes A-1 through G generally pass the cash
flow model at the rating assigned below.
The 'CCC' and 'CC' ratings for classes H through K are based on a
deterministic analysis that considers Fitch's base case loss
expectation for the pool and the current percentage of defaulted
assets and Fitch Loans of Concern, factoring in anticipated
recoveries relative to the credit enhancement of each class.
Rating Sensitivities
The Stable Outlook on the classes A-2 through G reflects the
classes' senior position in the capital structure and the improved
credit enhancement to the classes. The ratings on the class H
through K notes may be subject to further downgrades as losses are
realized. The Positive Outlook on class A-1 reflects the
significant credit enhancement to the class and its senior-most
position in the capital structure.
Resource Real Estate, Inc. is the collateral asset manager for the
transaction. The CDO's reinvestment period ended in August 2011.
Fitch has upgraded the following as indicated:
-- $19.3 million class A-1 to 'AAsf' from 'Asf'; Outlook to
Positive from Rating Watch Positive;
-- $5 million class A-2 FX to 'Asf' from 'BBBsf'; Outlook to
Stable from Rating Watch Positive;
-- $17.4 million class A-2 FL to 'Asf' from 'BBBsf'; Outlook to
Stable from Rating Watch Positive;
-- $13 million class C to 'BBBsf' from 'BBsf'; Outlook to Stable
from Rating Watch Positive;
-- $10 million class D to 'BBsf' from 'Bsf'; Outlook to Stable
from Rating Watch Positive;
-- $13.7 million class E to 'BBsf' from 'CCCsf'; Outlook to Stable
from Rating Watch Positive;
-- $14.6 million class F to 'Bsf' from 'CCCsf'; Outlook to Stable
from Rating Watch Positive;--$17.3 million class G to 'Bsf'
from 'CCCsf'; Outlook to Stable from Rating Watch Positive.
Fitch has affirmed the following as indicated:
-- $12.9 million class H at 'CCCsf'; RE 100%;
-- $14.7 million class J at 'CCsf'; RE 40%;
-- $28.5 million class K at 'CCsf'; RE 0%.
Fitch previously withdrew its ratings of class B following the
full surrender of those certificates. Fitch does not rate the
$36.3 million preferred shares.
SALOMON BROTHERS 2000-C3: Moody's Affirms Caa3 Rating on X Certs
----------------------------------------------------------------
Moody's Investors Service has affirmed the rating of one class of
Salomon Brothers Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates Series 2000-C3 as follows:
Cl. X, Affirmed Caa3 (sf); previously on Mar 21, 2013 Affirmed
Caa3 (sf)
Ratings Rationale
The rating of the IO class, Class X, was affirmed based on the
credit performance (or the weighted average rating factor or WARF)
of its referenced classes. The IO class is the only outstanding
Moody's-rated class in this transaction.
Factors That Would Lead To An Upgrade Or Downgrade Of The Rating
The rating of an IO class is based on the credit performance of
its referenced classes. An IO class may be upgraded based on a
lower weighted average rating factor or WARF due to an overall
improvement in the credit quality of its reference classes. An IO
class may be downgraded based on a higher WARF due to a decline in
the credit quality of its reference classes, paydowns of higher
quality reference classes or non-payment of interest. Classes that
have paid off through loan paydowns or amortization are not
included in the WARF calculation. Classes that have experienced
losses are grossed up for losses and included in the WARF
calculation, even if Moody's has withdrawn the rating.
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 utilized the excel-based CMBS Conduit Model v 2.64
which is used for both conduit and fusion transactions. Conduit
model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR and Moody's property quality
grade (which reflects the capitalization rate used by Moody's to
estimate Moody's value). Conduit model results at the B2 (sf)
level are driven by a paydown analysis based on the individual
loan level Moody's LTV ratio. Other concentrations and
correlations may be considered in our analysis. Based on the model
pooled credit enhancement levels at Aa2 (sf) and B2 (sf), the
remaining conduit classes are either interpolated between these
two data points or determined based on a multiple or ratio of
either of these two data points. For fusion deals, the credit
enhancement for loans with investment-grade credit assessments is
melded with the conduit model credit enhancement into an overall
model result. Negative pooling, or adding credit enhancement at
the credit assessment level, is incorporated for loans with
similar credit assessments in the same transaction.
Moody's uses a variation of Herf to measure diversity of loan
size, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 2 compared to 3 at Moody's prior review.
In cases where 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. 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 February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $18 million
from $915 million at securitization. The Certificates are
collateralized by eight mortgage loans ranging in size from 2% to
61% of the pool. One loan, representing 3% of the pool has
defeased and is secured by US Government securities.
One loan, representing 3% of the pool, is on the master servicer's
watchlist. The watchlist includes loans which meet certain
portfolio review guidelines established as part of the CRE Finance
Council (CREFC) monthly reporting package. As part of our ongoing
monitoring of a transaction, Moody's reviews the watchlist to
assess which loans have material issues that could impact
performance.
Thirty-eight loans have been liquidated from the pool, resulting
in an aggregate realized loss of $50 million (27% loss severity on
average). One loan, representing 80% of the pool, is currently in
special servicing.
The specially serviced loan is the Granite State Marketplace Loan
($14.3 million -- 61% of the pool), which is secured by a 250,000
square foot (SF) anchored retail center located in Hooksett, New
Hampshire. The loan transferred to special servicing in September
2008 for maturity default. The loan was modified and has reached
the maturity date of the modification. The loan was not able to
refinance at the extended maturity date of November 2012. The
property was foreclosed in June 2013 and the loan is currently in
REO.
Moody's was provided with full year 2012 operating results for 80%
of the pool. Moody's weighted average conduit LTV is 83% compared
to 88% 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 12% to the most recently
available net operating income (NOI). Moody's value reflects a
weighted average capitalization rate of 10.0%.
Moody's actual and stressed conduit DSCRs are 1.30X and 1.67X,
respectively, compared to 1.01X and 1.57X at prior review. Moody's
actual DSCR is based on Moody's NCF and the loan's actual debt
service. Moody's stressed DSCR is based on Moody's NCF and a 9.25%
stressed rate applied to the loan balance.
The top three performing loans represent 14% of the pool. All of
these loans are fully amortizing. The largest loan is the K-Mart
Shopping Center Loan ($1.3 million -- 7.4% of the pool), which is
secured by a single tenant retail center located in Murray, Utah.
The property is 100% leased to the Kmart Corporation until May
2020. Moody's LTV and stressed DSCR are 39% and 2.62X,
respectively, compared to 49% and 2.11X at last review.
The second largest loan is the Quality Suites Albuquerque Loan
($612,487 -- 3.4% of the pool), which is secured by a 69-key
limited service hotel in Albuquerque, New Mexico. Moody's LTV and
stressed DSCR are 33% and 3.76X, respectively, compared to 38% and
3.25X at last review.
The third largest loan is the Weatherbridge Center Buildings II
and II Loan ($550,602 -- 3.1% of the pool), which is secured by a
mixed use office and retail property located in Cary, North
Carolina. Moody's LTV and stressed DSCR are 30% and 3.6X,
respectively, compared to 46% and 2.37X at last review.
SARGAS CLO I: Moody's Affirms Ba1 Rating on $14MM Notes
-------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Sargas CLO I:
$17,000,000 Class C Senior Secured Deferrable Floating Rate
Notes due August 27, 2020, Upgraded to Aa1 (sf); previously on
September 20, 2013 Confirmed at Aa3 (sf)
Moody's also affirmed the ratings on the following notes:
$7,750,000 Class A-2A Senior Secured Floating Rate Notes Due
August 27, 2020 (current outstanding balance of $7,037,604.68),
Affirmed Aaa (sf); previously on September 20, 2013 Affirmed Aaa
(sf)
$3,250,000 Class A-2B Senior Secured Fixed Rate Notes Due August
27, 2020 (current outstanding balance of $2,951,253.57),
Affirmed Aaa (sf); previously on September 20, 2013 Affirmed Aaa
(sf)
$21,000,000 Class B Senior Secured Deferrable Floating Rate
Notes Due August 27, 2020, Affirmed Aaa (sf); previously on
September 20, 2013 Affirmed Aaa (sf)
$14,000,000 Class D Secured Deferrable Floating Rate Notes Due
August 27, 2020, Affirmed Ba1 (sf); previously on September 20,
2013 Affirmed Ba1 (sf)
$5,000,000 Type I Composite Notes Due August 27, 2020 (current
rated balance of $520,524.61), Affirmed Aaa (sf); previously on
September 20, 2013 Affirmed Aaa (sf)
Sargas CLO I, issued in August 2006, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of broadly
syndicated and middle market senior secured loans, with exposure
to non-senior secured loans and bonds. The transaction's
reinvestment period ended in August 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 on 20
September 2013. The Class A-1 notes have paid in full, and the
Class A-2A and Class A-2B notes have paid down by 9.2% or $1
million since the last rating action. Based on the trustee's 15
January 2014 report, the over-collateralization (OC) ratios for
the Class A, Class B, Class C, and Class D notes are reported at
713.04%, 229.84%, 148.42%, and 114.90% respectively, versus the
September 2013 levels of 299.87%, 177.17%, 133.09%, and 110.46%,
respectively.
Notwithstanding the benefits of deleveraging, the collateral pool
is highly concentrated, with a diversity score of only 11 based on
Moody's calculations. Furthermore, Moody's calculates that over
75% of the performing collateral belongs to the deal's three
largest Moody's industries. Additionally, obligors with a Moody's
default probability rating of Caa1 or lower (after adjustments for
large credit estimates) make up around 45% of the collateral.
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) 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.
7) Lack of portfolio granularity: The performance of the portfolio
depends to a large extent on the credit conditions of a few large
obligors. Based on Moody's calculations, over 50% of the portfolio
is composed of five obligors, three of which are rated Caa1 or
below.
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% (3323)
Class A-2A: 0
Class A-2B: 0
Class B: 0
Class C: 0
Class D: +1
Type I Composite Notes: 0
Moody's Adjusted WARF + 20% (4984)
Class A-2A: 0
Class A-2B: 0
Class B: 0
Class C: -2
Class D: -1
Type I Composite Notes: 0
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 $69.3 million, defaulted par
of $12.7 million, a weighted average default probability of 26.05%
(implying a WARF of 4153), a weighted average recovery rate upon
default of 47.54%, a diversity score of 11 and a weighted average
spread of 4.29%.
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. 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 6.52% of the pool.
SATURN VENTURES I: Moody's Affirms C Rating on Class B Notes
------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on the
following notes issued by Saturn Ventures I, Ltd.:
Cl. A-3 Floating Rate Senior Notes, Affirmed Ca (sf); previously
on Apr 24, 2013 Affirmed Ca (sf)
Cl. B Floating Rate Subordinate Notes, Affirmed C (sf); previously
on Apr 24, 2013 Affirmed C (sf)
Ratings Rationale
Moody's has affirmed the ratings of two classes of notes because
its 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.
Saturn Ventures I, Ltd. is a static cash CRE CDO transaction
backed by a portfolio of: i) commercial mortgage backed securities
(CMBS) (51.8% of the pool balance); ii) residential mortgage
backed securities primarily in the form of "subprime", "alt-A",
and "prime" (RMBS) (40.1%); and iii) collateralized debt
obligations (CDO) (8.1%). As of the January 28, 2014 trustee
report, the aggregate note balance of the transaction, has
decreased to $66.5 million from $400.0 million at issuance, with
the paydown now directed to the senior most outstanding class of
notes, as a result of full and partial amortization of the
underlying collateral and the re-direction of interest proceeds as
principal proceeds due to the failure of certain par value tests.
The pool contains eleven assets totaling $8.0 million (39.9% of
the collateral pool balance) that are listed as defaulted
securities as of the trustee's January 28, 2014 report. Ten of
these assets (68.7% of the defaulted balance) are RMBS, and one is
a CMBS (31.3%). Moody's expects significant losses to occur on the
defaulted securities once they are realized.
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 4783, compared to 3025 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 (7.0%
compared to 12.5% at last review), A1-A3 (0.0% compared to 3.8% at
last review), Baa1-Baa3 (14.0% compared to 28.6% at last review),
Ba1-Ba3 (0.0% the same as at last review), B1-B3 (18.5% compared
to 26.7% at last review), and Caa1-C (60.6% compared to 28.4% at
last review).
Moody's modeled a WAL of 2.9 years, compared to 3.1 years at last
review. The WAL is based on assumptions about extensions on the
underlying collateral.
Moody's modeled a fixed WARR of 11.5%, compared to 19.5% at last
review.
Moody's modeled a MAC of 12.5%, the same as 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.
Reducing the recovery rate by 10% would result in no modeled
rating movement on the rated notes. Increasing the recovery rate
by 10% would result in no modeled rating movement on 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.
SILVERADO CLO 2006-I: S&P Affirms BB Rating on Class D Notes
------------------------------------------------------------
Standard & Poor's Ratings Services raised its ratings on the class
A-1-J, A-1, A-2, B, and C notes from Silverado CLO 2006-I Ltd., a
U.S. collateralized loan obligation (CLO) transaction managed by
Wells Capital Management Inc., and removed them from CreditWatch
where S&P placed them with positive implications on Nov. 14, 2013.
At the same time, S&P affirmed its ratings on the class A-1-S and
D notes.
Silverado CLO 2006-1 Ltd. ended its reinvestment period in April
2013. The upgrades primarily reflect the paydowns to the senior
notes. The class A-1 notes follow a pro rata sequential
structure. In this structure, the A-1-S, A-1-J, and A-1 notes pay
pro rata; however, the A-1-S and A-1-J notes pay sequentially
between themselves. As a result, the A-1-S notes also receive the
A-1-J portion of principal paydowns, and the A-1-J notes will be
paid only after the A-1-S notes have been paid in full. Since
S&P's Feb. 9, 2012, rating actions, the senior notes received a
total paydown of $142.05 million. The A-1-S and the A-1 notes are
about 27.93% and 35.14% of their original notional balance,
respectively, while all other rated notes have not received any
principal paydowns.
As of the Jan. 8, 2014 trustee report, the transaction held no
defaulted assets.
As a result of the paydowns to the senior notes, as well as no new
defaults, S&P observed increased overcollateralization (O/C)
available to support the rated notes. The trustee reported the
following O/C ratios in the Jan. 8, 2014, monthly report:
-- The A O/C ratio was 142.04%, up from 123.72% in January
2012;
-- The B O/C ratio was 125.84%, up from 115.57% in January
2012;
-- The C O/C ratio was 114.02%, up from 109.04% in January
2012; and
-- The D O/C ratio was 107.94%, up from 105.47% in January
2012.
S&P's 'BBB+ (sf)' rating on the class C notes was driven by the
top obligor test, a supplemental test in S&P's criteria.
The affirmations on the class A-1-S and D notes reflect S&P's
belief that the credit support available is commensurate with the
current ratings.
Standard & Poor's will continue to review whether, in its view,
the ratings on the notes remain consistent with the credit
enhancement available to support them and take rating actions as
it deems necessary.
RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE
Silverado CLO 2006-I Ltd.
Rating
Class To From
A-1-J AAA (sf) AA+ (sf)/Watch Pos
A-1 AAA (sf) AA+ (sf)/Watch Pos
A-2 AAA (sf) AA (sf)/Watch Pos
B AA+ (sf) A (sf)/Watch Pos
C BBB+ (sf) BBB (sf)/Watch Pos
RATINGS AFFIRMED
Silverado CLO 2006-I Ltd.
Class Rating
A-1-S AAA (sf)
D BB (sf)
TRANSACTION INFORMATION
Issuer: Silverado CLO 2006-1 Limited
Collateral manager: Wells Capital Management Inc.
Indenture Trustee: Deutsche Bank Trust Co. Americas
Transaction type: Cash flow CLO
STONE TOWER VI: Moody's Affirms Ba3 Rating on $31MM Class D Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Stone Tower CLO VI Ltd.:
$61,000,000 Class A-2b Floating Rate Notes Due April 17, 2021,
Upgraded to Aaa (sf); previously on September 2, 2011 Upgraded
to Aa1 (sf)
$56,000,000 Class A-3 Floating Rate Notes Due April 17, 2021,
Upgraded to Aa1 (sf); previously on September 2, 2011 Upgraded
to Aa3 (sf)
$47,000,000 Class B Deferrable Floating Rate Notes Due April 17,
2021, Upgraded to A2 (sf); previously on September 2, 2011
Upgraded to A3 (sf)
Moody's also affirmed the ratings on the following notes:
$140,000,000 Class A-1 Floating Rate Notes Due 2021, Affirmed
Aaa (sf); previously on March 23, 2007 Assigned Aaa (sf)
$550,000,000 Class A-2a Floating Rate Notes Due 2021, Affirmed
Aaa (sf); previously on March 23, 2007 Assigned Aaa (sf)
$37,000,000 Class C Floating Rate Notes Due 2021, Affirmed Baa3
(sf); previously on September 2, 2011 Upgraded to Baa3 (sf)
$31,000,000 Class D Floating Rate Notes Due 2021, Affirmed Ba3
(sf); previously on September 2, 2011 Upgraded to Ba3 (sf)
Stone Tower CLO VI Ltd., issued in March 2007, is a collateralized
loan obligation (CLO) backed primarily by a portfolio of senior
secured loans. The transaction's reinvestment period will end in
April 2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from higher weighted
average spread (WAS) level compared to its covenant level. Based
on the January 2014 trustee report, WAS is reported at 3.37% ,
compared to the covenant level of 2.04%. Moody's also notes that
the transaction's reported overcollateralization ratios are
stable.
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 commence 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% (2022)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: +1
Class B: +2
Class C: +2
Class D: +1
Moody's Adjusted WARF + 20% (3032)
Class A-1: 0
Class A-2a: 0
Class A-2b: 0
Class A-3: -2
Class B: -2
Class C: -1
Class D: -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 (WARF), diversity score and the
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 $971 million, defaulted par of $0.96 million,
a weighted average default probability of 16.64% (implying a WARF
of 2527), a WARR upon default of 49.78%, a diversity score of 67
and a WAS of 3.37%.
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.
TERWIN MORTGAGE: S&P Lowers Rating on 4 Note Classes to 'CC'
------------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'CC
(sf)' from 'AA- (sf)' on four classes from two U.S. residential
mortgage-backed securities (RMBS) transactions issued by Terwin
Mortgage Trust. The transactions are backed primarily by second-
lien mortgage loans.
The rating actions follow the termination of the bond insurance
policies that covered the affected classes. The bond insurer on
these transactions was Assured Guaranty Municipal Corp. (Assured
Guaranty; 'AA-'). S&P was notified that Assured Guaranty, as 100%
holder of the insured classes, terminated the policies as of
Dec. 31, 2013. Therefore, as these classes no longer have the
benefit of bond insurance, the ratings on these classes were each
lowered to 'CC (sf)' from 'AA- (sf)'.
"We analyzed the transactions using our criteria for the
surveillance of pre-2009 RMBS transactions backed by second-lien
mortgage loans, which include closed-end second-lien loans, home
equity line of credit (HELOC) loans, and second-lien high-combined
loan-to-value (HLTV) loans," S&P said.
The transactions are undercollateralized, and the affected classes
have no subordination remaining, although they do still benefit
from excess interest. The underlying deal documents specify that
these classes cannot be allocated realized losses. Therefore,
based on S&P's analysis, they are projected to have an outstanding
balance at legal final maturity. The transactions are exposed to
increased interest shortfall risk as they become more
undercollateralized.
ECONOMIC OUTLOOK
When analyzing U.S. RMBS collateral pools to determine their
relative credit quality and the potential impact on rated
securities, the degree of remaining losses stems, to a certain
extent, from S&P's outlook regarding the behavior of such loans in
conjunction with expected economic conditions. Overall, Standard
& Poor's baseline macroeconomic outlook assumptions for variables
that it believes could affect residential mortgage performance are
as follows:
-- S&P's unemployment rate forecast is 6.4% for 2014, compared
with the 7.4% rate in 2013.
-- Home prices will increase 6% in 2014, using the 20-city
Standard & Poor's/Case-Shiller Home Price Index.
-- Real GDP growth will be 3.0% in 2014, up from the 1.9% rate
in 2013.
-- The 30-year mortgage rate will average 4.6% for 2014.
-- The inflation rate will be 1.3% in 2014, down slightly from
the 1.5% rate in 2013.
Overall, S&P's outlook for RMBS is stable. Although S&P views
overall housing fundamentals positively, it believes RMBS
fundamentals still hinge on additional factors, such as the
ultimate fate of modified loans, the propensity of servicers to
advance on delinquent loans, and liquidation timelines.
Under S&P's baseline economic assumptions, it expects RMBS
collateral quality to improve mildly. However, if a downside
scenario were to occur in the U.S. in line with Standard & Poor's
forecast, it believes that U.S. RMBS credit quality would weaken.
S&P's downside scenario incorporates the following key
assumptions:
-- Home prices once again decline as a result of higher
defaults, additional shadow inventory, and less purchase
activity.
-- Total unemployment rises to 7.6% in 2014, and job growth
slows to almost zero.
-- Downward pressure causes 0.6% GDP growth in 2014, fueled by
increased unemployment levels.
-- The 30-year fixed mortgage rates fall back to 4.1% in 2014,
but limited access to credit and pressure on home prices
could hamper consumers in capitalizing on such lower rates.
RATINGS LOWERED
Terwin Mortgage Trust 2006-12SL
Series 2006-12SL
Rating
Class CUSIP To From
A-1 88157DAA5 CC (sf) AA- (sf)
A-2 88157DAB3 CC (sf) AA- (sf)
Terwin Mortgage Trust 2007-1SL
Series 2007-1SL
Rating
Class CUSIP To From
A-1 88157GAA8 CC (sf) AA- (sf)
A-2 88157GAB6 CC (sf) AA- (sf)
TRALEE CDO I: Moody's Affirms Ba2 Rating on $13.4 Class D Notes
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the
following notes issued by Tralee CDO I Ltd.:
U.S.$17,900,000 Class A-2a Senior Secured Floating Rate Notes Due
April 16, 2022, Upgraded to Aa1 (sf); previously on September 12,
2011 Upgraded to Aa2 (sf)
U.S.$3,500,000 Class A-2b Senior Secured Fixed Rate Notes Due
April 16, 2022, Upgraded to Aa1 (sf); previously on September 12,
2011 Upgraded to Aa2 (sf)
U.S.$18,800,000 Class B Senior Secured Deferrable Floating Rate
Notes Due April 16, 2022, Upgraded to Aa3 (sf); previously on
September 12, 2011 Upgraded to A2 (sf)
U.S.$19,000,000 Class C Senior Secured Deferrable Floating Rate
Notes Due April 16, 2022, Upgraded to Baa2 (sf); previously on
September 12, 2011 Upgraded to Baa3 (sf)
U.S.$5,500,000 Type I Composite Notes Due April 16, 2022 (current
rated balance of $1,296,427), Upgraded to Aaa (sf); previously on
September 12, 2011 Upgraded to Aa1 (sf)
U.S.$8,500,000 Type II Composite Notes Due April 16, 2022 (current
rated balance of $4,660,360), Upgraded to Aaa (sf); previously on
September 12, 2011 Upgraded to Aa1 (sf)
Moody's also affirmed the ratings on the following notes:
U.S.$273,200,000 Class A-1 Senior Secured Floating Rate Notes Due
April 16, 2022 (current outstanding balance of $260,925,634),
Affirmed Aaa (sf); previously on September 12, 2011 Upgraded to
Aaa (sf)
U.S.$13,400,000 Class D Secured Deferrable Floating Rate Notes Due
April 16, 2022, Affirmed Ba2 (sf); previously on September 12,
2011 Upgraded to Ba2 (sf)
Tralee CDO I Ltd., issued in March 2007, is a collateralized loan
obligation (CLO) backed primarily by a portfolio of senior secured
loans. The transaction's reinvestment period will end in April
2014.
Ratings Rationale
These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2014. In light of the reinvestment restrictions during the
amortization period, and therefore the limited ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will maintain a positive
buffer relative to certain covenant requirements. In particular,
Moody's assumed that the deal will benefit from lower WARF and
higher spread levels compared to the levels during the last rating
review. Moody's modeled a WARF of 2480 and WAS of 3.26%,
respectively, compared to the covenant levels of 2696 and 2.3%,
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 commence 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% (1984)
Class A-1: 0
Class A-2a: +1
Class A-2b: 0
Class B: +2
Class C: +2
Class D: +1
Class Type I Composite Notes: 0
Class Type II Composite Notes: 0
Moody's Adjusted WARF + 20% (2976)
Class A-1: 0
Class A-2a: -1
Class A-2b: -2
Class B: -2
Class C: -2
Class D: -1
Class Type I Composite Notes: 0
Class Type II Composite Notes: -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 $349 million, defaulted par
of $4.9 million, a weighted average default probability of 15.46%
(implying a WARF of 2480), a weighted average recovery rate upon
default of 49.84%, a diversity score of 52 and a weighted average
spread of 3.26%.
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.
WACHOVIA BANK 2005-C20: Moody's Affirms C Rating on Class H Notes
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of six classes
and affirmed seven classes of Wachovia Bank Commercial Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-
C20 as follows:
Cl. A-1A, Affirmed Aaa (sf); previously on Feb 28, 2013 Affirmed
Aaa (sf)
Cl. A-7, Affirmed Aaa (sf); previously on Feb 28, 2013 Affirmed
Aaa (sf)
Cl. A-MFL, Upgraded to Aaa (sf); previously on Feb 28, 2013
Affirmed Aa1 (sf)
Cl. A-MFX, Upgraded to Aaa (sf); previously on Feb 28, 2013
Affirmed Aa1 (sf)
Cl. A-J, Upgraded to A1 (sf); previously on Feb 28, 2013 Affirmed
A3 (sf)
Cl. B, Upgraded to A3 (sf); previously on Feb 28, 2013 Affirmed
Baa2 (sf)
Cl. C, Upgraded to Baa2 (sf); previously on Feb 28, 2013 Affirmed
Ba1 (sf)
Cl. D, Upgraded to Ba3 (sf); previously on Feb 28, 2013 Affirmed
B2 (sf)
Cl. E, Affirmed Caa1 (sf); previously on Feb 28, 2013 Affirmed
Caa1 (sf)
Cl. F, Affirmed Caa3 (sf); previously on Feb 28, 2013 Affirmed
Caa3 (sf)
Cl. G, Affirmed Ca (sf); previously on Feb 28, 2013 Affirmed Ca
(sf)
Cl. H, Affirmed C (sf); previously on Feb 28, 2013 Affirmed C (sf)
Cl. X-C, Affirmed Ba3 (sf); previously on Feb 28, 2013 Affirmed
Ba3 (sf)
Ratings Rationale
The ratings on Classes A-7 and A-1A 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 the Classes E through H were affirmed
because the ratings are consistent with Moody's expected loss.
The ratings on six P&I classes (Classes AM-FL through Class D)
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
7% since Moody's last review. Approximately 99% of the pool
matures within the next 24 months.
The rating on the IO 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 3.2% of the
current balance compared to 4.7% at Moody's last review. Moody's
base expected loss plus realized losses is now 6.2% of the
original pooled balance compared to 6.8% 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 Fusion U.S. CMBS Transactions" published in
April 2005.
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 27 compared to 28 at Moody's last review.
Deal Performance
As of the February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 46% to $1.97
billion from $3.66 billion at securitization. The certificates are
collateralized by 134 mortgage loans ranging in size from less
than 1% to 9% of the pool, with the top ten loans (excluding
defeasance) constituting 39% of the pool. One loan, constituting
3% of the pool, has an investment-grade credit assessment.
Thirteen loans, constituting 20% of the pool, have defeased and
are secured by US government securities.
Twenty-one loans, constituting 18% 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.
Fifteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $164 million (for an average loss
severity of 71%). One loan, which constitutes less than 1% of the
pool, is currently in special servicing. Moody's analysis assumes
a high loss for this loan.
Moody's has assumed a high default probability for ten poorly
performing loans, constituting 5% of the pool, and has estimated
an aggregate loss of $19 million (18% expected loss based on a 52%
probability default) for 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 57% of
the pool. Moody's weighted average conduit LTV is 93%, compared to
95% 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 12% 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 1.58X and 1.16X,
respectively, compared to 1.52X and 1.13X 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 loan with a credit assessment is the Westfield San Francisco
Centre Loan ($60 million -- 3% of the pool), which represents a
50% participation interest in a $120 million mortgage loan. The
loan is secured by the leasehold interest in 498,000 square feet
of a multi-story shopping mall in downtown San Francisco,
California. The malls anchors are Nordstrom and Bloomingdale's.
The Bloomingdale's store is not part of the collateral. The
property was 97% leased as of September 2013, essentially
unchanged since Moody's last review. Property revenue has been
very stable. Moody's credit assessment and stressed DSCR are Baa2
and 1.27X, respectively, unchanged from the last review.
The top three performing conduit loans represent 21% of the pool
balance. The largest loan is the NGP Rubicon GSA Pool Loan ($185
million -- 9% of the pool), which represents a participation
interest in a $369 million mortgage loan. The loan is secured by a
portfolio of 14 properties located in ten states plus the District
of Columbia. The property is on the watchlist for DSCR below 75%
of the underwritten level. The portfolio was 94% leased as of
September 2013, down from 100% at Moody's last review. The loan
metrics benefit from amortization. Moody's LTV and stressed DSCR
are 104% and 1.16X, respectively, compared to 103% and 0.91X at
prior review.
The second largest loan is the Millennium Park Plaza Loan ($140
million -- 7% of the pool). The loan is secured by a 41-story,
710,000 square-foot, mixed-use property in Chicago, Illinois. The
property was 94% leased as of September 2013, unchanged from the
level reported at year-end 2012. Moody's LTV and stressed DSCR are
80% and 1.19X, respectively, unchanged since Moody's last review.
The third largest loan is the Prentiss Pool Loan ($91 million --
9% of the pool). The loan is secured by two adjacent, Class A
office properties in the Tysons Corner area of McLean, Virginia, a
suburb of Washington, DC. The largest tenant is KMPG, which
occupies approximately 235,000 square feet, or 51% of the property
net rentable area. The KPMG lease runs through September 2024.
Moody's LTV and stressed DSCR are 106% and, 0.91X, respectively,
compared to 104% and 0.93X at the last review.
WFRBS COMMERCIAL 2012-C6: Moody's Affirms B2 Rating on F Certs
--------------------------------------------------------------
Moody's Investors Service affirmed the ratings of 11 classes of
WF-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2012-C6 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Mar 14, 2013 Affirmed Aa2
(sf)
Cl. C, Affirmed A2 (sf); previously on Mar 14, 2013 Affirmed A2
(sf)
Cl. D, Affirmed Baa3 (sf); previously on Mar 14, 2013 Affirmed
Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Mar 14, 2013 Affirmed Ba2
(sf)
Cl. F, Affirmed B2 (sf); previously on Mar 14, 2013 Affirmed B2
(sf)
Cl. X-A, Affirmed Aaa (sf); previously on Mar 14, 2013 Affirmed
Aaa (sf)
Ratings Rationale
The ratings on the 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 the IO class was affirmed based on the credit
performance (or the weighted average rating factor or WARF) of the
referenced classes.
Moody's rating action reflects a base expected loss of 2.5% of the
current balance compared to 2.2% at Moody's last review. Moody's
base expected loss plus realized losses is now 2.5% of the
original pooled balance, compared to 2.2% 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.
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 38 compared to 39 Moody's last review.
Deal Performance
As of the February 18, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 2% to $903 million
from $925 million at securitization. The certificates are
collateralized by 89 mortgage loans ranging in size from less than
1% to 8% of the pool, with the top ten loans constituting 38% of
the pool.
Ten 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.
No loans have been liquidated or are in special servicing.
Moody's has assumed a high default probability for one poorly
performing loan, constituting 1.5% of the pool, and has estimated
an aggregate loss of $2 million (a 15% expected loss based on a
50% probability default) from this troubled 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 90% 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 11% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 10.0%.
Moody's actual and stressed conduit DSCRs are 1.59X and 1.27X,
respectively, compared to 1.48X and 1.17X 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 21% of the pool balance. The
largest loan is the National Cancer Institute Center Loan ($75.9
million -- 8.4% of the pool), which is secured by a 341 thousand
square foot (SF) Class A office / lab facility located in
Frederick, Maryland. The property was constructed in 2011 as a
build-to-suit to support the National Cancer Institute (NCI), the
oldest Institute within the National Institutes of Health (NIH).
The property entirely leased to Science Applications International
Corporation (Senior Unsecured Rating Baa2, stable outlook) through
September 2021. Moody's LTV and stressed DSCR are 112% and 0.99X,
respectively, compared to 113% and 0.98X at the last review.
The second largest loan is the Windsor Hotel Portfolio II Loan
($64.8 million -- 7.2% of the pool), which is secured by four
full-service hotels totaling 901 rooms. The portfolio consists of
a 275 room Renaissance Hotel in Asheville; NC, a 286 room Embassy
Suites in Las Vegas, NV; a 190 room Embassy Suites in Arcadia, CA;
and a 150 room Embassy Suites in Alpharetta, GA. For the trailing
12-month period ending September 2013, the portfolio's occupancy
was 78% with RevPar of $99.81, compared to 76% and $93.30,
respectively, for calendar year 2012. Moody's LTV and stressed
DSCR are 86% and 1.38X, respectively, compared to 88% and 1.35X at
the last review.
The third largest loan is the WPC Self Store Portfolio Loan ($48.2
million -- 5.3% of the pool), which is secured by 26 self-storage
facilities located in four states. There are 18 properties located
in California, five in Illinois, two in Hawaii and one in Texas.
As of September 2013, the portfolio was 72% leased compared to 64%
at last review. The loan is currently on the watchlist due to a
safety concern at the Chicago Adams property involving multiple
exit signs not illuminating. Moody's LTV and stressed DSCR are 79%
and 1.36X, respectively, compared to 89% and 1.20X at the last
review.
WFRBS COMMERCIAL 2014-LC14: Fitch Rates Class F Certificates 'Bsf'
------------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Rating
Outlooks to WFRBS Commercial Mortgage Trust 2014-LC14 commercial
mortgage pass-through certificates:
--$66,263,000 Class A-1 'AAAsf'; Outlook Stable;
--$189,675,000 Class A-2 'AAAsf'; Outlook Stable;
--$175,000,000 Class A-4 'AAAsf'; Outlook Stable;
--$278,492,000 Class A-5 'AAAsf'; Outlook Stable;
--$89,487,000 Class A-SB 'AAAsf'; Outlook Stable;
--$95,739,000b Class A-S 'AAAsf'; Outlook Stable;
--$974,656,000* Class X-A 'AAAsf'; Outlook Stable;
--$193,048,000* Class X-B 'BBB-sf'; Outlook Stable;
--$81,614,000b Class B 'AA-sf'; Outlook Stable;
--$47,085,000b Class C 'A-sf'; Outlook Stable;
--$224,438,000b Class PEX 'A-sf'; Outlook Stable;
--$80,000,000a Class A-3FL 'AAAsf'; Outlook Stable;
--$0a Class A-3FX 'AAAsf'; Outlook Stable;
--$64,349,000a Class D 'BBB-sf'; Outlook Stable;
--$21,973,000a Class E 'BBsf'; Outlook Stable;
--$12,556,000a Class F 'Bsf'; Outlook Stable.
(*) Notional amount and interest-only.
(a) Privately placed pursuant to Rule 144A.
(b) Class A-S, B and C certificates may be exchanged for class PEX
certificates; and class PEX certificates may be exchanged for
class A-S, B and C certificates.
Fitch does not rate the $87,892,034 class X-C or the $53,363,034
class G. Since Fitch issued its expected ratings on Jan. 28, 2014,
the class A-3 was removed and the expected rating for that class
was withdrawn. Additionally, two classes were added to the deal
structure (A-3FL and A-3FX). The classes above reflect the final
ratings and deal structure.
The certificates represent the beneficial ownership in the trust,
primary assets of which are 71 loans secured by 144 commercial
properties having an aggregate principal balance of approximately
$1.26 billion as of the cutoff date. The loans were contributed
to the trust by Wells Fargo Bank, National Association; Ladder
Capital Finance LLC; Rialto Mortgage Finance, LLC; The Royal Bank
of Scotland plc.' and RBS Financial Products Inc.
Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 74.1% of the properties
by balance, cash flow analysis and asset summary reviews of 84.3%
of the pool.
Key Rating Drivers
Fitch Leverage: The pool has higher Fitch leverage, with a
weighted average Fitch LTV and DSCR of 101.7% and 1.19x,
respectively. The average 2012 Fitch DSCR and LTV were 1.24x and
97.2%, respectively. The average 2013 Fitch DSCR and LTV were
1.29x and 101.6%, respectively.
Credit Opinion Loan: The third largest loan in the pool (6.4%) has
a Fitch credit opinion of 'BBB-sf' on a stand-alone basis. The
loan is secured by The Outlet Collection l Jersey Gardens, a 1.3
million square foot (sf) outlet mall located in Elizabeth, NJ.
This loan has a pari passu participation held outside the trust,
and servicing of the loan will be governed by the pooling and
servicing agreement (PSA) of WFRBS 2013-C18.
Lower Concentration: Loan concentration is slightly lower than
recent transactions. The largest loan represents 11.1% of the
pool, and the top 10 loans represent 48.6%. The average top 10
concentrations for full year 2013 and 2012 conduit transactions
were 54.3% and 54.2%, respectively. The LCI is 362 and the SCI is
371, which indicate an average level of loan diversity and an
above-average level of sponsor diversity. The 2013 average LCI was
367 and the 2013 average SCI was 458.
Rating Sensitivities
For this transaction, Fitch's net cash flow (NCF) was 8.0% below
the most recent net operating income (NOI) (for properties for
which historical NOI was provided, excluding properties that were
stabilizing during the most recent reporting period).
Unanticipated further declines in property-level NCF could result
in higher defaults and loss severity on defaulted loans, and could
result in potential rating actions on the certificates. Fitch
evaluated the sensitivity of the ratings assigned to WFRBS 2014-
LC14 certificates and found that the transaction displays average
sensitivity to further declines in NCF. In a scenario in which
NCF declined a further 20% from Fitch's NCF, a downgrade of the
junior 'AAAsf' certificates to 'A-sf' could result. In a more
severe scenario, in which NCF declined a further 30% from Fitch's
NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'
could result. The presale report includes a detailed explanation
of additional stresses and sensitivities on pages 79 - 80.
The master servicer will be Wells Fargo Bank, National
Association, rated 'CMS1-' by Fitch. The special servicer will be
Rialto Capital Advisors, LLC rated 'CSS2-' by Fitch.
* Fitch Takes Actions on 39 SF CDOs From 2000-2007 Vintages
-----------------------------------------------------------
Fitch Ratings has affirmed 207 and downgraded four classes of
notes from 39 structured finance collateralized debt obligations
(SF CDOs) with exposure to various structured finance assets.
Key Rating Drivers
The affirmation of 134 classes from 39 transactions at 'Csf'
reflects the degree of each note's undercollateralization. Fitch's
analysis of these classes indicates that even if a full par
recovery on the distressed and defaulted collateral (rated 'CCsf'
and lower) of each respective portfolio was realized, it is still
unlikely for these notes to receive the full repayment of
principal and accrued interest by their stated maturity dates. As
such, the agency believes that the probability of default can be
evaluated without factoring in potential further losses from the
currently performing portion of the portfolios. In the absence of
mitigating factors, default for these notes at or prior to
maturity appears inevitable.
The 71 classes affirmed at 'Dsf' are non-deferrable classes which
are expected to continue experiencing interest payment shortfalls.
The certificates issued by Blue Heron Funding V, Ltd. and Blue
Heron Funding VII, Ltd. have been affirmed at 'AAAsf' with the
Negative Rating Watch maintained. The principal of both
certificates is protected by zero coupon bonds, maturing in
January 2029 and April 2030, respectively. According to the
documents of each transaction, no party other than the certificate
holders have claim against these protection assets which were
issued by the Resolution Funding Corporation (REFCO), a U.S.
government sponsored agency.
The downgrade of the four non-deferrable classes -- the class A-1,
A-2, B, and C notes, issued by TORO ABS CDO II, Ltd. to 'Dsf', is
the result of the interest payment default, which began on the
August 2013 payment date. The accrued interest due on these four
classes has not been paid due to the senior-ranking swap
termination obligation. Fitch believes that even after the full
repayment of this termination amount to the swap counterparty,
additional interest shortfalls are likely given the volatility of
proceeds from the underlying portfolio.
Rating Sensitivities
The transactions included in this review have limited sensitivity
to further negative migration given the highly distressed rating
levels of the outstanding notes. However, there is potential for
non-deferrable classes to be downgraded to 'Dsf' should they
experience any interest payment shortfalls.
This review was conducted under the framework described in the
reports 'Global Structured Finance Rating Criteria' and 'Global
Rating Criteria for Structured Finance CDOs'. None of the reviewed
transactions have been analyzed within Fitch's Structured Finance
Portfolio Credit Model (SF PCM) or a cash flow model framework, as
the impact of additional losses, structural features, and excess
spread was determined to be minimal in the context of each note's
rating.
The individual rating actions for each rated CDO are detailed in
the report 'Fitch Takes Various Rating Actions on 39 SF CDOs from
2000-2007 Vintages', dated Feb. 21, 2014, with a spreadsheet
available at http://is.gd/E7Bu65
* Fitch Takes Actions on 837 Classes in 119 RMBS Re-Remic Deals
---------------------------------------------------------------
Fitch Ratings has taken various actions on 837 classes in 119 U.S.
Prime RMBS Re-REMIC transactions.
Rating Action Summary:
-- 759 classes affirmed;
-- 66 classes upgraded;
-- 12 classes downgraded;
-- All rating changes are one category.
Key Rating Drivers
The rating upgrades reflect the improving performance of the
underlying collateral and the increasing credit enhancement of the
bonds. The sequential pay structure is also expected to result in
relatively short remaining lives for many of the upgraded classes.
Bonds upgraded to 'AAsf' or above are expected to pay off in full
in no more than 36 months from the date of the review.
The RMBS underlying the Re-REMICs reviewed are generally
collateralized with Prime mortgage loans, which have generally
seen an improvement in delinquency reflecting the strengthening
housing market. Over the past year, home prices have increased
over 10% nationally.
Despite the improving performance, most of the RMBS underlying the
Re-REMICs are from peak vintage transactions that continue to
experience high delinquencies, extended liquidation timelines, and
negative equity. As a result, a number of the classes underlying
the Re-REMICs are experiencing principal writedowns and interest
shortfalls, which have constrained the number of rating upgrades
in the Re-REMIC transactions.
RATING SENSITIVITIES
Fitch analyzes each bond in a number of different scenarios to
determine the likelihood of full principal recovery and timely
interest. The scenario analysis incorporates various combinations
of the following stressed assumptions: mortgage loss, loss timing,
interest rates, prepayments, servicer advancing and loan
modifications.
The analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are
increasingly more stressful and less-likely outcomes. Although
many variables are adjusted in the stress scenarios, the primary
driver of the loss scenarios is the home price forecast
assumption. In the 'Bsf' scenario, Fitch assumes home prices
decline 10% below their long-term sustainable level. The home
price decline assumption is increased by 5% at each higher rating
category up to a 35% decline in the 'AAAsf' scenario.
Classes with a rating below 'CCCsf' are likely to default at some
point in the future. As default becomes more imminent, those
classes are expected to migrate towards 'Csf' and eventually
'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be
sensitive to future mortgage borrower behavior, which historically
has been strongly correlated with home price movements. Despite
recent positive trends, Fitch currently expects home prices to
decline in some areas before reaching a sustainable level. While
Fitch's ratings reflect this home price view, the ratings of
outstanding classes may be subject to revision to the extent
actual home price and mortgage performance trends differ from
those currently projected by Fitch.
The spreadsheet 'U.S. RMBS Re-REMIC Rating Actions for Feb. 21,
2014' is available at http://is.gd/brhJAk
* Fitch Takes Actions on Enhanced Municipal Bonds & TOBs
--------------------------------------------------------
Fitch Ratings, on Feb. 21, 2014, took various conforming rating
actions on enhanced municipal bonds and tender option bonds (TOBs)
corresponding to actions taken on their associated enhancement
providers or underlying bonds.
Long-term ratings on enhanced municipal bonds may be higher than
those of their enhancement providers as discussed in Fitch's
'Dual-Party Pay Criteria for Long-Term Ratings on LOC-Supported
U.S. Public Finance Bonds', dated March 8, 2013.
Short-term ratings on enhanced municipal bonds may be lower than
those of their liquidity providers, as discussed in Fitch's
'Rating Guidelines for Variable-Rate Demand Obligations Issued
with External Liquidity Support', dated Jan. 31, 2013.
Long-term ratings assigned to TOBs are the higher of the ratings
assigned by Fitch to the applicable enhancement providers
supporting the bonds and the ratings assigned by Fitch to the
underlying bonds deposited in the issuing trust. Short-term
ratings on TOBs, if assigned, are based on ratings assigned by
Fitch to their liquidity providers, with consideration given to
the TOBs' long-term ratings.
Prior
Rating Action
------ ------
Ameriquest Mortgage Co. 2002-C
Class M-1 Csf Affirmed
Ameriquest Mortgage Co. 2002-C
Class M-2 Dsf Affirmed
Ameriquest Mortgage Securities,
Inc. 2004-R6 Class A-1 BBBsf Upgrade
Ameriquest Mortgage Securities,
Inc. 2004-R6 Class M-1 BBsf Affirmed
Ameriquest Mortgage Securities,
Inc. 2004-R6 Class M-2 CCCsf Affirmed
Ameriquest Mortgage Securities,
Inc. 2004-R6 Class M-3 CCsf Affirmed
Ameriquest Mortgage Securities,
Inc. 2004-R6 Class M-4 Csf Affirmed
Ameriquest Mortgage Securities,
Inc. 2004-R6 Class Dsf Affirmed
Argent Securities, Inc. 2004-W3
Class A-3 CCC sf Affirmed
Argent Securities, Inc. 2004-W3
Class M-1 CCC sf Affirmed
Argent Securities, Inc. 2004-W3
Class M-2 CC sf Affirmed
Argent Securities, Inc. 2004-W3
Class M-3 CC sf Affirmed
Argent Securities, Inc. 2004-W3
Class M-4 C sf Affirmed
Argent Securities, Inc. 2004-W3
Class M-5 C sf Affirmed
Argent Securities, Inc. 2004-W4
Class A B sf Upgrade
Argent Securities, Inc. 2004-W4
Class M-1 CC sf Affirmed
Argent Securities, Inc. 2004-W4
Class M-2 C sf Affirmed
Argent Securities, Inc. 2004-W4
Class M-3 C sf Affirmed
Argent Securities, Inc. 2004-W4
Class M-4 Csf Affirmed
Irwin Home Equity Loan Trust 2003-B
Class B BBBsf Affirmed
Irwin Home Equity Loan Trust 2003-B
Class IA AA sf Affirmed
Irwin Home Equity Loan Trust 2003-B
Class M A sf Affirmed
Long Beach Mortgage Co. 2002-2
Class I-A AAA sf Rating Watch
Negative
Long Beach Mortgage Co. 2002-2
Class I-M2 CC sf Affirmed
Long Beach Mortgage Co. 2002-2
Class I-M3 D sf Affirmed
Long Beach Mortgage Co. 2002-2
Class I-M4A D sf Affirmed
Long Beach Mortgage Co. 2002-2
Class I-M4B D sf Affirmed
Long Beach Mortgage Co. 2002-2
Class II-M2 CC sf Affirmed
Long Beach Mortgage Co. 2002-2
Class II-M3 D sf Affirmed
Long Beach Mortgage Co. 2002-2
Class II-M4A D sf Affirmed
Long Beach Mortgage Co. 2002-2
Class II-M4B D sf Affirmed
A link to the ratings is available at http://is.gd/dkpoZl
* Moody's Raises Rating on $719MM Subprime RMBS by Various Trusts
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 22 tranches
from 13 transactions backed by Subprime mortgage loans.
Complete rating actions are as follows:
Issuer: Citigroup Mortgage Loan Trust, Series 2005-HE3
Cl. M-2, Upgraded to B3 (sf); previously on Apr 6, 2010 Downgraded
to Caa2 (sf)
Issuer: CSFB Home Equity Asset Trust 2005-6
Cl. M-2, Upgraded to Ba2 (sf); previously on May 5, 2010
Downgraded to B1 (sf)
Cl. M-3, Upgraded to B3 (sf); previously on May 5, 2010 Downgraded
to Caa2 (sf)
Cl. M-4, Upgraded to Ca (sf); previously on May 5, 2010 Downgraded
to C (sf)
Issuer: CSFB Home Equity Asset Trust 2005-9
Cl. M-1, Upgraded to Caa1 (sf); previously on May 5, 2010
Downgraded to Caa3 (sf)
Cl. 2-A-4, Upgraded to Baa3 (sf); previously on May 5, 2010
Downgraded to Ba2 (sf)
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-3
Cl. M-4, Upgraded to Ba2 (sf); previously on May 5, 2010
Downgraded to B1 (sf)
Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-5
Cl. M-2, Upgraded to Ba3 (sf); previously on May 5, 2010
Downgraded to B2 (sf)
Cl. M-3, Upgraded to Caa2 (sf); previously on May 5, 2010
Downgraded to Ca (sf)
Issuer: Fremont Home Loan Trust 2005-A
Cl. M3, Upgraded to Caa2 (sf); previously on Apr 29, 2010
Downgraded to Ca (sf)
Issuer: Fremont Home Loan Trust 2005-C
Cl. M2, Upgraded to B2 (sf); previously on Apr 29, 2010 Downgraded
to Caa1 (sf)
Issuer: HSI Asset Securitization Corporation Trust 2007-WF1
Cl. I-A, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Downgraded to Caa2 (sf)
Cl. II-A-3, Upgraded to B3 (sf); previously on Aug 13, 2010
Downgraded to Caa2 (sf)
Cl. II-A-4, Upgraded to Caa1 (sf); previously on Aug 13, 2010
Confirmed at Caa2 (sf)
Issuer: Nomura Home Equity Loan Trust 2006-WF1
Cl. A-4, Upgraded to Baa1 (sf); previously on May 1, 2013 Upgraded
to Baa3 (sf)
Cl. M-1, Upgraded to B1 (sf); previously on May 1, 2013 Upgraded
to B3 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Aug 13, 2010
Downgraded to C (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2005-3
Cl. M-1, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded
to Caa2 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-A
Cl. M-1, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded
to Caa1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-D
Cl. A-3, Upgraded to B2 (sf); previously on Dec 28, 2010 Upgraded
to Caa1 (sf)
Issuer: Popular ABS Mortgage Pass-Through Trust 2006-E
Cl. A-2, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded
to B3 (sf)
Cl. A-3, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded
to Caa2 (sf)
Ratings Rationale
The actions are a result of the recent performance of the
underlying pools and reflect Moody's updated loss expectations on
the pools and available tranche level credit enhancement. 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
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 Raises Ratings on $1.7BB Subprime RMBS Issued 2005-2006
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 49 tranches
from 20 transactions, which are all backed by Subprime mortgage
loans.
Complete rating actions are as follows:
Issuer: Aegis Asset Backed Securities Trust 2005-3
Cl. M2, Upgraded to Caa1 (sf); previously on Jul 18, 2011
Downgraded to Ca (sf)
Issuer: Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE3
Cl. A1, Upgraded to Ba2 (sf); previously on Jul 12, 2010
Downgraded to B1 (sf)
Cl. A2, Upgraded to Ba2 (sf); previously on Jul 12, 2010
Downgraded to B1 (sf)
Cl. A4, Upgraded to Ba3 (sf); previously on Jul 12, 2010
Downgraded to B2 (sf)
Cl. A5, Upgraded to B3 (sf); previously on Jul 12, 2010 Downgraded
to Caa2 (sf)
Issuer: GSAMP Trust 2005-HE3
Cl. M-3, Upgraded to B3 (sf); previously on Jun 21, 2010
Downgraded to Caa3 (sf)
Cl. M-4, Upgraded to Caa3 (sf); previously on Jun 21, 2010
Downgraded to C (sf)
Issuer: GSAMP Trust 2005-NC1
Cl. M-1, Upgraded to Ba2 (sf); previously on Jun 21, 2010
Downgraded to B1 (sf)
Issuer: GSAMP Trust 2005-WMC2
Cl. A-1B, Upgraded to Ba3 (sf); previously on Jun 21, 2010
Downgraded to B2 (sf)
Cl. A-2C, Upgraded to Ba2 (sf); previously on Jun 21, 2010
Downgraded to B1 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jun 21, 2010
Downgraded to C (sf)
Issuer: GSAMP Trust 2006-HE1
Cl. A-1, Upgraded to Baa2 (sf); previously on Sep 17, 2010
Downgraded to Ba1 (sf)
Cl. A-2D, Upgraded to Baa3 (sf); previously on Sep 17, 2010
Downgraded to Ba1 (sf)
Cl. M-1, Upgraded to B3 (sf); previously on Sep 17, 2010
Downgraded to Caa2 (sf)
Cl. M-2, Upgraded to Ca (sf); previously on Sep 17, 2010
Downgraded to C (sf)
Issuer: GSAMP Trust 2006-HE2
Cl. A-2, Upgraded to Ba2 (sf); previously on Jun 21, 2010
Downgraded to B1 (sf)
Cl. A-3, Upgraded to B1 (sf); previously on Apr 19, 2013 Upgraded
to B3 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Jun 21, 2010
Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-ACC1
Cl. A-1, Upgraded to Ba1 (sf); previously on Apr 17, 2013 Upgraded
to Ba2 (sf)
Cl. A-4, Upgraded to Baa3 (sf); previously on Dec 28, 2010
Upgraded to Ba1 (sf)
Cl. A-5, Upgraded to Ba1 (sf); previously on Apr 17, 2013 Upgraded
to Ba3 (sf)
Cl. M-1, Upgraded to B2 (sf); previously on Apr 17, 2013 Upgraded
to Caa1 (sf)
Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-FRE2
Cl. A-1, Upgraded to Ba1 (sf); previously on Dec 28, 2010 Upgraded
to Ba3 (sf)
Cl. A-3, Upgraded to Ba1 (sf); previously on Dec 28, 2010 Upgraded
to Ba3 (sf)
Cl. A-4, Upgraded to B1 (sf); previously on Dec 28, 2010 Upgraded
to B3 (sf)
Cl. M-1, Upgraded to Ca (sf); previously on Jul 14, 2010
Downgraded to C (sf)
Issuer: J.P. Morgan Mortgage Acquisition Trust 2006-NC1
Cl. A-4, Upgraded to B3 (sf); previously on May 8, 2013 Upgraded
to Caa1 (sf)
Cl. A-5, Upgraded to Caa2 (sf); previously on Dec 28, 2010
Upgraded to Ca (sf)
Issuer: Merrill Lynch Mortgage Investors Trust Series 2006-HE1
Cl. A-1, Upgraded to Baa1 (sf); previously on May 1, 2013 Upgraded
to Baa3 (sf)
Cl. A-2C, Upgraded to Ba1 (sf); previously on May 1, 2013 Upgraded
to Ba3 (sf)
Cl. A-2D, Upgraded to Ba3 (sf); previously on May 1, 2013 Upgraded
to B2 (sf)
Cl. M-1, Upgraded to Caa3 (sf); previously on Jul 19, 2010
Downgraded to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE5
Cl. M-2, Upgraded to B3 (sf); previously on Dec 28, 2010 Upgraded
to Caa2 (sf)
Cl. M-3, Upgraded to Ca (sf); previously on Jul 15, 2010
Downgraded to C (sf)
Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE6
Cl. M-1, Upgraded to Ba2 (sf); previously on Apr 30, 2013 Upgraded
to B1 (sf)
Cl. M-2, Upgraded to Caa3 (sf); previously on Apr 30, 2013
Upgraded to Ca (sf)
Issuer: New Century Home Equity Loan Trust, Series 2005-B
Cl. A-1, Upgraded to Baa2 (sf); previously on Jun 1, 2010
Downgraded to Ba1 (sf)
Cl. A-2c, Upgraded to Ba1 (sf); previously on Jun 1, 2010
Downgraded to Ba2 (sf)
Cl. A-2d, Upgraded to Ba3 (sf); previously on Jun 1, 2010
Downgraded to B2 (sf)
Cl. M-1, Upgraded to Caa1 (sf); previously on Jun 1, 2010
Downgraded to Caa3 (sf)
Issuer: Saxon Asset Securities Trust 2005-1
Cl. M-2, Upgraded to B2 (sf); previously on Jul 16, 2010
Downgraded to Caa1 (sf)
Cl. M-3, Upgraded to Caa3 (sf); previously on Jul 16, 2010
Downgraded to Ca (sf)
Issuer: Structured Asset Investment Loan Trust 2005-1
Cl. M2, Upgraded to B2 (sf); previously on Apr 12, 2010 Downgraded
to Caa1 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-4
Cl. M2, Upgraded to Baa1 (sf); previously on May 1, 2013 Upgraded
to Baa3 (sf)
Cl. M3, Upgraded to B1 (sf); previously on May 1, 2013 Upgraded to
B3 (sf)
Issuer: Structured Asset Investment Loan Trust 2005-5
Cl. M2, Upgraded to Ba2 (sf); previously on Apr 12, 2010
Downgraded to B2 (sf)
Cl. M3, Upgraded to Caa2 (sf); previously on Apr 12, 2010
Downgraded to Ca (sf)
Issuer: Structured Asset Investment Loan Trust 2005-7
Cl. M1, Upgraded to B1 (sf); previously on Apr 12, 2010 Downgraded
to Caa1 (sf)
Issuer: Terwin Mortgage Trust 2006-1
Cl. I-M-1, Upgraded to Caa2 (sf); previously on Oct 1, 2010
Downgraded to Ca (sf)
Ratings Rationale
The upgrade actions are a result of improving performance of the
related pools and/or faster pay-down of the bonds due to high
prepayments/faster liquidations. The actions reflect Moody's
updated loss expectations on those 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 Lowers Ratings on $98MM of Alt-A RMBS Issued in 2005
--------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of nine
tranches from four RMBS transactions, backed by Alt-A RMBS loans
issued by various trusts.
Complete rating actions are as follows:
Issuer: Banc of America Mortgage Securities, Inc., Mortgage Pass-
Through Certificates, Series 2005-J
Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Caa2 (sf)
Cl. 2-A-3, Downgraded to Caa3 (sf); previously on Jul 8, 2010
Downgraded to Caa2 (sf)
Cl. 4-A-1, Downgraded to Caa2 (sf); previously on Jul 8, 2010
Downgraded to B3 (sf)
Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series
2005-64CB
Cl. 1-A-7, Downgraded to Caa1 (sf); previously on Apr 12, 2010
Downgraded to B3 (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust 2005-
FA6
Cl. A-1, Downgraded to Caa2 (sf); previously on Sep 16, 2010
Downgraded to Caa1 (sf)
Cl. A-2, Downgraded to Caa2 (sf); previously on Sep 16, 2010
Downgraded to Caa1 (sf)
Cl. A-4, Downgraded to Caa2 (sf); previously on Sep 16, 2010
Downgraded to Caa1 (sf)
Issuer: First Horizon Alternative Mortgage Securities Trust 2005-
FA8
Cl. I-A-14, Downgraded to Caa2 (sf); previously on Apr 18, 2013
Downgraded to Caa1 (sf)
Cl. II-A-1, Downgraded to Caa1 (sf); previously on Sep 16, 2010
Downgraded to B2 (sf)
Ratings Rationale
The ratings downgraded are a result of deteriorating performance
and higher than expected losses on bonds where the credit support
has been depleted.
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.
* Moody's Raises $78MM of Subprime RMBS Issued in 2004
------------------------------------------------------
Moody's Investors Service has upgraded the ratings of four
tranches from two subprime transactions backed by Subprime
mortgage loans.
Complete rating action is as follows:
Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R6
Cl. M-2, Upgraded to Ba3 (sf); previously on May 4, 2012 Confirmed
at B3 (sf)
Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 29, 2011
Downgraded to Caa3 (sf)
Issuer: CWABS Asset-Backed Certificates Trust 2004-12
Cl. AF-5, Upgraded to Ba3 (sf); previously on Apr 16, 2012
Downgraded to B2 (sf)
Cl. AF-6, Upgraded to Ba2 (sf); previously on Apr 16, 2012
Downgraded to B1 (sf)
Ratings Rationale
The action is a result of the recent performance of the underlying
pools and reflect Moody's updated loss expectations on the pools.
The 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.
* S&P Cuts Rating on 108 Classes From 78 RMBS Deal to 'Dsf'
-----------------------------------------------------------
Standard & Poor's Ratings Services lowered its ratings to 'D (sf)'
on 108 classes of mortgage pass-through certificates from 78 U.S.
residential mortgage-backed securities (RMBS) transactions issued
between 2001 and 2009.
The downgrades reflect S&P's assessment of the principal write-
downs' effect on those classes during recent remittance periods.
Before the rating actions, S&P rated all of these classes either
'CCC (sf)' or 'CC (sf)', except for one class that was rated 'B+
(sf)'.
The 108 defaulted classes consist of the following:
-- 36 classes from prime jumbo transactions (33.33%);
-- 31 from Alternative-A transactions (28.70%);
-- 21 from subprime transactions (19.44%);
-- Eight from resecuritized real estate mortgage investment
conduit (re-REMIC) transactions;
-- Seven from RMBS negative amortization transactions (6.48%);
-- Three from re-performing transactions;
-- One from an outside-the-guidelines transaction; and
-- One from a small balance commercial transaction.
A combination of subordination, excess spread, and
overcollateralization (where applicable) provides credit
enhancement for all of the transactions in this review.
S&P will continue to monitor its ratings on securities that
experience principal write-downs, and it will adjust these ratings
as it considers appropriate according to its criteria.
* S&P Puts Ratings on 150 Tranches From 42 CDO Deals on Watch Pos.
------------------------------------------------------------------
Standard & Poor's Ratings Services placed its ratings on 150
tranches from 42 transactions on CreditWatch with positive
implications. Of the affected tranches, 41 are U.S. collateralized
loan obligation (CLO) transactions, and one is a retranched
collateralized debt obligation (CDO) transactions. The rating on
the retranched class is linked to one of the CLO tranches being
placed on CreditWatch with positive implications.
The tranches had an original issuance of $10.90 billion.
The CreditWatch positive placements reflect increased credit
support in the form of enhanced overcollateralization because of
the continued pay down to the classes.
All 41 CLO transactions have exited their reinvestment period and
have started paying down the notes.
RATINGS PLACED ON CREDITWATCH POSITIVE
AMMC CLO V Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Atrium III
Rating
Class To From
B AA (sf)/Watch Pos AA (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
Ballyrock CLO 2006-2 Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
Blackrock Senior Income Series IV
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
Bridgeport CLO Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
Carlyle Daytona CLO Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-1LV AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A (sf)/Watch Pos A (sf)
B-1L BBB (sf)/Watch Pos BBB (sf)
B-2L B+ (sf)/Watch Pos B+ (sf)
Centurion CDO 9 Ltd.
Rating
Class To From
A-1A AA+ (sf)/Watch Pos AA+ (sf)
A-1B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA- (sf)/Watch Pos AA- (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB (sf)/Watch Pos BB (sf)
Claris III Ltd. (Retranche of Rockwall CDO Ltd.)
Rating
Class To From
Tranche 2 AA- (sf)/Watch Pos AA- (sf)
Comstock Funding Ltd.
Rating
Class To From
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB (sf)/Watch Pos BBB (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Dryden IX - Senior Loan Fund 2005 PLC
Rating
Class To From
B-1 A+ (sf)/Watch Pos A+ (sf)
B-2 A+ (sf)/Watch Pos A+ (sf)
B-3 A+ (sf)/Watch Pos A+ (sf)
Emerson Place CLO Ltd.
Rating
Class To From
A AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D B+ (sf)/Watch Pos B+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Emporia Preferred Funding I Ltd.
Rating
Class To From
D A+ (sf)/Watch Pos A+ (sf)
Emporia Preferred Funding III Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
Four Corners CLO III Ltd.
Rating
Class To From
C A+ (sf)/Watch Pos A+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E CCC+ (sf)/Watch Pos CCC+ (sf)
Goldentree Capital Solutions Offshore Fund Financing
Rating
Class To From
Loan AA (sf)/Watch Pos AA (sf)
Golub Capital Management CLO 2007-1 Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
GSC Capital Corp Loan Funding 2005-1
Rating
Class To From
E BBB- (sf)/Watch Pos BBB- (sf)
F BB- (sf)/Watch Pos BB- (sf)
Gulf Stream-Compass CLO 2005-II Ltd.
Rating
Class To From
C AA+ (sf)/Watch Pos AA+ (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
Harch CLO III Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
Hudson Canyon Funding II Ltd.
Rating
Class To From
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
C A- (sf)/Watch Pos A- (sf)
Katonah X CLO Ltd.
Rating
Class To From
A-1b AA+ (sf)/Watch Pos AA+ (sf)
A-2a AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
Latitude CLO I Ltd.
Rating
Class To From
B-1 A+ (sf)/Watch Pos A+ (sf)
B-2 A+ (sf)/Watch Pos A+ (sf)
LightPoint Pan-European CLO 2006 PLC
Rating
Class To From
A AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BBB- (sf)/Watch Pos BBB- (sf)
D B+ (sf)/Watch Pos B+ (sf)
Madison Park Funding II Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2b AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA (sf)/Watch Pos AA (sf)
B-1 A (sf)/Watch Pos A (sf)
B-2 A (sf)/Watch Pos A (sf)
C-1 BBB- (sf)/Watch Pos BBB- (sf)
C-2 BBB- (sf)/Watch Pos BBB- (sf)
Marquette Park CLO Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C AA- (sf)/Watch Pos AA- (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
Mountain Capital CLO VI Ltd.
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B A+ (sf)/Watch Pos A+ (sf)
MSIM Peconic Bay Ltd.
Rating
Class To From
B AA+ (sf)/Watch Pos AA+ (sf)
C A+ (sf)/Watch Pos A+ (sf)
Mt. Wilson CLO II Ltd.
Rating
Class To From
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
Northwoods Capital VII Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
A-4 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A+ (sf)/Watch Pos A+ (sf)
D BBB+ (sf)/Watch Pos BBB+ (sf)
E BB+ (sf)/Watch Pos BB+ (sf)
NYLIM Flatiron CLO 2006-1 Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2B AA+ (sf)/Watch Pos AA+ (sf)
A-3 AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB (sf)/Watch Pos BBB (sf)
Ocean Trails CLO I
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 A+ (sf)/Watch Pos A+ (sf)
B BBB+ (sf)/Watch Pos BBB+ (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
ComboNote1 BB+p (sf)/Watch Pos BB+p (sf)
D B+ (sf)/Watch Pos B+ (sf)
OHA Park Avenue CLO I Ltd.
Rating
Class To From
B A (sf)/Watch Pos A (sf)
C BBB (sf)/Watch Pos BBB (sf)
Phoenix CLO III Ltd.
Rating
Class To From
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA- (sf)/Watch Pos AA- (sf)
C A- (sf)/Watch Pos A- (sf)
Race Point III CLO
Rating
Class To From
A AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A- (sf)/Watch Pos A- (sf)
D BB+ (sf)/Watch Pos BB+ (sf)
E BB (sf)/Watch Pos BB (sf)
Rampart CLO 2006-I Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A (sf)/Watch Pos A (sf)
C BB+ (sf)/Watch Pos BB+ (sf)
D B+ (sf)/Watch Pos B+ (sf)
Regatta Funding Ltd.
Rating
Class To From
A-1L AA+ (sf)/Watch Pos AA+ (sf)
A-1LV AA+ (sf)/Watch Pos AA+ (sf)
A-2L AA (sf)/Watch Pos AA (sf)
A-3L A (sf)/Watch Pos A (sf)
B-1L BBB (sf)/Watch Pos BBB (sf)
Rockwall CDO Ltd.
Rating
Class To From
A-1LA AA- (sf)/Watch Pos AA- (sf)
A-1LB A+ (sf)/Watch Pos A+ (sf)
A-2L BBB+ (sf)/Watch Pos BBB+ (sf)
A-3L BBB (sf)/Watch Pos BBB (sf)
A-4L BBB- (sf)/Watch Pos BBB- (sf)
B-1L BB+ (sf)/Watch Pos BB+ (sf)
Schiller Park CLO Ltd.
Rating
Class To From
A-1-B AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA+ (sf)/Watch Pos AA+ (sf)
B AA (sf)/Watch Pos AA (sf)
C A (sf)/Watch Pos A (sf)
D BBB (sf)/Watch Pos BBB (sf)
St. James River CLO Ltd.
Rating
Class To From
A-R AA (sf)/Watch Pos AA (sf)
A-T AA (sf)/Watch Pos AA (sf)
B A+ (sf)/Watch Pos A+ (sf)
C BBB+ (sf)/Watch Pos BBB+ (sf)
D BBB- (sf)/Watch Pos BBB- (sf)
Stone Tower CDO II Ltd.
Rating
Class To From
A-1LB BB+ (sf)/Watch Pos BB+ (sf)
Venture VI CDO Ltd.
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-1-J AA+ (sf)/Watch Pos AA+ (sf)
A-1-S AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
WG Horizons CLO I
Rating
Class To From
A-1 AA+ (sf)/Watch Pos AA+ (sf)
A-2 AA (sf)/Watch Pos AA (sf)
B A- (sf)/Watch Pos A- (sf)
C BBB- (sf)/Watch Pos 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
is compiled on the Friday prior to publication. Prices reported
are not intended to reflect actual trades. Prices for actual
trades are probably different. Our objective is to share
information, not make markets in publicly traded securities.
Nothing in the TCR constitutes an offer or solicitation to buy or
sell any security of any kind. It is likely that some entity
affiliated with a TCR editor holds some position in the issuers'
public debt and equity securities about which we report.
Each Tuesday edition of the TCR contains a list of companies with
insolvent balance sheets whose shares trade higher than $3 per
share in public markets. At first glance, this list may look like
the definitive compilation of stocks that are ideal to sell short.
Don't be fooled. Assets, for example, reported at historical cost
net of depreciation may understate the true value of a firm's
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liabilities that may never materialize. The prices at which
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liabilities delivered to the nation's bankruptcy courts. The
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Each Friday's edition of the TCR includes a review about a book of
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Monthly Operating Reports are summarized in every Saturday edition
of the TCR.
The Sunday TCR delivers securitization rating news from the week
then-ending.
*********
S U B S C R I P T I O N I N F O R M A T I O N
Troubled Company Reporter is a daily newsletter co-published
by Bankruptcy Creditors' Service, Inc., Fairless Hills,
Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA.
Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine
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Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa,
Sheryl Joy P. Olano, Ivy B. Magdadaro, Carlo Fernandez,
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